NPORT-EX 2 NPORT_48AP_9496457352.htm HTML

PORTFOLIO OF INVESTMENTS – as of June 30, 2021 (Unaudited)

Loomis Sayles Credit Income Fund

 

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – 91.6% of Net Assets

   

Non-Convertible Bonds – 87.1%

   
    

Aerospace & Defense – 3.8%

   
$          125,000      Boeing Co. (The),
2.196%, 2/04/2026		    $      126,195  
    20,000      Boeing Co. (The),
2.250%, 6/15/2026		      20,418  
    20,000      Boeing Co. (The),
2.950%, 2/01/2030		      20,478  
    5,000      Boeing Co. (The),
3.100%, 5/01/2026		      5,286  
    10,000      Boeing Co. (The),
3.200%, 3/01/2029		      10,495  
    5,000      Boeing Co. (The),
3.250%, 2/01/2035		      5,055  
    5,000      Boeing Co. (The),
3.375%, 6/15/2046		      4,817  
    5,000      Boeing Co. (The),
3.500%, 3/01/2039		      5,011  
    15,000      Boeing Co. (The),
3.550%, 3/01/2038		      15,406  
    220,000      Boeing Co. (The),
3.625%, 2/01/2031		      236,616  
    5,000      Boeing Co. (The),
3.625%, 3/01/2048		      4,996  
    40,000      Boeing Co. (The),
3.750%, 2/01/2050		      41,262  
    15,000      Boeing Co. (The),
3.825%, 3/01/2059		      15,306  
    10,000      Boeing Co. (The),
3.850%, 11/01/2048		      10,262  
    15,000      Boeing Co. (The),
3.900%, 5/01/2049		      15,796  
    30,000      Boeing Co. (The),
3.950%, 8/01/2059		      31,387  
    40,000      Boeing Co. (The),
5.150%, 5/01/2030		      47,366  
    20,000      Boeing Co. (The),
5.805%, 5/01/2050		      26,932  
    30,000      Huntington Ingalls Industries, Inc.,
3.844%, 5/01/2025		      32,692  
    20,000      Huntington Ingalls Industries, Inc.,
4.200%, 5/01/2030		      22,842  
    125,000      Raytheon Technologies Corp.,
2.800%, 3/15/2022(a)		      126,977  
    5,000      Spirit AeroSystems, Inc.,
4.600%, 6/15/2028		      4,900  
    30,000      Spirit AeroSystems, Inc.,
7.500%, 4/15/2025, 144A		      32,025  
    125,000      Textron, Inc.,
3.000%, 6/01/2030		      131,480  
       

 

 

  
          994,000  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Airlines – 0.6%

 

$            75,745      American Airlines Pass Through Trust, Series 2016-3, Class A,
3.250%, 4/15/2030		    $ 73,603  
    15,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd.,
5.500%, 4/20/2026, 144A		      15,881  
    15,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd.,
5.750%, 4/20/2029, 144A		      16,219  
    14,558      United Airlines Pass Through Trust, Series 2020-1, Class B,
4.875%, 7/15/2027		      15,438  
    10,000      United Airlines, Inc.,
4.375%, 4/15/2026, 144A		      10,352  
    15,000      United Airlines, Inc.,
4.625%, 4/15/2029, 144A		      15,525  
       

 

 

  
               147,018  
       

 

 

  
    

Automotive – 1.6%

 

    60,000      Allison Transmission, Inc.,
3.750%, 1/30/2031, 144A		      58,972  
    40,000      Ford Motor Co.,
9.000%, 4/22/2025		      49,315  
    30,000      Ford Motor Co.,
9.625%, 4/22/2030		      43,050  
    170,000      General Motors Co.,
5.200%, 4/01/2045		      210,115  
    40,000      General Motors Co.,
6.250%, 10/02/2043		      55,220  
    5,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter),
5.700%(b)		      5,600  
       

 

 

  
          422,272  
       

 

 

  
    

Banking – 12.7%

 

    165,000      Ally Financial, Inc.,
5.125%, 9/30/2024		      185,885  
    65,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter),
4.700%(b)		      67,321  
    50,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter),
4.700%(b)		      50,640  
    200,000      Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter),
0.701%, 6/30/2024		      200,399  
    270,000      Bank of America Corp., MTN,
4.250%, 10/22/2026(a)		      304,874  
    200,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),
3.564%, 9/23/2035		      208,368  
    215,000      Citigroup, Inc.,
4.450%, 9/29/2027(a)		      245,637  
    250,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter),
4.000%, 1/10/2033, 144A(a)		      271,795  
    150,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter),
3.547%, 9/18/2031		      159,670  
    210,000      Goldman Sachs Group, Inc. (The),
4.250%, 10/21/2025(a)		      234,761  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

 

Non-Convertible Bonds – continued

   
    

Banking – continued

 

$     50,000      JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter),
1.578%, 4/22/2027		    $ 50,259  
         390,000      Morgan Stanley,
3.625%, 1/20/2027(a)		      432,440  
    200,000      Natwest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter),
1.642%, 6/14/2027		      199,975  
    115,000      Santander Holdings USA, Inc.,
3.244%, 10/05/2026		      122,834  
    30,000      Santander Holdings USA, Inc.,
3.500%, 6/07/2024		      32,091  
    200,000      Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter),
3.653%, 7/08/2035, 144A		      207,520  
    200,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter),
4.644%, 4/01/2031, 144A(a)		      233,891  
    115,000      Synchrony Financial,
4.375%, 3/19/2024		      125,166  
       

 

 

  
            3,333,526  
       

 

 

  
    

Brokerage – 1.2%

 

    15,000      Jefferies Group LLC,
6.250%, 1/15/2036		      20,047  
    180,000      Jefferies Group LLC,
6.500%, 1/20/2043		      248,266  
    60,000      Owl Rock Technology Finance Corp.,
2.500%, 1/15/2027		      59,236  
       

 

 

  
          327,549  
       

 

 

  
    

Building Materials – 0.4%

 

    40,000      Builders FirstSource, Inc.,
6.750%, 6/01/2027, 144A		      42,850  
    55,000      JELD-WEN, Inc.,
4.875%, 12/15/2027, 144A		      57,157  
       

 

 

  
          100,007  
       

 

 

  
    

Cable Satellite – 2.9%

 

    120,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031, 144A		      122,303  
    120,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 8/15/2030, 144A		      124,946  
    220,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
4.800%, 3/01/2050		      252,681  
    40,000      DISH DBS Corp.,
5.125%, 6/01/2029, 144A		      39,497  
    5,000      Sirius XM Radio, Inc.,
5.500%, 7/01/2029, 144A		      5,448  
    200,000      Time Warner Cable LLC,
4.500%, 9/15/2042		      222,309  
       

 

 

  
          767,184  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Chemicals – 1.5%

 

$     70,000      CF Industries, Inc.,
4.500%, 12/01/2026, 144A		    $ 80,348  
    15,000      FMC Corp.,
3.450%, 10/01/2029		      16,307  
    60,000      Hercules LLC,
6.500%, 6/30/2029		      66,141  
         200,000      Orbia Advance Corp. SAB de CV,
2.875%, 5/11/2031, 144A		           201,250  
    30,000      Westlake Chemical Corp.,
3.600%, 8/15/2026		      32,696  
       

 

 

  
          396,742  
       

 

 

  
    

Construction Machinery – 0.3%

 

    75,000      John Deere Capital Corp., MTN,
2.000%, 6/17/2031		      75,809  
       

 

 

  
    

Consumer Cyclical Services – 2.2%

 

    30,000      CBRE Services, Inc.,
4.875%, 3/01/2026		      34,686  
    185,000      Expedia Group, Inc.,
3.250%, 2/15/2030		      193,241  
    50,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc.,
3.500%, 3/01/2029, 144A		      49,675  
    45,000      TriNet Group, Inc.,
3.500%, 3/01/2029, 144A		      44,370  
    115,000      Uber Technologies, Inc.,
7.500%, 5/15/2025, 144A		      124,108  
    5,000      Uber Technologies, Inc.,
7.500%, 9/15/2027, 144A		      5,495  
    115,000      Uber Technologies, Inc.,
8.000%, 11/01/2026, 144A		      123,913  
       

 

 

  
          575,488  
       

 

 

  
    

Electric – 1.6%

 

    15,000      AES Corp. (The),
2.450%, 1/15/2031, 144A		      14,855  
    5,000      AES Corp. (The),
3.950%, 7/15/2030, 144A		      5,467  
    85,000      Calpine Corp.,
3.750%, 3/01/2031, 144A		      80,950  
    40,000      Calpine Corp.,
5.125%, 3/15/2028, 144A		      40,700  
    20,000      IPALCO Enterprises, Inc.,
4.250%, 5/01/2030		      22,461  
    35,000      NRG Energy, Inc.,
4.450%, 6/15/2029, 144A		      38,632  
    35,000      NRG Energy, Inc.,
5.250%, 6/15/2029, 144A		      37,231  
    140,000      Pacific Gas & Electric Co.,
3.500%, 8/01/2050		      124,777  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Electric – continued

 

$     50,000      Vistra Operations Co. LLC,
3.700%, 1/30/2027, 144A		    $ 53,421  
       

 

 

  
          418,494  
       

 

 

  
    

Finance Companies – 5.8%

 

         150,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.875%, 1/23/2028		      160,555  
    105,000      Air Lease Corp.,
3.125%, 12/01/2030		      106,670  
    205,000      Air Lease Corp., MTN,
3.000%, 2/01/2030		      207,937  
    40,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter),
4.650%(b)		      41,450  
    125,000      Aircastle Ltd.,
4.125%, 5/01/2024		      133,281  
    15,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter),
5.250%, 144A(b)		      15,150  
    100,000      Ares Capital Corp.,
2.875%, 6/15/2028		      101,502  
    25,000      Aviation Capital Group LLC,
1.950%, 1/30/2026, 144A		      25,007  
    35,000      FS KKR Capital Corp.,
3.400%, 1/15/2026		      36,191  
    200,000      GE Capital Funding LLC,
4.400%, 5/15/2030		      233,066  
    75,000      Navient Corp.,
5.000%, 3/15/2027		      77,606  
    35,000      Oaktree Specialty Lending Corp.,
2.700%, 1/15/2027		      35,014  
    10,000      OneMain Finance Corp.,
7.125%, 3/15/2026		      11,647  
    50,000      Owl Rock Capital Corp.,
2.625%, 1/15/2027		      50,129  
    50,000      Owl Rock Capital Corp.,
2.875%, 6/11/2028		      49,625  
    75,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A		      74,062  
    155,000      Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A		      156,161  
       

 

 

  
            1,515,053  
       

 

 

  
    

Financial Other – 0.6%

 

    45,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
4.375%, 2/01/2029, 144A		      44,775  
    115,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
5.250%, 5/15/2027		      118,737  
       

 

 

  
          163,512  
       

 

 

  
    

Food & Beverage – 3.8%

 

    240,000      Coca-Cola Co. (The),
1.750%, 9/06/2024(a)		      249,510  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Food & Beverage – continued

 

$        150,000      Fomento Economico Mexicano SAB de CV,
3.500%, 1/16/2050(a)		    $ 157,764  
    145,000      Kraft Heinz Foods Co.,
4.375%, 6/01/2046		      164,331  
    95,000      Kraft Heinz Foods Co.,
4.875%, 10/01/2049		      115,325  
    50,000      Pilgrim’s Pride Corp.,
5.875%, 9/30/2027, 144A		      53,250  
    60,000      Post Holdings, Inc.,
4.625%, 4/15/2030, 144A		      61,010  
    190,000      Smithfield Foods, Inc.,
3.000%, 10/15/2030, 144A		      191,563  
       

 

 

  
               992,753  
       

 

 

  
    

Gaming – 0.6%

 

    85,000      MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
3.875%, 2/15/2029, 144A		      86,324  
    15,000      Penn National Gaming, Inc.,
4.125%, 7/01/2029, 144A		      14,981  
    55,000      Scientific Games International, Inc.,
7.000%, 5/15/2028, 144A		      60,071  
    5,000      Scientific Games International, Inc.,
7.250%, 11/15/2029, 144A		      5,640  
       

 

 

  
          167,016  
       

 

 

  
    

Health Insurance – 0.4%

 

    90,000      Centene Corp.,
2.500%, 3/01/2031		      88,762  
    20,000      Centene Corp.,
3.000%, 10/15/2030		      20,546  
    5,000      Centene Corp.,
4.625%, 12/15/2029		      5,499  
       

 

 

  
          114,807  
       

 

 

  
    

Healthcare – 2.2%

 

    15,000      Catalent Pharma Solutions, Inc.,
3.125%, 2/15/2029, 144A		      14,526  
    10,000      Charles River Laboratories International, Inc.,
3.750%, 3/15/2029, 144A		      10,138  
    75,000      Cigna Corp.,
4.375%, 10/15/2028		      87,227  
    5,000      Encompass Health Corp.,
4.750%, 2/01/2030		      5,313  
    165,000      HCA, Inc.,
4.125%, 6/15/2029		      185,803  
    100,000      HCA, Inc.,
5.250%, 6/15/2049		      127,469  
    90,000      Hologic, Inc.,
3.250%, 2/15/2029, 144A		      89,212  
    25,000      Tenet Healthcare Corp.,
4.625%, 6/15/2028, 144A		      25,730  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Healthcare – continued

 

$     30,000      Tenet Healthcare Corp.,
6.125%, 10/01/2028, 144A		    $ 31,969  
       

 

 

  
          577,387  
       

 

 

  
    

Home Construction – 0.7%

 

    90,000      Lennar Corp.,
4.750%, 11/29/2027		      104,028  
    70,000      PulteGroup, Inc.,
6.000%, 2/15/2035		      91,870  
       

 

 

  
               195,898  
       

 

 

  
    

Independent Energy – 2.4%

 

         150,000      Aker BP ASA,
4.000%, 1/15/2031, 144A		      164,758  
    10,000      Cimarex Energy Co.,
4.375%, 6/01/2024		      10,884  
    20,000      Continental Resources, Inc.,
3.800%, 6/01/2024		      21,150  
    40,000      Continental Resources, Inc.,
5.750%, 1/15/2031, 144A		      47,900  
    20,000      Diamondback Energy, Inc.,
3.125%, 3/24/2031		      20,727  
    25,000      Energean Israel Finance Ltd.,
5.375%, 3/30/2028, 144A		      25,680  
    40,000      Energean Israel Finance Ltd.,
5.875%, 3/30/2031, 144A		      41,182  
    5,000      EQT Corp.,
3.125%, 5/15/2026, 144A		      5,124  
    10,000      EQT Corp.,
3.625%, 5/15/2031, 144A		      10,425  
    5,000      EQT Corp.,
5.000%, 1/15/2029		      5,575  
    55,000      Hess Corp.,
4.300%, 4/01/2027		      61,213  
    60,000      Hess Corp.,
5.600%, 2/15/2041		      74,897  
    15,000      Occidental Petroleum Corp.,
2.900%, 8/15/2024		      15,337  
    10,000      Occidental Petroleum Corp.,
3.500%, 6/15/2025		      10,225  
    30,000      Occidental Petroleum Corp.,
5.550%, 3/15/2026		      33,150  
    45,000      Ovintiv Exploration, Inc.,
5.375%, 1/01/2026		      50,713  
    20,000      Ovintiv Exploration, Inc.,
5.625%, 7/01/2024		      22,268  
       

 

 

  
          621,208  
       

 

 

  
    

Leisure – 0.6%

 

    55,000      Carnival Corp.,
5.750%, 3/01/2027, 144A		      57,612  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Leisure – continued

 

$            30,000      NCL Corp. Ltd.,
5.875%, 3/15/2026, 144A		    $ 31,425  
    10,000      NCL Finance Ltd.,
6.125%, 3/15/2028, 144A		      10,480  
    60,000      Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028, 144A		      62,838  
       

 

 

  
               162,355  
       

 

 

  
    

Life Insurance – 1.1%

 

    65,000      AIG Global Funding,
0.650%, 6/17/2024, 144A		      64,815  
    50,000      Athene Global Funding,
1.608%, 6/29/2026, 144A		      50,006  
    95,000      Athene Global Funding,
2.550%, 11/19/2030, 144A		      95,525  
    30,000      Athene Holding Ltd.,
3.500%, 1/15/2031		      31,984  
    30,000      CNO Financial Group, Inc.,
5.250%, 5/30/2029		      35,731  
       

 

 

  
          278,061  
       

 

 

  
    

Lodging – 1.2%

 

    60,000      Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032, 144A		      59,250  
    40,000      Hilton Domestic Operating Co., Inc.,
4.000%, 5/01/2031, 144A		      40,395  
    10,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
4.875%, 7/01/2031, 144A		      9,974  
    25,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
5.000%, 6/01/2029, 144A		      25,563  
    5,000      Hyatt Hotels Corp.,
5.375%, 4/23/2025		      5,645  
    15,000      Hyatt Hotels Corp.,
5.750%, 4/23/2030		      18,208  
    20,000      Marriott International, Inc., Series EE,
5.750%, 5/01/2025		      23,086  
    25,000      Marriott International, Inc., Series FF,
4.625%, 6/15/2030		      28,793  
    20,000      Marriott International, Inc., Series HH,
2.850%, 4/15/2031		      20,310  
    20,000      Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029, 144A		      20,275  
    75,000      Travel & Leisure Co.,
4.625%, 3/01/2030, 144A		      77,302  
       

 

 

  
          328,801  
       

 

 

  
    

Media Entertainment – 2.4%

 

    25,000      AMC Networks, Inc.,
4.250%, 2/15/2029		      25,219  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Media Entertainment – continued

 

$     60,000      Clear Channel Worldwide Holdings, Inc.,
5.125%, 8/15/2027, 144A		    $ 61,513  
    85,000      iHeartCommunications, Inc.,
4.750%, 1/15/2028, 144A		      87,444  
    75,000      iHeartCommunications, Inc.,
5.250%, 8/15/2027, 144A		      78,405  
    35,000      iHeartCommunications, Inc.,
8.375%, 5/01/2027		      37,494  
    25,000      Lamar Media Corp.,
3.750%, 2/15/2028		      25,437  
    30,000      Lamar Media Corp.,
4.000%, 2/15/2030		      30,363  
    10,000      Netflix, Inc.,
4.875%, 4/15/2028		      11,625  
    120,000      Netflix, Inc.,
4.875%, 6/15/2030, 144A		      142,716  
    115,000      ViacomCBS, Inc.,
4.375%, 3/15/2043		      133,062  
       

 

 

  
          633,278  
       

 

 

  
    

Metals & Mining – 4.2%

 

    45,000      Allegheny Technologies, Inc.,
5.875%, 12/01/2027		      47,138  
         200,000      Anglo American Capital PLC,
4.500%, 3/15/2028, 144A		      228,565  
    35,000      ArcelorMittal S.A.,
7.250%, 10/15/2039		      49,442  
    200,000      First Quantum Minerals Ltd.,
6.875%, 10/15/2027, 144A		      217,940  
    45,000      FMG Resources August 2006 Pty Ltd.,
4.375%, 4/01/2031, 144A		      48,142  
    60,000      Freeport-McMoRan, Inc.,
4.625%, 8/01/2030		      65,700  
    40,000      Freeport-McMoRan, Inc.,
5.400%, 11/14/2034		      48,312  
    10,000      Freeport-McMoRan, Inc.,
5.450%, 3/15/2043		      12,223  
    135,000      Glencore Funding LLC,
3.875%, 10/27/2027, 144A		      148,720  
    20,000      Glencore Funding LLC,
4.000%, 3/27/2027, 144A		      22,167  
    45,000      Glencore Funding LLC,
4.125%, 3/12/2024, 144A		      48,512  
    115,000      Glencore Funding LLC,
4.625%, 4/29/2024, 144A		      126,052  
    35,000      Novelis Corp.,
4.750%, 1/30/2030, 144A		      36,750  
    10,000      Volcan Cia Minera SAA,
4.375%, 2/11/2026, 144A		      9,900  
       

 

 

  
            1,109,563  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Midstream – 2.2%

 

$        115,000      Cheniere Corpus Christi Holdings LLC,
5.125%, 6/30/2027		    $ 133,720  
    55,000      Energy Transfer LP,
4.000%, 10/01/2027		      60,510  
    30,000      EnLink Midstream Partners LP,
5.450%, 6/01/2047		      26,625  
    35,000      EQM Midstream Partners LP, Series 10Y,
5.500%, 7/15/2028		      37,820  
    50,000      Hess Midstream Operations LP,
5.625%, 2/15/2026, 144A		      52,150  
    80,000      NGPL PipeCo LLC,
4.875%, 8/15/2027, 144A		      91,627  
    15,000      Plains All American Pipeline LP/PAA Finance Corp.,
3.800%, 9/15/2030		      16,051  
    35,000      Plains All American Pipeline LP/PAA Finance Corp.,
4.300%, 1/31/2043		      35,357  
    35,000      Plains All American Pipeline LP/PAA Finance Corp.,
4.700%, 6/15/2044		      37,079  
    15,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.000%, 1/15/2032, 144A		      15,430  
    60,000      Valero Energy Partners LP,
4.500%, 3/15/2028		      68,254  
       

 

 

  
               574,623  
       

 

 

  
    

Paper – 0.2%

 

    45,000      Suzano Austria GmbH,
3.750%, 1/15/2031		      47,194  
       

 

 

  
    

Pharmaceuticals – 3.4%

 

    230,000      GlaxoSmithKline Capital PLC,
3.000%, 6/01/2024(a)		      245,055  
    245,000      Merck & Co., Inc.,
2.350%, 2/10/2022(a)		      248,195  
    50,000      Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036		      55,000  
    70,000      Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026		      66,588  
    250,000      Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046		      219,062  
    20,000      Utah Acquisition Sub, Inc.,
5.250%, 6/15/2046		      24,358  
    25,000      Viatris, Inc.,
4.000%, 6/22/2050, 144A		      26,438  
       

 

 

  
          884,696  
       

 

 

  
    

Property & Casualty Insurance – 0.9%

 

    175,000      Fidelity National Financial, Inc.,
2.450%, 3/15/2031		      174,253  
    65,000      Sirius International Group Ltd.,
4.600%, 11/01/2026, 144A		      66,131  
       

 

 

  
          240,384  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

REITs - Apartments – 0.0%

 

$     10,000      American Homes 4 Rent,
2.375%, 7/15/2031		    $ 9,851  
       

 

 

  
    

REITs - Health Care – 0.5%

 

          110,000      Welltower, Inc.,
4.250%, 4/01/2026		           124,060  
       

 

 

  
    

REITs - Mortgage – 0.2%

 

    15,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
4.250%, 2/01/2027, 144A		      14,979  
    25,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
5.250%, 10/01/2025, 144A		      25,437  
       

 

 

  
          40,416  
       

 

 

  
    

REITs - Office Property – 0.0%

 

    10,000      Corporate Office Properties LP,
2.750%, 4/15/2031		      10,076  
       

 

 

  
    

REITs - Shopping Centers – 0.8%

 

    115,000      Brixmor Operating Partnership LP,
4.050%, 7/01/2030		      128,669  
    75,000      SITE Centers Corp.,
3.625%, 2/01/2025		      79,235  
       

 

 

  
          207,904  
       

 

 

  
    

Restaurants – 0.9%

 

    125,000      1011778 B.C. ULC/New Red Finance, Inc.,
4.375%, 1/15/2028, 144A		      126,719  
    45,000      Yum! Brands, Inc.,
4.625%, 1/31/2032		      47,250  
    60,000      Yum! Brands, Inc.,
4.750%, 1/15/2030, 144A		      64,950  
       

 

 

  
          238,919  
       

 

 

  
    

Retailers – 0.9%

 

    45,000      AutoZone, Inc.,
3.625%, 4/15/2025		      49,249  
    55,000      Carvana Co.,
5.625%, 10/01/2025, 144A		      57,181  
    93,639      CVS Pass-Through Trust, Series 2014,
4.163%, 8/11/2036, 144A		      103,045  
    20,000      Lithia Motors, Inc.,
3.875%, 6/01/2029, 144A		      20,715  
    10,000      Murphy Oil USA, Inc.,
3.750%, 2/15/2031, 144A		      9,885  
       

 

 

  
          240,075  
       

 

 

  
    

Sovereigns – 0.8%

 

    200,000      Mexico Government International Bond,
4.280%, 8/14/2041		      209,928  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Technology – 5.2%

 

$     85,000      Avnet, Inc.,
4.625%, 4/15/2026		    $ 95,541  
         115,000      Broadcom, Inc.,
4.300%, 11/15/2032		      130,954  
    130,000      CommScope Technologies LLC,
5.000%, 3/15/2027, 144A		      133,088  
    5,000      Everi Holdings, Inc.,
5.000%, 7/15/2029, 144A		      5,000  
    55,000      IHS Markit Ltd.,
4.250%, 5/01/2029		      63,646  
    60,000      Iron Mountain, Inc.,
5.250%, 7/15/2030, 144A		      63,515  
    35,000      Jabil, Inc.,
1.700%, 4/15/2026		      35,259  
    30,000      Marvell Technology, Inc.,
2.450%, 4/15/2028, 144A		      30,576  
    25,000      Marvell Technology, Inc.,
2.950%, 4/15/2031, 144A		      25,909  
    20,000      Microchip Technology, Inc.,
0.983%, 9/01/2024, 144A		      19,903  
    145,000      Microchip Technology, Inc.,
4.333%, 6/01/2023		      154,628  
    265,000      Micron Technology, Inc.,
4.663%, 2/15/2030		      308,023  
    115,000      NVIDIA Corp.,
0.584%, 6/14/2024		      115,026  
    60,000      Open Text Holdings, Inc.,
4.125%, 2/15/2030, 144A		      61,188  
    60,000      Qorvo, Inc.,
3.375%, 4/01/2031, 144A		      62,533  
    10,000      Sabre GLBL, Inc.,
9.250%, 4/15/2025, 144A		      11,888  
    5,000      Skyworks Solutions, Inc.,
1.800%, 6/01/2026		      5,063  
    35,000      Verisk Analytics, Inc.,
4.125%, 3/15/2029		      39,699  
       

 

 

  
            1,361,439  
       

 

 

  
    

Transportation Services – 0.4%

 

    115,000      United Parcel Service, Inc.,
2.500%, 4/01/2023		      119,165  
       

 

 

  
    

Treasuries – 11.8%

 

    135,000      U.S. Treasury Bond,
1.125%, 8/15/2040		      116,142  
    430,000      U.S. Treasury Bond,
1.875%, 2/15/2051		      410,381  
    1,805,000      U.S. Treasury Note,
0.125%, 1/31/2023(a)(c)		      1,803,237  
    780,000      U.S. Treasury Note,
0.125%, 4/30/2023		      778,538  
       

 

 

  
          3,108,298  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    

Wireless – 2.6%

 

$     80,000      Crown Castle International Corp.,
2.500%, 7/15/2031		    $ 80,569  
    70,000      SBA Communications Corp.,
3.125%, 2/01/2029, 144A		      67,485  
    30,000      Sprint Capital Corp.,
6.875%, 11/15/2028		      38,475  
         130,000      T-Mobile USA, Inc.,
3.375%, 4/15/2029		      134,159  
    65,000      T-Mobile USA, Inc.,
3.500%, 4/15/2031		      67,246  
    265,000      T-Mobile USA, Inc.,
3.875%, 4/15/2030		      296,222  
       

 

 

  
          684,156  
       

 

 

  
    

Wirelines – 1.5%

 

    130,000      AT&T, Inc.,
3.650%, 6/01/2051(a)		      134,960  
    150,000      Telefonica Emisiones S.A.,
5.520%, 3/01/2049		      194,932  
    70,000      Verizon Communications, Inc.,
3.550%, 3/22/2051		      74,786  
       

 

 

  
          404,678  
       

 

 

  
     Total Non-Convertible Bonds
(Identified Cost $22,352,474)		      22,923,643  
       

 

 

  

Convertible Bonds – 4.5%

   
    

Airlines – 0.3%

 

    20,000      JetBlue Airways Corp.,
0.500%, 4/01/2026, 144A		      19,930  
    40,000      Southwest Airlines Co.,
1.250%, 5/01/2025		      60,575  
       

 

 

  
          80,505  
       

 

 

  
    

Cable Satellite – 1.6%

 

    25,000      DISH Network Corp.,
Zero Coupon, 0.000%, 12/15/2025, 144A(d)		      29,113  
    340,000      DISH Network Corp.,
3.375%, 8/15/2026		      346,970  
    35,000      Liberty Media Corp.,
0.500%, 12/01/2050, 144A		      40,267  
       

 

 

  
          416,350  
       

 

 

  
    

Consumer Cyclical Services – 0.3%

 

    25,000      Expedia Group, Inc.,
Zero Coupon, 0.000%, 2/15/2026, 144A(d)		      27,000  
    25,000      Peloton Interactive, Inc.,
Zero Coupon, 0.000%-1.003%, 2/15/2026, 144A(e)		      24,172  
    35,000      Uber Technologies, Inc.,
Zero Coupon, 0.000%, 12/15/2025, 144A(d)		      35,490  
       

 

 

  
          86,662  
       

 

 

  

Principal
Amount

     

Description

    Value (†)  

Bonds and Notes – continued

   

Convertible Bonds – continued

   
    

Healthcare – 0.5%

 

$          120,000      Teladoc Health, Inc.,
1.250%, 6/01/2027		    $ 134,328  
       

 

 

  
    

Media Entertainment – 0.1%

 

    35,000      Twitter, Inc.,
Zero Coupon, 0.000%, 3/15/2026, 144A(d)		      33,381  
       

 

 

  
     Pharmaceuticals – 1.2%

 

    240,000      BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027		      240,463  
    15,000      Guardant Health, Inc.,
Zero Coupon, 0.000%, 11/15/2027, 144A(d)		      17,072  
    25,000      Ionis Pharmaceuticals, Inc.,
Zero Coupon, 0.000%, 4/01/2026, 144A(d)		      24,492  
    10,000      Livongo Health, Inc.,
0.875%, 6/01/2025		      15,886  
    15,000      Neurocrine Biosciences, Inc.,
2.250%, 5/15/2024		      20,053  
       

 

 

  
          317,966  
       

 

 

  
    

Technology – 0.5%

 

    80,000      Palo Alto Networks, Inc.,
0.375%, 6/01/2025		      108,800  
    10,000      Splunk, Inc.,
1.125%, 6/15/2027		      9,744  
       

 

 

  
          118,544  
       

 

 

  
     Total Convertible Bonds
(Identified Cost $1,133,664)		      1,187,736  
       

 

 

  
     Total Bonds and Notes
(Identified Cost $23,486,138)		      24,111,379  
       

 

 

  

Collateralized Loan Obligations – 2.8%

   
    250,000      AIMCO CLO Ltd., Series 2021-14A, Class D,
3-month LIBOR + 2.900%, 3.088%, 4/20/2034, 144A(f)		      249,983  
    250,000      Fillmore Park CLO Ltd., Series 2018-1A, Class D,
3-month LIBOR + 2.900%, 3.084%, 7/15/2030, 144A(f)		      249,998  
    250,000      Recette CLO Ltd., Series 2015-1A, Class DRR,
3-month LIBOR + 3.250%, 3.438%, 4/20/2034, 144A(f)		      251,579  
       

 

 

  
     Total Collateralized Loan Obligations
(Identified Cost $750,000)		      751,560  
       

 

 

  

Shares

     

Description

    Value (†)  

Preferred Stocks – 3.2%

   

Convertible Preferred Stocks – 3.2%

   
    

Banking – 1.0%

 

    97      Bank of America Corp., Series L,
7.250%		    $ 137,352  
    83      Wells Fargo & Co., Class A, Series L,
7.500%		      126,675  
       

 

 

  
          264,027  
       

 

 

  
    

Food & Beverage – 0.7%

 

           1,492      Bunge Ltd.,
4.875%		      173,162  
       

 

 

  
    

Healthcare – 0.1%

 

    234      Boston Scientific Corp., Series A,
5.500%		      27,158  
       

 

 

  
    

Technology – 0.2%

 

    560      Clarivate PLC, Series A,
5.250%		      58,632  
       

 

 

  
    

Wireless – 1.2%

 

    250      2020 Cash Mandatory Exchangeable Trust,
5.250%, 144A(g)(h)		      315,020  
       

 

 

  
     Total Convertible Preferred Stocks
(Identified Cost $793,492)		      837,999  
       

 

 

  
     Total Preferred Stocks
(Identified Cost $793,492)		      837,999  
       

 

 

  
     Total Investments – 97.6%
(Identified Cost $25,029,630)		      25,700,938  
     Other assets less liabilities – 2.4%      620,649  
       

 

 

  
     Net Assets – 100.0%    $ 26,321,587  
       

 

 

  

(†)   

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. 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 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.

 

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

 

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

 

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

 

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)    Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
(b)    Perpetual bond with no specified maturity date.
(c)    Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(d)    Interest rate represents annualized yield at time of purchase; not a coupon rate.
(e)    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.
(f)    Variable rate security. Rate as of June 30, 2021 is disclosed.
(g)    Illiquid security.
(h)    Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of this security amounted to $315,020 or 1.2% of net assets.
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, 2021, the value of Rule 144A holdings amounted to $7,744,989 or 29.4% of net assets.
LIBOR    London Interbank Offered Rate
MTN    Medium Term Note
REITs    Real Estate Investment Trusts

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At June 30, 2021, open short futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Ultra 10 Year U.S. Treasury Note

      9/21/2021        2      $ 290,080      $ 294,406      $ (4,326 ) 
              

 

 

  

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2021, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes*

    $ —        $ 24,111,379      $ —        $ 24,111,379  

Collateralized Loan Obligations

      —          751,560        —          751,560  

Preferred Stocks

            

Food & Beverage

      —          173,162        —          173,162  

Wireless

      —          315,020        —          315,020  

All Other Preferred Stocks*

      349,817        —          —          349,817  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      349,817        488,182        —          837,999  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 349,817      $ 25,351,121      $ —        $ 25,700,938  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Futures Contracts (unrealized depreciation)

      $    (4,326 )     $              —        $ —        $      (4,326 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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

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 futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. During the period ended June 30, 2021, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of June 30, 2021:

 

Liabilities

    Unrealized
depreciation on
futures contracts		  

Exchange-traded liability derivatives Interest rate contracts

    $ (4,326 ) 

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. 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 typically are required to segregate customer margin for exchange-traded derivatives 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 customers, 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 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 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, as of June 30, 2021:

 

Maximum Amount

of Loss - Gross

   

Maximum Amount

of Loss - Net

$            19,980

    $            19,980

Industry Summary at June 30, 2021 (Unaudited)

 

Banking

      13.7 % 

Treasuries

      11.8  

Technology

      5.9  

Finance Companies

      5.8  

Pharmaceuticals

      4.6  

Cable Satellite

      4.5  

Food & Beverage

      4.5  

Metals & Mining

      4.2  

Wireless

      3.8  

Aerospace & Defense

      3.8  

Healthcare

      2.8  

Media Entertainment

      2.5  

Consumer Cyclical Services

      2.5  

Independent Energy

      2.4  

Midstream

      2.2  

Other Investments, less than 2% each

      19.8  

Collateralized Loan Obligations

      2.8  
  

 

 

  

Total Investments

      97.6  

Other assets less liabilities (including futures contracts)

      2.4  
  

 

 

  

Net Assets

      100.0 %