NPORT-EX 2 NPORT_4844_80704801_0923.htm EDGAR HTML
Portfolio of Investments – as of September 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund
 
Principal
Amount (‡)
Description
Value (†)
Bonds and Notes — 87.3% of Net Assets
Non-Convertible Bonds — 85.4%
ABS Car Loan — 5.4%
$96,407
American Credit Acceptance Receivables Trust,
Series 2020-3, Class D, 2.400%, 6/15/2026(a)
$95,440
100,000
American Credit Acceptance Receivables Trust,
Series 2022-1, Class D, 2.460%, 3/13/2028(a)
94,771
60,000
American Credit Acceptance Receivables Trust,
Series 2022-4, Class C, 7.860%, 2/15/2029(a)
60,449
330,000
American Credit Acceptance Receivables Trust,
Series 2023-2, Class C, 5.960%, 8/13/2029(a)
324,995
105,000
American Credit Acceptance Receivables Trust,
Series 2023-3, Class D, 6.820%, 10/12/2029(a)
104,897
600,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2020-2A, Class A, 2.020%, 2/20/2027(a)
547,527
190,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-4A, Class C, 7.240%, 6/20/2029(a)
188,639
100,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-8A, Class C, 7.340%, 2/20/2030(a)
99,379
100,000
CarMax Auto Owner Trust, Series 2021-3, Class D,
1.500%, 1/18/2028
90,098
100,000
CarMax Auto Owner Trust, Series 2022-1, Class D,
2.470%, 7/17/2028
90,625
40,000
CarMax Auto Owner Trust, Series 2023-2, Class D,
6.550%, 10/15/2029
39,524
370,000
Credit Acceptance Auto Loan Trust,
Series 2020-2A, Class C, 2.730%, 11/15/2029(a)
369,422
250,000
Credit Acceptance Auto Loan Trust,
Series 2020-3A, Class C, 2.280%, 2/15/2030(a)
245,667
260,000
Credit Acceptance Auto Loan Trust,
Series 2021-2A, Class C, 1.640%, 6/17/2030(a)
246,790
250,000
Credit Acceptance Auto Loan Trust,
Series 2021-3A, Class C, 1.630%, 9/16/2030(a)
234,047
340,000
Drive Auto Receivables Trust, Series 2021-1,
Class D, 1.450%, 1/16/2029
321,773
690,000
DT Auto Owner Trust, Series 2021-3A, Class D,
1.310%, 5/17/2027(a)
626,461
265,000
DT Auto Owner Trust, Series 2023-2A, Class D,
6.620%, 2/15/2029(a)
262,366
120,009
Exeter Automobile Receivables Trust,
Series 2019-4A, Class D, 2.580%, 9/15/2025(a)
118,174
150,000
Exeter Automobile Receivables Trust,
Series 2021-1A, Class D, 1.080%, 11/16/2026
143,511
495,000
Exeter Automobile Receivables Trust,
Series 2021-3A, Class D, 1.550%, 6/15/2027
456,508
105,000
Exeter Automobile Receivables Trust,
Series 2022-2A, Class D, 4.560%, 7/17/2028
100,042
75,000
Exeter Automobile Receivables Trust,
Series 2022-6A, Class C, 6.320%, 5/15/2028
74,501
70,000
Exeter Automobile Receivables Trust,
Series 2023-3A, Class D, 6.680%, 4/16/2029
69,639
285,000
First Investors Auto Owner Trust, Series 2021-1A,
Class D, 1.620%, 3/15/2027(a)
268,004
165,000
Flagship Credit Auto Trust, Series 2021-1, Class D,
1.270%, 3/15/2027(a)
151,390
175,000
Flagship Credit Auto Trust, Series 2021-2, Class D,
1.590%, 6/15/2027(a)
159,971
210,000
Flagship Credit Auto Trust, Series 2021-3, Class D,
1.650%, 9/15/2027(a)
186,076
275,000
Flagship Credit Auto Trust, Series 2023-2, Class D,
6.620%, 5/15/2029(a)
272,185
Principal
Amount (‡)
Description
Value (†)
ABS Car Loan — continued
$40,000
Flagship Credit Auto Trust, Series 2023-3, Class D,
6.580%, 8/15/2029(a)
$39,658
90,000
Ford Credit Auto Lease Trust, Series 2023-B,
Class D, 6.970%, 6/15/2028
89,591
393,908
Ford Credit Auto Owner Trust, Series 2021-A,
Class A3, 0.300%, 8/15/2025
386,153
270,000
Foursight Capital Automobile Receivables Trust,
Series 2021-1, Class D, 1.320%, 3/15/2027(a)
259,063
170,000
Foursight Capital Automobile Receivables Trust,
Series 2021-2, Class D, 1.920%, 9/15/2027(a)
157,148
7,170
GLS Auto Receivables Issuer Trust, Series 2019-2A,
Class C, 3.540%, 2/18/2025(a)
7,163
80,000
GLS Auto Receivables Issuer Trust, Series 2023-3A,
Class D, 6.440%, 5/15/2029(a)
79,059
132,446
GM Financial Consumer Automobile Receivables
Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025
129,702
445,178
GM Financial Consumer Automobile Receivables
Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026
432,428
548,000
Hertz Vehicle Financing III LLC, Series 2022-1A,
Class D, 4.850%, 6/25/2026(a)
512,718
305,000
Hertz Vehicle Financing III LLC, Series 2022-3A,
Class D, 6.310%, 3/25/2025(a)
302,549
250,000
Hertz Vehicle Financing LLC, Series 2022-4A,
Class D, 6.560%, 9/25/2026(a)
238,685
186,474
Honda Auto Receivables Owner Trust,
Series 2021-1, Class A3, 0.270%, 4/21/2025
183,155
154,296
Honda Auto Receivables Owner Trust,
Series 2021-2, Class A3, 0.330%, 8/15/2025
150,338
41,765
JPMorgan Chase Bank N.A, Series 2021-1, Class D,
1.174%, 9/25/2028(a)
40,724
120,000
LAD Auto Receivables Trust, Series 2023-3A,
Class C, 6.430%, 12/15/2028(a)
119,202
140,000
Prestige Auto Receivables Trust, Series 2023-1A,
Class D, 6.330%, 4/16/2029(a)
136,965
31,601
Santander Drive Auto Receivables Trust,
Series 2020-1, Class C, 4.110%, 12/15/2025
31,505
275,000
Santander Drive Auto Receivables Trust,
Series 2021-3, Class D, 1.330%, 9/15/2027
258,064
125,000
Westlake Automobile Receivables Trust,
Series 2020-3A, Class D, 1.650%, 2/17/2026(a)
121,339
185,000
Westlake Automobile Receivables Trust,
Series 2023-3A, Class D, 6.470%, 3/15/2029(a)
182,963
647,812
World Omni Auto Receivables Trust, Series 2021-B,
Class A3, 0.420%, 6/15/2026
626,824
 
10,527,867
ABS Credit Card — 0.1%
180,000
Mission Lane Credit Card Master Trust,
7.690%, 11/15/2028(a)
179,974
100,000
Mission Lane Credit Card Master Trust,
Series 2023-A, Class A, 7.230%, 7/17/2028(a)
99,219
 
279,193
ABS Home Equity — 4.7%
300,000
BINOM Securitization Trust, Series 2022-RPL1,
Class M1, 3.000%, 2/25/2061(a)(b)
208,907
280,000
CAFL Issuer LLC, Series 2021-RTL1, Class A1,
2.239%, 3/28/2029(a)(b)
258,787
263,876
CIM Trust, Series 2021-NR2, Class A1,
2.568%, 7/25/2059(a)(b)
253,904
514,105
COLT Mortgage Loan Trust, Series 2021-6, Class A1,
1.907%, 12/25/2066(a)(b)
435,128
100,000
CoreVest American Finance Ltd., Series 2021-1,
Class C, 2.800%, 4/15/2053(a)
76,370
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$160,000
CoreVest American Finance Ltd., Series 2021-2,
Class C, 2.478%, 7/15/2054(a)
$122,605
100,000
CoreVest American Finance Ltd., Series 2021-3,
Class D, 3.469%, 10/15/2054(a)
78,949
190,051
Credit Suisse Mortgage Trust, Series 2021-RPL1,
Class A1, 1.668%, 9/27/2060(a)(b)
174,937
100,000
Credit Suisse Mortgage Trust, Series 2021-RPL3,
Class M2, 3.750%, 1/25/2060(a)
70,564
495,382
Credit Suisse Mortgage Trust, Series 2021-RPL4,
Class A1, 1.796%, 12/27/2060(a)(b)
461,205
205,467
Federal Home Loan Mortgage Corp.,
Series 2022-DNA3, Class M1A, REMIC, 30 day USD
SOFR Average + 2.000%, 7.315%, 4/25/2042(a)(c)
206,933
123,191
Federal Home Loan Mortgage Corp. Structured
Agency Credit Risk Debt Notes, Series 2023-DNA2,
Class M1A, 30 day USD SOFR Average + 2.100%,
7.415%, 4/25/2043(a)(c)
124,345
260,000
FirstKey Homes Trust, Series 2021-SFR1, Class E1,
2.389%, 8/17/2038(a)
225,599
205,000
FirstKey Homes Trust, Series 2021-SFR2, Class E1,
2.258%, 9/17/2038(a)
175,830
105,000
FirstKey Homes Trust, Series 2021-SFR2, Class E2,
2.358%, 9/17/2038(a)
89,805
360,000
FirstKey Homes Trust, Series 2022-SFR2, Class D,
4.500%, 7/17/2039(a)
325,201
131,893
GCAT Trust, Series 2019-RPL1, Class A1,
2.650%, 10/25/2068(a)(b)
122,765
164,624
GITSIT Mortgage Loan Trust, Series 2023-NPL1,
Class A1, 8.353%, 5/25/2053(a)(b)
163,935
85,772
Home Partners of America Trust, Series 2021-1,
Class E, 2.577%, 9/17/2041(a)
66,240
399,500
Home Partners of America Trust, Series 2021-2,
Class E1, 2.852%, 12/17/2026(a)
343,566
206,970
Home Partners of America Trust, Series 2021-2,
Class E2, 2.952%, 12/17/2026(a)
177,789
81,088
Legacy Mortgage Asset Trust, Series 2019-GS7,
Class A1, 6.250%, 11/25/2059(a)(b)
80,333
485,000
Legacy Mortgage Asset Trust, Series 2020-RPL1,
Class A2, 3.250%, 9/25/2059(a)(b)
399,790
213,506
Legacy Mortgage Asset Trust, Series 2021-GS2,
Class A1, 1.750%, 4/25/2061(a)(b)
197,206
3,916
Morgan Stanley Mortgage Loan Trust,
Series 2005-3AR, Class 5A, 5.406%, 7/25/2035(b)(d)
3,317
135,718
OBX Trust, Series 2021-NQM3, Class A1,
1.054%, 7/25/2061(a)(b)
101,071
235,000
Progress Residential Trust, Series 2021-SFR2,
Class E1, 2.547%, 4/19/2038(a)
206,334
100,000
Progress Residential Trust, Series 2021-SFR3,
Class E1, 2.538%, 5/17/2026(a)
87,254
100,000
Progress Residential Trust, Series 2021-SFR3,
Class E2, 2.688%, 5/17/2026(a)
87,070
100,000
Progress Residential Trust, Series 2021-SFR4,
Class E1, 2.409%, 5/17/2038(a)
86,848
100,000
Progress Residential Trust, Series 2021-SFR4,
Class E2, 2.559%, 5/17/2038(a)
86,665
120,000
Progress Residential Trust, Series 2021-SFR5,
Class E1, 2.209%, 7/17/2038(a)
102,985
150,000
Progress Residential Trust, Series 2021-SFR6,
Class E1, 2.425%, 7/17/2038(a)
129,698
100,000
Progress Residential Trust, Series 2021-SFR6,
Class E2, 2.525%, 7/17/2038(a)
86,375
165,000
Progress Residential Trust, Series 2021-SFR7,
Class E1, 2.591%, 8/17/2040(a)
130,889
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$100,000
Progress Residential Trust, Series 2021-SFR7,
Class E2, 2.640%, 8/17/2040(a)
$78,659
100,000
Progress Residential Trust, Series 2021-SFR9,
Class E1, 2.811%, 11/17/2040(a)
79,608
297,400
PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026(a)(b)
280,100
107,370
PRPM LLC, Series 2021-2, Class A1,
2.115%, 3/25/2026(a)(b)
102,982
90,615
PRPM LLC, Series 2021-4, Class A1,
1.867%, 4/25/2026(a)(b)
83,283
322,716
PRPM LLC, Series 2021-5, Class A1,
1.793%, 6/25/2026(a)(b)
292,203
486,506
PRPM LLC, Series 2022-5, Class A1,
6.900%, 9/27/2027(a)(b)
482,942
297,544
Toorak Mortgage Corp. Ltd., Series 2021-1,
Class A1, 2.240%, 6/25/2024(a)(b)
289,317
120,000
Towd Point Mortgage Trust, Series 2016-3,
Class M2, 4.000%, 4/25/2056(a)(b)
114,568
230,427
Towd Point Mortgage Trust, Series 2019-4,
Class A1, 2.900%, 10/25/2059(a)(b)
211,134
63,754
VCAT LLC, Series 2021-NPL1, Class A1,
2.289%, 12/26/2050(a)(b)
61,688
263,503
VCAT LLC, Series 2021-NPL5, Class A1,
1.868%, 8/25/2051(a)(b)
248,240
83,019
VOLT XCII LLC, Series 2021-NPL1, Class A1,
1.893%, 2/27/2051(a)(b)
78,034
221,691
VOLT XCIII LLC, Series 2021-NPL2, Class A1,
1.893%, 2/27/2051(a)(b)
205,955
196,377
VOLT XCIV LLC, Series 2021-NPL3, Class A1,
2.240%, 2/27/2051(a)(b)
185,036
130,410
VOLT XCVI LLC, Series 2021-NPL5, Class A1,
2.116%, 3/27/2051(a)(b)
123,406
273,206
VOLT XCVII LLC, Series 2021-NPL6, Class A1,
2.240%, 4/25/2051(a)(b)
254,460
 
9,120,814
ABS Other — 3.0%
209,592
AASET Trust, Series 2021-1A, Class A,
2.950%, 11/16/2041(a)
184,446
180,000
Affirm Asset Securitization Trust, Series 2023-B,
Class A, 6.820%, 9/15/2028(a)
179,766
100,000
Aqua Finance Trust, Series 2021-A, Class B,
2.400%, 7/17/2046(a)
80,054
430,000
BHG Securitization Trust, Series 2022-A, Class B,
2.700%, 2/20/2035(a)
387,616
98,840
Business Jet Securities LLC, Series 2021-1A,
Class A, 2.162%, 4/15/2036(a)
89,889
127,388
CLI Funding VIII LLC, Series 2023-1A, Class A,
6.310%, 6/18/2048(a)
126,062
165,000
Foundation Finance Trust, Series 2023-2A, Class A,
6.530%, 6/15/2049(a)
165,264
47,704
FREED ABS Trust, Series 2021-2, Class C,
1.940%, 6/19/2028(a)
47,012
215,000
FREED ABS Trust, Series 2021-3FP, Class D,
2.370%, 11/20/2028(a)
202,990
1,150,000
Frontier Issuer LLC, Series 2023-1, Class A2,
6.600%, 8/20/2053(a)
1,098,837
147,250
Hardee's Funding LLC, Series 2018-1A, Class A2II,
4.959%, 6/20/2048(a)
138,756
301,640
Lunar Structured Aircraft Portfolio Notes,
Series 2021-1, Class A, 2.636%, 10/15/2046(a)
260,761
100,000
Marlette Funding Trust, Series 2021-2A, Class C,
1.500%, 9/15/2031(a)
96,409
Principal
Amount (‡)
Description
Value (†)
ABS Other — continued
$105,000
Marlette Funding Trust, Series 2021-3A, Class C,
1.810%, 12/15/2031(a)
$97,513
125,000
Marlette Funding Trust, Series 2023-2A, Class B,
6.540%, 6/15/2033(a)
124,537
62,921
Merlin Aviation Holdings DAC, Series 2016-1,
Class A, 4.500%, 12/15/2032(a)(b)
54,832
41,218
MVW LLC, Series 2021-1WA, Class C,
1.940%, 1/22/2041(a)
37,281
145,000
OneMain Financial Issuance Trust, Series 2018-2A,
Class B, 3.890%, 3/14/2033(a)
140,562
240,000
OneMain Financial Issuance Trust, Series 2021-1A,
Class D, 2.470%, 6/16/2036(a)
191,670
310,000
OneMain Financial Issuance Trust, Series 2022-S1,
Class D, 5.200%, 5/14/2035(a)
279,786
100,000
SCF Equipment Leasing LLC, Series 2022-1A,
Class D, 3.790%, 11/20/2031(a)
88,961
115,000
SCF Equipment Leasing LLC, Series 2022-2A,
Class C, 6.500%, 8/20/2032(a)
111,382
52,431
Shenton Aircraft Investment I Ltd., Series 2015-1A,
Class A, 4.750%, 10/15/2042(a)
44,165
37,769
Sierra Timeshare Receivables Funding LLC,
Series 2019-2A, Class C, 3.120%, 5/20/2036(a)
36,539
25,088
Sierra Timeshare Receivables Funding LLC,
Series 2019-3A, Class C, 3.000%, 8/20/2036(a)
23,474
26,459
Sierra Timeshare Receivables Funding LLC,
Series 2021-1A, Class C, 1.790%, 11/20/2037(a)
24,567
468,373
Slam Ltd., Series 2021-1A, Class A,
2.434%, 6/15/2046(a)
398,128
341,426
Sunnova Helios X Issuer LLC, Series 2022-C,
Class A, 5.300%, 11/22/2049(a)
325,467
98,529
Sunnova Helios XII Issuer LLC, Series 2023-B,
Class B, 5.600%, 8/22/2050(a)
91,772
210,233
Textainer Marine Containers VII Ltd.,
Series 2021-1A, Class A, 1.680%, 2/20/2046(a)
177,281
338,800
Textainer Marine Containers VII Ltd.,
Series 2021-2A, Class A, 2.230%, 4/20/2046(a)
289,288
229,101
TIF Funding II LLC, Series 2021-1A, Class A,
1.650%, 2/20/2046(a)
189,634
145,737
WAVE Trust, Series 2017-1A, Class A,
3.844%, 11/15/2042(a)
117,154
 
5,901,855
ABS Student Loan — 0.7%
68,349
College Avenue Student Loans LLC, Series 2021-A,
Class C, 2.920%, 7/25/2051(a)
61,084
29,619
Navient Private Education Refi Loan Trust,
Series 2020-HA, Class A, 1.310%, 1/15/2069(a)
26,810
164,191
Navient Private Education Refi Loan Trust,
Series 2021-A, Class A, 0.840%, 5/15/2069(a)
142,027
135,000
Navient Private Education Refi Loan Trust,
Series 2021-A, Class B, 2.240%, 5/15/2069(a)
94,518
100,000
Navient Private Education Refi Loan Trust,
Series 2021-EA, Class B, 2.030%, 12/16/2069(a)
63,794
195,000
Navient Private Education Refi Loan Trust,
Series 2021-FA, Class B, 2.120%, 2/18/2070(a)
119,471
101,885
SMB Private Education Loan Trust, Series 2018-C,
Class A2A, 3.630%, 11/15/2035(a)
97,594
380,537
SMB Private Education Loan Trust, Series 2020-A,
Class A2A, 2.230%, 9/15/2037(a)
349,669
140,146
SMB Private Education Loan Trust, Series 2021-A,
Class A2A2, 1 mo. USD SOFR + 0.844%,
6.177%, 1/15/2053(a)(c)
137,888
210,000
SMB Private Education Loan Trust, Series 2021-B,
Class B, 2.650%, 7/17/2051(a)
163,088
Principal
Amount (‡)
Description
Value (†)
ABS Student Loan — continued
$100,000
SMB Private Education Loan Trust, Series 2023-C,
Class B, 6.360%, 11/15/2052(a)
$97,905
100,000
SoFi Professional Loan Program LLC,
Series 2017-A, Class C, 4.430%, 3/26/2040(a)(b)
91,233
 
1,445,081
ABS Whole Business — 0.6%
355,000
Applebee's Funding LLC/IHOP Funding LLC,
Series 2023-1A, Class A2, 7.824%, 3/05/2053(a)
349,969
236,250
DB Master Finance LLC, Series 2017-1A, Class A2II,
4.030%, 11/20/2047(a)
214,594
160,973
Domino's Pizza Master Issuer LLC, Series 2018-1A,
Class A2II, 4.328%, 7/25/2048(a)
149,436
288,363
Domino's Pizza Master Issuer LLC, Series 2021-1A,
Class A2I, 2.662%, 4/25/2051(a)
243,087
97,750
Hardee's Funding LLC, Series 2021-1A, Class A2,
2.865%, 6/20/2051(a)
76,811
190,000
Planet Fitness Master Issuer LLC, Series 2018-1A,
Class A2II, 4.666%, 9/05/2048(a)
182,118
 
1,216,015
Aerospace & Defense — 0.7%
390,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
386,863
50,000
Textron, Inc., 2.450%, 3/15/2031
39,730
1,125,000
Textron, Inc., 3.000%, 6/01/2030
946,649
 
1,373,242
Airlines — 1.2%
1,021,755
Air Canada Pass-Through Trust, Series 2020-2A,
Class A, 5.250%, 10/01/2030(a)
980,425
35,972
American Airlines Pass-Through Trust,
Series 2016-3, Class B, 3.750%, 4/15/2027
33,609
340,799
Mileage Plus Holdings LLC/Mileage Plus
Intellectual Property Assets Ltd.,
6.500%, 6/20/2027(a)
337,664
151,324
U.S. Airways Pass-Through Trust, Series 2011-1,
Class A, 7.125%, 4/22/2025
151,178
361,755
U.S. Airways Pass-Through Trust, Series 2012-2,
Class A, 4.625%, 12/03/2026
348,149
348,245
United Airlines Pass-Through Trust, Series 20-1,
Class A, 5.875%, 4/15/2029
344,958
185,127
United Airlines Pass-Through Trust, Series 2016-2,
Class B, 3.650%, 4/07/2027
173,844
 
2,369,827
Apartment REITs — 0.0%
85,000
American Homes 4 Rent LP, 2.375%, 7/15/2031
64,807
Automotive — 0.8%
50,000
Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032
40,992
280,000
Daimler Truck Finance North America LLC,
5.500%, 9/20/2033(a)
265,491
14,000
General Motors Co., 5.200%, 4/01/2045
10,885
45,000
General Motors Co., 5.600%, 10/15/2032
42,015
250,000
General Motors Co., 6.250%, 10/02/2043
223,985
80,000
General Motors Financial Co., Inc.,
5.850%, 4/06/2030
76,630
825,000
General Motors Financial Co., Inc.,
6.000%, 1/09/2028
814,900
 
1,474,898
Banking — 11.0%
200,000
Ally Financial, Inc., 2.200%, 11/02/2028
158,024
45,000
American Express Co., (fixed rate to 8/03/2032,
variable rate thereafter), 4.420%, 8/03/2033
40,151
Principal
Amount (‡)
Description
Value (†)
Banking — continued
$420,000
Banco Santander Mexico SA Institucion de Banca
Multiple Grupo Financiero Santand,
5.375%, 4/17/2025(a)
$412,799
1,244,000
Bank of America Corp., (fixed rate to 12/20/2027,
variable rate thereafter), 3.419%, 12/20/2028
1,115,928
335,000
Bank of America Corp., (fixed rate to 4/29/2030,
variable rate thereafter), 2.592%, 4/29/2031
269,203
391,000
Bank of America Corp., (fixed rate to 9/21/2031,
variable rate thereafter), 2.482%, 9/21/2036
284,522
370,000
Bank of America Corp., MTN, (fixed rate to
10/24/2030, variable rate thereafter),
1.922%, 10/24/2031
279,141
45,000
Bank of America Corp., MTN, (fixed rate to
7/22/2032, variable rate thereafter),
5.015%, 7/22/2033
41,402
235,000
Bank of America Corp., MTN, (fixed rate to
7/23/2030, variable rate thereafter),
1.898%, 7/23/2031
178,566
536,000
Bank of America Corp., Series L, 4.183%, 11/25/2027
498,266
950,000
Barclays PLC, (fixed rate to 11/24/2026, variable
rate thereafter), 2.279%, 11/24/2027
837,013
555,000
Barclays PLC, (fixed rate to 3/15/2028, variable rate
thereafter), 4.375%(e)
385,193
200,000
Barclays PLC, (fixed rate to 5/09/2033, variable rate
thereafter), 6.224%, 5/09/2034
189,458
1,245,000
Barclays PLC, (fixed rate to 9/23/2030, variable rate
thereafter), 3.564%, 9/23/2035
961,278
1,145,000
BNP Paribas SA, 2.824%, 1/26/2041(a)
699,641
415,000
BNP Paribas SA, (fixed rate to 1/20/2027, variable
rate thereafter), 2.591%, 1/20/2028(a)
369,724
1,040,000
BNP Paribas SA, (fixed rate to 3/01/2028, variable
rate thereafter), 4.375%, 3/01/2033(a)
923,279
285,000
CaixaBank SA, (fixed rate to 9/13/2033, variable
rate thereafter), 6.840%, 9/13/2034(a)
279,465
1,060,000
Citigroup, Inc., (fixed rate to 3/31/2030, variable rate
thereafter), 4.412%, 3/31/2031
953,541
80,000
Citigroup, Inc., (fixed rate to 6/03/2030, variable rate
thereafter), 2.572%, 6/03/2031
63,793
640,000
Credit Agricole SA, 2.811%, 1/11/2041(a)
393,334
250,000
Credit Agricole SA, (fixed rate to 1/10/2028, variable
rate thereafter), 4.000%, 1/10/2033
221,673
265,000
Deutsche Bank AG, (fixed rate to 10/07/2031,
variable rate thereafter), 3.742%, 1/07/2033
190,162
400,000
Deutsche Bank AG, (fixed rate to 10/14/2030,
variable rate thereafter), 3.729%, 1/14/2032
297,758
50,000
Goldman Sachs Group, Inc., (fixed rate to 2/24/2032,
variable rate thereafter), 3.102%, 2/24/2033
39,985
2,125,000
Goldman Sachs Group, Inc., (fixed rate to 8/23/2027,
variable rate thereafter), 4.482%, 8/23/2028
2,011,336
470,000
HSBC Holdings PLC, (fixed rate to 3/09/2028,
variable rate thereafter), 6.161%, 3/09/2029
465,273
200,000
ING Groep NV, (fixed rate to 9/11/2033, variable rate
thereafter), 6.114%, 9/11/2034
194,222
220,000
JPMorgan Chase & Co., (fixed rate to 10/15/2029,
variable rate thereafter), 2.739%, 10/15/2030
183,979
740,000
JPMorgan Chase & Co., (fixed rate to 11/19/2030,
variable rate thereafter), 1.764%, 11/19/2031
556,600
45,000
JPMorgan Chase & Co., (fixed rate to 7/25/2032,
variable rate thereafter), 4.912%, 7/25/2033
41,402
61,000
Morgan Stanley, 3.950%, 4/23/2027
56,658
115,000
Morgan Stanley, (fixed rate to 1/19/2033, variable
rate thereafter), 5.948%, 1/19/2038
107,488
Principal
Amount (‡)
Description
Value (†)
Banking — continued
$40,000
Morgan Stanley, (fixed rate to 10/18/2032, variable
rate thereafter), 6.342%, 10/18/2033
$40,228
533,000
Morgan Stanley, GMTN, 4.350%, 9/08/2026
508,204
867,000
Morgan Stanley, MTN, 6.250%, 8/09/2026
876,265
1,205,000
Morgan Stanley, MTN, (fixed rate to 2/13/2031,
variable rate thereafter), 1.794%, 2/13/2032
892,360
655,000
NatWest Group PLC, (fixed rate to 6/14/2026,
variable rate thereafter), 1.642%, 6/14/2027
578,450
200,000
NatWest Group PLC, (fixed rate to 9/30/2027,
variable rate thereafter), 5.516%, 9/30/2028
193,523
1,685,000
Societe Generale SA, (fixed rate to 7/08/2030,
variable rate thereafter), 3.653%, 7/08/2035(a)
1,325,783
470,000
Sumitomo Mitsui Financial Group, Inc.,
5.464%, 1/13/2026
465,323
255,000
Synchrony Bank, 5.400%, 8/22/2025
245,305
330,000
Synchrony Bank, 5.625%, 8/23/2027
306,474
250,000
UBS Group AG, (fixed rate to 11/15/2032, variable
rate thereafter), 9.016%, 11/15/2033(a)
288,704
250,000
UBS Group AG, (fixed rate to 6/05/2025, variable
rate thereafter), 2.193%, 6/05/2026(a)
232,515
405,000
UBS Group AG, (fixed rate to 7/15/2025, variable
rate thereafter), 6.373%, 7/15/2026(a)
403,473
395,000
UBS Group AG, (fixed rate to 8/11/2027, variable
rate thereafter), 6.442%, 8/11/2028(a)
394,246
500,000
UBS Group AG, (fixed rate to 8/12/2032, variable
rate thereafter), 6.537%, 8/12/2033(a)
495,300
540,000
UniCredit SpA, (fixed rate to 6/30/2030, variable rate
thereafter), 5.459%, 6/30/2035(a)
452,684
 
21,399,094
Brokerage — 0.4%
110,000
Jefferies Financial Group, Inc., 5.875%, 7/21/2028
107,650
733,000
Jefferies Financial Group, Inc., 6.250%, 1/15/2036
720,465
 
828,115
Building Materials — 1.2%
1,045,000
Cemex SAB de CV, 3.875%, 7/11/2031(a)
875,308
310,000
Cemex SAB de CV, (fixed rate to 6/08/2026, variable
rate thereafter), 5.125%(a)(e)
290,220
211,000
Masco Corp., 6.500%, 8/15/2032
212,552
104,000
Masco Corp., 7.750%, 8/01/2029
112,760
778,000
Owens Corning, 7.000%, 12/01/2036
821,128
 
2,311,968
Cable Satellite — 2.2%
325,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
2.300%, 2/01/2032
236,852
1,285,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
2.800%, 4/01/2031
1,002,116
890,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
3.700%, 4/01/2051
517,885
30,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
3.850%, 4/01/2061
16,766
1,580,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
3.950%, 6/30/2062
896,246
220,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
4.400%, 4/01/2033
187,118
Principal
Amount (‡)
Description
Value (†)
Cable Satellite — continued
$165,000
Charter Communications Operating LLC/Charter
Communications Operating Capital,
5.125%, 7/01/2049
$120,279
400,000
CSC Holdings LLC, 3.375%, 2/15/2031(a)
272,575
200,000
CSC Holdings LLC, 4.125%, 12/01/2030(a)
141,543
800,000
CSC Holdings LLC, 4.625%, 12/01/2030(a)
425,322
125,000
DISH DBS Corp., 5.125%, 6/01/2029
69,297
170,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
144,475
265,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
203,719
145,000
Time Warner Cable LLC, 5.500%, 9/01/2041
113,424
 
4,347,617
Chemicals — 0.4%
200,000
Braskem Netherlands Finance BV,
4.500%, 1/31/2030(a)
163,006
400,000
Braskem Netherlands Finance BV,
5.875%, 1/31/2050(a)
288,114
80,000
Celanese U.S. Holdings LLC, 6.330%, 7/15/2029
78,417
60,000
Celanese U.S. Holdings LLC, 6.379%, 7/15/2032
57,811
135,000
Celanese U.S. Holdings LLC, 6.700%, 11/15/2033
131,411
 
718,759
Collateralized Mortgage Obligations — 0.1%
121,544
Federal Home Loan Mortgage Corp., Series 2912,
Class EH, REMIC, 5.500%, 1/15/2035
120,476
Construction Machinery — 0.7%
200,000
Ashtead Capital, Inc., 5.500%, 8/11/2032(a)
184,790
200,000
Ashtead Capital, Inc., 5.950%, 10/15/2033(a)
189,871
970,000
Caterpillar Financial Services Corp., MTN,
0.450%, 5/17/2024
939,645
 
1,314,306
Consumer Cyclical Services — 1.0%
330,000
Expedia Group, Inc., 2.950%, 3/15/2031
265,863
1,245,000
Expedia Group, Inc., 3.250%, 2/15/2030
1,053,025
210,000
Uber Technologies, Inc., 4.500%, 8/15/2029(a)
187,710
375,000
Uber Technologies, Inc., 7.500%, 9/15/2027(a)
378,114
 
1,884,712
Diversified Manufacturing — 0.4%
55,000
Ingersoll Rand, Inc., 5.700%, 8/14/2033
53,081
65,000
Nordson Corp., 5.600%, 9/15/2028
64,376
85,000
Nordson Corp., 5.800%, 9/15/2033
83,028
525,000
Veralto Corp., 5.450%, 9/18/2033(a)
507,948
 
708,433
Electric — 0.3%
140,000
Pacific Gas & Electric Co., 3.250%, 6/01/2031
111,256
200,000
Pacific Gas & Electric Co., 4.300%, 3/15/2045
135,339
45,000
Pacific Gas & Electric Co., 4.550%, 7/01/2030
39,778
100,000
Pacific Gas & Electric Co., 5.450%, 6/15/2027
96,243
230,000
Southern Co., 5.700%, 3/15/2034
225,249
 
607,865
Finance Companies — 4.5%
465,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.000%, 10/29/2028
398,727
550,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.300%, 1/30/2032
437,201
150,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.400%, 10/29/2033
116,028
200,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 5.750%, 6/06/2028
195,394
265,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 6.150%, 9/30/2030
261,014
225,000
Air Lease Corp., 3.125%, 12/01/2030
183,209
191,000
Air Lease Corp., 4.625%, 10/01/2028
176,965
Principal
Amount (‡)
Description
Value (†)
Finance Companies — continued
$125,000
Air Lease Corp., MTN, 3.000%, 2/01/2030
$102,812
420,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
411,885
395,000
Ares Capital Corp., 2.875%, 6/15/2028
330,375
565,000
Ares Capital Corp., 3.200%, 11/15/2031
432,307
350,000
Aviation Capital Group LLC, 1.950%, 1/30/2026(a)
314,666
170,000
Aviation Capital Group LLC, 6.250%, 4/15/2028(a)
166,051
310,000
Barings BDC, Inc., 3.300%, 11/23/2026
271,990
1,110,000
Blackstone Secured Lending Fund,
2.125%, 2/15/2027
941,096
575,000
Blue Owl Capital Corp., 2.875%, 6/11/2028
472,808
490,000
Blue Owl Capital Corp., 4.250%, 1/15/2026
458,413
110,000
Blue Owl Technology Finance Corp.,
2.500%, 1/15/2027
92,354
495,000
GATX Corp., 5.450%, 9/15/2033
464,533
30,000
GATX Corp., 6.050%, 3/15/2034
29,298
75,000
Oaktree Specialty Lending Corp., 2.700%, 1/15/2027
64,582
375,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 2.875%, 10/15/2026(a)
330,259
330,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 3.625%, 3/01/2029(a)
272,823
995,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 3.875%, 3/01/2031(a)
793,383
865,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 4.000%, 10/15/2033(a)
653,233
300,000
SMBC Aviation Capital Finance DAC,
5.450%, 5/03/2028(a)
289,924
 
8,661,330
Financial Other — 0.0%
200,000
CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(f)
13,240
200,000
Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031
12,442
200,000
Logan Group Co. Ltd., 4.850%, 12/14/2026(f)
10,000
200,000
Shimao Group Holdings Ltd., 4.750%, 7/03/2022(f)
7,498
200,000
Shimao Group Holdings Ltd., 5.200%, 1/16/2027(f)
6,000
200,000
Shimao Group Holdings Ltd., 5.600%, 7/15/2026(f)
7,950
200,000
Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f)
8,000
200,000
Times China Holdings Ltd., 5.750%, 1/14/2027(f)
6,000
200,000
Times China Holdings Ltd., 6.200%, 3/22/2026(f)
6,000
 
77,130
Food & Beverage — 0.3%
185,000
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc., 3.000%, 2/02/2029
155,250
225,000
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc., 3.750%, 12/01/2031
180,234
300,000
Pilgrim's Pride Corp., 3.500%, 3/01/2032
231,990
5,000
Pilgrim's Pride Corp., 4.250%, 4/15/2031
4,171
 
571,645
Gaming — 0.9%
425,000
Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a)
332,543
190,000
GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032
147,457
45,000
VICI Properties LP, 5.125%, 5/15/2032
40,278
80,000
VICI Properties LP/VICI Note Co., Inc.,
3.875%, 2/15/2029(a)
69,129
365,000
VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026(a)
340,089
295,000
VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026(a)
277,139
265,000
VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025(a)
255,908
215,000
VICI Properties LP/VICI Note Co., Inc.,
5.625%, 5/01/2024(a)
213,639
 
1,676,182
Principal
Amount (‡)
Description
Value (†)
Government Owned - No Guarantee — 0.8%
$955,000
Antares Holdings LP, 3.750%, 7/15/2027(a)
$822,733
780,000
Pertamina Persero PT, 6.450%, 5/30/2044(a)
745,048
200,000
Sino-Ocean Land Treasure IV Ltd.,
4.750%, 1/14/2030(g)
6,568
 
1,574,349
Health Insurance — 0.6%
20,000
Centene Corp., 2.450%, 7/15/2028
16,897
865,000
Centene Corp., 2.500%, 3/01/2031
664,509
155,000
Centene Corp., 2.625%, 8/01/2031
118,715
110,000
Centene Corp., 3.000%, 10/15/2030
88,727
135,000
Centene Corp., 3.375%, 2/15/2030
112,600
115,000
Centene Corp., 4.625%, 12/15/2029
103,572
45,000
Elevance Health, Inc., 4.100%, 5/15/2032
40,082
 
1,145,102
Healthcare — 0.9%
200,000
Alcon Finance Corp., 5.375%, 12/06/2032(a)
193,996
55,000
CVS Health Corp., 1.750%, 8/21/2030
42,323
105,000
CVS Health Corp., 5.250%, 1/30/2031
100,886
55,000
HCA, Inc., 2.375%, 7/15/2031
42,096
195,000
HCA, Inc., 3.500%, 9/01/2030
164,975
1,192,000
HCA, Inc., 4.500%, 2/15/2027
1,137,889
75,000
HCA, Inc., 5.500%, 6/01/2033
70,929
 
1,753,094
Home Construction — 0.9%
195,000
MDC Holdings, Inc., 3.966%, 8/06/2061
107,328
510,000
MDC Holdings, Inc., 6.000%, 1/15/2043
426,834
260,000
Meritage Homes Corp., 3.875%, 4/15/2029(a)
223,660
981,000
PulteGroup, Inc., 6.000%, 2/15/2035
943,340
 
1,701,162
Hybrid ARMs — 0.0%
6,652
Federal National Mortgage Association, 1 yr.
RFUCC Treasury + 1.810%, 5.668%, 9/01/2036(c)
6,793
1,611
Federal National Mortgage Association, 6 mo.
RFUCC Treasury + 1.460%, 7.161%, 2/01/2037(c)
1,633
 
8,426
Independent Energy — 3.2%
1,160,000
Aker BP ASA, 3.750%, 1/15/2030(a)
996,784
985,000
Continental Resources, Inc., 2.875%, 4/01/2032(a)
737,616
1,280,000
Continental Resources, Inc., 5.750%, 1/15/2031(a)
1,202,503
190,000
Diamondback Energy, Inc., 3.125%, 3/24/2031
158,266
40,000
Diamondback Energy, Inc., 6.250%, 3/15/2033
40,023
280,000
Energian Israel Finance Ltd., 5.375%, 3/30/2028(a)
251,118
370,000
Energian Israel Finance Ltd., 5.875%, 3/30/2031(a)
320,883
100,000
EQT Corp., 3.125%, 5/15/2026(a)
92,519
385,000
EQT Corp., 3.625%, 5/15/2031(a)
325,687
430,000
EQT Corp., 3.900%, 10/01/2027
397,739
165,000
EQT Corp., 5.000%, 1/15/2029
155,102
85,000
EQT Corp., 5.700%, 4/01/2028
83,307
53,000
EQT Corp., 6.125%, 2/01/2025
52,817
100,000
EQT Corp., 7.000%, 2/01/2030
102,874
40,000
Marathon Oil Corp., 6.800%, 3/15/2032
40,603
440,000
Ovintiv, Inc., 6.500%, 8/15/2034
433,343
40,000
Ovintiv, Inc., 7.375%, 11/01/2031
41,913
65,000
Southwestern Energy Co., 4.750%, 2/01/2032
55,789
220,000
Var Energi ASA, 7.500%, 1/15/2028(a)
225,751
385,000
Var Energi ASA, 8.000%, 11/15/2032(a)
403,980
 
6,118,617
Industrial Other — 0.3%
500,000
Jacobs Engineering Group, Inc., 6.350%, 8/18/2028
498,544
Principal
Amount (‡)
Description
Value (†)
Leisure — 0.3%
$70,000
Carnival Corp., 4.000%, 8/01/2028(a)
$60,695
70,000
Carnival Corp., 7.000%, 8/15/2029(a)
69,022
80,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
73,859
250,000
NCL Corp. Ltd., 5.875%, 2/15/2027(a)
237,443
110,000
Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a)
100,869
 
541,888
Life Insurance — 2.5%
490,000
Athene Global Funding, 1.608%, 6/29/2026(a)
428,119
975,000
Athene Global Funding, 1.716%, 1/07/2025(a)
915,241
159,000
Brighthouse Financial, Inc., 4.700%, 6/22/2047
110,430
1,488,000
National Life Insurance Co., 10.500%, 9/15/2039(a)
1,806,358
1,560,000
NLV Financial Corp., 7.500%, 8/15/2033(a)
1,543,589
 
4,803,737
Lodging — 0.2%
165,000
Marriott International, Inc., Series HH,
2.850%, 4/15/2031
133,006
40,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
33,516
65,000
Travel & Leisure Co., 4.500%, 12/01/2029(a)
54,519
55,000
Travel & Leisure Co., 4.625%, 3/01/2030(a)
46,284
10,000
Travel & Leisure Co., 6.000%, 4/01/2027
9,514
10,000
Travel & Leisure Co., 6.625%, 7/31/2026(a)
9,730
 
286,569
Media Entertainment — 2.1%
55,000
Electronic Arts, Inc., 1.850%, 2/15/2031
42,733
55,000
iHeartCommunications, Inc., 4.750%, 1/15/2028(a)
42,046
25,000
iHeartCommunications, Inc., 5.250%, 8/15/2027(a)
19,813
985,000
Meta Platforms, Inc., 4.950%, 5/15/2033
943,974
935,000
Netflix, Inc., 4.875%, 6/15/2030(a)
885,172
60,000
Netflix, Inc., 5.375%, 11/15/2029(a)
58,544
425,000
Netflix, Inc., 5.875%, 11/15/2028
427,406
645,000
Netflix, Inc., 6.375%, 5/15/2029
665,999
415,000
Warnermedia Holdings, Inc., 3.755%, 3/15/2027
383,135
155,000
Warnermedia Holdings, Inc., 4.054%, 3/15/2029
138,099
480,000
Warnermedia Holdings, Inc., 4.279%, 3/15/2032
407,433
 
4,014,354
Metals & Mining — 3.2%
735,000
Anglo American Capital PLC, 2.875%, 3/17/2031(a)
584,129
465,000
Anglo American Capital PLC, 5.500%, 5/02/2033(a)
434,991
640,000
ArcelorMittal SA, 6.800%, 11/29/2032
635,612
200,000
First Quantum Minerals Ltd., 6.875%, 10/15/2027(a)
191,875
1,360,000
Glencore Funding LLC, 2.500%, 9/01/2030(a)
1,075,379
645,000
Glencore Funding LLC, 2.850%, 4/27/2031(a)
511,816
205,000
Glencore Funding LLC, 5.700%, 5/08/2033(a)
194,387
680,000
Glencore Funding LLC, 6.125%, 10/06/2028(a)
678,833
650,000
Glencore Funding LLC, 6.375%, 10/06/2030(a)
648,250
1,155,000
Glencore Funding LLC, 6.500%, 10/06/2033(a)
1,152,962
50,000
Steel Dynamics, Inc., 3.250%, 1/15/2031
42,322
85,000
Volcan Cia Minera SAA, 4.375%, 2/11/2026(a)
48,517
 
6,199,073
Midstream — 2.1%
135,000
Cheniere Energy Partners LP, 3.250%, 1/31/2032
107,298
655,000
Cheniere Energy Partners LP, 4.000%, 3/01/2031
559,983
75,000
Cheniere Energy Partners LP, 4.500%, 10/01/2029
67,911
240,000
DCP Midstream Operating LP, 3.250%, 2/15/2032
193,635
50,000
DCP Midstream Operating LP, 5.125%, 5/15/2029
47,633
125,000
DCP Midstream Operating LP, 6.450%, 11/03/2036(a)
122,906
625,000
Enbridge, Inc., 5.700%, 3/08/2033
598,749
588,000
Energy Transfer LP, 5.000%, 5/15/2044
458,716
370,000
Energy Transfer LP, 5.750%, 2/15/2033
355,667
145,000
EnLink Midstream LLC, 6.500%, 9/01/2030(a)
140,675
Principal
Amount (‡)
Description
Value (†)
Midstream — continued
$40,000
Enterprise Products Operating LLC,
5.350%, 1/31/2033
$39,106
45,000
MPLX LP, 5.000%, 3/01/2033
41,006
43,000
ONEOK Partners LP, 6.200%, 9/15/2043
39,913
55,000
Plains All American Pipeline LP/PAA Finance Corp.,
3.800%, 9/15/2030
47,242
5,000
Plains All American Pipeline LP/PAA Finance Corp.,
4.300%, 1/31/2043
3,553
25,000
Targa Resources Corp., 5.200%, 7/01/2027
24,498
250,000
Targa Resources Corp., 6.125%, 3/15/2033
245,075
50,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 4.000%, 1/15/2032
41,985
70,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 4.875%, 2/01/2031
62,695
80,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 5.500%, 3/01/2030
74,873
165,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
128,110
75,000
Venture Global Calcasieu Pass LLC,
6.250%, 1/15/2030(a)
71,540
85,000
Western Midstream Operating LP,
4.050%, 2/01/2030
74,298
120,000
Western Midstream Operating LP,
5.250%, 2/01/2050
93,484
195,000
Western Midstream Operating LP,
5.300%, 3/01/2048
152,206
35,000
Western Midstream Operating LP,
5.450%, 4/01/2044
28,214
25,000
Western Midstream Operating LP,
5.500%, 8/15/2048
19,878
40,000
Western Midstream Operating LP,
6.150%, 4/01/2033
38,576
215,000
Western Midstream Operating LP,
6.350%, 1/15/2029
215,443
45,000
Williams Cos., Inc., 4.650%, 8/15/2032
40,935
 
4,135,803
Natural Gas — 0.1%
115,000
Southern Co. Gas Capital Corp., 5.750%, 9/15/2033
112,737
Non-Agency Commercial Mortgage-Backed
Securities — 2.2%
35,441
BB-UBS Trust, Series 2012-TFT, Class A,
2.892%, 6/05/2030(a)
31,126
95,000
BPR Trust, Series 2021-NRD, Class B, 1 mo. USD
SOFR + 2.124%, 7.457%, 12/15/2038(a)(c)
89,011
105,000
BPR Trust, Series 2021-NRD, Class C, 1 mo. USD
SOFR + 2.424%, 7.757%, 12/15/2038(a)(c)
98,081
65,000
BPR Trust, Series 2021-NRD, Class D, 1 mo. USD
SOFR + 3.723%, 9.056%, 12/15/2038(a)(c)
60,365
290,000
BPR Trust, Series 2022-STAR, Class A, 1 mo. USD
SOFR + 3.232%, 8.564%, 8/15/2024(a)(c)
287,878
9,949
Commercial Mortgage Pass-Through Certificates,
Series 2012-CR3, Class AM, 3.416%, 10/15/2045(a)
9,193
100,000
Credit Suisse Mortgage Trust, Series 2014-USA,
Class B, 4.185%, 9/15/2037(a)
78,976
205,000
DC Commercial Mortgage Trust, Series 2023-DC,
Class B, 6.804%, 9/12/2040(a)
204,163
118,811
Extended Stay America Trust, Series 2021-ESH,
Class B, 1 mo. USD SOFR + 1.494%,
6.827%, 7/15/2038(a)(c)
117,357
133,068
Extended Stay America Trust, Series 2021-ESH,
Class C, 1 mo. USD SOFR + 1.814%,
7.147%, 7/15/2038(a)(c)
131,079
Principal
Amount (‡)
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$95,049
Extended Stay America Trust, Series 2021-ESH,
Class D, 1 mo. USD SOFR + 2.364%,
7.697%, 7/15/2038(a)(c)
$93,498
105,000
GS Mortgage Securities Corp. Trust,
Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a)
76,888
115,000
GS Mortgage Securities Corportation Trust,
Series 2013-PEMB, Class A, 3.668%, 3/05/2033(a)(b)
98,971
125,000
GS Mortgage Securities Corportation Trust,
Series 2013-PEMB, Class B, 3.668%, 3/05/2033(a)(b)
100,167
125,000
GS Mortgage Securities Trust, Series 2014-GC18,
Class AS, 4.383%, 1/10/2047
118,150
185,000
GS Mortgage Securities Trust, Series 2014-GC18,
Class B, 4.885%, 1/10/2047(b)
153,869
403,659
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9, Class C,
3.910%, 12/15/2047(a)(b)
360,510
105,000
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C32, Class A5, 3.598%, 11/15/2048
98,033
223,925
Med Trust, Series 2021-MDLN, Class B, 1 mo. USD
SOFR + 1.564%, 6.897%, 11/15/2038(a)(c)
218,304
199,045
Med Trust, Series 2021-MDLN, Class C, 1 mo. USD
SOFR + 1.914%, 7.247%, 11/15/2038(a)(c)
193,263
99,522
Med Trust, Series 2021-MDLN, Class D, 1 mo. USD
SOFR + 2.114%, 7.447%, 11/15/2038(a)(c)
95,400
55,000
Morgan Stanley Bank of America Merrill Lynch
Trust, Series 2013-C12, Class C,
5.074%, 10/15/2046(b)
52,220
495,000
Morgan Stanley Bank of America Merrill Lynch
Trust, Series 2016-C30, Class C,
4.224%, 9/15/2049(b)
372,778
93,294
MSBAM Commercial Mortgage Securities Trust,
Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a)
76,968
81,807
Wells Fargo Commercial Mortgage Trust,
Series 2013-LC12, Class B, 4.087%, 7/15/2046(b)
66,468
155,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class AS, 4.020%, 8/15/2050
149,755
22,173
WFRBS Commercial Mortgage Trust,
Series 2011-C3, Class D, 6.050%, 3/15/2044(a)(b)
6,332
145,000
WFRBS Commercial Mortgage Trust,
Series 2013-C15, Class B, 4.352%, 8/15/2046(b)
120,348
175,000
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class B, 4.378%, 5/15/2047
134,803
655,000
WFRBS Commercial Mortgage Trust,
Series 2014-C24, Class B, 4.204%, 11/15/2047(b)
561,496
 
4,255,450
Office REITs — 0.0%
85,000
Corporate Office Properties LP, 2.750%, 4/15/2031
63,797
Paper — 0.4%
552,000
Georgia-Pacific LLC, 7.250%, 6/01/2028
578,487
137,000
WestRock MWV LLC, 7.550%, 3/01/2047
142,189
104,000
WestRock MWV LLC, 8.200%, 1/15/2030
114,480
 
835,156
Pharmaceuticals — 1.1%
40,000
Amgen, Inc., 5.250%, 3/02/2033
38,238
100,000
Bausch Health Cos., Inc., 4.875%, 6/01/2028(a)
56,869
415,000
Pfizer Investment Enterprises Pte. Ltd.,
4.750%, 5/19/2033
392,290
150,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
133,016
765,000
Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046
478,864
Principal
Amount (‡)
Description
Value (†)
Pharmaceuticals — continued
$240,000
Teva Pharmaceutical Finance Netherlands III BV,
4.750%, 5/09/2027
$220,208
200,000
Teva Pharmaceutical Finance Netherlands III BV,
5.125%, 5/09/2029
180,800
400,000
Teva Pharmaceutical Finance Netherlands III BV,
7.875%, 9/15/2029
405,226
200,000
Teva Pharmaceutical Finance Netherlands III BV,
8.125%, 9/15/2031
206,910
 
2,112,421
Property & Casualty Insurance — 0.2%
555,000
Stewart Information Services Corp.,
3.600%, 11/15/2031
407,843
Restaurants — 0.0%
50,000
Starbucks Corp., 3.000%, 2/14/2032
41,369
Retail REITs — 0.0%
70,000
Brixmor Operating Partnership LP,
2.250%, 4/01/2028
58,946
Retailers — 1.7%
2,680,000
Amazon.com, Inc., 0.450%, 5/12/2024
2,596,956
50,000
AutoNation, Inc., 3.850%, 3/01/2032
40,640
650,000
AutoZone, Inc., 4.000%, 4/15/2030
585,603
50,000
Dollar Tree, Inc., 2.650%, 12/01/2031
38,747
125,000
Tapestry, Inc., 3.050%, 3/15/2032
91,571
 
3,353,517
Technology — 7.3%
50,000
Arrow Electronics, Inc., 2.950%, 2/15/2032
39,092
165,000
Broadcom, Inc., 2.450%, 2/15/2031(a)
128,965
145,000
Broadcom, Inc., 2.600%, 2/15/2033(a)
108,124
280,000
Broadcom, Inc., 3.137%, 11/15/2035(a)
204,143
240,000
Broadcom, Inc., 3.187%, 11/15/2036(a)
172,317
260,000
Broadcom, Inc., 3.419%, 4/15/2033(a)
207,963
295,000
Broadcom, Inc., 3.469%, 4/15/2034(a)
231,696
380,000
Broadcom, Inc., 4.150%, 11/15/2030
336,578
130,000
Broadcom, Inc., 4.150%, 4/15/2032(a)
112,816
85,000
Broadcom, Inc., 4.300%, 11/15/2032
74,157
105,000
CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026
94,700
255,000
CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029
217,436
1,005,000
CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031
827,758
130,000
CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028
118,498
155,000
CommScope Technologies LLC,
5.000%, 3/15/2027(a)
87,970
250,000
CommScope, Inc., 4.750%, 9/01/2029(a)
183,886
45,000
Dell International LLC/EMC Corp., 5.750%, 2/01/2033
43,723
715,000
Entegris Escrow Corp., 4.750%, 4/15/2029(a)
642,791
430,000
Equinix, Inc., 2.000%, 5/15/2028
362,637
1,175,000
Equinix, Inc., 2.150%, 7/15/2030
922,882
765,000
Fiserv, Inc., 5.625%, 8/21/2033
741,242
170,000
Flex Ltd., 6.000%, 1/15/2028
169,134
185,000
Global Payments, Inc., 2.900%, 5/15/2030
151,668
235,000
Global Payments, Inc., 2.900%, 11/15/2031
184,351
130,000
Global Payments, Inc., 5.300%, 8/15/2029
123,974
280,000
Global Payments, Inc., 5.400%, 8/15/2032
262,459
130,000
Jabil, Inc., 1.700%, 4/15/2026
116,783
375,000
Jabil, Inc., 3.600%, 1/15/2030
324,695
330,000
Jabil, Inc., 3.950%, 1/12/2028
305,177
125,000
Leidos, Inc., 2.300%, 2/15/2031
96,129
470,000
Leidos, Inc., 5.750%, 3/15/2033
450,429
295,000
Marvell Technology, Inc., 2.450%, 4/15/2028
254,823
250,000
Marvell Technology, Inc., 2.950%, 4/15/2031
202,255
5,000
Marvell Technology, Inc., 5.950%, 9/15/2033
4,908
55,000
Micron Technology, Inc., 2.703%, 4/15/2032
42,004
Principal
Amount (‡)
Description
Value (†)
Technology — continued
$120,000
Micron Technology, Inc., 4.663%, 2/15/2030
$109,203
155,000
Micron Technology, Inc., 5.327%, 2/06/2029
149,388
425,000
Micron Technology, Inc., 5.875%, 2/09/2033
405,986
1,050,000
Micron Technology, Inc., 5.875%, 9/15/2033
1,000,077
580,000
Micron Technology, Inc., 6.750%, 11/01/2029
589,306
40,000
Motorola Solutions, Inc., 5.600%, 6/01/2032
38,266
165,000
Open Text Corp., 6.900%, 12/01/2027(a)
165,376
50,000
Oracle Corp., 2.950%, 4/01/2030
42,074
600,000
Oracle Corp., 3.950%, 3/25/2051
411,327
275,000
Oracle Corp., 6.150%, 11/09/2029
279,167
190,000
S&P Global, Inc., 5.250%, 9/15/2033(a)
185,199
80,000
Sensata Technologies, Inc., 3.750%, 2/15/2031(a)
64,746
200,000
SK Hynix, Inc., 6.375%, 1/17/2028(a)
199,650
545,000
TD SYNNEX Corp., 1.750%, 8/09/2026
478,928
450,000
Trimble, Inc., 6.100%, 3/15/2033
440,878
310,000
Verisk Analytics, Inc., 5.750%, 4/01/2033
308,261
460,000
VMware, Inc., 2.200%, 8/15/2031
347,130
140,000
Western Digital Corp., 2.850%, 2/01/2029
112,398
310,000
Western Digital Corp., 4.750%, 2/15/2026
295,383
 
14,170,906
Transportation Services — 0.4%
140,000
ERAC USA Finance LLC, 4.900%, 5/01/2033(a)
131,819
562,000
ERAC USA Finance LLC, 6.700%, 6/01/2034(a)
593,197
 
725,016
Treasuries — 12.3%
4,833(h
)
Brazil Notas do Tesouro Nacional, Series NTNF,
10.000%, 1/01/2029, (BRL)
914,156
95,159(i
)
Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN)
463,703
10,315,000
Republic of South Africa Government Bonds,
Series 2035, 8.875%, 2/28/2035, (ZAR)
429,298
2,485,000
U.S. Treasury Bonds, 2.250%, 2/15/2052
1,524,975
7,125,000
U.S. Treasury Bonds, 3.250%, 5/15/2042
5,677,734
14,990,000
U.S. Treasury Notes, 4.625%, 6/30/2025
14,861,765
 
23,871,631
Wireless — 2.0%
370,000
American Tower Corp., 5.500%, 3/15/2028
363,002
555,000
American Tower Corp., 5.900%, 11/15/2033
541,853
50,000
Crown Castle, Inc., 5.100%, 5/01/2033
46,227
585,000
Sprint Capital Corp., 8.750%, 3/15/2032
676,755
100,000
T-Mobile USA, Inc., 2.400%, 3/15/2029
84,147
230,000
T-Mobile USA, Inc., 2.700%, 3/15/2032
179,914
620,000
T-Mobile USA, Inc., 3.375%, 4/15/2029
545,315
305,000
T-Mobile USA, Inc., 3.500%, 4/15/2031
257,899
1,120,000
T-Mobile USA, Inc., 3.875%, 4/15/2030
992,287
225,000
T-Mobile USA, Inc., 5.750%, 1/15/2034
219,492
 
3,906,891
Wirelines — 0.0%
55,000
Verizon Communications, Inc., 2.355%, 3/15/2032
41,963
Total Non-Convertible Bonds
(Identified Cost $186,126,483)
165,739,592
Convertible Bonds — 1.5%
Airlines — 0.1%
210,000
Southwest Airlines Co., 1.250%, 5/01/2025
208,425
Cable Satellite — 0.4%
965,000
DISH Network Corp., 3.375%, 8/15/2026
579,965
180,000
DISH Network Corp., Zero Coupon,
6.944%–9.514%, 12/15/2025(j)
121,264
 
701,229
Principal
Amount (‡)
Description
Value (†)
Consumer Cyclical Services — 0.1%
$245,000
Uber Technologies, Inc., Zero Coupon,
0.000%–1.922%, 12/15/2025(j)
$228,783
Electric — 0.2%
490,000
PPL Capital Funding, Inc., 2.875%, 3/15/2028(a)
445,900
Healthcare — 0.2%
600,000
Teladoc Health, Inc., 1.250%, 6/01/2027
478,140
Pharmaceuticals — 0.4%
150,000
BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024
145,500
465,000
BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027
460,629
130,000
Livongo Health, Inc., 0.875%, 6/01/2025
118,729
 
724,858
Retailers — 0.1%
35,000
Etsy, Inc., 0.125%, 9/01/2027
28,000
185,000
Etsy, Inc., 0.250%, 6/15/2028
139,768
 
167,768
Total Convertible Bonds
(Identified Cost $3,731,629)
2,955,103
Municipals — 0.4%
Virginia — 0.4%
805,000
Tobacco Settlement Financing Corp.,
6.706%, 6/01/2046
(Identified Cost $797,064)
666,214
Total Bonds and Notes
(Identified Cost $190,655,176)
169,360,909
Collateralized Loan Obligations — 3.9%
395,000
522 Funding CLO Ltd., Series 2021-7A, Class D,
3 mo. USD SOFR + 3.162%, 8.507%, 4/23/2034(a)(c)
370,196
250,000
AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo.
USD SOFR + 1.962%, 7.288%, 7/20/2034(a)(c)
247,376
600,000
Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD
SOFR + 1.912%, 7.238%, 7/20/2031(a)(c)
595,309
250,000
Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2,
3 mo. USD SOFR + 1.812%, 7.122%, 7/18/2030(a)(c)
246,920
250,000
Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo.
USD SOFR + 1.962%, 7.270%, 10/15/2034(a)(c)
244,850
270,000
Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo.
USD SOFR + 1.912%, 7.238%, 10/20/2034(a)(c)
264,817
250,000
CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo.
USD SOFR + 1.912%, 7.220%, 10/15/2034(a)(c)
245,609
455,000
Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo.
USD SOFR + 1.662%, 6.970%, 1/15/2031(a)(c)
447,894
275,000
Elmwood CLO VIII Ltd., Series 2021-1A, Class D2,
3 mo. USD SOFR + 3.112%, 8.438%, 1/20/2034(a)(c)
268,553
250,000
Galaxy XXV CLO Ltd., Series 2018-25A, Class B,
3 mo. USD SOFR + 1.912%, 7.263%, 10/25/2031(a)(c)
246,613
250,000
Galaxy XXVI CLO Ltd., Series 2018-26A, Class B,
3 mo. USD SOFR + 1.962%, 7.345%, 11/22/2031(a)(c)
246,780
255,000
Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo.
USD SOFR + 3.312%, 8.620%, 4/15/2034(a)(c)
246,122
250,000
Madison Park Funding XXIV Ltd., Series 2016-24A,
Class BR, 3 mo. USD SOFR + 2.012%,
7.338%, 10/20/2029(a)(c)
249,438
305,535
Madison Park Funding XXV Ltd., Series 2017-25A,
Class A1R, 3 mo. USD SOFR + 1.232%,
6.583%, 4/25/2029(a)(c)
303,938
250,000
Magnetite XIV-R Ltd., Series 2015-14RA, Class B,
3 mo. USD SOFR + 1.862%, 7.172%, 10/18/2031(a)(c)
246,591
Principal
Amount (‡)
Description
Value (†)
$250,000
Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo.
USD SOFR + 1.272%, 6.623%, 7/25/2031(a)(c)
$249,142
530,000
Morgan Stanley Eaton Vance CLO Ltd.,
Series 2022-16A, Class B, 3 mo. USD SOFR +
1.950%, 7.258%, 4/15/2035(a)(c)
518,234
250,000
Neuberger Berman CLO XX Ltd., Series 2015-20A,
Class BRR, 3 mo. USD SOFR + 1.912%,
7.220%, 7/15/2034(a)(c)
246,828
300,000
Octagon Investment Partners 18-R Ltd.,
Series 2018-18A, Class A2, 3 mo. USD SOFR +
1.732%, 7.040%, 4/16/2031(a)(c)
296,185
289,393
Octagon Investment Partners XV Ltd.,
Series 2013-1A, Class A1RR, 3 mo. USD SOFR +
1.232%, 6.552%, 7/19/2030(a)(c)
288,120
250,000
OHA Credit Partners XVI, Series 2021-16A, Class A,
3 mo. USD SOFR + 1.412%, 6.722%, 10/18/2034(a)(c)
249,352
111,023
Palmer Square Loan Funding Ltd., Series 2021-3A,
Class A1, 3 mo. USD SOFR + 1.062%,
6.388%, 7/20/2029(a)(c)
110,510
250,000
Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo.
USD SOFR + 1.912%, 7.238%, 1/20/2034(a)(c)
245,386
360,000
Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo.
USD SOFR + 1.662%, 6.988%, 4/20/2034(a)(c)
353,376
310,000
Sixth Street CLO XVIII Ltd., Series 2021-18A,
Class D, 3 mo. USD SOFR + 3.162%,
8.488%, 4/20/2034(a)(c)
300,120
255,000
Voya CLO Ltd., Series 2018-3A, Class B, 3 mo. USD
SOFR + 1.912%, 7.220%, 10/15/2031(a)(c)
250,130
Total Collateralized Loan Obligations
(Identified Cost $7,680,345)
7,578,389
 

 
Shares
 
 
Preferred Stocks — 0.9%
Convertible Preferred Stocks — 0.9%
Banking — 0.6%
854
Bank of America Corp., Series L, 7.250%
949,827
273
Wells Fargo & Co., Series L, Class A, 7.500%
304,395
 
1,254,222
Midstream — 0.3%
12,375
El Paso Energy Capital Trust I, 4.750%
561,949
Total Convertible Preferred Stocks
(Identified Cost $1,841,598)
1,816,171
Total Preferred Stocks
(Identified Cost $1,841,598)
1,816,171
Common Stocks— 0.3%
Biotechnology — 0.2%
1,979
AbbVie, Inc.
294,990
Oil, Gas & Consumable Fuels — 0.1%
2,357
Canadian Natural Resources Ltd.
152,427
879
Diamondback Energy, Inc.
136,140
 
288,567
Total Common Stocks
(Identified Cost $563,043)
583,557
 
Principal
Amount (‡)
Description
Value (†)
Senior Loans — 0.2%
Leisure — 0.1%
$74,570
Carnival Corp., 2021 Incremental Term Loan B,
1 mo. USD SOFR + 3.250%, 8.681%, 10/18/2028(c)(k)
$74,104
94,067
Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR
+ 3.000%, 8.327%, 8/08/2027(c)(k)
93,714
 
167,818
Technology — 0.1%
100,000
GTCR W Merger Sub LLC, USD Term Loan B,
9/20/2030(l)
99,927
Total Senior Loans
(Identified Cost $266,832)
267,745
Short-Term Investments — 8.0%
3,207,229
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 9/29/2023 at
2.500% to be repurchased at $3,207,897
on 10/02/2023  collateralized by $3,296,300
U.S. Treasury Note, 4.375% due 8/15/2026 valued at
$3,271,443 including accrued interest(m)
3,207,229
Principal
Amount (‡)
Description
Value (†)
$4,020,000
U.S. Treasury Bills,
5.200%–5.201%, 12/07/2023(n)(o)(p)
$3,980,828
7,070,000
U.S. Treasury Bills, 5.225%, 1/11/2024(p)
6,964,823
1,530,000
U.S. Treasury Bills, 5.285%–5.735%, 2/29/2024(o)(p)
1,496,157
Total Short-Term Investments
(Identified Cost $15,649,569)
15,649,037
Total Investments — 100.6%
(Identified Cost $216,656,563)
195,255,808
Other assets less liabilities — (0.6)%
(1,253,536
)
Net Assets — 100.0%
$194,002,272
 
(†)
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.
 
(‡)
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 September 30, 2023, the value of Rule 144A holdings amounted to
$75,269,116 or 38.8% of net assets.
(b)
Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of
assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier
and/or subject to certain floors or caps. Rate as of September 30, 2023 is disclosed.
(c)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(d)
Level 3 security. Value has been determined using significant unobservable inputs.
(e)
Perpetual bond with no specified maturity date.
(f)
The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(g)
Non-income producing security.
(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. The Fund’s investment in this security is comprised of various lots with
differing annualized yields.
(k)
Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of
0.75%, to which the spread is added.
(l)
Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized
until settlement date.
(m)
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 September 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.
(n)
Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(o)
The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments,
which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
(p)
Interest rate represents discount rate at time of purchase; not a coupon rate.
 
ABS
Asset-Backed Securities
ARMs
Adjustable Rate Mortgages
GMTN
Global Medium Term Note
MTN
Medium Term Note
REITs
Real Estate Investment Trusts
REMIC
Real Estate Mortgage Investment Conduit
SOFR
Secured Overnight Financing Rate
 
BRL
Brazilian Real
MXN
Mexican Peso
ZAR
South African Rand
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 September 30, 2023, open long futures contracts were as follows:
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 10 Year U.S. Treasury Notes Futures
12/19/2023
255
$28,097,105
$27,555,937
$(541,168
)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
147
29,873,415
29,798,508
(74,907
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
183
19,449,373
19,280,766
(168,607
)
CBOT U.S. Long Bond Futures
12/19/2023
231
27,701,981
26,283,469
(1,418,512
)
Total
 
 
$(2,203,194
)
 
At September 30, 2023, open short futures contracts were as follows:
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
56
$7,047,943
$6,646,500
$401,443
Ultra 10 Year U.S. Treasury Notes Futures
12/19/2023
258
29,614,008
28,783,125
830,883
Total
 
 
$1,232,326
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 September 30, 2023, at value: 
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity
$—
$9,117,497
$3,317
$9,120,814
All Other Non-Convertible Bonds(a)
—
156,618,778
—
156,618,778
Total Non-Convertible Bonds
—
165,736,275
3,317
165,739,592
Convertible Bonds(a)
—
2,955,103
—
2,955,103
Municipals(a)
—
666,214
—
666,214
Total Bonds and Notes
—
169,357,592
3,317
169,360,909
Collateralized Loan Obligations
—
7,578,389
—
7,578,389
Preferred Stocks(a)
1,816,171
—
—
1,816,171
Common Stocks(a)
583,557
—
—
583,557
Senior Loans(a)
—
267,745
—
267,745
Short-Term Investments
—
15,649,037
—
15,649,037
Total Investments
2,399,728
192,852,763
3,317
195,255,808
Futures Contracts (unrealized appreciation)
1,232,326
—
—
1,232,326
Total
$3,632,054
$192,852,763
$3,317
$196,488,134
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Futures Contracts (unrealized depreciation)
$(2,203,194
)
$—
$—
$(2,203,194
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2022 and/or September 30, 2023: 
 
Asset Valuation Inputs
Investments in Securities
Balance as of
December 31,
2022
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
September 30,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity
$3,824
$—
$12
$55
$—
$(574
)
$—
$—
$3,317
$(18
)
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 also use futures contracts to gain investment exposure. As of September 30, 2023, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of September 30, 2023: 
Assets
Unrealized
appreciation
on futures
contracts
Exchange-traded asset derivatives
Interest rate contracts
$1,232,326
 
Liabilities
Unrealized
depreciation
on futures
contracts
Exchange-traded liability derivatives
Interest rate contracts
$(2,203,194
)
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 September 30, 2023 (Unaudited)
Treasuries
12.3%
Banking
11.6
Technology
7.4
ABS Car Loan
5.4
ABS Home Equity
4.7
Finance Companies
4.5
Independent Energy
3.2
Metals & Mining
3.2
ABS Other
3.0
Cable Satellite
2.6
Life Insurance
2.5
Midstream
2.4
Non-Agency Commercial Mortgage-Backed Securities
2.2
Media Entertainment
2.1
Wireless
2.0
Other Investments, less than 2% each
19.6
Collateralized Loan Obligations
3.9
Short-Term Investments
8.0
Total Investments
100.6
Other assets less liabilities (including futures contracts)
(0.6)
Net Assets
100.0%