NPORT-EX 2 NPORT_IABM_53616991_0324.htm EDGAR HTML
Portfolio of Investments – as of March 31, 2024 (Unaudited)
Loomis Sayles Strategic Income Fund
 
Principal
Amount (‡)
Description
Value (†)
Bonds and Notes — 86.6% of Net Assets
 
 
Non-Convertible Bonds — 78.1%
 
ABS Car Loan — 1.3%
$635,000
American Credit Acceptance Receivables
Trust, Series 2022-4, Class C,
7.860%, 2/15/2029(a)
$641,051
7,500,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2019-2A, Class D, 3.040%, 9/22/2025(a)
7,415,494
5,000,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2020-1A, Class D, 3.340%, 8/20/2026(a)
4,752,853
715,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2024-1A, Class C, 6.480%, 6/20/2030(a)
724,466
1,030,000
Credit Acceptance Auto Loan Trust,
Series 2024-1A, Class C, 6.710%, 7/17/2034(a)
1,037,634
940,000
First Investors Auto Owner Trust,
Series 2022-2A, Class D,
8.710%, 10/16/2028(a)
986,318
7,303,000
Hertz Vehicle Financing III LLC,
Series 2022-1A, Class D, 4.850%, 6/25/2026(a)
7,089,900
1,295,000
Hertz Vehicle Financing III LLC,
Series 2023-1A, Class 1D,
9.130%, 6/25/2027(a)
1,314,064
4,155,000
Hertz Vehicle Financing LLC, Series 2022-2A,
Class D, 5.160%, 6/26/2028(a)
3,814,902
4,105,000
Hertz Vehicle Financing LLC, Series 2022-4A,
Class D, 6.560%, 9/25/2026(a)
4,025,318
2,810,000
Prestige Auto Receivables Trust,
Series 2022-1A, Class D, 8.080%, 8/15/2028(a)
2,895,216
175,000
SBNA Auto Receivables Trust, Series 2024-A,
Class C, 5.590%, 1/15/2030(a)
174,967
240,000
SBNA Auto Receivables Trust, Series 2024-A,
Class D, 6.040%, 4/15/2030(a)
240,269
200,000
VStrong Auto Receivables Trust,
Series 2024-A, Class D, 7.290%, 7/15/2030(a)
201,293
1,540,000
Westlake Automobile Receivables Trust,
Series 2023-1A, Class D,
6.790%, 11/15/2028(a)
1,567,898
 
 
36,881,643
 
ABS Home Equity — 2.6%
4,658,737
510 Asset-Backed Trust, Series 2021-NPL1,
Class A1, 2.240%, 6/25/2061(a)(b)
4,538,669
5,350,000
CoreVest American Finance Ltd.,
Series 2021-1, Class D, 3.247%, 4/15/2053(a)
4,381,333
1,510,000
CoreVest American Finance Ltd.,
Series 2021-3, Class D, 3.469%, 10/15/2054(a)
1,263,092
3,245,000
CoreVest American Finance Ltd.,
Series 2023-RTL1, Class A1,
7.553%, 12/28/2030(a)(b)
3,229,852
2,510,000
Credit Suisse Mortgage Trust,
Series 2021-RPL6, Class M2,
3.125%, 10/25/2060(a)
1,915,518
7,660,000
FirstKey Homes Trust, Series 2020-SFR1,
Class F2, 4.284%, 8/17/2037(a)
7,357,378
8,306,837
Home Partners of America Trust,
Series 2021-2, Class E1, 2.852%, 12/17/2026(a)
7,452,075
4,153,418
Home Partners of America Trust,
Series 2021-2, Class E2, 2.952%, 12/17/2026(a)
3,713,033
2,513,000
PRPM LLC, Series 2021-4, Class A2,
3.474%, 4/25/2026(a)(b)
2,404,655
5,875,450
PRPM LLC, Series 2021-5, Class A1,
1.793%, 6/25/2026(a)(b)
5,745,013
Principal
Amount (‡)
Description
Value (†)
 
 
ABS Home Equity — continued
$4,151,652
PRPM LLC, Series 2021-9, Class A1,
2.363%, 10/25/2026(a)(b)
$4,045,715
5,819,478
PRPM LLC, Series 2022-5, Class A1,
6.900%, 9/27/2027(a)(b)
5,837,293
2,015,712
RCO VII Mortgage LLC, Series 2024-1,
Class A1, 7.021%, 1/25/2029(a)(b)
2,005,343
768,420
Redwood Funding Trust, Series 2023-1,
Class A, 7.500%, 7/25/2059(a)(b)
754,025
3,692,387
Toorak Mortgage Corp. Ltd., Series 2021-1,
Class A1, 3.240%, 6/25/2024(a)(b)
3,653,346
800,000
Toorak Mortgage Trust, Series 2024-RRTL1,
Class A1, 6.597%, 2/25/2039(a)(b)
799,416
1,120,000
Towd Point Mortgage Trust, Series 2017-4,
Class M2, 3.250%, 6/25/2057(a)(b)
950,069
795,000
Towd Point Mortgage Trust, Series 2019-4,
Class M1, 3.500%, 10/25/2059(a)(b)
684,741
3,970,000
VCAT LLC, Series 2021-NPL5, Class A2,
3.844%, 8/25/2051(a)(b)
3,785,360
7,865,000
VCAT LLC, Series 2021-NPL6, Class A2,
3.967%, 9/25/2051(a)(b)
7,527,990
 
 
72,043,916
 
ABS Other — 2.4%
2,623,230
AASET Trust, Series 2021-2A, Class B,
3.538%, 1/15/2047(a)
2,207,314
1,215,000
BHG Securitization Trust, Series 2024-1CON,
Class B, 6.490%, 4/17/2035(a)
1,221,131
330,000
BHG Securitization Trust, Series 2024-1CON,
Class C, 6.860%, 4/17/2035(a)
331,800
1,640,065
Castlelake Aircraft Securitization Trust,
Series 2018-1, Class B, 5.300%, 6/15/2043(a)
1,302,284
6,364,538
Clsec Holdings 22t LLC, Series 2021-1,
Class C, 6.171%, 5/11/2037(a)
5,518,054
312,011
Elara HGV Timeshare Issuer LLC,
Series 2021-A, Class C, 2.090%, 8/27/2035(a)
287,473
550,000
Foundation Finance Trust, Series 2023-2A,
Class D, 9.100%, 6/15/2049(a)
569,922
10,435,000
Frontier Issuer LLC, Series 2023-1, Class A2,
6.600%, 8/20/2053(a)
10,529,103
46,843
HIN Timeshare Trust, Series 2020-A, Class C,
3.420%, 10/09/2039(a)
44,227
2,439,830
Lunar Structured Aircraft Portfolio Notes,
Series 2021-1, Class B, 3.432%, 10/15/2046(a)
2,132,617
6,910,615
MAPS Trust, Series 2021-1A, Class A,
2.521%, 6/15/2046(a)
6,164,967
505,000
MetroNet Infrastructure Issuer LLC,
Series 2024-1A, Class A2,
6.230%, 4/20/2054(a)
505,845
12,328,237
Navigator Aircraft ABS Ltd., Series 2021-1,
Class B, 3.571%, 11/15/2046(a)(b)
10,669,214
1,930,000
SCF Equipment Leasing LLC, Series 2022-2A,
Class C, 6.500%, 8/20/2032(a)
1,955,669
3,000,000
SEB Funding LLC, Series 2024-1A, Class A2,
7.386%, 4/30/2054(a)
3,030,618
719,571
Shenton Aircraft Investment I Ltd.,
Series 2015-1A, Class A,
4.750%, 10/15/2042(a)
663,818
9,191,910
Slam Ltd., Series 2021-1A, Class A,
2.434%, 6/15/2046(a)
8,052,076
8,399,415
Willis Engine Structured Trust VI,
Series 2021-A, Class A, 3.104%, 5/15/2046(a)
7,186,388
3,900,000
Ziply Fiber Issuer LLC, Series 2024-1A,
Class A2, 6.640%, 4/20/2054(a)
3,898,405
 
 
66,270,925
Principal
Amount (‡)
Description
Value (†)
 
 
ABS Student Loan — 0.1%
$2,365,000
SMB Private Education Loan Trust,
Series 2024-A, Class C, 6.220%, 3/15/2056(a)
$2,368,739
 
ABS Whole Business — 0.4%
5,925,000
Applebee's Funding LLC/IHOP Funding LLC,
Series 2023-1A, Class A2,
7.824%, 3/05/2053(a)
6,125,329
1,496,250
FOCUS Brands Funding, Series 2023-2,
Class A2, 8.241%, 10/30/2053(a)
1,587,218
2,261,062
Hardee's Funding LLC, Series 2021-1A,
Class A2, 2.865%, 6/20/2051(a)
1,920,775
1,020,000
Hardee's Funding LLC, Series 2024-1A,
Class A2, 7.253%, 3/20/2054(a)
1,025,763
751,638
Planet Fitness Master Issuer LLC,
Series 2019-1A, Class A2,
3.858%, 12/05/2049(a)
680,684
132,300
Planet Fitness Master Issuer LLC,
Series 2022-1A, Class A2I,
3.251%, 12/05/2051(a)
123,509
 
 
11,463,278
 
Aerospace & Defense — 1.5%
1,090,000
BAE Systems PLC, 5.250%, 3/26/2031(a)
1,095,265
9,200,000
BAE Systems PLC, 5.300%, 3/26/2034(a)
9,243,884
4,075,000
Boeing Co., 3.625%, 2/01/2031
3,586,391
4,130,000
Boeing Co., 5.705%, 5/01/2040
3,952,994
6,410,000
Boeing Co., 5.805%, 5/01/2050
6,064,679
5,945,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
6,225,319
2,500,000
L3Harris Technologies, Inc., 5.350%, 6/01/2034
2,500,022
1,020,000
RTX Corp., 2.375%, 3/15/2032
840,296
8,045,000
RTX Corp., 5.150%, 2/27/2033
8,060,302
 
 
41,569,152
 
Airlines — 0.0%
962,883
American Airlines Pass-Through Trust,
Series 2016-3, Class B, 3.750%, 4/15/2027
926,101
518,494
American Airlines Pass-Through Trust,
Series 2017-2, Class B, 3.700%, 4/15/2027
502,854
 
 
1,428,955
 
Automotive — 0.5%
2,765,000
General Motors Financial Co., Inc.,
3.100%, 1/12/2032
2,341,955
6,445,000
General Motors Financial Co., Inc.,
6.400%, 1/09/2033
6,753,918
2,055,000
ZF North America Capital, Inc.,
6.875%, 4/14/2028(a)
2,132,412
2,170,000
ZF North America Capital, Inc.,
7.125%, 4/14/2030(a)
2,286,746
 
 
13,515,031
 
Banking — 5.0%
2,695,000
Ally Financial, Inc., Series B, (fixed rate to
5/15/2026, variable rate thereafter), 4.700%(c)
2,310,519
15,755,000
Bank of America Corp., (fixed rate to
9/15/2033, variable rate thereafter),
5.872%, 9/15/2034
16,340,615
11,885,000
Barclays PLC, (fixed rate to 3/15/2028,
variable rate thereafter), 4.375%(c)
9,743,187
9,000,000
Barclays PLC, (fixed rate to 9/23/2030,
variable rate thereafter), 3.564%, 9/23/2035
7,718,002
3,970,000
CaixaBank SA, (fixed rate to 9/13/2033,
variable rate thereafter), 6.840%, 9/13/2034(a)
4,241,310
14,295,000
Credit Agricole SA, (fixed rate to 1/10/2034,
variable rate thereafter), 6.251%, 1/10/2035(a)
14,529,804
Principal
Amount (‡)
Description
Value (†)
 
 
Banking — continued
$8,240,000
Deutsche Bank AG, (fixed rate to 10/07/2031,
variable rate thereafter), 3.742%, 1/07/2033
$6,806,299
16,322,000
Deutsche Bank AG, (fixed rate to 10/14/2030,
variable rate thereafter), 3.729%, 1/14/2032
13,746,975
1,709,000
Deutsche Bank AG, (fixed rate to 12/01/2027,
variable rate thereafter), 4.875%, 12/01/2032
1,603,364
5,690,000
Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a)
6,150,321
11,025,000
Morgan Stanley, (fixed rate to 1/19/2033,
variable rate thereafter), 5.948%, 1/19/2038
11,047,439
8,505,000
NatWest Group PLC, (fixed rate to 8/28/2030,
variable rate thereafter), 3.032%, 11/28/2035
7,115,538
8,345,000
Societe Generale SA, (fixed rate to 1/19/2034,
variable rate thereafter), 6.066%, 1/19/2035(a)
8,394,692
3,695,000
UBS Group AG, (fixed rate to 11/15/2032,
variable rate thereafter),
9.016%, 11/15/2033(a)
4,483,314
5,405,000
UBS Group AG, (fixed rate to 2/08/2034,
variable rate thereafter), 5.699%, 2/08/2035(a)
5,432,352
325,000
UBS Group AG, (fixed rate to 5/14/2031,
variable rate thereafter), 3.091%, 5/14/2032(a)
276,435
5,370,000
UBS Group AG, (fixed rate to 8/12/2032,
variable rate thereafter), 6.537%, 8/12/2033(a)
5,657,993
14,800,000
UniCredit SpA, (fixed rate to 6/30/2030,
variable rate thereafter), 5.459%, 6/30/2035(a)
13,897,995
 
 
139,496,154
 
Brokerage — 0.1%
3,893,000
Jefferies Financial Group, Inc.,
6.250%, 1/15/2036
4,028,978
 
Building Materials — 1.4%
29,325,000
Cemex SAB de CV, 3.875%, 7/11/2031(a)
25,982,220
1,325,000
Cemex SAB de CV, (fixed rate to 3/14/2028,
variable rate thereafter), 9.125%(a)(c)
1,439,419
10,470,000
Cemex SAB de CV, (fixed rate to 6/08/2026,
variable rate thereafter), 5.125%(a)(c)
10,118,654
1,859,000
Masco Corp., 6.500%, 8/15/2032
1,983,708
 
 
39,524,001
 
Cable Satellite — 6.0%
34,275,000
CCO Holdings LLC/CCO Holdings Capital
Corp., 4.250%, 1/15/2034(a)
25,872,621
6,555,000
CCO Holdings LLC/CCO Holdings Capital
Corp., 4.750%, 2/01/2032(a)
5,349,690
7,180,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 2.300%, 2/01/2032
5,539,427
17,890,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 2.800%, 4/01/2031
14,658,566
16,530,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 3.700%, 4/01/2051
10,222,970
920,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 3.850%, 4/01/2061
545,863
31,240,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 3.950%, 6/30/2062
18,847,550
4,025,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 4.400%, 4/01/2033
3,567,017
6,425,000
CSC Holdings LLC, 3.375%, 2/15/2031(a)
4,367,030
1,075,000
CSC Holdings LLC, 4.125%, 12/01/2030(a)
768,679
415,000
CSC Holdings LLC, 4.500%, 11/15/2031(a)
293,806
Principal
Amount (‡)
Description
Value (†)
 
 
Cable Satellite — continued
$48,110,000
CSC Holdings LLC, 4.625%, 12/01/2030(a)
$24,430,941
5,540,000
CSC Holdings LLC, 5.000%, 11/15/2031(a)
2,800,650
14,005,000
CSC Holdings LLC, 5.375%, 2/01/2028(a)
12,046,018
1,360,000
CSC Holdings LLC, 5.750%, 1/15/2030(a)
719,948
3,705,000
Directv Financing LLC/Directv Financing
Co-Obligor, Inc., 5.875%, 8/15/2027(a)
3,505,064
6,470,000
DISH DBS Corp., 5.125%, 6/01/2029
2,698,562
22,190,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
17,472,597
6,575,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
4,518,702
15,865,000
DISH DBS Corp., 7.750%, 7/01/2026
10,622,366
 
 
168,848,067
 
Chemicals — 1.0%
10,887,000
Ashland, Inc., 3.375%, 9/01/2031(a)
9,211,419
1,320,000
Braskem Netherlands Finance BV,
4.500%, 1/31/2030(a)
1,135,034
4,275,000
Braskem Netherlands Finance BV,
5.875%, 1/31/2050(a)
3,298,261
450,000
Celanese U.S. Holdings LLC,
6.330%, 7/15/2029
466,628
2,810,000
Celanese U.S. Holdings LLC,
6.550%, 11/15/2030
2,955,611
11,235,000
Celanese U.S. Holdings LLC,
6.700%, 11/15/2033
11,979,048
 
 
29,046,001
 
Construction Machinery — 0.5%
1,530,000
Ashtead Capital, Inc., 5.500%, 8/11/2032(a)
1,495,811
2,140,000
Ashtead Capital, Inc., 5.550%, 5/30/2033(a)
2,104,436
2,870,000
Ashtead Capital, Inc., 5.800%, 4/15/2034(a)
2,867,084
6,985,000
United Rentals North America, Inc.,
6.125%, 3/15/2034(a)
6,993,682
 
 
13,461,013
 
Consumer Cyclical Services — 0.7%
2,145,000
TriNet Group, Inc., 3.500%, 3/01/2029(a)
1,923,829
8,665,000
Uber Technologies, Inc., 4.500%, 8/15/2029(a)
8,221,506
10,815,000
Uber Technologies, Inc., 6.250%, 1/15/2028(a)
10,859,234
 
 
21,004,569
 
Electric — 0.9%
18,352,767
Alta Wind Holdings LLC, 7.000%, 6/30/2035(a)
18,677,405
1,780,000
Enel Generacion Chile SA, 7.875%, 2/01/2027
1,869,000
5,740,000
Southern Co., 5.700%, 3/15/2034
5,919,916
 
 
26,466,321
 
Finance Companies — 6.0%
4,030,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.300%, 1/30/2032
3,456,355
2,395,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.400%, 10/29/2033
2,017,450
3,555,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 6.150%, 9/30/2030
3,689,788
10,600,000
Air Lease Corp., Series B, (fixed rate to
6/15/2026, variable rate thereafter), 4.650%(c)
10,008,485
2,570,000
Aircastle Ltd., 5.950%, 2/15/2029(a)
2,571,009
3,585,000
Aircastle Ltd., Series A, (fixed rate to
6/15/2026, variable rate thereafter),
5.250%(a)(c)
3,414,800
11,555,000
Ares Capital Corp., 3.200%, 11/15/2031
9,637,104
4,150,000
Aviation Capital Group LLC,
6.250%, 4/15/2028(a)
4,243,416
8,650,000
Aviation Capital Group LLC,
6.750%, 10/25/2028(a)
9,018,332
4,475,000
Barings BDC, Inc., 3.300%, 11/23/2026
4,091,099
7,175,000
Blue Owl Capital Corp., 2.875%, 6/11/2028
6,342,713
Principal
Amount (‡)
Description
Value (†)
 
 
Finance Companies — continued
$10,065,000
Blue Owl Capital Corp., 4.250%, 1/15/2026
$9,762,735
6,800,000
GATX Corp., 5.450%, 9/15/2033
6,763,342
400,000
Macquarie Airfinance Holdings Ltd.,
6.400%, 3/26/2029(a)
406,328
860,000
Macquarie Airfinance Holdings Ltd.,
6.500%, 3/26/2031(a)
875,334
2,920,000
Nationstar Mortgage Holdings, Inc.,
5.000%, 2/01/2026(a)
2,857,525
2,210,000
Nationstar Mortgage Holdings, Inc.,
5.125%, 12/15/2030(a)
2,005,091
9,605,000
Nationstar Mortgage Holdings, Inc.,
5.500%, 8/15/2028(a)
9,192,766
135,000
Navient Corp., 5.000%, 3/15/2027
129,336
950,000
Navient Corp., 6.750%, 6/15/2026
957,781
950,000
Navient Corp., Series A, MTN,
5.625%, 8/01/2033
786,462
2,301,000
OneMain Finance Corp., 3.500%, 1/15/2027
2,136,019
555,000
OneMain Finance Corp., 3.875%, 9/15/2028
495,102
10,385,000
OneMain Finance Corp., 4.000%, 9/15/2030
8,887,962
2,025,000
OneMain Finance Corp., 5.375%, 11/15/2029
1,903,930
4,075,000
OneMain Finance Corp., 7.125%, 3/15/2026
4,148,945
11,740,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 2.875%, 10/15/2026(a)
10,846,855
12,750,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.625%, 3/01/2029(a)
11,469,206
33,040,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(a)
28,784,423
9,630,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(a)
8,157,485
 
 
169,057,178
 
Financial Other — 1.1%
1,650,000
Agile Group Holdings Ltd., 5.500%, 4/21/2025
251,311
1,120,000
Agile Group Holdings Ltd., 5.500%, 5/17/2026
147,482
1,225,000
Agile Group Holdings Ltd., 5.750%, 1/02/2025
203,546
6,150,000
Agile Group Holdings Ltd., 6.050%, 10/13/2025
855,034
4,720,000
Central China Real Estate Ltd.,
7.250%, 7/16/2024(d)
172,988
1,260,000
Central China Real Estate Ltd.,
7.250%, 8/13/2024(d)
45,196
1,957,000
Central China Real Estate Ltd.,
7.250%, 4/28/2025(d)
63,602
3,260,000
Central China Real Estate Ltd.,
7.500%, 7/14/2025(d)
130,009
4,415,000
Central China Real Estate Ltd.,
7.650%, 8/27/2025(d)
154,172
1,305,000
Central China Real Estate Ltd.,
7.750%, 5/24/2024(d)
42,413
6,815,475
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(e)
255,035
8,274,825
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(e)
197,355
833,252
CFLD Cayman Investment Ltd., Zero Coupon,
0.000%–28.181%, 1/31/2031(a)(f)
8,541
1,035,000
China Aoyuan Group Ltd.,
6.200%, 3/24/2026(d)
15,525
2,400,000
China Aoyuan Group Ltd.,
6.350%, 2/08/2024(d)
36,000
1,240,000
China Aoyuan Group Ltd.,
7.950%, 2/19/2023(d)
18,600
1,800,000
China Evergrande Group, 8.250%, 3/23/2022(d)
24,750
4,045,000
China Evergrande Group, 8.750%, 6/28/2025(d)
36,405
1,405,000
China Evergrande Group, 9.500%, 4/11/2022(d)
18,265
Principal
Amount (‡)
Description
Value (†)
 
 
Financial Other — continued
$335,000
China Evergrande Group, 9.500%, 3/29/2024(d)
$4,355
4,060,000
CIFI Holdings Group Co. Ltd.,
4.450%, 8/17/2026(d)
324,800
24,490,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.375%, 2/01/2029
20,879,995
895,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 5.250%, 5/15/2027
808,848
375,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 6.375%, 12/15/2025
371,962
6,925,000
Kaisa Group Holdings Ltd.,
9.375%, 6/30/2024(d)
213,151
1,415,000
Kaisa Group Holdings Ltd.,
9.950%, 7/23/2025(d)
35,078
1,600,000
Kaisa Group Holdings Ltd.,
10.500%, 1/15/2025(d)
32,000
8,085,000
Kaisa Group Holdings Ltd.,
11.250%, 4/16/2025(d)
161,700
7,075,000
Kaisa Group Holdings Ltd.,
11.650%, 6/01/2026(d)
141,500
4,795,000
Kaisa Group Holdings Ltd.,
11.700%, 11/11/2025(d)
101,798
1,380,000
KWG Group Holdings Ltd.,
6.000%, 8/14/2026(d)
96,255
3,760,000
KWG Group Holdings Ltd.,
6.300%, 2/13/2026(d)
258,500
3,345,000
Logan Group Co. Ltd., 4.250%, 7/12/2025(d)
328,880
1,320,000
Logan Group Co. Ltd., 4.850%, 12/14/2026(d)
125,400
2,880,000
Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(d)
103,536
400,000
Shimao Group Holdings Ltd.,
4.600%, 7/13/2030(d)
13,000
1,830,000
Shimao Group Holdings Ltd.,
5.200%, 1/16/2027(d)
57,645
280,000
Shimao Group Holdings Ltd.,
5.600%, 7/15/2026(d)
9,999
1,970,000
Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(d)
68,891
1,486,509
Sunac China Holdings Ltd., 6.000% PIK or
5.000% Cash, 9/30/2026(a)(g)
173,669
1,486,509
Sunac China Holdings Ltd., 6.250% PIK or
5.250% Cash, 9/30/2027(a)(g)
150,286
2,973,020
Sunac China Holdings Ltd., 6.500% PIK or
5.500% Cash, 9/30/2027(a)(g)
270,010
4,459,533
Sunac China Holdings Ltd., 6.750% PIK or
5.750% Cash, 9/30/2028(a)(g)
359,929
4,459,533
Sunac China Holdings Ltd., 7.000% PIK or
6.000% Cash, 9/30/2029(a)(g)
317,876
2,094,825
Sunac China Holdings Ltd., 7.250% PIK or
6.250% Cash, 9/30/2030(a)(g)
129,439
720,000
Times China Holdings Ltd.,
5.750%, 1/14/2027(d)
20,794
4,030,000
Times China Holdings Ltd.,
6.200%, 3/22/2026(d)
105,787
23,285,000
Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(d)
1,181,714
1,245,000
Yuzhou Group Holdings Co. Ltd.,
7.375%, 1/13/2026(d)
58,241
9,395,000
Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(d)
452,651
5,345,000
Yuzhou Group Holdings Co. Ltd.,
7.850%, 8/12/2026(d)
252,979
3,155,000
Yuzhou Group Holdings Co. Ltd.,
8.300%, 5/27/2025(d)
134,087
Principal
Amount (‡)
Description
Value (†)
 
 
Financial Other — continued
$4,535,000
Zhenro Properties Group Ltd.,
6.630%, 1/07/2026(d)
$46,529
365,000
Zhenro Properties Group Ltd.,
6.700%, 8/04/2026(d)
3,661
715,000
Zhenro Properties Group Ltd.,
7.350%, 2/05/2025(d)
7,150
 
 
30,478,324
 
Food & Beverage — 0.6%
11,860,000
Pilgrim's Pride Corp., 3.500%, 3/01/2032
10,051,589
7,245,000
Post Holdings, Inc., 4.500%, 9/15/2031(a)
6,516,820
 
 
16,568,409
 
Gaming — 0.9%
3,595,000
Genm Capital Labuan Ltd.,
3.882%, 4/19/2031(a)
3,148,223
3,845,000
GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032
3,236,828
15,550,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
15,664,572
740,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
759,660
1,475,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
1,533,857
 
 
24,343,140
 
Government Owned - No Guarantee — 0.6%
495,000
Antares Holdings LP, 2.750%, 1/15/2027(a)
443,461
585,000
Antares Holdings LP, 3.750%, 7/15/2027(a)
533,806
3,530,000
Ecopetrol SA, 8.375%, 1/19/2036
3,563,249
6,586,000
Petroleos Mexicanos, 6.625%, 6/15/2035
4,996,315
12,239,000
Petroleos Mexicanos, 6.950%, 1/28/2060
8,086,867
 
 
17,623,698
 
Health Insurance — 1.0%
6,955,000
Centene Corp., 3.375%, 2/15/2030
6,154,700
18,320,000
Centene Corp., 4.625%, 12/15/2029
17,392,627
880,000
Molina Healthcare, Inc.,
3.875%, 11/15/2030(a)
782,386
4,280,000
Molina Healthcare, Inc., 3.875%, 5/15/2032(a)
3,726,703
 
 
28,056,416
 
Healthcare — 1.1%
2,800,000
Bausch & Lomb Corp., 8.375%, 10/01/2028(a)
2,897,048
12,425,000
HCA, Inc., 5.500%, 6/01/2033
12,469,723
7,230,000
HCA, Inc., 5.600%, 4/01/2034
7,280,047
3,700,000
Medline Borrower LP/Medline Co-Issuer,
Inc., 6.250%, 4/01/2029(a)
3,716,568
4,275,000
Solventum Corp., 5.900%, 4/30/2054(a)
4,264,475
 
 
30,627,861
 
Home Construction — 0.3%
8,146,000
PulteGroup, Inc., 6.000%, 2/15/2035
8,503,326
 
Independent Energy — 3.7%
12,155,000
Aker BP ASA, 4.000%, 1/15/2031(a)
11,102,290
1,835,000
Civitas Resources, Inc., 8.625%, 11/01/2030(a)
1,970,381
11,400,000
Continental Resources, Inc.,
2.875%, 4/01/2032(a)
9,290,912
24,431,000
Continental Resources, Inc.,
5.750%, 1/15/2031(a)
24,285,476
6,210,000
Energean Israel Finance Ltd.,
5.375%, 3/30/2028
5,663,470
8,120,000
Energean Israel Finance Ltd.,
5.875%, 3/30/2031
7,113,120
7,740,000
EQT Corp., 3.625%, 5/15/2031(a)
6,812,049
435,000
EQT Corp., 5.000%, 1/15/2029
426,128
1,265,000
EQT Corp., 7.000%, 2/01/2030
1,343,994
Principal
Amount (‡)
Description
Value (†)
 
 
Independent Energy — continued
$550,000
Leviathan Bond Ltd., 6.125%, 6/30/2025
$541,536
5,050,000
Leviathan Bond Ltd., 6.500%, 6/30/2027
4,880,219
1,270,000
Matador Resources Co., 6.875%, 4/15/2028(a)
1,299,305
10,085,000
Ovintiv, Inc., 6.500%, 8/15/2034
10,698,065
540,000
Ovintiv, Inc., 6.500%, 2/01/2038
562,559
2,715,000
Ovintiv, Inc., 6.625%, 8/15/2037
2,834,209
360,000
Ovintiv, Inc., 7.200%, 11/01/2031
390,262
1,200,000
Ovintiv, Inc., 7.375%, 11/01/2031
1,314,848
17,908,000
Sanchez Energy Corp., 6.125%, 1/15/2023(d)
895,400
9,520,000
Sanchez Energy Corp., 7.750%, 6/15/2021(d)
476,000
1,295,000
Southwestern Energy Co., 4.750%, 2/01/2032
1,192,123
6,875,000
Var Energi ASA, 8.000%, 11/15/2032(a)
7,695,600
1,990,000
Viper Energy, Inc., 7.375%, 11/01/2031(a)
2,068,757
 
 
102,856,703
 
Leisure — 1.9%
8,710,000
Carnival Corp., 5.750%, 3/01/2027(a)
8,620,596
6,065,000
Carnival Corp., 6.000%, 5/01/2029(a)
5,984,394
1,050,000
Carnival Corp., 7.000%, 8/15/2029(a)
1,095,134
6,575,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
6,490,517
5,085,000
NCL Corp. Ltd., 5.875%, 2/15/2027(a)
5,016,251
4,990,000
NCL Corp. Ltd., 8.125%, 1/15/2029(a)
5,280,343
2,415,000
NCL Finance Ltd., 6.125%, 3/15/2028(a)
2,384,853
230,000
Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026(a)
221,960
12,300,000
Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028(a)
12,157,368
2,570,000
Royal Caribbean Cruises Ltd.,
6.250%, 3/15/2032(a)
2,590,457
4,960,000
VOC Escrow Ltd., 5.000%, 2/15/2028(a)
4,771,937
 
 
54,613,810
 
Life Insurance — 1.2%
20,000,000
National Life Insurance Co.,
10.500%, 9/15/2039(a)
25,251,800
8,920,000
NLV Financial Corp., 7.500%, 8/15/2033(a)
9,570,892
 
 
34,822,692
 
Local Authorities — 0.3%
14,645,000
New South Wales Treasury Corp.,
3.000%, 3/20/2028, (AUD)
9,220,540
 
Lodging — 1.1%
1,745,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 4.875%, 7/01/2031(a)
1,562,360
5,385,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 5.000%, 6/01/2029(a)
5,022,059
3,265,000
Marriott International, Inc., 5.300%, 5/15/2034
3,229,311
4,155,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
3,800,798
12,700,000
Travel & Leisure Co., 4.500%, 12/01/2029(a)
11,678,074
6,640,000
Travel & Leisure Co., 4.625%, 3/01/2030(a)
6,062,709
 
 
31,355,311
 
Media Entertainment — 1.5%
3,925,000
iHeartCommunications, Inc.,
4.750%, 1/15/2028(a)
2,756,938
5,275,000
iHeartCommunications, Inc.,
5.250%, 8/15/2027(a)
3,839,122
14,565,000
Netflix, Inc., 4.875%, 6/15/2030(a)
14,463,103
8,735,000
Netflix, Inc., 5.875%, 11/15/2028
9,080,276
Principal
Amount (‡)
Description
Value (†)
 
 
Media Entertainment — continued
$1,315,000
Outfront Media Capital LLC/Outfront Media
Capital Corp., 7.375%, 2/15/2031(a)
$1,377,363
10,960,000
Warnermedia Holdings, Inc.,
4.279%, 3/15/2032
9,789,895
 
 
41,306,697
 
Metals & Mining — 3.8%
1,240,000
Alcoa Nederland Holding BV,
7.125%, 3/15/2031(a)
1,263,131
1,410,000
Anglo American Capital PLC,
5.500%, 5/02/2033(a)
1,401,955
14,335,000
ArcelorMittal SA, 6.750%, 3/01/2041
14,860,952
21,335,000
First Quantum Minerals Ltd.,
6.875%, 10/15/2027(a)
20,455,251
17,930,000
Glencore Funding LLC, 5.700%, 5/08/2033(a)
18,220,177
7,000,000
Glencore Funding LLC, 6.125%, 10/06/2028(a)
7,233,587
9,590,000
Glencore Funding LLC, 6.375%, 10/06/2030(a)
10,120,298
25,185,000
Glencore Funding LLC, 6.500%, 10/06/2033(a)
26,939,002
6,230,000
JSW Steel Ltd., 5.050%, 4/05/2032(a)
5,488,642
 
 
105,982,995
 
Midstream — 1.2%
2,300,000
Cheniere Energy Partners LP,
3.250%, 1/31/2032
1,959,219
1,530,000
Cheniere Energy Partners LP,
4.000%, 3/01/2031
1,390,631
3,185,000
Cheniere Energy Partners LP,
5.950%, 6/30/2033
3,256,258
3,850,000
Cheniere Energy, Inc., 5.650%, 4/15/2034(a)
3,877,492
2,530,000
Hess Midstream Operations LP,
4.250%, 2/15/2030(a)
2,324,836
505,000
NGPL PipeCo LLC, 7.768%, 12/15/2037(a)
562,659
3,515,000
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.,
4.000%, 1/15/2032
3,162,727
880,000
Targa Resources Partners LP/Targa
Resources Partners Finance Corp.,
4.875%, 2/01/2031
842,412
6,105,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
5,186,824
3,215,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(a)
2,858,777
1,750,000
Western Midstream Operating LP,
4.050%, 2/01/2030
1,632,797
2,310,000
Western Midstream Operating LP,
5.250%, 2/01/2050
2,066,352
4,055,000
Western Midstream Operating LP,
5.300%, 3/01/2048
3,557,677
745,000
Western Midstream Operating LP,
5.450%, 4/01/2044
684,740
560,000
Western Midstream Operating LP,
5.500%, 8/15/2048
495,242
665,000
Western Midstream Operating LP,
6.150%, 4/01/2033
681,835
 
 
34,540,478
 
Natural Gas — 0.1%
1,670,000
Southern Co. Gas Capital Corp.,
5.750%, 9/15/2033
1,728,719
 
Non-Agency Commercial Mortgage-Backed
Securities — 1.9%
335,000
BBSG Mortgage Trust, Series 2016-MRP,
Class A, 3.275%, 6/05/2036(a)
240,512
Principal
Amount (‡)
Description
Value (†)
 
 
Non-Agency Commercial Mortgage-Backed
Securities — continued
$7,375,000
BPR Trust, Series 2021-NRD, Class F, 1 mo.
USD SOFR + 6.870%,
12.196%, 12/15/2038(a)(b)
$6,341,342
8,597,541
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class C,
4.941%, 9/10/2045(a)(b)
7,612,670
94,273
Commercial Mortgage Pass-Through
Certificates, Series 2012-LTRT, Class A2,
3.400%, 10/05/2030(a)
87,618
2,925,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class B,
4.185%, 9/15/2037(a)
2,372,204
1,690,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class D,
4.373%, 9/15/2037(a)
1,083,343
3,755,000
DC Commercial Mortgage Trust,
Series 2023-DC, Class C,
7.141%, 9/12/2040(a)(b)
3,866,257
1,295,575
GS Mortgage Securities Corp. Trust,
Series 2013-G1, Class B,
3.721%, 4/10/2031(a)(b)
1,199,456
7,680,000
GS Mortgage Securities Corp. Trust,
Series 2013-PEMB, Class C,
3.550%, 3/05/2033(a)(b)
4,494,185
5,785,000
GS Mortgage Securities Trust,
Series 2014-GC22, Class D,
4.696%, 6/10/2047(a)(b)
2,543,287
290,000
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9, Class D,
3.772%, 12/15/2047(a)(b)
249,992
3,110,000
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2013-LC11, Class C,
3.958%, 4/15/2046(b)
2,194,674
3,990,847
Med Trust, Series 2021-MDLN, Class C, 1 mo.
USD SOFR + 1.914%, 7.240%, 11/15/2038(a)(b)
3,978,318
1,135,000
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C11, Class B,
4.077%, 8/15/2046(b)
695,275
1,917,007
Morgan Stanley Capital I Trust,
Series 2012-C4, Class D,
5.164%, 3/15/2045(a)(b)
1,793,319
3,735,787
Wells Fargo Commercial Mortgage Trust,
Series 2013-LC12, Class B,
3.949%, 7/15/2046(b)
3,438,643
4,340,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class B, 4.322%, 8/15/2050
4,025,052
965,914
WFRBS Commercial Mortgage Trust,
Series 2012-C10, Class B, 3.744%, 12/15/2045
913,385
4,000,000
WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class B, 4.189%, 8/15/2046(b)
3,441,368
2,612,000
WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class C, 4.189%, 8/15/2046(b)
2,008,393
940,000
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class B, 4.378%, 5/15/2047
771,240
 
 
53,350,533
 
Other REITs — 0.1%
2,735,000
EPR Properties, 3.600%, 11/15/2031
2,285,803
 
Pharmaceuticals — 2.7%
24,015,000
Bausch Health Cos., Inc., 4.875%, 6/01/2028(a)
13,105,077
7,750,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
7,541,072
Principal
Amount (‡)
Description
Value (†)
 
 
Pharmaceuticals — continued
4,695,000
Teva Pharmaceutical Finance Netherlands II
BV, 7.375%, 9/15/2029, (EUR)
$5,596,641
3,990,000
Teva Pharmaceutical Finance Netherlands II
BV, 7.875%, 9/15/2031, (EUR)
4,979,746
22,790,000
Teva Pharmaceutical Finance Netherlands III
BV, 4.100%, 10/01/2046
15,711,485
7,360,000
Teva Pharmaceutical Finance Netherlands III
BV, 4.750%, 5/09/2027
7,125,032
8,725,000
Teva Pharmaceutical Finance Netherlands III
BV, 5.125%, 5/09/2029
8,384,565
7,055,000
Teva Pharmaceutical Finance Netherlands III
BV, 7.875%, 9/15/2029
7,572,901
5,070,000
Teva Pharmaceutical Finance Netherlands III
BV, 8.125%, 9/15/2031
5,560,771
 
 
75,577,290
 
Property & Casualty Insurance — 0.3%
12,510,000
MBIA Insurance Corp., 3 mo. USD SOFR +
11.522%, 16.836%, 1/15/2033(a)(e)
340,397
10,900,000
Stewart Information Services Corp.,
3.600%, 11/15/2031
8,893,561
 
 
9,233,958
 
Retailers — 0.7%
3,325,000
Dillard's, Inc., 7.000%, 12/01/2028
3,462,289
1,500,000
Dillard's, Inc., 7.750%, 7/15/2026
1,558,860
9,430,000
Lithia Motors, Inc., 3.875%, 6/01/2029(a)
8,507,935
6,365,000
Marks & Spencer PLC, 7.125%, 12/01/2037(a)
6,748,173
 
 
20,277,257
 
Sovereigns — 3.1%
6,865,000
Chile Government International Bonds,
3.500%, 1/31/2034
6,006,633
4,875,000
Chile Government International Bonds,
3.500%, 1/25/2050
3,548,633
4,330,000
Colombia Government International Bonds,
7.500%, 2/02/2034
4,422,671
2,705,000
Colombia Government International Bonds,
8.000%, 11/14/2035
2,839,780
3,600,000
Dominican Republic International Bonds,
4.875%, 9/23/2032
3,222,994
1,145,000
Mexico Government International Bonds,
6.000%, 5/07/2036
1,147,354
3,130,000
Paraguay Government International Bonds,
6.000%, 2/09/2036(a)
3,172,224
1,465,000
Paraguay Government International Bonds,
6.100%, 8/11/2044(a)
1,419,534
4,410,000
Philippines Government International Bonds,
2.650%, 12/10/2045
2,922,273
5,650,000
Philippines Government International Bonds,
2.950%, 5/05/2045
3,933,823
5,080,000
Qatar Government International Bonds,
5.103%, 4/23/2048
4,934,212
8,510,000
Republic of Poland Government International
Bonds, 5.500%, 4/04/2053
8,472,369
14,355,000
Republic of Poland Government International
Bonds, 5.500%, 3/18/2054
14,251,787
2,210,000
Republic of Uzbekistan International Bonds,
7.850%, 10/12/2028(a)
2,309,583
9,190,000
Romania Government International Bonds,
6.375%, 1/30/2034(a)
9,312,778
Principal
Amount (‡)
Description
Value (†)
 
 
Sovereigns — continued
$4,596,000
Romania Government International Bonds,
7.125%, 1/17/2033
$4,910,762
9,700,000
Turkiye Government International Bonds,
5.875%, 5/21/2030, (EUR)
10,450,758
 
 
87,278,168
 
Technology — 6.0%
8,110,000
Avnet, Inc., 5.500%, 6/01/2032
7,844,776
3,195,000
Block, Inc., 3.500%, 6/01/2031
2,780,752
5,550,000
Boost Newco Borrower LLC,
7.500%, 1/15/2031(a)
5,809,812
2,565,000
Broadcom, Inc., 2.600%, 2/15/2033(a)
2,083,192
6,895,000
Broadcom, Inc., 3.137%, 11/15/2035(a)
5,570,480
4,600,000
Broadcom, Inc., 3.419%, 4/15/2033(a)
3,987,738
6,790,000
Broadcom, Inc., 3.469%, 4/15/2034(a)
5,818,413
8,435,000
Broadcom, Inc., 4.150%, 11/15/2030
7,976,020
2,245,000
Broadcom, Inc., 4.150%, 4/15/2032(a)
2,082,774
12,185,000
CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031
10,712,248
9,205,000
CommScope, Inc., 4.750%, 9/01/2029(a)
6,649,508
13,035,000
Entegris, Inc., 4.750%, 4/15/2029(a)
12,492,169
1,215,000
Everi Holdings, Inc., 5.000%, 7/15/2029(a)
1,203,695
2,715,000
Gartner, Inc., 3.625%, 6/15/2029(a)
2,458,112
585,000
Gartner, Inc., 3.750%, 10/01/2030(a)
523,656
1,475,000
Global Payments, Inc., 2.900%, 11/15/2031
1,237,818
4,965,000
Global Payments, Inc., 5.400%, 8/15/2032
4,924,067
8,790,000
Iron Mountain, Inc., 4.875%, 9/15/2029(a)
8,246,686
6,630,000
Leidos, Inc., 5.750%, 3/15/2033
6,796,794
1,590,000
Marvell Technology, Inc., 5.950%, 9/15/2033
1,647,737
2,975,000
Micron Technology, Inc., 5.300%, 1/15/2031
2,992,206
9,070,000
Micron Technology, Inc., 5.875%, 2/09/2033
9,385,669
24,180,000
Micron Technology, Inc., 5.875%, 9/15/2033
25,069,111
7,615,000
Motorola Solutions, Inc., 5.400%, 4/15/2034
7,599,956
5,050,000
MSCI, Inc., 3.250%, 8/15/2033(a)
4,160,355
5,200,000
Sensata Technologies BV,
4.000%, 4/15/2029(a)
4,748,053
655,000
Sensata Technologies BV,
5.875%, 9/01/2030(a)
640,820
600,000
Sensata Technologies, Inc.,
3.750%, 2/15/2031(a)
519,001
4,340,000
UKG, Inc., 6.875%, 2/01/2031(a)
4,421,275
7,805,000
VMware LLC, 2.200%, 8/15/2031
6,351,595
3,725,000
Western Digital Corp., 2.850%, 2/01/2029
3,240,908
 
 
169,975,396
 
Transportation Services — 0.3%
8,440,000
Rand Parent LLC, 8.500%, 2/15/2030(a)
8,350,620
 
Treasuries — 10.4%
7,845,000
Australia Government Bonds, Series 152,
2.750%, 11/21/2028, (AUD)
4,924,794
100,917(h
)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2029, (BRL)
19,658,342
97,085,000,000
Indonesia Treasury Bonds, Series 101,
6.875%, 4/15/2029, (IDR)
6,182,762
2,616,733(i
)
Mexico Bonos, Series M, 7.500%, 5/26/2033,
(MXN)
14,009,426
25,290,000
New Zealand Government Bonds, Series 433,
3.500%, 4/14/2033, (NZD)
13,945,022
150,645,000
Norway Government Bonds, Series 477,
1.750%, 3/13/2025, (NOK)
13,552,092
307,465,000
Republic of South Africa Government Bonds,
Series 2035, 8.875%, 2/28/2035, (ZAR)
12,941,452
11,560,000
U.K. Gilts, 0.250%, 1/31/2025, (GBP)
14,069,572
45,695,000
U.S. Treasury Bonds, 2.250%, 2/15/2052
30,056,957
Principal
Amount (‡)
Description
Value (†)
 
 
Treasuries — continued
$23,325,000
U.S. Treasury Bonds, 3.250%, 5/15/2042
$19,827,161
26,205,000
U.S. Treasury Bonds, 3.875%, 2/15/2043
24,224,270
105,955,000
U.S. Treasury Notes, 4.625%, 6/30/2025
105,570,086
587,275,000
Uruguay Government International Bonds,
8.250%, 5/21/2031, (UYU)
14,948,591
 
 
293,910,527
 
Wireless — 1.5%
10,460,000
American Tower Corp., 5.900%, 11/15/2033
10,831,177
860,000
IHS Holding Ltd., 5.625%, 11/29/2026(a)
797,891
9,110,000
SBA Communications Corp.,
3.125%, 2/01/2029
8,039,626
7,939,000
SoftBank Group Corp., 4.625%, 7/06/2028
7,380,571
9,360,000
Sprint Capital Corp., 8.750%, 3/15/2032
11,349,487
3,575,000
T-Mobile USA, Inc., 5.750%, 1/15/2034
3,722,923
 
 
42,121,675
 
Wirelines — 0.3%
350,000
Cincinnati Bell Telephone Co. LLC,
6.300%, 12/01/2028
320,163
2,404,000
Telecom Italia Capital SA, 6.000%, 9/30/2034
2,198,827
5,145,000
Telecom Italia Capital SA, 6.375%, 11/15/2033
4,867,500
 
 
7,386,490
 
Total Non-Convertible Bonds
(Identified Cost $2,517,458,540)
2,198,850,757
 
 
Convertible Bonds — 7.1%
 
Airlines — 0.6%
16,165,000
Southwest Airlines Co., 1.250%, 5/01/2025
16,358,980
 
Cable Satellite — 2.8%
125,670,000
DISH Network Corp., 3.375%, 8/15/2026
78,229,575
 
Consumer Cyclical Services — 0.2%
760,000
Booking Holdings, Inc., 0.750%, 5/01/2025
1,466,800
2,055,000
Uber Technologies, Inc., Zero Coupon,
0.000%, 12/15/2025(j)
2,306,737
915,000
Uber Technologies, Inc., Series 2028,
0.875%, 12/01/2028(a)
1,131,855
1,200,000
Zillow Group, Inc., 1.375%, 9/01/2026
1,478,253
 
 
6,383,645
 
Electric — 0.4%
1,385,000
Evergy, Inc., 4.500%, 12/15/2027(a)
1,407,853
955,000
NRG Energy, Inc., 2.750%, 6/01/2048
1,580,047
8,240,000
PPL Capital Funding, Inc., 2.875%, 3/15/2028
7,885,680
 
 
10,873,580
 
Financial Other — 0.0%
1,846,712
Sunac China Holdings Ltd., 1.000% PIK or
0.000% Cash, 9/30/2032(a)(k)
110,802
 
Healthcare — 0.8%
2,250,000
Envista Holdings Corp., 1.750%, 8/15/2028(a)
1,978,594
25,880,000
Teladoc Health, Inc., 1.250%, 6/01/2027
21,803,900
 
 
23,782,494
 
Leisure — 0.4%
4,970,000
Carnival Corp., 5.750%, 12/01/2027
7,479,850
1,385,000
NCL Corp. Ltd., 1.125%, 2/15/2027
1,309,033
540,000
Royal Caribbean Cruises Ltd.,
6.000%, 8/15/2025
1,534,680
 
 
10,323,563
 
Media Entertainment — 0.2%
5,100,000
Spotify USA, Inc., Zero Coupon,
5.189%–5.873%, 3/15/2026(f)
4,681,800
Principal
Amount (‡)
Description
Value (†)
 
 
Pharmaceuticals — 0.9%
$4,890,000
BioMarin Pharmaceutical, Inc.,
0.599%, 8/01/2024
$4,801,491
20,960,000
BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
20,672,848
 
 
25,474,339
 
Retailers — 0.2%
2,175,000
Etsy, Inc., 0.125%, 9/01/2027
1,820,258
5,145,000
Etsy, Inc., 0.250%, 6/15/2028
4,051,687
 
 
5,871,945
 
Technology — 0.6%
815,000
Datadog, Inc., 0.125%, 6/15/2025
1,148,335
910,000
Nutanix, Inc., 0.250%, 10/01/2027
1,114,750
1,375,000
ON Semiconductor Corp., 0.500%, 3/01/2029
1,353,000
400,000
Palo Alto Networks, Inc., 0.375%, 6/01/2025
1,141,600
825,000
Shift4 Payments, Inc., 0.500%, 8/01/2027
765,187
610,000
Shift4 Payments, Inc., Zero Coupon,
0.000%, 12/15/2025(j)
652,700
8,430,000
Unity Software, Inc., Zero Coupon,
7.084%–8.213%, 11/15/2026(f)
7,144,425
1,215,000
Wolfspeed, Inc., 0.250%, 2/15/2028
708,953
2,350,000
Wolfspeed, Inc., 1.875%, 12/01/2029
1,311,535
810,000
Zscaler, Inc., 0.125%, 7/01/2025
1,103,585
 
 
16,444,070
 
Total Convertible Bonds
(Identified Cost $265,668,775)
198,534,793
 
 
Municipals — 1.4%
 
Virginia — 1.4%
47,005,000
Tobacco Settlement Financing Corp.,
6.706%, 6/01/2046
(Identified Cost $47,001,092)
40,516,007
 
Total Bonds and Notes
(Identified Cost $2,830,128,407)
2,437,901,557
 

 
Shares
 
 
Common Stocks— 3.9%
 
Aerospace & Defense — 0.1%
7,785
Lockheed Martin Corp.
3,541,163
 
Air Freight & Logistics — 0.1%
16,427
United Parcel Service, Inc., Class B
2,441,545
 
Banks — 0.1%
14,690
JPMorgan Chase & Co.
2,942,407
 
Beverages — 0.1%
40,879
Coca-Cola Co.
2,500,977
 
Biotechnology — 0.2%
35,127
AbbVie, Inc.
6,396,627
 
Capital Markets — 0.1%
1,138
BlackRock, Inc.
948,751
9,678
Morgan Stanley
911,280
 
 
1,860,031
 
Chemicals — 0.0%
2,752
Linde PLC
1,277,809
 
Communications Equipment — 0.1%
41,100
Cisco Systems, Inc.
2,051,301
 
Shares
Description
Value (†)
 
Consumer Staples Distribution & Retail — 0.2%
3,254
Costco Wholesale Corp.
$2,383,978
33,885
Walmart, Inc.
2,038,860
 
 
4,422,838
 
Containers & Packaging — 0.0%
5,827
Packaging Corp. of America
1,105,848
 
Diversified REITs — 0.0%
178,207
NexPoint Diversified Real Estate Trust
1,176,166
 
Electric Utilities — 0.1%
24,332
Duke Energy Corp.
2,353,148
 
Electrical Equipment — 0.0%
10,257
Emerson Electric Co.
1,163,349
 
Financial Services — 0.0%
3,277
Mastercard, Inc., Class A
1,578,105
 
Ground Transportation — 0.0%
6,388
Union Pacific Corp.
1,571,001
 
Health Care Equipment & Supplies — 0.1%
20,256
Abbott Laboratories
2,302,297
 
Health Care Providers & Services — 0.3%
12,121
Elevance Health, Inc.
6,285,223
5,093
UnitedHealth Group, Inc.
2,519,507
 
 
8,804,730
 
Hotels, Restaurants & Leisure — 0.1%
28,363
Starbucks Corp.
2,592,095
 
Household Products — 0.1%
14,860
Procter & Gamble Co.
2,411,035
 
IT Services — 0.0%
1,482
Accenture PLC, Class A
513,676
 
Life Sciences Tools & Services — 0.1%
2,791
Thermo Fisher Scientific, Inc.
1,622,157
 
Machinery — 0.1%
5,083
Deere & Co.
2,087,791
 
Media — 0.4%
1,317,588
Altice USA, Inc., Class A(e)
3,438,905
74,588
Comcast Corp., Class A
3,233,390
461,939
iHeartMedia, Inc., Class A(e)
965,452
224,514
Paramount Global, Class B
2,642,530
 
 
10,280,277
 
Metals & Mining — 0.1%
58,268
Newmont Corp.
2,088,325
 
Oil, Gas & Consumable Fuels — 0.5%
9,229
Battalion Oil Corp.(e)
52,236
46,438
Diamondback Energy, Inc.
9,202,618
10,083
Pioneer Natural Resources Co.
2,646,788
58,323
Williams Cos., Inc.
2,272,847
 
 
14,174,489
 
Pharmaceuticals — 0.3%
56,384
Bristol-Myers Squibb Co.
3,057,704
17,802
Johnson & Johnson
2,816,099
12,961
Merck & Co., Inc.
1,710,204
 
 
7,584,007
 
Professional Services — 0.0%
5,336
Clarivate PLC(e)
39,646
 
Semiconductors & Semiconductor Equipment — 0.3%
1,981
Broadcom, Inc.
2,625,637
25,155
Microchip Technology, Inc.
2,256,655
15,639
QUALCOMM, Inc.
2,647,683
 
 
7,529,975
 
Shares
Description
Value (†)
 
Software — 0.1%
5,922
Microsoft Corp.
$2,491,504
 
Specialized REITs — 0.1%
11,911
American Tower Corp.
2,353,495
 
Specialty Retail — 0.1%
6,146
Home Depot, Inc.
2,357,606
 
Technology Hardware, Storage & Peripherals — 0.1%
14,622
Apple, Inc.
2,507,381
23,768
IQOR US, Inc.(e)
21,795
 
 
2,529,176
 
Trading Companies & Distributors — 0.0%
18,909
Fastenal Co.
1,458,640
 
Total Common Stocks
(Identified Cost $134,962,756)
109,603,236
 
Principal
Amount (‡)
 
 
Collateralized Loan Obligations — 3.6%
$6,730,000
522 Funding CLO Ltd., Series 2018-3A,
Class DR, 3 mo. USD SOFR + 3.362%,
8.679%, 10/20/2031(a)(b)
6,693,362
4,475,000
AGL CLO 12 Ltd., Series 2021-12A, Class B,
3 mo. USD SOFR + 1.862%,
7.179%, 7/20/2034(a)(b)
4,475,152
4,955,000
AGL CLO 12 Ltd., Series 2021-12A, Class D,
3 mo. USD SOFR + 3.112%,
8.429%, 7/20/2034(a)(b)
4,938,986
1,245,000
AGL CLO 7 Ltd., Series 2020-7A, Class DR,
3 mo. USD SOFR + 3.362%,
8.676%, 7/15/2034(a)(b)
1,245,021
2,675,000
ARES Loan Funding I Ltd., Series 2021-ALFA,
Class D, 3 mo. USD SOFR + 3.262%,
8.576%, 10/15/2034(a)(b)
2,674,848
3,025,000
Bain Capital Credit CLO Ltd., Series 2017-2A,
Class DR2, 3 mo. USD SOFR + 3.362%,
8.686%, 7/25/2034(a)(b)
3,025,218
850,000
Ballyrock CLO Ltd., Series 2019-2A,
Class A2RR, 3 mo. USD SOFR + 2.000%,
7.319%, 2/20/2036(a)(b)
853,151
1,505,000
Benefit Street Partners CLO XVI Ltd.,
Series 2018-16A, Class DR, 3 mo. USD SOFR +
3.262%, 8.578%, 1/17/2032(a)(b)
1,504,974
3,530,000
CarVal CLO III Ltd., Series 2019-2A, Class DR,
3 mo. USD SOFR + 3.212%,
8.529%, 7/20/2032(a)(b)
3,517,077
3,095,000
CIFC Funding Ltd., Series 2021-5A, Class D,
3 mo. USD SOFR + 3.512%,
8.826%, 7/15/2034(a)(b)
3,095,452
4,390,000
Clover CLO LLC, Series 2021-1A, Class D,
3 mo. USD SOFR + 3.212%,
8.529%, 4/22/2034(a)(b)
4,362,606
3,780,000
Clover CLO LLC, Series 2021-2A, Class D,
3 mo. USD SOFR + 3.312%,
8.629%, 7/20/2034(a)(b)
3,779,992
4,775,000
Crown City CLO I, Series 2020-1A, Class CR,
3 mo. USD SOFR + 3.682%,
8.999%, 7/20/2034(a)(b)
4,723,645
2,885,000
Elmwood CLO VIII Ltd., Series 2021-1A,
Class DR, 3 mo. USD SOFR + 3.800%,
9.128%, 4/20/2037(a)(b)
2,884,388
Principal
Amount (‡)
Description
Value (†)
$980,000
LCM 30 Ltd., Series 30A, Class CR, 3 mo. USD
SOFR + 2.262%, 7.579%, 4/20/2031(a)(b)
$973,205
2,965,000
LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD
SOFR + 3.262%, 8.579%, 4/20/2031(a)(b)
2,859,227
990,000
Madison Park Funding XXXI Ltd.,
Series 2018-31A, Class D, 3 mo. USD SOFR +
3.262%, 8.577%, 1/23/2031(a)(b)
990,253
6,010,000
Neuberger Berman CLO XX Ltd.,
Series 2015-20A, Class BRR, 3 mo. USD SOFR
+ 1.912%, 7.226%, 7/15/2034(a)(b)
6,014,279
8,055,000
OCP CLO Ltd., Series 2019-17A, Class DR,
3 mo. USD SOFR + 3.362%,
8.679%, 7/20/2032(a)(b)
8,054,243
7,155,000
Octagon Investment Partners 42 Ltd.,
Series 2019-3A, Class DR, 3 mo. USD SOFR +
3.412%, 8.726%, 7/15/2034(a)(b)
7,154,864
3,125,000
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class DR, 3 mo. USD SOFR +
3.562%, 8.876%, 7/15/2036(a)(b)
3,084,375
8,250,000
OHA Credit Funding 3 Ltd., Series 2019-3A,
Class BR, 3 mo. USD SOFR + 1.912%,
7.229%, 7/02/2035(a)(b)
8,258,481
970,000
Palmer Square CLO Ltd., Series 2015-1A,
Class A2R4, 3 mo. USD SOFR + 1.962%,
7.276%, 5/21/2034(a)(b)
969,545
12,510,000
Palmer Square CLO Ltd., Series 2021-4A,
Class E, 3 mo. USD SOFR + 6.312%,
11.626%, 10/15/2034(a)(b)
12,476,348
400,000
THL Credit Wind River CLO Ltd.,
Series 2018-3A, Class D, 3 mo. USD SOFR +
3.212%, 8.529%, 1/20/2031(a)(b)
385,869
1,540,000
Vibrant CLO XIV Ltd., Series 2021-14A,
Class C, 3 mo. USD SOFR + 4.012%,
9.329%, 10/20/2034(a)(b)
1,516,645
 
Total Collateralized Loan Obligations
(Identified Cost $100,851,389)
100,511,206
 
 
Senior Loans — 2.1%
 
Aerospace & Defense — 0.1%
643,388
TransDigm, Inc., 2023 Term Loan J, 3 mo. USD
SOFR + 3.250%, 8.598%, 2/28/2031(b)(l)
646,373
1,034,728
TransDigm, Inc., 2024 Term Loan I,
8/24/2028(m)
1,037,967
 
 
1,684,340
 
Building Materials — 0.3%
2,170,000
Foundation Building Materials Holding
Co. LLC, 2024 Term Loan B2, 1 mo. USD SOFR
+ 4.000%, 9.313%, 1/29/2031(b)(l)
2,177,595
5,785,000
Summit Materials LLC, 2023 Incremental Term
Loan B, 3 mo. USD SOFR + 2.500%,
7.827%, 1/12/2029(b)(l)
5,809,586
 
 
7,987,181
 
Consumer Cyclical Services — 0.1%
3,705,090
Uber Technologies, Inc., 2023 Term Loan B,
3 mo. USD SOFR + 2.750%,
8.079%, 3/03/2030(b)(l)
3,719,392
 
Gaming — 0.0%
655,000
Light & Wonder International, Inc., 2024 Term
Loan, 1 mo. USD SOFR + 2.750%,
8.075%, 4/14/2029(b)(l)
655,635
Principal
Amount (‡)
Description
Value (†)
 
 
Healthcare — 0.3%
$1,674,399
Bausch & Lomb Corp., 2023 Incremental Term
Loan, 1 mo. USD SOFR + 4.000%,
9.330%, 9/29/2028(b)(l)
$1,671,268
7,505,447
Star Parent, Inc., Term Loan B, 3 mo. USD
SOFR + 4.000%, 9.309%, 9/27/2030(b)(l)
7,454,785
 
 
9,126,053
 
Leisure — 0.4%
7,815,807
Carnival Corp., 2021 Incremental Term Loan
B, 1 mo. USD SOFR + 3.250%,
8.695%, 10/18/2028(b)(l)
7,817,448
3,944,306
Carnival Corp., 2023 Term Loan B, 1 mo. USD
SOFR + 3.000%, 8.319%, 8/08/2027(b)(l)
3,946,791
 
 
11,764,239
 
Lodging — 0.3%
6,785,000
Hilton Grand Vacations Borrower LLC, 2024
Incremental Term Loan B, 1 mo. USD SOFR +
2.750%, 8.077%, 1/17/2031(b)(l)
6,795,585
 
Property & Casualty Insurance — 0.2%
2,229,412
HUB International Ltd., 2024 Term Loan B,
3 mo. USD SOFR + 3.250%,
8.574%, 6/20/2030(b)(l)
2,229,814
3,815,000
Truist Insurance Holdings LLC, 1st Lien Term
Loan, 3/24/2031(m)
3,808,629
 
 
6,038,443
 
Restaurants — 0.2%
4,069,800
1011778 B.C. Unlimited Liability Co., 2023 Term
Loan B5, 1 mo. USD SOFR + 2.250%,
7.580%, 9/20/2030(b)(l)
4,065,730
 
Technology — 0.1%
3,315,000
GTCR W Merger Sub LLC, USD Term Loan B,
1 mo. USD SOFR + 3.000%,
8.309%, 1/31/2031(b)(l)
3,323,984
 
Wireless — 0.1%
2,975,000
SBA Senior Finance II LLC, 2024 Term Loan B,
1/25/2031(m)
2,979,641
 
Total Senior Loans
(Identified Cost $57,868,369)
58,140,223
 

 
Shares
 
 
Preferred Stocks — 0.9%
 
 
Convertible Preferred Stocks — 0.5%
 
Banking — 0.4%
6,064
Bank of America Corp., Series L, 7.250%
7,238,839
2,891
Wells Fargo & Co., Series L, 7.500%
3,525,141
 
 
10,763,980
 
Technology — 0.1%
112,765
Clarivate PLC, Series A, 5.250%
3,351,376
 
Total Convertible Preferred Stocks
(Identified Cost $23,037,348)
14,115,356
 
 
 
Shares
Description
Value (†)
 
Non-Convertible Preferred Stocks — 0.4%
 
Household Durables — 0.1%
208,246
Hovnanian Enterprises, Inc., 7.625%
$3,706,779
 
Industrial REITs — 0.2%
116,192
Prologis, Inc., Series Q, 8.540%
6,275,530
 
Office REITs — 0.1%
1,596
Highwoods Properties, Inc., Series A,
8.625%(n)
1,622,301
 
Total Non-Convertible Preferred Stocks
(Identified Cost $8,332,902)
11,604,610
 
Total Preferred Stocks
(Identified Cost $31,370,250)
25,719,966
 
Principal
Amount (‡)
 
 
Short-Term Investments — 1.2%
$35,005,335
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 3/28/2024
at 3.500% to be repurchased at $35,018,948
on 4/01/2024 collateralized by $38,490,700
U.S. Treasury Note, 0.750% due 4/30/2026
valued at $35,705,527 including accrued
interest(o)
(Identified Cost $35,005,335)
35,005,335
 
Total Investments — 98.3%
(Identified Cost $3,190,186,506)
2,766,881,523
 
Other assets less liabilities — 1.7%
47,001,306
 
Net Assets — 100.0%
$2,813,882,829
 
(†)
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 ("NAV") 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. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information
provided by an independent pricing service.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but
prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a
delisting of the 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 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.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise noted.
(a)
All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in
transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of Rule 144A holdings amounted to
$1,196,181,565 or 42.5% of net assets.
(b)
Variable rate security. Rate as of March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for
the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a
published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may
not indicate a reference rate and/or spread in their description.
(c)
Perpetual bond with no specified maturity date.
(d)
The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)
Non-income producing security.
(f)
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.
(g)
Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No
payments were received during the period.
(h)
Amount shown represents units. One unit represents a principal amount of 1,000.
(i)
Amount shown represents units. One unit represents a principal amount of 100.
(j)
Interest rate represents annualized yield at time of purchase; not a coupon rate.
(k)
Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For
the period ended March 31, 2024, interest payments were made in principal.
(l)
Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate
which may range from 0.00% to 1.00%, to which the spread is added.
(m)
Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized
until settlement date.
(n)
Level 3 security. Value has been determined using significant unobservable inputs.
(o)
The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as
collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the
collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-
party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase
agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the
Fund's ability to dispose of the underlying securities. As of March 31, 2024, the Fund had an investment in a repurchase agreement for which the
value of the related collateral exceeded the value of the repurchase agreement.
 
ABS
Asset-Backed Securities
MTN
Medium Term Note
PIK
Payment-in-Kind
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
 
AUD
Australian Dollar
BRL
Brazilian Real
EUR
Euro
GBP
British Pound
IDR
Indonesian Rupiah
MXN
Mexican Peso
NOK
Norwegian Krone
NZD
New Zealand Dollar
UYU
Uruguayan Peso
ZAR
South African Rand
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund's investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund's or counterparty's net obligations under the contracts. 
At March 31, 2024, the Fund had the following open forward foreign currency contracts:
Counterparty
Delivery
Date
Currency
Bought/
Sold (B/S)
Units
of
Currency
In Exchange
for
Notional
Value
Unrealized
Appreciation
(Depreciation)
Bank of America N.A.
6/18/2024
EUR
S
8,149,000
$8,904,730
$8,818,542
$86,188
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court. 
At March 31, 2024, 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
6/28/2024
1,020
$208,783,788
$208,574,064
$(209,724
)
CBOT U.S. Long Bond Futures
6/18/2024
4,685
557,558,146
564,249,688
6,691,542
CME Ultra Long Term U.S. Treasury Bond Futures
6/18/2024
925
119,230,625
119,325,000
94,375
Total
 
 
 
 
$6,576,193
 
At March 31, 2024, open short futures contracts were as follows:
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 5 Year U.S. Treasury Notes Futures
6/28/2024
100
$10,757,965
$10,701,563
$56,402
Ultra 10-Year U.S. Treasury Notes Futures
6/18/2024
4,368
498,079,119
500,613,750
(2,534,631
)
Total
 
 
 
 
$(2,478,229
)
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 each 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 each 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 March 31, 2024, at value: 
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes(a)
$ —
$2,437,901,557
$ —
$2,437,901,557
Common Stocks
 
 
 
 
Technology Hardware, Storage & Peripherals
2,507,381
21,795
 —
2,529,176
All Other Common Stocks(a)
107,074,060
 —
 —
107,074,060
Total Common Stocks
109,581,441
21,795
—
109,603,236
Collateralized Loan Obligations
 —
100,511,206
 —
100,511,206
Senior Loans(a)
 —
58,140,223
 —
58,140,223
Preferred Stocks
 
 
 
 
Convertible Preferred Stocks(a)
14,115,356
 —
 —
14,115,356
Non-Convertible Preferred Stocks
 
 
 
 
Household Durables
3,706,779
 —
 —
3,706,779
Industrial REITs
 —
6,275,530
 —
6,275,530
Office REITs
 —
 —
1,622,301
1,622,301
Total Non-Convertible Preferred Stocks
3,706,779
6,275,530
1,622,301
11,604,610
Total Preferred Stocks
17,822,135
6,275,530
1,622,301
25,719,966
Short-Term Investments
 —
35,005,335
 —
35,005,335
Total Investments
127,403,576
2,637,855,646
1,622,301
2,766,881,523
Forward Foreign Currency Contracts (unrealized appreciation)
 —
86,188
 —
86,188
Futures Contracts (unrealized appreciation)
6,842,319
 —
 —
6,842,319
Total
$134,245,895
$2,637,941,834
$1,622,301
$2,773,810,030
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(2,744,355
)
$ —
$ —
$(2,744,355
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2023 and/or March 31, 2024: 
 
Asset Valuation Inputs
Investments in Securities
Balance as of
December 31,
2023
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
March 31,
2024
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
March 31,
2024
Preferred Stocks
 
 
 
 
 
 
 
 
 
 
Non-Convertible Preferred Stocks
 
 
 
 
 
 
 
 
 
 
Office REITs
$1,579,642
$ —
$ —
$42,659
$ —
$ —
$ —
$ —
$1,622,301
$42,659
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include forward foreign currency contracts and futures contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of March 31, 2024, the Fund engaged in forward foreign currency contracts for hedging purposes to gain exposure to foreign currencies.
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 also use futures contracts to gain investment exposure. As of March 31, 2024, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of March 31, 2024: 
Assets
Unrealized
appreciation
on forward
foreign
currency
contracts
Unrealized
appreciation
on futures
contracts
Total
Over-the-counter asset derivatives
 
 
 
Foreign exchange contracts
$86,188
$ —
$86,188
Exchange-traded asset derivatives
 
 
 
Interest rate contracts
 —
6,842,319
6,842,319
Total asset derivatives
$86,188
$6,842,319
$6,928,507
 
Liabilities
Unrealized
depreciation
on futures
contracts
Exchange-traded liability derivatives
 
Interest rate contracts
$(2,744,355
)
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a 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 March 31, 2024 (Unaudited)
Treasuries
10.4%
Cable Satellite
8.8
Technology
6.8
Finance Companies
6.0
Banking
5.4
Metals & Mining
3.9
Pharmaceuticals
3.9
Independent Energy
3.7
Sovereigns
3.1
Leisure
2.7
ABS Home Equity
2.6
ABS Other
2.4
Healthcare
2.2
Other Investments, less than 2% each
31.6
Collateralized Loan Obligations
3.6
Short-Term Investments
1.2
Total Investments
98.3
Other assets less liabilities (including forward foreign currency and futures contracts)
1.7
Net Assets
100.0%