NPORT-EX 2 NPORT_IABL_6792396202.htm HTML

PORTFOLIO OF INVESTMENTS – as of March 31, 2021 (Unaudited)

Loomis Sayles High Income Fund

 

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – 85.0% of Net Assets

 

Non-Convertible Bonds – 78.8%

 

  

ABS Home Equity – 0.2%

 

$            135,615

   

DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A,

1-month LIBOR + 0.330%, 0.440%, 9/19/2045(a)

    $ 104,163  

100,000

   

VOLT XCVI LLC, Series 2021-NPL5, Class A2,

4.826%, 3/27/2051, 144A(b)

      99,763  
     

 

 

  
        203,926  
     

 

 

  
  

Aerospace & Defense – 4.3%

 

30,000

   

Boeing Co. (The),

3.250%, 2/01/2035

      29,074  

155,000

   

Boeing Co. (The),

3.375%, 6/15/2046(c)

      137,065  

45,000

   

Boeing Co. (The),

3.500%, 3/01/2039(c)

      43,212  

20,000

   

Boeing Co. (The),

3.550%, 3/01/2038

      19,341  

105,000

   

Boeing Co. (The),

3.625%, 3/01/2048(c)

      96,928  

30,000

   

Boeing Co. (The),

3.650%, 3/01/2047

      27,559  

60,000

   

Boeing Co. (The),

3.750%, 2/01/2050(c)

      57,305  

5,000

   

Boeing Co. (The),

3.825%, 3/01/2059

      4,652  

10,000

   

Boeing Co. (The),

3.850%, 11/01/2048

      9,650  

15,000

   

Boeing Co. (The),

3.900%, 5/01/2049

      14,554  

1,065,000

   

Boeing Co. (The),

5.150%, 5/01/2030(c)

      1,226,609  

10,000

   

Boeing Co. (The),

5.705%, 5/01/2040

      12,237  

630,000

   

Boeing Co. (The),

5.805%, 5/01/2050(c)

      793,139  

50,000

   

Boeing Co. (The),

5.930%, 5/01/2060(c)

      64,156  

260,000

   

Bombardier, Inc.,

6.000%, 10/15/2022, 144A

      260,000  

370,000

   

Bombardier, Inc.,

6.125%, 1/15/2023, 144A

      385,263  

95,000

   

Embraer Netherlands Finance BV,

5.050%, 6/15/2025

      98,576  

140,000

   

Embraer Netherlands Finance BV,

5.400%, 2/01/2027

      145,915  

263,000

   

Leonardo U.S. Holdings, Inc.,

6.250%, 1/15/2040, 144A(c)

      309,075  

60,000

   

Moog, Inc.,

4.250%, 12/15/2027, 144A

      61,200  

350,000

   

Spirit AeroSystems, Inc.,

4.600%, 6/15/2028

      343,000  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Aerospace & Defense – continued

 

$            190,000

   

Spirit AeroSystems, Inc.,

7.500%, 4/15/2025, 144A

    $ 204,383  

235,000

   

TransDigm, Inc.,

4.625%, 1/15/2029, 144A

      231,722  

100,000

   

TransDigm, Inc.,

5.500%, 11/15/2027

      103,513  

450,000

   

TransDigm, Inc.,

6.250%, 3/15/2026, 144A

      477,090  

69,000

   

Wolverine Escrow LLC,

9.000%, 11/15/2026, 144A

      68,934  
     

 

 

  
        5,224,152  
     

 

 

  
  

Airlines – 1.1%

 

30,000

   

American Airlines Group, Inc.,

5.000%, 6/01/2022, 144A

      29,475  

160,000

   

American Airlines, Inc.,

11.750%, 7/15/2025, 144A

      197,918  

225,000

   

American Airlines, Inc./AAdvantage Loyalty IP Ltd.,

5.500%, 4/20/2026, 144A

      234,155  

255,000

   

American Airlines, Inc./AAdvantage Loyalty IP Ltd.,

5.750%, 4/20/2029, 144A

      271,231  

200,000

   

Delta Air Lines, Inc.,

7.375%, 1/15/2026(c)

      233,859  

260,000

   

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyality Ltd.,

5.750%, 1/20/2026, 144A

      276,276  

70,000

   

United Airlines Pass Through Trust, Series 2020-1, Class B,

4.875%, 7/15/2027

      72,684  
     

 

 

  
        1,315,598  
     

 

 

  
  

Automotive – 2.0%

 

105,000

   

Clarios Global LP/Clarios U.S. Finance Co.,

8.500%, 5/15/2027, 144A

      113,006  

75,000

   

Dana Financing Luxembourg S.a.r.l.,

5.750%, 4/15/2025, 144A

      77,156  

1,510,000

   

Ford Motor Co.,

9.000%, 4/22/2025

      1,828,784  

105,000

   

Goodyear Tire & Rubber Co. (The),

4.875%, 3/15/2027

      108,019  

115,000

   

Goodyear Tire & Rubber Co. (The),

5.000%, 5/31/2026

      118,122  

40,000

   

Meritor, Inc.,

4.500%, 12/15/2028, 144A

      40,120  

100,000

   

PM General Purchaser LLC,

9.500%, 10/01/2028, 144A

      106,750  

65,000

   

Real Hero Merger Sub 2, Inc.,

6.250%, 2/01/2029, 144A

      67,113  

40,000

   

Tenneco, Inc.,

7.875%, 1/15/2029, 144A

      44,888  
     

 

 

  
        2,503,958  
     

 

 

  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Banking – 0.9%

 

$400,000

   

Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter),

4.875%, 12/01/2032

    $ 426,756  

265,000

   

Intesa Sanpaolo SpA,

5.710%, 1/15/2026, 144A

      297,009  

400,000

   

UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter),

5.459%, 6/30/2035, 144A(c)

      423,975  
     

 

 

  
        1,147,740  
     

 

 

  
  

Building Materials – 1.9%

 

20,000

   

Boise Cascade Co.,

4.875%, 7/01/2030, 144A

      20,950  

265,000

   

Builders FirstSource, Inc.,

5.000%, 3/01/2030, 144A

      277,866  

270,000

   

Cemex SAB de CV,

3.875%, 7/11/2031, 144A

      263,520  

285,000

   

Cemex SAB de CV,

5.200%, 9/17/2030, 144A

      308,230  

200,000

   

Cemex SAB de CV,

5.700%, 1/11/2025, 144A

      204,040  

125,000

   

Cornerstone Building Brands, Inc.,

6.125%, 1/15/2029, 144A

      133,125  

50,000

   

CP Atlas Buyer, Inc.,

7.000%, 12/01/2028, 144A

      52,553  

315,000

   

Foundation Building Materials, Inc.,

6.000%, 3/01/2029, 144A

      311,062  

240,000

   

James Hardie International Finance DAC,

5.000%, 1/15/2028, 144A(c)

      253,800  

55,000

   

LBM Acquisition LLC,

6.250%, 1/15/2029, 144A

      56,650  

195,000

   

Park River Holdings, Inc.,

5.625%, 2/01/2029, 144A

      188,906  

45,000

   

Summit Materials LLC/Summit Materials Finance Corp.,

5.250%, 1/15/2029, 144A

      46,969  

165,000

   

U.S. Concrete, Inc.,

5.125%, 3/01/2029, 144A

      169,950  

30,000

   

White Cap Buyer LLC,

6.875%, 10/15/2028, 144A

      31,851  
     

 

 

  
        2,319,472  
     

 

 

  
  

Cable Satellite – 3.9%

 

210,000

   

Altice Financing S.A.,

5.000%, 1/15/2028, 144A

      207,361  

80,000

   

Block Communications, Inc.,

4.875%, 3/01/2028, 144A

      81,481  

600,000

   

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.250%, 2/01/2031, 144A

      601,194  

835,000

   

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.750%, 3/01/2030, 144A

      865,269  

505,000

   

CCO Holdings LLC/CCO Holdings Capital Corp.,

5.375%, 6/01/2029, 144A

      541,612  

205,000

   

Connect Finco S.a.r.l./Connect U.S. Finco LLC,

6.750%, 10/01/2026, 144A

      218,272  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Cable Satellite – continued

 

$            420,000

   

CSC Holdings LLC,

4.625%, 12/01/2030, 144A

    $ 413,118  

150,000

   

DISH DBS Corp.,

7.375%, 7/01/2028

      157,358  

290,000

   

DISH DBS Corp.,

7.750%, 7/01/2026

      320,083  

235,000

   

Ligado Networks LLC,

15.500% PIK, 11/01/2023, 144A(d)

      235,070  

70,000

   

Ligado Networks LLC,

17.500% PIK, 5/01/2024, 144A(d)

      57,750  

185,000

   

Radiate Holdco LLC/Radiate Finance, Inc.,

6.500%, 9/15/2028, 144A

      195,351  

165,000

   

ViaSat, Inc.,

6.500%, 7/15/2028, 144A

      173,755  

225,000

   

Virgin Media Finance PLC,

5.000%, 7/15/2030, 144A

      224,719  

200,000

   

Ziggo BV,

4.875%, 1/15/2030, 144A

      204,616  

296,000

   

Ziggo BV,

5.500%, 1/15/2027, 144A

      308,210  
     

 

 

  
        4,805,219  
     

 

 

  
  

Chemicals – 0.8%

 

125,000

   

Chemours Co. (The),

5.375%, 5/15/2027

      132,500  

330,000

   

Hercules LLC,

6.500%, 6/30/2029

      352,961  

140,000

   

Hexion, Inc.,

7.875%, 7/15/2027, 144A

      150,535  

20,000

   

Methanex Corp.,

5.125%, 10/15/2027

      20,450  

20,000

   

Methanex Corp.,

5.250%, 12/15/2029

      20,629  

65,000

   

Methanex Corp.,

5.650%, 12/01/2044

      64,675  

185,000

   

Olin Corp.,

5.000%, 2/01/2030

      193,785  

65,000

   

Olin Corp.,

5.125%, 9/15/2027

      67,275  

5,000

   

Olin Corp.,

5.625%, 8/01/2029

      5,393  
     

 

 

  
        1,008,203  
     

 

 

  
  

Consumer Cyclical Services – 4.1%

 

95,000

   

ANGI Group LLC,

3.875%, 8/15/2028, 144A

      95,000  

35,000

   

Arches Buyer, Inc.,

6.125%, 12/01/2028, 144A

      36,050  

540,000

   

Prime Security Services Borrower LLC/Prime Finance, Inc.,

6.250%, 1/15/2028, 144A

      562,135  

10,000

   

QVC, Inc.,

4.450%, 2/15/2025

      10,525  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Consumer Cyclical Services – continued

 

$            10,000

   

QVC, Inc.,

4.850%, 4/01/2024

    $ 10,730  

330,000

   

Realogy Group LLC/Realogy Co-Issuer Corp.,

5.750%, 1/15/2029, 144A

      325,463  

185,000

   

Realogy Group LLC/Realogy Co-Issuer Corp.,

7.625%, 6/15/2025, 144A

      201,983  

80,000

   

Realogy Group LLC/Realogy Co-Issuer Corp.,

9.375%, 4/01/2027, 144A

      88,599  

240,000

   

ServiceMaster Co. LLC (The),

7.450%, 8/15/2027

      281,400  

200,000

   

Staples, Inc.,

7.500%, 4/15/2026, 144A

      210,950  

730,000

   

Uber Technologies, Inc.,

6.250%, 1/15/2028, 144A

      795,116  

725,000

   

Uber Technologies, Inc.,

7.500%, 9/15/2027, 144A

      800,821  

1,485,000

   

Uber Technologies, Inc.,

8.000%, 11/01/2026, 144A

      1,607,512  
     

 

 

  
        5,026,284  
     

 

 

  
  

Consumer Products – 0.4%

 

160,000

   

Energizer Holdings, Inc.,

4.375%, 3/31/2029, 144A

      160,560  

115,000

   

Mattel, Inc.,

5.875%, 12/15/2027, 144A

      126,249  

65,000

   

Newell Brands, Inc.,

4.875%, 6/01/2025

      71,744  

175,000

   

Prestige Brands, Inc.,

5.125%, 1/15/2028, 144A

      183,503  
     

 

 

  
        542,056  
     

 

 

  
  

Diversified Manufacturing – 0.4%

 

200,000

   

Vertical U.S. Newco, Inc.,

5.250%, 7/15/2027, 144A

      209,375  

215,000

   

WESCO Distribution, Inc.,

7.250%, 6/15/2028, 144A

      240,025  
     

 

 

  
        449,400  
     

 

 

  
  

Electric – 0.6%

 

510,000

   

Calpine Corp.,

5.125%, 3/15/2028, 144A

      512,371  

140,000

   

PG&E Corp.,

5.000%, 7/01/2028

      147,907  

25,000

   

PG&E Corp.,

5.250%, 7/01/2030

      26,500  

110,000

   

Talen Energy Supply LLC,

10.500%, 1/15/2026, 144A

      98,450  
     

 

 

  
        785,228  
     

 

 

  
  

Environmental – 0.1%

 

175,000

   

GFL Environmental, Inc.,

4.000%, 8/01/2028, 144A

      169,313  
     

 

 

  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Finance Companies – 3.0%

 

$            180,000

   

AerCap Ireland Capital DAC/AerCap Global Aviation Trust,

6.500%, 7/15/2025(c)

    $ 209,840  

260,000

   

Freedom Mortgage Corp.,

7.625%, 5/01/2026, 144A

      272,350  

655,000

   

Navient Corp.,

4.875%, 3/15/2028

      641,082  

170,000

   

Navient Corp.,

5.000%, 3/15/2027

      170,425  

400,000

   

Navient Corp.,

6.750%, 6/25/2025

      434,300  

320,000

   

OneMain Finance Corp.,

7.125%, 3/15/2026

      369,072  

170,000

   

Provident Funding Associates LP/PFG Finance Corp.,

6.375%, 6/15/2025, 144A

      169,585  

490,000

   

Quicken Loans LLC,

5.250%, 1/15/2028, 144A

      514,500  

380,000

   

Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,

3.625%, 3/01/2029, 144A

      365,750  

620,000

   

Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,

3.875%, 3/01/2031, 144A

      596,750  
     

 

 

  
        3,743,654  
     

 

 

  
  

Financial Other – 1.3%

 

175,000

   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

4.375%, 2/01/2029, 144A

      171,012  

1,030,000

   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

5.250%, 5/15/2027

      1,063,475  

225,000

   

Nationstar Mortgage Holdings, Inc.,

5.125%, 12/15/2030, 144A

      221,906  

120,000

   

Nationstar Mortgage Holdings, Inc.,

6.000%, 1/15/2027, 144A

      124,500  
     

 

 

  
        1,580,893  
     

 

 

  
  

Food & Beverage – 1.8%

 

45,000

   

Aramark Services, Inc.,

4.750%, 6/01/2026

      46,260  

65,000

   

Aramark Services, Inc.,

5.000%, 2/01/2028, 144A

      67,454  

230,000

   

Aramark Services, Inc.,

6.375%, 5/01/2025, 144A

      243,800  

324,000

   

Kraft Heinz Foods Co.,

3.000%, 6/01/2026

      340,960  

325,000

   

MARB BondCo. PLC,

3.950%, 1/29/2031, 144A

      308,994  

120,000

   

Performance Food Group, Inc.,

5.500%, 10/15/2027, 144A

      125,491  

270,000

   

Pilgrim’s Pride Corp.,

5.875%, 9/30/2027, 144A

      289,359  

110,000

   

Post Holdings, Inc.,

5.500%, 12/15/2029, 144A

      117,788  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Food & Beverage – continued

 

$            140,000

   

Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food,Inc./Simmons Feed,

4.625%, 3/01/2029, 144A

    $ 141,228  

120,000

   

TreeHouse Foods, Inc.,

4.000%, 9/01/2028

      120,848  

140,000

   

Triton Water Holdings, Inc.,

6.250%, 4/01/2029, 144A

      142,800  

205,000

   

US Foods, Inc.,

4.750%, 2/15/2029, 144A

      205,000  
     

 

 

  
        2,149,982  
     

 

 

  
  

Gaming – 3.8%

 

375,000

   

Boyd Gaming Corp.,

4.750%, 12/01/2027

      382,211  

220,000

   

Caesars Entertainment, Inc.,

6.250%, 7/01/2025, 144A

      234,523  

435,000

   

Caesars Entertainment, Inc.,

8.125%, 7/01/2027, 144A

      479,694  

295,000

   

Caesars Resort Collection LLC/CRC Finco, Inc.,

5.250%, 10/15/2025, 144A

      296,087  

100,000

   

Caesars Resort Collection LLC/CRC Finco, Inc.,

5.750%, 7/01/2025, 144A

      105,530  

200,000

   

International Game Technology PLC,

4.125%, 4/15/2026, 144A

      205,516  

220,000

   

International Game Technology PLC,

5.250%, 1/15/2029, 144A

      229,460  

200,000

   

MGM China Holdings Ltd.,

4.750%, 2/01/2027, 144A

      202,750  

205,000

   

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,

4.500%, 1/15/2028

      212,114  

255,000

   

MGM Resorts International,

5.500%, 4/15/2027

      274,125  

65,000

   

Playtika Holding Corp.,

4.250%, 3/15/2029, 144A

      64,038  

410,000

   

Scientific Games International, Inc.,

7.000%, 5/15/2028, 144A

      438,130  

280,000

   

Scientific Games International, Inc.,

7.250%, 11/15/2029, 144A

      303,800  

200,000

   

Studio City Finance Ltd.,

5.000%, 1/15/2029, 144A

      200,740  

230,000

   

Studio City Finance Ltd.,

6.500%, 1/15/2028, 144A

      246,100  

370,000

   

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,

5.500%, 3/01/2025, 144A

      390,905  

250,000

   

Wynn Macau Ltd.,

5.125%, 12/15/2029, 144A

      256,250  

165,000

   

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.,

5.125%, 10/01/2029, 144A

      168,878  
     

 

 

  
        4,690,851  
     

 

 

  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Government Owned - No Guarantee – 0.4%

 

$            340,000

   

Petroleos Mexicanos,

5.950%, 1/28/2031(c)

    $ 326,400  

280,000

   

YPF S.A.,

6.950%, 7/21/2027, 144A

      169,750  
     

 

 

  
        496,150  
     

 

 

  
  

Healthcare – 4.7%

 

185,000

   

CHS/Community Health Systems, Inc.,

6.000%, 1/15/2029, 144A

      195,637  

435,000

   

CHS/Community Health Systems, Inc.,

5.625%, 3/15/2027, 144A

      455,662  

195,000

   

CHS/Community Health Systems, Inc.,

6.875%, 4/15/2029, 144A

      204,140  

235,000

   

CHS/Community Health Systems, Inc.,

8.000%, 3/15/2026, 144A

      254,105  

95,000

   

CHS/Community Health Systems, Inc.,

8.125%, 6/30/2024, 144A

      99,660  

240,000

   

DaVita, Inc.,

3.750%, 2/15/2031, 144A

      228,895  

155,000

   

Encompass Health Corp.,

4.500%, 2/01/2028

      158,739  

300,000

   

Encompass Health Corp.,

4.750%, 2/01/2030

      308,610  

525,000

   

HCA, Inc.,

5.375%, 9/01/2026

      593,092  

60,000

   

HCA, Inc.,

5.875%, 2/15/2026

      68,775  

160,000

   

HCA, Inc.,

7.050%, 12/01/2027

      192,400  

145,000

   

HCA, Inc.,

7.500%, 11/06/2033

      193,268  

515,000

   

HCA, Inc., MTN,

7.750%, 7/15/2036

      677,225  

270,000

   

LifePoint Health, Inc.,

5.375%, 1/15/2029, 144A

      265,950  

40,000

   

ModivCare, Inc.,

5.875%, 11/15/2025, 144A

      42,100  

230,000

   

MPH Acquisition Holdings LLC,

5.750%, 11/01/2028, 144A

      224,250  

75,000

   

RP Escrow Issuer LLC,

5.250%, 12/15/2025, 144A

      77,719  

75,000

   

Select Medical Corp.,

6.250%, 8/15/2026, 144A

      79,707  

100,000

   

Surgery Center Holdings, Inc.,

6.750%, 7/01/2025, 144A

      102,220  

100,000

   

Tenet Healthcare Corp.,

4.625%, 6/15/2028, 144A

      102,498  

685,000

   

Tenet Healthcare Corp.,

6.125%, 10/01/2028, 144A

      714,969  

355,000

   

Tenet Healthcare Corp.,

6.250%, 2/01/2027, 144A

      374,832  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Healthcare – continued

 

$            95,000

   

U.S. Acute Care Solutions LLC,

6.375%, 3/01/2026, 144A

    $ 98,563  
     

 

 

  
        5,713,016  
     

 

 

  
  

Home Construction – 1.1%

 

215,000

   

Brookfield Residential Properties, Inc./Brookfield Residential U.S Corp.,

4.875%, 2/15/2030, 144A

      215,145  

75,000

   

Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.,

6.250%, 9/15/2027, 144A

      78,281  

1,200,000

   

Corporacion GEO SAB de CV,

8.875%, 3/27/2022, 144A(e)(f)(g)

      —    

100,000

   

Empire Communities Corp.,

7.000%, 12/15/2025, 144A

      105,375  

230,000

   

KB Home,

4.800%, 11/15/2029

      240,925  

165,000

   

Mattamy Group Corp.,

4.625%, 3/01/2030, 144A

      164,027  

195,000

   

Taylor Morrison Communities, Inc.,

5.125%, 8/01/2030, 144A

      207,187  

185,000

   

Taylor Morrison Communities, Inc.,

5.750%, 1/15/2028, 144A

      203,787  

90,000

   

Tri Pointe Homes, Inc.,

5.700%, 6/15/2028

      99,469  
     

 

 

  
        1,314,196  
     

 

 

  
  

Independent Energy – 6.4%

 

210,000

   

Antero Resources Corp.,

7.625%, 2/01/2029, 144A

      223,650  

35,000

   

Antero Resources Corp.,

8.375%, 7/15/2026, 144A

      38,588  

190,000

   

Apache Corp.,

4.250%, 1/15/2030

      185,069  

105,000

   

Apache Corp.,

4.250%, 1/15/2044

      94,499  

115,000

   

Ascent Resources Utica Holdings LLC/ARU Finance Corp.,

7.000%, 11/01/2026, 144A

      114,928  

155,000

   

Baytex Energy Corp.,

8.750%, 4/01/2027, 144A

      140,662  

45,000

   

California Resources Corp.,

7.125%, 2/01/2026, 144A

      45,797  

195,000

   

Centennial Resource Production LLC,

8.000%, 6/01/2025, 144A

      198,900  

45,000

   

Chesapeake Energy Corp.,

5.500%, 2/01/2026, 144A

      46,840  

105,000

   

Comstock Resources, Inc.,

6.750%, 3/01/2029, 144A

      107,625  

185,000

   

Continental Resources, Inc.,

3.800%, 6/01/2024(c)

      189,625  

30,000

   

Continental Resources, Inc.,

4.375%, 1/15/2028

      31,545  

160,000

   

Continental Resources, Inc.,

4.900%, 6/01/2044(c)

      160,003  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Independent Energy – continued

 

$            50,000

   

Continental Resources, Inc.,

5.750%, 1/15/2031, 144A(c)

    $ 56,493  

30,000

   

Endeavor Energy Resources LP/EER Finance, Inc.,

5.500%, 1/30/2026, 144A

      31,134  

50,000

   

Endeavor Energy Resources LP/EER Finance, Inc.,

6.625%, 7/15/2025, 144A

      53,437  

165,000

   

Energean Israel Finance Ltd.,

4.875%, 3/30/2026, 144A

      166,168  

85,000

   

Energean Israel Finance Ltd.,

5.375%, 3/30/2028, 144A

      86,243  

5,000

   

EQT Corp.,

5.000%, 1/15/2029

      5,350  

55,000

   

EQT Corp.,

7.625%, 2/01/2025

      63,299  

225,000

   

EQT Corp.,

8.500%, 2/01/2030

      286,942  

70,000

   

Hilcorp Energy I LP/Hilcorp Finance Co.,

5.750%, 2/01/2029, 144A

      70,612  

65,000

   

Hilcorp Energy I LP/Hilcorp Finance Co.,

6.000%, 2/01/2031, 144A

      65,975  

205,000

   

Indigo Natural Resources LLC,

5.375%, 2/01/2029, 144A

      201,968  

85,000

   

Leviathan Bond Ltd.,

6.125%, 6/30/2025, 144A

      92,855  

125,000

   

Leviathan Bond Ltd.,

6.500%, 6/30/2027, 144A

      136,817  

115,000

   

Matador Resources Co.,

5.875%, 9/15/2026

      111,981  

125,000

   

MEG Energy Corp.,

5.875%, 2/01/2029, 144A

      125,312  

130,000

   

MEG Energy Corp.,

7.125%, 2/01/2027, 144A

      136,175  

85,000

   

Murphy Oil Corp.,

6.375%, 7/15/2028

      85,062  

130,000

   

Murphy Oil Corp.,

6.375%, 12/01/2042

      118,300  

140,000

   

Murphy Oil Corp.,

6.875%, 8/15/2024

      143,150  

130,000

   

Northern Oil and Gas, Inc.,

8.125%, 3/01/2028, 144A

      129,252  

590,000

   

Occidental Petroleum Corp.,

2.900%, 8/15/2024

      583,534  

40,000

   

Occidental Petroleum Corp.,

3.000%, 2/15/2027

      37,638  

20,000

   

Occidental Petroleum Corp.,

3.400%, 4/15/2026

      19,420  

620,000

   

Occidental Petroleum Corp.,

3.500%, 6/15/2025

      613,800  

155,000

   

Occidental Petroleum Corp.,

3.500%, 8/15/2029

      145,436  

50,000

   

Occidental Petroleum Corp.,

4.100%, 2/15/2047

      40,064  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Independent Energy – continued

 

$            60,000

   

Occidental Petroleum Corp.,

4.200%, 3/15/2048

    $ 48,756  

145,000

   

Occidental Petroleum Corp.,

5.550%, 3/15/2026

      153,352  

225,000

   

Occidental Petroleum Corp.,

5.875%, 9/01/2025

      240,480  

85,000

   

Occidental Petroleum Corp.,

7.500%, 5/01/2031

      99,246  

40,000

   

Occidental Petroleum Corp.,

7.875%, 9/15/2031

      47,051  

110,000

   

Occidental Petroleum Corp.,

8.500%, 7/15/2027

      130,350  

215,000

   

Occidental Petroleum Corp.,

8.875%, 7/15/2030

      271,115  

190,000

   

Ovintiv, Inc.,

6.500%, 8/15/2034(c)

      230,027  

30,000

   

Ovintiv, Inc.,

6.625%, 8/15/2037(c)

      36,077  

85,000

   

Ovintiv, Inc.,

7.200%, 11/01/2031(c)

      106,404  

35,000

   

Ovintiv, Inc.,

7.375%, 11/01/2031(c)

      44,520  

135,000

   

Range Resources Corp.,

9.250%, 2/01/2026

      146,680  

38,000

   

Range Resources Corp.,

5.000%, 3/15/2023

      38,618  

85,000

   

Range Resources Corp.,

8.250%, 1/15/2029, 144A

      90,950  

270,000

   

Seven Generations Energy Ltd.,

5.375%, 9/30/2025, 144A

      279,909  

171,000

   

SM Energy Co.,

10.000%, 1/15/2025, 144A

      192,219  

200,000

   

Southwestern Energy Co.,

6.450%, 1/23/2025

      214,685  

30,000

   

Southwestern Energy Co.,

7.500%, 4/01/2026

      31,741  

20,000

   

Southwestern Energy Co.,

7.750%, 10/01/2027

      21,375  

120,000

   

Vine Energy Holdings LLC,

6.750%, 4/15/2029, 144A

      120,000  

115,000

   

Vine Oil & Gas LP/Vine Oil & Gas Finance Corp.,

9.750%, 4/15/2023, 144A

      123,194  
     

 

 

  
        7,850,897  
     

 

 

  
   Industrial Other – 0.3%

 

125,000

   

Brundage-Bone Concrete Pumping Holdings, Inc.,

6.000%, 2/01/2026, 144A

      130,312  

65,000

   

Hillenbrand, Inc.,

5.750%, 6/15/2025

      69,388  

130,000

   

Installed Building Products, Inc.,

5.750%, 2/01/2028, 144A

      135,850  
     

 

 

  
        335,550  
     

 

 

  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Leisure – 2.3%

 

$            65,000

   

AMC Entertainment Holdings, Inc.,

10.500%, 4/15/2025, 144A

    $ 69,063  

345,000

   

Carnival Corp.,

5.750%, 3/01/2027, 144A

      354,056  

150,000

   

Carnival Corp.,

7.625%, 3/01/2026, 144A

      161,145  

135,000

   

Carnival Corp.,

9.875%, 8/01/2027, 144A

      158,948  

145,000

   

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.,

6.500%, 10/01/2028, 144A

      155,875  

110,000

   

Live Nation Entertainment, Inc.,

3.750%, 1/15/2028, 144A

      108,487  

220,000

   

Live Nation Entertainment, Inc.,

4.750%, 10/15/2027, 144A

      221,650  

335,000

   

NCL Corp. Ltd.,

5.875%, 3/15/2026, 144A

      338,350  

70,000

   

NCL Finance Ltd.,

6.125%, 3/15/2028, 144A

      71,313  

95,000

   

Royal Caribbean Cruises Ltd.,

3.700%, 3/15/2028

      87,560  

400,000

   

Royal Caribbean Cruises Ltd.,

5.500%, 4/01/2028, 144A

      402,000  

175,000

   

Royal Caribbean Cruises Ltd.,

11.500%, 6/01/2025, 144A

      204,094  

75,000

   

Six Flags Entertainment Corp.,

4.875%, 7/31/2024, 144A

      75,721  

180,000

   

Speedway Motorsports LLC/Speedway Funding II, Inc.,

4.875%, 11/01/2027, 144A

      180,000  

255,000

   

Viking Ocean Cruises Ship VII Ltd.,

5.625%, 2/15/2029, 144A

      257,626  
     

 

 

  
        2,845,888  
     

 

 

  
  

Lodging – 1.4%

 

605,000

   

Marriott Ownership Resorts, Inc.,

4.750%, 1/15/2028

      611,050  

10,000

   

Marriott Ownership Resorts, Inc.,

6.125%, 9/15/2025, 144A

      10,621  

130,000

   

Marriott Ownership Resorts, Inc./ILG LLC,

6.500%, 9/15/2026

      135,769  

20,000

   

Travel & Leisure Co.,

3.900%, 3/01/2023

      20,621  

620,000

   

Travel & Leisure Co.,

4.625%, 3/01/2030, 144A

      642,667  

15,000

   

Travel & Leisure Co.,

6.000%, 4/01/2027

      16,613  

250,000

   

Travel & Leisure Co.,

6.625%, 7/31/2026, 144A

      283,837  
     

 

 

  
        1,721,178  
     

 

 

  
  

Media Entertainment – 4.2%

 

305,000

   

AMC Networks, Inc.,

4.250%, 2/15/2029

      296,612  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Media Entertainment – continued

 

$            95,000

   

Clear Channel Outdoor Holdings, Inc.,

7.750%, 4/15/2028, 144A

    $ 93,955  

81,000

   

Clear Channel Worldwide Holdings, Inc.,

9.250%, 2/15/2024

      84,264  

255,000

   

Diamond Sports Group LLC/Diamond Sports Finance Co.,

5.375%, 8/15/2026, 144A

      183,600  

180,000

   

Diamond Sports Group LLC/Diamond Sports Finance Co.,

6.625%, 8/15/2027, 144A

      93,600  

145,000

   

Entercom Media Corp.,

6.750%, 3/31/2029, 144A

      150,575  

265,000

   

Gray Television, Inc.,

4.750%, 10/15/2030, 144A

      262,681  

260,000

   

iHeartCommunications, Inc.,

4.750%, 1/15/2028, 144A

      261,950  

1,166,125

   

iHeartCommunications, Inc.,

8.375%, 5/01/2027

      1,250,669  

160,000

   

Lamar Media Corp.,

3.750%, 2/15/2028

      159,800  

175,000

   

Lions Gate Capital Holdings LLC,

5.500%, 4/15/2029, 144A

      175,019  

189,000

   

Meredith Corp.,

6.875%, 2/01/2026

      194,372  

745,000

   

Netflix, Inc.,

4.875%, 6/15/2030, 144A

      857,897  

5,000

   

Netflix, Inc.,

5.375%, 11/15/2029, 144A

      5,913  

45,000

   

Netflix, Inc.,

5.875%, 11/15/2028

      54,431  

60,000

   

Netflix, Inc.,

6.375%, 5/15/2029

      74,400  

105,000

   

Nexstar Broadcasting, Inc.,

5.625%, 7/15/2027, 144A

      110,053  

190,000

   

Nielsen Finance LLC/Nielsen Finance Co.,

5.625%, 10/01/2028, 144A

      199,737  

180,000

   

Nielsen Finance LLC/Nielsen Finance Co.,

5.875%, 10/01/2030, 144A

      195,041  

120,000

   

Outfront Media Capital LLC/Outfront Media Capital Corp.,

4.625%, 3/15/2030, 144A

      115,500  

35,000

   

Outfront Media Capital LLC/Outfront Media Capital Corp.,

6.250%, 6/15/2025, 144A

      37,013  

170,000

   

Terrier Media Buyer, Inc.,

8.875%, 12/15/2027, 144A

      182,929  

45,000

   

Townsquare Media, Inc.,

6.875%, 2/01/2026, 144A

      47,925  

100,000

   

Univision Communications, Inc.,

6.625%, 6/01/2027, 144A

      106,793  
     

 

 

  
        5,194,729  
     

 

 

  
  

Metals & Mining – 4.5%

 

405,000

   

ABJA Investment Co. Pte Ltd.,

5.450%, 1/24/2028

      417,559  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Metals & Mining – continued

 

$            210,000

   

Alcoa Nederland Holding BV,

5.500%, 12/15/2027, 144A

    $ 226,044  

60,000

   

Allegheny Technologies, Inc.,

5.875%, 12/01/2027

      62,100  

25,000

   

Carpenter Technology Corp.,

6.375%, 7/15/2028

      26,872  

220,000

   

Cleveland-Cliffs, Inc.,

4.625%, 3/01/2029, 144A

      219,626  

180,000

   

Cleveland-Cliffs, Inc.,

4.875%, 3/01/2031, 144A

      179,550  

139,000

   

Cleveland-Cliffs, Inc.,

9.875%, 10/17/2025, 144A

      162,846  

265,000

   

First Quantum Minerals Ltd.,

6.500%, 3/01/2024, 144A

      268,975  

845,000

   

First Quantum Minerals Ltd.,

6.875%, 3/01/2026, 144A

      874,575  

455,000

   

First Quantum Minerals Ltd.,

6.875%, 10/15/2027, 144A

      487,988  

210,000

   

First Quantum Minerals Ltd.,

7.500%, 4/01/2025, 144A

      216,825  

190,000

   

Freeport-McMoRan, Inc.,

4.125%, 3/01/2028

      199,728  

340,000

   

Freeport-McMoRan, Inc.,

4.250%, 3/01/2030

      362,100  

20,000

   

Freeport-McMoRan, Inc.,

5.400%, 11/14/2034

      23,810  

60,000

   

GrafTech Finance, Inc.,

4.625%, 12/15/2028, 144A

      60,450  

175,000

   

Hudbay Minerals, Inc.,

4.500%, 4/01/2026, 144A

      181,879  

865,000

   

Mineral Resources Ltd.,

8.125%, 5/01/2027, 144A

      956,266  

320,000

   

Novelis Corp.,

4.750%, 1/30/2030, 144A

      329,824  

125,000

   

United States Steel Corp.,

6.250%, 3/15/2026

      126,302  

75,000

   

United States Steel Corp.,

6.875%, 8/15/2025

      76,485  

20,000

   

United States Steel Corp.,

6.875%, 3/01/2029

      20,450  

40,000

   

Volcan Cia Minera SAA,

4.375%, 2/11/2026, 144A

      40,997  
     

 

 

  
        5,521,251  
     

 

 

  
  

Midstream – 4.2%

 

250,000

   

Blue Racer Midstream LLC/Blue Racer Finance Corp.,

7.625%, 12/15/2025, 144A

      269,430  

80,000

   

Buckeye Partners LP,

5.600%, 10/15/2044

      77,160  

55,000

   

Buckeye Partners LP,

5.850%, 11/15/2043

      53,425  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Midstream – continued

 

$            115,000

   

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.,

6.000%, 2/01/2029, 144A

    $ 113,275  

40,000

   

DCP Midstream Operating LP,

5.125%, 5/15/2029

      42,538  

230,000

   

DCP Midstream Operating LP,

5.625%, 7/15/2027

      249,601  

420,000

   

EnLink Midstream Partners LP,

5.600%, 4/01/2044

      348,600  

85,000

   

EQM Midstream Partners LP,

4.500%, 1/15/2029, 144A

      82,829  

145,000

   

EQM Midstream Partners LP,

4.750%, 1/15/2031, 144A

      140,650  

110,000

   

EQM Midstream Partners LP,

6.000%, 7/01/2025, 144A

      118,388  

200,000

   

EQM Midstream Partners LP,

6.500%, 7/01/2027, 144A

      217,450  

80,000

   

EQM Midstream Partners LP, Series 10Y,

5.500%, 7/15/2028

      83,979  

115,000

   

Ferrellgas Escrow LLC/FG Operating Finance Escrow Corp.,

5.375%, 4/01/2026, 144A

      114,230  

225,000

   

Genesis Energy LP/Genesis Energy Finance Corp.,

7.750%, 2/01/2028

      225,067  

120,000

   

Harvest Midstream I LP,

7.500%, 9/01/2028, 144A

      128,964  

665,000

   

Hess Midstream Operations LP,

5.625%, 2/15/2026, 144A

      684,950  

220,000

   

New Fortress Energy, Inc.,

6.500%, 9/30/2026, 144A

      221,650  

355,000

   

New Fortress Energy, Inc.,

6.750%, 9/15/2025, 144A

      364,727  

105,000

   

NGL Energy Partners LP/NGL Energy Finance Corp.,

6.125%, 3/01/2025

      89,250  

145,000

   

NuStar Logistics LP,

5.750%, 10/01/2025

      155,225  

130,000

   

Sunoco LP/Sunoco Finance Corp.,

4.500%, 5/15/2029, 144A

      129,513  

3,000

   

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,

5.500%, 9/15/2024, 144A

      3,045  

5,000

   

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,

5.500%, 1/15/2028, 144A

      4,883  

245,000

   

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,

6.000%, 3/01/2027, 144A

      247,450  

255,000

   

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,

5.500%, 3/01/2030

      267,750  

95,000

   

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,

4.250%, 11/15/2023

      95,380  

155,000

   

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,

4.875%, 2/01/2031, 144A

      157,054  

200,000

   

Western Midstream Operating LP,

5.300%, 2/01/2030

      217,176  

110,000

   

Western Midstream Operating LP,

5.450%, 4/01/2044

      112,805  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Midstream – continued

 

$            105,000

   

Western Midstream Operating LP,

6.500%, 2/01/2050

    $ 113,531  
     

 

 

  
        5,129,975  
     

 

 

  
  

Non-Agency Commercial Mortgage-Backed Securities – 1.3%

 

99,717

   

CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1,

1-month LIBOR + 3.500%, 3.606%, 11/15/2031, 144A(a)(h)(i)

      70,271  

224,363

   

CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2,

1-month LIBOR + 4.500%, 4.606%, 11/15/2031, 144A(a)(h)(i)

      142,205  

1,020,000

   

Credit Suisse Mortgage Trust, Series 2014-USA, Class E,

4.373%, 9/15/2037, 144A

      842,929  

45,000

   

GS Mortgage Securities Trust, Series 2011-GC5, Class C,

5.406%, 8/10/2044, 144A(b)

      37,783  

100,000

   

MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C,

4.284%, 10/15/2030, 144A(b)(c)

      71,800  

380,000

   

Starwood Retail Property Trust, Series 2014-STAR, Class D,

1-month LIBOR + 3.500%, 3.606%, 11/15/2027, 144A(a)(f)(g)(h)

      91,363  

420,000

   

Starwood Retail Property Trust, Series 2014-STAR, Class E,

1-month LIBOR + 4.400%, 4.506%, 11/15/2027, 144A(a)(f)(g)(h)

      36,652  

60,000

   

Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C,

4.229%, 11/15/2059(b)(c)

      50,073  

100,000

   

Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C,

4.458%, 8/15/2050

      69,008  

130,000

   

WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D,

5.849%, 3/15/2044, 144A(b)

      70,036  

80,000

   

WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C,

4.362%, 12/15/2045(b)(c)

      71,331  

125,000

   

WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E,

4.808%, 6/15/2045, 144A(b)(h)(i)

      63,732  
     

 

 

  
        1,617,183  
     

 

 

  
  

Oil Field Services – 0.6%

 

61,000

   

Nabors Industries, Inc.,

9.000%, 2/01/2025, 144A

      62,473  

315,000

   

Shelf Drilling Holdings Ltd.,

8.250%, 2/15/2025, 144A

      229,950  

55,000

   

Solaris Midstream Holdings LLC,

7.625%, 4/01/2026, 144A

      56,237  

174,000

   

Transocean Pontus Ltd.,

6.125%, 8/01/2025, 144A

      164,430  

135,000

   

Transocean Poseidon Ltd.,

6.875%, 2/01/2027, 144A

      124,782  

57,000

   

Transocean Proteus Ltd.,

6.250%, 12/01/2024, 144A

      54,150  
     

 

 

  
        692,022  
     

 

 

  
  

Packaging – 1.3%

 

570,000

   

ARD Finance S.A.,

7.250% PIK or 6.500% Cash, 6/30/2027, 144A(j)

      598,500  

500,000

   

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,

5.250%, 8/15/2027, 144A

      510,040  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Packaging – continued

 

$            75,000

   

Graham Packaging Co., Inc.,

7.125%, 8/15/2028, 144A

    $ 79,781  

80,000

   

Intelligent Packaging Ltd Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC,

6.000%, 9/15/2028, 144A

      82,600  

290,000

   

Mauser Packaging Solutions Holding Co.,

7.250%, 4/15/2025, 144A

      290,000  
     

 

 

  
        1,560,921  
     

 

 

  
  

Pharmaceuticals – 3.2%

 

725,000

   

Bausch Health Cos., Inc.,

5.250%, 1/30/2030, 144A

      728,770  

430,000

   

Bausch Health Cos., Inc.,

5.250%, 2/15/2031, 144A

      427,945  

200,000

   

Cheplapharm Arzneimittel GmbH,

5.500%, 1/15/2028, 144A

      207,588  

260,000

   

Endo Dac/Endo Finance LLC/Endo Finco, Inc.,

6.000%, 6/30/2028, 144A

      210,600  

70,000

   

Endo Luxembourg Finance Co. I.S.a.r.l/Endo U.S., Inc.,

6.125%, 4/01/2029, 144A

      70,612  

170,000

   

Jaguar Holding Co. II/PPD Development LP,

5.000%, 6/15/2028, 144A

      177,055  

107,000

   

Par Pharmaceutical, Inc.,

7.500%, 4/01/2027, 144A

      113,490  

325,000

   

Teva Pharmaceutical Finance Co. LLC,

6.150%, 2/01/2036

      350,252  

40,000

   

Teva Pharmaceutical Finance Netherlands III BV,

3.150%, 10/01/2026

      38,250  

1,845,000

   

Teva Pharmaceutical Finance Netherlands III BV,

4.100%, 10/01/2046

      1,620,002  
     

 

 

  
        3,944,564  
     

 

 

  
  

Property & Casualty Insurance – 0.3%

 

80,000

   

AmWINS Group, Inc.,

7.750%, 7/01/2026, 144A

      85,600  

212,820

   

Ardonagh Midco 2 PLC,

12.750% PIK or 11.500% Cash, 1/15/2027, 144A(k)

      227,717  

105,000

   

AssuredPartners, Inc.,

5.625%, 1/15/2029, 144A

      106,995  
     

 

 

  
        420,312  
     

 

 

  
  

Refining – 0.5%

 

50,000

   

CVR Energy, Inc.,

5.250%, 2/15/2025, 144A

      48,850  

395,000

   

Parkland Corp.,

5.875%, 7/15/2027, 144A

      421,168  

65,000

   

PBF Holding Co. LLC/PBF Finance Corp.,

6.000%, 2/15/2028

      48,019  

80,000

   

PBF Holding Co. LLC/PBF Finance Corp.,

9.250%, 5/15/2025, 144A

      81,676  
     

 

 

  
        599,713  
     

 

 

  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

REITs - Hotels – 0.3%

 

$            240,000

   

Service Properties Trust,

4.750%, 10/01/2026

    $ 234,000  

135,000

   

Service Properties Trust,

7.500%, 9/15/2025

      153,417  
     

 

 

  
        387,417  
     

 

 

  
  

REITs - Mortgage – 0.2%

 

45,000

   

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

4.250%, 2/01/2027, 144A

      44,325  

215,000

   

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

5.250%, 10/01/2025, 144A

      215,000  
     

 

 

  
        259,325  
     

 

 

  
  

REITs - Regional Malls – 0.1%

 

175,000

   

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC,

5.750%, 5/15/2026, 144A

      180,163  
     

 

 

  
  

Restaurants – 0.7%

 

540,000

   

1011778 BC ULC/New Red Finance, Inc.,

4.000%, 10/15/2030, 144A

      521,100  

350,000

   

Yum! Brands, Inc.,

3.625%, 3/15/2031

      336,437  
     

 

 

  
        857,537  
     

 

 

  
  

Retailers – 2.2%

 

75,000

   

Asbury Automotive Group, Inc.,

4.500%, 3/01/2028

      76,718  

83,000

   

Asbury Automotive Group, Inc.,

4.750%, 3/01/2030

      85,739  

400,000

   

Carvana Co.,

5.500%, 4/15/2027, 144A

      402,100  

440,000

   

Carvana Co.,

5.625%, 10/01/2025, 144A

      451,678  

220,000

   

Carvana Co.,

5.875%, 10/01/2028, 144A

      227,003  

145,000

   

Crocs, Inc.,

4.250%, 3/15/2029, 144A

      141,378  

35,000

   

Group 1 Automotive, Inc.,

4.000%, 8/15/2028, 144A

      34,781  

50,000

   

Ken Garff Automotive LLC,

4.875%, 9/15/2028, 144A

      49,950  

140,000

   

L Brands, Inc.,

5.250%, 2/01/2028

      150,150  

75,000

   

L Brands, Inc.,

6.625%, 10/01/2030, 144A

      85,635  

105,000

   

L Brands, Inc.,

6.750%, 7/01/2036

      123,900  

55,000

   

L Brands, Inc.,

6.875%, 11/01/2035

      65,548  

90,000

   

Lithia Motors, Inc.,

4.375%, 1/15/2031, 144A

      93,415  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Retailers – continued

 

$            115,000

   

NMG Holding Co., Inc./Neiman Marcus Group LLC,

7.125%, 4/01/2026, 144A

    $ 117,300  

110,000

   

Nordstrom, Inc.,

4.375%, 4/01/2030

      112,611  

250,000

   

PetSmart, Inc./PetSmart Finance Corp.,

4.750%, 2/15/2028, 144A

      255,678  

250,000

   

PetSmart, Inc./PetSmart Finance Corp.,

7.750%, 2/15/2029, 144A

      270,612  
     

 

 

  
        2,744,196  
     

 

 

  
  

Technology – 4.7%

 

110,000

   

BY Crown Parent LLC/BY Bond Finance, Inc.,

4.250%, 1/31/2026, 144A

      114,227  

145,000

   

Camelot Finance S.A.,

4.500%, 11/01/2026, 144A

      149,918  

1,005,000

   

CommScope Technologies LLC,

5.000%, 3/15/2027, 144A

      995,583  

86,000

   

CommScope Technologies LLC,

6.000%, 6/15/2025, 144A

      87,724  

405,000

   

CommScope, Inc.,

7.125%, 7/01/2028, 144A

      430,143  

360,000

   

Endure Digital, Inc.,

6.000%, 2/15/2029, 144A

      351,864  

465,000

   

Iron Mountain, Inc.,

4.875%, 9/15/2029, 144A

      470,789  

80,000

   

J2 Global, Inc.,

4.625%, 10/15/2030, 144A

      80,800  

95,000

   

LogMeIn, Inc.,

5.500%, 9/01/2027, 144A

      99,454  

60,000

   

NCR Corp.,

5.000%, 10/01/2028, 144A

      60,600  

70,000

   

NCR Corp.,

5.250%, 10/01/2030, 144A

      70,884  

50,000

   

NCR Corp.,

8.125%, 4/15/2025, 144A

      54,750  

260,000

   

Open Text Holdings, Inc.,

4.125%, 2/15/2030, 144A

      263,559  

175,000

   

Pitney Bowes, Inc.,

6.875%, 3/15/2027, 144A

      173,469  

110,000

   

Presidio Holdings, Inc.,

4.875%, 2/01/2027, 144A

      112,752  

110,000

   

Presidio Holdings, Inc.,

8.250%, 2/01/2028, 144A

      119,625  

90,000

   

Rackspace Technology Global, Inc.,

5.375%, 12/01/2028, 144A

      91,514  

255,000

   

Rocket Software, Inc.,

6.500%, 2/15/2029, 144A

      257,295  

65,000

   

Sabre GLBL, Inc.,

7.375%, 9/01/2025, 144A

      70,935  

260,000

   

Sabre GLBL, Inc.,

9.250%, 4/15/2025, 144A

      310,050  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

   Non-Convertible Bonds – continued

 

  

Technology – continued

 

$                90,000

   

Sensata Technologies, Inc.,

3.750%, 2/15/2031, 144A

    $                88,735  

60,000

   

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.,

4.625%, 11/01/2026, 144A

      62,250  

540,000

   

SS&C Technologies, Inc.,

5.500%, 9/30/2027, 144A

      575,127  

210,000

   

Veritas U.S., Inc./Veritas Bermuda Ltd.,

7.500%, 9/01/2025, 144A

      218,117  

200,000

   

Veritas U.S., Inc./Veritas Bermuda Ltd.,

10.500%, 2/01/2024, 144A

      204,750  

105,000

   

Xerox Holdings Corp.,

5.000%, 8/15/2025, 144A

      109,583  

105,000

   

Xerox Holdings Corp.,

5.500%, 8/15/2028, 144A

      108,708  
     

 

 

  
        5,733,205  
     

 

 

  
  

Transportation Services – 0.2%

 

185,000

   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.,

5.750%, 7/15/2027, 144A

      192,779  
     

 

 

  
  

Wireless – 2.2%

 

440,000

   

Altice France S.A.,

5.125%, 1/15/2029, 144A

      445,500  

445,000

   

HTA Group Ltd. Co.,

7.000%, 12/18/2025, 144A

      472,812  

505,000

   

Kenbourne Invest S.A.,

6.875%, 11/26/2024, 144A

      537,916  

820,000

   

T-Mobile USA, Inc.,

2.250%, 2/15/2026

      825,896  

465,000

   

T-Mobile USA, Inc.,

2.625%, 4/15/2026

      473,742  
     

 

 

  
        2,755,866  
     

 

 

  
  

Wirelines – 0.9%

 

200,000

   

Cablevision Lightpath LLC,

5.625%, 9/15/2028, 144A

      202,940  

130,000

   

Cincinnati Bell Telephone Co. LLC,

6.300%, 12/01/2028

      142,551  

25,000

   

Lumen Technologies, Inc.,

5.125%, 12/15/2026, 144A

      26,335  

225,000

   

Telecom Italia Capital S.A.,

6.375%, 11/15/2033

      264,838  

120,000

   

Telecom Italia Capital S.A.,

7.200%, 7/18/2036

      151,444  

130,000

   

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC,

7.875%, 2/15/2025, 144A

      140,497  

130,000

   

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC,

6.500%, 2/15/2029, 144A

      128,375  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Non-Convertible Bonds – continued

 

  

Wirelines – continued

 

$             100,000

   

Windstream Escrow LLC/Windstream Escrow Finance Corp.,

7.750%, 8/15/2028, 144A

    $              101,843  
     

 

 

  
        1,158,823  
     

 

 

  
  

Total Non-Convertible Bonds

(Identified Cost $93,785,757)

      96,892,785  
     

 

 

  

Convertible Bonds – 6.2%

 

  

Airlines – 0.5%

 

80,000

   

JetBlue Airways Corp.,

0.500%, 4/01/2026, 144A

      87,904  

310,000

   

Southwest Airlines Co.,

1.250%, 5/01/2025(c)

      532,231  
     

 

 

  
        620,135  
     

 

 

  
  

Cable Satellite – 2.0%

 

235,000

   

DISH Network Corp.,

Zero Coupon, 0.000%, 12/15/2025, 144A(q)

      248,630  

2,170,000

   

DISH Network Corp.,

3.375%, 8/15/2026

      2,086,021  

145,000

   

Liberty Media Corp.,

0.500%, 12/01/2050, 144A

      167,765  
     

 

 

  
        2,502,416  
     

 

 

  
  

Communications – 0.1%

 

175,000

   

Twitter, Inc.,

Zero Coupon, 0.000%, 3/15/2026, 144A(q)

      165,375  
     

 

 

  
  

Consumer Cyclical Services – 0.3%

 

110,000

   

Expedia Group, Inc.,

Zero Coupon, 0.000%, 2/15/2026, 144A(q)

      120,065  

90,000

   

Peloton Interactive, Inc., Zero Coupon,

0.000%-1.735%, 2/15/2026, 144A(l)

      85,106  

195,000

   

Uber Technologies, Inc.,

Zero Coupon, 0.000%, 12/15/2025, 144A(q)

      204,872  
     

 

 

  
        410,043  
     

 

 

  
  

Diversified Manufacturing – 0.1%

 

155,000

   

Greenbrier Cos., Inc. (The),

2.875%, 2/01/2024

      168,562  
     

 

 

  
  

Electric – 0.1%

 

60,000

   

Sunrun, Inc.,

Zero Coupon, 0.000%, 2/01/2026, 144A(q)

      53,891  
     

 

 

  
  

Healthcare – 0.6%

 

105,000

   

Integra LifeSciences Holdings Corp.,

0.500%, 8/15/2025

      116,750  

90,000

   

SmileDirectClub, Inc.,

Zero Coupon, 0.000%, 2/01/2026, 144A(q)

      78,806  

Principal

Amount

   

Description

    Value (†)  

Bonds and Notes – continued

 

  

Convertible Bonds – continued

 

  

Healthcare – continued

 

$             520,000

   

Teladoc Health, Inc.,

1.250%, 6/01/2027, 144A

    $              577,876  
     

 

 

  
        773,432  
     

 

 

  
  

Industrial Other – 0.1%

 

45,000

   

Chegg, Inc.,

Zero Coupon, 0.000%, 9/01/2026, 144A(q)

      48,375  
     

 

 

  
  

Lodging – 0.2%

 

150,000

   

Marriott Vacations Worldwide Corp.,

Zero Coupon, 0.000%, 1/15/2026, 144A(q)

      177,656  
     

 

 

  
  

Oil Field Services – 0.1%

 

150,000

   

Oil States International, Inc.,

1.500%, 2/15/2023

      123,584  
     

 

 

  
  

Pharmaceuticals – 1.7%

 

145,000

   

Aerie Pharmaceuticals, Inc.,

1.500%, 10/01/2024

      149,049  

340,000

   

BioMarin Pharmaceutical, Inc.,

0.599%, 8/01/2024

      344,046  

970,000

   

BioMarin Pharmaceutical, Inc.,

1.250%, 5/15/2027, 144A

      951,182  

130,000

   

Flexion Therapeutics, Inc.,

3.375%, 5/01/2024

      117,766  

100,000

   

Guardant Health, Inc.,

Zero Coupon, 0.000%, 11/15/2027, 144A(q)

      128,250  

105,000

   

Halozyme Therapeutics, Inc.,

0.250%, 3/01/2027, 144A

      95,616  

25,000

   

Livongo Health, Inc.,

0.875%, 6/01/2025, 144A

      42,390  

160,000

   

Neurocrine Biosciences, Inc.,

2.250%, 5/15/2024

      215,100  
     

 

 

  
        2,043,399  
     

 

 

  
  

Technology – 0.4%

 

15,000

   

Bentley Systems, Inc.,

0.125%, 1/15/2026, 144A

      15,503  

150,000

   

LivePerson, Inc.,

Zero Coupon, 0.000%, 12/15/2026, 144A(q)

      151,125  

55,000

   

Lumentum Holdings, Inc.,

0.500%, 12/15/2026

      63,971  

90,000

   

Palo Alto Networks, Inc.,

0.375%, 6/01/2025, 144A

      111,150  

135,000

   

Shift4 Payments, Inc.,

Zero Coupon, 0.000%, 12/15/2025, 144A(q)

      168,831  
     

 

 

  
        510,580  
     

 

 

  
  

Total Convertible Bonds

(Identified Cost $7,690,199)

      7,597,448  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $101,475,956)

      104,490,233  
     

 

 

  

Principal

Amount

   

Description

    Value (†)  

Collateralized Loan Obligations – 0.6%

 

$             250,000

   

Carlyle Global Market Strategies CLO Ltd., Series 2015-2A, Class CR,

3-month LIBOR + 2.250%, 2.463%, 4/27/2027, 144A(a)(c)

    $              246,267  

255,000

   

Madison Park Funding XII Ltd., Series 2014-12A, Class E,

3-month LIBOR + 5.100%, 5.324%, 7/20/2026, 144A(a)

      252,885  

250,000

   

OZLM XXIII Ltd., Series 2019-23A, Class E,

3-month LIBOR + 6.800%, 7.041%, 4/15/2032, 144A(a)

      247,917  
     

 

 

  
  

Total Collateralized Loan Obligations

(Identified Cost $714,930)

      747,069  
     

 

 

  

Shares

   

 

   

 

  

Preferred Stocks – 1.7%

 

  

Banking – 0.1%

 

95

   

Bank of America Corp., Series L,

7.250%(c)

      132,810  
     

 

 

  
  

Electric – 0.1%

 

2,008

   

NextEra Energy, Inc.,

5.279%(c)

      99,456  
     

 

 

  
  

Food & Beverage – 1.2%

 

13,040

   

Bunge Ltd.,

4.875%

      1,501,966  
     

 

 

  
  

Healthcare – 0.3%

 

3,250

   

Boston Scientific Corp., Series A,

5.500%

      348,595  
     

 

 

  
  

Total Preferred Stocks

(Identified Cost $1,913,009)

      2,082,827  
     

 

 

  

Common Stocks – 0.6%

 

  

Chemicals – 0.1%

 

12,177

    Hexion Holdings Corp., Class B(m)      185,699  
     

 

 

  
  

Energy Equipment & Services – 0.0%

 

10,149

    McDermott International Ltd.,(m)      8,119  
     

 

 

  
  

Media – 0.2%

 

41,970

    Clear Channel Outdoor Holdings, Inc.(m)      75,546  

9,786

    iHeartMedia, Inc., Class A(m)      177,616  
     

 

 

  
        253,162  
     

 

 

  
  

Oil, Gas & Consumable Fuels – 0.3%

 

3,650

    Battalion Oil Corp.(m)      39,712  

8,482

    Whiting Petroleum Corp.(m)      300,687  
     

 

 

  
        340,399  
     

 

 

  
  

Total Common Stocks

(Identified Cost $1,883,171)

      787,379  
     

 

 

  

Other Investments – 0.1%

 

  

Aircraft ABS – 0.1%

 

100

   

ECAF I Blocker Ltd.(f)(g)(h)(n)

(Identified Cost $1,000,000)

      107,580  
     

 

 

  

Shares     

Description

    Value (†)  
 

Warrants – 0.0%

  
                 20,319      McDermott International Ltd., Tranche A, Expiration on 5/1/2024(f)(g)(m)    $                  1,423  
  22,577      McDermott International Ltd., Tranche B, Expiration on 5/1/2024(f)(g)(m)      677  
     

 

 

  
  

Total Warrants

(Identified Cost $31,517)

      2,100  
     

 

 

  
Principal
Amount		     

 

   

 

  
 

Short-Term Investments – 7.4%

  
  $          6,121,863      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2021 at 0.000% to be repurchased at $6,121,863 on 4/01/2021 collateralized by $5,831,300 U.S. Treasury Note, 2.250% due 11/15/2024 valued at $6,244,366 including accrued interest(o)      6,121,863  
  2,925,000     

U.S. Treasury Bills,

0.033%, 4/15/2021(p)

      2,924,986  
     

 

 

  
  

Total Short-Term Investments

(Identified Cost $9,046,825)

      9,046,849  
     

 

 

  
  

Total Investments – 95.4%

(Identified Cost $116,065,408)

      117,264,037  
   Other assets less liabilities – 4.6%      5,650,594  
     

 

 

  
   Net Assets – 100.0%    $ 122,914,631  
     

 

 

  

  (†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.

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 March 31, 2021, securities held by the Fund were fair valued as follows:

 

Securities classified

as fair valued

   

Percentage of

Net Assets

  

Securities fair

valued by the

Fund’s adviser

   

Percentage of

Net Assets

$ 276,208

    0.2%   $ 237,695    0.2%

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.

 

  (a)

Variable rate security. Rate as of March 31, 2021 is disclosed.

 

  (b)

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 March 31, 2021 is disclosed.

 

  (c)

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

 

  (d)

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 received during the period.

 

  (e)

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

 

  (f)

Level 3 security. Value has been determined using significant unobservable inputs.

 

  (g)

Fair valued by the Fund’s adviser. At March 31, 2021, the value of these securities amounted to $237,695 or 0.2% of net assets.

 

  (h)

Illiquid security.

  (i)

Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2021, the value of these securities amounted to $276,208 or 0.2% of net assets.

 

  (j)

Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended March 31, 2021, interest payments were made in cash.

 

  (k)

Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended March 31, 2021, interest payments were made in principal.

 

  (l)

Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields.

 

  (m)

Non-income producing security.

 

  (n)

Securities subject to restriction on resale. At March 31, 2021, the restricted securities held by the Fund are as follows:

 

     Acquisition Date      Acquisition Cost      Value      % of Net Assets  

ECAF I Blocker Ltd.

      12/20/2016      $ 1,000,000      $ 107,580        0.1 % 

 

  (o)

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 March 31, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

 

  (p)

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

 

  (q)

Interest rate represents annualized yield 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 March 31, 2021, the value of Rule 144A holdings amounted to $69,472,258 or 56.5% of net assets.

ABS  

Asset-Backed Securities

LIBOR  

London Interbank Offered Rate

MTN  

Medium Term Note

PIK  

Payment-in-Kind

REITs  

Real Estate Investment Trusts

Swap Agreements

The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

At March 31, 2021, the Fund had the following open centrally cleared credit default swap agreements:

Sell Protection

 

Reference

Obligation

    (Pay)/
Receive
Fixed Rate		     Expiration
Date		      Implied
Credit
Spread^		     Notional
Value(‡)		      Unamortized
Up Front
Premium
Paid/(Received)		      Market
Value		      Unrealized
Appreciation
(Depreciation)		  

CDX.NA HY* Series 36 500, 5-Year

      5.00 %      6/20/2026        2.88 %    $ 4,650,000      $ 413,865      $ 420,323      $ 6,458  
         

 

 

     

 

 

     

 

 

     

 

 

  

 

(‡)

Notional value stated in U.S. dollars unless otherwise noted.

^

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

*

CDX.NA.HY is an index composed of North American high yield credit default swaps.

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 March 31, 2021, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Bonds and Notes

           

Non-Convertible Bonds

           

Home Construction

    $ —        $ —        $ —   (a)    $ —    

Non-Agency Commercial Mortgage-Backed Securities

      —          1,489,168        128,015 (b)      1,617,183  

All Other Non-Convertible Bonds*

      —          95,275,602        —         95,275,602  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —          96,764,770        128,015       96,892,785  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds*

      —          7,597,448        —         7,597,448  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —          104,362,218      $ 128,015       104,490,233  
  

 

 

     

 

 

     

 

 

    

 

 

  

Collateralized Loan Obligations

      —          747,069        —         747,069  

Preferred Stocks

           

Food & Beverage

      —          1,501,966        —         1,501,966  

All Other Preferred Stocks*

      580,861        —          —         580,861  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      580,861        1,501,966        —         2,082,827  
  

 

 

     

 

 

     

 

 

    

 

 

  

Common Stocks

           

Chemicals

      —          185,699        —         185,699  

All Other Common Stocks*

      601,680        —          —         601,680  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      601,680        185,699        —         787,379  
  

 

 

     

 

 

     

 

 

    

 

 

  

Other Investments*

      —          —          107,580 (b)      107,580  

Warrants

      —          —          2,100 (b)      2,100  

Short-Term Investments

      —          9,046,849        —         9,046,849  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Investments

      1,182,541        115,843,801        237,695       117,264,037  
  

 

 

     

 

 

     

 

 

    

 

 

  

Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)

      —          6,458        —         6,458  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 1,182,541      $ 115,850,259      $ 237,695     $ 117,270,495  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

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

(a)

Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

(b)

Fair valued by the Fund’s adviser.

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. The Fund’s 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 Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or March 31, 2021:

Asset Valuation Inputs

 

Investments in Securities

   Balance as
of
December 31,
2020		     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 March
31, 2021		     Change in Unrealized
Appreciation (Depreciation)
from Investments Still Held
at March 31, 2021		  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Home Construction

   $ —   (a)    $ 10,875     $ —       $ (10,875 )    $ —       $ —       $ —       $ —       $ —   (a)    $ (10,875 ) 

Non-Agency Commercial Mortgage-Backed Securities

     390,104       —         —         (262,089 )      —         —         —         —         128,015       (262,089 ) 

Loan Participations

                    

ABS Other

     161,345       6       (112,893 )      132,892       9,535       (190,885 )      —         —           —         —    

Preferred Stocks

                    

Energy

     —   (a)      —         (752,373 )      752,373       —         —         —         —         —         —    

Other Investments

                    

Aircraft ABS

     125,600       —         —         (18,020 )      —         —         —         —         107,580       (18,020 ) 

Warrants

     37,995       —         —         (28,497 )      —         (7,398 )      —         —         2,100       (29,847 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 715,044     $ 10,881     $ (865,266 )    $ 565,784     $ 9,535     $ (198,283 )    $ —       $ —       $ 237,695     $ (320,831 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Includes a security fair valued at zero using level 3 inputs.

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 swap agreements.

The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including swap agreements. During the period ended March 31, 2021, the Fund used credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection seller, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended March 31, 2021, the Fund engaged in credit default swap transactions (as a protection seller) to hedge its credit exposure.

The following is a summary of derivative instruments for the Fund, as of March 31, 2021:

 

Assets

    Swap
agreements
at value		  

Exchange-traded/cleared asset derivatives Credit contracts

    $ 420,323  

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.

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 clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a 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 March 31, 2021:

 

Maximum Amount

of Loss - Gross

  

Maximum Amount

of Loss - Net

$ 1,384,493   $1,384,493

Industry Summary at March 31, 2021 (Unaudited)

 

Independent Energy

      6.4 % 

Cable Satellite

      5.9  

Healthcare

      5.6  

Technology

      5.1  

Pharmaceuticals

      4.9  

Metals & Mining

      4.5  

Consumer Cyclical Services

      4.4  

Aerospace & Defense

      4.3  

Media Entertainment

      4.2  

Midstream

      4.2  

Gaming

      3.8  

Finance Companies

      3.0  

Food & Beverage

      3.0  

Leisure

      2.3  

Wireless

      2.2  

Retailers

      2.2  

Automotive

      2.0  

Other Investments, less than 2% each

      19.4  

Short-Term Investments

      7.4  

Collateralized Loan Obligations

      0.6  
  

 

 

  

Total Investments

      95.4  

Other assets less liabilities (including swap agreements)

      4.6  
  

 

 

  

Net Assets

      100.0 %