NPORT-EX 2 NPORT_48AP_71297561_1221.htm HTML

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

Loomis Sayles Credit Income Fund

 

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – 93.2% of Net Assets

  
 

Non-Convertible Bonds – 87.5%

  
   Aerospace & Defense – 3.3%   
  $     125,000      Boeing Co. (The),
2.196%, 2/04/2026		    $        124,970  
  20,000      Boeing Co. (The),
2.250%, 6/15/2026		      20,029  
  20,000      Boeing Co. (The),
2.950%, 2/01/2030		      20,377  
  5,000      Boeing Co. (The),
3.100%, 5/01/2026		      5,210  
  10,000      Boeing Co. (The),
3.200%, 3/01/2029		      10,292  
  5,000      Boeing Co. (The),
3.250%, 2/01/2035		      5,038  
  5,000      Boeing Co. (The),
3.375%, 6/15/2046		      4,819  
  5,000      Boeing Co. (The),
3.500%, 3/01/2039		      5,073  
  15,000      Boeing Co. (The),
3.550%, 3/01/2038		      15,254  
  220,000      Boeing Co. (The),
3.625%, 2/01/2031		      234,605  
  5,000      Boeing Co. (The),
3.625%, 3/01/2048		      4,951  
  40,000      Boeing Co. (The),
3.750%, 2/01/2050		      41,448  
  15,000      Boeing Co. (The),
3.825%, 3/01/2059		      15,064  
  10,000      Boeing Co. (The),
3.850%, 11/01/2048		      10,379  
  15,000      Boeing Co. (The),
3.900%, 5/01/2049		      15,726  
  30,000      Boeing Co. (The),
3.950%, 8/01/2059		      31,161  
  40,000      Boeing Co. (The),
5.150%, 5/01/2030		      46,604  
  10,000      Boeing Co. (The),
5.805%, 5/01/2050		      13,541  
  30,000      Huntington Ingalls Industries, Inc.,
3.844%, 5/01/2025		      31,727  
  20,000      Huntington Ingalls Industries, Inc.,
4.200%, 5/01/2030		      22,276  
  5,000      Spirit AeroSystems, Inc.,
4.600%, 6/15/2028		      5,013  
  125,000      Textron, Inc.,
3.000%, 6/01/2030		      128,993  
     

 

 

  
        812,550  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Airlines – 0.6%

 

  $     73,308      American Airlines Pass Through Trust, Series 2016-3, Class A,
3.250%, 4/15/2030		    $ 69,713  
  15,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd.,
5.500%, 4/20/2026, 144A		      15,598  
  15,000      American Airlines, Inc./AAdvantage Loyalty IP Ltd.,
5.750%, 4/20/2029, 144A		      16,031  
  13,470      United Airlines Pass Through Trust, Series 2020-1, Class B,
4.875%, 7/15/2027		      14,024  
  10,000      United Airlines, Inc.,
4.375%, 4/15/2026, 144A		      10,427  
  15,000      United Airlines, Inc.,
4.625%, 4/15/2029, 144A		      15,469  
     

 

 

  
        141,262  
     

 

 

  
   Automotive – 1.7%

 

  60,000      Allison Transmission, Inc.,
3.750%, 1/30/2031, 144A		      58,500  
  30,000      Ford Motor Co.,
3.250%, 2/12/2032		      30,720  
  40,000      Ford Motor Co.,
9.000%, 4/22/2025		      48,904  
  170,000      General Motors Co.,
5.200%, 4/01/2045		      210,333  
  40,000      General Motors Co.,
6.250%, 10/02/2043		      54,738  
  5,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter),
5.700%(a)		      5,700  
     

 

 

  
               408,895  
     

 

 

  
   Banking – 10.1%

 

  40,000      Ally Financial, Inc.,
2.200%, 11/02/2028		      39,733  
  65,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter),
4.700%(a)		      67,438  
  50,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter),
4.700%(a)		      51,540  
  270,000      Bank of America Corp., MTN,
4.250%, 10/22/2026(b)		      297,919  
  200,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),
3.564%, 9/23/2035		      204,827  
  215,000      Citigroup, Inc.,
4.450%, 9/29/2027		      239,729  
  250,000      Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter),
4.000%, 1/10/2033, 144A		      266,722  
  150,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter),
3.547%, 9/18/2031		      157,869  
  390,000      Morgan Stanley,
3.625%, 1/20/2027(b)		      422,822  
  200,000      NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter),
1.642%, 6/14/2027(b)		      197,257  
  115,000      Santander Holdings USA, Inc.,
3.244%, 10/05/2026		      120,032  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Banking – continued

 

  $     200,000      Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter),
3.653%, 7/08/2035, 144A		    $ 206,009  
  200,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter),
4.644%, 4/01/2031, 144A(b)		      226,291  
     

 

 

  
        2,498,188  
     

 

 

  
   Brokerage – 1.3%

 

  15,000      Jefferies Group LLC,
6.250%, 1/15/2036		      19,884  
  180,000      Jefferies Group LLC,
6.500%, 1/20/2043		      248,567  
  60,000      Owl Rock Technology Finance Corp.,
2.500%, 1/15/2027		      58,760  
     

 

 

  
        327,211  
     

 

 

  
   Building Materials – 0.1%

 

  35,000      Builders FirstSource, Inc.,
6.750%, 6/01/2027, 144A		      36,925  
     

 

 

  
   Cable Satellite – 4.6%

 

  120,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031, 144A		      121,279  
  120,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 8/15/2030, 144A		      122,783  
  90,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
3.950%, 6/30/2062		      86,704  
  165,000      Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
4.800%, 3/01/2050		      184,740  
  200,000      CSC Holdings LLC,
5.000%, 11/15/2031, 144A		      192,750  
  15,000      DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc.,
5.875%, 8/15/2027, 144A		      15,356  
  100,000      DISH DBS Corp.,
5.125%, 6/01/2029		      91,000  
  110,000      DISH DBS Corp.,
5.250%, 12/01/2026, 144A		      111,736  
  200,000      Time Warner Cable LLC,
4.500%, 9/15/2042		      218,042  
     

 

 

  
            1,144,390  
     

 

 

  
   Chemicals – 1.5%

 

  70,000      CF Industries, Inc.,
4.500%, 12/01/2026, 144A		      78,024  
  15,000      FMC Corp.,
3.450%, 10/01/2029		      15,971  
  60,000      Hercules LLC,
6.500%, 6/30/2029		      67,213  
  200,000      Orbia Advance Corp. SAB de CV,
2.875%, 5/11/2031, 144A		      196,808  
     

 

 

  
        358,016  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Consumer Cyclical Services – 2.3%

 

  $     185,000      Expedia Group, Inc.,
3.250%, 2/15/2030		    $        188,793  
  50,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc.,
3.500%, 3/01/2029, 144A		      49,617  
  325,000      Uber Technologies, Inc.,
4.500%, 8/15/2029, 144A		      330,961  
  5,000      Uber Technologies, Inc.,
7.500%, 9/15/2027, 144A		      5,441  
     

 

 

  
        574,812  
     

 

 

  
   Electric – 1.6%

 

  15,000      AES Corp. (The),
2.450%, 1/15/2031		      14,615  
  5,000      AES Corp. (The),
3.950%, 7/15/2030, 144A		      5,327  
  85,000      Calpine Corp.,
3.750%, 3/01/2031, 144A		      81,919  
  40,000      Calpine Corp.,
5.125%, 3/15/2028, 144A		      40,606  
  20,000      IPALCO Enterprises, Inc.,
4.250%, 5/01/2030		      21,949  
  35,000      NRG Energy, Inc.,
4.450%, 6/15/2029, 144A		      38,074  
  35,000      NRG Energy, Inc.,
5.250%, 6/15/2029, 144A		      37,498  
  140,000      Pacific Gas & Electric Co.,
3.500%, 8/01/2050		      129,691  
  20,000      Vistra Operations Co. LLC,
3.700%, 1/30/2027, 144A		      20,738  
     

 

 

  
        390,417  
     

 

 

  
   Finance Companies – 6.2%

 

  150,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.875%, 1/23/2028		      159,052  
  105,000      Air Lease Corp.,
3.125%, 12/01/2030		      107,139  
  205,000      Air Lease Corp., MTN,
3.000%, 2/01/2030		      204,610  
  40,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter),
4.650%(a)		      41,450  
  125,000      Aircastle Ltd.,
4.125%, 5/01/2024		      130,513  
  15,000      Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter),
5.250%, 144A(a)		      15,300  
  65,000      Ares Capital Corp.,
2.875%, 6/15/2028		      64,712  
  65,000      Ares Capital Corp.,
3.200%, 11/15/2031		      63,907  
  25,000      Aviation Capital Group LLC,
1.950%, 1/30/2026, 144A		      24,384  
  30,000      Barings BDC, Inc.,
3.300%, 11/23/2026, 144A		      29,671  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Finance Companies – continued

 

  $       40,000      FS KKR Capital Corp.,
3.125%, 10/12/2028		    $ 39,797  
  35,000      FS KKR Capital Corp.,
3.400%, 1/15/2026		      35,542  
  75,000      Navient Corp.,
5.000%, 3/15/2027		      76,490  
  35,000      Oaktree Specialty Lending Corp.,
2.700%, 1/15/2027		      34,729  
  10,000      OneMain Finance Corp.,
7.125%, 3/15/2026		      11,400  
  50,000      Owl Rock Capital Corp.,
2.625%, 1/15/2027		      48,904  
  50,000      Owl Rock Capital Corp.,
2.875%, 6/11/2028		      49,079  
  110,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
2.875%, 10/15/2026, 144A		      109,175  
  75,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A		      75,281  
  155,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A		      157,325  
  55,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
4.000%, 10/15/2033, 144A		      55,708  
     

 

 

  
            1,534,168  
     

 

 

  
   Financial Other – 1.7%

 

  115,000      Blackstone Secured Lending Fund,
2.125%, 2/15/2027, 144A		      111,932  
  30,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
4.375%, 2/01/2029		      29,250  
  115,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
5.250%, 5/15/2027		      118,270  
  35,000      Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031, 144A		      34,825  
  200,000      Times China Holdings Ltd.,
6.200%, 3/22/2026		      136,388  
     

 

 

  
        430,665  
     

 

 

  
   Food & Beverage – 3.1%

 

  150,000      Fomento Economico Mexicano SAB de CV,
3.500%, 1/16/2050		      156,840  
  145,000      Kraft Heinz Foods Co.,
4.375%, 6/01/2046		      170,171  
  95,000      Kraft Heinz Foods Co.,
4.875%, 10/01/2049		      119,315  
  10,000      Pilgrim’s Pride Corp.,
3.500%, 3/01/2032, 144A		      10,140  
  50,000      Pilgrim’s Pride Corp.,
5.875%, 9/30/2027, 144A		      52,797  
  60,000      Post Holdings, Inc.,
4.625%, 4/15/2030, 144A		      61,110  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Food & Beverage – continued

 

  $     190,000      Smithfield Foods, Inc.,
3.000%, 10/15/2030, 144A		    $        189,221  
     

 

 

  
        759,594  
     

 

 

  
   Gaming – 0.8%

 

  20,000      GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032		      20,108  
  85,000      MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
3.875%, 2/15/2029, 144A		      89,250  
  15,000      Penn National Gaming, Inc.,
4.125%, 7/01/2029, 144A		      14,550  
  55,000      Scientific Games International, Inc.,
7.000%, 5/15/2028, 144A		      58,575  
  5,000      Scientific Games International, Inc.,
7.250%, 11/15/2029, 144A		      5,575  
     

 

 

  
        188,058  
     

 

 

  
   Government Owned—No Guarantee – 0.1%

 

  25,000      EcoPetrol S.A.,
4.625%, 11/02/2031		      24,305  
     

 

 

  
   Health Insurance – 0.7%

 

  90,000      Centene Corp.,
2.500%, 3/01/2031		      87,617  
  35,000      Centene Corp.,
2.625%, 8/01/2031		      34,300  
  20,000      Centene Corp.,
3.000%, 10/15/2030		      20,330  
  5,000      Centene Corp.,
4.625%, 12/15/2029		      5,392  
  20,000      Molina Healthcare, Inc.,
3.875%, 5/15/2032, 144A		      20,125  
     

 

 

  
        167,764  
     

 

 

  
   Healthcare – 2.0%

 

  25,000      Avantor Funding, Inc.,
3.875%, 11/01/2029, 144A		      25,273  
  15,000      Catalent Pharma Solutions, Inc.,
3.125%, 2/15/2029, 144A		      14,796  
  75,000      Cigna Corp.,
4.375%, 10/15/2028		      85,238  
  5,000      Encompass Health Corp.,
4.750%, 2/01/2030		      5,150  
  165,000      HCA, Inc.,
4.125%, 6/15/2029		      181,562  
  95,000      HCA, Inc.,
5.250%, 6/15/2049		      122,010  
  25,000      Tenet Healthcare Corp.,
4.625%, 6/15/2028, 144A		      25,687  
  30,000      Tenet Healthcare Corp.,
6.125%, 10/01/2028, 144A		      31,686  
     

 

 

  
        491,402  
     

 

 

  
     

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Home Construction – 0.8%

 

  $       90,000      Lennar Corp.,
4.750%, 11/29/2027		    $ 101,851  
  70,000      PulteGroup, Inc.,
6.000%, 2/15/2035		      90,022  
     

 

 

  
               191,873  
     

 

 

  
   Independent Energy – 3.0%

 

  150,000      Aker BP ASA,
4.000%, 1/15/2031, 144A		      162,189  
  5,000      Continental Resources, Inc.,
2.875%, 4/01/2032, 144A		      4,891  
  20,000      Continental Resources, Inc.,
3.800%, 6/01/2024		      20,869  
  70,000      Continental Resources, Inc.,
5.750%, 1/15/2031, 144A		      82,433  
  10,000      Coterra Energy, Inc.,
4.375%, 6/01/2024, 144A		      10,575  
  20,000      Diamondback Energy, Inc.,
3.125%, 3/24/2031		      20,613  
  25,000      Energean Israel Finance Ltd.,
5.375%, 3/30/2028, 144A		      24,625  
  40,000      Energean Israel Finance Ltd.,
5.875%, 3/30/2031, 144A		      39,200  
  5,000      EQT Corp.,
3.125%, 5/15/2026, 144A		      5,133  
  30,000      EQT Corp.,
3.625%, 5/15/2031, 144A		      31,125  
  15,000      EQT Corp.,
3.900%, 10/01/2027		      16,088  
  10,000      EQT Corp.,
5.000%, 1/15/2029		      11,075  
  55,000      Hess Corp.,
4.300%, 4/01/2027		      59,898  
  60,000      Hess Corp.,
5.600%, 2/15/2041		      74,074  
  15,000      Occidental Petroleum Corp.,
4.100%, 2/15/2047		      14,700  
  15,000      Occidental Petroleum Corp.,
4.200%, 3/15/2048		      15,000  
  30,000      Occidental Petroleum Corp.,
5.550%, 3/15/2026		      33,399  
  45,000      Ovintiv Exploration, Inc.,
5.375%, 1/01/2026		      49,883  
  20,000      Ovintiv Exploration, Inc.,
5.625%, 7/01/2024		      22,016  
  30,000      Ovintiv, Inc.,
6.500%, 8/15/2034		      38,600  
  5,000      Southwestern Energy Co.,
4.750%, 2/01/2032		      5,265  
     

 

 

  
        741,651  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Industrial Other – 0.1%

 

  $       20,000      TopBuild Corp.,
4.125%, 2/15/2032, 144A		    $ 20,525  
     

 

 

  
   Leisure – 0.8%

 

  55,000      Carnival Corp.,
5.750%, 3/01/2027, 144A		      55,000  
  30,000      Carnival Corp.,
6.000%, 5/01/2029, 144A		      29,850  
  30,000      NCL Corp. Ltd.,
5.875%, 3/15/2026, 144A		      29,867  
  10,000      NCL Finance Ltd.,
6.125%, 3/15/2028, 144A		      9,850  
  60,000      Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028, 144A		      60,694  
     

 

 

  
               185,261  
     

 

 

  
   Life Insurance – 0.8%

 

  50,000      Athene Global Funding,
1.608%, 6/29/2026, 144A		      49,079  
  95,000      Athene Global Funding,
2.550%, 11/19/2030, 144A		      93,391  
  30,000      Athene Holding Ltd.,
3.500%, 1/15/2031		      31,722  
  30,000      CNO Financial Group, Inc.,
5.250%, 5/30/2029		      34,459  
     

 

 

  
        208,651  
     

 

 

  
   Lodging – 1.4%

 

  60,000      Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032, 144A		      59,685  
  40,000      Hilton Domestic Operating Co., Inc.,
4.000%, 5/01/2031, 144A		      40,968  
  10,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
4.875%, 7/01/2031, 144A		      10,000  
  25,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
5.000%, 6/01/2029, 144A		      25,625  
  5,000      Hyatt Hotels Corp.,
5.375%, 4/23/2025		      5,542  
  3,000      Marriott International, Inc., Series EE,
5.750%, 5/01/2025		      3,377  
  25,000      Marriott International, Inc., Series FF,
4.625%, 6/15/2030		      28,124  
  20,000      Marriott International, Inc., Series HH,
2.850%, 4/15/2031		      19,939  
  20,000      Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029, 144A		      20,130  
  45,000      Travel & Leisure Co.,
4.500%, 12/01/2029, 144A		      45,382  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Lodging – continued

 

  $       75,000      Travel & Leisure Co.,
4.625%, 3/01/2030, 144A		    $ 75,375  
     

 

 

  
               334,147  
     

 

 

  
   Media Entertainment – 1.6%

 

  25,000      AMC Networks, Inc.,
4.250%, 2/15/2029		      24,844  
  60,000      Clear Channel Worldwide Holdings, Inc.,
5.125%, 8/15/2027, 144A		      62,086  
  85,000      iHeartCommunications, Inc.,
4.750%, 1/15/2028, 144A		      86,200  
  75,000      iHeartCommunications, Inc.,
5.250%, 8/15/2027, 144A		      78,007  
  10,000      Netflix, Inc.,
4.875%, 4/15/2028		      11,400  
  120,000      Netflix, Inc.,
4.875%, 6/15/2030, 144A		      139,950  
     

 

 

  
        402,487  
     

 

 

  
   Metals & Mining – 3.5%

 

  25,000      Allegheny Technologies, Inc.,
5.875%, 12/01/2027		      26,062  
  200,000      Anglo American Capital PLC,
4.500%, 3/15/2028, 144A		      220,427  
  35,000      ArcelorMittal S.A.,
7.000%, 10/15/2039		      48,219  
  200,000      First Quantum Minerals Ltd.,
6.875%, 10/15/2027, 144A		      215,250  
  45,000      FMG Resources August 2006 Pty Ltd.,
4.375%, 4/01/2031, 144A		      47,250  
  25,000      Freeport-McMoRan, Inc.,
4.625%, 8/01/2030		      26,812  
  40,000      Freeport-McMoRan, Inc.,
5.400%, 11/14/2034		      48,700  
  10,000      Freeport-McMoRan, Inc.,
5.450%, 3/15/2043		      12,571  
  135,000      Glencore Funding LLC,
3.875%, 10/27/2027, 144A		      145,226  
  20,000      Glencore Funding LLC,
4.000%, 3/27/2027, 144A		      21,577  
  35,000      Novelis Corp.,
4.750%, 1/30/2030, 144A		      36,794  
  10,000      Volcan Cia Minera SAA,
4.375%, 2/11/2026, 144A		      9,637  
     

 

 

  
        858,525  
     

 

 

  
   Midstream – 2.6%

 

  115,000      Cheniere Corpus Christi Holdings LLC,
5.125%, 6/30/2027		      129,757  
  55,000      DCP Midstream Operating LP,
3.250%, 2/15/2032		      55,413  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Midstream – continued

 

  $       10,000      DCP Midstream Operating LP,
5.125%, 5/15/2029		    $ 11,300  
  55,000      Energy Transfer LP,
4.000%, 10/01/2027		      59,054  
  30,000      EnLink Midstream Partners LP,
5.450%, 6/01/2047		      30,267  
  35,000      EQM Midstream Partners LP, Series 10Y,
5.500%, 7/15/2028		      38,238  
  15,000      Hess Midstream Operations LP,
4.250%, 2/15/2030, 144A		      14,888  
  80,000      NGPL PipeCo LLC,
4.875%, 8/15/2027, 144A		      89,012  
  15,000      Plains All American Pipeline LP/PAA Finance Corp.,
3.800%, 9/15/2030		      15,664  
  35,000      Plains All American Pipeline LP/PAA Finance Corp.,
4.300%, 1/31/2043		      35,087  
  35,000      Plains All American Pipeline LP/PAA Finance Corp.,
4.700%, 6/15/2044		      37,219  
  15,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.000%, 1/15/2032, 144A		      15,675  
  60,000      Valero Energy Partners LP,
4.500%, 3/15/2028		      66,156  
  10,000      Western Midstream Operating LP,
5.300%, 2/01/2030		      10,990  
  10,000      Western Midstream Operating LP,
5.300%, 3/01/2048		      12,050  
  5,000      Western Midstream Operating LP,
5.450%, 4/01/2044		      5,975  
  10,000      Western Midstream Operating LP,
6.500%, 2/01/2050		      11,825  
     

 

 

  
               638,570  
     

 

 

  
   Paper – 0.2%

 

  45,000      Suzano Austria GmbH,
3.750%, 1/15/2031		      45,732  
     

 

 

  
     
   Pharmaceuticals – 2.6%

 

  40,000      Bausch Health Cos., Inc.,
5.000%, 1/30/2028, 144A		      36,800  
  10,000      Bausch Health Cos., Inc.,
5.250%, 1/30/2030, 144A		      8,800  
  25,000      Bausch Health Cos., Inc.,
5.250%, 2/15/2031, 144A		      21,969  
  245,000      Merck & Co., Inc.,
2.350%, 2/10/2022(b)		      245,558  
  50,000      Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036		      52,415  
  70,000      Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026		      65,800  
  250,000      Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046		      211,250  
     

 

 

  
        642,592  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Property & Casualty Insurance – 1.2%

 

  $     175,000      Fidelity National Financial, Inc.,
2.450%, 3/15/2031		    $        171,731  
  65,000      Sirius International Group Ltd.,
4.600%, 11/01/2026, 144A		      66,359  
  55,000      Stewart Information Services Corp.,
3.600%, 11/15/2031		      55,691  
     

 

 

  
        293,781  
     

 

 

  
   REITs - Apartments – 0.0%

 

  10,000      American Homes 4 Rent,
2.375%, 7/15/2031		      9,800  
     

 

 

  
   REITs - Diversified – 0.1%

 

  15,000      EPR Properties,
3.600%, 11/15/2031		      14,840  
     

 

 

  
   REITs - Mortgage – 0.1%

 

  15,000      Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
4.250%, 2/01/2027, 144A		      15,098  
     

 

 

  
   REITs - Office Property – 0.0%

 

  10,000      Corporate Office Properties LP,
2.750%, 4/15/2031		      9,943  
     

 

 

  
   REITs - Shopping Centers – 0.8%

 

  115,000      Brixmor Operating Partnership LP,
4.050%, 7/01/2030		      125,486  
  75,000      SITE Centers Corp.,
3.625%, 2/01/2025		      78,515  
     

 

 

  
        204,001  
     

 

 

  
   Restaurants – 0.7%

 

  125,000      1011778 B.C. ULC/New Red Finance, Inc.,
4.375%, 1/15/2028, 144A		      127,500  
  45,000      Yum! Brands, Inc.,
4.625%, 1/31/2032		      47,818  
     

 

 

  
        175,318  
     

 

 

  
   Retailers – 0.8%

 

  55,000      Carvana Co.,
5.625%, 10/01/2025, 144A		      55,070  
  91,400      CVS Pass-Through Trust, Series 2014,
4.163%, 8/11/2036, 144A		      100,516  
  20,000      Lithia Motors, Inc.,
3.875%, 6/01/2029, 144A		      20,519  
  10,000      Murphy Oil USA, Inc.,
3.750%, 2/15/2031, 144A		      9,937  
  10,000      Tapestry, Inc.,
3.050%, 3/15/2032		      10,059  
     

 

 

  
        196,101  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Sovereigns – 0.8%

 

  $     200,000      Mexico Government International Bond,
4.280%, 8/14/2041		    $        207,250  
     

 

 

  
   Technology – 5.4%

 

  85,000      Avnet, Inc.,
4.625%, 4/15/2026		      93,166  
  115,000      Broadcom, Inc.,
4.300%, 11/15/2032		      129,234  
  90,000      CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031		      93,635  
  130,000      CommScope Technologies LLC,
5.000%, 3/15/2027, 144A		      121,550  
  60,000      CommScope, Inc.,
4.750%, 9/01/2029, 144A		      59,629  
  5,000      Everi Holdings, Inc.,
5.000%, 7/15/2029, 144A		      5,050  
  55,000      IHS Markit Ltd.,
4.250%, 5/01/2029		      62,563  
  60,000      Iron Mountain, Inc.,
5.250%, 7/15/2030, 144A		      63,229  
  35,000      Jabil, Inc.,
1.700%, 4/15/2026		      34,904  
  30,000      Marvell Technology, Inc.,
2.450%, 4/15/2028		      30,426  
  25,000      Marvell Technology, Inc.,
2.950%, 4/15/2031		      25,473  
  265,000      Micron Technology, Inc.,
4.663%, 2/15/2030		      305,407  
  25,000      MSCI, Inc.,
3.250%, 8/15/2033, 144A		      25,281  
  60,000      Open Text Holdings, Inc.,
4.125%, 2/15/2030, 144A		      61,800  
  30,000      Oracle Corp.,
3.950%, 3/25/2051		      31,143  
  60,000      Qorvo, Inc.,
3.375%, 4/01/2031, 144A		      61,076  
  10,000      Sabre GLBL, Inc.,
9.250%, 4/15/2025, 144A		      11,300  
  60,000      TD SYNNEX Corp.,
1.750%, 8/09/2026, 144A		      58,473  
  35,000      Verisk Analytics, Inc.,
4.125%, 3/15/2029		      39,024  
  5,000      Western Digital Corp.,
2.850%, 2/01/2029		      5,048  
  5,000      Western Digital Corp.,
3.100%, 2/01/2032		      5,037  
     

 

 

  
        1,322,448  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
   Treasuries – 15.8%

 

  $     135,000      U.S. Treasury Bond,
1.125%, 8/15/2040		    $        117,872  
  430,000      U.S. Treasury Bond,
1.875%, 2/15/2051		      425,431  
  1,705,000      U.S. Treasury Note,
0.125%, 1/31/2023(b)(c)		      1,699,139  
  780,000      U.S. Treasury Note,
0.125%, 4/30/2023(b)		      775,826  
  875,000      U.S. Treasury Note,
0.250%, 9/30/2023(b)		      868,848  
     

 

 

  
        3,887,116  
     

 

 

  
   Wireless – 2.6%

 

  80,000      Crown Castle International Corp.,
2.500%, 7/15/2031		      79,406  
  70,000      SBA Communications Corp.,
3.125%, 2/01/2029, 144A		      67,200  
  130,000      T-Mobile USA, Inc.,
3.375%, 4/15/2029		      132,462  
  65,000      T-Mobile USA, Inc.,
3.500%, 4/15/2031		      67,625  
  265,000      T-Mobile USA, Inc.,
3.875%, 4/15/2030		      289,845  
     

 

 

  
        636,538  
     

 

 

  
   Wirelines – 0.1%

 

  20,000      Verizon Communications, Inc.,
2.850%, 9/03/2041		      19,731  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $21,246,627)		      21,550,601  
     

 

 

  
 

Convertible Bonds – 5.7%

  
   Airlines – 0.6%

 

  20,000      JetBlue Airways Corp.,
0.500%, 4/01/2026, 144A		      18,644  
  100,000      Southwest Airlines Co.,
1.250%, 5/01/2025		      133,300  
     

 

 

  
        151,944  
     

 

 

  
   Cable Satellite – 1.4%

 

  25,000      DISH Network Corp.,
Zero Coupon, 0.000%, 12/15/2025(d)		      25,063  
  340,000      DISH Network Corp.,
3.375%, 8/15/2026		      321,828  
     

 

 

  
        346,891  
     

 

 

  
   Consumer Cyclical Services – 0.3%

 

  5,000      Expedia Group, Inc.,
Zero Coupon, 0.000%, 2/15/2026, 144A(d)		      5,753  
  25,000      Peloton Interactive, Inc.,
Zero Coupon, 0.000%-1.003%, 2/15/2026, 144A(e)		      21,188  

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Convertible Bonds – continued

  
   Consumer Cyclical Services – continued

 

  $       50,000      Uber Technologies, Inc.,
Zero Coupon, 0.000%-1.573%, 12/15/2025(e)		    $ 49,448  
     

 

 

  
        76,389  
     

 

 

  
   Gaming – 0.1%

 

  10,000      Penn National Gaming, Inc.,
2.750%, 5/15/2026		      23,700  
     

 

 

  
   Healthcare – 0.5%

 

  130,000      Teladoc Health, Inc.,
1.250%, 6/01/2027		      118,381  
     

 

 

  
   Leisure – 0.2%

 

  60,000      NCL Corp. Ltd.,
1.125%, 2/15/2027, 144A		      56,385  
     

 

 

  
   Media Entertainment – 0.5%

 

  30,000      Bilibili, Inc.,
0.500%, 12/01/2026, 144A		      25,530  
  35,000      Twitter, Inc.,
Zero Coupon, 0.000%, 3/15/2026, 144A(d)		      31,346  
  75,000      Zynga, Inc.,
Zero Coupon, 0.456%-1.992%, 12/15/2026(e)		      68,444  
     

 

 

  
               125,320  
     

 

 

  
   Pharmaceuticals – 1.4%

 

  240,000      BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027		      250,344  
  15,000      Guardant Health, Inc.,
Zero Coupon, 0.000%, 11/15/2027(d)		      15,174  
  25,000      Ionis Pharmaceuticals, Inc.,
Zero Coupon, 0.000%, 4/01/2026, 144A(d)		      21,985  
  40,000      Livongo Health, Inc.,
0.875%, 6/01/2025		      45,871  
     

 

 

  
        333,374  
     

 

 

  
   Technology – 0.7%

 

  25,000      Nutanix, Inc.,
0.250%, 10/01/2027, 144A		      22,750  
  50,000      Palo Alto Networks, Inc.,
0.375%, 6/01/2025		      94,720  
  65,000      Splunk, Inc.,
1.125%, 6/15/2027		      60,613  
     

 

 

  
        178,083  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $1,441,146)		      1,410,467  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $22,687,773)		      22,961,068  
     

 

 

  

Principal
Amount		     

Description

    Value (†)  
 

Collateralized Loan Obligations – 3.0%

  
  $     250,000      AIMCO CLO Ltd., Series 2021-14A, Class D,
3-month LIBOR + 2.900%, 3.032%, 4/20/2034, 144A(f)		    $        248,014  
  250,000      Fillmore Park CLO Ltd., Series 2018-1A, Class D,
3-month LIBOR + 2.900%, 3.024%, 7/15/2030, 144A(f)		      249,007  
  250,000      Recette CLO Ltd., Series 2015-1A, Class DRR,
3-month LIBOR + 3.250%, 3.382%, 4/20/2034, 144A(f)		      250,125  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $750,000)		      747,146  
     

 

 

  
Shares              
 

Preferred Stocks – 2.4%

  
 

Convertible Preferred Stocks – 2.4%

  
   Banking – 1.1%

 

  97      Bank of America Corp., Series L,
7.250%		      140,204  
  83      Wells Fargo & Co., Class A, Series L,
7.500%		      123,714  
     

 

 

  
        263,918  
     

 

 

  
   Food & Beverage – 0.1%

 

  179      Bunge Ltd.,
4.875%		      22,652  
     

 

 

  
   Healthcare – 0.0%

 

  98      Boston Scientific Corp., Series A,
5.500%		      11,237  
     

 

 

  
   Technology – 0.1%

 

  273      Clarivate PLC, Series A,
5.250%		      24,805  
     

 

 

  
   Wireless – 1.1%

 

  250      2020 Cash Mandatory Exchangeable Trust,
5.250%, 144A(g)(h)		      260,677  
     

 

 

  
   Total Convertible Preferred Stocks
(Identified Cost $619,154)		      583,289  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $619,154)		      583,289  
     

 

 

  
Principal
Amount		              
 

Short-Term Investments – 0.7%

  
  $184,018      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $184,018 on 1/03/2022 collateralized by $155,500 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2030 valued at $187,799 including accrued interest(i)
(Identified Cost $184,018)		      184,018  
     

 

 

  
   Total Investments – 99.3%
(Identified Cost $24,240,945)		      24,475,521  
   Other assets less liabilities – 0.7%      170,624  
     

 

 

  
   Net Assets – 100.0%    $ 24,646,145  
     

 

 

  

(†)

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.

As of December 31, 2021, securities held by the Fund were fair valued as follows:

 

Securities
classified as
fair valued		      Percentage of
Net Assets		  
$ 260,677        1.1 % 

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)

Perpetual bond with no specified maturity date.

(b)

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

(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 December 31, 2021 is disclosed.

(g)

Illiquid security.

(h)

Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2021, the value of this security amounted to $260,677 or 1.1% of net assets.

(i)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

 

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the value of Rule 144A holdings amounted to $7,889,406 or 32.0% 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 December 31, 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

      3/22/2022        15      $ 2,170,006      $ 2,196,562      $ (26,556 ) 
              

 

 

  

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2021, at value:

Asset Valuation Inputs

 

                                                                           

Description

    Level 1     Level 2      Level 3      Total  

Bonds and Notes*

      —         22,961,068        —          22,961,068  

Collateralized Loan Obligations

      —         747,146        —          747,146  

Preferred Stocks

           

Food & Beverage

      —         22,652        —          22,652  

Wireless

      —         260,677        —          260,677  

All Other Preferred Stocks*

      299,960       —        —          299,960  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      299,960       283,329        —          583,289  
  

 

 

    

 

 

     

 

 

     

 

 

  

Short-Term Investments

      —         184,018        —          184,018  
  

 

 

    

 

 

     

 

 

     

 

 

  

Total

    $ 299,960      $ 24,175,561      $ —        $ 24,475,521   
  

 

 

    

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

                                                                           

Description

    Level 1     Level 2      Level 3      Total  

Futures Contracts (unrealized depreciation)

    $ (26,556 )    $ —        $ —        $ (26,556 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

*

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 December 31, 2021, the Fund used futures contracts to manage duration.

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

 

Liabilities

    Unrealized
depreciation on
futures contracts		  

Exchange-traded liability derivatives

   

Interest rate contracts

    $ (26,556 ) 

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 December 31, 2021:

 

Maximum Amount
of Loss - Gross		     Maximum Amount
of Loss - Net		  
$ 49,828     $ 49,828  

Industry Summary at December 31, 2021 (Unaudited)

 

Treasuries

      15.8 % 

Banking

      11.2  

Finance Companies

      6.2  

Technology

      6.2  

Cable Satellite

      6.0  

Pharmaceuticals

      4.0  

Wireless

      3.7  

Metals & Mining

      3.5  

Aerospace & Defense

      3.3  

Food & Beverage

      3.2  

Independent Energy

      3.0  

Consumer Cyclical Services

      2.6  

Midstream

      2.6  

Healthcare

      2.5  

Media Entertainment

      2.1  

Other Investments, less than 2% each

      19.7  

Collateralized Loan Obligations

      3.0  

Short-Term Investments

      0.7  
  

 

 

  

Total Investments

      99.3  

Other assets less liabilities (including futures contracts)

      0.7  
  

 

 

  

Net Assets

      100.0 %