NPORT-EX 2 NPORT_48AP_52925938_1222.htm HTML

PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)

Loomis Sayles Credit Income Fund

 

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – 91.7% of Net Assets

   

Non-Convertible Bonds – 86.7%

   
    Aerospace & Defense – 2.4%

 

$     20,000         Boeing Co. (The),
2.250%, 6/15/2026		    $ 18,004  
    20,000     Boeing Co. (The),
2.950%, 2/01/2030		      16,938  
    10,000     Boeing Co. (The),
3.200%, 3/01/2029		      8,769  
    5,000     Boeing Co. (The),
3.250%, 2/01/2035		      3,802  
    5,000     Boeing Co. (The),
3.375%, 6/15/2046		      3,244  
    5,000     Boeing Co. (The),
3.500%, 3/01/2039		      3,603  
    15,000     Boeing Co. (The),
3.550%, 3/01/2038		      11,051  
    220,000     Boeing Co. (The),
3.625%, 2/01/2031		      192,757  
    5,000     Boeing Co. (The),
3.625%, 3/01/2048		      3,271  
    35,000     Boeing Co. (The),
3.750%, 2/01/2050		      24,126  
    15,000     Boeing Co. (The),
3.825%, 3/01/2059		      9,590  
    10,000     Boeing Co. (The),
3.850%, 11/01/2048		      6,864  
    15,000     Boeing Co. (The),
3.900%, 5/01/2049		      10,532  
    45,000     Boeing Co. (The),
5.150%, 5/01/2030		      43,904  
    20,000     Huntington Ingalls Industries, Inc.,
4.200%, 5/01/2030		      18,153  
       125,000     Textron, Inc.,
3.000%, 6/01/2030		      106,228  
    20,000     TransDigm, Inc.,
6.250%, 3/15/2026, 144A		      19,724  
      

 

 

  
              500,560  
      

 

 

  
    Airlines – 0.3%

 

    68,534     American Airlines Pass Through Trust, Series 2016-3, Class A,
3.250%, 4/15/2030		      53,172  
    11,430     United Airlines Pass Through Trust, Series 2020-1, Class B,
4.875%, 7/15/2027		      10,760  
      

 

 

  
         63,932  
      

 

 

  
    Automotive – 1.2%

 

    60,000     Allison Transmission, Inc.,
3.750%, 1/30/2031, 144A		      49,350  
    15,000     Ford Motor Co.,
3.250%, 2/12/2032		      11,249  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Automotive – continued

 

$     170,000         General Motors Co.,
5.200%, 4/01/2045		    $ 138,171  
    40,000     General Motors Co.,
6.250%, 10/02/2043		      36,981  
    5,000     General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter),
5.700%(a)		      4,232  
      

 

 

  
         239,983  
      

 

 

  
    Banking – 12.0%

 

    40,000     Ally Financial, Inc.,
2.200%, 11/02/2028		      31,187  
    65,000     Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter),
4.700%(a)		      43,469  
    50,000     Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter),
4.700%(a)		      31,313  
    40,000     American Express Co.,
5.850%, 11/05/2027		      41,641  
    270,000     Bank of America Corp., MTN,
4.250%, 10/22/2026		      260,806  
    200,000     Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),
3.564%, 9/23/2035		      152,189  
       215,000     Citigroup, Inc.,
4.450%, 9/29/2027		      204,983  
    250,000     Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter),
4.000%, 1/10/2033, 144A		      217,820  
    250,000     Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter),
6.537%, 8/12/2033, 144A		      219,620  
    150,000     Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter),
3.547%, 9/18/2031		      120,253  
    120,000     Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter),
1.757%, 1/24/2025		      114,858  
    390,000     Morgan Stanley,
3.625%, 1/20/2027		      367,776  
    80,000     Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter),
2.475%, 1/21/2028		      71,084  
    200,000     NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter),
1.642%, 6/14/2027		      173,092  
    115,000     Santander Holdings USA, Inc.,
3.244%, 10/05/2026		      106,728  
    200,000     Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter),
3.653%, 7/08/2035, 144A		      157,020  
    200,000     Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter),
4.644%, 4/01/2031, 144A		      179,727  
      

 

 

  
           2,493,566  
      

 

 

  
    Brokerage – 0.9%

 

    15,000     Jefferies Financial Group, Inc.,
6.250%, 1/15/2036		      15,128  
    180,000     Jefferies Financial Group, Inc.,
6.500%, 1/20/2043		      175,365  
      

 

 

  
         190,493  
      

 

 

  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Cable Satellite – 5.2%

 

$     125,000         CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031, 144A		    $ 100,360  
    120,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 8/15/2030, 144A		      99,139  
    35,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
4.750%, 2/01/2032, 144A		      28,374  
    25,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
5.125%, 5/01/2027, 144A		      23,302  
    10,000     CCO Holdings LLC/CCO Holdings Capital Corp.,
5.500%, 5/01/2026, 144A		      9,681  
    5,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
2.300%, 2/01/2032		      3,683  
    20,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
2.800%, 4/01/2031		      15,570  
    90,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
3.950%, 6/30/2062		      53,091  
    5,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
4.400%, 4/01/2033		      4,278  
    150,000     Charter Communications Operating LLC/Charter Communications Operating Capital,
4.800%, 3/01/2050		      108,892  
       200,000     CSC Holdings LLC,
4.625%, 12/01/2030, 144A		      110,527  
    200,000     CSC Holdings LLC,
5.000%, 11/15/2031, 144A		      111,740  
    15,000     DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc.,
5.875%, 8/15/2027, 144A		      13,420  
    155,000     DISH DBS Corp.,
5.125%, 6/01/2029		      99,992  
    175,000     DISH DBS Corp.,
5.250%, 12/01/2026, 144A		      147,409  
    200,000     Time Warner Cable LLC,
4.500%, 9/15/2042		      146,421  
      

 

 

  
           1,075,879  
      

 

 

  
    Chemicals – 1.5%

 

    15,000     Celanese U.S. Holdings LLC,
6.330%, 7/15/2029		      14,575  
    10,000     Celanese U.S. Holdings LLC,
6.379%, 7/15/2032		      9,509  
    70,000     CF Industries, Inc.,
4.500%, 12/01/2026, 144A		      67,754  
    15,000     FMC Corp.,
3.450%, 10/01/2029		      13,221  
    60,000     Hercules LLC,
6.500%, 6/30/2029		      57,022  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Chemicals – continued

 

$     200,000         Orbia Advance Corp. SAB de CV,
2.875%, 5/11/2031, 144A		    $ 157,016  
      

 

 

  
         319,097  
      

 

 

  
    Construction Machinery – 0.7%

 

    90,000     Caterpillar Financial Services Corp., MTN,
0.950%, 1/10/2024		      86,820  
    20,000     John Deere Capital Corp., MTN,
0.900%, 1/10/2024		      19,257  
    35,000     John Deere Capital Corp., MTN,
1.250%, 1/10/2025		      32,736  
      

 

 

  
         138,813  
      

 

 

  
    Consumer Cyclical Services – 2.5%

 

    10,000     Expedia Group, Inc.,
2.950%, 3/15/2031		      8,041  
    195,000     Expedia Group, Inc.,
3.250%, 2/15/2030		      165,418  
    50,000     Go Daddy Operating Co. LLC/GD Finance Co., Inc.,
3.500%, 3/01/2029, 144A		      41,860  
       325,000     Uber Technologies, Inc.,
4.500%, 8/15/2029, 144A		      283,158  
    25,000     Uber Technologies, Inc.,
7.500%, 9/15/2027, 144A		      25,017  
      

 

 

  
              523,494  
      

 

 

  
    Electric – 0.7%

 

    15,000     AES Corp. (The),
2.450%, 1/15/2031		      11,933  
    5,000     AES Corp. (The),
3.950%, 7/15/2030, 144A		      4,410  
    60,000     Calpine Corp.,
3.750%, 3/01/2031, 144A		      48,309  
    20,000     IPALCO Enterprises, Inc.,
4.250%, 5/01/2030		      17,768  
    35,000     NRG Energy, Inc.,
4.450%, 6/15/2029, 144A		      30,952  
    15,000     Pacific Gas & Electric Co.,
5.450%, 6/15/2027		      14,792  
    20,000     Vistra Operations Co. LLC,
3.700%, 1/30/2027, 144A		      18,236  
      

 

 

  
         146,400  
      

 

 

  
    Finance Companies – 7.1%

 

    150,000     AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
3.875%, 1/23/2028		      134,902  
       105,000     Air Lease Corp.,
3.125%, 12/01/2030		      87,013  
    205,000     Air Lease Corp., MTN,
3.000%, 2/01/2030		      170,964  
    40,000     Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter),
4.650%(a)		      33,429  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Finance Companies – continued

 

$     125,000         Aircastle Ltd.,
4.125%, 5/01/2024		    $ 120,831  
    15,000     Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter),
5.250%, 144A(a)		      11,550  
    40,000     Ares Capital Corp.,
2.875%, 6/15/2028		      32,073  
    60,000     Ares Capital Corp.,
3.200%, 11/15/2031		      44,031  
    35,000     Aviation Capital Group LLC,
1.950%, 1/30/2026, 144A		      30,470  
    30,000     Barings BDC, Inc.,
3.300%, 11/23/2026		      25,427  
    115,000     Blackstone Secured Lending Fund,
2.125%, 2/15/2027		      95,222  
    40,000     FS KKR Capital Corp.,
3.125%, 10/12/2028		      32,247  
    35,000     FS KKR Capital Corp.,
3.400%, 1/15/2026		      31,036  
    75,000     Hercules Capital, Inc.,
3.375%, 1/20/2027		      64,300  
    60,000     Navient Corp.,
5.000%, 3/15/2027		      52,525  
    30,000     Oaktree Specialty Lending Corp.,
2.700%, 1/15/2027		      25,474  
    10,000     OneMain Finance Corp.,
7.125%, 3/15/2026		      9,509  
    50,000     Owl Rock Capital Corp.,
2.625%, 1/15/2027		      41,247  
    50,000     Owl Rock Capital Corp.,
2.875%, 6/11/2028		      39,259  
    60,000     Owl Rock Technology Finance Corp.,
2.500%, 1/15/2027		      48,911  
       140,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
2.875%, 10/15/2026, 144A		      120,003  
    75,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.625%, 3/01/2029, 144A		      59,433  
    160,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
3.875%, 3/01/2031, 144A		      122,124  
    60,000     Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.,
4.000%, 10/15/2033, 144A		      44,812  
      

 

 

  
           1,476,792  
      

 

 

  
    Financial Other – 0.9%

 

    30,000     Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
4.375%, 2/01/2029		      25,370  
    115,000     Icahn Enterprises LP/Icahn Enterprises Finance Corp.,
5.250%, 5/15/2027		      105,294  
    35,000     Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031, 144A		      27,212  
    200,000     Times China Holdings Ltd.,
6.200%, 3/22/2026		      32,422  
      

 

 

  
         190,298  
      

 

 

  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Food & Beverage – 1.5%

 

$     30,000         Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL,
5.250%, 4/27/2029, 144A		    $ 27,967  
    5,000     Darling Ingredients, Inc.,
6.000%, 6/15/2030, 144A		      4,887  
    20,000     JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.,
3.000%, 2/02/2029, 144A		      16,553  
    10,000     Pilgrim’s Pride Corp.,
3.500%, 3/01/2032, 144A		      7,817  
    10,000     Pilgrim’s Pride Corp.,
4.250%, 4/15/2031, 144A		      8,505  
    50,000     Pilgrim’s Pride Corp.,
5.875%, 9/30/2027, 144A		      48,499  
    60,000     Post Holdings, Inc.,
4.625%, 4/15/2030, 144A		      51,764  
       190,000     Smithfield Foods, Inc.,
3.000%, 10/15/2030, 144A		      144,665  
      

 

 

  
         310,657  
      

 

 

  
    Gaming – 0.9%

 

    20,000     GLP Capital LP/GLP Financing II, Inc.,
3.250%, 1/15/2032		      15,988  
    55,000     Scientific Games International, Inc.,
7.000%, 5/15/2028, 144A		      52,465  
    5,000     Scientific Games International, Inc.,
7.250%, 11/15/2029, 144A		      4,800  
    85,000     VICI Properties LP/VICI Note Co., Inc.,
3.875%, 2/15/2029, 144A		      74,497  
    20,000     VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026, 144A		      18,658  
    5,000     VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026, 144A		      4,705  
    5,000     VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025, 144A		      4,794  
    10,000     VICI Properties LP/VICI Note Co., Inc.,
5.625%, 5/01/2024, 144A		      9,903  
      

 

 

  
              185,810  
      

 

 

  
    Government Owned – No Guarantee – 0.1%

 

    25,000     EcoPetrol S.A.,
4.625%, 11/02/2031		      19,096  
      

 

 

  
    Health Insurance – 0.7%

 

    90,000     Centene Corp.,
2.500%, 3/01/2031		      70,423  
    35,000     Centene Corp.,
2.625%, 8/01/2031		      27,503  
    20,000     Centene Corp.,
3.000%, 10/15/2030		      16,395  
    5,000     Centene Corp.,
4.625%, 12/15/2029		      4,569  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Health Insurance – continued

 

$     25,000         Molina Healthcare, Inc.,
3.875%, 5/15/2032, 144A		    $ 20,761  
      

 

 

  
         139,651  
      

 

 

  
    Healthcare – 1.7%

 

    15,000     Catalent Pharma Solutions, Inc.,
3.125%, 2/15/2029, 144A		      11,943  
    75,000     Cigna Corp.,
4.375%, 10/15/2028		      72,333  
    86,781     CVS Pass-Through Trust, Series 2014,
4.163%, 8/11/2036, 144A		      77,084  
    5,000     Encompass Health Corp.,
4.750%, 2/01/2030		      4,391  
       165,000     HCA, Inc.,
4.125%, 6/15/2029		      150,627  
    25,000     Tenet Healthcare Corp.,
4.625%, 6/15/2028, 144A		      22,368  
    10,000     Tenet Healthcare Corp.,
6.125%, 10/01/2028, 144A		      8,953  
      

 

 

  
         347,699  
      

 

 

  
    Home Construction – 0.5%

 

    75,000     MDC Holdings, Inc.,
3.966%, 8/06/2061		      41,913  
    70,000     PulteGroup, Inc.,
6.000%, 2/15/2035		      66,931  
      

 

 

  
              108,844  
      

 

 

  
    Independent Energy – 3.0%

 

    150,000     Aker BP ASA,
4.000%, 1/15/2031, 144A		      131,460  
    113,000     Continental Resources, Inc.,
2.875%, 4/01/2032, 144A		      83,698  
    100,000     Continental Resources, Inc.,
5.750%, 1/15/2031, 144A		      93,086  
    20,000     Diamondback Energy, Inc.,
3.125%, 3/24/2031		      16,561  
    25,000     Energean Israel Finance Ltd.,
5.375%, 3/30/2028, 144A		      22,375  
    40,000     Energean Israel Finance Ltd.,
5.875%, 3/30/2031, 144A		      34,850  
    10,000     EQT Corp.,
3.125%, 5/15/2026, 144A		      9,190  
    30,000     EQT Corp.,
3.625%, 5/15/2031, 144A		      25,423  
    45,000     EQT Corp.,
3.900%, 10/01/2027		      41,542  
    10,000     EQT Corp.,
5.000%, 1/15/2029		      9,388  
    10,000     EQT Corp.,
5.700%, 4/01/2028		      9,946  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Independent Energy – continued

 

$     30,000         Occidental Petroleum Corp.,
5.550%, 3/15/2026		    $ 29,888  
    5,000     Occidental Petroleum Corp.,
8.875%, 7/15/2030		      5,645  
    45,000     Ovintiv Exploration, Inc.,
5.375%, 1/01/2026		      44,551  
    50,000     Ovintiv, Inc.,
6.500%, 8/15/2034		      50,312  
    5,000     Southwestern Energy Co.,
4.750%, 2/01/2032		      4,273  
      

 

 

  
         612,188  
      

 

 

  
    Industrial Other – 0.1%

 

    20,000     TopBuild Corp.,
4.125%, 2/15/2032, 144A		      16,252  
      

 

 

  
    Leisure – 0.7%

 

    40,000     Carnival Corp.,
5.750%, 3/01/2027, 144A		      28,562  
    30,000     Carnival Corp.,
6.000%, 5/01/2029, 144A		      19,991  
    30,000     NCL Corp. Ltd.,
5.875%, 3/15/2026, 144A		      23,564  
    25,000     NCL Corp. Ltd.,
5.875%, 2/15/2027, 144A		      21,639  
    10,000     NCL Finance Ltd.,
6.125%, 3/15/2028, 144A		      7,382  
    60,000     Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028, 144A		      47,883  
      

 

 

  
              149,021  
      

 

 

  
    Life Insurance – 1.1%

 

         50,000     Athene Global Funding,
1.608%, 6/29/2026, 144A		      43,128  
    55,000     Athene Global Funding,
1.716%, 1/07/2025, 144A		      50,744  
    95,000     Athene Global Funding,
2.550%, 11/19/2030, 144A		      73,424  
    30,000     Athene Holding Ltd.,
3.500%, 1/15/2031		      24,633  
    30,000     CNO Financial Group, Inc.,
5.250%, 5/30/2029		      28,527  
      

 

 

  
         220,456  
      

 

 

  
    Lodging – 1.3%

 

    60,000     Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032, 144A		      48,048  
    40,000     Hilton Domestic Operating Co., Inc.,
4.000%, 5/01/2031, 144A		      33,690  
    10,000     Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
4.875%, 7/01/2031, 144A		      8,162  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Lodging – continued

 

$     25,000         Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow,
5.000%, 6/01/2029, 144A		    $ 21,500  
    5,000     Hyatt Hotels Corp.,
5.625%, 4/23/2025		      4,961  
    3,000     Marriott International, Inc., Series EE,
5.750%, 5/01/2025		      3,026  
    25,000     Marriott International, Inc., Series FF,
4.625%, 6/15/2030		      23,328  
    20,000     Marriott International, Inc., Series HH,
2.850%, 4/15/2031		      16,196  
    20,000     Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029, 144A		      16,592  
    45,000     Travel & Leisure Co.,
4.500%, 12/01/2029, 144A		      36,667  
    75,000     Travel & Leisure Co.,
4.625%, 3/01/2030, 144A		      62,195  
      

 

 

  
              274,365  
      

 

 

  
    Media Entertainment – 1.8%

 

    85,000     iHeartCommunications, Inc.,
4.750%, 1/15/2028, 144A		      69,219  
    75,000     iHeartCommunications, Inc.,
5.250%, 8/15/2027, 144A		      63,531  
    20,000     iHeartCommunications, Inc.,
8.375%, 5/01/2027		      17,008  
    10,000     Netflix, Inc.,
4.875%, 4/15/2028		      9,656  
       135,000     Netflix, Inc.,
4.875%, 6/15/2030, 144A		      125,901  
    5,000     Netflix, Inc.,
5.375%, 11/15/2029, 144A		      4,850  
    5,000     Netflix, Inc.,
5.875%, 11/15/2028		      5,068  
    15,000     Netflix, Inc.,
6.375%, 5/15/2029		      15,439  
    15,000     Warnermedia Holdings, Inc.,
4.054%, 3/15/2029, 144A		      13,001  
    60,000     Warnermedia Holdings, Inc.,
4.279%, 3/15/2032, 144A		      49,471  
      

 

 

  
         373,144  
      

 

 

  
    Metals & Mining – 3.6%

 

    200,000     Anglo American Capital PLC,
4.500%, 3/15/2028, 144A		      189,154  
    35,000     ArcelorMittal S.A.,
7.000%, 10/15/2039		      35,519  
    25,000     ATI, Inc.,
5.875%, 12/01/2027		      23,907  
    200,000     First Quantum Minerals Ltd.,
6.875%, 10/15/2027, 144A		      187,645  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Metals & Mining – continued

 

$     45,000         FMG Resources August 2006 Pty Ltd.,
4.375%, 4/01/2031, 144A		    $ 37,426  
    15,000     Freeport-McMoRan, Inc.,
4.250%, 3/01/2030		      13,619  
    35,000     Freeport-McMoRan, Inc.,
4.625%, 8/01/2030		      32,599  
    40,000     Freeport-McMoRan, Inc.,
5.400%, 11/14/2034		      37,775  
       135,000     Glencore Funding LLC,
3.875%, 10/27/2027, 144A		      126,274  
    20,000     Glencore Funding LLC,
4.000%, 3/27/2027, 144A		      18,874  
    35,000     Novelis Corp.,
4.750%, 1/30/2030, 144A		      31,030  
    10,000     Volcan Cia Minera SAA,
4.375%, 2/11/2026, 144A		      8,615  
      

 

 

  
              742,437  
      

 

 

  
    Midstream – 2.2%

 

    55,000     DCP Midstream Operating LP,
3.250%, 2/15/2032		      45,492  
    10,000     DCP Midstream Operating LP,
5.125%, 5/15/2029		      9,637  
    55,000     Energy Transfer LP,
4.000%, 10/01/2027		      51,330  
    35,000     Energy Transfer LP,
5.750%, 2/15/2033		      34,243  
    30,000     EnLink Midstream Partners LP,
5.450%, 6/01/2047		      24,097  
    35,000     EQM Midstream Partners LP,
5.500%, 7/15/2028		      31,296  
    15,000     Hess Midstream Operations LP,
4.250%, 2/15/2030, 144A		      12,824  
    15,000     Hess Midstream Operations LP,
5.625%, 2/15/2026, 144A		      14,611  
    80,000     NGPL PipeCo LLC,
4.875%, 8/15/2027, 144A		      75,980  
    15,000     Plains All American Pipeline LP/PAA Finance Corp.,
3.800%, 9/15/2030		      13,036  
    25,000     Plains All American Pipeline LP/PAA Finance Corp.,
4.300%, 1/31/2043		      18,125  
    15,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.000%, 1/15/2032		      12,610  
    5,000     Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
4.875%, 2/01/2031		      4,515  
    60,000     Valero Energy Partners LP,
4.500%, 3/15/2028		      58,175  
    10,000     Western Midstream Operating LP,
4.300%, 2/01/2030		      8,729  
    20,000     Western Midstream Operating LP,
5.300%, 3/01/2048		      16,445  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Midstream – continued

 

$     5,000         Western Midstream Operating LP,
5.450%, 4/01/2044		    $ 4,154  
    10,000     Western Midstream Operating LP,
5.500%, 2/01/2050		      8,238  
      

 

 

  
         443,537  
      

 

 

  
    Paper – 0.2%

 

    45,000     Suzano Austria GmbH,
3.750%, 1/15/2031		      37,752  
      

 

 

  
    Pharmaceuticals – 1.7%

 

    65,000     Bausch Health Cos., Inc.,
4.875%, 6/01/2028, 144A		      41,343  
    55,000     Bausch Health Cos., Inc.,
5.000%, 1/30/2028, 144A		      26,400  
    5,000     Bausch Health Cos., Inc.,
7.000%, 1/15/2028, 144A		      2,417  
    50,000     Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036		      43,953  
    85,000     Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026		      74,332  
       250,000     Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046		      152,856  
      

 

 

  
              341,301  
      

 

 

  
    Property & Casualty Insurance – 1.1%

 

    175,000     Fidelity National Financial, Inc.,
2.450%, 3/15/2031		      133,500  
    65,000     Sirius International Group Ltd.,
4.600%, 11/01/2026, 144A		      55,851  
    55,000     Stewart Information Services Corp.,
3.600%, 11/15/2031		      42,148  
      

 

 

  
         231,499  
      

 

 

  
    REITs – Apartments – 0.0%

 

    10,000     American Homes 4 Rent,
2.375%, 7/15/2031		      7,713  
      

 

 

  
    REITs – Diversified – 0.1%

 

    15,000     EPR Properties,
3.600%, 11/15/2031		      10,867  
      

 

 

  
    REITs – Mortgage – 0.1%

 

    15,000     Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,
4.250%, 2/01/2027, 144A		      12,600  
      

 

 

  
    REITs – Office Property – 0.0%

 

    10,000     Corporate Office Properties LP,
2.750%, 4/15/2031		      7,484  
      

 

 

  
    REITs – Shopping Centers – 0.8%

 

    115,000     Brixmor Operating Partnership LP,
4.050%, 7/01/2030		      100,603  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    REITs – Shopping Centers – continued

 

$     75,000         SITE Centers Corp.,
3.625%, 2/01/2025		    $ 70,784  
      

 

 

  
         171,387  
      

 

 

  
    Restaurants – 0.7%

 

       125,000     1011778 B.C. ULC/New Red Finance, Inc.,
4.375%, 1/15/2028, 144A		      111,926  
    45,000     Yum! Brands, Inc.,
4.625%, 1/31/2032		      39,776  
      

 

 

  
              151,702  
      

 

 

  
    Retailers – 0.1%

 

    20,000     Lithia Motors, Inc.,
3.875%, 6/01/2029, 144A		      16,484  
    10,000     Tapestry, Inc.,
3.050%, 3/15/2032		      7,783  
      

 

 

  
         24,267  
      

 

 

  
    Technology – 6.0%

 

    20,000     Broadcom, Inc.,
3.137%, 11/15/2035, 144A		      14,705  
    30,000     Broadcom, Inc.,
4.150%, 11/15/2030		      26,885  
    55,000     Broadcom, Inc.,
4.300%, 11/15/2032		      48,474  
    10,000     CDW LLC/CDW Finance Corp.,
2.670%, 12/01/2026		      8,878  
    10,000     CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029		      8,517  
    90,000     CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031		      74,163  
    130,000     CommScope Technologies LLC,
5.000%, 3/15/2027, 144A		      88,296  
    60,000     CommScope, Inc.,
4.750%, 9/01/2029, 144A		      48,372  
    65,000     Entegris Escrow Corp.,
4.750%, 4/15/2029, 144A		      59,276  
    5,000     Everi Holdings, Inc.,
5.000%, 7/15/2029, 144A		      4,295  
    15,000     Fidelity National Information Services, Inc.,
5.100%, 7/15/2032		      14,448  
    35,000     FLEX Ltd.,
6.000%, 1/15/2028		      34,924  
    5,000     Gartner, Inc.,
3.625%, 6/15/2029, 144A		      4,394  
    5,000     Global Payments, Inc.,
2.900%, 11/15/2031		      3,943  
    15,000     Global Payments, Inc.,
5.300%, 8/15/2029		      14,502  
    30,000     Global Payments, Inc.,
5.400%, 8/15/2032		      28,571  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Technology – continued

 

$     60,000         Iron Mountain, Inc.,
5.250%, 7/15/2030, 144A		    $ 52,140  
    35,000     Jabil, Inc.,
1.700%, 4/15/2026		      31,015  
    30,000     Marvell Technology, Inc.,
2.450%, 4/15/2028		      25,393  
    25,000     Marvell Technology, Inc.,
2.950%, 4/15/2031		      20,108  
       265,000     Micron Technology, Inc.,
4.663%, 2/15/2030		      240,348  
    25,000     MSCI, Inc.,
3.250%, 8/15/2033, 144A		      19,306  
    5,000     NXP BV/NXP Funding LLC/NXP USA, Inc.,
4.400%, 6/01/2027		      4,792  
    15,000     Open Text Corp.,
6.900%, 12/01/2027, 144A		      15,000  
    60,000     Open Text Holdings, Inc.,
4.125%, 2/15/2030, 144A		      48,130  
    60,000     Oracle Corp.,
3.950%, 3/25/2051		      42,746  
    30,000     Oracle Corp.,
6.150%, 11/09/2029		      31,139  
    60,000     Qorvo, Inc.,
3.375%, 4/01/2031, 144A		      48,206  
    55,000     S&P Global, Inc.,
4.250%, 5/01/2029, 144A		      52,488  
    60,000     TD SYNNEX Corp.,
1.750%, 8/09/2026		      50,998  
    35,000     Verisk Analytics, Inc.,
4.125%, 3/15/2029		      32,765  
    30,000     Western Digital Corp.,
2.850%, 2/01/2029		      23,210  
    30,000     Western Digital Corp.,
4.750%, 2/15/2026		      28,252  
      

 

 

  
           1,248,679  
      

 

 

  
    Treasuries – 18.7%

 

    135,000     U.S. Treasury Bond,
1.125%, 8/15/2040		      83,837  
    255,000     U.S. Treasury Bond,
1.875%, 2/15/2051		      162,065  
    155,000     U.S. Treasury Bond,
2.250%, 2/15/2052		      107,786  
    415,000     U.S. Treasury Bond,
3.250%, 5/15/2042		      363,838  
    1,400,000     U.S. Treasury Note,
0.125%, 1/31/2023		      1,395,781  
    780,000     U.S. Treasury Note,
0.125%, 4/30/2023		      769,275  
    805,000     U.S. Treasury Note,
0.250%, 9/30/2023		      778,240  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Non-Convertible Bonds – continued

   
    Treasuries – continued

 

$     230,000         U.S. Treasury Note,
1.500%, 2/29/2024		    $ 221,698  
      

 

 

  
         3,882,520  
      

 

 

  
    Wireless – 2.6%

 

    80,000     Crown Castle, Inc.,
2.500%, 7/15/2031		      64,469  
    70,000     SBA Communications Corp.,
3.125%, 2/01/2029		      58,204  
    130,000     T-Mobile USA, Inc.,
3.375%, 4/15/2029		      114,500  
    65,000     T-Mobile USA, Inc.,
3.500%, 4/15/2031		      56,147  
       265,000     T-Mobile USA, Inc.,
3.875%, 4/15/2030		      240,041  
      

 

 

  
         533,361  
      

 

 

  
    Total Non-Convertible Bonds
(Identified Cost $21,112,325)		      17,963,596  
      

 

 

  

Convertible Bonds – 5.0%

   
    Airlines – 0.5%

 

    20,000     JetBlue Airways Corp.,
0.500%, 4/01/2026		      14,582  
    85,000     Southwest Airlines Co.,
1.250%, 5/01/2025		      102,085  
      

 

 

  
         116,667  
      

 

 

  
    Cable Satellite – 1.2%

 

    40,000     DISH Network Corp.,
Zero Coupon, 0.000%-8.380%, 12/15/2025(b)		      25,605  
    350,000     DISH Network Corp.,
3.375%, 8/15/2026		      219,275  
      

 

 

  
         244,880  
      

 

 

  
    Consumer Cyclical Services – 0.3%

 

    5,000     Peloton Interactive, Inc.,
Zero Coupon, 0.798%, 2/15/2026(c)		      3,540  
    65,000     Uber Technologies, Inc.,
Zero Coupon, 0.000%-5.152%, 12/15/2025(b)		      54,898  
      

 

 

  
         58,438  
      

 

 

  
    Gaming – 0.1%

 

    10,000     Penn Entertainment, Inc.,
2.750%, 5/15/2026		      14,740  
      

 

 

  
    Healthcare – 0.5%

 

    140,000     Teladoc Health, Inc.,
1.250%, 6/01/2027		      107,547  
      

 

 

  

Principal
Amount

    

Description

    Value (†)  
                  

Bonds and Notes – continued

   

Convertible Bonds – continued

   
    Leisure – 0.2%

 

$     60,000         NCL Corp. Ltd.,
1.125%, 2/15/2027		    $ 41,096  
      

 

 

  
    Media Entertainment – 0.3%

 

    30,000     Bilibili, Inc.,
0.500%, 12/01/2026		      22,050  
    30,000     Snap, Inc.,
Zero Coupon, 6.709%-6.954%, 5/01/2027(b)		      20,955  
    25,000     Spotify USA, Inc.,
Zero Coupon, 5.189%-5.777%, 3/15/2026(b)		      20,125  
      

 

 

  
         63,130  
      

 

 

  
    Pharmaceuticals – 1.3%

 

    195,000     BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027		      209,539  
    15,000     Guardant Health, Inc.,
Zero Coupon, 0.000%, 11/15/2027(c)		      9,329  
    25,000     Ionis Pharmaceuticals, Inc.,
Zero Coupon, 0.000%, 4/01/2026(c)		      23,078  
    40,000     Livongo Health, Inc.,
0.875%, 6/01/2025		      35,015  
      

 

 

  
         276,961  
      

 

 

  
    Technology – 0.6%

 

    25,000     Nutanix, Inc.,
0.250%, 10/01/2027		      20,912  
    20,000     RingCentral, Inc.,
Zero Coupon, 7.630%-7.929%, 3/15/2026(b)		      15,700  
    60,000     Splunk, Inc.,
1.125%, 6/15/2027		      50,628  
    30,000     Unity Software, Inc.,
Zero Coupon, 7.084%-8.213%, 11/15/2026(b)		      22,455  
    5,000     Wolfspeed, Inc.,
0.250%, 2/15/2028, 144A		      4,323  
    10,000     Wolfspeed, Inc.,
1.875%, 12/01/2029, 144A		      9,005  
      

 

 

  
         123,023  
      

 

 

  
    Total Convertible Bonds
(Identified Cost $1,318,045)		      1,046,482  
      

 

 

  
    Total Bonds and Notes
(Identified Cost $22,430,370)		      19,010,078  
      

 

 

  

Collateralized Loan Obligations – 3.3%

   
       250,000     AIMCO CLO Ltd., Series 2021-14A, Class D,
3-month LIBOR + 2.900%, 7.143%, 4/20/2034, 144A(d)		      229,898  
    250,000     Fillmore Park CLO Ltd., Series 2018-1A, Class D,
3-month LIBOR + 2.900%, 6.979%, 7/15/2030, 144A(d)		      231,377  
    250,000     Recette CLO Ltd., Series 2015-1A, Class DRR,
3-month LIBOR + 3.250%, 7.493%, 4/20/2034, 144A(d)		      218,641  
      

 

 

  
    Total Collateralized Loan Obligations
(Identified Cost $750,000)		      679,916  
      

 

 

  

                  

Shares

    

Description

    Value (†)  
                  

Preferred Stocks – 1.1%

   

Convertible Preferred Stocks – 1.1%

   
    Banking – 1.0%

 

       97         Bank of America Corp., Series L,
7.250%		    $ 112,520  
    83     Wells Fargo & Co., Class A, Series L,
7.500%		      98,355  
      

 

 

  
         210,875  
      

 

 

  
    Technology – 0.1%

 

    273     Clarivate PLC, Series A,
5.250%		      10,341  
      

 

 

  
    Total Preferred Stocks
(Identified Cost $281,607)		      221,216  
      

 

 

  

Principal
Amount

             
                  

Short-Term Investments – 2.9%

   
  $ 396,846     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $396,925 on 1/03/2023 collateralized by $462,700 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $404,826 including accrued interest(e)      396,846  
       205,000     U.S. Treasury Bills,
4.028%, 2/02/2023(f)		      204,350  
      

 

 

  
    Total Short-Term Investments
(Identified Cost $601,112)		      601,196  
      

 

 

  
    Total Investments – 99.0%
(Identified Cost $24,063,089)		      20,512,406  
    Other assets less liabilities – 1.0%      204,503  
      

 

 

  
    Net Assets – 100.0%    $ 20,716,909  
      

 

 

  

(†)

Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the 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. Collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.

The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the 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 are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)

Perpetual bond with no specified maturity date.

(b)

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

(c)

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

(d)

Variable rate security. Rate as of December 31, 2022 is disclosed.

(e)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the 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 December 31, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(f)

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

 

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $6,603,901 or 31.9% of net assets.

LIBOR

London Interbank Offered Rate

MTN

Medium Term Note

REITs

Real Estate Investment Trusts

Futures Contracts

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

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the 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 December 31, 2022, open long futures contracts were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Amount		      Value      Unrealized
Appreciation
(Depreciation)		  

Ultra Long U.S. Treasury Bond

      3/22/2023        9      $ 1,219,606      $ 1,208,813      $ (10,793 ) 

Ultra 10 Year U.S. Treasury Note

      3/22/2023        7        835,478        827,968        (7,510 ) 
              

 

 

  

Total

 

    $ (18,303 ) 
              

 

 

  

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2022, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes*

    $ —        $ 19,010,078      $ —        $ 19,010,078  

Collateralized Loan Obligations

      —          679,916        —          679,916  

Preferred Stocks*

      221,216        —          —          221,216  

Short-Term Investments

      —          601,196        —          601,196  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 221,216      $ 20,291,190      $ —        $ 20,512,406  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

                                                                               

Description

    Level 1      Level 2      Level 3      Total  

Futures Contracts (unrealized depreciation)

    $ (18,303 )     $ —        $ —        $ (18,303 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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

Derivatives

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

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. As of December 31, 2022, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2022:

 

Liabilities_

    Unrealized
depreciation
futures contracts		  

Exchange-traded liability derivatives
Interest rate contracts

    $ (18,303 ) 

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 clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of December 31, 2022:

 

Maximum Amount

of Loss - Gross

   

Maximum Amount

of Loss - Net

$ 106,932

    $ 106,932

Industry Summary at December 31, 2022 (Unaudited)

 

Treasuries

      18.7 % 

Banking

      13.0  

Finance Companies

      7.1  

Technology

      6.7  

Cable Satellite

      6.4  

Metals & Mining

      3.6  

Pharmaceuticals

      3.0  

Independent Energy

      3.0  

Consumer Cyclical Services

      2.8  

Wireless

      2.6  

Aerospace & Defense

      2.4  

Healthcare

      2.2  

Midstream

      2.2  

Media Entertainment

      2.1  

Other Investments, less than 2% each

      17.0  

Collateralized Loan Obligations

      3.3  

Short-Term Investments

      2.9  
  

 

 

  

Total Investments

      99.0  

Other assets less liabilities (including futures contracts)

      1.0  
  

 

 

  

Net Assets

      100.0 %