PORTFOLIO OF INVESTMENTS as of June 30, 2020 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal |
Description |
Value () | ||||||
Bonds and Notes 84.5% of Net Assets |
||||||||
Non-Convertible Bonds 78.4% |
||||||||
ABS Other 0.2% |
| |||||||
$ | 22,858,803 | GCA2014 Holdings Ltd., Series 2014-1, Class C,
|
$ | 7,057,884 | ||||
10,240,852 | GCA2014 Holdings Ltd., Series 2014-1, Class D,
|
1,046,001 | ||||||
42,000,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E,
|
| ||||||
6,751,687 | Global Container Assets Ltd., Series 2015-1A,
Class B, |
5,342,812 | ||||||
|
|
|||||||
13,446,697 | ||||||||
|
|
|||||||
Aerospace & Defense 1.8% |
| |||||||
90,000 | Boeing Co. (The), |
91,708 | ||||||
380,000 | Boeing Co. (The), |
346,484 | ||||||
2,505,000 | Boeing Co. (The), |
2,281,301 | ||||||
15,000 | Boeing Co. (The), |
13,181 | ||||||
1,385,000 | Boeing Co. (The), |
1,243,522 | ||||||
415,000 | Boeing Co. (The), |
371,083 | ||||||
3,930,000 | Boeing Co. (The), |
3,443,939 | ||||||
620,000 | Bombardier, Inc., |
296,747 | ||||||
10,225,000 | Bombardier, Inc., |
6,237,250 | ||||||
6,765,000 | Bombardier, Inc., |
4,431,075 | ||||||
3,145,000 | Embraer Netherlands Finance BV, |
2,783,325 | ||||||
9,576,000 | Leonardo U.S. Holdings, Inc., |
11,093,604 | ||||||
8,815,000 | Leonardo U.S. Holdings, Inc., |
11,098,702 | ||||||
5,310,000 | Textron Financial Corp., |
3,303,086 | ||||||
6,485,000 | TransDigm, Inc., |
5,659,460 | ||||||
24,513,000 | TransDigm, Inc., |
23,404,767 | ||||||
17,765,000 | TransDigm, Inc., |
16,611,874 | ||||||
370,000 | TransDigm, Inc., |
355,015 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Aerospace & Defense continued |
| |||||||
$ | 19,475,000 | TransDigm, Inc., |
$ | 20,468,030 | ||||
|
|
|||||||
113,534,153 | ||||||||
|
|
|||||||
Airlines 1.0% |
| |||||||
240,000 | American Airlines Group, Inc., |
111,574 | ||||||
20,000,000 | American Airlines Group, Inc., |
11,600,000 | ||||||
8,225,739 | American Airlines Pass Through Certificates, Series
2013-1, Class A, |
6,190,033 | ||||||
1,597,035 | American Airlines Pass Through Certificates, Series
2016-3, Class B, |
1,119,505 | ||||||
931,816 | American Airlines Pass Through Certificates, Series
2017-2, Class B, |
647,232 | ||||||
12,800,000 | American Airlines, Inc., |
12,124,032 | ||||||
1,344,677 | Continental Airlines Pass Through Certificates, Series
2012-2, Class B, |
1,290,406 | ||||||
193,163 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, |
194,455 | ||||||
26,975,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., |
27,042,438 | ||||||
129,953 | Northwest Airlines Pass Through Trust, Series 2002-1,
Class G2, (MBIA Insured), |
124,346 | ||||||
|
|
|||||||
60,444,021 | ||||||||
|
|
|||||||
Automotive 2.0% |
| |||||||
1,210,000 | Allison Transmission, Inc., |
1,200,925 | ||||||
16,505,000 | Ford Motor Co., |
13,002,639 | ||||||
940,000 | Ford Motor Co., |
772,953 | ||||||
1,220,000 | Ford Motor Co., |
1,204,604 | ||||||
1,345,000 | Ford Motor Co., |
1,403,844 | ||||||
1,500,000 | Ford Motor Credit Co. LLC, |
1,457,745 | ||||||
5,000,000 | Ford Motor Credit Co. LLC, |
5,002,000 | ||||||
18,565,000 | Ford Motor Credit Co. LLC, |
18,704,237 | ||||||
2,845,000 | General Motors Co., |
2,755,607 | ||||||
2,120,000 | General Motors Co., |
2,252,866 | ||||||
62,220,000 | General Motors Financial Co., Inc., |
60,556,503 | ||||||
9,545,000 | Goodyear Tire & Rubber Co. (The), |
8,743,220 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Automotive continued |
| |||||||
$ | 4,977,000 | Goodyear Tire & Rubber Co. (The), |
$ | 4,943,057 | ||||
|
|
|||||||
122,000,200 | ||||||||
|
|
|||||||
Banking 5.7% |
| |||||||
6,000,000 | Ally Financial, Inc., |
7,741,948 | ||||||
983,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), |
1,094,917 | ||||||
265,000 | Bank of America Corp., MTN, |
303,970 | ||||||
7,045,000 | Bank of America Corp., Series L, MTN, |
8,062,705 | ||||||
3,450,000 | Cooperatieve Rabobank UA, |
3,650,170 | ||||||
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), |
1,587,644 | ||||||
25,000,000 | Goldman Sachs Group, Inc. (The), Series MPLE, |
18,694,203 | ||||||
19,245,000 | Intesa Sanpaolo SpA, |
19,719,624 | ||||||
36,195,000 | Morgan Stanley, GMTN, |
41,735,747 | ||||||
185,000,000 | Morgan Stanley, GMTN, |
133,549,076 | ||||||
46,735,000 | Morgan Stanley, MTN, |
50,507,358 | ||||||
10,000,000 | Morgan Stanley, MTN, |
12,797,880 | ||||||
53,095,000 | Morgan Stanley, Series MPLE, |
39,960,480 | ||||||
10,445,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), |
10,529,923 | ||||||
|
|
|||||||
349,935,645 | ||||||||
|
|
|||||||
Brokerage 1.3% |
| |||||||
1,675,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., |
1,474,000 | ||||||
43,025,000 | Jefferies Group LLC, |
46,691,608 | ||||||
14,755,000 | Jefferies Group LLC, |
16,904,600 | ||||||
15,215,000 | Jefferies Group LLC, |
17,854,369 | ||||||
|
|
|||||||
82,924,577 | ||||||||
|
|
|||||||
Building Materials 0.4% |
| |||||||
5,565,000 | American Woodmark Corp., |
5,439,788 | ||||||
3,255,000 | JELD-WEN, Inc., |
3,124,800 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Building Materials continued |
| |||||||
$ | 1,859,000 | Masco Corp., |
$ | 2,258,943 | ||||
1,226,000 | Masco Corp., |
1,572,692 | ||||||
10,800,000 | Owens Corning, |
13,799,771 | ||||||
|
|
|||||||
26,195,994 | ||||||||
|
|
|||||||
Cable Satellite 1.4% |
| |||||||
975,000 | CCO Holdings LLC/CCO Holdings Capital Corp., |
999,375 | ||||||
4,360,000 | CCO Holdings LLC/CCO Holdings Capital Corp., |
4,549,442 | ||||||
17,880,000 | CSC Holdings LLC, |
18,684,600 | ||||||
17,679,000 | DISH DBS Corp., |
17,590,605 | ||||||
4,865,000 | DISH DBS Corp., |
5,156,900 | ||||||
4,835,000 | Time Warner Cable LLC, |
5,147,835 | ||||||
135,000 | Time Warner Cable LLC, |
166,587 | ||||||
11,275,000 | Videotron Ltd., |
8,760,715 | ||||||
18,245,000 | VTR Finance BV, |
18,663,175 | ||||||
5,530,000 | Ziggo BV, |
5,599,457 | ||||||
|
|
|||||||
85,318,691 | ||||||||
|
|
|||||||
Chemicals 0.7% |
| |||||||
19,810,000 | Aruba Investments, Inc., |
19,909,050 | ||||||
18,254,000 | Consolidated Energy Finance S.A., |
15,333,360 | ||||||
6,275,000 | Minerals Technologies, Inc., |
6,368,999 | ||||||
|
|
|||||||
41,611,409 | ||||||||
|
|
|||||||
Construction Machinery 0.1% |
| |||||||
1,310,000 | United Rentals North America, Inc., |
1,342,750 | ||||||
3,850,000 | United Rentals North America, Inc., |
4,042,500 | ||||||
|
|
|||||||
5,385,250 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.1% |
| |||||||
5,500,000 | ServiceMaster Co. LLC (The), |
5,952,100 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Consumer Products 0.3% |
| |||||||
$ | 11,880,000 | Avon Products, Inc., |
$ | 13,424,400 | ||||
2,405,000 | Whirlpool Corp., |
2,738,032 | ||||||
|
|
|||||||
16,162,432 | ||||||||
|
|
|||||||
Electric 0.7% |
| |||||||
9,371,000 | AES Corp. (The), |
9,613,615 | ||||||
25,441,282 | Alta Wind Holdings LLC, |
30,785,339 | ||||||
835,000 | Edison International, |
915,017 | ||||||
3,570,000 | Empresa Nacional de Electricidad S.A., |
4,074,926 | ||||||
|
|
|||||||
45,388,897 | ||||||||
|
|
|||||||
Finance Companies 4.7% |
| |||||||
1,020,000 | Antares Holdings LP, |
978,375 | ||||||
20,000,000 | Antares Holdings LP, |
19,971,811 | ||||||
25,580,000 | GE Capital Funding LLC, |
26,410,608 | ||||||
135,000 | Navient Corp., |
113,400 | ||||||
22,945,000 | Navient Corp., |
21,998,519 | ||||||
3,030,000 | Navient Corp., |
2,846,321 | ||||||
109,950 | () | Navient Corp., |
2,218,516 | |||||
950,000 | Navient Corp., |
878,750 | ||||||
54,470,000 | Navient Corp., MTN, |
41,941,900 | ||||||
47,984,000 | Navient Corp., MTN, |
45,584,800 | ||||||
6,490,000 | Navient Corp., MTN, |
6,506,225 | ||||||
4,360,000 | Quicken Loans LLC, |
4,498,997 | ||||||
23,115,000 | Springleaf Finance Corp., |
23,714,545 | ||||||
4,075,000 | Springleaf Finance Corp., |
4,217,584 | ||||||
26,970,000 | Springleaf Finance Corp., |
28,060,937 | ||||||
55,015,000 | Springleaf Finance Corp., |
58,866,050 | ||||||
|
|
|||||||
288,807,338 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Financial Other 0.4% |
| |||||||
$ | 25,465,000 | Nationstar Mortgage Holdings, Inc., |
$ | 26,913,194 | ||||
|
|
|||||||
Food & Beverage 0.2% |
| |||||||
15,420,000 | Kraft Heinz Foods Co., |
15,129,179 | ||||||
|
|
|||||||
Gaming 0.1% |
| |||||||
5,475,000 | International Game Technology PLC, |
5,611,875 | ||||||
|
|
|||||||
Government Owned No Guarantee 0.1% |
| |||||||
6,535,000 | Pertamina Persero PT, |
8,333,172 | ||||||
|
|
|||||||
Healthcare 4.7% |
| |||||||
1,420,000 | CHS/Community Health Systems, Inc., |
1,334,800 | ||||||
40,686,000 | HCA, Inc., |
43,991,737 | ||||||
14,620,000 | HCA, Inc., |
16,374,400 | ||||||
20,447,000 | HCA, Inc., |
22,798,405 | ||||||
24,215,000 | HCA, Inc., |
29,421,225 | ||||||
14,056,000 | HCA, Inc., |
16,023,840 | ||||||
32,745,000 | HCA, Inc., |
37,656,750 | ||||||
10,815,000 | HCA, Inc., MTN, |
12,437,250 | ||||||
9,492,000 | HCA, Inc., MTN, |
11,153,100 | ||||||
19,785,000 | Tenet Healthcare Corp., |
19,096,680 | ||||||
40,800,000 | Tenet Healthcare Corp., |
40,494,000 | ||||||
43,749,000 | Tenet Healthcare Corp., |
38,717,865 | ||||||
990,000 | Tenet Healthcare Corp., |
1,039,500 | ||||||
|
|
|||||||
290,539,552 | ||||||||
|
|
|||||||
Home Construction 1.1% |
| |||||||
47,260,000 | PulteGroup, Inc., |
54,396,260 | ||||||
13,190,000 | PulteGroup, Inc., |
15,432,300 | ||||||
195,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., |
200,267 | ||||||
|
|
|||||||
70,028,827 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Independent Energy 2.5% |
| |||||||
$ | 2,685,000 | Aker BP ASA, |
$ | 2,521,816 | ||||
4,810,000 | Antero Resources Corp., |
3,078,400 | ||||||
18,736,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
15,972,440 | ||||||
8,225,000 | Baytex Energy Corp., |
5,017,250 | ||||||
8,645,000 | California Resources Corp., |
86,450 | ||||||
1,188,000 | California Resources Corp., |
11,880 | ||||||
67,805,000 | California Resources Corp., |
2,669,483 | ||||||
1,310,000 | Chesapeake Energy Corp., |
32,750 | ||||||
21,335,000 | Chesapeake Energy Corp., |
480,038 | ||||||
55,365,000 | Chesapeake Energy Corp., |
1,245,712 | ||||||
15,215,000 | Continental Resources, Inc., |
14,226,329 | ||||||
5,450,000 | Continental Resources, Inc., |
5,216,740 | ||||||
302,000 | Continental Resources, Inc., |
296,715 | ||||||
2,340,000 | Diamondback Energy, Inc., |
2,266,454 | ||||||
15,580,000 | Lonestar Resources America, Inc., |
1,480,100 | ||||||
7,644,000 | MEG Energy Corp., |
6,554,730 | ||||||
19,290,000 | Montage Resources Corp., |
15,239,100 | ||||||
1,065,000 | Oasis Petroleum, Inc., |
179,516 | ||||||
540,000 | Occidental Petroleum Corp., |
376,618 | ||||||
20,595,000 | Occidental Petroleum Corp., |
20,569,256 | ||||||
2,390,000 | Pan American Energy LLC, |
2,378,050 | ||||||
4,850,000 | Parsley Energy LLC/Parsley Finance Corp., |
4,389,250 | ||||||
2,055,000 | QEP Resources, Inc., |
1,356,300 | ||||||
17,908,000 | Sanchez Energy Corp., |
44,770 | ||||||
9,520,000 | Sanchez Energy Corp., |
23,800 | ||||||
26,537,000 | SM Energy Co., |
25,210,946 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Independent Energy continued |
| |||||||
$ | 1,110,000 | Southwestern Energy Co., |
$ | 950,438 | ||||
14,955,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., |
8,973,000 | ||||||
2,530,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., |
1,530,650 | ||||||
19,960,000 | Whiting Petroleum Corp., |
3,842,300 | ||||||
3,550,000 | Whiting Petroleum Corp., |
616,174 | ||||||
21,785,000 | Whiting Petroleum Corp., |
3,866,837 | ||||||
6,145,000 | WPX Energy, Inc., |
5,407,600 | ||||||
|
|
|||||||
156,111,892 | ||||||||
|
|
|||||||
Life Insurance 1.3% |
| |||||||
3,575,000 | Brighthouse Financial, Inc., |
3,249,547 | ||||||
13,830,000 | Brighthouse Financial, Inc., |
15,351,270 | ||||||
15,000,000 | Global Atlantic Fin Co., |
15,696,352 | ||||||
20,000,000 | National Life Insurance Co., |
32,295,600 | ||||||
8,920,000 | NLV Financial Corp., |
11,528,030 | ||||||
2,500,000 | Prudential Financial, Inc., MTN, |
2,743,625 | ||||||
|
|
|||||||
80,864,424 | ||||||||
|
|
|||||||
Local Authorities 1.1% |
| |||||||
95,480,000 | New South Wales Treasury Corp., |
67,774,004 | ||||||
|
|
|||||||
Media Entertainment 0.5% |
| |||||||
111,590,000 | Grupo Televisa SAB, EMTN, |
3,579,891 | ||||||
22,870,000 | ViacomCBS, Inc., |
25,473,238 | ||||||
|
|
|||||||
29,053,129 | ||||||||
|
|
|||||||
Metals & Mining 1.1% |
| |||||||
25,271,000 | ArcelorMittal S.A., |
29,555,698 | ||||||
1,970,000 | Barrick North America Finance LLC, |
2,783,036 | ||||||
12,315,000 | First Quantum Minerals Ltd., |
12,056,385 | ||||||
1,810,000 | First Quantum Minerals Ltd., |
1,733,075 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Metals & Mining continued |
| |||||||
$ | 2,730,000 | Kaiser Aluminum Corp., |
$ | 2,822,137 | ||||
16,135,000 | Russel Metals, Inc., |
11,736,382 | ||||||
8,741,000 | United States Steel Corp., |
5,681,650 | ||||||
|
|
|||||||
66,368,363 | ||||||||
|
|
|||||||
Midstream 0.3% |
| |||||||
13,667,000 | NGL Energy Partners LP/NGL Energy Finance Corp., |
10,318,585 | ||||||
8,125,000 | NGL Energy Partners LP/NGL Energy Finance Corp., |
6,743,750 | ||||||
505,000 | NGPL PipeCo LLC, |
616,351 | ||||||
11,980,000 | Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter),
|
1,556,801 | ||||||
|
|
|||||||
19,235,487 | ||||||||
|
|
|||||||
Oil Field Services 1.7% |
| |||||||
7,120,000 | Global Marine, Inc., |
3,275,200 | ||||||
1,765,000 | Noble Holding International Ltd., |
36,306 | ||||||
19,385,000 | Noble Holding International Ltd., |
4,624,873 | ||||||
12,020,000 | Precision Drilling Corp., |
8,029,480 | ||||||
159,192 | Precision Drilling Corp., |
148,049 | ||||||
2,080,000 | Shelf Drilling Holdings Ltd., |
936,000 | ||||||
57,983,250 | Transocean Proteus Ltd., |
52,764,757 | ||||||
39,300,000 | Transocean, Inc., |
21,025,500 | ||||||
46,390,000 | Transocean, Inc., |
13,334,342 | ||||||
2,770,000 | Transocean, Inc., |
775,600 | ||||||
11,165,000 | Valaris PLC, |
834,472 | ||||||
|
|
|||||||
105,784,579 | ||||||||
|
|
|||||||
Packaging 0.2% |
| |||||||
8,750,000 | Owens-Brockway Glass Container, Inc., |
9,100,000 | ||||||
|
|
|||||||
Paper 0.7% |
| |||||||
15,225,000 | Georgia-Pacific LLC, |
22,725,128 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Paper continued |
| |||||||
$ | 4,865,000 | WestRock MWV LLC, |
$ | 6,917,786 | ||||
8,750,000 | WestRock MWV LLC, |
12,375,634 | ||||||
2,840,000 | Weyerhaeuser Co., |
3,436,321 | ||||||
|
|
|||||||
45,454,869 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.7% |
| |||||||
12,510,000 | MBIA Insurance Corp., |
5,004,000 | ||||||
14,480,000 | Nationwide Mutual Insurance Co., |
15,443,227 | ||||||
20,810,000 | Radian Group, Inc., |
21,330,250 | ||||||
|
|
|||||||
41,777,477 | ||||||||
|
|
|||||||
REITs Hotels 0.2% |
| |||||||
545,000 | Service Properties Trust, |
438,863 | ||||||
5,965,000 | Service Properties Trust, |
5,376,276 | ||||||
1,690,000 | Service Properties Trust, |
1,618,059 | ||||||
940,000 | Service Properties Trust, |
849,488 | ||||||
915,000 | Service Properties Trust, |
809,508 | ||||||
2,750,000 | Service Properties Trust, |
2,413,435 | ||||||
|
|
|||||||
11,505,629 | ||||||||
|
|
|||||||
Retailers 0.6% |
| |||||||
3,325,000 | Dillards, Inc., |
3,319,110 | ||||||
1,500,000 | Dillards, Inc., |
1,502,760 | ||||||
1,795,000 | Hanesbrands, Inc., |
1,815,194 | ||||||
27,224,000 | J.C. Penney Corp., Inc., |
136,120 | ||||||
2,510,000 | J.C. Penney Corp., Inc., |
26,531 | ||||||
6,365,000 | Marks & Spencer PLC, |
6,288,683 | ||||||
28,455,000 | Michaels Stores, Inc., |
24,755,850 | ||||||
|
|
|||||||
37,844,248 | ||||||||
|
|
|||||||
Supermarkets 0.4% |
| |||||||
11,495,000 | Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC, |
11,746,511 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Supermarkets continued |
| |||||||
$ | 9,465,000 | Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC, |
$ | 9,701,625 | ||||
2,290,000 | Safeway, Inc., |
2,438,850 | ||||||
|
|
|||||||
23,886,986 | ||||||||
|
|
|||||||
Technology 0.8% |
| |||||||
23,345,000 | Iron Mountain, Inc., |
22,703,012 | ||||||
15,170,000 | KLA Corp., |
19,743,321 | ||||||
3,970,000 | Micron Technology, Inc., |
4,554,978 | ||||||
120,000 | Samsung Electronics Co. Ltd., |
145,211 | ||||||
1,829,000 | Seagate HDD Cayman, |
1,909,037 | ||||||
1,688,000 | Seagate HDD Cayman, |
1,830,677 | ||||||
|
|
|||||||
50,886,236 | ||||||||
|
|
|||||||
Transportation Services 0.5% |
| |||||||
10,503,000 | Fenix Marine Service Holdings Ltd., |
7,783,879 | ||||||
20,980,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., |
22,947,031 | ||||||
|
|
|||||||
30,730,910 | ||||||||
|
|
|||||||
Treasuries 36.0% |
| |||||||
312,000,000 | Canadian Government Bond, |
230,024,160 | ||||||
10,000,000 | () | Mexican Fixed Rate Bonds, Series M, |
44,660,097 | |||||
4,250,000 | () | Mexican Fixed Rate Bonds, Series M, |
20,895,440 | |||||
27,224,481 | () | Mexican Fixed Rate Bonds, Series M, |
130,482,545 | |||||
7,740,000 | () | Mexican Fixed Rate Bonds, Series M-20, |
37,506,394 | |||||
3,035,000 | () | Mexican Fixed Rate Bonds, Series M-20, |
15,629,831 | |||||
21,700,000 | () | Mexican Fixed Rate Bonds, Series M-20, |
113,593,026 | |||||
175,365,000 | New Zealand Government Bond, Series 0521, |
118,818,909 | ||||||
458,725,000 | Norway Government Bond, Series 474, |
49,206,374 | ||||||
162,850,000 | Republic of Brazil, |
32,641,272 | ||||||
55,925,000 | Republic of Brazil, |
12,006,480 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Treasuries continued |
| |||||||
$ | 569,455,000 | U.S. Treasury Bond, |
$ | 547,143,930 | ||||
50,000,000 | U.S. Treasury Bond, |
57,261,719 | ||||||
144,325,000 | U.S. Treasury Bond, |
198,480,702 | ||||||
50,000,000 | U.S. Treasury Note, |
50,763,672 | ||||||
70,000,000 | U.S. Treasury Note, |
71,153,906 | ||||||
326,665,000 | U.S. Treasury Note, |
332,432,679 | ||||||
155,000,000 | U.S. Treasury Note, |
157,906,250 | ||||||
|
|
|||||||
2,220,607,386 | ||||||||
|
|
|||||||
Wireless 0.3% |
| |||||||
293,000,000 | America Movil SAB de CV, |
12,858,372 | ||||||
134,600,000 | America Movil SAB de CV, |
5,973,026 | ||||||
|
|
|||||||
18,831,398 | ||||||||
|
|
|||||||
Wirelines 2.5% |
| |||||||
11,140,000 | AT&T, Inc., |
13,168,370 | ||||||
14,095,000 | AT&T, Inc., |
16,618,295 | ||||||
7,545,000 | Bell Canada, Inc., MTN, |
7,445,074 | ||||||
4,370,000 | Bell Canada, Inc., MTN, |
4,308,647 | ||||||
1,240,000 | CenturyLink, Inc., |
1,282,160 | ||||||
28,385,000 | CenturyLink, Inc., Series S, |
29,029,340 | ||||||
7,940,000 | CenturyLink, Inc., Series W, |
8,533,833 | ||||||
350,000 | Cincinnati Bell Telephone Co. LLC, |
337,533 | ||||||
2,160,000 | Cincinnati Bell, Inc., |
2,254,500 | ||||||
30,646,000 | Telecom Italia Capital S.A., |
33,312,202 | ||||||
16,440,000 | Telecom Italia Capital S.A., |
18,536,100 | ||||||
14,223,000 | Verizon Communications, Inc., |
17,148,529 | ||||||
|
|
|||||||
151,974,583 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds |
4,841,454,803 | |||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Convertible Bonds 4.6% |
||||||||
Cable Satellite 2.4% |
| |||||||
$ | 14,660,000 | DISH Network Corp., |
$ | 13,118,450 | ||||
143,750,000 | DISH Network Corp., |
132,050,857 | ||||||
|
|
|||||||
145,169,307 | ||||||||
|
|
|||||||
Independent Energy 0.0% |
| |||||||
43,802,000 | Chesapeake Energy Corp., |
1,155,497 | ||||||
3,742,000 | Whiting Petroleum Corp., |
720,335 | ||||||
|
|
|||||||
1,875,832 | ||||||||
|
|
|||||||
Oil Field Services 0.1% |
| |||||||
9,941,000 | Pioneer Energy Services Corp., |
6,107,750 | ||||||
|
|
|||||||
Pharmaceuticals 0.0% |
| |||||||
870,000 | BioMarin Pharmaceutical, Inc., |
1,063,191 | ||||||
715,000 | BioMarin Pharmaceutical, Inc., |
832,097 | ||||||
|
|
|||||||
1,895,288 | ||||||||
|
|
|||||||
REITs Diversified 0.2% |
| |||||||
14,245,000 | iStar, Inc., |
15,162,022 | ||||||
|
|
|||||||
Technology 1.9% |
| |||||||
10,415,000 | Booking Holdings, Inc., |
11,065,796 | ||||||
3,015,000 | Evolent Health, Inc., |
2,624,934 | ||||||
23,135,000 | Nuance Communications, Inc., |
27,300,225 | ||||||
9,670,000 | Nuance Communications, Inc., |
13,487,813 | ||||||
34,500,000 | Nuance Communications, Inc., |
44,639,808 | ||||||
17,000,000 | Western Digital Corp., |
15,980,579 | ||||||
|
|
|||||||
115,099,155 | ||||||||
|
|
|||||||
Total Convertible Bonds |
285,309,354 | |||||||
|
|
|||||||
Municipals 1.5% |
||||||||
Illinois 0.3% |
| |||||||
17,570,000 | State of Illinois, |
17,823,886 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Municipals continued |
||||||||
Michigan 0.1% |
| |||||||
$ | 8,145,000 | Michigan Tobacco Settlement Finance Authority, Series A, |
$ | 8,158,032 | ||||
|
|
|||||||
Virginia 1.1% |
| |||||||
68,005,000 | Tobacco Settlement Financing Corp., Series A-1,
|
65,115,468 | ||||||
|
|
|||||||
Total Municipals |
91,097,386 | |||||||
|
|
|||||||
Total Bonds and Notes |
5,217,861,543 | |||||||
|
|
|||||||
Senior Loans 0.2% |
||||||||
Construction Machinery 0.2% |
| |||||||
21,276,992 | Onsite Rental Group Pty Ltd., Note, |
11,064,036 | ||||||
|
|
|||||||
Technology 0.0% |
| |||||||
9,507,380 | IQOR U.S., Inc., 2nd Lien Term Loan, |
2,151,045 | ||||||
|
|
|||||||
Total Senior Loans |
13,215,081 | |||||||
|
|
|||||||
Shares | ||||||||
Common Stocks 10.8% |
||||||||
Chemicals 0.1% |
| |||||||
664,252 | Hexion Holdings Corp., Class B(b)(e)(f) |
4,691,612 | ||||||
|
|
|||||||
Diversified Telecommunication Services 3.8% |
| |||||||
7,868,481 | AT&T, Inc. |
237,864,180 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 1.1% |
| |||||||
2,575,992 | Corning, Inc. |
66,718,193 | ||||||
|
|
|||||||
Media 0.1% |
| |||||||
2,500,188 | Clear Channel Outdoor Holdings, Inc.(e) |
2,600,195 | ||||||
279,162 | iHeartMedia, Inc., Class A(e) |
2,331,003 | ||||||
|
|
|||||||
4,931,198 | ||||||||
|
|
|||||||
Oil Field Services 0.0% |
| |||||||
60,638 | Pioneer Energy Services Corp.(a)(b)(c)(d)(e)(j) |
| ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.0% |
| |||||||
9,229 | Battalion Oil Corp.(e) |
87,676 | ||||||
4,231 | Chesapeake Energy Corp.(a)(d)(e) |
| ||||||
5,886 | Frontera Energy Corp. |
14,741 | ||||||
156,902 | Paragon Offshore Ltd., Litigation Units, Class A(a)(b)(c)(d)(e) |
| ||||||
225,503 | Paragon Offshore Ltd., Litigation Units, Class B(c)(e) |
676,509 | ||||||
1,514 | Southcross Holdings Group LLC(c)(e) |
|
Shares | Description |
Value () | ||||||
Common Stocks continued |
||||||||
Oil, Gas & Consumable Fuels continued |
| |||||||
1,514 | Southcross Holdings LP, Class A(a)(b)(c)(d) |
$ | 100,378 | |||||
|
|
|||||||
879,304 | ||||||||
|
|
|||||||
Pharmaceuticals 5.4% |
| |||||||
5,651,190 | Bristol-Myers Squibb Co. |
332,289,972 | ||||||
|
|
|||||||
REITs - Diversified 0.3% |
| |||||||
1,341,478 | iStar, Inc. |
16,527,009 | ||||||
|
|
|||||||
Specialty Retail 0.0% |
| |||||||
11,662,687 | Onsite Rental Group Pty Ltd.(a)(b)(c)(d)(e) |
| ||||||
|
|
|||||||
Total Common Stocks |
663,901,468 | |||||||
|
|
|||||||
Preferred Stocks 0.5% |
||||||||
Convertible Preferred Stocks 0.3% |
||||||||
Banking 0.2% |
| |||||||
8,447 | Bank of America Corp., Series L, |
11,337,563 | ||||||
|
|
|||||||
Communications 0.0% |
| |||||||
3,704 | Cincinnati Bell, Inc., Series B, |
176,866 | ||||||
|
|
|||||||
Independent Energy 0.0% |
| |||||||
172,972 | Chesapeake Energy Corp., |
| ||||||
240,916 | Chesapeake Energy Corp., |
| ||||||
32,522 | Chesapeake Energy Corp., |
| ||||||
|
|
|||||||
| ||||||||
|
|
|||||||
Midstream 0.1% |
| |||||||
6,017 | Chesapeake Energy Corp., |
| ||||||
23,928 | Chesapeake Energy Corp., |
| ||||||
43,178 | Chesapeake Energy Corp., |
| ||||||
242,297 | El Paso Energy Capital Trust I, |
10,772,525 | ||||||
|
|
|||||||
10,772,525 | ||||||||
|
|
|||||||
Total Convertible Preferred Stocks |
22,286,954 | |||||||
|
|
|||||||
Non-Convertible Preferred Stocks 0.2% |
||||||||
Home Construction 0.0% |
| |||||||
208,246 | Hovnanian Enterprises, Inc., |
795,500 | ||||||
|
|
Shares |
Description |
Value () | ||||||
Preferred Stocks continued |
||||||||
Non-Convertible Preferred Stocks continued |
||||||||
REITs Diversified 0.0% |
| |||||||
10,425 | iStar, Inc., Series G, |
$ | 253,953 | |||||
|
|
|||||||
REITs Office Property 0.1% |
| |||||||
1,596 | Highwoods Properties, Inc., Series A, |
1,995,000 | ||||||
|
|
|||||||
REITs Warehouse/Industrials 0.1% |
| |||||||
116,192 | Prologis, Inc., Series Q, |
7,813,912 | ||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks |
10,858,365 | |||||||
|
|
|||||||
Total Preferred Stocks |
33,145,319 | |||||||
|
|
|||||||
Closed-End Investment Companies 0.0% |
||||||||
170,282 | NexPoint Strategic Opportunities Fund |
1,791,367 | ||||||
|
|
|||||||
Warrants 0.1% |
||||||||
751,946 | iHeartMedia, Inc., Expiration on 5/1/2039(e) |
6,579,527 | ||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 4.2% |
||||||||
$ | 10,070,157,559 | Central Bank of Iceland, |
72,819,131 | |||||
55,112,883 | Tri-Party Repurchase Agreement with Fixed Income Clearing
Corporation, dated 6/30/2020 at 0.000% to be repurchased at $55,112,883 on 7/01/2020 collateralized by $10,832,900 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2024 valued at $12,230,299; $44,019,300 U.S. Treasury Note, 0.125% due 6/30/2022
valued at $43,984,921 including accrued |
55,112,883 | ||||||
100,055,000 | U.S. Treasury Bills, |
99,958,239 | ||||||
20,050,000 | U.S. Treasury Bills, |
20,039,930 | ||||||
11,350,000 | U.S. Treasury Bills, |
11,348,170 | ||||||
|
|
|||||||
Total Short-Term Investments |
259,278,353 | |||||||
|
|
|||||||
Total Investments 100.3% |
6,195,772,658 | |||||||
Other assets less liabilities (0.3)% |
(19,998,003 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 6,175,774,655 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
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 issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing 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 Funds 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 Funds 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 Funds pricing policies and procedures. | |
As of June 30, 2020, securities held by the Fund were fair valued as follows: |
Securities |
Percentage of Net Assets |
Securities fair valued by the Funds adviser |
Percentage of Net Assets | |||
$121,599,165 |
2.0% | $25,376,049 | 0.4% |
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 25. | |
() | Amount shown represents units. One unit represents a principal amount of 100. | |
(a) | Level 3 security. Value has been determined using significant unobservable inputs. | |
(b) | Illiquid security. | |
(c) | Securities subject to restriction on resale. At June 30, 2020, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class C |
12/18/2014 | $ | 22,858,803 | $ | 7,057,884 | 0.1 | % | |||||||
GCA2014 Holdings Ltd., Series 2014-1, Class D |
12/18/2014 | 10,240,852 | 1,046,001 | Less than 0.1 | % | |||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class E |
12/18/2014 | 32,732,982 | | | ||||||||||
Onsite Rental Group Pty Ltd. |
10/26/2017 | | | | ||||||||||
Onsite Rental Group Pty Ltd., Note |
10/26/2017 | 15,532,204 | 11,064,036 | 0.2 | % |
Paragon Offshore Ltd., Litigation Units, Class A |
7/18/2017 | 1,167,146 | | | ||||||||||
Paragon Offshore Ltd., Litigation Units, Class B |
7/18/2017 | 22,768,653 | 676,509 | Less than 0.1 | % | |||||||||
Pioneer Energy Services Corp., 5.000% (5.000% PIK or 5.000% Cash) |
5/29/2020 | 9,205,000 | 6,107,750 | 0.1 | % | |||||||||
Pioneer Energy Services Corp. |
5/29/2020 | 17,677,239 | | | ||||||||||
Southcross Holdings Group LLC |
4/29/2016 | | | | ||||||||||
Southcross Holdings LP, Class A |
4/29/2016 | 2,215,133 | 100,378 | Less than 0.1 | % |
(d) | Fair valued by the Funds adviser. At June 30, 2020, the value of these securities amounted to $25,376,049 or 0.4% of net assets. | |
(e) | Non-income producing security. | |
(f) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At June 30, 2020, the value of these securities amounted to $121,599,165 or 2.0% of net assets. | |
(g) | Variable rate security. Rate as of June 30, 2020 is disclosed. | |
(h) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
(i) | Perpetual bond with no specified maturity date. | |
(j) | Affiliated issuer. | |
(k) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. | |
(l) | Security callable by issuer at any time. No specified maturity date. | |
(m) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of June 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. | |
(n) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the value of Rule 144A holdings amounted to $790,221,983 or 12.8% of net assets. | |
ABS | Asset-Backed Securities | |
EMTN | Euro Medium Term Note | |
GMTN | Global Medium Term Note | |
LIBOR | London Interbank Offered Rate | |
MBIA | Municipal Bond Investors Assurance Corp. | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
ISK | Icelandic Krona | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar |
Affiliated Transactions
As a result of a business restructuring, the Fund received common shares of Bellatrix Exploration Ltd. (the Company) constituting more than 5% of the voting securities of the Company. As such, the Company was considered to be an affiliate at September 30, 2019. These securities were sold during the period ended June 30, 2020. Similarly, as a result of a business restructuring, the Fund received common shares of Pioneer Energy Services Corp. (the Company) constituting more than 5% of the voting securities of the Company. As such, the Company is considered to be an affiliate at June 30, 2020. A summary of affiliated transactions for the period ended June 30, 2020, is as follows: |
| |||||||||||||||||||||||||||||||
Beginning Value |
Purchase Cost | Sales Proceeds |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
Ending Value |
Investment Income |
|||||||||||||||||||||||||
Bellatrix Exploration Ltd., 8.500% |
$ | 3,593,400 | $ | | $ | | $ | 16,926 | $ | (5,893,816 | ) | $ | 2,283,490 | $ | | $ | | |||||||||||||||
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) |
| | | 217,007 | (4,618,170 | ) | 4,401,163 | | | |||||||||||||||||||||||
Bellatrix Exploration Ltd. |
| | | | (3,016,862 | ) | 3,016,862 | | | |||||||||||||||||||||||
Pioneer Energy Services Corp., 5.000% (5.000% PIK or 5.000% Cash) |
| 9,205,000 | | 10,221 | | (3,107,471 | ) | 6,107,750 | 44,182 | |||||||||||||||||||||||
Pioneer Energy Services Corp. |
| 17,677,239 | | | | (17,677,239 | ) | | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
$ | 3,593,400 | $ | 26,882,239 | $ | | $ | 244,154 | $ | (13,528,848 | ) | $ | (11,083,195 | ) | $ | 6,107,750 | $ | 44,182 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2020, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | | $ | 13,446,697 | (a)(b) | $ | 13,446,697 | |||||||
Finance Companies |
2,218,516 | 286,588,822 | | 288,807,338 | ||||||||||||
All Other Non-Convertible Bonds* |
| 4,539,200,768 | | 4,539,200,768 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
2,218,516 | 4,825,789,590 | 13,446,697 | 4,841,454,803 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds |
||||||||||||||||
Independent Energy |
| 1,155,497 | 720,335 | (c) | 1,875,832 | |||||||||||
Oil Field Services |
| | 6,107,750 | (d) | 6,107,750 | |||||||||||
All Other Convertible Bonds* |
| 277,325,772 | | 277,325,772 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 278,481,269 | 6,828,085 | 285,309,354 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Municipals* |
| 91,097,386 | | 91,097,386 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
2,218,516 | 5,195,368,245 | 20,274,782 | 5,217,861,543 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans |
||||||||||||||||
Construction Machinery |
| | 11,064,036 | (d) | 11,064,036 | |||||||||||
Technology |
| 2,151,045 | | 2,151,045 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Senior Loans |
| 2,151,045 | 11,064,036 | 13,215,081 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks |
||||||||||||||||
Chemicals |
| 4,691,612 | | 4,691,612 | ||||||||||||
Oil Field Services |
| | | (b) | | |||||||||||
Oil, Gas & Consumable Fuels |
102,417 | 676,509 | 100,378 | (b)(d) | 879,304 | |||||||||||
Specialty Retail |
| | | (b) | | |||||||||||
All Other Common Stocks* |
658,330,552 | | | 658,330,552 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
658,432,969 | 5,368,121 | 100,378 | 663,901,468 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Independent Energy |
| | | (b) | | |||||||||||
Midstream |
10,772,525 | | | (b) | 10,772,525 | |||||||||||
All Other Convertible Preferred Stocks* |
11,514,429 | | | 11,514,429 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
22,286,954 | | | 22,286,954 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
REITs - Office Property |
| 1,995,000 | | 1,995,000 | ||||||||||||
REITs - Warehouse/Industrials |
| 7,813,912 | | 7,813,912 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
1,049,453 | | | 1,049,453 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
1,049,453 | 9,808,912 | | 10,858,365 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
23,336,407 | 9,808,912 | | 33,145,319 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Closed-End Investment Companies |
1,791,367 | | | 1,791,367 | ||||||||||||
Warrants |
| 6,579,527 | | 6,579,527 | ||||||||||||
Short-Term Investments |
| 259,278,353 | | 259,278,353 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 685,779,259 | $ | 5,478,554,203 | $ | 31,439,196 | $ | 6,195,772,658 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices ($5,342,812) or fair valued by the Funds adviser using a broker-dealer bid price provided by a single market maker ($8,103,885). |
(b) | Includes a security fair valued at zero by the Funds adviser using Level 3 inputs. |
(c) | Valued using broker-dealer bid prices. |
(d) | Fair valued by the Funds adviser. |
The Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or June 30, 2020:
Asset Valuation Inputs
Investments in Securities |
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 June 30, 2020 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2020 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
$ | 23,351,916 | (a) | $ | | $ | 394 | $ | (17,761,090 | ) | $ | 1,335,879 | $ | (1,313,592 | ) | $ | 7,833,190 | $ | | $ | 13,446,697 | (a) | $ | (17,639,523 | ) | |||||||||||||||
Independent Energy |
3,593,400 | (a) | 233,933 | (10,511,986 | ) | 6,684,653 | | | | | | | ||||||||||||||||||||||||||||
Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Independent Energy |
| 149,945 | | (2,990,557 | ) | 803,888 | | 2,757,059 | | 720,335 | (2,990,557 | ) | ||||||||||||||||||||||||||||
Oil Field Services |
| 10,221 | | (3,107,471 | ) | 9,205,000 | | | | 6,107,750 | (3,107,471 | ) | ||||||||||||||||||||||||||||
Senior Loans |
||||||||||||||||||||||||||||||||||||||||
Construction Machinery |
| 689,097 | | (7,604,119 | ) | | | 17,979,058 | | 11,064,036 | (7,604,119 | ) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Oil Field Services |
| | | (17,677,239 | ) | 17,677,239 | | | | | (a) | (17,677,239 | ) | |||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
1,569 | (a) | | (3,020,844 | ) | (25,491,759 | ) | 27,930,147 | (35 | ) | 681,300 | | 100,378 | (a) | (28,508,621 | ) | ||||||||||||||||||||||||
Specialty Retail |
| (a) | | | | | | | | | (a) | | ||||||||||||||||||||||||||||
Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks |
|
|||||||||||||||||||||||||||||||||||||||
Independent Energy |
11,391,481 | | | (27,973,707 | ) | | | 16,582,226 | | | (a) | (27,973,707 | ) | |||||||||||||||||||||||||||
Midstream |
25,613,285 | | | (25,613,285 | ) | | | | | | (a) | (25,613,285 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 63,951,651 | $ | 1,083,196 | $ | (13,532,436 | ) | $ | (121,534,574 | ) | $ | 56,952,153 | $ | (1,313,627 | ) | $ | 45,832,833 | $ | | $ | 31,439,196 | $ | (131,114,522 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes a security fair valued at zero by the Funds adviser using Level 3 inputs. |
Debt securities valued at $10,590,249 were transferred from Level 2 to Level 3 during the period ended June 30, 2020. At September 30, 2019, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At June 30, 2020, these securities were 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 securities.
A debt security valued at $17,979,058 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At September 30, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At June 30, 2020, this security was valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the security.
A common stock valued at $681,300 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. 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 Funds valuation policies. At June 30, 2020, this security was valued at fair value as determined in good faith by the Funds adviser as an independent pricing service was unable to price the security.
A preferred stock valued at $7,427,418 was transferred from Level 1 to Level 3 during the period ended June 30, 2020. At September 30, 2019, this security was valued at the closing bid quotation in accordance with the Funds valuation policies. At June 30, 2020, this security was valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the security.
A preferred stock valued at $9,154,808 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. 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 Funds valuation policies. At June 30, 2020, this security was valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the security.
Industry Summary at June 30, 2020 (Unaudited)
Treasuries |
36.0 | % | ||
Banking |
5.9 | |||
Pharmaceuticals |
5.4 | |||
Healthcare |
4.7 | |||
Finance Companies |
4.7 | |||
Diversified Telecommunication Services |
3.8 | |||
Cable Satellite |
3.8 | |||
Technology |
2.7 | |||
Independent Energy |
2.5 | |||
Wirelines |
2.5 | |||
Automotive |
2.0 | |||
Other Investments, less than 2% each |
22.1 | |||
Short-Term Investments |
4.2 | |||
Closed-End Investment Companies |
0.0 | * | ||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
* | Less than 0.1% |
Currency Exposure Summary at June 30, 2020 (Unaudited)
United States Dollar |
80.9 | % | ||
Mexican Peso |
6.3 | |||
Canadian Dollar |
5.2 | |||
Australian Dollar |
3.3 | |||
Other, less than 2% each |
4.6 | |||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|