NPORT-EX 2 NPORT_IABM_66857455_0322.htm HTML

PORTFOLIO OF INVESTMENTS – as of March 31, 2022 (Unaudited)

Loomis Sayles Strategic Income Fund

 

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – 80.2% of Net Assets

  
 

Non-Convertible Bonds – 72.2%

  
  

ABS Car Loan – 0.3%

 

  $      7,500,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D,

3.040%, 9/22/2025, 144A

    $          7,118,168  
  5,000,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D,

3.340%, 8/20/2026, 144A

      4,571,728  
     

 

 

  
        11,689,896  
     

 

 

  
  

ABS Credit Card – 0.0%

 

  975,000     

Brex Commercial Charge Card Master Trust, Series 2021-1, Class A,

2.090%, 7/15/2024, 144A

      963,910  
     

 

 

  
  

ABS Home Equity – 3.3%

 

  9,146,003     

510 Asset Backed Trust, Series 2021-NPL1, Class A1,

2.240%, 6/25/2061, 144A(a)

      8,814,039  
  8,555,000     

CAFL Issuer LLC, Series 2021-RTL1, Class A1,

2.239%, 3/28/2029, 144A(a)

      8,094,300  
  5,350,000     

CoreVest American Finance, Series 2021-1, Class D,

3.247%, 4/15/2053, 144A

      4,825,528  
  1,510,000     

CoreVest American Finance Trust, Series 2021-3, Class D,

3.469%, 10/15/2054, 144A

      1,353,152  
  12,119,787     

Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1,

1.796%, 12/27/2060, 144A(a)

      11,723,591  
  2,510,000     

Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2,

3.125%, 10/25/2060, 144A

      2,380,974  
  7,660,000     

FirstKey Homes Trust, Series 2020-SFR1, Class F2,

4.284%, 8/17/2037, 144A

      7,290,764  
  1,965,000     

FirstKey Homes Trust, Series 2021-SFR1, Class F1,

3.238%, 8/17/2038, 144A

      1,760,432  
  2,419,000     

FRTKL, Series 2021-SFR1, Class F,

3.171%, 9/17/2038, 144A

      2,147,690  
  7,314,377     

Home Partners of America Trust, Series 2021-1, Class F,

3.325%, 9/17/2041, 144A

      6,558,728  
  8,581,500     

Home Partners of America Trust, Series 2021-2, Class E1,

2.852%, 12/17/2026, 144A

      8,029,332  
  4,290,750     

Home Partners of America Trust, Series 2021-2, Class E2,

2.952%, 12/17/2026, 144A

      3,889,711  
  1,974,690     

Invitation Homes Trust, Series 2018-SFR2, Class B,

1-month LIBOR + 1.080%, 1.477%, 6/17/2037, 144A(b)

      1,958,425  
  240,181     

Invitation Homes Trust, Series 2018-SFR3, Class B,

1-month LIBOR + 1.150%, 1.591%, 7/17/2037, 144A(b)

      237,961  
  4,025,000     

Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2,

3.500%, 4/25/2061, 144A(a)

      3,746,818  
  11,507,000     

Progress Residential Trust, Series 2021-SFR4, Class F,

3.407%, 5/17/2038, 144A

      10,541,498  
  3,623,000     

Progress Residential Trust, Series 2021-SFR5, Class F,

3.158%, 7/17/2038, 144A

      3,256,888  
  5,465,000     

Progress Residential Trust, Series 2021-SFR6, Class F,

3.422%, 7/17/2038, 144A

      4,951,471  
  15,160,000     

Progress Residential Trust, Series 2021-SFR7, Class F,

3.834%, 8/17/2040, 144A

      13,608,098  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

ABS Home Equity – continued

 

  $      9,069,849     

PRPM LLC, Series 2021-3, Class A1,

1.867%, 4/25/2026, 144A(a)

    $          8,665,156  
  2,513,000     

PRPM LLC, Series 2021-4, Class A2,

3.474%, 4/25/2026, 144A(a)

      2,352,637  
  7,761,511     

PRPM LLC, Series 2021-5, Class A1,

1.793%, 6/25/2026, 144A(a)

      7,356,025  
  6,170,685     

PRPM LLC, Series 2021-9, Class A1,

2.363%, 10/25/2026, 144A(a)

      6,012,833  
  8,130,000     

Toorak Mortgage Corp., Series 2021-1, Class A1,

2.240%, 6/25/2024, 144A(a)

      7,694,191  
  1,120,000     

Towd Point Mortgage Trust, Series 2017-4, Class M2,

3.250%, 6/25/2057, 144A(a)

      1,070,281  
  795,000     

Towd Point Mortgage Trust, Series 2019-4, Class M1,

3.500%, 10/25/2059, 144A(a)

      756,293  
  7,865,000     

VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2,

3.967%, 9/25/2051, 144A(a)

      7,314,888  
  3,970,000     

VCAT LLC, Series 2021-NPL5, Class A2,

3.844%, 8/25/2051, 144A(a)

      3,746,588  
     

 

 

  
        150,138,292  
     

 

 

  
  

ABS Other – 1.3%

 

  5,405,782     

Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A,

2.950%, 11/16/2041, 144A(c)

      4,462,927  
  3,233,723     

Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B,

3.538%, 1/15/2047, 144A

      2,974,089  
  1,625,106     

Castlelake Aircraft Structured Trust, Series 2017-1R, Class A,

2.741%, 8/15/2041, 144A

      1,434,933  
  3,129,879     

Castlelake Aircraft Structured Trust, Series 2017-1R, Class B,

3.924%, 8/15/2041, 144A

      2,584,300  
  633,173     

Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C,

2.090%, 8/27/2035, 144A

      597,348  
  92,400     

HIN Timeshare Trust, Series 2020-A, Class C,

3.420%, 10/09/2039, 144A

      90,059  
  2,806,019     

Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B,

3.432%, 10/15/2046, 144A

      2,456,939  
  14,728,149     

MAPS Trust, Series 2021-1A, Class A,

2.521%, 6/15/2046, 144A(c)

      13,647,309  
  14,421,094     

Navigator Aircraft ABS Ltd., Series 2021-1, Class B,

3.571%, 11/15/2046, 144A(a)

      12,334,043  
  10,579,410     

SLAM Ltd., Series 2021-1A, Class A,

2.434%, 6/15/2046, 144A(c)

      9,642,064  
  9,103,462     

Willis Engine Structured Trust, Series 2021-A, Class A,

3.104%, 5/15/2046, 144A(c)

      8,138,422  
     

 

 

  
        58,362,433  
     

 

 

  
  

ABS Whole Business – 0.0%

 

  2,307,563     

Hardee’s Funding LLC, Series 2021-1A, Class A2,

2.865%, 6/20/2051, 144A

      2,092,791  
     

 

 

  
  

Aerospace & Defense – 1.4%

 

  1,995,000     

Boeing Co. (The),

3.625%, 3/01/2048

      1,692,968  

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

    $          2,379,609  
  4,190,000     

Boeing Co. (The),

3.825%, 3/01/2059

      3,441,273  
  415,000     

Boeing Co. (The),

3.850%, 11/01/2048

      363,861  
  6,000,000     

Boeing Co. (The),

3.900%, 5/01/2049

      5,413,912  
  4,124,000     

Boeing Co. (The),

3.950%, 8/01/2059

      3,572,643  
  2,795,000     

Boeing Co. (The),

5.150%, 5/01/2030

      2,980,750  
  9,537,000     

Boeing Co. (The),

5.805%, 5/01/2050

      11,012,727  
  3,145,000     

Embraer Netherlands Finance BV,

5.400%, 2/01/2027

      3,196,138  
  9,576,000     

Leonardo U.S. Holdings, Inc.,

6.250%, 1/15/2040, 144A

      10,888,103  
  8,815,000     

Leonardo U.S. Holdings, Inc.,

7.375%, 7/15/2039, 144A

      10,984,548  
  6,485,000     

TransDigm, Inc.,

5.500%, 11/15/2027

      6,436,362  
  370,000     

TransDigm, Inc.,

7.500%, 3/15/2027

      381,100  
     

 

 

  
        62,743,994  
     

 

 

  
  

Airlines – 1.7%

 

  15,295,822     

Air Canada Pass Through Trust, Series 2020-2A,

5.250%, 10/01/2030, 144A(c)

      15,787,124  
  1,325,255     

American Airlines Pass Through Trust, Series 2016-3, Class B,

3.750%, 4/15/2027

      1,218,585  
  754,678     

American Airlines Pass Through Trust, Series 2017-2, Class B,

3.700%, 4/15/2027

      709,019  
  2,655,000     

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

5.500%, 4/20/2026, 144A

      2,674,913  
  3,055,000     

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

5.750%, 4/20/2029, 144A

      3,043,544  
  26,975,000     

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.,

6.500%, 6/20/2027, 144A

      28,121,437  
  21,951,152     

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

5.875%, 4/15/2029(c)

      22,471,614  
  2,743,200     

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

4.875%, 7/15/2027

      2,692,176  
     

 

 

  
        76,718,412  
     

 

 

  
  

Automotive – 0.7%

 

  5,610,000     

Ford Motor Co.,

3.250%, 2/12/2032

      5,010,459  
  18,505,000     

Ford Motor Co.,

4.750%, 1/15/2043

      16,807,351  
  1,220,000     

Ford Motor Co.,

6.625%, 2/15/2028

      1,289,430  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Automotive – continued

 

  $      1,345,000     

Ford Motor Co.,

7.500%, 8/01/2026

    $          1,498,371  
  1,500,000     

Ford Motor Credit Co. LLC,

5.113%, 5/03/2029

      1,508,895  
  2,845,000     

General Motors Co.,

5.200%, 4/01/2045

      2,879,642  
  2,120,000     

General Motors Co.,

6.250%, 10/02/2043

      2,403,661  
  540,000     

General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter),

5.750%(d)

      538,650  
  865,000     

General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter),

5.700%(d)

      906,261  
     

 

 

  
        32,842,720  
     

 

 

  
  

Banking – 1.9%

 

  6,000,000     

Ally Financial, Inc.,

8.000%, 11/01/2031

      7,525,971  
  8,200,000     

Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter),

4.700%(d)

      7,718,742  
  7,500,000     

Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter),

4.700%(d)

      6,825,000  
  11,885,000     

Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter),

4.375%(d)

      10,467,714  
  9,000,000     

Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),

3.564%, 9/23/2035

      8,289,294  
  2,945,000     

Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter),

3.742%, 1/07/2033

      2,602,792  
  16,322,000     

Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter),

3.729%, 1/14/2032

      14,558,372  
  1,709,000     

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

4.875%, 12/01/2032

      1,640,537  
  14,965,000     

NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter),

3.032%, 11/28/2035

      13,292,811  
  14,800,000     

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

5.459%, 6/30/2035, 144A

      14,142,096  
     

 

 

  
        87,063,329  
     

 

 

  
  

Brokerage – 0.1%

 

  3,893,000     

Jefferies Group LLC,

6.250%, 1/15/2036

      4,552,187  
     

 

 

  
  

Building Materials – 1.4%

 

  39,005,000     

Cemex SAB de CV,

3.875%, 7/11/2031, 144A

      35,592,453  
  2,395,000     

Cemex SAB de CV,

5.200%, 9/17/2030, 144A

      2,383,025  
  6,090,000     

Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter),

5.125%, 144A(d)

      5,975,812  
  3,255,000     

JELD-WEN, Inc.,

4.875%, 12/15/2027, 144A

      3,116,663  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Building Materials – continued

 

  $      1,859,000     

Masco Corp.,

6.500%, 8/15/2032

    $          2,190,720  
  1,226,000     

Masco Corp.,

7.750%, 8/01/2029

      1,485,943  
  10,800,000     

Owens Corning,

7.000%, 12/01/2036

      13,599,666  
     

 

 

  
        64,344,282  
     

 

 

  
  

Cable Satellite – 5.0%

 

  34,275,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.250%, 1/15/2034, 144A

      29,767,666  
  16,130,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.750%, 2/01/2032, 144A

      15,020,901  
  43,315,000     

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,

3.700%, 4/01/2051

      35,695,828  
  9,570,000     

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,

3.850%, 4/01/2061

      7,693,897  
  31,570,000     

Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,

3.950%, 6/30/2062

      25,529,466  
  47,615,000     

CSC Holdings LLC,

4.625%, 12/01/2030, 144A

      39,819,948  
  6,030,000     

CSC Holdings LLC,

5.000%, 11/15/2031, 144A

      5,052,296  
  16,340,000     

CSC Holdings LLC,

5.375%, 2/01/2028, 144A

      15,858,951  
  1,360,000     

CSC Holdings LLC,

5.750%, 1/15/2030, 144A

      1,210,400  
  3,705,000     

DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc.,

5.875%, 8/15/2027, 144A

      3,644,794  
  6,470,000     

DISH DBS Corp.,

5.125%, 6/01/2029

      5,509,787  
  22,190,000     

DISH DBS Corp.,

5.250%, 12/01/2026, 144A

      21,135,975  
  6,568,000     

DISH DBS Corp.,

5.875%, 11/15/2024

      6,551,580  
  15,865,000     

DISH DBS Corp.,

7.750%, 7/01/2026

      15,761,878  
     

 

 

  
        228,253,367  
     

 

 

  
  

Chemicals – 0.7%

 

  13,380,000     

Ashland LLC,

3.375%, 9/01/2031, 144A

      11,807,850  
  1,320,000     

Braskem Netherlands Finance BV,

4.500%, 1/31/2030, 144A

      1,277,483  
  6,735,000     

Braskem Netherlands Finance BV,

5.875%, 1/31/2050, 144A

      6,681,120  
  905,000     

INEOS Quattro Finance 2 PLC,

3.375%, 1/15/2026, 144A

      842,600  
  6,275,000     

Minerals Technologies, Inc.,

5.000%, 7/01/2028, 144A

      5,993,503  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Chemicals – continued

 

  $      2,295,000     

SPCM S.A.,

3.125%, 3/15/2027, 144A

    $          2,111,400  
  2,125,000     

SPCM S.A.,

3.375%, 3/15/2030, 144A

      1,865,538  
     

 

 

  
        30,579,494  
     

 

 

  
  

Construction Machinery – 0.1%

 

  6,395,000     

United Rentals North America, Inc.,

3.750%, 1/15/2032

      5,963,337  
     

 

 

  
  

Consumer Cyclical Services – 2.0%

 

  10,550,000     

Go Daddy Operating Co. LLC/GD Finance Co., Inc.,

3.500%, 3/01/2029, 144A

      9,700,408  
  5,500,000     

Terminix Co. LLC (The),

7.450%, 8/15/2027

      6,226,000  
  9,620,000     

TriNet Group, Inc.,

3.500%, 3/01/2029, 144A

      8,838,375  
  8,505,000     

Uber Technologies, Inc.,

4.500%, 8/15/2029, 144A

      7,973,438  
  18,350,000     

Uber Technologies, Inc.,

6.250%, 1/15/2028, 144A

      18,972,799  
  34,335,000     

Uber Technologies, Inc.,

7.500%, 9/15/2027, 144A

      36,610,037  
     

 

 

  
        88,321,057  
     

 

 

  
  

Consumer Products – 0.4%

 

  11,880,000     

Avon Products, Inc.,

8.450%, 3/15/2043

      13,751,100  
  6,110,000     

Natura Cosmeticos S.A.,

4.125%, 5/03/2028, 144A

      5,882,402  
     

 

 

  
        19,633,502  
     

 

 

  
  

Diversified Manufacturing – 0.6%

 

  25,290,000     

GE Capital Funding LLC,

4.550%, 5/15/2032

      27,158,317  
     

 

 

  
  

Electric – 0.9%

 

  21,045,548     

Alta Wind Holdings LLC,

7.000%, 6/30/2035, 144A

      22,937,111  
  3,570,000     

Enel Generacion Chile S.A.,

7.875%, 2/01/2027

      4,094,826  
  9,050,000     

NRG Energy, Inc.,

3.625%, 2/15/2031, 144A

      7,960,289  
  3,825,000     

NRG Energy, Inc.,

3.875%, 2/15/2032, 144A

      3,366,000  
     

 

 

  
        38,358,226  
     

 

 

  
  

Finance Companies – 4.6%

 

  10,600,000     

Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter),

4.650%(d)

      9,513,500  
  3,585,000     

Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter),

5.250%, 144A(d)

      3,280,275  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Finance Companies – continued

 

  $    20,000,000     

Antares Holdings LP,

8.500%, 5/18/2025, 144A

    $        21,994,616  
  13,070,000     

Ares Capital Corp.,

3.200%, 11/15/2031

      11,076,251  
  6,045,000     

Barings BDC, Inc.,

3.300%, 11/23/2026, 144A

      5,581,542  
  8,325,000     

FS KKR Capital Corp.,

3.125%, 10/12/2028

      7,421,518  
  7,225,000     

FS KKR Capital Corp.,

3.400%, 1/15/2026

      6,995,108  
  14,950,000     

Hercules Capital, Inc.,

3.375%, 1/20/2027

      14,034,836  
  135,000     

Navient Corp.,

5.000%, 3/15/2027

      128,587  
  3,030,000     

Navient Corp.,

5.875%, 10/25/2024

      3,091,024  
  950,000     

Navient Corp.,

6.750%, 6/15/2026

      969,000  
  5,355,000     

Navient Corp., MTN,

5.625%, 8/01/2033

      4,508,910  
  4,774,000     

Navient Corp., MTN,

6.125%, 3/25/2024

      4,857,545  
  1,796,000     

OneMain Finance Corp.,

3.500%, 1/15/2027

      1,661,300  
  8,855,000     

OneMain Finance Corp.,

4.000%, 9/15/2030

      7,814,537  
  4,075,000     

OneMain Finance Corp.,

7.125%, 3/15/2026

      4,355,727  
  8,425,000     

Owl Rock Capital Corp.,

2.875%, 6/11/2028

      7,348,107  
  14,750,000     

Owl Rock Capital Corp.,

4.250%, 1/15/2026

      14,374,330  
  7,155,000     

Owl Rock Technology Finance Corp.,

4.750%, 12/15/2025, 144A

      7,062,088  
  20,850,000     

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,

2.875%, 10/15/2026, 144A

      19,143,323  
  12,520,000     

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,

3.625%, 3/01/2029, 144A

      11,441,402  
  37,150,000     

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,

3.875%, 3/01/2031, 144A

      33,620,750  
  9,030,000     

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,

4.000%, 10/15/2033, 144A

      7,909,377  
     

 

 

  
        208,183,653  
     

 

 

  
  

Financial Other – 1.5%

 

  1,650,000     

Agile Group Holdings Ltd.,

5.500%, 4/21/2025

      530,326  
  1,120,000     

Agile Group Holdings Ltd.,

5.500%, 5/17/2026

      350,627  
  1,225,000     

Agile Group Holdings Ltd.,

5.750%, 1/02/2025

      421,620  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Financial Other – continued

 

  $      6,150,000     

Agile Group Holdings Ltd.,

6.050%, 10/13/2025(e)(f)

    $          1,954,101  
  2,060,000     

Central China Real Estate Ltd.,

7.250%, 4/24/2023

      1,135,534  
  2,370,000     

CFLD Cayman Investment Ltd.,

6.900%, 1/13/2023(e)(f)(g)

      345,262  
  4,045,000     

CFLD Cayman Investment Ltd.,

6.920%, 6/16/2022(g)

      581,388  
  2,835,000     

CFLD Cayman Investment Ltd.,

8.050%, 1/13/2025(e)(f)(g)

      396,645  
  2,520,000     

CFLD Cayman Investment Ltd.,

8.600%, 4/08/2024(g)

      364,115  
  2,955,000     

CFLD Cayman Investment Ltd.,

8.750%, 9/28/2022(e)(f)(g)

      472,800  
  1,035,000     

China Aoyuan Group Ltd.,

6.200%, 3/24/2026(g)

      178,310  
  2,400,000     

China Aoyuan Group Ltd.,

6.350%, 2/08/2024(g)

      415,848  
  1,240,000     

China Aoyuan Group Ltd.,

7.950%, 2/19/2023(g)

      210,738  
  1,800,000     

China Evergrande Group,

8.250%, 3/23/2022(g)

      226,998  
  4,045,000     

China Evergrande Group,

8.750%, 6/28/2025(g)

      502,308  
  1,405,000     

China Evergrande Group,

9.500%, 4/11/2022(e)(f)(g)

      172,745  
  335,000     

China Evergrande Group,

9.500%, 3/29/2024(e)(f)(g)

      41,302  
  4,060,000     

CIFI Holdings Group Co. Ltd.,

4.450%, 8/17/2026

      3,286,651  
  24,490,000     

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

4.375%, 2/01/2029

      22,469,575  
  3,580,000     

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

5.250%, 5/15/2027

      3,513,501  
  6,925,000     

Kaisa Group Holdings Ltd.,

9.375%, 6/30/2024(e)(f)(g)

      1,307,094  
  1,415,000     

Kaisa Group Holdings Ltd.,

9.950%, 7/23/2025(g)

      264,548  
  1,600,000     

Kaisa Group Holdings Ltd.,

10.500%, 1/15/2025(e)(f)(g)

      302,928  
  8,085,000     

Kaisa Group Holdings Ltd.,

11.250%, 4/16/2025(e)(f)(g)

      1,523,861  
  7,075,000     

Kaisa Group Holdings Ltd.,

11.650%, 6/01/2026(e)(f)(g)

      1,344,038  
  4,795,000     

Kaisa Group Holdings Ltd.,

11.700%, 11/11/2025(e)(f)(g)

      899,878  
  1,380,000     

KWG Group Holdings Ltd.,

6.000%, 8/14/2026(e)(f)

      531,893  
  3,760,000     

KWG Group Holdings Ltd.,

6.300%, 2/13/2026(e)(f)

      1,456,398  
  11,820,000     

Nationstar Mortgage Holdings, Inc.,

5.500%, 8/15/2028, 144A

      11,362,566  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Financial Other – continued

 

  $      2,880,000     

Shimao Group Holdings Ltd.,

3.450%, 1/11/2031(e)(f)

    $             715,162  
  400,000     

Shimao Group Holdings Ltd.,

4.600%, 7/13/2030(e)(f)

      104,340  
  1,830,000     

Shimao Group Holdings Ltd.,

5.200%, 1/16/2027(e)(f)

      493,807  
  280,000     

Shimao Group Holdings Ltd.,

5.600%, 7/15/2026(e)(f)

      77,840  
  1,970,000     

Shimao Group Holdings Ltd.,

6.125%, 2/21/2024(e)(f)

      571,103  
  425,000     

Sunac China Holdings Ltd.,

5.950%, 4/26/2024(e)(f)

      108,371  
  3,610,000     

Sunac China Holdings Ltd.,

6.500%, 1/10/2025(e)(f)

      907,482  
  8,570,000     

Sunac China Holdings Ltd.,

6.500%, 1/26/2026(e)(f)

      2,037,003  
  290,000     

Sunac China Holdings Ltd.,

6.650%, 8/03/2024(e)(f)

      73,553  
  4,000,000     

Sunac China Holdings Ltd.,

7.000%, 7/09/2025(e)(f)

      951,320  
  720,000     

Times China Holdings Ltd.,

5.750%, 1/14/2027(e)(f)

      266,083  
  4,030,000     

Times China Holdings Ltd.,

6.200%, 3/22/2026(e)(f)

      1,528,055  
  23,285,000     

Yuzhou Group Holdings Co. Ltd.,

6.350%, 1/13/2027(e)(f)(g)

      3,030,543  
  1,245,000     

Yuzhou Group Holdings Co. Ltd.,

7.375%, 1/13/2026(e)(f)(g)

      162,448  
  3,155,000     

Yuzhou Group Holdings Co. Ltd.,

8.300%, 5/27/2025(e)(f)(g)

      411,727  
     

 

 

  
        68,002,435  
     

 

 

  
  

Food & Beverage – 2.1%

 

  6,525,000     

Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL,

5.250%, 4/27/2029, 144A

      6,492,375  
  45,450,000     

Kraft Heinz Foods Co.,

4.375%, 6/01/2046

      45,068,220  
  27,125,000     

MARB BondCo PLC,

3.950%, 1/29/2031, 144A

      24,073,438  
  11,860,000     

Pilgrim’s Pride Corp.,

3.500%, 3/01/2032, 144A

      10,368,724  
  10,455,000     

Post Holdings, Inc.,

4.500%, 9/15/2031, 144A

      9,263,025  
     

 

 

  
        95,265,782  
     

 

 

  
  

Gaming – 0.7%

 

  12,960,000     

Genm Capital Labuan Ltd.,

3.882%, 4/19/2031, 144A

      11,298,239  
  3,845,000     

GLP Capital LP/GLP Financing II, Inc.,

3.250%, 1/15/2032

      3,488,568  
  3,265,000     

Penn National Gaming, Inc.,

4.125%, 7/01/2029, 144A

      2,922,828  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Gaming – continued

 

  $    12,590,000     

Scientific Games International, Inc.,

7.000%, 5/15/2028, 144A

    $        13,049,472  
  740,000     

Scientific Games International, Inc.,

7.250%, 11/15/2029, 144A

      775,150  
     

 

 

  
        31,534,257  
     

 

 

  
  

Government Owned - No Guarantee – 0.7%

 

  495,000     

Antares Holdings LP,

2.750%, 1/15/2027, 144A

      435,050  
  585,000     

Antares Holdings LP,

3.750%, 7/15/2027, 144A

      539,686  
  5,740,000     

EcoPetrol S.A.,

4.625%, 11/02/2031

      5,194,700  
  6,535,000     

Pertamina Persero PT,

6.450%, 5/30/2044, 144A

      7,645,253  
  6,586,000     

Petroleos Mexicanos,

6.625%, 6/15/2035

      5,902,768  
  12,239,000     

Petroleos Mexicanos,

6.950%, 1/28/2060

      9,933,295  
     

 

 

  
        29,650,752  
     

 

 

  
  

Health Insurance – 0.7%

 

  21,450,000     

Centene Corp.,

2.500%, 3/01/2031

      18,930,268  
  6,390,000     

Centene Corp.,

2.625%, 8/01/2031

      5,687,100  
  4,510,000     

Centene Corp.,

3.000%, 10/15/2030

      4,142,300  
  4,280,000     

Molina Healthcare, Inc.,

3.875%, 5/15/2032, 144A

      4,070,066  
     

 

 

  
        32,829,734  
     

 

 

  
  

Healthcare – 0.3%

 

  9,645,000     

Avantor Funding, Inc.,

3.875%, 11/01/2029, 144A

      9,066,300  
  1,980,000     

Charles River Laboratories International, Inc.,

3.750%, 3/15/2029, 144A

      1,867,487  
  2,110,000     

Charles River Laboratories International, Inc.,

4.000%, 3/15/2031, 144A

      1,980,762  
     

 

 

  
        12,914,549  
     

 

 

  
  

Home Construction – 0.8%

 

  4,720,000     

Central China Real Estate Ltd.,

7.250%, 7/16/2024(e)(f)

      2,049,660  
  1,260,000     

Central China Real Estate Ltd.,

7.250%, 8/13/2024

      543,791  
  3,260,000     

Central China Real Estate Ltd.,

7.500%, 7/14/2025(e)(f)

      1,402,419  
  4,415,000     

Central China Real Estate Ltd.,

7.650%, 8/27/2023

      2,120,127  
  1,305,000     

Central China Real Estate Ltd.,

7.750%, 5/24/2024

      578,950  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Home Construction – continued

 

  $      3,345,000     

Logan Group Co. Ltd.,

4.250%, 7/12/2025(e)(f)

    $             679,838  
  1,320,000     

Logan Group Co. Ltd.,

4.850%, 12/14/2026(e)(f)

      263,736  
  23,546,000     

PulteGroup, Inc.,

6.000%, 2/15/2035

      26,503,258  
  9,395,000     

Yuzhou Group Holdings Co. Ltd.,

7.700%, 2/20/2025(e)(f)(g)

      1,207,164  
  5,345,000     

Yuzhou Group Holdings Co. Ltd.,

7.850%, 8/12/2026(e)(f)(g)

      695,491  
  4,535,000     

Zhenro Properties Group Ltd.,

6.630%, 1/07/2026(e)(f)

      513,362  
  365,000     

Zhenro Properties Group Ltd.,

6.700%, 8/04/2026(e)(f)

      39,854  
  715,000     

Zhenro Properties Group Ltd.,

7.350%, 2/05/2025(e)(f)

      81,310  
     

 

 

  
        36,678,960  
     

 

 

  
  

Independent Energy – 2.7%

 

  12,155,000     

Aker BP ASA,

4.000%, 1/15/2031, 144A

      12,109,189  
  10,455,000     

Continental Resources, Inc.,

5.750%, 1/15/2031, 144A

      11,435,679  
  6,210,000     

Energean Israel Finance Ltd.,

5.375%, 3/30/2028, 144A

      5,970,915  
  8,120,000     

Energean Israel Finance Ltd.,

5.875%, 3/30/2031, 144A

      7,732,270  
  810,000     

EQT Corp.,

3.125%, 5/15/2026, 144A

      786,729  
  7,740,000     

EQT Corp.,

3.625%, 5/15/2031, 144A

      7,391,700  
  2,180,000     

EQT Corp.,

3.900%, 10/01/2027

      2,173,689  
  1,535,000     

EQT Corp.,

5.000%, 1/15/2029

      1,584,642  
  550,000     

Leviathan Bond Ltd.,

6.125%, 6/30/2025, 144A

      559,432  
  10,835,000     

Leviathan Bond Ltd.,

6.500%, 6/30/2027, 144A

      11,136,105  
  17,908,000     

Mesquite Energy, Inc.,

6.125%, 1/15/2023(e)(g)(h)(i)

      1,020,756  
  9,520,000     

Mesquite Energy, Inc.,

7.750%, 6/15/2021(e)(g)(h)(i)

      542,640  
  540,000     

Occidental Petroleum Corp.,

4.500%, 7/15/2044

      516,364  
  32,720,000     

Occidental Petroleum Corp.,

6.625%, 9/01/2030

      37,546,200  
  10,085,000     

Ovintiv, Inc.,

6.500%, 8/15/2034

      11,970,171  
  540,000     

Ovintiv, Inc.,

6.500%, 2/01/2038

      639,638  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Independent Energy – continued

 

  $      2,715,000     

Ovintiv, Inc.,

6.625%, 8/15/2037

    $          3,212,019  
  360,000     

Ovintiv, Inc.,

7.200%, 11/01/2031

      435,689  
  1,200,000     

Ovintiv, Inc.,

7.375%, 11/01/2031

      1,471,115  
  1,495,000     

Ovintiv, Inc.,

8.125%, 9/15/2030

      1,871,882  
  1,295,000     

Southwestern Energy Co.,

4.750%, 2/01/2032

      1,293,381  
  151,000     

Southwestern Energy Co.,

5.950%, 1/23/2025

      157,857  
     

 

 

  
        121,558,062  
     

 

 

  
  

Industrial Other – 0.1%

 

  800,000     

CFLD Cayman Investment Ltd.,

7.125%, 4/08/2022(e)(f)(g)

      113,640  
  3,985,000     

TopBuild Corp.,

4.125%, 2/15/2032, 144A

      3,611,406  
     

 

 

  
        3,725,046  
     

 

 

  
  

Leisure – 0.9%

 

  11,785,000     

Carnival Corp.,

5.750%, 3/01/2027, 144A

      11,238,942  
  6,065,000     

Carnival Corp.,

6.000%, 5/01/2029, 144A

      5,715,292  
  6,575,000     

NCL Corp. Ltd.,

5.875%, 3/15/2026, 144A

      6,247,302  
  5,085,000     

NCL Corp. Ltd.,

5.875%, 2/15/2027, 144A

      5,021,590  
  2,415,000     

NCL Finance Ltd.,

6.125%, 3/15/2028, 144A

      2,239,538  
  230,000     

Royal Caribbean Cruises Ltd.,

4.250%, 7/01/2026, 144A

      213,944  
  12,300,000     

Royal Caribbean Cruises Ltd.,

5.500%, 4/01/2028, 144A

      11,725,713  
     

 

 

  
        42,402,321  
     

 

 

  
  

Life Insurance – 1.0%

 

  3,965,000     

Athene Global Funding,

1.716%, 1/07/2025, 144A

      3,778,558  
  20,000,000     

National Life Insurance Co.,

10.500%, 9/15/2039, 144A(e)(f)

      29,912,200  
  8,920,000     

NLV Financial Corp.,

7.500%, 8/15/2033, 144A(e)(f)

      11,102,724  
     

 

 

  
        44,793,482  
     

 

 

  
  

Lodging – 0.9%

 

  7,620,000     

Hilton Domestic Operating Co., Inc.,

3.625%, 2/15/2032, 144A

      6,915,150  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Lodging – continued

 

  $      1,745,000     

Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,

4.875%, 7/01/2031, 144A

    $          1,621,192  
  5,385,000     

Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,

5.000%, 6/01/2029, 144A

      5,138,879  
  4,155,000     

Marriott Ownership Resorts, Inc.,

4.500%, 6/15/2029, 144A

      3,916,088  
  13,945,000     

Travel & Leisure Co.,

4.500%, 12/01/2029, 144A

      12,931,477  
  7,670,000     

Travel & Leisure Co.,

4.625%, 3/01/2030, 144A

      7,133,100  
  970,000     

Travel & Leisure Co.,

6.000%, 4/01/2027

      999,100  
  1,120,000     

Travel & Leisure Co.,

6.625%, 7/31/2026, 144A

      1,167,600  
     

 

 

  
        39,822,586  
     

 

 

  
  

Media Entertainment – 1.3%

 

  5,500,000     

AMC Networks, Inc.,

4.250%, 2/15/2029

      5,132,572  
  3,925,000     

iHeartCommunications, Inc.,

4.750%, 1/15/2028, 144A

      3,748,375  
  1,925,000     

iHeartCommunications, Inc.,

5.250%, 8/15/2027, 144A

      1,903,344  
  3,070,000     

Magallanes, Inc.,

4.054%, 3/15/2029, 144A

      3,084,982  
  4,720,000     

Magallanes, Inc.,

4.279%, 3/15/2032, 144A

      4,746,574  
  1,325,000     

Netflix, Inc.,

4.875%, 4/15/2028

      1,389,600  
  14,565,000     

Netflix, Inc.,

4.875%, 6/15/2030, 144A

      15,536,485  
  1,805,000     

Netflix, Inc.,

5.375%, 11/15/2029, 144A

      1,953,913  
  8,735,000     

Netflix, Inc.,

5.875%, 11/15/2028

      9,628,590  
  11,900,000     

Netflix, Inc.,

6.375%, 5/15/2029

      13,456,282  
     

 

 

  
        60,580,717  
     

 

 

  
  

Metals & Mining – 2.4%

 

  22,016,000     

ArcelorMittal S.A.,

6.750%, 3/01/2041

      26,037,211  
  2,630,000     

First Quantum Minerals Ltd.,

6.875%, 3/01/2026, 144A

      2,703,246  
  35,930,000     

First Quantum Minerals Ltd.,

6.875%, 10/15/2027, 144A

      37,636,675  
  1,810,000     

First Quantum Minerals Ltd.,

7.500%, 4/01/2025, 144A

      1,837,150  
  9,590,000     

FMG Resources August 2006 Pty Ltd.,

4.375%, 4/01/2031, 144A

      9,071,181  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Metals & Mining – continued

 

  $    22,815,000     

Freeport-McMoRan, Inc.,

5.400%, 11/14/2034

    $        25,325,791  
  6,230,000     

JSW Steel Ltd.,

5.050%, 4/05/2032, 144A

      5,803,810  
  1,900,000     

Volcan Cia Minera SAA,

4.375%, 2/11/2026, 144A

      1,819,250  
     

 

 

  
        110,234,314  
     

 

 

  
  

Midstream – 0.6%

 

  11,365,000     

DCP Midstream Operating LP,

3.250%, 2/15/2032

      10,228,500  
  1,430,000     

DCP Midstream Operating LP,

5.125%, 5/15/2029

      1,470,741  
  2,530,000     

Hess Midstream Operations LP,

4.250%, 2/15/2030, 144A

      2,387,308  
  505,000     

NGPL PipeCo LLC,

7.768%, 12/15/2037, 144A

      633,789  
  3,515,000     

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

4.000%, 1/15/2032

      3,373,732  
  1,750,000     

Western Midstream Operating LP,

4.550%, 2/01/2030

      1,741,250  
  4,055,000     

Western Midstream Operating LP,

5.300%, 3/01/2048

      4,014,450  
  745,000     

Western Midstream Operating LP,

5.450%, 4/01/2044

      755,251  
  560,000     

Western Midstream Operating LP,

5.500%, 8/15/2048

      553,000  
  2,310,000     

Western Midstream Operating LP,

5.750%, 2/01/2050

      2,252,250  
     

 

 

  
        27,410,271  
     

 

 

  
  

Non-Agency Commercial Mortgage-Backed Securities – 1.8%

 

  335,000     

BBSG Mortgage Trust, Series 2016-MRP, Class A,

3.275%, 6/05/2036, 144A

      318,917  
  7,375,000     

BPR Trust, Series 2021-NRD, Class F,

1-month Term SOFR + 6.870%, 7.174%, 12/15/2023, 144A(b)

      7,225,181  
  10,565,000     

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C,

4.885%, 9/10/2045, 144A(a)

      10,540,121  
  125,000     

Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2,

3.400%, 10/05/2030, 144A

      123,244  
  603,757     

Commercial Mortgage Trust, Series 2012-LC4, Class B,

4.934%, 12/10/2044(a)

      602,965  
  2,925,000     

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

4.185%, 9/15/2037, 144A

      2,720,059  
  1,690,000     

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

4.373%, 9/15/2037, 144A

      1,489,263  
  7,680,000     

GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C,

3.550%, 3/05/2033, 144A(a)

      6,730,466  
  2,535,000     

GS Mortgage Securities Trust, Series 2013-G1, Class B,

3.601%, 4/10/2031, 144A(a)

      2,439,203  
  5,785,000     

GS Mortgage Securities Trust, Series 2014-GC22, Class D,

4.688%, 6/10/2047, 144A(a)

      5,238,361  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Non-Agency Commercial Mortgage-Backed Securities – continued

 

  $      1,265,828     

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class D,

5.735%, 8/15/2046, 144A(a)

    $          1,256,841  
  3,980,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class E,

4.000%, 8/15/2046, 144A(a)

      3,562,100  
  10,664,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D,

4.675%, 10/15/2045, 144A(a)(c)

      10,506,236  
  290,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D,

4.364%, 12/15/2047, 144A(a)

      285,590  
  3,110,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C,

3.958%, 4/15/2046(a)

      3,002,013  
  4,010,000     

MedTrust, Series 2021-MDLN, Class C,

1-month LIBOR + 1.800%, 2.197%, 11/15/2038, 144A(b)

      3,930,637  
  1,135,000     

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B,

4.352%, 8/15/2046(a)

      813,358  
  4,901,000     

Morgan Stanley Capital I Trust, Series 2012-C4, Class D,

5.467%, 3/15/2045, 144A(a)

      4,636,376  
  5,285,000     

Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B,

4.305%, 7/15/2046(a)

      5,073,597  
  4,340,000     

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

4.322%, 8/15/2050

      3,877,337  
  1,315,000     

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

3.744%, 12/15/2045

      1,304,723  
  4,000,000     

WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B,

4.506%, 8/15/2046(a)

      3,870,206  
  2,612,000     

WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C,

4.506%, 8/15/2046(a)

      2,407,092  
  940,000     

WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B,

4.378%, 5/15/2047

      915,688  
     

 

 

  
        82,869,574  
     

 

 

  
  

Paper – 0.9%

 

  15,225,000     

Georgia-Pacific LLC,

7.750%, 11/15/2029

      19,531,507  
  4,865,000     

WestRock MWV LLC,

7.950%, 2/15/2031

      6,235,446  
  8,750,000     

WestRock MWV LLC,

8.200%, 1/15/2030

      11,232,536  
  2,840,000     

Weyerhaeuser Co.,

6.950%, 10/01/2027

      3,293,131  
     

 

 

  
        40,292,620  
     

 

 

  
  

Pharmaceuticals – 1.6%

 

  1,945,000     

Bausch Health Cos., Inc.,

4.875%, 6/01/2028, 144A

      1,862,338  
  14,285,000     

Bausch Health Cos., Inc.,

5.000%, 1/30/2028, 144A

      11,764,697  
  425,000     

Bausch Health Cos., Inc.,

5.000%, 2/15/2029, 144A

      331,077  
  3,045,000     

Bausch Health Cos., Inc.,

5.250%, 1/30/2030, 144A

      2,391,969  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Pharmaceuticals – continued

 

  $      9,810,000     

Bausch Health Cos., Inc.,

5.250%, 2/15/2031, 144A

    $          7,635,712  
  465,000     

Bausch Health Cos., Inc.,

6.250%, 2/15/2029, 144A

      381,300  
  765,000     

Bausch Health Cos., Inc.,

7.000%, 1/15/2028, 144A

      684,889  
  2,655,000     

Grifols Escrow Issuer S.A.,

4.750%, 10/15/2028, 144A

      2,499,019  
  1,995,000     

Jazz Securities DAC,

4.375%, 1/15/2029, 144A

      1,932,656  
  7,750,000     

Teva Pharmaceutical Finance Co. LLC,

6.150%, 2/01/2036

      7,827,500  
  21,480,000     

Teva Pharmaceutical Finance Netherlands III BV,

4.100%, 10/01/2046

      16,861,800  
  12,060,000     

Teva Pharmaceutical Finance Netherlands III BV,

4.750%, 5/09/2027

      11,576,997  
  8,725,000     

Teva Pharmaceutical Finance Netherlands III BV,

5.125%, 5/09/2029

      8,386,645  
     

 

 

  
        74,136,599  
     

 

 

  
  

Property & Casualty Insurance – 0.3%

 

  12,510,000     

MBIA Insurance Corp.,

3-month LIBOR + 11.260%, 11.501%, 1/15/2033, 144A(b)(e)(h)(i)(j)

      1,501,200  
  10,900,000     

Stewart Information Services Corp.,

3.600%, 11/15/2031

      9,920,258  
     

 

 

  
        11,421,458  
     

 

 

  
  

REITs - Diversified – 0.1%

 

  2,735,000     

EPR Properties,

3.600%, 11/15/2031

      2,479,555  
     

 

 

  
  

Restaurants – 0.4%

 

  19,175,000     

Yum! Brands, Inc.,

4.625%, 1/31/2032

      18,547,786  
     

 

 

  
  

Retailers – 0.7%

 

  3,665,000     

Carvana Co.,

5.500%, 4/15/2027, 144A

      3,271,012  
  3,250,000     

Carvana Co.,

5.625%, 10/01/2025, 144A

      3,064,295  
  6,245,000     

Carvana Co.,

5.875%, 10/01/2028, 144A

      5,561,048  
  3,325,000     

Dillard’s, Inc.,

7.000%, 12/01/2028

      3,660,492  
  1,500,000     

Dillard’s, Inc.,

7.750%, 7/15/2026

      1,606,875  
  3,975,000     

Lithia Motors, Inc.,

3.875%, 6/01/2029, 144A

      3,776,488  
  6,365,000     

Marks & Spencer PLC,

7.125%, 12/01/2037, 144A

      6,781,717  
  2,555,000     

Murphy Oil USA, Inc.,

3.750%, 2/15/2031, 144A

      2,331,438  
     

 

 

  
        30,053,365  
     

 

 

  

Principal

Amount (‡)

    

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
 

Sovereigns – 0.6%

 

  $    20,810,000    

Mexico Government International Bond,

3.771%, 5/24/2061

    $        16,859,430  
  11,630,000    

Mexico Government International Bond,

4.280%, 8/14/2041

      10,841,137  
    

 

 

  
       27,700,567  
    

 

 

  
 

Supermarkets – 0.1%

 

  2,290,000    

Safeway, Inc.,

7.250%, 2/01/2031

      2,508,695  
    

 

 

  
 

Technology – 1.9%

 

  5,770,000    

Block, Inc.,

3.500%, 6/01/2031, 144A

      5,279,550  
  18,245,000    

CDW LLC/CDW Finance Corp.,

3.569%, 12/01/2031

      16,903,080  
  15,295,000    

CommScope Technologies LLC,

5.000%, 3/15/2027, 144A

      13,284,855  
  14,915,000    

CommScope, Inc.,

4.750%, 9/01/2029, 144A

      13,736,864  
  1,215,000    

Everi Holdings, Inc.,

5.000%, 7/15/2029, 144A

      1,151,212  
  13,195,000    

Iron Mountain, Inc.,

4.875%, 9/15/2029, 144A

      12,559,925  
  5,050,000    

MSCI, Inc.,

3.250%, 8/15/2033, 144A

      4,539,003  
  12,565,000    

Oracle Corp.,

3.950%, 3/25/2051

      10,984,514  
  5,200,000    

Sensata Technologies BV,

4.000%, 4/15/2029, 144A

      4,951,596  
  750,000    

Western Digital Corp.,

3.100%, 2/01/2032

      671,528  
    

 

 

  
       84,062,127  
    

 

 

  
 

Transportation Services – 0.4%

 

  4,150,000    

Adani Ports & Special Economic Zone Ltd.,

3.100%, 2/02/2031, 144A

      3,572,776  
  14,685,000    

Adani Ports & Special Economic Zone Ltd.,

4.200%, 8/04/2027, 144A

      14,305,627  
  1,240,000    

GMR Hyderabad International Airport Ltd.,

4.250%, 10/27/2027, 144A

      1,125,300  
  255,000    

GMR Hyderabad International Airport Ltd.,

4.750%, 2/02/2026, 144A

      245,139  
    

 

 

  
       19,248,842  
    

 

 

  
 

Treasuries – 17.0%

 

  142,342 (††)   

Brazil Notas do Tesouro Nacional, Series F,

10.000%, 1/01/2025, (BRL)

      28,922,384  

Principal

Amount (‡)

    

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
 

Treasuries – continued

 

          2,967,869 (†††)   

Mexican Fixed Rate Bonds,

6.750%, 3/09/2023, (MXN)

    $        14,712,364  
  4,740,050 (†††)   

Mexican Fixed Rate Bonds, Series M 30,

8.500%, 11/18/2038, (MXN)

      24,188,554  
  21,390,000    

U.S. Treasury Note,

0.125%, 11/30/2022(c)

      21,220,384  
  109,525,000    

U.S. Treasury Note,

0.125%, 12/31/2022(c)(k)

      108,463,977  
  90,085,000    

U.S. Treasury Note,

0.125%, 1/31/2023(c)

      89,018,759  
  172,590,000    

U.S. Treasury Note,

0.125%, 2/28/2023(c)

      170,270,822  
  53,450,000    

U.S. Treasury Note,

0.125%, 4/30/2023(c)

      52,506,273  
  12,675,000    

U.S. Treasury Note,

0.250%, 9/30/2023

      12,322,972  
  137,335,000    

U.S. Treasury Note,

0.500%, 11/30/2023(c)

      133,488,547  
  71,835,000    

U.S. Treasury Note,

0.875%, 1/31/2024

      70,005,452  
  45,765,000    

U.S. Treasury Note,

1.500%, 2/29/2024

      45,098,190  
    

 

 

  
       770,218,678  
    

 

 

  
 

Wireless – 2.8%

 

  5,655,000    

Bharti Airtel Ltd.,

3.250%, 6/03/2031, 144A

      5,226,432  
  10,875,000    

CT Trust,

5.125%, 2/03/2032, 144A

      10,869,019  
  1,200,000    

HTA Group Ltd.,

7.000%, 12/18/2025, 144A

      1,186,560  
  20,720,000    

HTA Group Ltd.,

7.000%, 12/18/2025

      20,487,936  
  6,140,000    

IHS Holding Ltd.,

5.625%, 11/29/2026, 144A

      5,811,510  
  6,140,000    

IHS Holding Ltd.,

6.250%, 11/29/2028, 144A

      5,759,320  
  7,228,000    

IHS Netherlands Holdco BV,

8.000%, 9/18/2027, 144A

      7,264,429  
  2,580,000    

Kenbourne Invest S.A.,

4.700%, 1/22/2028, 144A

      2,272,490  
  5,345,000    

Kenbourne Invest S.A.,

6.875%, 11/26/2024, 144A

      5,247,293  
  490,000    

Liquid Telecommunications Financing PLC,

5.500%, 9/04/2026, 144A

      471,958  
  1,903,500    

Millicom International Cellular S.A.,

5.125%, 1/15/2028, 144A

      1,895,848  
  4,225,500    

Millicom International Cellular S.A.,

6.250%, 3/25/2029, 144A

      4,483,784  
  17,545,000    

SBA Communications Corp.,

3.125%, 2/01/2029

      15,959,283  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Wireless – continued

 

  $      8,849,000     

SoftBank Group Corp.,

4.625%, 7/06/2028

    $          7,902,157  
  4,091,000     

SoftBank Group Corp.,

5.250%, 7/06/2031

      3,678,954  
  27,610,000     

T-Mobile USA, Inc.,

3.375%, 4/15/2029

      26,260,699  
     

 

 

  
        124,777,672  
     

 

 

  
  

Wirelines – 0.5%

 

  350,000     

Cincinnati Bell Telephone Co. LLC,

6.300%, 12/01/2028

      347,295  
  6,071,000     

Telecom Italia Capital S.A.,

6.000%, 9/30/2034

      5,707,165  
  16,440,000     

Telecom Italia Capital S.A.,

6.375%, 11/15/2033

      15,712,201  
     

 

 

  
        21,766,661  
     

 

 

  
  

Total Non-Convertible Bonds

(Identified Cost $3,484,056,172)

      3,265,450,666  
     

 

 

  
 

Convertible Bonds – 6.5%

  
  

Airlines – 0.5%

 

  16,920,000     

Southwest Airlines Co.,

1.250%, 5/01/2025

      22,960,440  
     

 

 

  
  

Cable Satellite – 3.1%

 

  13,550,000     

DISH Network Corp.,

2.375%, 3/15/2024

      12,669,250  
  143,750,000     

DISH Network Corp.,

3.375%, 8/15/2026

      129,303,125  
     

 

 

  
        141,972,375  
     

 

 

  
  

Consumer Cyclical Services – 0.3%

 

  1,880,000     

Peloton Interactive, Inc.,

Zero Coupon, 0.519%-1.006%, 2/15/2026(l)

      1,570,702  
  13,205,000     

Uber Technologies, Inc.,

Zero Coupon, 0.000%-1.922%, 12/15/2025(l)

      11,836,566  
  1,200,000     

Zillow Group, Inc.,

1.375%, 9/01/2026

      1,587,750  
     

 

 

  
        14,995,018  
     

 

 

  
  

Gaming – 0.1%

 

  2,195,000     

Penn National Gaming, Inc.,

2.750%, 5/15/2026

      4,414,145  
     

 

 

  
  

Healthcare – 0.6%

 

  32,010,000     

Teladoc Health, Inc.,

1.250%, 6/01/2027

      27,000,435  
     

 

 

  
  

Leisure – 0.2%

 

  11,050,000     

NCL Corp. Ltd.,

1.125%, 2/15/2027, 144A

      10,121,027  
     

 

 

  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Convertible Bonds – continued

  
  

Media Entertainment – 0.2%

 

  $      5,925,000     

Bilibili, Inc.,

0.500%, 12/01/2026, 144A

    $          4,340,063  
  5,325,000     

Twitter, Inc.,

Zero Coupon, 0.000%, 3/15/2026(m)

      4,470,337  
     

 

 

  
        8,810,400  
     

 

 

  
  

Pharmaceuticals – 1.1%

 

  8,280,000     

BioMarin Pharmaceutical, Inc.,

0.599%, 8/01/2024

      8,275,860  
  27,195,000     

BioMarin Pharmaceutical, Inc.,

1.250%, 5/15/2027

      27,229,959  
  5,015,000     

Ionis Pharmaceuticals, Inc.,

Zero Coupon, 0.000%, 4/01/2026, 144A(m)

      4,664,448  
  9,520,000     

Livongo Health, Inc.,

0.875%, 6/01/2025

      9,643,760  
     

 

 

  
        49,814,027  
     

 

 

  
  

Technology – 0.4%

 

  5,380,000     

Nutanix, Inc.,

0.250%, 10/01/2027, 144A

      4,482,212  
  12,855,000     

Splunk, Inc.,

1.125%, 6/15/2027

      12,276,525  
     

 

 

  
        16,758,737  
     

 

 

  
  

Total Convertible Bonds

(Identified Cost $334,146,215)

      296,846,604  
     

 

 

  
 

Municipals – 1.5%

  
  

Virginia – 1.5%

 

  66,375,000     

Tobacco Settlement Financing Corp., Series A-1,

6.706%, 6/01/2046

(Identified Cost $66,369,276)

      67,315,826  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $3,884,571,663)

      3,629,613,096  
     

 

 

  
 

Senior Loans – 0.5%

  
  

Chemicals – 0.1%

 

  7,037,600     

Aruba Investments, Inc., 2020 2nd Lien Term Loan,

6-month LIBOR + 7.750%, 8.500%, 11/24/2028(b)(n)

      6,949,630  
     

 

 

  
  

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(b)(o)

      13,514,550  
     

 

 

  
  

Pharmaceuticals – 0.1%

 

  3,002,635     

Jazz Financing Lux S.a.r.l., USD Term Loan,

1-month LIBOR + 3.500%, 4.000%, 5/05/2028(b)(p)

      2,988,763  
     

 

 

  
  

Total Senior Loans

(Identified Cost $22,598,265)

      23,452,943  
     

 

 

  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Collateralized Loan Obligations – 3.0%

  
  $      4,475,000     

AGL CLO 12 Ltd., Series 2021-12A, Class B,

3-month LIBOR + 1.600%, 1.854%, 7/20/2034, 144A(b)(c)

    $          4,407,915  
  4,955,000     

AGL CLO 12 Ltd., Series 2021-12A, Class D,

3-month LIBOR + 2.850%, 3.104%, 7/20/2034, 144A(b)

      4,796,797  
  1,245,000     

AGL CLO 7 Ltd., Series 2020-7A, Class DR,

3-month LIBOR + 3.100%, 3.341%, 7/15/2034, 144A(b)

      1,219,353  
  4,390,000     

AIG CLO LLC, Series 2021-1A, Class D,

3-month LIBOR + 2.950%, 3.209%, 4/22/2034, 144A(b)

      4,195,940  
  3,780,000     

AIG CLO LLC, Series 2021-2A, Class D,

3-month LIBOR + 3.050%, 3.304%, 7/20/2034, 144A(b)

      3,643,599  
  2,675,000     

ARES Loan Funding I Ltd., Series 2021-ALFA, Class D,

3-month LIBOR + 3.000%, 3.241%, 10/15/2034, 144A(b)

      2,618,865  
  6,730,000     

Assurant CLO Ltd., Series 2018-3A, Class DR,

3-month LIBOR + 3.100%, 3.354%, 10/20/2031, 144A(b)

      6,606,545  
  3,025,000     

Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2,

3-month LIBOR + 3.100%, 3.358%, 7/25/2034, 144A(b)

      2,988,283  
  890,000     

Ballyrock CLO Ltd., Series 2019-2A, Class A2R,

3-month LIBOR + 1.400%, 1.880%, 11/20/2030, 144A(b)

      877,424  
  1,505,000     

Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR,

3-month LIBOR + 3.000%, 3.241%, 1/17/2032, 144A(b)

      1,474,169  
  3,530,000     

CarVal CLO III Ltd., Series 2019-2A, Class DR,

3-month LIBOR + 2.950%, 3.204%, 7/20/2032, 144A(b)

      3,445,107  
  3,095,000     

CIFC Funding Ltd., Series 2021-5A, Class D,

3-month LIBOR + 3.250%, 3.491%, 7/15/2034, 144A(b)

      3,079,345  
  4,775,000     

Crown City CLO I, Series 2020-1A, Class CR,

3-month LIBOR + 3.420%, 3.674%, 7/20/2034, 144A(b)(e)(f)

      4,569,250  
  5,230,000     

Elmwood CLO V Ltd., Series 2020-2A, Class DR,

3-month LIBOR + 3.100%, 3.354%, 10/20/2034, 144A(b)

      5,148,653  
  2,890,000     

Elmwood CLO VIII Ltd., Series 2021-1A, Class D2,

3-month LIBOR + 2.850%, 3.104%, 1/20/2034, 144A(b)

      2,796,199  
  980,000     

LCM 30 Ltd., Series 30A, Class CR,

3-month LIBOR + 2.000%, 2.254%, 4/20/2031, 144A(b)

      958,604  
  2,965,000     

LCM 30 Ltd., Series 30A, Class DR,

3-month LIBOR + 3.000%, 3.254%, 4/20/2031, 144A(b)

      2,890,282  
  10,665,000     

Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR,

3-month LIBOR + 3.200%, 3.468%, 7/27/2031, 144A(b)

      10,575,339  
  990,000     

Madison Park Funding XXXI Ltd., Series 2018-31A, Class D,

3-month LIBOR + 3.000%, 3.259%, 1/23/2031, 144A(b)

      974,006  
  6,010,000     

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR,

3-month LIBOR + 1.650%, 1.891%, 7/15/2034, 144A(b)(c)

      5,989,758  
  8,055,000     

OCP CLO Ltd., Series 2019-17A, Class DR,

3-month LIBOR + 3.100%, 3.354%, 7/20/2032, 144A(b)

      7,900,747  
  7,155,000     

Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR,

3-month LIBOR + 3.150%, 3.391%, 7/15/2034, 144A(b)

      6,991,565  
  3,125,000     

Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR,

3-month LIBOR + 3.300%, 3.541%, 7/15/2036, 144A(b)

      3,058,109  
  8,250,000     

OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR,

3-month LIBOR + 1.650%, 1.904%, 7/02/2035, 144A(b)(c)

      8,175,238  
  6,450,000     

OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR,

3-month LIBOR + 2.900%, 3.154%, 7/02/2035, 144A(b)

      6,276,553  
  9,695,000     

Palmer Square CLO Ltd., Series 2013-2A, Class A2R3,

3-month LIBOR + 1.500%, 1.748%, 10/17/2031, 144A(b)(c)

      9,597,856  
  970,000     

Palmer Square CLO Ltd., Series 2015-1A, Class A2R4,

3-month LIBOR + 1.700%, 2.180%, 5/21/2034, 144A(b)

      957,838  
  7,615,000     

Palmer Square CLO Ltd., Series 2015-1A, Class CR4,

3-month LIBOR + 2.850%, 3.330%, 5/21/2034, 144A(b)

      7,404,240  

Principal

Amount (‡)

     

Description

    Value (†)  
 

Collateralized Loan Obligations – continued

  
  $    12,510,000     

Palmer Square CLO Ltd., Series 2021-4A, Class E,

3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(b)

    $        12,102,024  
  400,000     

THL Credit Wind River CLO Ltd., Series 2018-3A, Class D,

3-month LIBOR + 2.950%, 3.204%, 1/20/2031, 144A(b)

      387,192  
  1,540,000     

Vibrant CLO XIV Ltd., Series 2021-14A, Class C,

3-month LIBOR + 3.750%, 4.004%, 10/20/2034, 144A(b)

      1,501,805  
     

 

 

  
  

Total Collateralized Loan Obligations

(Identified Cost $140,547,562)

      137,608,600  
     

 

 

  

Shares

     

Description

    Value (†)  
 

Common Stocks – 11.0%

  
  

Aerospace & Defense – 0.4%

 

  7,791     

L3Harris Technologies, Inc.

      1,935,830  
            33,302     

Lockheed Martin Corp.

            14,699,503  
     

 

 

  
        16,635,333  
     

 

 

  
  

Air Freight & Logistics – 0.3%

 

  60,918     

United Parcel Service, Inc., Class B

      13,064,474  
     

 

 

  
  

Beverages – 0.3%

 

  207,473     

Coca-Cola Co. (The)

      12,863,326  
     

 

 

  
  

Biotechnology – 0.4%

 

  108,922     

AbbVie, Inc.

      17,657,345  
     

 

 

  
  

Capital Markets – 0.6%

 

  20,976     

BlackRock, Inc.

      16,029,230  
  123,343     

Morgan Stanley

      10,780,178  
     

 

 

  
        26,809,408  
     

 

 

  
  

Communications Equipment – 0.3%

 

  229,779     

Cisco Systems, Inc.

      12,812,477  
     

 

 

  
  

Electric Utilities – 0.6%

 

  125,401     

Duke Energy Corp.

      14,002,276  
  175,062     

NextEra Energy, Inc.

      14,829,502  
     

 

 

  
        28,831,778  
     

 

 

  
  

Electronic Equipment, Instruments & Components – 0.3%

 

  327,068     

Corning, Inc.

      12,072,080  
     

 

 

  
  

Food & Staples Retailing – 0.4%

 

  109,690     

Walmart, Inc.

      16,335,035  
     

 

 

  
  

Health Care Equipment & Supplies – 0.2%

 

  76,705     

Abbott Laboratories

      9,078,804  
     

 

 

  
  

Health Care Providers & Services – 0.3%

 

  17,716     

Anthem, Inc.

      8,702,453  
  12,745     

UnitedHealth Group, Inc.

      6,499,568  
     

 

 

  
        15,202,021  
     

 

 

  

Shares

     

Description

    Value (†)  
 

Common Stocks – continued

  
  

Hotels, Restaurants & Leisure – 0.2%

 

               105,405     

Starbucks Corp.

    $          9,588,693  
     

 

 

  
  

Household Products – 0.4%

 

  113,936     

Procter & Gamble Co. (The)

      17,409,421  
     

 

 

  
  

IT Services – 0.4%

 

  35,402     

Accenture PLC, Class A

      11,938,616  
  27,313     

Automatic Data Processing, Inc.

      6,214,800  
     

 

 

  
        18,153,416  
     

 

 

  
  

Life Sciences Tools & Services – 0.1%

 

  7,345     

Thermo Fisher Scientific, Inc.

      4,338,324  
     

 

 

  
  

Machinery – 0.5%

 

  48,986     

Cummins, Inc.

      10,047,518  
  24,960     

Deere & Co.

      10,369,882  
     

 

 

  
        20,417,400  
     

 

 

  
  

Media – 0.8%

 

  1,102,155     

Altice USA, Inc., Class A(j)

      13,754,894  
  316,218     

Comcast Corp., Class A

      14,805,327  
  461,939     

iHeartMedia, Inc., Class A(j)

      8,744,505  
     

 

 

  
        37,304,726  
     

 

 

  
  

Metals & Mining – 0.3%

 

  191,799     

Newmont Corp.

      15,238,431  
     

 

 

  
  

Oil, Gas & Consumable Fuels – 0.4%

 

  9,229     

Battalion Oil Corp.(j)

      171,475  
  40,109     

Pioneer Natural Resources Co.

      10,028,453  
  281,043     

Williams Cos., Inc. (The)

      9,389,647  
     

 

 

  
        19,589,575  
     

 

 

  
  

Pharmaceuticals – 1.0%

 

  144,573     

Bristol-Myers Squibb Co.

      10,558,166  
  97,043     

Johnson & Johnson

      17,198,931  
  215,625     

Merck & Co., Inc.

      17,692,031  
     

 

 

  
        45,449,128  
     

 

 

  
  

Professional Services – 0.0%

 

  5,336     

Clarivate PLC(j)

      89,431  
     

 

 

  
  

REITs – Diversified – 0.3%

 

  55,280     

American Tower Corp.

      13,887,442  
     

 

 

  
  

Road & Rail – 0.3%

 

  53,547     

Union Pacific Corp.

      14,629,576  
     

 

 

  
  

Semiconductors & Semiconductor Equipment – 0.5%

 

  13,594     

Broadcom, Inc.

      8,559,870  
  115,417     

Microchip Technology, Inc.

      8,672,433  
  23,367     

Texas Instruments, Inc.

      4,287,377  
     

 

 

  
        21,519,680  
     

 

 

  

Shares

     

Description

    Value (†)  
 

Common Stocks – continued

  
  

Software – 0.3%

 

               23,768     

iQor Holdings, Inc.(e)(f)(j)

    $             166,376  
  42,004     

Microsoft Corp.

      12,950,253  
     

 

 

  
        13,116,629  
     

 

 

  
  

Specialty Retail – 0.2%

 

  28,553     

Home Depot, Inc. (The)

      8,546,769  
     

 

 

  
  

Technology Hardware, Storage & Peripherals – 0.3%

 

  78,642     

Apple, Inc.

      13,731,680  
     

 

 

  
  

Wireless Telecommunication Services – 0.9%

 

  329,973     

T-Mobile US, Inc.(j)

      42,352,035  
     

 

 

  
  

Total Common Stocks

(Identified Cost $452,580,835)

      496,724,437  
     

 

 

  
 

Preferred Stocks – 1.8%

  
 

Convertible Preferred Stocks – 1.5%

  
  

Banking – 0.6%

 

  11,789     

Bank of America Corp., Series L,

7.250%

      15,473,062  
  7,500     

Wells Fargo & Co., Class A, Series L,

7.500%

      9,937,500  
     

 

 

  
        25,410,562  
     

 

 

  
  

Midstream – 0.3%

 

  238,087     

El Paso Energy Capital Trust I,

4.750%

      11,856,733  
     

 

 

  
  

Technology – 0.2%

 

  121,037     

Clarivate PLC, Series A,

5.250%

      8,214,781  
     

 

 

  
  

Wireless – 0.4%

 

  17,902     

2020 Cash Mandatory Exchangeable Trust,

5.250%, 144A(e)(f)

      19,960,730  
     

 

 

  
  

Total Convertible Preferred Stocks

(Identified Cost $68,517,393)

      65,442,806  
     

 

 

  
 

Non-Convertible Preferred Stocks – 0.3%

  
  

Finance Companies – 0.0%

 

  10,425     

iStar, Inc., Series G,

7.650%

      263,753  
     

 

 

  
  

Home Construction – 0.1%

 

  208,246     

Hovnanian Enterprises, Inc.,

7.625%

      4,269,043  
     

 

 

  
  

REITs – Office Property – 0.0%

 

  1,596     

Highwoods Properties, Inc., Series A,

8.625%

      1,995,000  
     

 

 

  

Shares

     

Description

    Value (†)  
 

Preferred Stocks – continued

  
 

Non-Convertible Preferred Stocks – continued

  
  

REITs – Warehouse/Industrials – 0.2%

 

          116,192     

Prologis, Inc., Series Q,

8.540%

    $         7,552,480  
     

 

 

  
  

Total Non-Convertible Preferred Stocks

(Identified Cost $8,540,568)

      14,080,276  
     

 

 

  
  

Total Preferred Stocks

(Identified Cost $77,057,961)

      79,523,082  
     

 

 

  
 

Closed-End Investment Companies – 0.1%

  
  170,849     

NexPoint Diversified Real Estate Trust

(Identified Cost $10,238,824)

      2,702,831  
     

 

 

  

Principal

Amount (‡)

              
 

Short-Term Investments – 1.4%

  
  $    63,237,627     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $63,237,627 on 4/01/2022 collateralized by $54,660,200 U.S. Treasury Bond, 3.375% due 11/15/2048 valued at $64,502,456 including accrued interest(q)

(Identified Cost $63,237,627)

      63,237,627  
     

 

 

  
  

Total Investments – 98.0%

(Identified Cost $4,650,832,737)

      4,432,862,616  
  

Other assets less liabilities – 2.0%

      91,735,042  
     

 

 

  
  

Net Assets – 100.0%

    $   4,524,597,658  
     

 

 

  

(†)

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 March 31, 2022, 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		  

$94,945,536

      2.1 %    $ 3,064,596        0.1 % 

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.

 

(‡)

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)

Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2022 is disclosed.

(b)

Variable rate security. Rate as of March 31, 2022 is disclosed.

(c)

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

(d)

Perpetual bond with no specified maturity date.

(e)

Illiquid security.

(f)

Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2022, the value of these securities amounted to $94,945,536 or 2.1% of net assets.

(g)

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

(h)

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

(i)

Fair valued by the Fund’s adviser. At March 31, 2022, the value of these securities amounted to $3,064,596 or 0.1% of net assets.

(j)

Non-income producing security.

(k)

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

(l)

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

(m)

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

(n)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.75%, to which the spread is added.

(o)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 1.00%, to which the spread is added.

(p)

Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added.

(q)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2022, 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 March 31, 2022, the value of Rule 144A holdings amounted to $1,568,341,934 or 34.7% of net assets.
ABS    Asset-Backed Securities
LIBOR    London Interbank Offered Rate
MBIA    Municipal Bond Investors Assurance Corp.
MTN    Medium Term Note
REITs    Real Estate Investment Trusts
SOFR    Secured Overnight Financing Rate
BRL    Brazilian Real
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 March 31, 2022, 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    3.46%     95,055,000        7,496,477      $ 6,047,558      $ (1,448,919 ) 

CDX.NA HY* Series 37
500, 5-Year

    5.00%   12/20/2026    3.46%     47,000,000        3,302,438        2,990,218        (312,220 ) 
               

 

 

     

 

 

  

Total

 

    $ 9,037,776      $ (1,761,139 ) 
               

 

 

     

 

 

  

 

(‡)

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.

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 March 31, 2022, open long futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Ultra Long U.S. Treasury Bond

      6/21/2022        98      $ 17,977,589      $ 17,358,250      $ (619,339 ) 
              

 

 

  

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2022, at value:

Asset Valuation Inputs

 

                                                                                                   

Description

    Level 1      Level 2      Level 3     Total  

Bonds and Notes

           

Non-Convertible Bonds

           

Independent Energy

    $ —        $ 119,994,666      $ 1,563,396 (a)    $ 121,558,062  

Property & Casualty Insurance

      —          9,920,258        1,501,200 (a)      11,421,458  

All Other Non-Convertible Bonds*

      —          3,132,471,146        —         3,132,471,146  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —          3,262,386,070        3,064,596       3,265,450,666  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds*

      —          296,846,604        —         296,846,604  

Municipals*

      —          67,315,826        —         67,315,826  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —          3,626,548,500        3,064,596       3,629,613,096  
  

 

 

     

 

 

     

 

 

    

 

 

  

Senior Loans*

      —          23,452,943        —         23,452,943  

Collateralized Loan Obligations

      —          137,608,600        —         137,608,600  

Common Stocks

           

Software

      12,950,253        166,376        —         13,116,629  

All Other Common Stocks*

      483,607,808        —          —         483,607,808  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Common Stocks

      496,558,061        166,376        —         496,724,437  
  

 

 

     

 

 

     

 

 

    

 

 

  

Preferred Stocks

           

Convertible Preferred Stocks

           

Wireless

      —          19,960,730        —         19,960,730  

All Other Convertible Preferred Stocks*

      45,482,076        —          —         45,482,076  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Convertible Preferred Stocks

      45,482,076        19,960,730        —         65,442,806  
  

 

 

     

 

 

     

 

 

    

 

 

  

Non-Convertible Preferred Stocks

           

REITs - Office Property

      —          1,995,000        —         1,995,000  

REITs - Warehouse/Industrials

      —          7,552,480        —         7,552,480  

All Other Non-Convertible Preferred Stocks*

      4,532,796        —          —         4,532,796  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Preferred Stocks

      4,532,796        9,547,480        —         14,080,276  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      50,014,872        29,508,210        —         79,523,082  
  

 

 

     

 

 

     

 

 

    

 

 

  

Closed-End Investment Companies

      2,702,831        —          —         2,702,831  

Short-Term Investments

      —          63,237,627        —         63,237,627  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 549,275,764      $ 3,880,522,256      $ 3,064,596     $ 4,432,862,616  
  

 

 

     

 

 

     

 

 

    

 

 

  

Liability Valuation Inputs

 

                                                                                                   

Description

    Level 1      Level 2      Level 3      Total  

Centrally Cleared Credit Default Swap Agreements (unrealized depreciation)

    $ —        $ (1,761,139 )     $ —        $ (1,761,139 ) 

Futures Contracts (unrealized depreciation)

      (619,339 )       —          —          (619,339 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ (619,339 )     $ (1,761,139 )     $ —        $ (2,380,478 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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.

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, 2021 and/or March 31, 2022:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
December 31, 2021		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers into
Level 3		     Transfers out of
Level 3		     Balance as of
March 31, 2022		     Change in Unrealized
Appreciation (Depreciation)
from Investments Still Held at
March 31, 2022		  

Bonds and Notes

                    

Non-Convertible Bonds

                    

Independent Energy

   $ 1,832,190     $ 63,147     $ —       $ (331,941 )    $ —       $ —       $ —       $ —       $ 1,563,396     $ (331,941 ) 

Property & Casualty Insurance

     1,501,200       17,214       —         (17,214 )      —         —         —         —         1,501,200       (17,214 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 3,333,390     $ 80,361     $ —       $ (349,155 )    $ —       $ —       $ —       $ —       $ 3,064,596     $ (349,155 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

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 at period end include 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. As of March 31, 2022, 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 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. As of March 31, 2022, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of March 31, 2022:

 

Assets

    Swap
agreements
at value		  

Exchange-traded/cleared asset derivatives

   

Credit contracts

    $ 9,037,776  
  

 

 

  

 

Liabilities

    Unrealized
depreciation on
futures
contracts		  

Exchange-traded/cleared liability derivatives

   

Interest rate contracts

    $ (619,339 ) 
  

 

 

  

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 March 31, 2022:

 

Maximum Amount
of Loss - Gross		      Maximum Amount
of Loss - Net		  
$ 55,518,497      $ 55,518,497  

Industry Summary at March 31, 2022 (Unaudited)

 

Treasuries

      17.0 % 

Cable Satellite

      8.1  

Finance Companies

      4.6  

Pharmaceuticals

      3.8  

ABS Home Equity

      3.3  

Wireless

      3.2  

Independent Energy

      3.0  

Metals & Mining

      2.7  

Banking

      2.5  

Technology

      2.5  

Consumer Cyclical Services

      2.3  

Airlines

      2.2  

Food & Beverage

      2.1  

Other Investments, less than 2% each

      36.2  

Collateralized Loan Obligations

      3.0  

Short-Term Investments

      1.4  

Closed-End Investment Companies

      0.1  
  

 

 

  

Total Investments

      98.0  

Other assets less liabilities (including swap agreements and futures contracts)

      2.0  
  

 

 

  

Net Assets

      100.0 %