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

Loomis Sayles Strategic Income Fund

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – 81.9% of Net Assets
Non-Convertible Bonds – 73.9%
	ABS Car Loan – 0.2%
$       7,500,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A	$	7,531,058
5,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A		5,076,840
			12,607,898
	ABS Credit Card – 0.0%
975,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a)		985,142
	ABS Home Equity – 3.2%
10,247,680	510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(b)		10,237,279
8,555,000	CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/26/2029, 144A(b)		8,548,926
5,350,000	CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A		5,468,524
3,140,000	CoreVest American Finance Trust, Series 2021-2, Class C, 2.478%, 7/15/2054, 144A(a)		3,077,064
13,063,636	Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(b)		13,114,767
2,510,000	Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A(a)		2,673,680
7,660,000	FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A		7,862,751
1,965,000	FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A		1,958,798
4,290,000	FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A		4,285,294
2,105,000	FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A		2,102,605
2,419,000	FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A		2,417,846
7,800,531	Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/19/2041, 144A		7,745,054
1,974,690	Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.164%, 6/17/2037, 144A(a)(c)		1,977,410
959,911	Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.234%, 7/17/2037, 144A(a)(c)		961,513
518,133	Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(b)		521,627
4,025,000	Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(b)		4,065,206
11,507,000	Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A		11,551,723
3,623,000	Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A		3,601,309
5,465,000	Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A		5,457,380

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	ABS Home Equity – continued
$       4,645,000	Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A	$	4,567,027
975,000	Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A		958,612
15,160,000	Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A		14,960,913
2,513,000	PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(b)		2,534,132
10,044,346	PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(b)		10,141,354
8,214,854	PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(b)		8,195,557
6,850,000	PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(b)		6,845,500
8,130,000	Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(b)		8,134,169
7,865,000	VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(b)		7,864,512
338,144	VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b)		339,061
3,970,000	VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2061, 144A(b)		3,959,428
			166,129,021
	ABS Other – 0.8%
2,028,234	Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A(a)		2,032,999
3,906,408	Castlelake Aircraft Structured Trust, Series 2017-1R, Class B, 3.924%, 8/15/2041, 144A		3,902,685
42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(d)(e)(g)(h)(i)		568,008
15,329,904	MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A(a)		15,448,895
10,926,840	SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A(a)		10,934,379
9,247,755	Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(a)		9,162,953
			42,049,919
	ABS Whole Business – 0.2%
2,319,188	Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A		2,323,808
9,300,000	Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.294%, 8/25/2051, 144A		9,306,891
			11,630,699
	Aerospace & Defense – 2.4%
14,845,000	Boeing Co. (The), 3.625%, 2/01/2031		15,891,700
1,995,000	Boeing Co. (The), 3.625%, 3/01/2048		1,958,578

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Aerospace & Defense – continued
$       2,660,000	Boeing Co. (The), 3.750%, 2/01/2050	$	2,696,841
4,190,000	Boeing Co. (The), 3.825%, 3/01/2059		4,110,227
415,000	Boeing Co. (The), 3.850%, 11/01/2048		422,856
6,000,000	Boeing Co. (The), 3.900%, 5/01/2049		6,176,403
4,124,000	Boeing Co. (The), 3.950%, 8/01/2059		4,232,450
2,795,000	Boeing Co. (The), 5.150%, 5/01/2030		3,280,464
39,862,000	Boeing Co. (The), 5.805%, 5/01/2050(a)		53,134,864
3,145,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		3,345,525
9,576,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		11,375,330
8,815,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		11,516,974
6,485,000	TransDigm, Inc., 5.500%, 11/15/2027		6,663,338
370,000	TransDigm, Inc., 7.500%, 3/15/2027		387,575
			125,193,125
	Airlines – 2.0%
16,395,411	Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(a)		17,716,061
240,000	American Airlines Group, Inc., 3.750%, 3/01/2025, 144A		216,264
13,220,000	American Airlines Group, Inc., 5.000%, 6/01/2022, 144A		13,236,525
1,415,848	American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027		1,363,150
813,724	American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027		786,493
2,655,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A		2,791,069
3,055,000	American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A		3,291,763
26,975,000	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		29,333,154
120,264	Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023(a)		120,518
23,265,710	United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(a)		25,945,455
2,966,244	United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027		3,138,405
2,280,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		2,339,850

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Airlines – continued
$       3,415,000	United Airlines, Inc., 4.625%, 4/15/2029, 144A	$	3,529,232
			103,807,939
	Automotive – 1.3%
1,210,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		1,258,400
18,505,000	Ford Motor Co., 4.750%, 1/15/2043		19,395,646
1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,435,550
1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,596,488
1,500,000	Ford Motor Credit Co. LLC, 5.113%, 5/03/2029		1,676,250
2,845,000	General Motors Co., 5.200%, 4/01/2045		3,464,485
2,120,000	General Motors Co., 6.250%, 10/02/2043		2,855,528
29,835,000	General Motors Financial Co., Inc., 3.600%, 6/21/2030(a)		32,001,957
540,000	General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(j)		589,928
865,000	General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(j)		995,831
			65,270,063
	Banking – 4.6%
6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		8,653,972
13,515,000	Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(j)		14,067,088
10,840,000	Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(j)		11,327,800
13,200,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A(a)		14,753,640
8,355,000	Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031(a)		8,527,347
5,895,000	Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031(a)		5,684,411
11,885,000	Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(j)		11,876,681
31,380,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a)		32,555,928
9,940,000	BNP Paribas S.A., 2.824%, 1/26/2041, 144A(a)		9,427,991
9,462,000	BNP Paribas S.A., (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A(a)		9,167,637
520,000	CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(k)		215,940

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Banking – continued
$     26,680,000	Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031(a)	$	30,806,260
5,670,000	Credit Agricole S.A., 2.811%, 1/11/2041, 144A(a)		5,410,583
6,740,000	Credit Agricole S.A., 3.250%, 1/14/2030, 144A(a)		7,074,034
5,325,000	Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033(a)		5,752,825
3,795,000	Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032		3,918,279
1,709,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		1,879,513
6,610,000	Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032(a)		6,706,561
9,180,000	JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031(a)		8,765,982
13,160,000	JPMorgan Chase & Co., (fixed rate to 2/04/2031, variable rate thereafter), 1.953%, 2/04/2032(a)		12,695,733
14,965,000	NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035(a)		14,989,992
13,520,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		14,915,867
			239,174,064
	Brokerage – 0.5%
14,755,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,819,724
7,155,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		7,821,470
			27,641,194
	Building Materials – 1.4%
39,005,000	Cemex SAB de CV, 3.875%, 7/11/2031, 144A		39,028,403
2,395,000	Cemex SAB de CV, 5.200%, 9/17/2030, 144A		2,572,350
6,090,000	Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(j)		6,202,726
3,255,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		3,391,840
1,859,000	Masco Corp., 6.500%, 8/15/2032		2,456,842
1,226,000	Masco Corp., 7.750%, 8/01/2029		1,649,987
10,800,000	Owens Corning, 7.000%, 12/01/2036		15,531,281
			70,833,429
	Cable Satellite – 4.1%
34,275,000	CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A		33,953,672

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Cable Satellite – continued
$       3,905,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 2.800%, 4/01/2031	$	3,913,821
59,580,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051		58,008,502
9,570,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061		9,126,839
4,940,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.900%, 6/01/2052		4,920,606
31,570,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062		30,455,271
3,900,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049		4,587,365
17,880,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		18,684,600
3,705,000	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.875%, 8/15/2027, 144A		3,867,094
6,470,000	DISH DBS Corp., 5.125%, 6/01/2029		6,339,241
6,568,000	DISH DBS Corp., 5.875%, 11/15/2024		7,062,439
15,865,000	DISH DBS Corp., 7.750%, 7/01/2026		17,915,155
4,835,000	Time Warner Cable LLC, 4.500%, 9/15/2042		5,291,139
135,000	Time Warner Cable LLC, 5.875%, 11/15/2040		170,289
4,915,000	Ziggo BV, 5.500%, 1/15/2027, 144A		5,080,881
			209,376,914
	Chemicals – 1.0%
4,205,000	Alpek SAB de CV, 3.250%, 2/25/2031, 144A		4,247,092
13,380,000	Ashland LLC, 3.375%, 9/01/2031, 144A		13,497,075
1,320,000	Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A		1,404,480
6,735,000	Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A		7,661,062
905,000	INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A		914,050
6,275,000	Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A		6,509,811
10,239,000	Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A		10,315,178
2,295,000	SPCM S.A., 3.125%, 3/15/2027, 144A		2,297,754

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Chemicals – continued
$       2,125,000	SPCM S.A., 3.375%, 3/15/2030, 144A	$	2,123,353
			48,969,855
	Consumer Cyclical Services – 2.6%
3,430,000	Expedia Group, Inc., 2.950%, 3/15/2031		3,466,221
28,355,000	Expedia Group, Inc., 3.250%, 2/15/2030		29,324,872
6,720,000	Expedia Group, Inc., 3.800%, 2/15/2028		7,293,403
10,550,000	Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A		10,457,688
5,500,000	Terminix Co. LLC (The), 7.450%, 8/15/2027		6,668,750
9,620,000	TriNet Group, Inc., 3.500%, 3/01/2029, 144A		9,644,050
8,505,000	Uber Technologies, Inc., 4.500%, 8/15/2029, 144A		8,563,472
18,350,000	Uber Technologies, Inc., 6.250%, 1/15/2028, 144A		19,680,191
34,335,000	Uber Technologies, Inc., 7.500%, 9/15/2027, 144A		37,489,528
			132,588,175
	Consumer Products – 0.4%
11,880,000	Avon Products, Inc., 8.450%, 3/15/2043		15,028,200
6,110,000	Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A		6,184,848
			21,213,048
	Electric – 1.1%
21,956,057	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		25,785,088
3,570,000	Enel Generacion Chile S.A., 7.875%, 2/01/2027(a)		4,388,330
1,635,000	Pacific Gas & Electric Co., 3.250%, 6/01/2031		1,629,059
4,365,000	Pacific Gas & Electric Co., 3.500%, 8/01/2050		3,969,685
5,515,000	Pacific Gas & Electric Co., 4.250%, 3/15/2046		5,421,309
7,435,000	Pacific Gas & Electric Co., 4.300%, 3/15/2045		7,335,301
7,860,000	Pacific Gas & Electric Co., 4.750%, 2/15/2044		8,004,140
			56,532,912
	Finance Companies – 5.3%
780,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027		828,537

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Finance Companies – continued
$       6,980,000	Air Lease Corp., 3.125%, 12/01/2030	$	7,150,734
4,298,000	Air Lease Corp., 4.625%, 10/01/2028		4,827,608
2,645,000	Air Lease Corp., MTN, 3.000%, 2/01/2030		2,683,897
11,210,000	Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(j)		11,728,462
3,585,000	Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(j)		3,668,531
1,020,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		1,103,461
20,000,000	Antares Holdings LP, 8.500%, 5/18/2025, 144A		23,857,260
20,380,000	Ares Capital Corp., 2.875%, 6/15/2028		20,645,316
5,315,000	Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A		5,295,799
7,225,000	FS KKR Capital Corp., 3.400%, 1/15/2026		7,549,267
40,505,000	GE Capital Funding LLC, 4.550%, 5/15/2032(a)		47,966,667
11,150,000	GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035(a)		13,380,583
135,000	Navient Corp., 5.000%, 3/15/2027		139,050
3,030,000	Navient Corp., 5.875%, 10/25/2024		3,234,525
950,000	Navient Corp., 6.750%, 6/15/2026		1,048,449
5,355,000	Navient Corp., MTN, 5.625%, 8/01/2033		5,093,944
4,774,000	Navient Corp., MTN, 6.125%, 3/25/2024		5,111,760
4,075,000	OneMain Finance Corp., 7.125%, 3/15/2026		4,721,906
8,425,000	Owl Rock Capital Corp., 2.875%, 6/11/2028		8,409,275
14,750,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		15,831,216
4,360,000	Rocket Mortgage LLC, 5.250%, 1/15/2028, 144A		4,697,900
13,535,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A		13,226,402
12,520,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		12,660,850
37,150,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		37,475,062
9,030,000	Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A		8,962,275
			271,298,736

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Financial Other – 1.9%
$       1,650,000	Agile Group Holdings Ltd., 5.500%, 4/21/2025	$	1,549,143
695,000	Agile Group Holdings Ltd., 5.500%, 5/17/2026		641,205
1,225,000	Agile Group Holdings Ltd., 5.750%, 1/02/2025		1,151,037
5,580,000	Agile Group Holdings Ltd., 6.050%, 10/13/2025		5,252,953
17,835,000	Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A		17,635,428
1,275,000	CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(k)		531,484
525,000	CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(k)		218,400
1,275,000	CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(k)		514,399
220,000	China Aoyuan Group Ltd., 6.200%, 3/24/2026		168,339
2,400,000	China Aoyuan Group Ltd., 6.350%, 2/08/2024		2,065,209
1,240,000	China Aoyuan Group Ltd., 7.950%, 2/19/2023		1,116,008
1,800,000	China Evergrande Group, 8.250%, 3/23/2022		459,306
4,045,000	China Evergrande Group, 8.750%, 6/28/2025		971,771
1,405,000	China Evergrande Group, 9.500%, 4/11/2022		361,352
335,000	China Evergrande Group, 9.500%, 3/29/2024		80,608
2,190,000	CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026		2,077,599
24,490,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029		24,459,387
3,580,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027		3,714,250
2,430,000	Kaisa Group Holdings Ltd., 9.375%, 6/30/2024		1,841,180
6,550,000	Kaisa Group Holdings Ltd., 11.650%, 6/01/2026		4,996,406
2,140,000	Kaisa Group Holdings Ltd., 11.700%, 11/11/2025		1,632,129
11,820,000	Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A		12,174,600
5,405,000	Sunac China Holdings Ltd., 6.500%, 1/26/2026		4,337,709
720,000	Times China Holdings Ltd., 5.750%, 1/14/2027		637,341
3,690,000	Times China Holdings Ltd., 6.200%, 3/22/2026		3,333,085

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Financial Other – continued
$     11,950,000	Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027	$	7,738,581
			99,658,909
	Food & Beverage – 1.6%
4,310,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A		4,484,684
45,450,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		51,857,996
14,805,000	MARB BondCo. PLC, 3.950%, 1/29/2031, 144A		14,142,772
9,895,000	Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A		10,064,403
			80,549,855
	Gaming – 0.7%
12,960,000	Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A		12,824,368
5,475,000	International Game Technology PLC, 6.250%, 1/15/2027, 144A		6,186,750
3,265,000	Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A		3,227,126
12,590,000	Scientific Games International, Inc., 7.000%, 5/15/2028, 144A		13,581,462
740,000	Scientific Games International, Inc., 7.250%, 11/15/2029, 144A		831,492
			36,651,198
	Government Owned - No Guarantee – 1.7%
495,000	Antares Holdings LP, 2.750%, 1/15/2027, 144A		495,448
1,999,900,000	Export-Import Bank of Korea, 4.890%, 8/09/2023, 144A, (INR)(a)		26,794,659
455,800,000	Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(a)		6,248,995
6,535,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		8,514,780
6,586,000	Petroleos Mexicanos, 6.625%, 6/15/2035		6,248,467
12,239,000	Petroleos Mexicanos, 6.950%, 1/28/2060		10,695,662
30,245,000	Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a)		28,810,782
			87,808,793
	Health Insurance – 0.6%
21,450,000	Centene Corp., 2.500%, 3/01/2031		21,155,062
6,390,000	Centene Corp., 2.625%, 8/01/2031		6,346,804

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Health Insurance – continued
$       4,510,000	Centene Corp., 3.000%, 10/15/2030	$	4,622,750
			32,124,616
	Healthcare – 1.2%
3,285,000	Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A		3,225,706
1,980,000	Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A		2,022,075
2,110,000	Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A		2,210,710
2,655,000	Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A		2,711,419
16,025,000	HCA, Inc., 5.250%, 6/15/2049		20,453,498
28,194,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		32,352,615
			62,976,023
	Home Construction – 1.3%
3,760,000	KWG Group Holdings Ltd., 6.300%, 2/13/2026		3,379,897
29,870,000	PulteGroup, Inc., 6.000%, 2/15/2035(a)		38,606,975
13,190,000	PulteGroup, Inc., 6.375%, 5/15/2033		17,331,660
1,080,000	Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025		793,297
395,000	Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026		260,879
4,535,000	Zhenro Properties Group Ltd., 6.630%, 1/07/2026		3,829,071
365,000	Zhenro Properties Group Ltd., 6.700%, 8/04/2026		304,019
715,000	Zhenro Properties Group Ltd., 7.350%, 2/05/2025		622,487
			65,128,285
	Independent Energy – 3.3%
9,350,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		10,010,544
17,065,000	Aker BP ASA, 4.000%, 1/15/2031, 144A		18,561,627
6,638,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.000%, 11/01/2027, 144A		9,094,060
9,380,000	Continental Resources, Inc., 5.750%, 1/15/2031, 144A		11,338,075
2,678,000	Devon Energy Corp., 4.500%, 1/15/2030, 144A		2,918,718
3,575,000	Diamondback Energy, Inc., 3.125%, 3/24/2031		3,712,159

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Independent Energy – continued
$       2,340,000	Diamondback Energy, Inc., 3.500%, 12/01/2029	$	2,502,482
6,210,000	Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A		6,355,376
8,120,000	Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A		8,340,458
810,000	EQT Corp., 3.125%, 5/15/2026, 144A		830,347
1,720,000	EQT Corp., 3.625%, 5/15/2031, 144A		1,792,240
12,640,000	Hess Corp., 5.600%, 2/15/2041		15,793,060
550,000	Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A		597,212
10,835,000	Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A		11,892,171
8,530,000	Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A		8,581,460
6,160,000	Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A		6,245,905
17,908,000	Mesquite Energy, Inc., 6.125%, 1/15/2023(d)(e)(i)(k)		716,320
9,520,000	Mesquite Energy, Inc., 7.750%, 6/15/2021(d)(e)(i)(k)		380,800
540,000	Occidental Petroleum Corp., 4.500%, 7/15/2044		542,209
32,720,000	Occidental Petroleum Corp., 6.625%, 9/01/2030		40,327,400
1,245,000	Ovintiv, Inc., 6.500%, 8/15/2034		1,679,105
540,000	Ovintiv, Inc., 6.500%, 2/01/2038		742,799
2,715,000	Ovintiv, Inc., 6.625%, 8/15/2037		3,723,472
360,000	Ovintiv, Inc., 7.200%, 11/01/2031		483,099
325,000	Ovintiv, Inc., 7.375%, 11/01/2031		440,848
1,495,000	Ovintiv, Inc., 8.125%, 9/15/2030		2,056,761
597,000	Southwestern Energy Co., 6.450%, 1/23/2025		657,339
			170,316,046
	Industrial Other – 0.1%
610,000	CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(k)		255,163
3,985,000	TopBuild Corp., 4.125%, 2/15/2032, 144A		4,024,850
			4,280,013

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Leisure – 0.7%
$     11,785,000	Carnival Corp., 5.750%, 3/01/2027, 144A	$	12,182,744
6,575,000	NCL Corp. Ltd., 5.875%, 3/15/2026, 144A		6,739,375
2,415,000	NCL Finance Ltd., 6.125%, 3/15/2028, 144A		2,505,562
230,000	Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A		225,296
12,300,000	Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A		12,580,551
			34,233,528
	Life Insurance – 1.5%
9,880,000	Athene Global Funding, 1.608%, 6/29/2026, 144A(a)		9,872,842
3,575,000	Brighthouse Financial, Inc., 4.700%, 6/22/2047(a)		4,042,532
13,830,000	Brighthouse Financial, Inc., 5.625%, 5/15/2030(a)		16,695,172
20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(e)(l)		32,591,000
8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(e)(l)		11,685,111
			74,886,657
	Lodging – 0.7%
7,620,000	Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A		7,505,700
1,745,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A		1,751,544
5,385,000	Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A		5,492,700
7,440,000	Marriott International, Inc., Series HH, 2.850%, 4/15/2031		7,535,095
4,155,000	Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A		4,206,937
7,670,000	Travel & Leisure Co., 4.625%, 3/01/2030, 144A		7,880,925
970,000	Travel & Leisure Co., 6.000%, 4/01/2027		1,074,978
1,120,000	Travel & Leisure Co., 6.625%, 7/31/2026, 144A		1,275,422
			36,723,301
	Media Entertainment – 1.3%
5,500,000	AMC Networks, Inc., 4.250%, 2/15/2029		5,472,500
3,925,000	iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A		4,044,712

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Media Entertainment – continued
$       1,925,000	iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A	$	2,000,191
4,635,000	iHeartCommunications, Inc., 8.375%, 5/01/2027		4,953,656
1,325,000	Netflix, Inc., 4.875%, 4/15/2028		1,527,063
11,680,000	Netflix, Inc., 4.875%, 6/15/2030, 144A		13,753,200
1,305,000	Netflix, Inc., 5.375%, 11/15/2029, 144A		1,580,681
6,520,000	Netflix, Inc., 5.875%, 11/15/2028		7,989,608
7,670,000	Netflix, Inc., 6.375%, 5/15/2029		9,702,550
3,956,000	ViacomCBS, Inc., 4.375%, 3/15/2043		4,525,506
4,469,000	ViacomCBS, Inc., 4.900%, 8/15/2044		5,470,748
4,600,000	ViacomCBS, Inc., 4.950%, 5/19/2050		5,759,053
			66,779,468
	Metals & Mining – 3.5%
8,090,000	Anglo American Capital PLC, 2.625%, 9/10/2030, 144A		8,035,882
13,790,000	Anglo American Capital PLC, 2.875%, 3/17/2031, 144A		13,836,887
22,016,000	ArcelorMittal S.A., 6.750%, 3/01/2041		30,258,240
2,630,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		2,735,200
35,930,000	First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A		37,995,975
1,810,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,856,752
9,590,000	FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A		9,909,826
22,815,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		27,406,519
12,330,000	Glencore Funding LLC, 2.500%, 9/01/2030, 144A(a)		12,099,306
29,695,000	Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a)		29,872,581
6,230,000	JSW Steel Ltd., 5.050%, 4/05/2032, 144A		6,202,131
1,900,000	Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A		1,849,650
			182,058,949
	Midstream – 0.7%
14,530,000	Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a)		14,499,703

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Midstream – continued
$       2,530,000	Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A	$	2,558,462
505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		723,725
1,425,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		1,521,322
185,000	Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043		189,967
11,340,000	Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044		12,170,089
1,180,000	Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045		1,271,671
3,515,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A		3,632,577
			36,567,516
	Natural Gas – 0.0%
1,380,000	KWG Group Holdings Ltd., 6.000%, 8/14/2026		1,223,558
	Non-Agency Commercial Mortgage-Backed Securities – 1.0%
335,000	BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A		345,004
10,565,000	Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 5.038%, 9/10/2045, 144A(b)		10,642,296
125,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a)		124,377
1,095,000	Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)(b)		1,096,397
305,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A(a)		309,915
1,690,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A		1,608,263
4,100,452	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class D, 5.752%, 8/15/2046, 144A(b)		4,062,010
3,980,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class E, 4.000%, 8/15/2046, 144A(b)		3,224,994
10,664,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.828%, 10/15/2045, 144A(a)(b)		10,515,407
290,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.508%, 12/15/2047, 144A(a)(b)		284,704
3,110,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(b)		3,065,975
4,901,000	Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.539%, 3/15/2045, 144A(b)		4,646,272
5,285,000	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.443%, 7/15/2046(b)		5,291,013
1,315,000	WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045(a)		1,304,490
4,000,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.650%, 8/15/2046(a)(b)		3,991,028

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Non-Agency Commercial Mortgage-Backed Securities – continued
$          940,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a)	$	976,641
			51,488,786
	Paper – 0.9%
15,225,000	Georgia-Pacific LLC, 7.750%, 11/15/2029(a)		21,593,253
4,865,000	WestRock MWV LLC, 7.950%, 2/15/2031		6,912,639
8,750,000	WestRock MWV LLC, 8.200%, 1/15/2030		12,259,796
2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,629,841
			44,395,529
	Pharmaceuticals – 0.0%
1,995,000	Jazz Securities DAC, 4.375%, 1/15/2029, 144A		2,067,419
	Property & Casualty Insurance – 0.0%
12,510,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.386%, 1/15/2033, 144A(c)(d)(e)(h)(i)		2,157,975
	Restaurants – 0.4%
19,175,000	Yum! Brands, Inc., 4.625%, 1/31/2032		20,469,313
	Retailers – 0.7%
3,665,000	Carvana Co., 5.500%, 4/15/2027, 144A		3,740,866
3,250,000	Carvana Co., 5.625%, 10/01/2025, 144A		3,360,143
6,245,000	Carvana Co., 5.875%, 10/01/2028, 144A		6,452,396
3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,926,758
1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,791,180
3,975,000	Lithia Motors, Inc., 3.875%, 6/01/2029, 144A		4,133,284
6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,801,453
2,555,000	Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A		2,570,969
			33,777,049
	Sovereigns – 0.9%
30,640,000	Mexico Government International Bond, 3.771%, 5/24/2061(a)		27,207,401
20,885,000	Mexico Government International Bond, 4.280%, 8/14/2041(a)		21,308,965
			48,516,366

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Supermarkets – 0.1%
$       2,290,000		Safeway, Inc., 7.250%, 2/01/2031	$	2,736,550
		Supranational – 0.1%
525,240,000		International Finance Corp., 5.850%, 11/25/2022, (INR)(a)		7,153,921
		Technology – 2.5%
1,025,000		Broadcom, Inc., 3.187%, 11/15/2036, 144A		1,022,023
23,110,000		Broadcom, Inc., 4.300%, 11/15/2032		25,897,838
15,295,000		CommScope Technologies LLC, 5.000%, 3/15/2027, 144A		14,547,992
14,915,000		CommScope, Inc., 4.750%, 9/01/2029, 144A		14,896,356
1,215,000		Everi Holdings, Inc., 5.000%, 7/15/2029, 144A		1,244,986
13,195,000		Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		13,821,762
4,070,000		Jabil, Inc., 3.950%, 1/12/2028		4,489,230
15,170,000		KLA Corp., 5.650%, 11/01/2034(a)		19,600,556
5,655,000		Marvell Technology, Inc., 2.950%, 4/15/2031, 144A		5,812,774
5,050,000		MSCI, Inc., 3.250%, 8/15/2033, 144A		5,107,873
5,200,000		Sensata Technologies BV, 4.000%, 4/15/2029, 144A		5,293,340
5,770,000		Square, Inc., 3.500%, 6/01/2031, 144A		5,918,462
11,540,000		SYNNEX Corp., 1.750%, 8/09/2026, 144A		11,416,467
				129,069,659
		Transportation Services – 0.4%
4,150,000		Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A		3,961,466
14,685,000		Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A		15,403,537
1,234,000		Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024		1,351,526
1,240,000		GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A		1,187,000
255,000		GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A		254,444
				22,157,973
		Treasuries – 11.5%
142,342	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		26,016,700

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
5,454,785	(†††)	Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a)	$	26,719,633
26,390,000		U.S. Treasury Note, 0.125%, 11/30/2022(a)		26,385,877
109,525,000		U.S. Treasury Note, 0.125%, 12/31/2022(m)		109,490,773
117,000,000		U.S. Treasury Note, 0.125%, 1/31/2023(a)		116,940,586
208,955,000		U.S. Treasury Note, 0.125%, 2/28/2023(a)		208,799,916
53,450,000		U.S. Treasury Note, 0.125%, 4/30/2023(a)		53,379,012
26,005,000		U.S. Treasury Note, 0.250%, 9/30/2023		25,984,684
				593,717,181
		Wireless – 2.7%
6,300,000		Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A		6,333,918
1,200,000		HTA Group Ltd., 7.000%, 12/18/2025, 144A		1,260,000
20,720,000		HTA Group Ltd., 7.000%, 12/18/2025		21,756,000
7,228,000		IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A		7,725,648
2,580,000		Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A		2,594,551
5,345,000		Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A		5,626,361
490,000		Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A		505,430
1,903,500		Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		1,978,688
4,225,500		Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A		4,626,923
16,600,000		SBA Communications Corp., 3.125%, 2/01/2029, 144A		16,039,750
27,610,000		T-Mobile USA, Inc., 3.375%, 4/15/2029		28,804,132
13,640,000		T-Mobile USA, Inc., 3.500%, 4/15/2031		14,385,217
25,025,000		T-Mobile USA, Inc., 3.875%, 4/15/2030		27,631,656
				139,268,274
		Wirelines – 0.8%
8,920,000		AT&T, Inc., 3.500%, 9/15/2053(a)		8,828,302
350,000		Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		383,425
2,160,000		Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A		2,251,152

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Wirelines – continued
$       1,240,000	Lumen Technologies, Inc., 5.625%, 4/01/2025	$	1,348,500
6,071,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		6,814,698
16,440,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		19,131,228
3,945,000	Verizon Communications, Inc., 2.850%, 9/03/2041(a)		3,850,202
			42,607,507
	Total Non-Convertible Bonds (Identified Cost $3,720,721,272)		3,816,852,350
Convertible Bonds – 6.7%
	Airlines – 0.6%
3,695,000	JetBlue Airways Corp., 0.500%, 4/01/2026, 144A		3,620,523
18,060,000	Southwest Airlines Co., 1.250%, 5/01/2025(a)		26,977,125
			30,597,648
	Cable Satellite – 3.2%
14,660,000	DISH Network Corp., 2.375%, 3/15/2024		14,284,337
143,750,000	DISH Network Corp., 3.375%, 8/15/2026		149,428,125
			163,712,462
	Consumer Cyclical Services – 0.3%
5,370,000	Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(f)		5,797,726
5,830,000	Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(n)		5,132,065
7,860,000	Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(f)		7,644,876
			18,574,667
	Gaming – 0.1%
1,610,000	Penn National Gaming, Inc., 2.750%, 5/15/2026		5,137,510
	Healthcare – 0.5%
25,010,000	Teladoc Health, Inc., 1.250%, 6/01/2027		25,120,957
	Media Entertainment – 0.2%
8,280,000	Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(f)		7,686,653
1,730,000	Zynga, Inc., Zero Coupon, 0.779%-0.859%, 12/15/2026, 144A(a)(n)		1,670,531
			9,357,184

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
	Oil Field Services – 0.2%
$     10,424,449	Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash, 11/15/2025, 144A(d)(e)(g)(i)(o)(q)	$	10,233,682
	Pharmaceuticals – 0.9%
8,280,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		8,471,982
27,195,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027		27,217,392
5,015,000	Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(f)		4,557,318
4,250,000	Livongo Health, Inc., 0.875%, 6/01/2025		5,614,633
			45,861,325
	Technology – 0.7%
16,485,000	Palo Alto Networks, Inc., 0.375%, 6/01/2025		27,217,948
8,585,000	Splunk, Inc., 1.125%, 6/15/2027		8,418,666
			35,636,614
	Total Convertible Bonds (Identified Cost $339,263,535)		344,232,049
Municipals – 1.3%
	Virginia – 1.3%
66,375,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $66,369,229)		69,308,715
	Total Bonds and Notes (Identified Cost $4,126,354,036)		4,230,393,114
Senior Loans – 0.9%
	Airlines – 0.1%
5,883,921	United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(c)		5,920,048
	Chemicals – 0.1%
7,037,600	Aruba Investments, Inc., 2020 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.500%, 11/24/2028(c)		7,055,194
	Healthcare – 0.1%
4,651,489	Medline Industries, Inc., USD Term Loan B, 9/20/2028(p)		4,641,302
	Independent Energy – 0.3%
12,660,000	Ascent Resources - Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.000%, 11/01/2025(c)		13,841,558
	Lodging – 0.2%
6,025,787	Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.500%, 8/02/2028(c)		6,039,345

Principal Amount (‡)	Description	Value (†)
Senior Loans – continued
	Lodging – continued
$       2,375,000	Motel 6, Term Loan B, 9/09/2026(p)	$	2,380,937
			8,420,282
	Pharmaceuticals – 0.1%
5,196,975	Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c)		5,202,848
	Total Senior Loans (Identified Cost $43,607,554)		45,081,232
Collateralized Loan Obligations – 2.7%
4,475,000	AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 1.730%, 7/20/2034, 144A(a)(c)		4,458,973
4,955,000	AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 2.980%, 7/20/2034, 144A(c)		4,954,477
1,245,000	AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 3.226%, 7/15/2034, 144A(c)		1,244,988
4,390,000	AIG CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 3.134%, 4/22/2034, 144A(c)		4,385,802
3,780,000	AIG CLO Ltd., Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 3.140%, 7/20/2034, 144A(c)		3,761,111
2,675,000	ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 3.116%, 10/15/2034, 144A(c)		2,680,303
6,730,000	Assurant CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 3.234%, 10/20/2031, 144A(c)		6,729,922
3,025,000	Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 3.235%, 7/25/2034, 144A(c)(d)		3,025,000
1,505,000	Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 3.134%, 1/17/2032, 144A(c)		1,504,985
3,530,000	CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 5.216%, 7/20/2032, 144A(c)		3,526,507
3,095,000	CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 3.397%, 7/15/2034, 144A(c)		3,103,122
4,775,000	Crown City CLO I, Series 2021-1A, Class CR, 3-month LIBOR + 3.420%, 3.566%, 7/20/2034, 144A(c)		4,774,940
5,230,000	Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 3.217%, 10/20/2034, 144A(c)		5,250,920
2,890,000	Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 2.984%, 1/20/2034, 144A(c)		2,887,163
980,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 2.134%, 4/20/2031, 144A(a)(c)		979,032
2,965,000	LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.134%, 4/20/2031, 144A(c)		2,964,968
10,665,000	Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 3.329%, 7/27/2031, 144A(c)		10,675,433
990,000	Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.138%, 1/23/2031, 144A(c)		990,060
6,010,000	Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 1.788%, 7/15/2034, 144A(a)(c)		6,009,980
8,055,000	OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 3.234%, 7/20/2032, 144A(c)		8,054,907
7,155,000	Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 3.276%, 7/15/2034, 144A(c)		7,174,195

Principal Amount (‡)	Description	Value (†)
Collateralized Loan Obligations – continued
$       3,125,000	Octagon Investment Partners 46 Ltd., Series 2020-A2, Class DR, 3-month LIBOR + 3.300%, 3.409%, 7/15/2036, 144A(c)	$	3,141,794
8,250,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 1.798%, 7/02/2035, 144A(a)(c)		8,257,586
6,450,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 3.048%, 7/02/2035, 144A(c)		6,449,917
9,695,000	Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 1.634%, 10/17/2031, 144A(a)(c)		9,695,622
970,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 1.831%, 5/21/2034, 144A(a)(c)		974,799
7,615,000	Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 2.981%, 5/21/2034, 144A(c)		7,614,895
9,760,000	Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(c)(d)(i)		9,760,000
400,000	THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 3.084%, 1/20/2031, 144A(c)		400,008
1,540,000	Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 3.893%, 10/20/2034, 144A(c)		1,555,344
	Total Collateralized Loan Obligations (Identified Cost $136,925,139)		136,986,753
Shares
Common Stocks – 10.3%
	Aerospace & Defense – 0.3%
43,186	Lockheed Martin Corp.		14,903,488
	Air Freight & Logistics – 0.3%
83,921	United Parcel Service, Inc., Class B		15,282,014
	Beverages – 0.3%
281,946	Coca-Cola Co. (The)		14,793,707
	Capital Markets – 0.6%
18,508	BlackRock, Inc.		15,521,919
165,876	Morgan Stanley		16,141,394
			31,663,313
	Chemicals – 0.3%
664,252	Hexion Holdings Corp., Class B(h)		14,060,222
	Communications Equipment – 0.3%
292,009	Cisco Systems, Inc.		15,894,050
	Electric Utilities – 0.6%
152,196	Duke Energy Corp.		14,852,808
205,783	NextEra Energy, Inc.		16,158,081
			31,010,889
	Electronic Equipment, Instruments & Components – 0.2%
363,031	Corning, Inc.		13,247,001

Shares	Description	Value (†)
Common Stocks – continued
	Energy Equipment & Services – 0.0%
60,638	Pioneer Energy Services Corp.(d)(e)(g)(h)(i)(q)	$	792,539
	Food & Staples Retailing – 0.3%
113,057	Walmart, Inc.		15,757,885
	Health Care Equipment & Supplies – 0.3%
132,375	Abbott Laboratories		15,637,459
	Health Care Providers & Services – 0.6%
41,860	Anthem, Inc.		15,605,408
39,038	UnitedHealth Group, Inc.		15,253,708
			30,859,116
	Hotels, Restaurants & Leisure – 0.3%
131,438	Starbucks Corp.		14,498,926
	Household Products – 0.3%
114,431	Procter & Gamble Co. (The)		15,997,454
	IT Services – 0.5%
50,383	Accenture PLC, Class A		16,118,529
37,851	Automatic Data Processing, Inc.		7,567,172
			23,685,701
	Machinery – 0.4%
34,614	Cummins, Inc.		7,772,920
44,613	Deere & Co.		14,948,478
			22,721,398
	Media – 0.5%
276,609	Comcast Corp., Class A		15,470,741
461,939	iHeartMedia, Inc., Class A(h)		11,557,714
			27,028,455
	Metals & Mining – 0.3%
256,528	Newmont Corp.		13,929,470
	Oil, Gas & Consumable Fuels – 0.8%
9,229	Battalion Oil Corp.(h)		89,798
157,065	Chevron Corp.		15,934,244
500,544	Lonestar Resources U.S., Inc.(d)(e)(g)(h)(i)(q)		5,355,821
99,587	Whiting Petroleum Corp.(h)		5,816,877
632,778	Williams Cos., Inc. (The)		16,414,261
			43,611,001
	Pharmaceuticals – 0.8%
213,017	Bristol-Myers Squibb Co.		12,604,216
93,408	Johnson & Johnson		15,085,392
209,035	Merck & Co., Inc.		15,700,619
			43,390,227
	Professional Services – 0.0%
5,336	Clarivate PLC(h)		116,858

Shares	Description	Value (†)
Common Stocks – continued
	REITs - Diversified – 0.3%
56,854	American Tower Corp.	$	15,089,620
	Road & Rail – 0.3%
73,981	Union Pacific Corp.		14,501,016
	Semiconductors & Semiconductor Equipment – 0.2%
43,317	Texas Instruments, Inc.		8,325,960
	Software – 0.3%
23,768	iQor Holdings, Inc.(e)(h)(l)		280,772
56,133	Microsoft Corp.		15,825,015
			16,105,787
	Specialty Retail – 0.2%
24,839	Home Depot, Inc. (The)		8,153,650
	Technology Hardware, Storage & Peripherals – 0.3%
110,424	Apple, Inc.		15,624,996
	Wireless Telecommunication Services – 0.7%
279,468	T-Mobile US, Inc.(h)		35,704,832
	Total Common Stocks (Identified Cost $557,934,095)		532,387,034
Preferred Stocks – 1.8%
Convertible Preferred Stocks – 1.5%
	Banking – 0.7%
19,083	Bank of America Corp., Series L, 7.250%(a)		27,525,701
7,500	Wells Fargo & Co., Class A, Series L, 7.500%		11,115,000
			38,640,701
	Food & Beverage – 0.1%
37,280	Bunge Ltd., 4.875%		4,434,170
	Midstream – 0.2%
242,297	El Paso Energy Capital Trust I, 4.750%		12,005,816
	Technology – 0.2%
115,400	Clarivate PLC, Series A, 5.250%		10,004,026
	Wireless – 0.3%
11,832	2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(e)(l)		13,379,271
	Total Convertible Preferred Stocks (Identified Cost $72,982,071)		78,463,984

Shares	Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – 0.3%
	Finance Companies – 0.0%
10,425	iStar, Inc., Series G, 7.650%	$	268,548
	Home Construction – 0.1%
208,246	Hovnanian Enterprises, Inc., 7.625%(h)		3,644,305
	REITs - Office Property – 0.0%
1,596	Highwoods Properties, Inc., Series A, 8.625%		1,995,000
	REITs - Warehouse/Industrials – 0.2%
116,192	Prologis, Inc., Series Q, 8.540%		8,133,440
	Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568)		14,041,293
	Total Preferred Stocks (Identified Cost $81,522,639)		92,505,277
Closed-End Investment Companies – 0.0%
170,849	NexPoint Strategic Opportunities Fund (Identified Cost $10,238,824)		2,376,510
Principal Amount (‡)
Short-Term Investments – 1.4%
$     72,932,318	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $72,932,318 on 10/01/2021 collateralized by $86,336,500 U.S. Treasury Bond, 1.125% due 8/15/2040 valued at $74,391,004 including accrued interest(r) (Identified Cost $72,932,318)		72,932,318
	Total Investments – 99.0% (Identified Cost $5,029,514,605)		5,112,662,238
	Other assets less liabilities – 1.0%		53,970,432
	Net Assets – 100.0%	$	5,166,632,670

(†) 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.

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.

Centrally cleared swap agreements are valued at settlement prices of the clearing house 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 September 30, 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
$	57,936,154		1.1	%	$	29,965,145		0.6	%

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(‡) Principal Amount stated in U.S. dollars unless otherwise noted.

(††) Amount shown represents units. One unit represents a principal amount of 1,000.

(†††) Amount shown represents units. One unit represents a principal amount of 100.

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

(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 September 30, 2021 is disclosed.

(c) Variable rate security. Rate as of September 30, 2021 is disclosed.

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

(e) Illiquid security.

(f) Interest rate represents annualized yield at time of purchase; not a coupon rate.

(g) Securities subject to restriction on resale. At September 30, 2021, the restricted securities held by the Fund are as follows:

	Acquisition Date		Acquisition Cost			Value		% of Net Assets
GCA2014 Holdings Ltd., Series 2014-1, Class E		12/18/2014	$	26,738,973		$	568,008	Less than 0.1%
Lonestar Resources U.S., Inc.		12/01/2020		3,473,775	*		5,355,821	0.1%
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash		5/29/2020		9,688,450			10,233,682	0.2%
Pioneer Energy Services Corp.		5/29/2020		17,677,239	**		792,539	Less than 0.1%

* Represents basis assigned upon receipt in a taxable restructuring.

** Represents basis carried over in a non-taxable restructuring.

(h) Non-income producing security.

(i) Fair valued by the Fund’s adviser. At September 30, 2021, the value of these securities amounted to $29,965,145 or 0.6% of net assets.

(j) Perpetual bond with no specified maturity date.

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

(l) Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2021, the value of these securities amounted to $57,936,154 or 1.1% of net assets.

(m) Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(n) 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.

(o) 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 September 30, 2021, interest payments were made in principal.

(p) Position is unsettled. Contract rate was not determined at September 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(q) Affiliated issuer.

(r) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2021, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021, the value of Rule 144A holdings amounted to $1,756,875,254 or 34.0% of net assets.

ABS Asset-Backed Securities

EMTN Euro Medium Term Note

LIBOR London Interbank Offered Rate

MBIA Municipal Bond Investors Assurance Corp.

MTN Medium Term Note

PIK Payment-in-Kind

REITs Real Estate Investment Trusts

BRL Brazilian Real

INR Indian Rupee

MXN Mexican Peso

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 part of unrealized appreciation (depreciation) on swap agreements. 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 over-the-counter (“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 September 30, 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 37 500, 5-Year		5.00	%		12/20/2026		3.02	%		266,000,000	$	25,143,866	$	24,862,163	$	(281,703	)

(‡) 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.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At September 30, 2021, the Fund had the following open forward foreign currency contracts:

Counterparty

Delivery Date

Currency Bought/ Sold (B/S)

Units of Currency

In Exchange for

Notional Value

Unrealized Appreciation (Depreciation)

Bank of America, N.A.

12/02/2021

BRL

S

75,391,000

$

14,129,543

$

13,711,958

$

417,585

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 September 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		12/21/2021		5,261	$	776,233,037	$	764,160,250	$	12,072,787
Ultra Long U.S. Treasury Bond		12/21/2021		69		13,520,221		13,183,312		336,909
Total									$	12,409,696

Affiliated Transactions

As a result of a business restructuring, the Fund received common shares of Pioneer Energy Services Corp. (the “Company”) and Lonestar Resources U.S., Inc. (the “Company”) constituting more than 5% of the voting securities of the Company. As such, the Company was considered to be an affiliate at September 30, 2021. A summary of affiliated transactions for the period ended September 30, 2021, is as follows:

	Beginning Value		Purchase Cost			Sales Proceeds		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Gain (Loss)		Ending Value		Investment Income
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash	$	6,330,947	$	254,256	*	$	—	$	89,330	$	—	$	3,559,149	$	10,233,682	$	386,185
Pioneer Energy Services Corp.		—		—			—		—		—		792,539		792,539		—
Lonestar Resources U.S., Inc.		3,473,775		—			—		—		—		1,882,046		5,355,821		—
	$	9,804,722	$	254,256		$	—	$	89,330	$	—	$	6,233,734	$	16,382,042	$	386,185

* Represents interest paid in additional principal.

Fair Value Measurements

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

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

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

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

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

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

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	41,481,911	$	568,008	(a)	$	42,049,919
Independent Energy		—		169,218,926		1,097,120	(a)		170,316,046
Property & Casualty Insurance		—		—		2,157,975	(a)		2,157,975
All Other Non-Convertible Bonds*		—		3,602,328,410		—			3,602,328,410
Total Non-Convertible Bonds		—		3,813,029,247		3,823,103			3,816,852,350
Convertible Bonds
Oil Field Services		—		—		10,233,682	(a)		10,233,682
All Other Convertible Bonds*		—		333,998,367		—			333,998,367
Total Convertible Bonds		—		333,998,367		10,233,682			344,232,049
Municipals*		—		69,308,715		—			69,308,715
Total Bonds and Notes		—		4,216,336,329		14,056,785			4,230,393,114
Senior Loans*		—		45,081,232		—			45,081,232
Collateralized Loan Obligations		—		124,201,753		12,785,000	(b)		136,986,753
Common Stocks
Chemicals		—		14,060,222		—			14,060,222
Energy Equipment & Services		—		—		792,539	(a)		792,539
Oil, Gas & Consumable Fuels		38,255,180		—		5,355,821	(a)		43,611,001
Software		15,825,015		280,772		—			16,105,787
All Other Common Stocks*		457,817,485		—		—			457,817,485
Total Common Stocks		511,897,680		14,340,994		6,148,360			532,387,034
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—		4,434,170		—			4,434,170
Wireless		—		13,379,271		—			13,379,271
All Other Convertible Preferred Stocks*		60,650,543		—		—			60,650,543
Total Convertible Preferred Stocks		60,650,543		17,813,441		—			78,463,984
Non-Convertible Preferred Stocks
REITs - Office Property		—		1,995,000		—			1,995,000
REITs - Warehouse/Industrials		—		8,133,440		—			8,133,440
All Other Non-Convertible Preferred Stocks*		3,912,853		—		—			3,912,853
Total Non-Convertible Preferred Stocks		3,912,853		10,128,440		—			14,041,293
Total Preferred Stocks		64,563,396		27,941,881		—			92,505,277
Closed-End Investment Companies		2,376,510		—		—			2,376,510
Short-Term Investments		—		72,932,318		—			72,932,318
Total Investments		578,837,586		4,500,834,507		32,990,145			5,112,662,238
Forward Foreign Currency Contracts (unrealized appreciation)		—		417,585		—			417,585
Futures Contracts (unrealized appreciation)		12,409,696		—		—			12,409,696
Total	$	591,247,282	$	4,501,252,092		$32,990,145		$	5,125,489,519

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)	$	—	$	(281,703	)	$	—	$	(281,703	)

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

(a) Fair valued by the Fund’s adviser.

(b) Fair valued by the Fund’s adviser ($9,760,000) or valued using broker-dealer bid prices ($3,025,000).

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 September 30, 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 September 30, 2021		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2021
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	14,217,962	(a)	$	—	$	(55,189	)	$	32,094,204		$	1,429,861	$	(47,118,830	)	$	—	$	—	$	568,008	$	6,562,017
Independent Energy		—			224,011		—			781,647			—		—			91,462		—		1,097,120		781,647
Property & Casualty Insurance		—			42,483		—			(2,263,008	)		—		—			4,378,500		—		2,157,975		(2,263,008	)
Convertible Bonds
Oil Field Services		6,330,947			89,331		—			3,559,149			254,255		—			—		—		10,233,682		3,559,149
Senior Loans
Construction Machinery		9,862,216			436,973		(6,497,335	)		6,069,631			—		(9,871,485	)		—		—		—		—
Collateralized Loan Obligations		—			—		—			—			12,785,000		—			—		—		12,785,000		—
Common Stocks
Energy Equipment & Services		—	(a)		—		—			792,539			—		—			—		—		792,539		792,539
Oil, Gas & Consumable Fuels		3,473,775	(a)		—		(1,167,146	)		3049,192			—		—			—		—		5,355,821		1,882,046
Specialty Retail		—	(a)		—		—			—			—		—			—		—		—		—
Preferred Stocks
Convertible Preferred Stocks
Energy		—	(a)		—		(122,532,800	)		122,532,800			—		—			—		—		—		—
Warrants		9,760,259			—		—			8,285,057			—		(18,045,316	)		—		—		—		—
Total	$	43,645,159		$	792,798	$	(130,252,470	)	$	174,901,211		$	14,469,116	$	(75,035,631	)	$	4,469,962	$	—	$	32,990,145	$	11,314,390

(a) Includes a security fair valued at zero using Level 3 inputs.

Debt securities valued at $91,462 were transferred from Level 2 to Level 3 during the period ended September 30, 2021. At December 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the securities.

A debt security valued at $4,738,500 was transferred from Level 2 to Level 3 during the period ended September 30, 2021. At December 31, 2020, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2021, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.

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 buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. During the period ended September 30, 2021, the Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended September 30, 2021, the Fund engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.

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

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

Assets	Unrealized appreciation on forward foreign currency contracts		Swap agreements at value		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	417,585	$	—	$	—
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	—	$	—	$	12,409,696
Credit contracts		—		24,862,163		—
Total exchange-traded assets derivatives	$	—	$	24,862,163	$	12,409,696
Total asset derivatives	$	417,585	$	24,862,163	$	12,409,696

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.

OTC derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2021, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

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 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 (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 September 30, 2021:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$49,430,949	$49,020,949

Industry Summary at September 30, 2021 (Unaudited)

Treasuries	11.5	%
Cable Satellite	7.3
Banking	5.3
Finance Companies	5.3
Metals & Mining	3.8
Independent Energy	3.6
Technology	3.4
ABS Home Equity	3.2
Wireless	3.0
Consumer Cyclical Services	2.9
Airlines	2.7
Aerospace & Defense	2.7
Other Investments, less than 2% each	40.2
Collateralized Loan Obligations	2.7
Short-Term Investments	1.4
Closed-End Investment Companies	0.0	*
Total Investments	99.0
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts)	1.0
Net Assets	100.0	%

* Less than 0.1%