NPORT-EX 2 NPORT_IABL_15413553_0322.htm HTML

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

Loomis Sayles High Income Fund

 

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – 90.1% of Net Assets

  
 

Non-Convertible Bonds – 84.8%

  
  

ABS Home Equity – 0.1%

 

  $         113,670     

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

1-month LIBOR + 0.660%, 1.109%, 9/19/2045(a)

    $            81,724  
  100,000     

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

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

      95,833  
     

 

 

  
        177,557  
     

 

 

  
  

Aerospace & Defense – 2.1%

 

  100,000     

Bombardier, Inc.,

6.000%, 2/15/2028, 144A

      93,724  
  850,000     

Bombardier, Inc.,

7.125%, 6/15/2026, 144A

      833,000  
  95,000     

Embraer Netherlands Finance BV,

5.050%, 6/15/2025

      95,951  
  140,000     

Embraer Netherlands Finance BV,

5.400%, 2/01/2027

      142,276  
  263,000     

Leonardo U.S. Holdings, Inc.,

6.250%, 1/15/2040, 144A

      299,036  
  60,000     

Moog, Inc.,

4.250%, 12/15/2027, 144A

      58,275  
  615,000     

Spirit AeroSystems, Inc.,

4.600%, 6/15/2028

      577,279  
  190,000     

Spirit AeroSystems, Inc.,

7.500%, 4/15/2025, 144A

      196,851  
  235,000     

TransDigm, Inc.,

4.625%, 1/15/2029

      219,718  
  460,000     

TransDigm, Inc.,

4.875%, 5/01/2029

      431,144  
  100,000     

TransDigm, Inc.,

5.500%, 11/15/2027

      99,250  
     

 

 

  
        3,046,504  
     

 

 

  
  

Airlines – 1.5%

 

  225,000     

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

5.500%, 4/20/2026, 144A

      226,688  
  1,810,000     

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

5.750%, 4/20/2029, 144A

      1,803,212  
  260,000     

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

5.750%, 1/20/2026, 144A

      260,148  
     

 

 

  
        2,290,048  
     

 

 

  
  

Automotive – 2.4%

 

  105,000     

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

8.500%, 5/15/2027, 144A

      108,938  
  75,000     

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

5.750%, 4/15/2025, 144A

      75,725  
  815,000     

Ford Motor Co.,

3.250%, 2/12/2032

      727,901  
  820,000     

Ford Motor Co.,

9.000%, 4/22/2025

      938,998  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Automotive – continued

 

  $         820,000     

Ford Motor Credit Co. LLC,

2.300%, 2/10/2025

    $          778,358  
  105,000     

Goodyear Tire & Rubber Co. (The),

4.875%, 3/15/2027

      101,939  
  115,000     

Goodyear Tire & Rubber Co. (The),

5.000%, 5/31/2026

      114,138  
  55,000     

Goodyear Tire & Rubber Co. (The),

5.000%, 7/15/2029, 144A

      51,236  
  180,000     

Goodyear Tire & Rubber Co. (The),

5.250%, 7/15/2031, 144A

      166,446  
  300,000     

Jaguar Land Rover Automotive PLC,

5.875%, 1/15/2028

      275,423  
  40,000     

Meritor, Inc.,

4.500%, 12/15/2028, 144A

      40,102  
  65,000     

Real Hero Merger Sub 2, Inc.,

6.250%, 2/01/2029, 144A

      59,223  
  40,000     

Tenneco, Inc.,

7.875%, 1/15/2029, 144A

      42,150  
  85,000     

Wheel Pros, Inc.,

6.500%, 5/15/2029, 144A

      74,481  
     

 

 

  
        3,555,058  
     

 

 

  
  

Banking – 1.2%

 

  410,000     

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

3.742%, 1/07/2033

      362,358  
  600,000     

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

4.875%, 12/01/2032

      575,964  
  800,000     

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

5.459%, 6/30/2035, 144A

      764,437  
     

 

 

  
        1,702,759  
     

 

 

  
  

Brokerage – 0.2%

 

  60,000     

Coinbase Global, Inc.,

3.625%, 10/01/2031, 144A

      51,150  
  200,000     

Jefferies Finance LLC/JFIN Co-Issuer Corp.,

5.000%, 8/15/2028, 144A

      191,496  
     

 

 

  
        242,646  
     

 

 

  
  

Building Materials – 2.3%

 

  385,000     

Builders FirstSource, Inc.,

4.250%, 2/01/2032, 144A

      358,531  
  265,000     

Builders FirstSource, Inc.,

5.000%, 3/01/2030, 144A

      260,659  
  1,060,000     

Cemex SAB de CV,

3.875%, 7/11/2031, 144A

      967,261  
  285,000     

Cemex SAB de CV,

5.200%, 9/17/2030, 144A

      283,575  
  290,000     

Cornerstone Building Brands, Inc.,

6.125%, 1/15/2029, 144A

      269,134  
  50,000     

CP Atlas Buyer, Inc.,

7.000%, 12/01/2028, 144A

      42,632  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Building Materials – continued

 

  $         375,000     

Foundation Building Materials, Inc.,

6.000%, 3/01/2029, 144A

    $          337,500  
  235,000     

LBM Acquisition LLC,

6.250%, 1/15/2029, 144A

      220,115  
  130,000     

MIWD Holdco II LLC/MIWD Finance Corp.,

5.500%, 2/01/2030, 144A

      121,388  
  250,000     

Park River Holdings, Inc.,

5.625%, 2/01/2029, 144A

      201,933  
  125,000     

Patrick Industries, Inc.,

4.750%, 5/01/2029, 144A

      107,500  
  105,000     

Standard Industries, Inc.,

4.375%, 7/15/2030, 144A

      96,175  
  45,000     

Summit Materials LLC/Summit Materials Finance Corp.,

5.250%, 1/15/2029, 144A

      44,438  
  165,000     

Victors Merger Corp.,

6.375%, 5/15/2029, 144A

      135,067  
     

 

 

  
        3,445,908  
     

 

 

  
  

Cable Satellite – 8.4%

 

  410,000     

Altice Financing S.A.,

5.000%, 1/15/2028, 144A

      367,504  
  80,000     

Block Communications, Inc.,

4.875%, 3/01/2028, 144A

      77,200  
  725,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.250%, 2/01/2031, 144A

      660,823  
  610,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.250%, 1/15/2034, 144A

      529,782  
  305,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.500%, 8/15/2030, 144A

      286,179  
  1,355,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.750%, 3/01/2030, 144A

      1,301,125  
  620,000     

CCO Holdings LLC/CCO Holdings Capital Corp.,

4.750%, 2/01/2032, 144A

      577,369  
  205,000     

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

6.750%, 10/01/2026, 144A

      208,565  
  435,000     

CSC Holdings LLC,

4.500%, 11/15/2031, 144A

      389,877  
  555,000     

CSC Holdings LLC,

4.625%, 12/01/2030

      464,141  
  2,720,000     

CSC Holdings LLC,

4.625%, 12/01/2030, 144A

      2,274,709  
  205,000     

CSC Holdings LLC,

5.000%, 11/15/2031, 144A

      171,761  
  250,000     

CSC Holdings LLC,

5.750%, 1/15/2030

      222,500  
  730,000     

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

5.875%, 8/15/2027, 144A

      718,137  
  680,000     

DISH DBS Corp.,

5.125%, 6/01/2029

      579,081  
  150,000     

DISH DBS Corp.,

7.375%, 7/01/2028

      142,125  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Cable Satellite – continued

 

  $         675,000     

DISH DBS Corp.,

7.750%, 7/01/2026

    $          670,612  
  283,707     

Ligado Networks LLC,

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

      215,314  
  93,081     

Ligado Networks LLC,

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

      43,076  
  300,000     

Radiate Holdco LLC/Radiate Finance, Inc.,

6.500%, 9/15/2028, 144A

      283,688  
  800,000     

Telenet Finance Luxembourg Notes S.a.r.l.,

5.500%, 3/01/2028, 144A

      782,488  
  125,000     

Telesat Canada/Telesat LLC,

5.625%, 12/06/2026, 144A

      95,450  
  310,000     

UPC Broadband Finco B.V.,

4.875%, 7/15/2031, 144A

      291,050  
  110,000     

ViaSat, Inc.,

6.500%, 7/15/2028, 144A

      105,600  
  475,000     

Virgin Media Finance PLC,

5.000%, 7/15/2030, 144A

      448,635  
  600,000     

Ziggo BV,

4.875%, 1/15/2030, 144A

      564,810  
     

 

 

  
        12,471,601  
     

 

 

  
  

Chemicals – 1.1%

 

  150,000     

ASP Unifrax Holdings, Inc.,

5.250%, 9/30/2028, 144A

      139,340  
  55,000     

Chemours Co. (The),

5.375%, 5/15/2027

      54,863  
  150,000     

Consolidated Energy Finance S.A.,

5.625%, 10/15/2028, 144A

      138,750  
  150,000     

Consolidated Energy Finance S.A.,

6.500%, 5/15/2026, 144A

      153,101  
  75,000     

Diamond BC BV,

4.625%, 10/01/2029, 144A

      67,123  
  330,000     

Hercules LLC,

6.500%, 6/30/2029

      350,674  
  80,000     

Methanex Corp.,

5.125%, 10/15/2027

      80,400  
  20,000     

Methanex Corp.,

5.250%, 12/15/2029

      20,300  
  185,000     

Olin Corp.,

5.000%, 2/01/2030

      183,150  
  65,000     

Olin Corp.,

5.125%, 9/15/2027

      64,791  
  5,000     

Olin Corp.,

5.625%, 8/01/2029

      5,062  
  465,000     

Olympus Water U.S. Holding Corp.,

4.250%, 10/01/2028, 144A

      422,306  
     

 

 

  
        1,679,860  
     

 

 

  
  

Construction Machinery – 0.1%

 

  75,000     

Ritchie Bros Holdings, Inc.,

4.750%, 12/15/2031, 144A

      73,133  
  125,000     

Titan International, Inc.,

7.000%, 4/30/2028

      125,402  
     

 

 

  
        198,535  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Consumer Cyclical Services – 2.9%

 

  $         640,000     

ADT Security Corp. (The),

4.125%, 8/01/2029, 144A

    $          594,400  
  200,000     

Allied Universal Holdco LLC/Allied Universal Finance Corp.,

6.000%, 6/01/2029, 144A

      176,433  
  95,000     

ANGI Group LLC,

3.875%, 8/15/2028, 144A

      80,478  
  35,000     

Arches Buyer, Inc.,

6.125%, 12/01/2028, 144A

      32,352  
  45,000     

Match Group Holdings II LLC,

3.625%, 10/01/2031, 144A

      40,250  
  440,000     

Realogy Group LLC/Realogy Co-Issuer Corp.,

5.250%, 4/15/2030, 144A

      404,800  
  330,000     

Realogy Group LLC/Realogy Co-Issuer Corp.,

5.750%, 1/15/2029, 144A

      311,025  
  240,000     

Terminix Co. LLC (The),

7.450%, 8/15/2027

      271,680  
  60,000     

TKC Holdings, Inc.,

10.500%, 5/15/2029, 144A

      61,200  
  1,555,000     

Uber Technologies, Inc.,

4.500%, 8/15/2029, 144A

      1,457,813  
  760,000     

Uber Technologies, Inc.,

6.250%, 1/15/2028, 144A

      785,794  
     

 

 

  
        4,216,225  
     

 

 

  
  

Consumer Products – 0.6%

 

  20,000     

Coty, Inc.,

6.500%, 4/15/2026, 144A

      19,886  
  305,000     

Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC,

4.750%, 1/15/2029, 144A

      284,600  
  250,000     

Energizer Holdings, Inc.,

4.375%, 3/31/2029, 144A

      218,871  
  175,000     

Prestige Brands, Inc.,

5.125%, 1/15/2028, 144A

      173,687  
  135,000     

Tempur Sealy International, Inc.,

3.875%, 10/15/2031, 144A

      115,763  
     

 

 

  
        812,807  
     

 

 

  
  

Diversified Manufacturing – 0.3%

 

  120,000     

Madison IAQ LLC,

5.875%, 6/30/2029, 144A

      107,700  
  120,000     

Resideo Funding, Inc.,

4.000%, 9/01/2029, 144A

      109,206  
  200,000     

TK Elevator U.S. Newco, Inc.,

5.250%, 7/15/2027, 144A

      197,806  
     

 

 

  
        414,712  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Electric – 1.1%

 

  $      1,060,000     

Calpine Corp.,

5.125%, 3/15/2028, 144A

    $       1,009,735  
  315,000     

NRG Energy, Inc.,

3.625%, 2/15/2031, 144A

      277,071  
  40,000     

NRG Energy, Inc.,

3.875%, 2/15/2032, 144A

      35,200  
  140,000     

PG&E Corp.,

5.000%, 7/01/2028

      135,324  
  25,000     

PG&E Corp.,

5.250%, 7/01/2030

      24,247  
  150,000     

Talen Energy Supply LLC,

7.625%, 6/01/2028, 144A

      138,945  
     

 

 

  
        1,620,522  
     

 

 

  
  

Environmental – 0.2%

 

  315,000     

GFL Environmental, Inc.,

4.000%, 8/01/2028, 144A

      289,800  
     

 

 

  
  

Finance Companies – 4.7%

 

  455,000     

Cobra AcquisitionCo LLC,

6.375%, 11/01/2029, 144A

      390,162  
  105,000     

Fortress Transportation & Infrastructure Investors LLC,

5.500%, 5/01/2028, 144A

      95,461  
  375,000     

Freedom Mortgage Corp.,

7.625%, 5/01/2026, 144A

      358,125  
  150,000     

Global Aircraft Leasing Co. Ltd.,

7.250% PIK or 6.500% Cash, 9/15/2024, 144A(d)

      136,280  
  115,000     

LFS Topco LLC,

5.875%, 10/15/2026, 144A

      107,813  
  385,000     

Midcap Financial Issuer Trust,

6.500%, 5/01/2028, 144A

      362,100  
  655,000     

Navient Corp.,

4.875%, 3/15/2028

      602,376  
  170,000     

Navient Corp.,

5.000%, 3/15/2027

      161,925  
  840,000     

Navient Corp.,

5.500%, 3/15/2029

      782,250  
  95,000     

Navient Corp.,

6.750%, 6/25/2025

      97,596  
  785,000     

OneMain Finance Corp.,

4.000%, 9/15/2030

      692,762  
  190,000     

OneMain Finance Corp.,

5.375%, 11/15/2029

      184,598  
  365,000     

OneMain Finance Corp.,

7.125%, 3/15/2026

      390,145  
  220,000     

Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.,

6.375%, 2/01/2027, 144A

      224,231  
  275,000     

Provident Funding Associates LP/PFG Finance Corp.,

6.375%, 6/15/2025, 144A

      270,397  
  115,000     

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

2.875%, 10/15/2026, 144A

      105,587  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Finance Companies – continued

 

  $         380,000     

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

3.625%, 3/01/2029

    $          347,263  
  890,000     

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

3.875%, 3/01/2031, 144A

      805,450  
  975,000     

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

4.000%, 10/15/2033, 144A

      854,002  
     

 

 

  
        6,968,523  
     

 

 

  
  

Financial Other – 2.5%

 

  210,000     

Agile Group Holdings Ltd.,

6.050%, 10/13/2025

      66,725  
  200,000     

CFLD Cayman Investment Ltd.,

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

      29,136  
  200,000     

CFLD Cayman Investment Ltd.,

8.600%, 4/08/2024(e)

      28,898  
  200,000     

China Aoyuan Group Ltd.,

6.200%, 3/24/2026(e)

      34,456  
  200,000     

China Evergrande Group,

8.750%, 6/28/2025(e)

      24,836  
  200,000     

Easy Tactic Ltd.,

8.125%, 2/27/2023

      41,770  
  105,000     

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

4.375%, 2/01/2029

      96,338  
  1,970,000     

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

5.250%, 5/15/2027

      1,933,407  
  70,000     

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

6.250%, 5/15/2026

      71,400  
  200,000     

Kaisa Group Holdings Ltd.,

9.375%, 6/30/2024(e)

      37,750  
  200,000     

Kaisa Group Holdings Ltd.,

11.650%, 6/01/2026(e)

      37,994  
  400,000     

Kaisa Group Holdings Ltd.,

11.700%, 11/11/2025(e)

      75,068  
  225,000     

Nationstar Mortgage Holdings, Inc.,

5.125%, 12/15/2030, 144A

      208,125  
  620,000     

Nationstar Mortgage Holdings, Inc.,

5.750%, 11/15/2031, 144A

      591,300  
  120,000     

Nationstar Mortgage Holdings, Inc.,

6.000%, 1/15/2027, 144A

      122,112  
  200,000     

Shimao Group Holdings Ltd.,

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

      57,980  
  200,000     

Sunac China Holdings Ltd.,

6.500%, 1/26/2026

      47,538  
  200,000     

Sunac China Holdings Ltd.,

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

      50,726  
  200,000     

Times China Holdings Ltd.,

6.200%, 3/22/2026

      75,834  
  400,000     

Yuzhou Group Holdings Co. Ltd.,

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

      52,060  
     

 

 

  
        3,683,453  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Food & Beverage – 2.0%

 

  $           65,000     

Aramark Services, Inc.,

5.000%, 2/01/2028, 144A

    $            63,050  
  165,000     

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

5.250%, 4/27/2029, 144A

      164,175  
  925,000     

MARB BondCo PLC,

3.950%, 1/29/2031, 144A

      820,937  
  140,000     

Performance Food Group, Inc.,

4.250%, 8/01/2029, 144A

      127,575  
  230,000     

Performance Food Group, Inc.,

5.500%, 10/15/2027, 144A

      228,896  
  370,000     

Post Holdings, Inc.,

4.500%, 9/15/2031, 144A

      327,816  
  645,000     

Post Holdings, Inc.,

4.625%, 4/15/2030, 144A

      580,790  
  135,000     

Post Holdings, Inc.,

5.500%, 12/15/2029, 144A

      129,894  
  105,000     

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

4.625%, 3/01/2029, 144A

      98,438  
  120,000     

TreeHouse Foods, Inc.,

4.000%, 9/01/2028

      101,607  
  140,000     

Triton Water Holdings, Inc.,

6.250%, 4/01/2029, 144A

      119,363  
  205,000     

US Foods, Inc.,

4.750%, 2/15/2029, 144A

      195,519  
     

 

 

  
        2,958,060  
     

 

 

  
  

Gaming – 3.1%

 

  520,000     

Boyd Gaming Corp.,

4.750%, 12/01/2027

      517,400  
  165,000     

Boyd Gaming Corp.,

4.750%, 6/15/2031, 144A

      159,019  
  330,000     

Caesars Entertainment, Inc.,

4.625%, 10/15/2029, 144A

      308,550  
  220,000     

Caesars Entertainment, Inc.,

6.250%, 7/01/2025, 144A

      227,137  
  190,000     

Caesars Entertainment, Inc.,

8.125%, 7/01/2027, 144A

      203,576  
  100,000     

Caesars Resort Collection LLC/CRC Finco, Inc.,

5.750%, 7/01/2025, 144A

      102,059  
  220,000     

International Game Technology PLC,

5.250%, 1/15/2029, 144A

      219,450  
  400,000     

Melco Resorts Finance Ltd.,

5.375%, 12/04/2029, 144A

      339,000  
  200,000     

MGM China Holdings Ltd.,

4.750%, 2/01/2027, 144A

      175,922  
  205,000     

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

4.500%, 1/15/2028

      206,537  
  255,000     

MGM Resorts International,

5.500%, 4/15/2027

      257,550  
  110,000     

Mohegan Gaming & Entertainment,

8.000%, 2/01/2026, 144A

      109,312  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Gaming – continued

 

  $         575,000     

Scientific Games International, Inc.,

7.000%, 5/15/2028, 144A

    $          595,985  
  330,000     

Scientific Games International, Inc.,

7.250%, 11/15/2029, 144A

      345,675  
  200,000     

Studio City Finance Ltd.,

5.000%, 1/15/2029, 144A

      154,568  
  230,000     

Studio City Finance Ltd.,

6.500%, 1/15/2028, 144A

      198,950  
  450,000     

Wynn Macau Ltd.,

5.125%, 12/15/2029, 144A

      381,375  
  165,000     

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.,

5.125%, 10/01/2029, 144A

      155,306  
     

 

 

  
        4,657,371  
     

 

 

  
  

Government Owned - No Guarantee – 0.4%

 

  135,000     

EcoPetrol S.A.,

4.625%, 11/02/2031

      122,175  
  340,000     

Petroleos Mexicanos,

5.950%, 1/28/2031

      313,824  
  280,000     

YPF S.A.,

6.950%, 7/21/2027, 144A

      209,623  
     

 

 

  
        645,622  
     

 

 

  
  

Healthcare – 3.8%

 

  100,000     

AdaptHealth LLC,

5.125%, 3/01/2030, 144A

      92,875  
  110,000     

AHP Health Partners, Inc.,

5.750%, 7/15/2029, 144A

      102,300  
  710,000     

CHS/Community Health Systems, Inc.,

5.250%, 5/15/2030, 144A

      681,451  
  270,000     

CHS/Community Health Systems, Inc.,

6.125%, 4/01/2030, 144A

      251,227  
  65,000     

CHS/Community Health Systems, Inc.,

6.875%, 4/15/2029, 144A

      63,863  
  235,000     

CHS/Community Health Systems, Inc.,

8.000%, 3/15/2026, 144A

      244,734  
  400,000     

DaVita, Inc.,

3.750%, 2/15/2031, 144A

      350,000  
  180,000     

DaVita, Inc.,

4.625%, 6/01/2030, 144A

      168,084  
  155,000     

Encompass Health Corp.,

4.500%, 2/01/2028

      151,900  
  300,000     

Encompass Health Corp.,

4.750%, 2/01/2030

      288,000  
  310,000     

HCA, Inc.,

7.050%, 12/01/2027

      348,362  
  145,000     

HCA, Inc.,

7.500%, 11/06/2033

      181,975  
  115,000     

HCA, Inc., MTN,

7.750%, 7/15/2036

      144,612  
  470,000     

LifePoint Health, Inc.,

5.375%, 1/15/2029, 144A

      444,095  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Healthcare – continued

 

  $           75,000     

ModivCare Escrow Issuer, Inc.,

5.000%, 10/01/2029, 144A

    $            69,916  
  40,000     

ModivCare, Inc.,

5.875%, 11/15/2025, 144A

      40,387  
  210,000     

Mozart Debt Merger Sub, Inc.,

5.250%, 10/01/2029, 144A

      195,231  
  325,000     

MPH Acquisition Holdings LLC,

5.750%, 11/01/2028, 144A

      293,452  
  75,000     

RP Escrow Issuer LLC,

5.250%, 12/15/2025, 144A

      73,236  
  615,000     

Tenet Healthcare Corp.,

4.375%, 1/15/2030, 144A

      590,874  
  100,000     

Tenet Healthcare Corp.,

4.625%, 6/15/2028, 144A

      98,125  
  345,000     

Tenet Healthcare Corp.,

6.125%, 10/01/2028, 144A

      350,606  
  355,000     

Tenet Healthcare Corp.,

6.250%, 2/01/2027, 144A

      364,441  
  95,000     

U.S. Acute Care Solutions LLC,

6.375%, 3/01/2026, 144A

      93,812  
     

 

 

  
        5,683,558  
     

 

 

  
  

Home Construction – 0.6%

 

  215,000     

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

4.875%, 2/15/2030, 144A

      192,289  
  1,200,000     

Corporacion GEO SAB de CV,

8.875%, 3/27/2022, 144A(e)(h)(i)

      —    
  100,000     

Empire Communities Corp.,

7.000%, 12/15/2025, 144A

      98,800  
  220,000     

Fantasia Holdings Group Co. Ltd.,

11.875%, 6/01/2023(e)

      31,579  
  40,000     

Forestar Group, Inc.,

3.850%, 5/15/2026, 144A

      37,300  
  230,000     

KB Home,

4.800%, 11/15/2029

      222,010  
  185,000     

Taylor Morrison Communities, Inc.,

5.750%, 1/15/2028, 144A

      190,550  
  400,000     

Zhenro Properties Group Ltd.,

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

      45,280  
  200,000     

Zhenro Properties Group Ltd.,

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

      21,838  
     

 

 

  
        839,646  
     

 

 

  
  

Independent Energy – 5.7%

 

  85,000     

Antero Resources Corp.,

5.375%, 3/01/2030, 144A

      86,806  
  120,000     

Apache Corp.,

5.350%, 7/01/2049

      115,500  
  220,000     

Ascent Resources Utica Holdings LLC/ARU Finance Corp.,

5.875%, 6/30/2029, 144A

      217,380  
  215,000     

Ascent Resources Utica Holdings LLC/ARU Finance Corp.,

7.000%, 11/01/2026, 144A

      220,480  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Independent Energy – continued

 

  $         230,000     

Baytex Energy Corp.,

8.750%, 4/01/2027, 144A

    $          246,675  
  45,000     

California Resources Corp.,

7.125%, 2/01/2026, 144A

      46,790  
  435,000     

Callon Petroleum Co.,

8.000%, 8/01/2028, 144A

      458,564  
  115,000     

Centennial Resource Production LLC,

6.875%, 4/01/2027, 144A

      115,587  
  240,000     

Chesapeake Energy Corp.,

5.500%, 2/01/2026, 144A

      245,780  
  120,000     

Chesapeake Energy Corp.,

6.750%, 4/15/2029, 144A

      127,096  
  105,000     

Comstock Resources, Inc.,

6.750%, 3/01/2029, 144A

      108,316  
  150,000     

Crescent Energy Finance LLC,

7.250%, 5/01/2026, 144A

      150,699  
  165,000     

Energean Israel Finance Ltd.,

4.875%, 3/30/2026, 144A

      159,225  
  85,000     

Energean Israel Finance Ltd.,

5.375%, 3/30/2028, 144A

      81,728  
  81,000     

Energy Ventures GoM LLC/EnVen Finance Corp.,

11.750%, 4/15/2026, 144A

      83,217  
  20,000     

EQT Corp.,

3.125%, 5/15/2026, 144A

      19,425  
  40,000     

EQT Corp.,

3.625%, 5/15/2031, 144A

      38,200  
  5,000     

EQT Corp.,

5.000%, 1/15/2029

      5,162  
  55,000     

EQT Corp.,

6.625%, 2/01/2025

      58,095  
  225,000     

EQT Corp.,

7.500%, 2/01/2030

      260,719  
  60,000     

Laredo Petroleum, Inc.,

7.750%, 7/31/2029, 144A

      60,377  
  85,000     

Leviathan Bond Ltd.,

6.125%, 6/30/2025, 144A

      86,458  
  285,000     

Matador Resources Co.,

5.875%, 9/15/2026

      290,216  
  125,000     

MEG Energy Corp.,

5.875%, 2/01/2029, 144A

      126,719  
  345,000     

MEG Energy Corp.,

7.125%, 2/01/2027, 144A

      361,215  
  130,000     

Murphy Oil Corp.,

6.375%, 12/01/2042

      124,600  
  425,000     

Northern Oil & Gas, Inc.,

8.125%, 3/01/2028, 144A

      442,773  
  65,000     

Oasis Petroleum, Inc.,

6.375%, 6/01/2026, 144A

      66,625  
  40,000     

Occidental Petroleum Corp.,

3.000%, 2/15/2027

      39,100  
  155,000     

Occidental Petroleum Corp.,

3.500%, 8/15/2029

      152,675  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Independent Energy – continued

 

  $         300,000     

Occidental Petroleum Corp.,

4.100%, 2/15/2047

    $          277,500  
  210,000     

Occidental Petroleum Corp.,

4.200%, 3/15/2048

      196,350  
  50,000     

Occidental Petroleum Corp.,

4.400%, 4/15/2046

      47,500  
  145,000     

Occidental Petroleum Corp.,

5.550%, 3/15/2026

      153,700  
  340,000     

Occidental Petroleum Corp.,

6.600%, 3/15/2046

      399,500  
  85,000     

Occidental Petroleum Corp.,

7.500%, 5/01/2031

      103,700  
  40,000     

Occidental Petroleum Corp.,

7.875%, 9/15/2031

      49,900  
  110,000     

Occidental Petroleum Corp.,

8.500%, 7/15/2027

      130,209  
  605,000     

Occidental Petroleum Corp.,

8.875%, 7/15/2030

      775,912  
  115,000     

PDC Energy, Inc.,

5.750%, 5/15/2026

      116,580  
  120,000     

Penn Virginia Holdings LLC,

9.250%, 8/15/2026, 144A

      126,576  
  38,000     

Range Resources Corp.,

5.000%, 3/15/2023

      38,266  
  85,000     

Range Resources Corp.,

8.250%, 1/15/2029

      93,152  
  110,000     

SM Energy Co.,

5.625%, 6/01/2025

      109,863  
  285,000     

SM Energy Co.,

6.500%, 7/15/2028

      294,100  
  165,000     

SM Energy Co.,

6.750%, 9/15/2026

      169,665  
  25,000     

Southwestern Energy Co.,

4.750%, 2/01/2032

      24,969  
  290,000     

Southwestern Energy Co.,

5.375%, 2/01/2029

      293,625  
  140,000     

Southwestern Energy Co.,

5.375%, 3/15/2030

      142,269  
  20,000     

Southwestern Energy Co.,

7.750%, 10/01/2027

      21,175  
  115,000     

Strathcona Resources Ltd.,

6.875%, 8/01/2026, 144A

      115,863  
  95,000     

Tap Rock Resources LLC,

7.000%, 10/01/2026, 144A

      98,336  
     

 

 

  
        8,374,912  
     

 

 

  
  

Industrial Other – 0.2%

 

  220,000     

Brundage-Bone Concrete Pumping Holdings, Inc.,

6.000%, 2/01/2026, 144A

      211,801  
  130,000     

Installed Building Products, Inc.,

5.750%, 2/01/2028, 144A

      126,750  
     

 

 

  
        338,551  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Leisure – 3.5%

 

  $           80,000     

Boyne USA, Inc.,

4.750%, 5/15/2029, 144A

    $            76,800  
  875,000     

Carnival Corp.,

5.750%, 3/01/2027, 144A

      834,457  
  260,000     

Carnival Corp.,

6.000%, 5/01/2029, 144A

      245,008  
  210,000     

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

6.500%, 10/01/2028

      213,675  
  125,000     

Cinemark USA, Inc.,

5.250%, 7/15/2028, 144A

      116,735  
  110,000     

Live Nation Entertainment, Inc.,

3.750%, 1/15/2028, 144A

      103,387  
  370,000     

Live Nation Entertainment, Inc.,

4.750%, 10/15/2027, 144A

      360,750  
  655,000     

NCL Corp. Ltd.,

5.875%, 3/15/2026, 144A

      622,355  
  10,000     

NCL Corp. Ltd.,

5.875%, 3/15/2026

      9,502  
  285,000     

NCL Corp. Ltd.,

7.750%, 2/15/2029, 144A

      288,674  
  70,000     

NCL Finance Ltd.,

6.125%, 3/15/2028, 144A

      64,914  
  125,000     

Royal Caribbean Cruises Ltd.,

3.700%, 3/15/2028

      111,421  
  325,000     

Royal Caribbean Cruises Ltd.,

4.250%, 7/01/2026, 144A

      302,312  
  1,065,000     

Royal Caribbean Cruises Ltd.,

5.500%, 4/01/2028, 144A

      1,015,275  
  120,000     

SeaWorld Parks & Entertainment, Inc.,

5.250%, 8/15/2029, 144A

      114,449  
  180,000     

Speedway Motorsports LLC/Speedway Funding II, Inc.,

4.875%, 11/01/2027, 144A

      175,050  
  115,000     

Viking Cruises Ltd.,

5.875%, 9/15/2027, 144A

      104,813  
  375,000     

Viking Ocean Cruises Ship VII Ltd.,

5.625%, 2/15/2029, 144A

      342,282  
  110,000     

VOC Escrow Ltd.,

5.000%, 2/15/2028, 144A

      102,299  
     

 

 

  
        5,204,158  
     

 

 

  
  

Lodging – 1.5%

 

  370,000     

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

5.000%, 6/01/2029, 144A

      353,089  
  100,000     

Marriott Ownership Resorts, Inc.,

4.500%, 6/15/2029, 144A

      94,250  
  605,000     

Marriott Ownership Resorts, Inc.,

4.750%, 1/15/2028

      582,313  
  1,195,000     

Travel & Leisure Co.,

4.500%, 12/01/2029, 144A

      1,108,147  
  20,000     

Travel & Leisure Co.,

4.625%, 3/01/2030, 144A

      18,600  
  15,000     

Travel & Leisure Co.,

6.000%, 4/01/2027

      15,450  
     

 

 

  
        2,171,849  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Media Entertainment – 2.7%

 

  $         305,000     

AMC Networks, Inc.,

4.250%, 2/15/2029

    $          284,624  
  390,000     

Audacy Capital Corp.,

6.750%, 3/31/2029, 144A

      364,198  
  130,000     

Deluxe Corp.,

8.000%, 6/01/2029, 144A

      132,040  
  310,000     

Diamond Sports Group LLC/Diamond Sports Finance Co.,

5.375%, 8/15/2026, 144A

      120,125  
  140,000     

Diamond Sports Group LLC/Diamond Sports Finance Co.,

6.625%, 8/15/2027, 144A

      28,833  
  170,000     

Gray Escrow II, Inc.,

5.375%, 11/15/2031, 144A

      162,557  
  355,000     

Gray Television, Inc.,

4.750%, 10/15/2030, 144A

      329,706  
  395,000     

iHeartCommunications, Inc.,

4.750%, 1/15/2028, 144A

      377,225  
  160,000     

Lamar Media Corp.,

3.750%, 2/15/2028

      151,927  
  55,000     

Lions Gate Capital Holdings LLC,

5.500%, 4/15/2029, 144A

      53,006  
  310,000     

McGraw-Hill Education, Inc.,

5.750%, 8/01/2028, 144A

      295,669  
  175,000     

McGraw-Hill Education, Inc.,

8.000%, 8/01/2029, 144A

      165,392  
  80,000     

Netflix, Inc.,

4.875%, 4/15/2028

      83,900  
  205,000     

Netflix, Inc.,

4.875%, 6/15/2030, 144A

      218,673  
  5,000     

Netflix, Inc.,

5.375%, 11/15/2029, 144A

      5,413  
  45,000     

Netflix, Inc.,

5.875%, 11/15/2028

      49,604  
  60,000     

Netflix, Inc.,

6.375%, 5/15/2029

      67,847  
  105,000     

Nexstar Media, Inc.,

5.625%, 7/15/2027, 144A

      106,281  
  120,000     

Outfront Media Capital LLC/Outfront Media Capital Corp.,

4.625%, 3/15/2030, 144A

      112,950  
  35,000     

Outfront Media Capital LLC/Outfront Media Capital Corp.,

6.250%, 6/15/2025, 144A

      35,919  
  65,000     

Playtika Holding Corp.,

4.250%, 3/15/2029, 144A

      59,963  
  120,000     

Scripps Escrow II, Inc.,

5.375%, 1/15/2031, 144A

      114,900  
  185,000     

Sinclair Television Group, Inc.,

5.125%, 2/15/2027, 144A

      167,887  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Media Entertainment – continued

 

  $         120,000     

Stagwell Global LLC,

5.625%, 8/15/2029, 144A

    $          113,269  
  170,000     

Terrier Media Buyer, Inc.,

8.875%, 12/15/2027, 144A

      172,975  
  45,000     

Townsquare Media, Inc.,

6.875%, 2/01/2026, 144A

      46,343  
  100,000     

Univision Communications, Inc.,

6.625%, 6/01/2027, 144A

      104,750  
     

 

 

  
        3,925,976  
     

 

 

  
  

Metals & Mining – 3.4%

 

  120,000     

Allegheny Technologies, Inc.,

4.875%, 10/01/2029

      113,723  
  160,000     

Allegheny Technologies, Inc.,

5.125%, 10/01/2031

      150,037  
  60,000     

Allegheny Technologies, Inc.,

5.875%, 12/01/2027

      59,958  
  25,000     

Carpenter Technology Corp.,

6.375%, 7/15/2028

      25,101  
  200,000     

Cia de Minas Buenaventura SAA,

5.500%, 7/23/2026, 144A

      196,752  
  300,000     

Cleveland-Cliffs, Inc.,

4.625%, 3/01/2029, 144A

      295,889  
  139,000     

Cleveland-Cliffs, Inc.,

9.875%, 10/17/2025, 144A

      154,985  
  175,000     

Commercial Metals Co.,

4.125%, 1/15/2030

      163,406  
  845,000     

First Quantum Minerals Ltd.,

6.875%, 3/01/2026, 144A

      868,533  
  1,245,000     

First Quantum Minerals Ltd.,

6.875%, 10/15/2027, 144A

      1,304,137  
  340,000     

Freeport-McMoRan, Inc.,

4.250%, 3/01/2030

      342,268  
  20,000     

Freeport-McMoRan, Inc.,

5.400%, 11/14/2034

      22,201  
  60,000     

GrafTech Finance, Inc.,

4.625%, 12/15/2028, 144A

      55,795  
  480,000     

Mineral Resources Ltd.,

8.125%, 5/01/2027, 144A

      496,200  
  525,000     

Novelis Corp.,

4.750%, 1/30/2030, 144A

      509,704  
  50,000     

SunCoke Energy, Inc.,

4.875%, 6/30/2029, 144A

      47,139  
  210,000     

United States Steel Corp.,

6.875%, 3/01/2029

      218,400  
  40,000     

Volcan Cia Minera SAA,

4.375%, 2/11/2026, 144A

      38,300  
     

 

 

  
        5,062,528  
     

 

 

  
  

Midstream – 3.4%

 

  85,000     

Antero Midstream Partners LP/Antero Midstream Finance Corp.,

5.375%, 6/15/2029, 144A

      84,913  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Midstream – continued

 

  $         250,000     

Blue Racer Midstream LLC/Blue Racer Finance Corp.,

7.625%, 12/15/2025, 144A

    $          261,402  
  185,000     

Buckeye Partners LP,

4.500%, 3/01/2028, 144A

      177,223  
  80,000     

Buckeye Partners LP,

5.600%, 10/15/2044

      67,063  
  55,000     

Buckeye Partners LP,

5.850%, 11/15/2043

      46,884  
  115,000     

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.,

6.000%, 2/01/2029, 144A

      114,569  
  180,000     

DCP Midstream Operating LP,

5.125%, 5/15/2029

      185,128  
  230,000     

DCP Midstream Operating LP,

5.625%, 7/15/2027

      241,164  
  130,000     

EnLink Midstream Partners LP,

5.600%, 4/01/2044

      112,125  
  110,000     

EQM Midstream Partners LP,

6.000%, 7/01/2025, 144A

      112,205  
  200,000     

EQM Midstream Partners LP,

6.500%, 7/01/2027, 144A

      208,908  
  105,000     

EQM Midstream Partners LP,

6.500%, 7/15/2048

      101,325  
  160,000     

EQM Midstream Partners LP, Series 10Y,

5.500%, 7/15/2028

      160,626  
  115,000     

Ferrellgas LP/Ferrellgas Finance Corp.,

5.375%, 4/01/2026, 144A

      108,590  
  300,000     

Genesis Energy LP/Genesis Energy Finance Corp.,

7.750%, 2/01/2028

      301,591  
  120,000     

Harvest Midstream I LP,

7.500%, 9/01/2028, 144A

      122,566  
  150,000     

Hess Midstream Operations LP,

4.250%, 2/15/2030, 144A

      141,540  
  665,000     

Hess Midstream Operations LP,

5.625%, 2/15/2026, 144A

      682,257  
  50,000     

New Fortress Energy, Inc.,

6.500%, 9/30/2026, 144A

      49,539  
  265,000     

New Fortress Energy, Inc.,

6.750%, 9/15/2025, 144A

      266,566  
  145,000     

NuStar Logistics LP,

5.750%, 10/01/2025

      147,719  
  125,000     

Suburban Propane Partners LP/Suburban Energy Finance Corp.,

5.000%, 6/01/2031, 144A

      117,188  
  155,000     

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

4.875%, 2/01/2031

      156,550  
  410,000     

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

5.500%, 3/01/2030

      425,801  
  100,000     

Western Midstream Operating LP,

5.450%, 4/01/2044

      101,376  
  475,000     

Western Midstream Operating LP,

5.750%, 2/01/2050

      463,125  
     

 

 

  
        4,957,943  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Non-Agency Commercial Mortgage-Backed Securities – 1.7%

 

  $           97,780     

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

1-month LIBOR + 3.500%, 3.897%, 11/15/2031, 144A(a)(f)(g)

    $            79,104  
  220,004     

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

1-month LIBOR + 4.500%, 4.897%, 11/15/2031, 144A(a)(f)(g)

      169,997  
  260,000     

Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D,

4.947%, 5/10/2047, 144A(b)

      244,053  
  100,000     

Commercial Mortgage Trust, Series 2012-CR3, Class B,

3.922%, 10/15/2045, 144A

      97,615  
  1,020,000     

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

4.373%, 9/15/2037, 144A

      861,948  
  45,000     

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

5.163%, 8/10/2044, 144A(b)

      37,199  
  100,000     

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

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

      90,551  
  245,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C,

5.360%, 2/15/2046, 144A(b)

      234,807  
  250,000     

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

4.675%, 10/15/2045, 144A(b)

      246,301  
  100,000     

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

4.282%, 10/15/2030, 144A(b)

      91,058  
  380,000     

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

1-month LIBOR + 3.500%, 3.897%, 11/15/2027, 144A(a)(g)(h)(i)

      102,021  
  420,000     

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

1-month LIBOR + 4.400%, 4.797%, 11/15/2027, 144A(a)(g)(h)(i)

      40,753  
  145,000     

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

4.458%, 8/15/2050

      90,176  
  60,000     

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

4.172%, 11/15/2059(b)

      51,403  
  100,338     

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

5.294%, 3/15/2044, 144A(b)

      43,647  
  80,000     

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

4.347%, 12/15/2045(b)

      73,351  
  125,000     

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

4.779%, 6/15/2045, 144A(b)(f)(g)

      18,437  
     

 

 

  
        2,572,421  
     

 

 

  
  

Oil Field Services – 0.8%

 

  125,000     

Nabors Industries, Inc.,

7.375%, 5/15/2027, 144A

      129,849  
  90,000     

Precision Drilling Corp.,

6.875%, 1/15/2029, 144A

      91,350  
  10,000     

Precision Drilling Corp.,

7.125%, 1/15/2026, 144A

      10,200  
  55,000     

Solaris Midstream Holdings LLC,

7.625%, 4/01/2026, 144A

      56,788  
  147,600     

Transocean Pontus Ltd.,

6.125%, 8/01/2025, 144A

      146,751  
  384,375     

Transocean Poseidon Ltd.,

6.875%, 2/01/2027, 144A

      380,531  
  47,500     

Transocean Proteus Ltd.,

6.250%, 12/01/2024, 144A

      47,144  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Oil Field Services – continued

 

  $         140,000     

Transocean, Inc.,

8.000%, 2/01/2027, 144A

    $          118,580  
  60,000     

Transocean, Inc.,

11.500%, 1/30/2027, 144A

      61,950  
  180,000     

Weatherford International Ltd.,

8.625%, 4/30/2030, 144A

      182,763  
  20,000     

Weatherford International Ltd.,

11.000%, 12/01/2024, 144A

      20,700  
     

 

 

  
        1,246,606  
     

 

 

  
  

Packaging – 0.6%

 

  370,000     

ARD Finance S.A.,

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

      338,319  
  500,000     

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

5.250%, 8/15/2027, 144A

      462,187  
  75,000     

Graham Packaging Co., Inc.,

7.125%, 8/15/2028, 144A

      68,063  
  80,000     

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

6.000%, 9/15/2028, 144A

      78,800  
     

 

 

  
        947,369  
     

 

 

  
  

Pharmaceuticals – 3.9%

 

  1,170,000     

Bausch Health Cos., Inc.,

5.000%, 1/30/2028, 144A

      963,577  
  10,000     

Bausch Health Cos., Inc.,

5.000%, 2/15/2029, 144A

      7,790  
  785,000     

Bausch Health Cos., Inc.,

5.250%, 1/30/2030, 144A

      616,649  
  785,000     

Bausch Health Cos., Inc.,

5.250%, 2/15/2031, 144A

      611,012  
  15,000     

Bausch Health Cos., Inc.,

6.250%, 2/15/2029, 144A

      12,300  
  45,000     

Bausch Health Cos., Inc.,

7.000%, 1/15/2028, 144A

      40,288  
  200,000     

Cheplapharm Arzneimittel GmbH,

5.500%, 1/15/2028, 144A

      194,406  
  240,000     

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

6.000%, 6/30/2028, 144A

      135,600  
  70,000     

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

6.125%, 4/01/2029, 144A

      63,875  
  200,000     

Grifols Escrow Issuer S.A.,

4.750%, 10/15/2028, 144A

      188,250  
  335,000     

Organon & Co./Organon Foreign Debt Co-Issuer BV,

5.125%, 4/30/2031, 144A

      323,275  
  107,000     

Par Pharmaceutical, Inc.,

7.500%, 4/01/2027, 144A

      99,847  
  325,000     

Teva Pharmaceutical Finance Co. LLC,

6.150%, 2/01/2036

      328,250  
  285,000     

Teva Pharmaceutical Finance Netherlands III BV,

3.150%, 10/01/2026

      258,036  
  2,360,000     

Teva Pharmaceutical Finance Netherlands III BV,

4.100%, 10/01/2046

      1,852,600  
     

 

 

  
        5,695,755  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Property & Casualty Insurance – 0.5%

 

  $         240,000     

Acrisure LLC/Acrisure Finance, Inc.,

6.000%, 8/01/2029, 144A

    $          221,911  
  240,000     

AmWINS Group, Inc.,

4.875%, 6/30/2029, 144A

      230,405  
  160,000     

AssuredPartners, Inc.,

5.625%, 1/15/2029, 144A

      147,264  
  125,000     

BroadStreet Partners, Inc.,

5.875%, 4/15/2029, 144A

      116,562  
     

 

 

  
        716,142  
     

 

 

  
  

Refining – 0.5%

 

  55,000     

Calumet Specialty Products Partners LP/Calumet Finance Corp.,

11.000%, 4/15/2025, 144A

      57,036  
  50,000     

CVR Energy, Inc.,

5.250%, 2/15/2025, 144A

      48,529  
  395,000     

Parkland Corp.,

5.875%, 7/15/2027, 144A

      394,012  
  115,000     

PBF Holding Co. LLC/PBF Finance Corp.,

6.000%, 2/15/2028

      92,406  
  80,000     

PBF Holding Co. LLC/PBF Finance Corp.,

9.250%, 5/15/2025, 144A

      82,418  
     

 

 

  
        674,401  
     

 

 

  
  

REITs - Hotels – 0.3%

 

  395,000     

Service Properties Trust,

4.750%, 10/01/2026

      361,425  
  70,000     

Service Properties Trust,

7.500%, 9/15/2025

      73,434  
     

 

 

  
        434,859  
     

 

 

  
  

REITs - Mortgage – 0.2%

 

  45,000     

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

4.250%, 2/01/2027, 144A

      43,126  
  215,000     

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

5.250%, 10/01/2025, 144A

      214,194  
  75,000     

Starwood Property Trust, Inc.,

3.625%, 7/15/2026, 144A

      71,615  
     

 

 

  
        328,935  
     

 

 

  
  

Restaurants – 0.7%

 

  795,000     

1011778 BC ULC/New Red Finance, Inc.,

4.000%, 10/15/2030, 144A

      717,118  
  100,000     

Bloomin’ Brands, Inc./OSI Restaurant Partners LLC,

5.125%, 4/15/2029, 144A

      94,356  
  90,000     

Papa John’s International, Inc.,

3.875%, 9/15/2029, 144A

      82,613  
  125,000     

Yum! Brands, Inc.,

3.625%, 3/15/2031

      113,980  
     

 

 

  
        1,008,067  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Retailers – 2.2%

 

  $           75,000     

Asbury Automotive Group, Inc.,

4.500%, 3/01/2028

    $            72,045  
  225,000     

Asbury Automotive Group, Inc.,

4.625%, 11/15/2029, 144A

      209,531  
  83,000     

Asbury Automotive Group, Inc.,

4.750%, 3/01/2030

      78,331  
  90,000     

Asbury Automotive Group, Inc.,

5.000%, 2/15/2032, 144A

      83,659  
  70,000     

At Home Group, Inc.,

4.875%, 7/15/2028, 144A

      62,300  
  190,000     

At Home Group, Inc.,

7.125%, 7/15/2029, 144A

      164,350  
  140,000     

Bath & Body Works, Inc.,

5.250%, 2/01/2028

      140,825  
  75,000     

Bath & Body Works, Inc.,

6.625%, 10/01/2030, 144A

      78,750  
  100,000     

Bath & Body Works, Inc.,

6.750%, 7/01/2036

      101,839  
  55,000     

Bath & Body Works, Inc.,

6.875%, 11/01/2035

      56,650  
  480,000     

Carvana Co.,

4.875%, 9/01/2029, 144A

      396,401  
  255,000     

Carvana Co.,

5.500%, 4/15/2027, 144A

      227,587  
  95,000     

Carvana Co.,

5.875%, 10/01/2028, 144A

      84,596  
  35,000     

Group 1 Automotive, Inc.,

4.000%, 8/15/2028, 144A

      32,594  
  50,000     

Ken Garff Automotive LLC,

4.875%, 9/15/2028, 144A

      47,000  
  90,000     

Lithia Motors, Inc.,

4.375%, 1/15/2031, 144A

      86,963  
  85,000     

Michaels Cos., Inc. (The),

7.875%, 5/01/2029, 144A

      72,781  
  115,000     

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

7.125%, 4/01/2026, 144A

      118,105  
  250,000     

PetSmart, Inc./PetSmart Finance Corp.,

4.750%, 2/15/2028, 144A

      241,601  
  250,000     

PetSmart, Inc./PetSmart Finance Corp.,

7.750%, 2/15/2029, 144A

      258,125  
  115,000     

Rite Aid Corp.,

7.500%, 7/01/2025, 144A

      107,256  
  240,000     

Sonic Automotive, Inc.,

4.625%, 11/15/2029, 144A

      216,000  
  245,000     

Sonic Automotive, Inc.,

4.875%, 11/15/2031, 144A

      217,437  
  180,000     

Victoria’s Secret & Co.,

4.625%, 7/15/2029, 144A

      162,173  
     

 

 

  
        3,316,899  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Technology – 4.8%

 

  $         185,000     

Block, Inc.,

2.750%, 6/01/2026, 144A

    $          174,866  
  145,000     

Camelot Finance S.A.,

4.500%, 11/01/2026, 144A

      141,013  
  215,000     

Clarivate Science Holdings Corp.,

4.875%, 7/01/2029, 144A

      202,274  
  1,830,000     

CommScope Technologies LLC,

5.000%, 3/15/2027, 144A

      1,589,492  
  86,000     

CommScope Technologies LLC,

6.000%, 6/15/2025, 144A

      81,451  
  760,000     

CommScope, Inc.,

7.125%, 7/01/2028, 144A

      686,565  
  75,000     

Dun & Bradstreet Corp. (The),

5.000%, 12/15/2029, 144A

      70,500  
  320,000     

Elastic NV,

4.125%, 7/15/2029, 144A

      297,587  
  495,000     

Endurance International Group Holdings, Inc.,

6.000%, 2/15/2029, 144A

      426,952  
  60,000     

Everi Holdings, Inc.,

5.000%, 7/15/2029, 144A

      56,850  
  205,000     

II-VI, Inc.,

5.000%, 12/15/2029, 144A

      200,387  
  185,000     

Iron Mountain, Inc.,

4.500%, 2/15/2031, 144A

      170,849  
  465,000     

Iron Mountain, Inc.,

4.875%, 9/15/2029, 144A

      442,620  
  120,000     

Iron Mountain, Inc.,

5.250%, 7/15/2030, 144A

      117,600  
  95,000     

LogMeIn, Inc.,

5.500%, 9/01/2027, 144A

      88,669  
  370,000     

NCR Corp.,

5.000%, 10/01/2028, 144A

      354,275  
  70,000     

NCR Corp.,

5.250%, 10/01/2030, 144A

      66,357  
  190,000     

Nielsen Finance LLC/Nielsen Finance Co.,

5.625%, 10/01/2028, 144A

      191,368  
  180,000     

Nielsen Finance LLC/Nielsen Finance Co.,

5.875%, 10/01/2030, 144A

      180,416  
  455,000     

Open Text Corp.,

3.875%, 12/01/2029, 144A

      432,250  
  175,000     

Pitney Bowes, Inc.,

6.875%, 3/15/2027, 144A

      165,519  
  110,000     

Presidio Holdings, Inc.,

4.875%, 2/01/2027, 144A

      108,350  
  110,000     

Presidio Holdings, Inc.,

8.250%, 2/01/2028, 144A

      112,200  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Technology – continued

 

  $           90,000     

Rackspace Technology Global, Inc.,

5.375%, 12/01/2028, 144A

    $            78,089  
  175,000     

Rocket Software, Inc.,

6.500%, 2/15/2029, 144A

      158,813  
  65,000     

Sabre GLBL, Inc.,

7.375%, 9/01/2025, 144A

      67,875  
  260,000     

Sabre GLBL, Inc.,

9.250%, 4/15/2025, 144A

      288,245  
  60,000     

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

4.625%, 11/01/2026, 144A

      58,350  
  65,000     

Xerox Holdings Corp.,

5.000%, 8/15/2025, 144A

      65,731  
  70,000     

Ziff Davis, Inc.,

4.625%, 10/15/2030, 144A

      66,656  
     

 

 

  
        7,142,169  
     

 

 

  
  

Transportation Services – 0.2%

 

  100,000     

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

5.750%, 7/15/2027, 144A

      100,054  
  190,000     

Hertz Corp. (The),

4.625%, 12/01/2026, 144A

      177,427  
     

 

 

  
        277,481  
     

 

 

  
  

Treasuries – 2.9%

 

  2,925,000     

U.S. Treasury Note,

0.125%, 2/28/2023

      2,885,695  
  1,390,000     

U.S. Treasury Note,

0.125%, 3/31/2023

      1,368,336  
     

 

 

  
        4,254,031  
     

 

 

  
  

Wireless – 2.4%

 

  640,000     

Altice France S.A.,

5.125%, 1/15/2029, 144A

      573,331  
  200,000     

Altice France S.A.,

5.125%, 7/15/2029, 144A

      179,250  
  495,000     

HTA Group Ltd.,

7.000%, 12/18/2025, 144A

      489,456  
  200,000     

IHS Holding Ltd.,

5.625%, 11/29/2026, 144A

      189,300  
  400,000     

IHS Holding Ltd.,

6.250%, 11/29/2028, 144A

      375,200  
  305,000     

Kenbourne Invest S.A.,

6.875%, 11/26/2024, 144A

      299,425  
  1,630,000     

SoftBank Group Corp.,

4.625%, 7/06/2028

      1,455,590  
     

 

 

  
        3,561,552  
     

 

 

  
  

Wirelines – 1.1%

 

  200,000     

Cablevision Lightpath LLC,

5.625%, 9/15/2028, 144A

      182,500  
  130,000     

Cincinnati Bell Telephone Co. LLC,

6.300%, 12/01/2028

      128,995  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Wirelines – continued

 

  $         135,000     

Embarq Corp.,

7.995%, 6/01/2036

    $          130,056  
  210,000     

Iliad Holding SASU,

6.500%, 10/15/2026, 144A

      210,567  
  25,000     

Lumen Technologies, Inc.,

5.125%, 12/15/2026, 144A

      23,812  
  150,000     

Lumen Technologies, Inc.,

5.375%, 6/15/2029, 144A

      133,594  
  435,000     

Telecom Italia Capital S.A.,

6.375%, 11/15/2033

      415,743  
  120,000     

Telecom Italia Capital S.A.,

7.200%, 7/18/2036

      116,700  
  210,000     

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

4.750%, 4/15/2028, 144A

      198,190  
  100,000     

Windstream Escrow LLC/Windstream Escrow Finance Corp.,

7.750%, 8/15/2028, 144A

      101,858  
     

 

 

  
        1,642,015  
     

 

 

  
  

Total Non-Convertible Bonds

(Identified Cost $134,717,808)

      125,455,394  
     

 

 

  
 

Convertible Bonds – 5.3%

  
  

Airlines – 0.5%

 

  590,000     

Southwest Airlines Co.,

1.250%, 5/01/2025

      800,630  
     

 

 

  
  

Cable Satellite – 1.9%

 

  3,065,000     

DISH Network Corp.,

3.375%, 8/15/2026

      2,756,967  
     

 

 

  
  

Consumer Cyclical Services – 0.2%

 

  310,000     

Uber Technologies, Inc.,

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

      277,874  
  30,000     

Zillow Group, Inc.,

1.375%, 9/01/2026

      39,694  
     

 

 

  
        317,568  
     

 

 

  
  

Gaming – 0.1%

 

  60,000     

Penn National Gaming, Inc.,

2.750%, 5/15/2026

      120,660  
     

 

 

  
  

Healthcare – 0.6%

 

  990,000     

Teladoc Health, Inc.,

1.250%, 6/01/2027

      835,065  
     

 

 

  
  

Leisure – 0.2%

 

  305,000     

NCL Corp. Ltd.,

1.125%, 2/15/2027, 144A

      279,359  
     

 

 

  
  

Media Entertainment – 0.2%

 

  175,000     

Bilibili, Inc.,

0.500%, 12/01/2026, 144A

      128,188  
  170,000     

Twitter, Inc.,

Zero Coupon, 0.000%-2.963%, 3/15/2026(j)

      142,715  
     

 

 

  
        270,903  
     

 

 

  

Principal

Amount

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Convertible Bonds – continued

  
  

Pharmaceuticals – 1.3%

 

  $         340,000     

BioMarin Pharmaceutical, Inc.,

0.599%, 8/01/2024

    $          339,830  
  1,255,000     

BioMarin Pharmaceutical, Inc.,

1.250%, 5/15/2027

      1,256,613  
  115,000     

Ionis Pharmaceuticals, Inc.,

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

      106,962  
  225,000     

Livongo Health, Inc.,

0.875%, 6/01/2025

      227,925  
     

 

 

  
        1,931,330  
     

 

 

  
  

Technology – 0.3%

 

  175,000     

Nutanix, Inc.,

0.250%, 10/01/2027, 144A

      145,797  
  380,000     

Splunk, Inc.,

1.125%, 6/15/2027

      362,900  
     

 

 

  
        508,697  
     

 

 

  
  

Total Convertible Bonds

(Identified Cost $8,445,736)

      7,821,179  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $143,163,544)

      133,276,573  
     

 

 

  
 

Collateralized Loan Obligations – 1.4%

  
  295,000     

AIG CLO LLC, Series 2021-2A, Class E,

3-month LIBOR + 6.500%, 6.754%, 7/20/2034, 144A(a)

      279,149  
  250,000     

Battalion CLO XVI Ltd., Series 2019-16A, Class ER,

3-month LIBOR + 6.750%, 7.004%, 12/19/2032, 144A(a)

      241,256  
  250,000     

NYACK Park CLO Ltd., Series 2021-1A, Class E,

3-month LIBOR + 6.100%, 6.224%, 10/20/2034, 144A(a)

      243,151  
  250,000     

Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER,

3-month LIBOR + 6.750%, 6.991%, 10/15/2034, 144A(a)

      242,459  
  260,000     

OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER,

3-month LIBOR + 6.360%, 6.615%, 4/21/2034, 144A(a)

      251,098  
  310,000     

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

3-month LIBOR + 6.250%, 6.504%, 7/02/2035, 144A(a)

      302,236  
  260,000     

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

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

      251,521  
  250,000     

Palmer Square CLO Ltd., Series 2021-3A, Class E,

3-month LIBOR + 6.150%, 6.383%, 1/15/2035, 144A(a)

      242,322  
     

 

 

  
  

Total Collateralized Loan Obligations

(Identified Cost $2,122,374)

      2,053,192  
     

 

 

  
 

Senior Loans – 0.0%

  
  

Pharmaceuticals – 0.0%

 

  66,853     

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

1-month LIBOR + 3.500%, 4.000%, 5/05/2028 (a)(l)

(Identified Cost $66,506)

      66,545  
     

 

 

  

Shares

     

Description

    Value (†)  
 

Preferred Stocks – 1.4%

  
 

Convertible Preferred Stocks – 1.4%

  
  

Technology – 0.2%

 

                 3,797     

Clarivate PLC, Series A,

5.250%

    $          257,702  
     

 

 

  
  

Wireless – 1.2%

 

  1,607     

2020 Cash Mandatory Exchangeable Trust,

5.250%, 144A(f)(g)

      1,791,805  
     

 

 

  
  

Total Convertible Preferred Stocks

(Identified Cost $2,177,650)

      2,049,507  
     

 

 

  
  

Total Preferred Stocks

(Identified Cost $2,177,650)

      2,049,507  
     

 

 

  
 

Common Stocks – 0.2%

  
  

Energy Equipment & Services – 0.0%

 

  10,149     

McDermott International Ltd.(m)

      6,698  
     

 

 

  
  

Media – 0.1%

 

  9,786     

iHeartMedia, Inc., Class A(m)

      185,249  
     

 

 

  
  

Oil, Gas & Consumable Fuels – 0.1%

 

  3,650     

Battalion Oil Corp.(m)

      67,817  
     

 

 

  
  

Total Common Stocks

(Identified Cost $841,517)

      259,764  
     

 

 

  
 

Other Investments – 0.0%

  
  

Aircraft ABS – 0.0%

 

  100     

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

(Identified Cost $1,000,000)

      65,920  
     

 

 

  
 

Warrants – 0.0%

  
  20,319     

McDermott International Ltd., Tranche A, Expiration on 5/1/2024(h)(i)(m)

      203  
  22,577     

McDermott International Ltd., Tranche B, Expiration on 5/1/2024(h)(i)(m)

      226  
     

 

 

  
  

Total Warrants

(Identified Cost $31,517)

      429  
     

 

 

  
 

Exchange-Traded Funds – 1.5%

  
  26,835     

iShares® iBoxx $ High Yield Corporate Bond ETF

(Identified Cost $2,304,298)

      2,208,252  
     

 

 

  

Principal

Amount

              
 

Short-Term Investments – 1.8%

  
  $      2,686,640     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $2,686,640 on 4/01/2022 collateralized by $3,045,700 U.S. Treasury Bond, 2.000% due 8/15/2051 valued at $2,740,445 including accrued interest(o)

(Identified Cost $2,686,640)

      2,686,640  
     

 

 

  

      

Description

    Value (†)  
 

                         

  

 

   

Total Investments – 96.4%

(Identified Cost $154,394,046)

    $ 142,666,822  
  

Other assets less liabilities – 3.6%

      5,326,382  
     

 

 

  
  

Net Assets – 100.0%

    $ 147,993,204  
     

 

 

  

 

(†)

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

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

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

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

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

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

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

Centrally cleared swap agreements are valued at settlement prices of the 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		  

$ 2,316,363

      1.6 %    $ 209,123        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.

 

(a)

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

(b)

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

(c)

Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal.

(d)

Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended March 31, 2022, interest payments were made in cash.

(e)

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

(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 $2,316,363 or 1.6% of net assets.

(g)

Illiquid security.

(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 $209,123 or 0.1% of net assets.

(j)

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.

(k)

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

(l)

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.

(m)

Non-income producing security.

(n)

Securities subject to restriction on resale. At March 31, 2022, the restricted securities held by the Fund are as follows:

 

     Acquisition Date      Acquisition Cost      Value      % of Net Assets  

ECAF I Blocker Ltd.

      12/20/2016      $ 1,000,000      $ 65,920        Less than 0.1 % 

 

(o)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2022, 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 March 31, 2022, the value of Rule 144A holdings amounted to $92,162,742 or 62.3% of net assets.
ABS    Asset-Backed Securities
ETF    Exchange-Traded Fund
LIBOR    London Interbank Offered Rate
MTN    Medium Term Note
PIK    Payment-in-Kind
REITs    Real Estate Investment Trusts

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

           

Home Construction

    $ —        $ 839,646      $ —   (a)    $ 839,646  

Non-Agency Commercial Mortgage-Backed Securities

      —          2,429,647        142,774 (b)      2,572,421  

All Other Non-Convertible Bonds*

      —          122,043,327        —         122,043,327  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Non-Convertible Bonds

      —          125,312,620        142,774       125,455,394  
  

 

 

     

 

 

     

 

 

    

 

 

  

Convertible Bonds*

      —          7,821,179        —         7,821,179  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —          133,133,799        142,774       133,276,573  
  

 

 

     

 

 

     

 

 

    

 

 

  

Collateralized Loan Obligations

      —          2,053,192        —         2,053,192  

Senior Loans*

      —          66,545        —         66,545  

Preferred Stocks

           

Technology

      257,702        —          —         257,702  

Wireless

      —          1,791,805        —         1,791,805  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Preferred Stocks

      257,702        1,791,805        —         2,049,507  
  

 

 

     

 

 

     

 

 

    

 

 

  

Common Stocks*

      259,764        —          —         259,764  

Other Investments*

      —          —          65,920 (b)      65,920  

Warrants

      —          —          429 (b)      429  

Exchange-Traded Funds

      2,208,252        —          —         2,208,252  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —          2,686,640        —         2,686,640  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 2,725,718      $ 139,731,981      $ 209,123     $ 142,666,822  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

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

(a)

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

(b)

Fair valued by the Fund’s adviser.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 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

                          

Home Construction

    $ —   (a)    $ 12,427      $  —        $ (12,427 )    $  —        $  —        $  —        $ —       $ —   (a)    $ (12,427 ) 

Non-Agency Commercial Mortgage-Backed Securities

      138,957       —          —          3,817       —          —          —          —         142,774       3,817  

Collateralized Loan Obligations

      250,000       —          —          —         —          —          —          (250,000 )      —         —    

Other Investments

                          

Aircraft ABS

      87,030       —          —          (21,110 )      —          —          —          —         65,920       (21,110 ) 

Warrants

      1,264       —          —          (835 )      —          —          —          —         429       (835 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

Total

    $ 477,251     $ 12,427      $ —        $ (30,555 )    $ —        $ —        $ —        $ (250,000 )    $ 209,123     $ (30,555 ) 
  

 

 

    

 

 

     

 

 

     

 

 

    

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

  

 

(a)

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

A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended March 31, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2022, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Industry Summary at March 31, 2022 (Unaudited)

 

Cable Satellite

      10.3 % 

Independent Energy

      5.7  

Technology

      5.3  

Pharmaceuticals

      5.2  

Finance Companies

      4.7  

Healthcare

      4.4  

Leisure

      3.7  

Wireless

      3.6  

Metals & Mining

      3.4  

Midstream

      3.4  

Gaming

      3.2  

Consumer Cyclical Services

      3.1  

Treasuries

      2.9  

Media Entertainment

      2.9  

Financial Other

      2.5  

Automotive

      2.4  

Building Materials

      2.3  

Retailers

      2.2  

Aerospace & Defense

      2.1  

Airlines

      2.0  

Food & Beverage

      2.0  

Other Investments, less than 2% each

      14.4  

Short-Term Investments

      1.8  

Exchange-Traded Funds

      1.5  

Collateralized Loan Obligations

      1.4  
  

 

 

  

Total Investments

      96.4  

Other assets less liabilities

      3.6  
  

 

 

  

Net Assets

      100.0 %