PORTFOLIO OF INVESTMENTS as of December 31, 2022 (Unaudited)
Loomis Sayles Global Allocation Fund
Shares |
Description |
Value () | ||||||||
Common Stocks 67.3% of Net Assets |
||||||||||
France 4.7% | ||||||||||
454,627 | Dassault Systemes SE | $ | 16,348,228 | |||||||
98,236 | LVMH Moet Hennessy Louis Vuitton SE | 71,485,586 | ||||||||
422,203 | Vinci S.A. | 42,088,097 | ||||||||
|
|
|||||||||
129,921,911 | ||||||||||
|
|
|||||||||
Japan 1.8% | ||||||||||
2,082,561 | Nomura Research Institute Ltd. | 49,510,649 | ||||||||
|
|
|||||||||
Netherlands 3.1% | ||||||||||
155,597 | ASML Holding NV | 84,839,519 | ||||||||
|
|
|||||||||
Sweden 2.4% | ||||||||||
5,499,996 | Atlas Copco AB, Class A | 65,166,124 | ||||||||
|
|
|||||||||
Taiwan 1.7% | ||||||||||
3,095,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 44,950,105 | ||||||||
|
|
|||||||||
United Kingdom 3.6% | ||||||||||
677,658 | Halma PLC | 16,138,385 | ||||||||
251,268 | Linde PLC | 81,958,596 | ||||||||
|
|
|||||||||
98,096,981 | ||||||||||
|
|
|||||||||
United States 50.0% | ||||||||||
267,538 | Accenture PLC, Class A | 71,389,840 | ||||||||
88,260 | Adobe, Inc.(a) | 29,702,138 | ||||||||
651,656 | Airbnb, Inc., Class A(a) | 55,716,588 | ||||||||
772,781 | Alphabet, Inc., Class A(a) | 68,182,468 | ||||||||
700,701 | Amazon.com, Inc.(a) | 58,858,884 | ||||||||
63,195 | BlackRock, Inc. | 44,781,873 | ||||||||
114,606 | Costco Wholesale Corp. | 52,317,639 | ||||||||
315,239 | Cummins, Inc. | 76,379,257 | ||||||||
275,302 | Danaher Corp. | 73,070,657 | ||||||||
169,360 | Estee Lauder Cos., Inc. (The), Class A | 42,019,910 | ||||||||
145,377 | Goldman Sachs Group, Inc. (The) | 49,919,554 | ||||||||
237,362 | Home Depot, Inc. (The) | 74,973,161 | ||||||||
298,070 | IQVIA Holdings, Inc.(a) | 61,071,562 | ||||||||
351,466 | JPMorgan Chase & Co. | 47,131,591 | ||||||||
231,036 | Mastercard, Inc., Class A | 80,338,148 | ||||||||
36,006 | Mettler-Toledo International, Inc.(a) | 52,044,873 | ||||||||
198,484 | NIKE, Inc., Class B | 23,224,613 | ||||||||
314,759 | NVIDIA Corp. | 45,998,880 | ||||||||
121,353 | Roper Technologies, Inc. | 52,435,418 | ||||||||
239,457 | S&P Global, Inc. | 80,203,727 | ||||||||
435,711 | Salesforce, Inc.(a) | 57,770,921 | ||||||||
94,942 | Schneider Electric SE | 13,333,140 | ||||||||
187,848 | Sherwin-Williams Co. (The) | 44,581,966 | ||||||||
175,477 | Texas Instruments, Inc. | 28,992,310 | ||||||||
127,099 | UnitedHealth Group, Inc. | 67,385,348 |
Shares |
Description |
Value () | ||||||||
Common Stocks continued | ||||||||||
United States continued | ||||||||||
392,531 | Zions Bancorp N.A. | $ | 19,296,824 | |||||||
|
|
|||||||||
1,371,121,290 | ||||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $1,777,881,310) |
1,843,606,579 | |||||||||
|
|
|||||||||
Principal |
||||||||||
Bonds and Notes 31.7% |
||||||||||
Non-Convertible Bonds 29.1% |
||||||||||
Australia 1.0% | ||||||||||
$ | 2,990,000 | AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 |
2,606,400 | |||||||
10,700,000 | Australia Government Bond, Series 164, 0.500%, 9/21/2026, (AUD) |
6,505,883 | ||||||||
800,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A |
665,347 | ||||||||
670,000 | GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A |
615,160 | ||||||||
3,560,000 | Glencore Funding LLC, 1.625%, 9/01/2025, 144A |
3,225,823 | ||||||||
5,000,000 | Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033, 144A |
3,835,913 | ||||||||
4,000,000 | Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027, 144A |
3,407,165 | ||||||||
11,610,000 | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD) |
6,117,338 | ||||||||
95,000 | Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A |
90,076 | ||||||||
1,370,000 | Westpac Banking Corp., 1.953%, 11/20/2028 |
1,165,039 | ||||||||
|
|
|||||||||
28,234,144 | ||||||||||
|
|
|||||||||
Belgium 0.1% | ||||||||||
2,745,000 | Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR) |
2,377,129 | ||||||||
|
|
|||||||||
Brazil 0.8% | ||||||||||
1,035,000 | Braskem Netherlands Finance BV, 4.500%, 1/10/2028 |
928,095 | ||||||||
1,785,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030 |
1,518,069 | ||||||||
53,329 | () | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2031, (BRL) |
8,818,448 | |||||||
2,685,000 | Brazilian Government International Bond, 4.500%, 5/30/2029 |
2,487,799 | ||||||||
1,085,000 | Brazilian Government International Bond, 4.625%, 1/13/2028 |
1,038,884 | ||||||||
2,980,000 | BRF S.A., 4.875%, 1/24/2030 |
2,513,172 | ||||||||
650,000 | Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A |
568,750 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Brazil continued | ||||||||||
$ | 1,100,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 |
$ | 1,067,561 | ||||||
575,000 | Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A |
558,469 | ||||||||
2,515,000 | Suzano Austria GmbH, 2.500%, 9/15/2028 |
2,116,045 | ||||||||
1,185,000 | Suzano Austria GmbH, 3.125%, 1/15/2032 |
923,831 | ||||||||
550,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 |
461,410 | ||||||||
|
|
|||||||||
23,000,533 | ||||||||||
|
|
|||||||||
Canada 1.4% | ||||||||||
790,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A |
639,750 | ||||||||
339,847 | Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A |
274,256 | ||||||||
711,704 | Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A |
602,023 | ||||||||
505,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A |
408,240 | ||||||||
1,210,000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A |
1,039,112 | ||||||||
1,010,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A |
995,626 | ||||||||
2,835,000 | Bell Telephone Co. of Canada/Bell Canada (The), MTN, 3.600%, 9/29/2027, (CAD) |
1,983,998 | ||||||||
1,735,000 | Brookfield Finance I UK PLC/ Brookfield Finance ,Inc., 2.340%, 1/30/2032 |
1,320,836 | ||||||||
1,015,000 | Brookfield Finance, Inc., 3.900%, 1/25/2028 |
930,660 | ||||||||
2,715,000 | Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD) |
1,928,472 | ||||||||
1,220,000 | Canada Housing Trust No. 1, 1.550%, 12/15/2026, 144A, (CAD) |
828,861 | ||||||||
2,465,000 | Canadian Pacific Railway Co., 1.750%, 12/02/2026 |
2,196,654 | ||||||||
800,000 | CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR) |
820,786 | ||||||||
4,695,000 | Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD) |
3,103,312 | ||||||||
4,770,000 | Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD) |
3,094,652 | ||||||||
2,965,000 | Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD) |
2,054,850 | ||||||||
162,257 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD) |
117,597 | ||||||||
4,670,000 | Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD) |
3,115,725 | ||||||||
705,000 | Open Text Corp., 6.900%, 12/01/2027, 144A |
705,000 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Canada continued | ||||||||||
2,355,000 | Province of Quebec Canada, 2.300%, 9/01/2029, (CAD) |
$ | 1,579,694 | |||||||
2,960,000 | Shaw Communications, Inc., 3.300%, 12/10/2029, (CAD) |
1,931,936 | ||||||||
7,170,000 | Toronto-Dominion Bank (The), 1.950%, 1/12/2027 |
6,388,614 | ||||||||
1,675,000 | Toronto-Dominion Bank (The), MTN, 1.150%, 6/12/2025 |
1,528,042 | ||||||||
1,580,000 | Videotron Ltd., 5.125%, 4/15/2027, 144A |
1,492,357 | ||||||||
|
|
|||||||||
39,081,053 | ||||||||||
|
|
|||||||||
Chile 0.6% | ||||||||||
575,000 | Antofagasta PLC, 2.375%, 10/14/2030 |
460,268 | ||||||||
975,000 | Antofagasta PLC, 5.625%, 5/13/2032 |
956,275 | ||||||||
2,525,000 | Banco Santander Chile, 3.177%, 10/26/2031, 144A |
2,148,068 | ||||||||
950,000 | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 |
935,334 | ||||||||
1,005,000 | Chile Government International Bond, 2.550%, 1/27/2032 |
822,268 | ||||||||
2,580,000 | Colbun S.A., 3.150%, 3/06/2030 |
2,229,873 | ||||||||
1,960,000 | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A |
1,711,970 | ||||||||
595,000 | Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A |
473,025 | ||||||||
1,980,000 | Empresa Nacional del Petroleo, 3.450%, 9/16/2031, 144A |
1,671,437 | ||||||||
525,000 | Enel Chile S.A., 4.875%, 6/12/2028 |
511,612 | ||||||||
2,690,000 | Engie Energia Chile S.A., 3.400%, 1/28/2030 |
2,196,362 | ||||||||
800,000 | Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A |
795,200 | ||||||||
1,120,000 | Transelec S.A., 4.250%, 1/14/2025, 144A |
1,088,770 | ||||||||
|
|
|||||||||
16,000,462 | ||||||||||
|
|
|||||||||
China 0.2% | ||||||||||
920,000 | Alibaba Group Holding Ltd., 3.400%, 12/06/2027 |
846,276 | ||||||||
795,000 | Baidu, Inc., 3.875%, 9/29/2023 |
784,069 | ||||||||
2,750,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(b) |
492,250 | ||||||||
2,750,000 | Sunac China Holdings Ltd., 5.950%, 4/26/2024(b) |
590,782 | ||||||||
625,000 | Tencent Holdings Ltd., 2.880%, 4/22/2031, 144A |
520,120 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
China continued | ||||||||||
$ | 500,000 | Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A |
$ | 499,560 | ||||||
1,175,000 | Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A |
1,146,394 | ||||||||
1,270,000 | Weibo Corp., 3.500%, 7/05/2024 |
1,230,191 | ||||||||
|
|
|||||||||
6,109,642 | ||||||||||
|
|
|||||||||
Colombia 0.4% | ||||||||||
1,395,000 | Colombia Government International Bond, 3.125%, 4/15/2031 |
1,035,388 | ||||||||
575,000 | Colombia Government International Bond, 3.875%, 4/25/2027 |
508,848 | ||||||||
29,559,900,000 | Colombian TES, Series B, 7.500%, 8/26/2026, (COP) |
5,205,868 | ||||||||
2,536,000 | Ecopetrol S.A., 5.875%, 5/28/2045 |
1,765,204 | ||||||||
1,300,000 | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A |
1,031,875 | ||||||||
7,073,300,000 | Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP) |
1,248,141 | ||||||||
|
|
|||||||||
10,795,324 | ||||||||||
|
|
|||||||||
Czech 0.1% | ||||||||||
1,525,000 | CEZ A/S, EMTN, 0.875%, 12/02/2026, (EUR) |
1,400,630 | ||||||||
1,120,000 | CEZ A/S, EMTN, 3.000%, 6/05/2028, (EUR) |
1,079,286 | ||||||||
|
|
|||||||||
2,479,916 | ||||||||||
|
|
|||||||||
Denmark 0.1% | ||||||||||
2,055,000 | Orsted A/S, EMTN, 2.125%, 5/17/2027, (GBP) |
2,225,798 | ||||||||
|
|
|||||||||
Dominican Republic 0.2% | ||||||||||
2,160,000 | Dominican Republic International Bond, 4.500%, 1/30/2030, 144A |
1,838,849 | ||||||||
1,155,000 | Dominican Republic International Bond, 4.875%, 9/23/2032, 144A |
958,720 | ||||||||
590,000 | Dominican Republic International Bond, 5.950%, 1/25/2027, 144A |
577,834 | ||||||||
995,000 | Dominican Republic International Bond, 6.000%, 7/19/2028, 144A |
958,245 | ||||||||
425,000 | Dominican Republic International Bond, 8.625%, 4/20/2027, 144A |
441,978 | ||||||||
|
|
|||||||||
4,775,626 | ||||||||||
|
|
|||||||||
Ecuador 0.1% | ||||||||||
4,275,000 | Ecuador Government International Bond, 5.500%, 7/31/2030 |
2,746,780 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
France 0.3% | ||||||||||
$ | 205,000 | BNP Paribas S.A., 4.375%, 5/12/2026, 144A |
$ | 195,314 | ||||||
890,000 | BNP Paribas S.A., (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A |
817,143 | ||||||||
250,000 | Credit Agricole S.A., 3.250%, 10/04/2024, 144A |
240,627 | ||||||||
4,500,000 | Credit Agricole S.A., (fixed rate to 1/26/2026, variable rate thereafter), 1.247%, 1/26/2027, 144A |
3,935,433 | ||||||||
1,400,000 | Engie S.A., 1.250%, 10/24/2041, (EUR) |
883,142 | ||||||||
1,015,000 | Societe Generale S.A., 4.750%, 11/24/2025, 144A |
974,242 | ||||||||
|
|
|||||||||
7,045,901 | ||||||||||
|
|
|||||||||
Germany 0.4% | ||||||||||
1,635,000 | Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028 |
1,389,823 | ||||||||
305,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 |
216,604 | ||||||||
2,255,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |
1,653,397 | ||||||||
3,220,000 | Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR) |
2,957,064 | ||||||||
3,790,000 | Kreditanstalt fuer Wiederaufbau, EMTN, 1.250%, 8/28/2023, (NOK) |
381,565 | ||||||||
1,450,000 | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A |
1,319,282 | ||||||||
490,000 | Volkswagen Group of America Finance LLC, 1.625%, 11/24/2027, 144A |
410,253 | ||||||||
730,000 | Volkswagen Group of America Finance LLC, 4.350%, 6/08/2027, 144A |
699,728 | ||||||||
2,100,000 | Vonovia SE, EMTN, 0.750%, 9/01/2032, (EUR) |
1,489,168 | ||||||||
|
|
|||||||||
10,516,884 | ||||||||||
|
|
|||||||||
Guatemala 0.1% | ||||||||||
1,050,000 | CT Trust, 5.125%, 2/03/2032, 144A |
923,832 | ||||||||
1,026,000 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A |
980,879 | ||||||||
1,035,000 | Millicom International Cellular S.A., 6.625%, 10/15/2026 |
1,023,180 | ||||||||
|
|
|||||||||
2,927,891 | ||||||||||
|
|
|||||||||
Hong Kong 0.1% | ||||||||||
355,000 | AIA Group Ltd., 3.200%, 3/11/2025, 144A |
340,402 | ||||||||
1,405,000 | AIA Group Ltd., 3.600%, 4/09/2029 |
1,277,602 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Hong Kong continued | ||||||||||
$ | 1,135,000 | AIA Group Ltd., 3.900%, 4/06/2028, 144A |
$ | 1,065,683 | ||||||
|
|
|||||||||
2,683,687 | ||||||||||
|
|
|||||||||
India 0.5% | ||||||||||
1,195,000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A |
876,556 | ||||||||
2,480,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027 |
2,176,877 | ||||||||
2,940,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031 |
2,484,913 | ||||||||
2,790,000 | Export-Import Bank of India, 2.250%, 1/13/2031, 144A |
2,191,986 | ||||||||
1,250,000 | Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A |
1,095,813 | ||||||||
2,400,000 | Shriram Finance Ltd., 4.150%, 7/18/2025, 144A |
2,211,168 | ||||||||
2,420,000 | Shriram Finance Ltd., EMTN, 4.400%, 3/13/2024 |
2,328,330 | ||||||||
|
|
|||||||||
13,365,643 | ||||||||||
|
|
|||||||||
Indonesia 0.3% | ||||||||||
1,475,000 | Indonesia Government International Bond, 2.850%, 2/14/2030 |
1,324,211 | ||||||||
300,000 | Indonesia Government International Bond, 4.125%, 1/15/2025, 144A |
296,712 | ||||||||
50,092,000,000 | Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR) |
3,311,314 | ||||||||
43,840,000,000 | Indonesia Treasury Bond, Series FR82, 7.000%, 9/15/2030, (IDR) |
2,842,933 | ||||||||
|
|
|||||||||
7,775,170 | ||||||||||
|
|
|||||||||
Ireland 0.3% | ||||||||||
645,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 |
540,365 | ||||||||
3,245,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 |
2,536,814 | ||||||||
1,250,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A |
1,236,972 | ||||||||
375,000 | Ireland Government Bond, 3.400%, 3/18/2024, (EUR) |
404,630 | ||||||||
3,710,000 | Ireland Government Bond, Zero Coupon, 0.029%, 10/18/2031, (EUR)(c) |
3,060,884 | ||||||||
|
|
|||||||||
7,779,665 | ||||||||||
|
|
|||||||||
Israel 0.9% | ||||||||||
10,950,000 | State of Israel, Series 0330, 1.000%, 3/31/2030, (ILS) |
2,596,668 | ||||||||
2,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 |
2,417,433 | ||||||||
4,570,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |
3,996,465 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Israel continued | ||||||||||
$ | 17,791,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |
$ | 10,877,867 | ||||||
4,675,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 |
4,225,731 | ||||||||
510,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 |
454,179 | ||||||||
|
|
|||||||||
24,568,343 | ||||||||||
|
|
|||||||||
Italy 0.6% | ||||||||||
200,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A |
192,200 | ||||||||
530,000 | Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR) |
557,903 | ||||||||
6,965,000 | Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR) |
6,122,724 | ||||||||
3,305,000 | Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR) |
3,233,299 | ||||||||
3,335,000 | Republic of Italy, 2.500%, 11/15/2025, (EUR) |
3,477,632 | ||||||||
1,975,000 | Republic of Italy Government International Bond, 2.375%, 10/17/2024 |
1,858,850 | ||||||||
830,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A |
760,688 | ||||||||
1,460,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A |
1,284,610 | ||||||||
200,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A |
162,490 | ||||||||
|
|
|||||||||
17,650,396 | ||||||||||
|
|
|||||||||
Japan 0.8% | ||||||||||
1,026,922,400 | () | Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY) |
8,098,895 | |||||||
2,375,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028 |
2,090,437 | ||||||||
2,020,000 | Mizuho Financial Group, Inc., 2.564%, 9/13/2031 |
1,539,264 | ||||||||
2,000,000 | Mizuho Financial Group, Inc., (fixed rate to 7/10/2023, variable rate thereafter), 1.241%, 7/10/2024 |
1,951,589 | ||||||||
2,000,000 | Nomura Holdings, Inc., 1.851%, 7/16/2025 |
1,822,915 | ||||||||
2,385,000 | Nomura Holdings, Inc., 2.710%, 1/22/2029 |
1,987,225 | ||||||||
3,050,000 | Sumitomo Mitsui Financial Group, Inc., 1.402%, 9/17/2026 |
2,655,993 | ||||||||
1,445,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 |
1,249,430 | ||||||||
|
|
|||||||||
21,395,748 | ||||||||||
|
|
|||||||||
Korea 0.9% | ||||||||||
1,650,000 | Kia Corp., 1.750%, 10/16/2026, 144A |
1,417,878 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Korea continued | ||||||||||
$ | 1,060,000 | Kia Corp., 2.750%, 2/14/2027, 144A |
$ | 935,143 | ||||||
1,515,000 | Korea East-West Power Co. Ltd., 1.750%, 5/06/2025, 144A |
1,397,124 | ||||||||
2,400,000 | Korea National Oil Corp., 2.125%, 4/18/2027, 144A |
2,116,014 | ||||||||
4,500,000,000 | Republic of Korea, Series 2312, 0.875%, 12/10/2023, (KRW) |
3,464,471 | ||||||||
4,500,000,000 | Republic of Korea, Series 2509, 1.125%, 9/10/2025, (KRW) |
3,319,957 | ||||||||
13,130,550,000 | Republic of Korea, Series 3012, 1.500%, 12/10/2030, (KRW) |
8,752,215 | ||||||||
770,000 | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A |
718,398 | ||||||||
2,765,000 | SK Hynix, Inc., 2.375%, 1/19/2031, 144A |
2,027,201 | ||||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A |
147,454 | ||||||||
|
|
|||||||||
24,295,855 | ||||||||||
|
|
|||||||||
Luxembourg 0.1% | ||||||||||
920,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 |
887,156 | ||||||||
1,905,000 | Blackstone Property Partners Europe Holdings S.a.r.l., EMTN, 1.625%, 4/20/2030, (EUR) |
1,392,080 | ||||||||
280,000 | Logicor Financing S.a.r.l., EMTN, 0.875%, 1/14/2031, (EUR) |
193,946 | ||||||||
1,490,000 | Logicor Financing S.a.r.l., EMTN, 1.625%, 1/17/2030, (EUR) |
1,159,422 | ||||||||
100,000 | Logicor Financing S.a.r.l., EMTN, 2.000%, 1/17/2034, (EUR) |
67,620 | ||||||||
|
|
|||||||||
3,700,224 | ||||||||||
|
|
|||||||||
Mexico 1.6% | ||||||||||
620,000 | Alfa SAB de CV, 6.875%, 3/25/2044 |
605,488 | ||||||||
770,000 | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR) |
757,367 | ||||||||
860,000 | America Movil SAB de CV, 2.875%, 5/07/2030 |
730,088 | ||||||||
730,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A |
722,335 | ||||||||
1,905,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A |
1,607,886 | ||||||||
855,000 | Cemex SAB de CV, 5.450%, 11/19/2029 |
820,796 | ||||||||
400,000 | Cemex SAB de CV, 7.375%, 6/05/2027, 144A |
410,500 | ||||||||
1,775,000 | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030 |
1,528,719 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Mexico continued | ||||||||||
$ | 800,000 | Gruma SAB de CV, 4.875%, 12/01/2024 |
$ | 791,000 | ||||||
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
314,967 | ||||||||
1,515,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031 |
1,211,106 | ||||||||
840,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A |
671,504 | ||||||||
1,707,184 | () | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN) |
7,924,193 | |||||||
1,294,043 | () | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN) |
6,452,119 | |||||||
637,836 | () | Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN) |
3,096,892 | |||||||
724,558 | () | Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN) |
3,504,605 | |||||||
2,665,000 | Mexico Government International Bond, 3.250%, 4/16/2030 |
2,321,611 | ||||||||
1,880,000 | Mexico Government International Bond, 3.500%, 2/12/2034 |
1,504,505 | ||||||||
196,000 | Mexico Government International Bond, 4.000%, 3/15/2115, (EUR) |
146,624 | ||||||||
810,000 | Mexico Government International Bond, 4.875%, 5/19/2033 |
743,533 | ||||||||
1,850,000 | Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026, 144A |
1,617,289 | ||||||||
1,240,000 | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 |
1,143,067 | ||||||||
3,505,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 |
2,652,752 | ||||||||
100,000 | Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR) |
104,397 | ||||||||
835,000 | Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026 |
791,165 | ||||||||
2,090,000 | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 |
1,980,302 | ||||||||
1,010,000 | Unifin Financiera SAB de CV, 7.250%, 9/27/2023(b) |
30,229 | ||||||||
2,195,000 | Unifin Financiera SAB de CV, 9.875%, 1/28/2029(b) |
54,875 | ||||||||
|
|
|||||||||
44,239,914 | ||||||||||
|
|
|||||||||
Netherlands 0.1% | ||||||||||
870,000 | Cooperatieve Rabobank U.A., 4.375%, 8/04/2025 |
848,911 | ||||||||
1,725,000 | ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026, 144A |
1,550,809 | ||||||||
|
|
|||||||||
2,399,720 | ||||||||||
|
|
|||||||||
New Zealand 0.6% | ||||||||||
5,000,000 | Fonterra Co-operative Group Ltd., MTN, 5.500%, 2/26/2024, (AUD) |
3,437,910 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
New Zealand continued | ||||||||||
3,575,000 | New Zealand Government Bond, Series 0429, 3.000%, 4/20/2029, (NZD) |
$ | 2,086,143 | |||||||
10,700,000 | New Zealand Government Bond, Series 0524, 0.500%, 5/15/2024, (NZD) |
6,384,059 | ||||||||
6,310,000 | New Zealand Government Bond, Series 0531, 1.500%, 5/15/2031, (NZD) |
3,187,749 | ||||||||
|
|
|||||||||
15,095,861 | ||||||||||
|
|
|||||||||
Nigeria 0.1% | ||||||||||
1,975,000 | Nigeria Government International Bond, 6.125%, 9/28/2028, 144A |
1,526,951 | ||||||||
|
|
|||||||||
Norway 0.7% | ||||||||||
3,660,000 | DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027, 144A |
3,181,198 | ||||||||
2,790,000 | Equinor ASA, 3.625%, 4/06/2040 |
2,293,087 | ||||||||
16,500,000 | Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK) |
1,605,772 | ||||||||
41,750,000 | Norway Government Bond, Series 479, 1.750%, 2/17/2027, 144A, (NOK) |
4,048,144 | ||||||||
36,610,000 | Norway Government Bond, Series 480, 2.000%, 4/26/2028, 144A, (NOK) |
3,537,756 | ||||||||
46,500,000 | Norway Government Bond, Series 482, 1.375%, 8/19/2030, 144A, (NOK) |
4,169,840 | ||||||||
455,000 | Var Energi ASA, 8.000%, 11/15/2032, 144A |
469,887 | ||||||||
|
|
|||||||||
19,305,684 | ||||||||||
|
|
|||||||||
Panama 0.0% | ||||||||||
1,485,000 | Telecomunicaciones Digitales S.A., 4.500%, 1/30/2030, 144A |
1,333,901 | ||||||||
|
|
|||||||||
Paraguay 0.1% | ||||||||||
1,420,000 | Paraguay Government International Bond, 4.950%, 4/28/2031, 144A |
1,372,257 | ||||||||
800,000 | Republic of Paraguay, 5.000%, 4/15/2026, 144A |
795,798 | ||||||||
|
|
|||||||||
2,168,055 | ||||||||||
|
|
|||||||||
Peru 0.3% | ||||||||||
3,220,000 | Corp. Financiera de Desarrollo S.A., 2.400%, 9/28/2027, 144A |
2,690,761 | ||||||||
2,005,000 | Peruvian Government International Bond, 2.392%, 1/23/2026 |
1,845,527 | ||||||||
2,455,000 | Peruvian Government International Bond, 3.000%, 1/15/2034 |
1,933,689 | ||||||||
1,050,000 | Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A |
983,226 | ||||||||
|
|
|||||||||
7,453,203 | ||||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Philippines 0.0% | ||||||||||
$ | 1,060,000 | Philippine Government International Bond, 2.457%, 5/05/2030 |
$ | 927,288 | ||||||
|
|
|||||||||
Poland 0.2% | ||||||||||
12,970,000 | Republic of Poland Government Bond, Series 0725, 3.250%, 7/25/2025, (PLN) |
2,715,460 | ||||||||
26,400,000 | Republic of Poland Government Bond, Series 1030, 1.250%, 10/25/2030, (PLN) |
4,043,740 | ||||||||
|
|
|||||||||
6,759,200 | ||||||||||
|
|
|||||||||
Portugal 0.1% | ||||||||||
3,590,000 | EDP Finance BV, 1.710%, 1/24/2028, 144A |
2,974,171 | ||||||||
|
|
|||||||||
Qatar 0.1% | ||||||||||
1,770,000 | Ooredoo International Finance Ltd., 2.625%, 4/08/2031, 144A |
1,519,297 | ||||||||
1,600,000 | QatarEnergy Trading LLC, 2.250%, 7/12/2031, 144A |
1,323,939 | ||||||||
|
|
|||||||||
2,843,236 | ||||||||||
|
|
|||||||||
Romania 0.0% | ||||||||||
1,100,000 | Romania Government International Bond, 2.000%, 4/14/2033, 144A, (EUR) |
752,325 | ||||||||
|
|
|||||||||
Singapore 0.5% | ||||||||||
1,450,000 | BOC Aviation Ltd., 3.250%, 4/29/2025, 144A |
1,374,701 | ||||||||
860,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A |
816,292 | ||||||||
4,510,000 | Republic of Singapore, 2.750%, 7/01/2023, (SGD) |
3,347,295 | ||||||||
10,055,000 | Singapore Government Bond, 2.125%, 6/01/2026, (SGD) |
7,329,925 | ||||||||
|
|
|||||||||
12,868,213 | ||||||||||
|
|
|||||||||
South Africa 0.7% | ||||||||||
1,400,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A |
1,137,759 | ||||||||
1,400,000 | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A |
1,389,830 | ||||||||
1,420,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024 |
1,380,666 | ||||||||
930,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A |
904,239 | ||||||||
116,835,000 | Republic of South Africa Government Bond, Series 2035, 8.875%, 2/28/2035, (ZAR) |
5,789,749 | ||||||||
39,185,000 | Republic of South Africa Government Bond, Series R213, 7.000%, 2/28/2031, (ZAR) |
1,860,170 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
South Africa continued | ||||||||||
$ | 7,585,000 | Republic of South Africa Government International Bond, 5.750%, 9/30/2049 |
$ | 5,549,945 | ||||||
|
|
|||||||||
18,012,358 | ||||||||||
|
|
|||||||||
Spain 0.3% | ||||||||||
2,000,000 | Banco Santander S.A., (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027 |
1,708,333 | ||||||||
600,000 | CaixaBank S.A., (fixed rate to 4/17/2025, variable rate thereafter), EMTN, 2.250%, 4/17/2030, (EUR) |
585,282 | ||||||||
500,000 | CaixaBank S.A., (fixed rate to 7/14/2023, variable rate thereafter), EMTN, 2.750%, 7/14/2028, (EUR) |
524,900 | ||||||||
3,700,000 | Cellnex Telecom S.A., EMTN, 1.750%, 10/23/2030, (EUR) |
3,066,741 | ||||||||
700,000 | Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR) |
665,000 | ||||||||
430,000 | Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR) |
446,993 | ||||||||
2,525,000 | Spain Government Bond, 1.950%, 7/30/2030, 144A, (EUR) |
2,457,977 | ||||||||
|
|
|||||||||
9,455,226 | ||||||||||
|
|
|||||||||
Supranationals 0.4% | ||||||||||
1,495,000 | Corporacion Andina de Fomento, 2.375%, 5/12/2023 |
1,477,968 | ||||||||
10,030,000 | International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD) |
6,742,990 | ||||||||
16,750,000 | Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK) |
1,644,751 | ||||||||
|
|
|||||||||
9,865,709 | ||||||||||
|
|
|||||||||
Sweden 0.2% | ||||||||||
1,900,000 | Heimstaden Bostad Treasury BV, EMTN, 1.375%, 7/24/2028, (EUR) |
1,518,142 | ||||||||
2,560,000 | Sweden Government Bond, Series 1058, 2.500%, 5/12/2025, 144A, (SEK) |
243,704 | ||||||||
38,000,000 | Sweden Government Bond, Series 1062, 0.125%, 5/12/2031, 144A, (SEK) |
3,020,948 | ||||||||
|
|
|||||||||
4,782,794 | ||||||||||
|
|
|||||||||
Switzerland 0.3% | ||||||||||
930,000 | Credit Suisse AG, 2.950%, 4/09/2025 |
837,003 | ||||||||
325,000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A |
332,757 | ||||||||
4,110,000 | Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A |
2,839,790 | ||||||||
2,290,000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A |
1,955,870 | ||||||||
295,000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A |
276,960 | ||||||||
345,000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A |
314,247 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Switzerland continued | ||||||||||
$ | 500,000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A |
$ | 439,240 | ||||||
1,375,000 | Novartis Capital Corp., 2.000%, 2/14/2027 |
1,250,532 | ||||||||
340,000 | Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045 |
307,700 | ||||||||
|
|
|||||||||
8,554,099 | ||||||||||
|
|
|||||||||
Taiwan 0.2% | ||||||||||
1,925,000 | TSMC Arizona Corp., 2.500%, 10/25/2031 |
1,575,364 | ||||||||
3,180,000 | TSMC Arizona Corp., 4.125%, 4/22/2029 |
3,020,229 | ||||||||
|
|
|||||||||
4,595,593 | ||||||||||
|
|
|||||||||
Tanzania 0.0% | ||||||||||
985,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A |
906,200 | ||||||||
|
|
|||||||||
Thailand 0.0% | ||||||||||
950,000 | Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A |
949,069 | ||||||||
|
|
|||||||||
Trinidad And Tobago 0.0% | ||||||||||
415,000 | Trinidad Generation Unlimited, 5.250%, 11/04/2027, 144A |
400,475 | ||||||||
|
|
|||||||||
Turkey 0.6% | ||||||||||
2,045,000 | Aydem Yenilenebilir Enerji A/S, 7.750%, 2/02/2027, 144A |
1,664,794 | ||||||||
2,250,000 | TC Ziraat Bankasi A/S, 5.375%, 3/02/2026, 144A |
2,031,367 | ||||||||
2,830,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025 |
2,664,671 | ||||||||
525,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A |
494,330 | ||||||||
2,875,000 | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 |
2,472,212 | ||||||||
6,970,000 | Turkey Government International Bond, 5.250%, 3/13/2030 |
5,593,425 | ||||||||
1,345,000 | Turkey Government International Bond, 7.625%, 4/26/2029 |
1,265,457 | ||||||||
|
|
|||||||||
16,186,256 | ||||||||||
|
|
|||||||||
United Arab Emirates 0.1% | ||||||||||
1,610,000 | Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029 |
1,505,350 | ||||||||
1,295,000 | Abu Dhabi Government International Bond, 3.125%, 4/16/2030, 144A |
1,200,791 | ||||||||
|
|
|||||||||
2,706,141 | ||||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United Kingdom 0.4% | ||||||||||
$ | 200,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A |
$ | 191,294 | ||||||
95,000 | Avon Products, Inc., 8.450%, 3/15/2043 |
90,953 | ||||||||
1,350,000 | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A |
1,246,201 | ||||||||
1,420,000 | Diageo Capital PLC, 2.125%, 4/29/2032 |
1,130,887 | ||||||||
1,125,000 | Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025 |
1,088,853 | ||||||||
1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A |
1,207,797 | ||||||||
1,190,000 | NatWest Markets PLC, 0.800%, 8/12/2024, 144A |
1,102,506 | ||||||||
235,000 | Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP) |
285,432 | ||||||||
955,000 | Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028 |
815,531 | ||||||||
1,455,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A |
1,075,858 | ||||||||
2,200,000 | Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026, 144A |
2,101,314 | ||||||||
250,000 | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) |
262,622 | ||||||||
|
|
|||||||||
10,599,248 | ||||||||||
|
|
|||||||||
United States 11.1% | ||||||||||
165,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A |
145,530 | ||||||||
315,000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(d) |
242,550 | ||||||||
1,915,000 | Albemarle Corp., 5.050%, 6/01/2032 |
1,804,864 | ||||||||
480,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A |
445,123 | ||||||||
1,145,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(d) |
765,719 | ||||||||
965,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(d) |
604,331 | ||||||||
1,313,306 | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 |
1,277,886 | ||||||||
976,644 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 |
867,573 | ||||||||
286,103 | American Airlines Pass Through Trust, Series 2017-1B, Class B, 4.950%, 8/15/2026 |
269,025 | ||||||||
343,364 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 |
308,532 | ||||||||
3,975,000 | Apple, Inc., 2.513%, 8/19/2024, (CAD) |
2,835,666 | ||||||||
260,000 | Aptiv PLC, 1.600%, 9/15/2028, (EUR) |
242,278 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 2,330,000 | Ares Capital Corp., 3.200%, 11/15/2031 |
$ | 1,709,871 | ||||||
1,300,000 | Ashland LLC, 3.375%, 9/01/2031, 144A |
1,039,052 | ||||||||
2,865,000 | Bank of America Corp., (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD) |
1,884,235 | ||||||||
910,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 |
668,632 | ||||||||
665,000 | Barings BDC, Inc., 3.300%, 11/23/2026 |
563,640 | ||||||||
7,800,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A |
4,961,126 | ||||||||
4,695,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A |
2,253,574 | ||||||||
370,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A |
178,839 | ||||||||
1,140,000 | Beazer Homes USA, Inc., 7.250%, 10/15/2029 |
1,014,012 | ||||||||
500,000 | Block, Inc., 3.500%, 6/01/2031 |
398,963 | ||||||||
25,000 | Boeing Co. (The), 3.250%, 2/01/2035 |
19,012 | ||||||||
165,000 | Boeing Co. (The), 3.550%, 3/01/2038 |
121,566 | ||||||||
25,000 | Boeing Co. (The), 3.625%, 3/01/2048 |
16,357 | ||||||||
80,000 | Boeing Co. (The), 3.750%, 2/01/2050 |
55,144 | ||||||||
635,000 | Boeing Co. (The), 3.850%, 11/01/2048 |
435,862 | ||||||||
640,000 | Boeing Co. (The), 3.950%, 8/01/2059 |
429,773 | ||||||||
875,000 | BPR Trust, Series 2021-NRD, Class F, 1-month SOFR + 6.870%, 11.196%, 12/15/2038, 144A(e) |
769,566 | ||||||||
690,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A |
495,619 | ||||||||
545,000 | Carnival Corp., 5.750%, 3/01/2027, 144A |
389,152 | ||||||||
490,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A |
390,150 | ||||||||
10,570,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A |
8,486,442 | ||||||||
3,810,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A |
2,811,951 | ||||||||
1,575,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A |
1,276,853 | ||||||||
595,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A |
554,582 | ||||||||
240,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A |
232,344 | ||||||||
370,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |
359,507 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 270,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |
$ | 256,756 | ||||||
2,510,000 | Centene Corp., 2.500%, 3/01/2031 |
1,964,008 | ||||||||
160,000 | Centene Corp., 2.625%, 8/01/2031 |
125,728 | ||||||||
975,000 | Centene Corp., 3.000%, 10/15/2030 |
799,256 | ||||||||
165,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A |
145,926 | ||||||||
175,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A |
151,375 | ||||||||
6,405,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.400%, 12/01/2061 |
4,097,108 | ||||||||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 |
110,482 | ||||||||
360,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 |
280,263 | ||||||||
1,075,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 |
634,143 | ||||||||
180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 |
154,019 | ||||||||
4,025,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A |
2,733,786 | ||||||||
7,265,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A |
5,857,043 | ||||||||
1,565,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A |
1,118,770 | ||||||||
2,087,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A |
1,545,816 | ||||||||
4,565,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A |
4,249,377 | ||||||||
20,100,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |
11,107,945 | ||||||||
2,060,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A |
1,150,922 | ||||||||
595,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A |
479,719 | ||||||||
495,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A |
279,175 | ||||||||
1,115,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A |
911,513 | ||||||||
490,000 | Dana, Inc., 5.375%, 11/15/2027 |
454,532 | ||||||||
80,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A |
78,200 | ||||||||
2,235,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 |
1,848,636 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 380,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 |
$ | 366,219 | ||||||
940,000 | DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR) |
785,057 | ||||||||
50,000 | Dillards, Inc., 7.000%, 12/01/2028 |
49,490 | ||||||||
8,000 | Dillards, Inc., 7.750%, 7/15/2026 |
8,256 | ||||||||
355,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A |
317,604 | ||||||||
2,475,000 | DISH DBS Corp., 5.125%, 6/01/2029 |
1,596,647 | ||||||||
4,115,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A |
3,466,209 | ||||||||
1,960,000 | DISH DBS Corp., 7.750%, 7/01/2026 |
1,580,524 | ||||||||
160,000 | Edison International, 4.950%, 4/15/2025 |
157,344 | ||||||||
575,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 |
461,869 | ||||||||
280,000 | EPR Properties, 3.600%, 11/15/2031 |
202,860 | ||||||||
70,000 | EQT Corp., 3.125%, 5/15/2026, 144A |
64,332 | ||||||||
1,555,000 | EQT Corp., 3.625%, 5/15/2031, 144A |
1,317,763 | ||||||||
360,000 | EQT Corp., 5.000%, 1/15/2029 |
337,953 | ||||||||
190,000 | EQT Corp., 5.700%, 4/01/2028 |
188,979 | ||||||||
115,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A |
98,781 | ||||||||
3,780,000 | Expedia Group, Inc., 2.950%, 3/15/2031 |
3,039,616 | ||||||||
170,000 | Ford Motor Co., 3.250%, 2/12/2032 |
127,490 | ||||||||
1,755,000 | Ford Motor Co., 6.625%, 10/01/2028 |
1,735,011 | ||||||||
2,710,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 |
2,529,433 | ||||||||
6,640,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 |
6,270,698 | ||||||||
2,710,000 | General Motors Co., 5.200%, 4/01/2045 |
2,202,608 | ||||||||
405,000 | General Motors Co., 6.250%, 10/02/2043 |
374,434 | ||||||||
315,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
383,973 | ||||||||
460,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 |
367,717 | ||||||||
855,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A |
715,799 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 975,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
$ | 970,427 | ||||||
830,000 | HCA, Inc., 3.500%, 9/01/2030 |
715,855 | ||||||||
610,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A |
521,502 | ||||||||
660,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A |
538,661 | ||||||||
470,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A |
404,200 | ||||||||
1,000,000 | Hyundai Capital America, 2.650%, 2/10/2025 |
940,395 | ||||||||
1,395,000 | Hyundai Capital America, 6.375%, 4/08/2030, 144A |
1,413,552 | ||||||||
9,810,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |
8,295,826 | ||||||||
1,180,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 |
1,080,408 | ||||||||
1,210,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A |
985,351 | ||||||||
665,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A |
563,310 | ||||||||
1,980,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 |
1,683,846 | ||||||||
1,135,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A |
989,947 | ||||||||
795,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A |
649,436 | ||||||||
730,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A |
549,449 | ||||||||
1,135,000 | John Deere Capital Corp., MTN, 0.450%, 6/07/2024 |
1,066,704 | ||||||||
345,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A |
284,346 | ||||||||
870,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A |
721,775 | ||||||||
44,000 | Masco Corp., 6.500%, 8/15/2032 |
45,041 | ||||||||
615,000 | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR) |
596,720 | ||||||||
2,119,637 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A |
2,107,347 | ||||||||
435,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A |
361,241 | ||||||||
490,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A |
378,407 | ||||||||
2,135,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A |
1,740,903 | ||||||||
1,365,000 | Navient Corp., 5.000%, 3/15/2027 |
1,194,939 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 191,000 | Navient Corp., Series A, 5.625%, 8/01/2033 |
$ | 136,066 | ||||||
4,600,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A |
3,613,162 | ||||||||
615,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A |
532,319 | ||||||||
790,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A |
583,195 | ||||||||
2,620,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A |
2,443,409 | ||||||||
310,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A |
300,700 | ||||||||
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
20,810 | ||||||||
475,000 | Novelis Corp., 4.750%, 1/30/2030, 144A |
421,118 | ||||||||
30,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 |
30,276 | ||||||||
2,355,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 |
2,433,610 | ||||||||
50,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 |
55,200 | ||||||||
1,845,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 |
2,083,013 | ||||||||
1,170,000 | OneMain Finance Corp., 5.625%, 3/15/2023 |
1,165,794 | ||||||||
860,000 | OneMain Finance Corp., 6.875%, 3/15/2025 |
826,181 | ||||||||
2,310,000 | OneMain Finance Corp., 7.125%, 3/15/2026 |
2,196,533 | ||||||||
130,000 | OneMain Finance Corp., 8.250%, 10/01/2023 |
130,642 | ||||||||
1,490,000 | Oracle Corp., 3.950%, 3/25/2051 |
1,061,534 | ||||||||
1,000,000 | Ovintiv, Inc., 6.500%, 8/15/2034 |
1,006,247 | ||||||||
45,000 | Ovintiv, Inc., 6.500%, 2/01/2038 |
44,583 | ||||||||
230,000 | Ovintiv, Inc., 6.625%, 8/15/2037 |
231,322 | ||||||||
30,000 | Ovintiv, Inc., 7.200%, 11/01/2031 |
31,488 | ||||||||
115,000 | Ovintiv, Inc., 7.375%, 11/01/2031 |
122,404 | ||||||||
130,000 | Ovintiv, Inc., 8.125%, 9/15/2030 |
142,656 | ||||||||
8,630,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 |
7,922,499 | ||||||||
1,550,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 |
1,263,543 | ||||||||
2,120,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A |
1,919,617 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 320,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 |
$ | 315,555 | ||||||
1,265,000 | Pilgrims Pride Corp., 3.500%, 3/01/2032, 144A |
988,800 | ||||||||
315,000 | Pilgrims Pride Corp., 4.250%, 4/15/2031, 144A |
267,925 | ||||||||
1,060,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A |
891,100 | ||||||||
2,165,000 | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR) |
1,939,679 | ||||||||
1,530,000 | Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR) |
1,356,547 | ||||||||
365,000 | Prologis LP, 2.250%, 6/30/2029, (GBP) |
369,830 | ||||||||
1,100,000 | Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) |
993,514 | ||||||||
5,850,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A |
5,014,400 | ||||||||
6,794,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 |
5,383,824 | ||||||||
130,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A |
103,017 | ||||||||
9,741,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |
7,435,066 | ||||||||
4,510,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A |
3,368,339 | ||||||||
2,175,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A |
1,758,156 | ||||||||
4,130,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A |
3,295,926 | ||||||||
1,605,000 | SBA Communications Corp., 3.125%, 2/01/2029 |
1,334,541 | ||||||||
1,020,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A |
972,988 | ||||||||
525,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A |
504,000 | ||||||||
435,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A |
375,188 | ||||||||
140,000 | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) |
144,915 | ||||||||
315,000 | Southwestern Energy Co., 4.750%, 2/01/2032 |
269,196 | ||||||||
2,255,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A |
2,099,461 | ||||||||
380,000 | Synchrony Bank, 5.400%, 8/22/2025 |
374,870 | ||||||||
765,000 | Synchrony Bank, 5.625%, 8/23/2027 |
746,984 | ||||||||
410,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 |
346,010 | ||||||||
735,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 |
593,840 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 6,900,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 |
$ | 6,077,310 | ||||||
2,420,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 |
2,090,395 | ||||||||
2,805,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 |
2,540,810 | ||||||||
255,000 | Tapestry, Inc., 3.050%, 3/15/2032 |
198,468 | ||||||||
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 |
148,987 | ||||||||
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 |
155,252 | ||||||||
100,000 | Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) |
72,581 | ||||||||
245,000 | Thermo Fisher Scientific, Inc., EMTN, 1.875%, 10/01/2049, (EUR) |
167,032 | ||||||||
90,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 |
65,889 | ||||||||
85,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 |
70,539 | ||||||||
400,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A |
325,044 | ||||||||
10,000,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A |
8,148,301 | ||||||||
615,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A |
510,001 | ||||||||
65,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A |
63,587 | ||||||||
5,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024 |
4,976 | ||||||||
775,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A |
637,205 | ||||||||
55,429 | U.S. Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
53,611 | ||||||||
227,562 | U.S. Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 |
207,276 | ||||||||
5,320,000 | U.S. Treasury Bond, 2.250%, 2/15/2052 |
3,699,478 | ||||||||
22 | U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(f) |
21 | ||||||||
7,317,621 | U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(f) |
7,242,873 | ||||||||
5,930,000 | U.S. Treasury Note, 0.125%, 1/31/2023(g) |
5,912,129 | ||||||||
1,940,000 | U.S. Treasury Note, 0.500%, 11/30/2023 |
1,866,492 | ||||||||
2,910,000 | U.S. Treasury Note, 0.875%, 1/31/2024 |
2,792,122 | ||||||||
17,750,000 | U.S. Treasury Note, 2.250%, 3/31/2024 |
17,221,660 | ||||||||
13,115,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A |
11,426,509 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 8,655,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A |
$ | 8,308,799 | ||||||
1,555,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |
1,556,088 | ||||||||
140,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A |
140,482 | ||||||||
291,597 | United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 |
261,224 | ||||||||
1,991,766 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 |
1,961,949 | ||||||||
3,095,000 | Verizon Communications, Inc., 2.500%, 5/16/2030, (CAD) |
1,934,489 | ||||||||
895,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A |
834,967 | ||||||||
740,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A |
696,397 | ||||||||
640,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A |
613,600 | ||||||||
525,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A |
519,887 | ||||||||
1,270,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A |
1,047,140 | ||||||||
130,000 | Western Digital Corp., 2.850%, 2/01/2029 |
100,577 | ||||||||
90,000 | Western Digital Corp., 3.100%, 2/01/2032 |
64,689 | ||||||||
360,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 |
314,251 | ||||||||
820,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 |
674,226 | ||||||||
150,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 |
124,608 | ||||||||
115,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 |
95,447 | ||||||||
475,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 |
391,305 | ||||||||
60,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
64,233 | ||||||||
89,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
98,379 | ||||||||
1,595,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 |
1,409,863 | ||||||||
|
|
|||||||||
304,278,393 | ||||||||||
|
|
|||||||||
Uruguay 0.1% |
| |||||||||
1,415,000 | Uruguay Government International Bond, 4.375%, 1/23/2031 |
1,405,492 | ||||||||
86,955,000 | Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU) |
1,879,033 | ||||||||
|
|
|||||||||
3,284,525 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $941,577,317) |
796,755,622 | |||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Convertible Bonds 2.6% |
||||||||||
United States 2.6% |
| |||||||||
$ | 40,000 | Bentley Systems, Inc., 0.375%, 7/01/2027 |
$ | 32,560 | ||||||
13,075,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 |
14,049,883 | ||||||||
8,470,000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(h) |
5,421,732 | ||||||||
23,580,000 | DISH Network Corp., 3.375%, 8/15/2026 |
14,772,870 | ||||||||
700,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%-0.979%, 4/01/2026(h) |
646,187 | ||||||||
305,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 |
222,369 | ||||||||
5,340,000 | Livongo Health, Inc., 0.875%, 6/01/2025 |
4,674,529 | ||||||||
4,380,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 |
3,000,037 | ||||||||
430,000 | Nutanix, Inc., 0.250%, 10/01/2027 |
359,695 | ||||||||
135,000 | Peloton Interactive, Inc., Zero Coupon, 1.146%, 2/15/2026(c) |
95,565 | ||||||||
230,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 |
339,020 | ||||||||
565,000 | RingCentral, Inc., Zero Coupon,7.146%-8.016%, 3/15/2026(h) |
443,525 | ||||||||
620,000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(h) |
433,070 | ||||||||
7,365,000 | Southwest Airlines Co., 1.250%, 5/01/2025 |
8,845,365 | ||||||||
1,025,000 | Splunk, Inc., 1.125%, 6/15/2027 |
864,895 | ||||||||
655,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(h) |
527,275 | ||||||||
15,615,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 |
11,995,362 | ||||||||
6,678,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(h) |
5,640,172 | ||||||||
120,000 | Zillow Group, Inc., 1.375%, 9/01/2026 |
120,900 | ||||||||
|
|
|||||||||
Total Convertible Bonds (Identified Cost $92,271,282) |
72,485,011 | |||||||||
|
|
|||||||||
Municipals 0.0% |
||||||||||
United States 0.0% |
| |||||||||
120,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $119,990) |
108,101 | ||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $1,033,968,589) |
869,348,734 | |||||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks 0.1% |
||||||||||
Convertible Preferred Stocks 0.1% |
||||||||||
United States 0.1% |
| |||||||||
1,970 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A |
$ | 2,253,720 | |||||||
31,312 | El Paso Energy Capital Trust I, 4.750% |
1,410,264 | ||||||||
|
|
|||||||||
3,663,984 | ||||||||||
|
|
|||||||||
Total Convertible Preferred Stocks (Identified Cost $3,442,459) |
3,663,984 | |||||||||
|
|
|||||||||
Total Preferred Stocks (Identified Cost $3,442,459) |
3,663,984 | |||||||||
|
|
|||||||||
Principal |
||||||||||
Short-Term Investments 0.6% |
||||||||||
$ | 12,760,189 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $12,762,741 on 1/03/2023 collateralized by $14,876,100, U.S. Treasury Note, 1.250% due 3/31/2028 valued at $13,015,427 including accrued interest(i) | 12,760,189 | |||||||
4,100,000 | U.S. Treasury Bills, 4.220%, 3/23/2023(j) |
4,061,840 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $16,821,265) |
16,822,029 | |||||||||
|
|
|||||||||
Total Investments 99.7% (Identified Cost $2,832,113,623) |
2,733,441,326 | |||||||||
Other assets less liabilities 0.3% | 8,120,600 | |||||||||
|
|
|||||||||
Net Assets 100.0% | $ | 2,741,561,926 | ||||||||
|
|
() | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Boards oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service.
The Fund may also fair value investments 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 issuers 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 a Funds investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Funds net asset value (NAV) is calculated. Fair valuation by the Funds valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
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 principal amount including inflation adjustments. |
() | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Non-income producing security. |
(b) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(c) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(d) | Perpetual bond with no specified maturity date. |
(e) | Variable rate security. Rate as of December 31, 2022 is disclosed. |
(f) | Treasury Inflation Protected Security (TIPS). |
(g) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(h) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Funds investment in this security is comprised of various lots with differing annualized yields. |
(i) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds 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 Funds ability to dispose of the underlying securities. As of December 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. |
(j) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $285,879,185 or 10.4% of net assets. |
CPI | Consumer Price Index |
EMTN | Euro Medium Term Note |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At December 31, 2022, the Fund had the following open forward foreign currency contracts:
Counterparty |
Delivery Date |
Currency Bought/ Sold (B/S) |
Units of Currency |
In Exchange for |
Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
Bank of America, N.A. |
3/15/2023 | COP | S | 30,469,789,000 | $ | 6,182,366 | $ | 6,201,174 | $ | (18,808 | ) | |||||||||||||||||
Bank of America, N.A. |
3/15/2023 | GBP | B | 1,007,000 | 1,218,369 | 1,219,530 | 1,161 | |||||||||||||||||||||
Bank of America, N.A. |
3/15/2023 | GBP | B | 7,627,000 | 9,479,026 | 9,236,700 | (242,326 | ) | ||||||||||||||||||||
Bank of America, N.A. |
3/15/2023 | JPY | B | 8,701,840,000 | 64,092,037 | 66,926,419 | 2,834,382 | |||||||||||||||||||||
Bank of America, N.A. |
3/15/2023 | KRW | S | 19,047,379,000 | 14,592,449 | 15,092,144 | (499,695 | ) | ||||||||||||||||||||
Bank of America, N.A. |
3/15/2023 | MXN | S | 256,059,000 | 12,709,976 | 12,973,502 | (263,526 | ) | ||||||||||||||||||||
Citibank N.A. |
3/15/2023 | CAD | B | 1,865,000 | 1,370,522 | 1,378,172 | 7,650 | |||||||||||||||||||||
Citibank N.A. |
3/15/2023 | CAD | S | 25,702,000 | 18,823,444 | 18,992,911 | (169,467 | ) | ||||||||||||||||||||
HSBC Bank USA |
3/15/2023 | AUD | B | 3,040,000 | 2,042,241 | 2,075,627 | 33,386 | |||||||||||||||||||||
HSBC Bank USA |
3/15/2023 | AUD | S | 3,040,000 | 2,037,195 | 2,075,627 | (38,432 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
3/15/2023 | EUR | B | 85,114,000 | 91,193,097 | 91,547,232 | 354,135 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
3/15/2023 | NZD | S | 6,003,000 | 3,836,181 | 3,814,334 | 21,847 | |||||||||||||||||||||
UBS AG |
3/15/2023 | IDR | S | 100,000,000,000 | 6,407,381 | 6,417,782 | (10,401 | ) | ||||||||||||||||||||
UBS AG |
3/15/2023 | SEK | B | 7,350,000 | 725,751 | 707,183 | (18,568 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total |
$ | 1,991,338 | ||||||||||||||||||||||||||
|
|
At December 31, 2022, the Fund had the following open forward cross currency contracts: |
| |||||||||||||||||||||||||||
Counterparty |
Settlement Date |
Deliver/Units of Currency |
Receive/Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
3/15/2023 | NOK | 30,959,000 | EUR | 2,940,426 | $ | 3,162,674 | $ | (6,959 | ) | ||||||||||||||||||
|
|
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 Funds 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 Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At December 31, 2022, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Ultra 10 Year U.S. Treasury Note |
3/22/2023 | 110 | $ | 13,097,408 | $ | 13,010,938 | $ | (86,470 | ) | |||||||||||
Ultra Long U.S. Treasury Bond |
3/22/2023 | 189 | 25,779,391 | 25,385,062 | (394,329 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total |
|
$ | (480,799 | ) | ||||||||||||||||
|
|
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 Funds 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 Funds 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 Funds pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Funds valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2022, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
France |
$ | | $ | 129,921,911 | $ | | $ | 129,921,911 | ||||||||
Japan |
| 49,510,649 | | 49,510,649 | ||||||||||||
Netherlands |
| 84,839,519 | | 84,839,519 | ||||||||||||
Sweden |
| 65,166,124 | | 65,166,124 | ||||||||||||
Taiwan |
| 44,950,105 | | 44,950,105 | ||||||||||||
United Kingdom |
81,958,596 | 16,138,385 | | 98,096,981 | ||||||||||||
United States |
1,357,788,150 | 13,333,140 | | 1,371,121,290 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
1,439,746,746 | 403,859,833 | | 1,843,606,579 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes* |
| 869,348,734 | | 869,348,734 | ||||||||||||
Preferred Stocks* |
1,410,264 | 2,253,720 | | 3,663,984 | ||||||||||||
Short-Term Investments |
| 16,822,029 | | 16,822,029 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
1,441,157,010 | 1,292,284,316 | | 2,733,441,326 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 3,252,561 | | 3,252,561 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,441,157,010 | $ | 1,295,536,877 | $ | | $ | 2,736,693,887 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (1,268,182 | ) | $ | | $ | (1,268,182 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(480,799 | ) | | | (480,799 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (480,799 | ) | $ | (1,268,182 | ) | $ | | $ | (1,748,981 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include forward foreign currency contracts and futures contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of December 31, 2022, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. As of December 31, 2022, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of December 31, 2022:
Assets |
Unrealized appreciation on forward foreign currency contracts |
|||
Over-the-counter asset derivatives Foreign exchange contracts |
$ | 3,252,561 | ||
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives Foreign exchange contracts |
$ | (1,268,182 | ) | $ | | |||
Exchange-traded/cleared liability derivatives Interest rate contracts |
| (480,799 | ) | |||||
|
|
|
|
|||||
Total liability derivatives |
$ | (1,268,182 | ) | $ | (480,799 | ) | ||
|
|
|
|
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of December 31, 2022, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty: |
Derivatives | Collateral Pledged | ||||||
Citibank N.A. |
$ | (161,817 | ) | $ | 110,000 | |||
HSBC Bank USA |
(5,046 | ) | 60,000 | |||||
UBS AG |
(28,969 | ) | - |
Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, 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 brokers 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 brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2022:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
$ 5,962,438 |
$ 4,025,042 |
Net loss amount reflects cash received as collateral of $750,000.
Industry Summary at December 31, 2022 (Unaudited)
Semiconductors & Semiconductor Equipment |
7.6 | % | ||
IT Services |
7.3 | |||
Life Sciences Tools & Services |
6.8 | |||
Treasuries |
6.6 | |||
Capital Markets |
6.3 | |||
Software |
5.7 | |||
Machinery |
5.2 | |||
Chemicals |
5.1 | |||
Textiles, Apparel & Luxury Goods |
3.5 | |||
Banking |
2.8 | |||
Specialty Retail |
2.7 | |||
Interactive Media & Services |
2.5 | |||
Health Care Providers & Services |
2.5 | |||
Cable Satellite |
2.5 | |||
Banks |
2.4 | |||
Internet & Direct Marketing Retail |
2.2 | |||
Hotels, Restaurants & Leisure |
2.0 | |||
Finance Companies |
2.0 | |||
Other Investments, less than 2% each |
23.4 | |||
Short-Term Investments |
0.6 | |||
|
|
|||
Total Investments |
99.7 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
0.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at December 31, 2022 (Unaudited)
United States Dollar |
77.0 | % | ||
Euro |
9.8 | |||
Swedish Krona |
2.5 | |||
Japanese Yen |
2.0 | |||
Other, less than 2% each |
8.4 | |||
|
|
|||
Total Investments |
99.7 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
0.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|