PORTFOLIO OF INVESTMENTS as of December 31, 2022 (Unaudited)
Loomis Sayles Credit Income Fund
Principal |
Description |
Value () | ||||||||
Bonds and Notes 91.7% of Net Assets |
||||||||||
Non-Convertible Bonds 86.7% |
||||||||||
Aerospace & Defense 2.4% |
| |||||||||
$ | 20,000 | Boeing Co. (The), 2.250%, 6/15/2026 |
$ | 18,004 | ||||||
20,000 | Boeing Co. (The), 2.950%, 2/01/2030 |
16,938 | ||||||||
10,000 | Boeing Co. (The), 3.200%, 3/01/2029 |
8,769 | ||||||||
5,000 | Boeing Co. (The), 3.250%, 2/01/2035 |
3,802 | ||||||||
5,000 | Boeing Co. (The), 3.375%, 6/15/2046 |
3,244 | ||||||||
5,000 | Boeing Co. (The), 3.500%, 3/01/2039 |
3,603 | ||||||||
15,000 | Boeing Co. (The), 3.550%, 3/01/2038 |
11,051 | ||||||||
220,000 | Boeing Co. (The), 3.625%, 2/01/2031 |
192,757 | ||||||||
5,000 | Boeing Co. (The), 3.625%, 3/01/2048 |
3,271 | ||||||||
35,000 | Boeing Co. (The), 3.750%, 2/01/2050 |
24,126 | ||||||||
15,000 | Boeing Co. (The), 3.825%, 3/01/2059 |
9,590 | ||||||||
10,000 | Boeing Co. (The), 3.850%, 11/01/2048 |
6,864 | ||||||||
15,000 | Boeing Co. (The), 3.900%, 5/01/2049 |
10,532 | ||||||||
45,000 | Boeing Co. (The), 5.150%, 5/01/2030 |
43,904 | ||||||||
20,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 |
18,153 | ||||||||
125,000 | Textron, Inc., 3.000%, 6/01/2030 |
106,228 | ||||||||
20,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A |
19,724 | ||||||||
|
|
|||||||||
500,560 | ||||||||||
|
|
|||||||||
Airlines 0.3% |
| |||||||||
68,534 | American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 |
53,172 | ||||||||
11,430 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 |
10,760 | ||||||||
|
|
|||||||||
63,932 | ||||||||||
|
|
|||||||||
Automotive 1.2% |
| |||||||||
60,000 | Allison Transmission, Inc., 3.750%, 1/30/2031, 144A |
49,350 | ||||||||
15,000 | Ford Motor Co., 3.250%, 2/12/2032 |
11,249 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Automotive continued |
| |||||||||
$ | 170,000 | General Motors Co., 5.200%, 4/01/2045 |
$ | 138,171 | ||||||
40,000 | General Motors Co., 6.250%, 10/02/2043 |
36,981 | ||||||||
5,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(a) |
4,232 | ||||||||
|
|
|||||||||
239,983 | ||||||||||
|
|
|||||||||
Banking 12.0% |
| |||||||||
40,000 | Ally Financial, Inc., 2.200%, 11/02/2028 |
31,187 | ||||||||
65,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(a) |
43,469 | ||||||||
50,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(a) |
31,313 | ||||||||
40,000 | American Express Co., 5.850%, 11/05/2027 |
41,641 | ||||||||
270,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 |
260,806 | ||||||||
200,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 |
152,189 | ||||||||
215,000 | Citigroup, Inc., 4.450%, 9/29/2027 |
204,983 | ||||||||
250,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A |
217,820 | ||||||||
250,000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A |
219,620 | ||||||||
150,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 |
120,253 | ||||||||
120,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025 |
114,858 | ||||||||
390,000 | Morgan Stanley, 3.625%, 1/20/2027 |
367,776 | ||||||||
80,000 | Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028 |
71,084 | ||||||||
200,000 | NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027 |
173,092 | ||||||||
115,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 |
106,728 | ||||||||
200,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A |
157,020 | ||||||||
200,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A |
179,727 | ||||||||
|
|
|||||||||
2,493,566 | ||||||||||
|
|
|||||||||
Brokerage 0.9% |
| |||||||||
15,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 |
15,128 | ||||||||
180,000 | Jefferies Financial Group, Inc., 6.500%, 1/20/2043 |
175,365 | ||||||||
|
|
|||||||||
190,493 | ||||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Cable Satellite 5.2% |
| |||||||||
$ | 125,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A |
$ | 100,360 | ||||||
120,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A |
99,139 | ||||||||
35,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A |
28,374 | ||||||||
25,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A |
23,302 | ||||||||
10,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A |
9,681 | ||||||||
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 |
3,683 | ||||||||
20,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 |
15,570 | ||||||||
90,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 |
53,091 | ||||||||
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 |
4,278 | ||||||||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050 |
108,892 | ||||||||
200,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |
110,527 | ||||||||
200,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A |
111,740 | ||||||||
15,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A |
13,420 | ||||||||
155,000 | DISH DBS Corp., 5.125%, 6/01/2029 |
99,992 | ||||||||
175,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A |
147,409 | ||||||||
200,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 |
146,421 | ||||||||
|
|
|||||||||
1,075,879 | ||||||||||
|
|
|||||||||
Chemicals 1.5% |
| |||||||||
15,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |
14,575 | ||||||||
10,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |
9,509 | ||||||||
70,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A |
67,754 | ||||||||
15,000 | FMC Corp., 3.450%, 10/01/2029 |
13,221 | ||||||||
60,000 | Hercules LLC, 6.500%, 6/30/2029 |
57,022 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Chemicals continued |
| |||||||||
$ | 200,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A |
$ | 157,016 | ||||||
|
|
|||||||||
319,097 | ||||||||||
|
|
|||||||||
Construction Machinery 0.7% |
| |||||||||
90,000 | Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024 |
86,820 | ||||||||
20,000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 |
19,257 | ||||||||
35,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 |
32,736 | ||||||||
|
|
|||||||||
138,813 | ||||||||||
|
|
|||||||||
Consumer Cyclical Services 2.5% |
| |||||||||
10,000 | Expedia Group, Inc., 2.950%, 3/15/2031 |
8,041 | ||||||||
195,000 | Expedia Group, Inc., 3.250%, 2/15/2030 |
165,418 | ||||||||
50,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A |
41,860 | ||||||||
325,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A |
283,158 | ||||||||
25,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |
25,017 | ||||||||
|
|
|||||||||
523,494 | ||||||||||
|
|
|||||||||
Electric 0.7% |
| |||||||||
15,000 | AES Corp. (The), 2.450%, 1/15/2031 |
11,933 | ||||||||
5,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A |
4,410 | ||||||||
60,000 | Calpine Corp., 3.750%, 3/01/2031, 144A |
48,309 | ||||||||
20,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 |
17,768 | ||||||||
35,000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A |
30,952 | ||||||||
15,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 |
14,792 | ||||||||
20,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A |
18,236 | ||||||||
|
|
|||||||||
146,400 | ||||||||||
|
|
|||||||||
Finance Companies 7.1% |
| |||||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 |
134,902 | ||||||||
105,000 | Air Lease Corp., 3.125%, 12/01/2030 |
87,013 | ||||||||
205,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 |
170,964 | ||||||||
40,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(a) |
33,429 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Finance Companies continued |
| |||||||||
$ | 125,000 | Aircastle Ltd., 4.125%, 5/01/2024 |
$ | 120,831 | ||||||
15,000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(a) |
11,550 | ||||||||
40,000 | Ares Capital Corp., 2.875%, 6/15/2028 |
32,073 | ||||||||
60,000 | Ares Capital Corp., 3.200%, 11/15/2031 |
44,031 | ||||||||
35,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A |
30,470 | ||||||||
30,000 | Barings BDC, Inc., 3.300%, 11/23/2026 |
25,427 | ||||||||
115,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 |
95,222 | ||||||||
40,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 |
32,247 | ||||||||
35,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 |
31,036 | ||||||||
75,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 |
64,300 | ||||||||
60,000 | Navient Corp., 5.000%, 3/15/2027 |
52,525 | ||||||||
30,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 |
25,474 | ||||||||
10,000 | OneMain Finance Corp., 7.125%, 3/15/2026 |
9,509 | ||||||||
50,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 |
41,247 | ||||||||
50,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 |
39,259 | ||||||||
60,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 |
48,911 | ||||||||
140,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A |
120,003 | ||||||||
75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A |
59,433 | ||||||||
160,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |
122,124 | ||||||||
60,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A |
44,812 | ||||||||
|
|
|||||||||
1,476,792 | ||||||||||
|
|
|||||||||
Financial Other 0.9% |
| |||||||||
30,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |
25,370 | ||||||||
115,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 |
105,294 | ||||||||
35,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A |
27,212 | ||||||||
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 |
32,422 | ||||||||
|
|
|||||||||
190,298 | ||||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Food & Beverage 1.5% |
| |||||||||
$ | 30,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A |
$ | 27,967 | ||||||
5,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A |
4,887 | ||||||||
20,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A |
16,553 | ||||||||
10,000 | Pilgrims Pride Corp., 3.500%, 3/01/2032, 144A |
7,817 | ||||||||
10,000 | Pilgrims Pride Corp., 4.250%, 4/15/2031, 144A |
8,505 | ||||||||
50,000 | Pilgrims Pride Corp., 5.875%, 9/30/2027, 144A |
48,499 | ||||||||
60,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A |
51,764 | ||||||||
190,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A |
144,665 | ||||||||
|
|
|||||||||
310,657 | ||||||||||
|
|
|||||||||
Gaming 0.9% |
| |||||||||
20,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 |
15,988 | ||||||||
55,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A |
52,465 | ||||||||
5,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A |
4,800 | ||||||||
85,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A |
74,497 | ||||||||
20,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A |
18,658 | ||||||||
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A |
4,705 | ||||||||
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A |
4,794 | ||||||||
10,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A |
9,903 | ||||||||
|
|
|||||||||
185,810 | ||||||||||
|
|
|||||||||
Government Owned No Guarantee 0.1% |
| |||||||||
25,000 | EcoPetrol S.A., 4.625%, 11/02/2031 |
19,096 | ||||||||
|
|
|||||||||
Health Insurance 0.7% |
| |||||||||
90,000 | Centene Corp., 2.500%, 3/01/2031 |
70,423 | ||||||||
35,000 | Centene Corp., 2.625%, 8/01/2031 |
27,503 | ||||||||
20,000 | Centene Corp., 3.000%, 10/15/2030 |
16,395 | ||||||||
5,000 | Centene Corp., 4.625%, 12/15/2029 |
4,569 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Health Insurance continued |
| |||||||||
$ | 25,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A |
$ | 20,761 | ||||||
|
|
|||||||||
139,651 | ||||||||||
|
|
|||||||||
Healthcare 1.7% |
| |||||||||
15,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A |
11,943 | ||||||||
75,000 | Cigna Corp., 4.375%, 10/15/2028 |
72,333 | ||||||||
86,781 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A |
77,084 | ||||||||
5,000 | Encompass Health Corp., 4.750%, 2/01/2030 |
4,391 | ||||||||
165,000 | HCA, Inc., 4.125%, 6/15/2029 |
150,627 | ||||||||
25,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A |
22,368 | ||||||||
10,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A |
8,953 | ||||||||
|
|
|||||||||
347,699 | ||||||||||
|
|
|||||||||
Home Construction 0.5% |
| |||||||||
75,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 |
41,913 | ||||||||
70,000 | PulteGroup, Inc., 6.000%, 2/15/2035 |
66,931 | ||||||||
|
|
|||||||||
108,844 | ||||||||||
|
|
|||||||||
Independent Energy 3.0% |
| |||||||||
150,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A |
131,460 | ||||||||
113,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A |
83,698 | ||||||||
100,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A |
93,086 | ||||||||
20,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 |
16,561 | ||||||||
25,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A |
22,375 | ||||||||
40,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A |
34,850 | ||||||||
10,000 | EQT Corp., 3.125%, 5/15/2026, 144A |
9,190 | ||||||||
30,000 | EQT Corp., 3.625%, 5/15/2031, 144A |
25,423 | ||||||||
45,000 | EQT Corp., 3.900%, 10/01/2027 |
41,542 | ||||||||
10,000 | EQT Corp., 5.000%, 1/15/2029 |
9,388 | ||||||||
10,000 | EQT Corp., 5.700%, 4/01/2028 |
9,946 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Independent Energy continued |
| |||||||||
$ | 30,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 |
$ | 29,888 | ||||||
5,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 |
5,645 | ||||||||
45,000 | Ovintiv Exploration, Inc., 5.375%, 1/01/2026 |
44,551 | ||||||||
50,000 | Ovintiv, Inc., 6.500%, 8/15/2034 |
50,312 | ||||||||
5,000 | Southwestern Energy Co., 4.750%, 2/01/2032 |
4,273 | ||||||||
|
|
|||||||||
612,188 | ||||||||||
|
|
|||||||||
Industrial Other 0.1% |
| |||||||||
20,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A |
16,252 | ||||||||
|
|
|||||||||
Leisure 0.7% |
| |||||||||
40,000 | Carnival Corp., 5.750%, 3/01/2027, 144A |
28,562 | ||||||||
30,000 | Carnival Corp., 6.000%, 5/01/2029, 144A |
19,991 | ||||||||
30,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A |
23,564 | ||||||||
25,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A |
21,639 | ||||||||
10,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A |
7,382 | ||||||||
60,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A |
47,883 | ||||||||
|
|
|||||||||
149,021 | ||||||||||
|
|
|||||||||
Life Insurance 1.1% |
| |||||||||
50,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A |
43,128 | ||||||||
55,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A |
50,744 | ||||||||
95,000 | Athene Global Funding, 2.550%, 11/19/2030, 144A |
73,424 | ||||||||
30,000 | Athene Holding Ltd., 3.500%, 1/15/2031 |
24,633 | ||||||||
30,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 |
28,527 | ||||||||
|
|
|||||||||
220,456 | ||||||||||
|
|
|||||||||
Lodging 1.3% |
| |||||||||
60,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A |
48,048 | ||||||||
40,000 | Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A |
33,690 | ||||||||
10,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A |
8,162 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Lodging continued |
| |||||||||
$ | 25,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A |
$ | 21,500 | ||||||
5,000 | Hyatt Hotels Corp., 5.625%, 4/23/2025 |
4,961 | ||||||||
3,000 | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 |
3,026 | ||||||||
25,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 |
23,328 | ||||||||
20,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 |
16,196 | ||||||||
20,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A |
16,592 | ||||||||
45,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A |
36,667 | ||||||||
75,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A |
62,195 | ||||||||
|
|
|||||||||
274,365 | ||||||||||
|
|
|||||||||
Media Entertainment 1.8% |
| |||||||||
85,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A |
69,219 | ||||||||
75,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A |
63,531 | ||||||||
20,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 |
17,008 | ||||||||
10,000 | Netflix, Inc., 4.875%, 4/15/2028 |
9,656 | ||||||||
135,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A |
125,901 | ||||||||
5,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A |
4,850 | ||||||||
5,000 | Netflix, Inc., 5.875%, 11/15/2028 |
5,068 | ||||||||
15,000 | Netflix, Inc., 6.375%, 5/15/2029 |
15,439 | ||||||||
15,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A |
13,001 | ||||||||
60,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A |
49,471 | ||||||||
|
|
|||||||||
373,144 | ||||||||||
|
|
|||||||||
Metals & Mining 3.6% |
| |||||||||
200,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A |
189,154 | ||||||||
35,000 | ArcelorMittal S.A., 7.000%, 10/15/2039 |
35,519 | ||||||||
25,000 | ATI, Inc., 5.875%, 12/01/2027 |
23,907 | ||||||||
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A |
187,645 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Metals & Mining continued |
| |||||||||
$ | 45,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A |
$ | 37,426 | ||||||
15,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 |
13,619 | ||||||||
35,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 |
32,599 | ||||||||
40,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 |
37,775 | ||||||||
135,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A |
126,274 | ||||||||
20,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A |
18,874 | ||||||||
35,000 | Novelis Corp., 4.750%, 1/30/2030, 144A |
31,030 | ||||||||
10,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A |
8,615 | ||||||||
|
|
|||||||||
742,437 | ||||||||||
|
|
|||||||||
Midstream 2.2% |
| |||||||||
55,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 |
45,492 | ||||||||
10,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 |
9,637 | ||||||||
55,000 | Energy Transfer LP, 4.000%, 10/01/2027 |
51,330 | ||||||||
35,000 | Energy Transfer LP, 5.750%, 2/15/2033 |
34,243 | ||||||||
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 |
24,097 | ||||||||
35,000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 |
31,296 | ||||||||
15,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A |
12,824 | ||||||||
15,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A |
14,611 | ||||||||
80,000 | NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A |
75,980 | ||||||||
15,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 |
13,036 | ||||||||
25,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 |
18,125 | ||||||||
15,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 |
12,610 | ||||||||
5,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 |
4,515 | ||||||||
60,000 | Valero Energy Partners LP, 4.500%, 3/15/2028 |
58,175 | ||||||||
10,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 |
8,729 | ||||||||
20,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 |
16,445 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Midstream continued |
| |||||||||
$ | 5,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 |
$ | 4,154 | ||||||
10,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 |
8,238 | ||||||||
|
|
|||||||||
443,537 | ||||||||||
|
|
|||||||||
Paper 0.2% |
| |||||||||
45,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 |
37,752 | ||||||||
|
|
|||||||||
Pharmaceuticals 1.7% |
| |||||||||
65,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A |
41,343 | ||||||||
55,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A |
26,400 | ||||||||
5,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A |
2,417 | ||||||||
50,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 |
43,953 | ||||||||
85,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |
74,332 | ||||||||
250,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |
152,856 | ||||||||
|
|
|||||||||
341,301 | ||||||||||
|
|
|||||||||
Property & Casualty Insurance 1.1% |
| |||||||||
175,000 | Fidelity National Financial, Inc., 2.450%, 3/15/2031 |
133,500 | ||||||||
65,000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A |
55,851 | ||||||||
55,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 |
42,148 | ||||||||
|
|
|||||||||
231,499 | ||||||||||
|
|
|||||||||
REITs Apartments 0.0% |
| |||||||||
10,000 | American Homes 4 Rent, 2.375%, 7/15/2031 |
7,713 | ||||||||
|
|
|||||||||
REITs Diversified 0.1% |
| |||||||||
15,000 | EPR Properties, 3.600%, 11/15/2031 |
10,867 | ||||||||
|
|
|||||||||
REITs Mortgage 0.1% |
| |||||||||
15,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A |
12,600 | ||||||||
|
|
|||||||||
REITs Office Property 0.0% |
| |||||||||
10,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 |
7,484 | ||||||||
|
|
|||||||||
REITs Shopping Centers 0.8% |
| |||||||||
115,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 |
100,603 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
REITs Shopping Centers continued |
| |||||||||
$ | 75,000 | SITE Centers Corp., 3.625%, 2/01/2025 |
$ | 70,784 | ||||||
|
|
|||||||||
171,387 | ||||||||||
|
|
|||||||||
Restaurants 0.7% |
| |||||||||
125,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A |
111,926 | ||||||||
45,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 |
39,776 | ||||||||
|
|
|||||||||
151,702 | ||||||||||
|
|
|||||||||
Retailers 0.1% |
| |||||||||
20,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A |
16,484 | ||||||||
10,000 | Tapestry, Inc., 3.050%, 3/15/2032 |
7,783 | ||||||||
|
|
|||||||||
24,267 | ||||||||||
|
|
|||||||||
Technology 6.0% |
| |||||||||
20,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A |
14,705 | ||||||||
30,000 | Broadcom, Inc., 4.150%, 11/15/2030 |
26,885 | ||||||||
55,000 | Broadcom, Inc., 4.300%, 11/15/2032 |
48,474 | ||||||||
10,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 |
8,878 | ||||||||
10,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 |
8,517 | ||||||||
90,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 |
74,163 | ||||||||
130,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A |
88,296 | ||||||||
60,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A |
48,372 | ||||||||
65,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A |
59,276 | ||||||||
5,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A |
4,295 | ||||||||
15,000 | Fidelity National Information Services, Inc., 5.100%, 7/15/2032 |
14,448 | ||||||||
35,000 | FLEX Ltd., 6.000%, 1/15/2028 |
34,924 | ||||||||
5,000 | Gartner, Inc., 3.625%, 6/15/2029, 144A |
4,394 | ||||||||
5,000 | Global Payments, Inc., 2.900%, 11/15/2031 |
3,943 | ||||||||
15,000 | Global Payments, Inc., 5.300%, 8/15/2029 |
14,502 | ||||||||
30,000 | Global Payments, Inc., 5.400%, 8/15/2032 |
28,571 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Technology continued |
| |||||||||
$ | 60,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A |
$ | 52,140 | ||||||
35,000 | Jabil, Inc., 1.700%, 4/15/2026 |
31,015 | ||||||||
30,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 |
25,393 | ||||||||
25,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 |
20,108 | ||||||||
265,000 | Micron Technology, Inc., 4.663%, 2/15/2030 |
240,348 | ||||||||
25,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A |
19,306 | ||||||||
5,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 |
4,792 | ||||||||
15,000 | Open Text Corp., 6.900%, 12/01/2027, 144A |
15,000 | ||||||||
60,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A |
48,130 | ||||||||
60,000 | Oracle Corp., 3.950%, 3/25/2051 |
42,746 | ||||||||
30,000 | Oracle Corp., 6.150%, 11/09/2029 |
31,139 | ||||||||
60,000 | Qorvo, Inc., 3.375%, 4/01/2031, 144A |
48,206 | ||||||||
55,000 | S&P Global, Inc., 4.250%, 5/01/2029, 144A |
52,488 | ||||||||
60,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 |
50,998 | ||||||||
35,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 |
32,765 | ||||||||
30,000 | Western Digital Corp., 2.850%, 2/01/2029 |
23,210 | ||||||||
30,000 | Western Digital Corp., 4.750%, 2/15/2026 |
28,252 | ||||||||
|
|
|||||||||
1,248,679 | ||||||||||
|
|
|||||||||
Treasuries 18.7% |
| |||||||||
135,000 | U.S. Treasury Bond, 1.125%, 8/15/2040 |
83,837 | ||||||||
255,000 | U.S. Treasury Bond, 1.875%, 2/15/2051 |
162,065 | ||||||||
155,000 | U.S. Treasury Bond, 2.250%, 2/15/2052 |
107,786 | ||||||||
415,000 | U.S. Treasury Bond, 3.250%, 5/15/2042 |
363,838 | ||||||||
1,400,000 | U.S. Treasury Note, 0.125%, 1/31/2023 |
1,395,781 | ||||||||
780,000 | U.S. Treasury Note, 0.125%, 4/30/2023 |
769,275 | ||||||||
805,000 | U.S. Treasury Note, 0.250%, 9/30/2023 |
778,240 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Treasuries continued |
| |||||||||
$ | 230,000 | U.S. Treasury Note, 1.500%, 2/29/2024 |
$ | 221,698 | ||||||
|
|
|||||||||
3,882,520 | ||||||||||
|
|
|||||||||
Wireless 2.6% |
| |||||||||
80,000 | Crown Castle, Inc., 2.500%, 7/15/2031 |
64,469 | ||||||||
70,000 | SBA Communications Corp., 3.125%, 2/01/2029 |
58,204 | ||||||||
130,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 |
114,500 | ||||||||
65,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 |
56,147 | ||||||||
265,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 |
240,041 | ||||||||
|
|
|||||||||
533,361 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $21,112,325) |
17,963,596 | |||||||||
|
|
|||||||||
Convertible Bonds 5.0% |
||||||||||
Airlines 0.5% |
| |||||||||
20,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 |
14,582 | ||||||||
85,000 | Southwest Airlines Co., 1.250%, 5/01/2025 |
102,085 | ||||||||
|
|
|||||||||
116,667 | ||||||||||
|
|
|||||||||
Cable Satellite 1.2% |
| |||||||||
40,000 | DISH Network Corp., Zero Coupon, 0.000%-8.380%, 12/15/2025(b) |
25,605 | ||||||||
350,000 | DISH Network Corp., 3.375%, 8/15/2026 |
219,275 | ||||||||
|
|
|||||||||
244,880 | ||||||||||
|
|
|||||||||
Consumer Cyclical Services 0.3% |
| |||||||||
5,000 | Peloton Interactive, Inc., Zero Coupon, 0.798%, 2/15/2026(c) |
3,540 | ||||||||
65,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.152%, 12/15/2025(b) |
54,898 | ||||||||
|
|
|||||||||
58,438 | ||||||||||
|
|
|||||||||
Gaming 0.1% |
| |||||||||
10,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 |
14,740 | ||||||||
|
|
|||||||||
Healthcare 0.5% |
| |||||||||
140,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 |
107,547 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Convertible Bonds continued |
||||||||||
Leisure 0.2% |
| |||||||||
$ | 60,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 |
$ | 41,096 | ||||||
|
|
|||||||||
Media Entertainment 0.3% |
| |||||||||
30,000 | Bilibili, Inc., 0.500%, 12/01/2026 |
22,050 | ||||||||
30,000 | Snap, Inc., Zero Coupon, 6.709%-6.954%, 5/01/2027(b) |
20,955 | ||||||||
25,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.777%, 3/15/2026(b) |
20,125 | ||||||||
|
|
|||||||||
63,130 | ||||||||||
|
|
|||||||||
Pharmaceuticals 1.3% |
| |||||||||
195,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 |
209,539 | ||||||||
15,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(c) |
9,329 | ||||||||
25,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(c) |
23,078 | ||||||||
40,000 | Livongo Health, Inc., 0.875%, 6/01/2025 |
35,015 | ||||||||
|
|
|||||||||
276,961 | ||||||||||
|
|
|||||||||
Technology 0.6% |
| |||||||||
25,000 | Nutanix, Inc., 0.250%, 10/01/2027 |
20,912 | ||||||||
20,000 | RingCentral, Inc., Zero Coupon, 7.630%-7.929%, 3/15/2026(b) |
15,700 | ||||||||
60,000 | Splunk, Inc., 1.125%, 6/15/2027 |
50,628 | ||||||||
30,000 | Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(b) |
22,455 | ||||||||
5,000 | Wolfspeed, Inc., 0.250%, 2/15/2028, 144A |
4,323 | ||||||||
10,000 | Wolfspeed, Inc., 1.875%, 12/01/2029, 144A |
9,005 | ||||||||
|
|
|||||||||
123,023 | ||||||||||
|
|
|||||||||
Total Convertible Bonds (Identified Cost $1,318,045) |
1,046,482 | |||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $22,430,370) |
19,010,078 | |||||||||
|
|
|||||||||
Collateralized Loan Obligations 3.3% |
||||||||||
250,000 | AIMCO CLO Ltd., Series 2021-14A, Class D, 3-month LIBOR + 2.900%, 7.143%, 4/20/2034, 144A(d) |
229,898 | ||||||||
250,000 | Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.900%, 6.979%, 7/15/2030, 144A(d) |
231,377 | ||||||||
250,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 7.493%, 4/20/2034, 144A(d) |
218,641 | ||||||||
|
|
|||||||||
Total Collateralized Loan Obligations (Identified Cost $750,000) |
679,916 | |||||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks 1.1% |
||||||||||
Convertible Preferred Stocks 1.1% |
||||||||||
Banking 1.0% |
| |||||||||
97 | Bank of America Corp., Series L, 7.250% |
$ | 112,520 | |||||||
83 | Wells Fargo & Co., Class A, Series L, 7.500% |
98,355 | ||||||||
|
|
|||||||||
210,875 | ||||||||||
|
|
|||||||||
Technology 0.1% |
| |||||||||
273 | Clarivate PLC, Series A, 5.250% |
10,341 | ||||||||
|
|
|||||||||
Total Preferred Stocks (Identified Cost $281,607) |
221,216 | |||||||||
|
|
|||||||||
Principal |
||||||||||
Short-Term Investments 2.9% |
||||||||||
$ | 396,846 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $396,925 on 1/03/2023 collateralized by $462,700 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $404,826 including accrued interest(e) | 396,846 | |||||||
205,000 | U.S. Treasury Bills, 4.028%, 2/02/2023(f) |
204,350 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $601,112) |
601,196 | |||||||||
|
|
|||||||||
Total Investments 99.0% (Identified Cost $24,063,089) |
20,512,406 | |||||||||
Other assets less liabilities 1.0% | 204,503 | |||||||||
|
|
|||||||||
Net Assets 100.0% | $ | 20,716,909 | ||||||||
|
|
() | 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. Collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.
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.
(a) | Perpetual bond with no specified maturity date. |
(b) | 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. |
(c) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(d) | Variable rate security. Rate as of December 31, 2022 is disclosed. |
(e) | 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. |
(f) | 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 $6,603,901 or 31.9% of net assets. |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the 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 Long U.S. Treasury Bond |
3/22/2023 | 9 | $ | 1,219,606 | $ | 1,208,813 | $ | (10,793 | ) | |||||||||||
Ultra 10 Year U.S. Treasury Note |
3/22/2023 | 7 | 835,478 | 827,968 | (7,510 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total |
|
$ | (18,303 | ) | ||||||||||||||||
|
|
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 | ||||||||||||
Bonds and Notes* |
$ | | $ | 19,010,078 | $ | | $ | 19,010,078 | ||||||||
Collateralized Loan Obligations |
| 679,916 | | 679,916 | ||||||||||||
Preferred Stocks* |
221,216 | | | 221,216 | ||||||||||||
Short-Term Investments |
| 601,196 | | 601,196 | ||||||||||||
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|
|
|
|
|
|
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Total |
$ | 221,216 | $ | 20,291,190 | $ | | $ | 20,512,406 | ||||||||
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|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (18,303 | ) | $ | | $ | | $ | (18,303 | ) | ||||||
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* | 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 futures contracts.
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 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:
Liabilities_ |
Unrealized depreciation futures contracts |
|||
Exchange-traded liability derivatives |
$ | (18,303 | ) |
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.
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. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a 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 the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of December 31, 2022:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
$ 106,932 |
$ 106,932 |
Industry Summary at December 31, 2022 (Unaudited)
Treasuries |
18.7 | % | ||
Banking |
13.0 | |||
Finance Companies |
7.1 | |||
Technology |
6.7 | |||
Cable Satellite |
6.4 | |||
Metals & Mining |
3.6 | |||
Pharmaceuticals |
3.0 | |||
Independent Energy |
3.0 | |||
Consumer Cyclical Services |
2.8 | |||
Wireless |
2.6 | |||
Aerospace & Defense |
2.4 | |||
Healthcare |
2.2 | |||
Midstream |
2.2 | |||
Media Entertainment |
2.1 | |||
Other Investments, less than 2% each |
17.0 | |||
Collateralized Loan Obligations |
3.3 | |||
Short-Term Investments |
2.9 | |||
|
|
|||
Total Investments |
99.0 | |||
Other assets less liabilities (including futures contracts) |
1.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
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