NPORT-EX 2 NPORT_48AP_13339238_0623.htm FOR VALIDATION PURPOSES ONLY - [547421.POI_01]

PORTFOLIO OF INVESTMENTS – as of June 30, 2023 (Unaudited)

Loomis Sayles Credit Income Fund

 

Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – 85.4% of Net Assets

  
 

Non-Convertible Bonds – 80.7%

  
   Aerospace & Defense – 0.9%

 

  $  20,000      Boeing Co.,
2.950%, 2/01/2030		    $ 17,383  
  20,000      Boeing Co.,
5.150%, 5/01/2030		      19,807  
  20,000      Huntington Ingalls Industries, Inc.,
4.200%, 5/01/2030		      18,532  
  125,000      Textron, Inc.,
3.000%, 6/01/2030		      108,958  
  20,000      TransDigm, Inc.,
6.250%, 3/15/2026, 144A		      19,902  
  10,000      TransDigm, Inc.,
6.750%, 8/15/2028, 144A		      10,038  
     

 

 

  
             194,620  
     

 

 

  
   Airlines – 0.6%

 

  66,193      American Airlines Pass-Through Trust, Series 2016-3, Class A,
3.250%, 4/15/2030		      56,003  
  10,275      United Airlines Pass-Through Trust, Series 2020-1, Class B,
4.875%, 7/15/2027		      9,854  
  55,000      United Airlines Pass-Through Trust, Series 2023-1,
5.800%, 7/15/2037		      56,039  
     

 

 

  
        121,896  
     

 

 

  
   Apartment REITs – 0.0%

 

  10,000      American Homes 4 Rent LP,
2.375%, 7/15/2031		      7,940  
     

 

 

  
   Automotive – 1.2%

 

  60,000      Allison Transmission, Inc.,
3.750%, 1/30/2031, 144A		      50,686  
  70,000      General Motors Co.,
5.200%, 4/01/2045		      59,712  
  40,000      General Motors Co.,
6.250%, 10/02/2043		      39,116  
  5,000      General Motors Financial Co., Inc.,
3.100%, 1/12/2032		      4,044  
  5,000      General Motors Financial Co., Inc.,
5.850%, 4/06/2030		      4,957  
  90,000      General Motors Financial Co., Inc.,
6.000%, 1/09/2028		      90,721  
  5,000      General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter),
5.700%(a)		      4,389  
     

 

 

  
        253,625  
     

 

 

  
   Banking – 12.8%

 

  40,000      Ally Financial, Inc.,
2.200%, 11/02/2028		      31,925  
  65,000      Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter),
4.700%(a)		      45,825  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Banking – continued

 

  $  50,000      Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter),
4.700%(a)		    $ 32,250  
  30,000      Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter),
5.288%, 4/25/2034		      29,721  
  270,000      Bank of America Corp., MTN,
4.250%, 10/22/2026		      260,603  
  200,000      Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter),
6.224%, 5/09/2034		      199,207  
  200,000      Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),
3.564%, 9/23/2035		      158,262  
  215,000      Citigroup, Inc.,
4.450%, 9/29/2027		      205,288  
  250,000      Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter),
4.000%, 1/10/2033, 144A		      222,577  
  150,000      Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter),
3.547%, 9/18/2031		      124,577  
  390,000      Morgan Stanley,
3.625%, 1/20/2027		      370,309  
  50,000      Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter),
5.948%, 1/19/2038		      49,352  
  80,000      Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter),
2.475%, 1/21/2028		      72,195  
  200,000      NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter),
1.642%, 6/14/2027		      176,008  
  115,000      Santander Holdings USA, Inc.,
3.244%, 10/05/2026		      103,540  
  200,000      Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter),
3.653%, 7/08/2035, 144A		      160,439  
  200,000      Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter),
4.644%, 4/01/2031, 144A		      184,467  
  250,000      UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter),
6.537%, 8/12/2033, 144A		      255,857  
     

 

 

  
          2,682,402  
     

 

 

  
   Brokerage – 0.9%

 

  15,000      Jefferies Financial Group, Inc.,
6.250%, 1/15/2036		      15,299  
  180,000      Jefferies Financial Group, Inc.,
6.500%, 1/20/2043		      180,086  
     

 

 

  
        195,385  
     

 

 

  
   Building Materials – 1.0%

 

  260,000      Cemex SAB de CV,
3.875%, 7/11/2031, 144A		      218,895  
     

 

 

  
   Cable Satellite – 5.0%

 

  125,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031, 144A		      100,981  
  120,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 8/15/2030, 144A		      99,923  
  35,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
4.750%, 2/01/2032, 144A		      28,542  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Cable Satellite – continued

 

  $  25,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
5.125%, 5/01/2027, 144A		    $ 23,281  
  10,000      CCO Holdings LLC/CCO Holdings Capital Corp.,
5.500%, 5/01/2026, 144A		      9,750  
  5,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
2.300%, 2/01/2032		      3,785  
  20,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
2.800%, 4/01/2031		      16,093  
  90,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
3.950%, 6/30/2062		      55,371  
  5,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
4.400%, 4/01/2033		      4,389  
  150,000      Charter Communications Operating LLC/Charter Communications Operating Capital,
4.800%, 3/01/2050		      113,175  
  200,000      CSC Holdings LLC,
4.625%, 12/01/2030, 144A		      88,987  
  200,000      CSC Holdings LLC,
5.000%, 11/15/2031, 144A		      93,142  
  15,000      Directv Financing LLC/Directv Financing Co-Obligor, Inc.,
5.875%, 8/15/2027, 144A		      13,585  
  175,000      DISH DBS Corp.,
5.125%, 6/01/2029		      81,261  
  175,000      DISH DBS Corp.,
5.250%, 12/01/2026, 144A		      140,380  
  45,000      DISH DBS Corp.,
5.750%, 12/01/2028, 144A		      33,470  
  200,000      Time Warner Cable LLC,
4.500%, 9/15/2042		      149,598  
     

 

 

  
          1,055,713  
     

 

 

  
   Chemicals – 1.5%

 

  15,000      Celanese U.S. Holdings LLC,
6.330%, 7/15/2029		      14,897  
  10,000      Celanese U.S. Holdings LLC,
6.379%, 7/15/2032		      10,087  
  70,000      CF Industries, Inc.,
4.500%, 12/01/2026, 144A		      67,513  
  15,000      FMC Corp.,
3.450%, 10/01/2029		      13,122  
  60,000      Hercules LLC,
6.500%, 6/30/2029		      55,583  
  200,000      Orbia Advance Corp. SAB de CV,
2.875%, 5/11/2031, 144A		      158,074  
     

 

 

  
        319,276  
     

 

 

  
   Construction Machinery – 0.7%

 

  90,000      Caterpillar Financial Services Corp., MTN,
0.950%, 1/10/2024		      87,878  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Construction Machinery – continued

 

  $  20,000      John Deere Capital Corp., MTN,
0.900%, 1/10/2024		    $ 19,515  
  35,000      John Deere Capital Corp., MTN,
1.250%, 1/10/2025		      32,984  
     

 

 

  
             140,377  
     

 

 

  
   Consumer Cyclical Services – 2.6%

 

  10,000      Expedia Group, Inc.,
2.950%, 3/15/2031		      8,427  
  195,000      Expedia Group, Inc.,
3.250%, 2/15/2030		      169,718  
  50,000      Go Daddy Operating Co. LLC/GD Finance Co., Inc.,
3.500%, 3/01/2029, 144A		      42,842  
  325,000      Uber Technologies, Inc.,
4.500%, 8/15/2029, 144A		      299,130  
  25,000      Uber Technologies, Inc.,
7.500%, 9/15/2027, 144A		      25,571  
     

 

 

  
        545,688  
     

 

 

  
   Electric – 0.7%

 

  15,000      AES Corp.,
2.450%, 1/15/2031		      12,124  
  5,000      AES Corp.,
3.950%, 7/15/2030, 144A		      4,482  
  60,000      Calpine Corp.,
3.750%, 3/01/2031, 144A		      48,606  
  20,000      IPALCO Enterprises, Inc.,
4.250%, 5/01/2030		      18,095  
  35,000      NRG Energy, Inc.,
4.450%, 6/15/2029, 144A		      30,935  
  15,000      Pacific Gas & Electric Co.,
5.450%, 6/15/2027		      14,588  
  20,000      Vistra Operations Co. LLC,
3.700%, 1/30/2027, 144A		      18,315  
     

 

 

  
        147,145  
     

 

 

  
   Finance Companies – 6.8%

 

  150,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.875%, 1/23/2028		      137,906  
  20,000      Air Lease Corp.,
3.125%, 12/01/2030		      16,661  
  60,000      Air Lease Corp., MTN,
3.000%, 2/01/2030		      50,173  
  40,000      Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter),
4.650%(a)		      33,382  
  125,000      Aircastle Ltd.,
4.125%, 5/01/2024		      121,632  
  15,000      Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter),
5.250%, 144A(a)		      10,469  
  40,000      Ares Capital Corp.,
2.875%, 6/15/2028		      33,079  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Finance Companies – continued

 

  $  60,000      Ares Capital Corp.,
3.200%, 11/15/2031		    $ 45,994  
  35,000      Aviation Capital Group LLC,
1.950%, 1/30/2026, 144A		      31,173  
  35,000      Aviation Capital Group LLC,
6.250%, 4/15/2028, 144A		      34,896  
  30,000      Aviation Capital Group LLC,
6.375%, 7/15/2030, 144A		      29,749  
  30,000      Barings BDC, Inc.,
3.300%, 11/23/2026		      26,134  
  115,000      Blackstone Secured Lending Fund,
2.125%, 2/15/2027		      97,097  
  20,000      FS KKR Capital Corp.,
3.125%, 10/12/2028		      16,281  
  55,000      GATX Corp.,
5.450%, 9/15/2033		      54,114  
  75,000      Hercules Capital, Inc.,
3.375%, 1/20/2027		      64,970  
  60,000      Navient Corp.,
5.000%, 3/15/2027		      53,677  
  30,000      Oaktree Specialty Lending Corp.,
2.700%, 1/15/2027		      25,882  
  5,000      OneMain Finance Corp.,
3.500%, 1/15/2027		      4,290  
  10,000      OneMain Finance Corp.,
5.375%, 11/15/2029		      8,502  
  10,000      OneMain Finance Corp.,
7.125%, 3/15/2026		      9,825  
  50,000      Owl Rock Capital Corp.,
2.625%, 1/15/2027		      42,443  
  70,000      Owl Rock Capital Corp.,
2.875%, 6/11/2028		      57,037  
  60,000      Owl Rock Technology Finance Corp.,
2.500%, 1/15/2027		      49,667  
  140,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
2.875%, 10/15/2026, 144A		      123,900  
  75,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A		      63,035  
  160,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A		      129,737  
  60,000      Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
4.000%, 10/15/2033, 144A		      46,934  
     

 

 

  
          1,418,639  
     

 

 

  
   Financial Other – 0.8%

 

  30,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
4.375%, 2/01/2029		      23,571  
  120,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
5.250%, 5/15/2027		      103,488  
  35,000      Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031, 144A		      28,751  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Non-Convertible Bonds – continued

   
  

Financial Other – continued

   
  $200,000      Times China Holdings Ltd.,
6.200%, 3/22/2026(f)		    $ 13,263  
     

 

 

  
             169,073  
     

 

 

  
   Food & Beverage – 1.5%

 

  30,000      Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL,
5.250%, 4/27/2029, 144A		      27,706  
  20,000      JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.,
3.000%, 2/02/2029, 144A		      16,960  
  10,000      Pilgrim’s Pride Corp.,
3.500%, 3/01/2032		      7,906  
  10,000      Pilgrim’s Pride Corp.,
4.250%, 4/15/2031		      8,575  
  50,000      Pilgrim’s Pride Corp.,
5.875%, 9/30/2027, 144A		      49,400  
  60,000      Post Holdings, Inc.,
4.625%, 4/15/2030, 144A		      52,582  
  190,000      Smithfield Foods, Inc.,
3.000%, 10/15/2030, 144A		      148,971  
     

 

 

  
        312,100  
     

 

 

  
   Gaming – 0.9%

 

  20,000      GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032		      16,148  
  55,000      Scientific Games International, Inc.,
7.000%, 5/15/2028, 144A		      54,707  
  5,000      Scientific Games International, Inc.,
7.250%, 11/15/2029, 144A		      5,006  
  85,000      VICI Properties LP/VICI Note Co., Inc.,
3.875%, 2/15/2029, 144A		      74,593  
  20,000      VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026, 144A		      18,710  
  5,000      VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026, 144A		      4,724  
  5,000      VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025, 144A		      4,831  
  10,000      VICI Properties LP/VICI Note Co., Inc.,
5.625%, 5/01/2024, 144A		      9,938  
     

 

 

  
        188,657  
     

 

 

  
   Government Sponsored – 0.2%

 

  35,000      Petrobras Global Finance BV,
6.500%, 7/03/2033		      34,248  
     

 

 

  
   Health Insurance – 0.7%

 

  90,000      Centene Corp.,
2.500%, 3/01/2031		      71,772  
  35,000      Centene Corp.,
2.625%, 8/01/2031		      27,891  
  20,000      Centene Corp.,
3.000%, 10/15/2030		      16,666  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Non-Convertible Bonds – continued

   
  

Health Insurance – continued

   
  $    5,000      Centene Corp.,
4.625%, 12/15/2029		    $ 4,602  
  25,000      Molina Healthcare, Inc.,
3.875%, 5/15/2032, 144A		      20,959  
     

 

 

  
             141,890  
     

 

 

  
   Healthcare – 1.5%

 

  75,000      Cigna Group,
4.375%, 10/15/2028		      72,521  
  10,000      CVS Health Corp.,
5.250%, 1/30/2031		      9,969  
  84,398      CVS Pass-Through Trust, Series 2014,
4.163%, 8/11/2036, 144A		      72,813  
  5,000      Encompass Health Corp.,
4.750%, 2/01/2030		      4,553  
  165,000      HCA, Inc.,
4.125%, 6/15/2029		      152,689  
     

 

 

  
        312,545  
     

 

 

  
   Home Construction – 0.5%

 

  75,000      MDC Holdings, Inc.,
3.966%, 8/06/2061		      44,752  
  60,000      PulteGroup, Inc.,
6.000%, 2/15/2035		      60,664  
     

 

 

  
        105,416  
     

 

 

  
   Independent Energy – 3.4%

 

  150,000      Aker BP ASA,
4.000%, 1/15/2031, 144A		      133,396  
  147,000      Continental Resources, Inc.,
2.875%, 4/01/2032, 144A		      112,941  
  103,000      Continental Resources, Inc.,
5.750%, 1/15/2031, 144A		      97,918  
  20,000      Diamondback Energy, Inc.,
3.125%, 3/24/2031		      17,131  
  25,000      Energean Israel Finance Ltd.,
5.375%, 3/30/2028, 144A		      22,562  
  40,000      Energean Israel Finance Ltd.,
5.875%, 3/30/2031, 144A		      34,950  
  10,000      EQT Corp.,
3.125%, 5/15/2026, 144A		      9,194  
  30,000      EQT Corp.,
3.625%, 5/15/2031, 144A		      25,803  
  45,000      EQT Corp.,
3.900%, 10/01/2027		      41,603  
  10,000      EQT Corp.,
5.000%, 1/15/2029		      9,415  
  10,000      EQT Corp.,
5.700%, 4/01/2028		      9,870  
  60,000      EQT Corp.,
7.000%, 2/01/2030		      62,822  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Non-Convertible Bonds – continued

   
  

Independent Energy – continued

   
  $  10,000      Matador Resources Co.,
6.875%, 4/15/2028, 144A		    $ 9,898  
  30,000      Occidental Petroleum Corp.,
5.550%, 3/15/2026		      29,617  
  5,000      Occidental Petroleum Corp.,
8.875%, 7/15/2030		      5,747  
  45,000      Ovintiv Exploration, Inc.,
5.375%, 1/01/2026		      44,694  
  50,000      Ovintiv, Inc.,
6.500%, 8/15/2034		      50,108  
  5,000      Southwestern Energy Co.,
4.750%, 2/01/2032		      4,407  
     

 

 

  
             722,076  
     

 

 

  
   Industrial Other – 0.1%

 

  20,000      TopBuild Corp.,
4.125%, 2/15/2032, 144A		      17,038  
     

 

 

  
   Leisure – 1.3%

 

  40,000      Carnival Corp.,
5.750%, 3/01/2027, 144A		      36,824  
  30,000      Carnival Corp.,
6.000%, 5/01/2029, 144A		      26,785  
  50,000      Carnival Corp.,
9.875%, 8/01/2027, 144A		      52,082  
  30,000      NCL Corp. Ltd.,
5.875%, 3/15/2026, 144A		      28,067  
  25,000      NCL Corp. Ltd.,
5.875%, 2/15/2027, 144A		      24,308  
  10,000      NCL Finance Ltd.,
6.125%, 3/15/2028, 144A		      9,000  
  60,000      Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028, 144A		      55,952  
  35,000      VOC Escrow Ltd.,
5.000%, 2/15/2028, 144A		      32,113  
     

 

 

  
        265,131  
     

 

 

  
   Life Insurance – 1.0%

 

  50,000      Athene Global Funding,
1.608%, 6/29/2026, 144A		      42,761  
  55,000      Athene Global Funding,
1.716%, 1/07/2025, 144A		      50,897  
  95,000      Athene Global Funding,
2.550%, 11/19/2030, 144A		      73,551  
  30,000      Athene Holding Ltd.,
3.500%, 1/15/2031		      24,788  
  30,000      CNO Financial Group, Inc.,
5.250%, 5/30/2029		      28,380  
     

 

 

  
        220,377  
     

 

 

  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Non-Convertible Bonds – continued

   
   Lodging – 1.3%

 

  $  60,000      Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032, 144A		    $ 50,024  
  40,000      Hilton Domestic Operating Co., Inc.,
4.000%, 5/01/2031, 144A		      34,735  
  10,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
4.875%, 7/01/2031, 144A		      8,390  
  25,000      Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
5.000%, 6/01/2029, 144A		      22,186  
  25,000      Marriott International, Inc., Series FF,
4.625%, 6/15/2030		      23,937  
  20,000      Marriott International, Inc., Series HH,
2.850%, 4/15/2031		      16,816  
  20,000      Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029, 144A		      17,261  
  45,000      Travel & Leisure Co.,
4.500%, 12/01/2029, 144A		      38,287  
  70,000      Travel & Leisure Co.,
4.625%, 3/01/2030, 144A		      59,238  
     

 

 

  
             270,874  
     

 

 

  
   Media Entertainment – 1.7%

 

  85,000      iHeartCommunications, Inc.,
4.750%, 1/15/2028, 144A		      64,080  
  90,000      iHeartCommunications, Inc.,
5.250%, 8/15/2027, 144A		      68,823  
  135,000      Netflix, Inc.,
4.875%, 6/15/2030, 144A		      132,853  
  5,000      Netflix, Inc.,
5.375%, 11/15/2029, 144A		      5,018  
  5,000      Netflix, Inc.,
5.875%, 11/15/2028		      5,164  
  15,000      Netflix, Inc.,
6.375%, 5/15/2029		      15,870  
  15,000      Warnermedia Holdings, Inc.,
4.054%, 3/15/2029		      13,712  
  60,000      Warnermedia Holdings, Inc.,
4.279%, 3/15/2032		      53,213  
     

 

 

  
        358,733  
     

 

 

  
   Metals & Mining – 3.4%

 

  200,000      Anglo American Capital PLC,
4.500%, 3/15/2028, 144A		      190,605  
  50,000      ArcelorMittal SA,
6.800%, 11/29/2032		      51,333  
  20,000      ArcelorMittal SA,
7.000%, 10/15/2039		      20,877  
  25,000      ATI, Inc.,
5.875%, 12/01/2027		      24,194  
  200,000      First Quantum Minerals Ltd.,
6.875%, 10/15/2027, 144A		      195,100  
Principal
Amount		     

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		    $ 38,422  
  10,000      Freeport-McMoRan, Inc.,
4.250%, 3/01/2030		      9,215  
  10,000      Freeport-McMoRan, Inc.,
4.625%, 8/01/2030		      9,422  
  135,000      Glencore Funding LLC,
3.875%, 10/27/2027, 144A		      126,071  
  15,000      Glencore Funding LLC,
5.700%, 5/08/2033, 144A		      14,883  
  35,000      Novelis Corp.,
4.750%, 1/30/2030, 144A		      31,105  
  10,000      Volcan Cia Minera SAA,
4.375%, 2/11/2026, 144A		      7,437  
     

 

 

  
             718,664  
     

 

 

  
   Midstream – 3.1%

 

  15,000      Cheniere Energy Partners LP,
3.250%, 1/31/2032		      12,340  
  75,000      Cheniere Energy Partners LP,
4.000%, 3/01/2031		      66,037  
  5,000      Cheniere Energy Partners LP,
4.500%, 10/01/2029		      4,589  
  25,000      Cheniere Energy Partners LP,
5.950%, 6/30/2033, 144A		      25,073  
  55,000      DCP Midstream Operating LP,
3.250%, 2/15/2032		      46,551  
  10,000      DCP Midstream Operating LP,
5.125%, 5/15/2029		      9,782  
  65,000      Enbridge, Inc.,
5.700%, 3/08/2033		      65,893  
  55,000      Energy Transfer LP,
4.000%, 10/01/2027		      51,502  
  35,000      Energy Transfer LP,
5.750%, 2/15/2033		      35,229  
  5,000      EnLink Midstream LLC,
6.500%, 9/01/2030, 144A		      4,994  
  30,000      EnLink Midstream Partners LP,
5.450%, 6/01/2047		      24,660  
  35,000      EQM Midstream Partners LP,
5.500%, 7/15/2028		      33,118  
  15,000      Hess Midstream Operations LP,
4.250%, 2/15/2030, 144A		      13,087  
  15,000      Hess Midstream Operations LP,
5.625%, 2/15/2026, 144A		      14,756  
  80,000      NGPL PipeCo LLC,
4.875%, 8/15/2027, 144A		      75,809  
  15,000      Plains All American Pipeline LP/PAA Finance Corp.,
3.800%, 9/15/2030		      13,309  
  10,000      Plains All American Pipeline LP/PAA Finance Corp.,
4.300%, 1/31/2043		      7,473  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Midstream – continued

 

  $  25,000      Targa Resources Corp.,
6.125%, 3/15/2033		    $ 25,545  
  15,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.000%, 1/15/2032		      13,009  
  5,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.875%, 2/01/2031		      4,621  
  45,000      Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033, 144A		      36,850  
  20,000      Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031, 144A		      17,199  
  10,000      Western Midstream Operating LP,
4.300%, 2/01/2030		      8,978  
  20,000      Western Midstream Operating LP,
5.300%, 3/01/2048		      16,694  
  5,000      Western Midstream Operating LP,
5.450%, 4/01/2044		      4,224  
  10,000      Western Midstream Operating LP,
5.500%, 2/01/2050		      8,191  
  5,000      Western Midstream Operating LP,
6.150%, 4/01/2033		      5,039  
     

 

 

  
             644,552  
     

 

 

  
   Office REITs – 0.0%

 

  10,000      Corporate Office Properties LP,
2.750%, 4/15/2031		      7,598  
     

 

 

  
   Other REITs – 0.1%

 

  15,000      EPR Properties,
3.600%, 11/15/2031		      11,698  
     

 

 

  
   Paper – 0.2%

 

  45,000      Suzano Austria GmbH,
3.750%, 1/15/2031		      38,404  
     

 

 

  
   Pharmaceuticals – 1.9%

 

  45,000      Astrazeneca Finance LLC,
4.875%, 3/03/2028		      44,974  
  65,000      Bausch Health Cos., Inc.,
4.875%, 6/01/2028, 144A		      38,688  
  55,000      Bausch Health Cos., Inc.,
5.000%, 1/30/2028, 144A		      23,375  
  5,000      Bausch Health Cos., Inc.,
7.000%, 1/15/2028, 144A		      2,162  
  50,000      Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036		      44,433  
  85,000      Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026		      76,164  
  250,000      Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046		      164,332  
     

 

 

  
        394,128  
     

 

 

  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Property & Casualty Insurance – 1.3%

 

  $175,000      Fidelity National Financial, Inc.,
2.450%, 3/15/2031		    $ 137,071  
  40,000      HUB International Ltd.,
7.250%, 6/15/2030, 144A		      41,304  
  65,000      SiriusPoint Ltd.,
4.600%, 11/01/2026, 144A		      53,995  
  55,000      Stewart Information Services Corp.,
3.600%, 11/15/2031		      42,228  
     

 

 

  
             274,598  
     

 

 

  
   Restaurants – 0.7%

 

  125,000      1011778 BC ULC/New Red Finance, Inc.,
4.375%, 1/15/2028, 144A		      115,397  
  45,000      Yum! Brands, Inc.,
4.625%, 1/31/2032		      40,650  
     

 

 

  
        156,047  
     

 

 

  
   Retail REITs – 0.8%

 

  115,000      Brixmor Operating Partnership LP,
4.050%, 7/01/2030		      103,657  
  75,000      SITE Centers Corp.,
3.625%, 2/01/2025		      70,578  
     

 

 

  
        174,235  
     

 

 

  
   Retailers – 0.3%

 

  65,000      Lithia Motors, Inc.,
3.875%, 6/01/2029, 144A		      56,649  
  10,000      Tapestry, Inc.,
3.050%, 3/15/2032		      7,986  
     

 

 

  
        64,635  
     

 

 

  
   Technology – 7.1%

 

  15,000      Arrow Electronics, Inc.,
6.125%, 3/01/2026		      14,964  
  20,000      Broadcom, Inc.,
3.137%, 11/15/2035, 144A		      15,341  
  30,000      Broadcom, Inc.,
4.150%, 11/15/2030		      27,602  
  55,000      Broadcom, Inc.,
4.300%, 11/15/2032		      50,450  
  10,000      CDW LLC/CDW Finance Corp.,
2.670%, 12/01/2026		      8,979  
  10,000      CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029		      8,568  
  35,000      CDW LLC/CDW Finance Corp.,
3.276%, 12/01/2028		      30,409  
  110,000      CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031		      92,820  
  20,000      CDW LLC/CDW Finance Corp.,
4.250%, 4/01/2028		      18,343  
  130,000      CommScope Technologies LLC,
5.000%, 3/15/2027, 144A		      90,489  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Technology – continued

 

  $  60,000      CommScope, Inc.,
4.750%, 9/01/2029, 144A		    $ 47,304  
  65,000      Entegris Escrow Corp.,
4.750%, 4/15/2029, 144A		             60,341  
  5,000      Everi Holdings, Inc.,
5.000%, 7/15/2029, 144A		      4,379  
  35,000      Flex Ltd.,
6.000%, 1/15/2028		      35,545  
  5,000      Gartner, Inc.,
3.625%, 6/15/2029, 144A		      4,402  
  25,000      Global Payments, Inc.,
2.900%, 5/15/2030		      21,189  
  25,000      Global Payments, Inc.,
2.900%, 11/15/2031		      20,338  
  15,000      Global Payments, Inc.,
5.300%, 8/15/2029		      14,614  
  30,000      Global Payments, Inc.,
5.400%, 8/15/2032		      29,233  
  60,000      Iron Mountain, Inc.,
5.250%, 7/15/2030, 144A		      54,063  
  35,000      Jabil, Inc.,
1.700%, 4/15/2026		      31,316  
  35,000      Leidos, Inc.,
5.750%, 3/15/2033		      34,771  
  30,000      Marvell Technology, Inc.,
2.450%, 4/15/2028		      26,192  
  25,000      Marvell Technology, Inc.,
2.950%, 4/15/2031		      20,957  
  265,000      Micron Technology, Inc.,
4.663%, 2/15/2030		      249,882  
  65,000      Micron Technology, Inc.,
5.875%, 9/15/2033		      64,411  
  25,000      MSCI, Inc.,
3.250%, 8/15/2033, 144A		      20,134  
  5,000      NXP BV/NXP Funding LLC/NXP USA, Inc.,
4.400%, 6/01/2027		      4,833  
  15,000      Open Text Corp.,
6.900%, 12/01/2027, 144A		      15,270  
  60,000      Oracle Corp.,
3.950%, 3/25/2051		      45,367  
  30,000      Oracle Corp.,
6.150%, 11/09/2029		      31,247  
  55,000      S&P Global, Inc.,
4.250%, 5/01/2029		      53,452  
  60,000      TD SYNNEX Corp.,
1.750%, 8/09/2026		      52,294  
  50,000      Trimble, Inc.,
6.100%, 3/15/2033		      50,662  
  35,000      Verisk Analytics, Inc.,
4.125%, 3/15/2029		      33,410  
  20,000      Verisk Analytics, Inc.,
5.750%, 4/01/2033		      20,938  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Convertible Bonds – continued

 

   Technology – continued

 

  $  35,000      VMware, Inc.,
2.200%, 8/15/2031		    $ 27,503  
  30,000      Western Digital Corp.,
2.850%, 2/01/2029		      23,969  
  30,000      Western Digital Corp.,
4.750%, 2/15/2026		      28,576  
     

 

 

  
        1,484,557  
     

 

 

  
   Transportation Services – 0.5%

 

  45,000      ERAC USA Finance LLC,
4.900%, 5/01/2033, 144A		      43,972  
  60,000      Rand Parent LLC,
8.500%, 2/15/2030, 144A		      54,326  
     

 

 

  
        98,298  
     

 

 

  
   Treasuries – 8.4%

 

  135,000      U.S. Treasury Bonds,
1.125%, 8/15/2040		      86,801  
  255,000      U.S. Treasury Bonds,
1.875%, 2/15/2051		      168,848  
  155,000      U.S. Treasury Bonds,
2.250%, 2/15/2052		      112,012  
  415,000      U.S. Treasury Bonds,
3.250%, 5/15/2042		      370,322  
  805,000      U.S. Treasury Notes,
0.250%, 9/30/2023		      795,216  
  230,000      U.S. Treasury Notes,
1.500%, 2/29/2024(b)		      224,088  
     

 

 

  
        1,757,287  
     

 

 

  
   Wireless – 3.3%

 

  40,000      American Tower Corp.,
5.500%, 3/15/2028		      39,722  
  80,000      Crown Castle, Inc.,
2.500%, 7/15/2031		      65,721  
  40,000      Crown Castle, Inc.,
5.100%, 5/01/2033		      39,307  
  70,000      SBA Communications Corp.,
3.125%, 2/01/2029		      59,336  
  55,000      Sprint Capital Corp.,
8.750%, 3/15/2032		      66,474  
  130,000      T-Mobile USA, Inc.,
3.375%, 4/15/2029		      117,396  
  65,000      T-Mobile USA, Inc.,
3.500%, 4/15/2031		      57,356  
  265,000      T-Mobile USA, Inc.,
3.875%, 4/15/2030		      244,136  
     

 

 

  
        689,448  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $19,596,175)		      16,933,908  
     

 

 

  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Convertible Bonds – 4.7%

  
   Airlines – 0.5%

 

  $  20,000      JetBlue Airways Corp.,
0.500%, 4/01/2026		    $ 16,425  
  85,000      Southwest Airlines Co.,
1.250%, 5/01/2025		      97,453  
     

 

 

  
        113,878  
     

 

 

  
   Cable Satellite – 1.0%

 

  45,000      DISH Network Corp.,
Zero Coupon, 0.000%-29.314%, 12/15/2025(c)		      23,908  
  350,000      DISH Network Corp.,
3.375%, 8/15/2026		      177,625  
     

 

 

  
             201,533  
     

 

 

  
   Consumer Cyclical Services – 0.3%

 

  5,000      Peloton Interactive, Inc.,
Zero Coupon, 0.798%, 2/15/2026(d)		      3,792  
  65,000      Uber Technologies, Inc.,
Zero Coupon, 0.000%-5.152%, 12/15/2025(c)		      59,586  
     

 

 

  
        63,378  
     

 

 

  
   Electric – 0.2%

 

  50,000      PPL Capital Funding, Inc.,
2.875%, 3/15/2028, 144A		      47,750  
     

 

 

  
   Gaming – 0.1%

 

  10,000      Penn Entertainment, Inc.,
2.750%, 5/15/2026		      12,390  
     

 

 

  
   Healthcare – 0.5%

 

  140,000      Teladoc Health, Inc.,
1.250%, 6/01/2027		      111,300  
     

 

 

  
   Independent Energy – 0.1%

 

  20,000      Northern Oil & Gas, Inc.,
3.625%, 4/15/2029, 144A		      22,304  
     

 

 

  
   Leisure – 0.2%

 

  40,000      NCL Corp. Ltd.,
1.125%, 2/15/2027		      36,787  
     

 

 

  
   Media Entertainment – 0.2%

 

  30,000      Snap, Inc.,
Zero Coupon, 6.709%-6.954%, 5/01/2027(c)		      22,200  
  25,000      Spotify USA, Inc.,
Zero Coupon, 5.189%-5.777%, 3/15/2026(c)		      21,238  
     

 

 

  
        43,438  
     

 

 

  
   Pharmaceuticals – 1.1%

 

  195,000      BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027		      196,035  
  15,000      Guardant Health, Inc.,
Zero Coupon, 0.000%, 11/15/2027(d)		      10,724  
Principal
Amount		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Convertible Bonds – continued   
   Pharmaceuticals – continued   
  $  40,000      Livongo Health, Inc.,
0.875%, 6/01/2025		    $ 36,136  
     

 

 

  
        242,895  
     

 

 

  
   Technology – 0.5%

 

  5,000      Nutanix, Inc.,
0.250%, 10/01/2027		      4,228  
  60,000      Splunk, Inc.,
1.125%, 6/15/2027		      51,750  
  40,000      Unity Software, Inc., Zero Coupon,
7.084%-8.213%, 11/15/2026(c)		      31,940  
  5,000      Wolfspeed, Inc.,
0.250%, 2/15/2028		      3,830  
  15,000      Wolfspeed, Inc.,
1.875%, 12/01/2029, 144A		      11,565  
     

 

 

  
        103,313  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $1,299,938)		      998,966  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $20,896,113)		      17,932,874  
     

 

 

  
 

Collateralized Loan Obligations – 3.3%

  
  250,000      AIMCO CLO 14 Ltd., Series 2021-14A, Class D,
3 mo. USD LIBOR + 2.900%, 8.150%, 4/20/2034, 144A(e)		      231,648  
  250,000      Fillmore Park CLO Ltd., Series 2018-1A, Class D,
3 mo. USD LIBOR + 2.900%, 8.160%, 7/15/2030, 144A(e)		      232,653  
  250,000      Recette CLO Ltd., Series 2015-1A, Class DRR,
3 mo. USD LIBOR + 3.250%, 8.500%, 4/20/2034, 144A(e)		      227,634  
     

 

 

  
   Total Collateralized Loan Obligations
(Identified Cost $750,000)		      691,935  
     

 

 

  
Shares  
 

Preferred Stocks – 1.1%

  
 

Convertible Preferred Stocks - 1.1%

  
   Banking – 1.0%

 

  97      Bank of America Corp., Series L,
7.250%		      113,666  
  83      Wells Fargo & Co., Series L, Class A,
7.500%		      95,616  
     

 

 

  
        209,282  
     

 

 

  
   Technology – 0.1%

 

  273      Clarivate PLC, Series A,
5.250%		      11,207  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $281,607)		      220,489  
     

 

 

  
Principal
Amount		     

Description

    Value (†)  
 

Short-Term Investments – 9.2%

  
  $563,810      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $563,918 on 7/03/2023 collateralized by $665,200 U.S. Treasury Note, 0.500% due 5/31/2027 valued at $575,151 including accrued interest(g)    $ 563,810  
  325,000      U.S. Treasury Bills,
5.115%, 12/14/2023(h)		      317,266  
  325,000      U.S. Treasury Bills,
5.140%, 10/17/2023(h)		      320,014  
  425,000      U.S. Treasury Bills,
5.201%, 10/24/2023(h)		      418,050  
  325,000      U.S. Treasury Bills,
5.231%, 12/28/2023(h)		      316,586  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $1,935,572)		      1,935,726  
     

 

 

  
   Total Investments – 99.0%
(Identified Cost $23,863,292)		      20,781,024  
   Other assets less liabilities – 1.0%      205,358  
     

 

 

  
   Net Assets – 100.0%    $ 20,986,382  
     

 

 

  

 

(†)

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 Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s 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. Senior loans and 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, senior loans 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 issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s 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 Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s 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, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a)

Perpetual bond with no specified maturity date.

(b)

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

(c)

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

(d)

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

(e)

Variable rate security. Rate as of June 30, 2023 is disclosed.

(f)

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

(g)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2023, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(h)

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 June 30, 2023, the value of Rule 144A holdings amounted to $7,214,385 or 34.4% of net assets.
LIBOR   London Interbank Offered Rate
MTN   Medium Term Note
REITs   Real Estate Investment Trusts

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At June 30, 2023, open long futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

CBOT 2 Year U.S. Treasury Notes Futures

      9/29/2023        7      $ 1,439,797      $ 1,423,406      $ (16,391 ) 

CBOT 10 Year U.S. Treasury Notes Futures

      9/20/2023        5        567,901        561,328        (6,573 ) 

CBOT 5 Year U.S. Treasury Notes Futures

      9/29/2023        3        325,910        321,281        (4,629 ) 

CBOT U.S. Long Bond Futures

      9/20/2023        24        3,031,649        3,045,750        14,101  

CME Ultra Long Term U.S. Treasury Bond Futures

      9/20/2023        6        803,739        817,312        13,573  
              

 

 

  

Total

 

    $ 81  
              

 

 

  

At June 30, 2023, open short futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Ultra 10 Year U.S. Treasury Notes Futures

      9/20/2023        9      $ 1,071,645      $ 1,065,937      $ 5,708  
              

 

 

  

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The Fund’s 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 Fund’s 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 Fund’s investments as of June 30, 2023, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes*

    $ —        $ 17,932,874      $ —        $ 17,932,874  

Collateralized Loan Obligations

      —          691,935        —          691,935  

Preferred Stocks*

      220,489        —          —          220,489  

Short-Term Investmentss

      —          1,935,726        —          1,935,726  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 220,489      $ 20,560,535      $ —        $ 20,781,024  
  

 

 

     

 

 

     

 

 

     

 

 

  

Futures Contracts (unrealized appreciation)

      33,382        —          —          33,382  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 253,871      $ 20,560,535      $ —        $ 20,814,406  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1     Level 2      Level 3      Total  

Futures Contracts (unrealized depreciation)

    $ (27,593 )    $ —        $ —        $ (27,593 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

*

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

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. As of June 30, 2023, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of June 30, 2023:

 

Assets

    Unrealized
appreciation on
futures contracts		  

Exchange-traded asset derivatives

   

Interest rate contracts

    $ 33,382  

 

Liabilities

    Unrealized
depreciation on
futures contracts		  

Exchange-traded liability derivatives

   

Interest rate contracts

    $ (27,593 ) 

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.

Industry Summary at June 30, 2023 (Unaudited)

 

Banking

      13.8 % 

Treasuries

      8.4  

Technology

      7.7  

Finance Companies

      6.8  

Cable Satellite

      6.0  

Independent Energy

      3.5  

Metals & Mining

      3.4  

Wireless

      3.3  

Midstream

      3.1  

Pharmaceuticals

      3.0  

Consumer Cyclical Services

      2.9  

Healthcare

      2.0  

Other Investments, less than 2% each

      22.6  

Short-Term Investments

      9.2  

Collateralized Loan Obligations

      3.3  
  

 

 

  

Total Investments

      99.0  

Other assets less liabilities (including futures contracts)

      1.0  
  

 

 

  

Net Assets

      100.0 %