NPORT-EX 2 NPORT_4897_48494342_1223.htm EDGAR HTML
Portfolio of Investments – as of December 31, 2023 (Unaudited)
Loomis Sayles High Income Opportunities Fund
 
Principal
Amount
Description
Value (†)
Bonds and Notes — 88.9% of Net Assets
Non-Convertible Bonds — 85.2%
ABS Car Loan — 0.5%
$297,000
Hertz Vehicle Financing III LLC, Series 2022-1A,
Class D, 4.850%, 6/25/2026(a)
$281,424
162,500
Hertz Vehicle Financing III LLC, Series 2022-3A,
Class D, 6.310%, 3/25/2025(a)
161,792
270,000
Hertz Vehicle Financing III LLC, Series 2023-1A,
Class D2, 9.130%, 6/25/2027(a)
271,306
290,000
Hertz Vehicle Financing LLC, Series 2022-4A,
Class D, 6.560%, 9/25/2026(a)
279,705
150,000
Prestige Auto Receivables Trust, Series 2019-1A,
Class E, 3.900%, 5/15/2026(a)
149,478
 
1,143,705
ABS Home Equity — 0.2%
88,295
DSLA Mortgage Loan Trust, Series 2005-AR5,
Class 2A1A, 1 mo. USD SOFR + 0.774%,
6.130%, 9/19/2045(b)
46,402
449,187
PRPM LLC, Series 2022-5, Class A1,
6.900%, 9/27/2027(a)(b)
449,750
 
496,152
Aerospace & Defense — 1.7%
310,000
Bombardier, Inc., 6.000%, 2/15/2028(a)
302,026
1,335,000
Bombardier, Inc., 7.125%, 6/15/2026(a)
1,328,767
192,000
Bombardier, Inc., 7.875%, 4/15/2027(a)
192,034
220,000
Bombardier, Inc., 8.750%, 11/15/2030(a)
234,235
410,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
430,088
470,000
TransDigm, Inc., 6.250%, 3/15/2026(a)
469,188
625,000
TransDigm, Inc., 6.750%, 8/15/2028(a)
639,426
90,000
TransDigm, Inc., 6.875%, 12/15/2030(a)
92,700
 
3,688,464
Airlines — 1.4%
295,000
Allegiant Travel Co., 7.250%, 8/15/2027(a)
288,640
2,350,000
American Airlines, Inc./AAdvantage Loyalty IP Ltd.,
5.750%, 4/20/2029(a)
2,290,692
270,000
Hawaiian Brand Intellectual Property
Ltd./HawaiianMiles Loyalty Ltd.,
5.750%, 1/20/2026(a)
254,378
220,000
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.,
8.000%, 9/20/2025(a)
158,217
105,000
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd.,
8.000%, 9/20/2025(a)
75,513
 
3,067,440
Automotive — 2.9%
45,000
Allison Transmission, Inc., 4.750%, 10/01/2027(a)
43,482
255,000
American Axle & Manufacturing, Inc.,
5.000%, 10/01/2029
225,281
55,000
Ford Motor Co., 3.250%, 2/12/2032
45,744
1,645,000
Ford Motor Credit Co. LLC, 2.300%, 2/10/2025
1,581,949
800,000
Ford Motor Credit Co. LLC, 3.375%, 11/13/2025
765,529
200,000
Ford Motor Credit Co. LLC, 4.542%, 8/01/2026
193,662
795,000
Ford Motor Credit Co. LLC, 6.950%, 6/10/2026
815,530
400,000
Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026
388,957
810,000
General Motors Financial Co., Inc., Series A, (fixed
rate to 9/30/2027, variable rate thereafter),
5.750%(c)
718,470
485,000
General Motors Financial Co., Inc., Series B, (fixed
rate to 9/30/2028, variable rate thereafter),
6.500%(c)
441,331
Principal
Amount
Description
Value (†)
Automotive — continued
$545,000
General Motors Financial Co., Inc., Series C, (fixed
rate to 9/30/2030, variable rate thereafter),
5.700%(c)
$503,302
200,000
Jaguar Land Rover Automotive PLC,
5.500%, 7/15/2029(a)
194,909
220,000
Jaguar Land Rover Automotive PLC,
5.875%, 1/15/2028(a)
217,184
190,000
Wheel Pros, Inc., 6.500%, 5/15/2029(a)
57,950
155,000
ZF North America Capital, Inc., 6.875%, 4/14/2028(a)
161,141
155,000
ZF North America Capital, Inc., 7.125%, 4/14/2030(a)
164,663
 
6,519,084
Banking — 1.9%
665,000
Barclays PLC, (fixed rate to 6/27/2033, variable rate
thereafter), 7.119%, 6/27/2034
708,707
270,000
Barclays PLC, (fixed rate to 9/23/2030, variable rate
thereafter), 3.564%, 9/23/2035
231,475
1,235,000
Deutsche Bank AG, (fixed rate to 12/01/2027,
variable rate thereafter), 4.875%, 12/01/2032
1,151,428
1,150,000
Intesa Sanpaolo SpA, 6.625%, 6/20/2033(a)
1,178,447
960,000
UniCredit SpA, (fixed rate to 6/30/2030, variable rate
thereafter), 5.459%, 6/30/2035(a)
902,859
 
4,172,916
Brokerage — 0.6%
180,000
Coinbase Global, Inc., 3.375%, 10/01/2028(a)
151,879
140,000
Coinbase Global, Inc., 3.625%, 10/01/2031(a)
108,170
290,000
Jefferies Finance LLC/JFIN Co-Issuer Corp.,
5.000%, 8/15/2028(a)
259,573
150,000
NFP Corp., 4.875%, 8/15/2028(a)
148,447
360,000
NFP Corp., 6.875%, 8/15/2028(a)
365,976
300,000
NFP Corp., 8.500%, 10/01/2031(a)
325,170
 
1,359,215
Building Materials — 2.5%
100,000
ACProducts Holdings, Inc., 6.375%, 5/15/2029(a)
74,030
300,000
Advanced Drainage Systems, Inc.,
6.375%, 6/15/2030(a)
302,248
525,000
Beacon Roofing Supply, Inc., 6.500%, 8/01/2030(a)
536,798
265,000
Builders FirstSource, Inc., 4.250%, 2/01/2032(a)
239,025
315,000
Builders FirstSource, Inc., 5.000%, 3/01/2030(a)
304,180
210,000
Camelot Return Merger Sub, Inc.,
8.750%, 8/01/2028(a)
213,156
720,000
Cemex SAB de CV, (fixed rate to 3/14/2028, variable
rate thereafter), 9.125%(a)(c)
766,800
320,000
Cemex SAB de CV, (fixed rate to 6/08/2026, variable
rate thereafter), 5.125%(a)(c)
303,476
265,000
Cornerstone Building Brands, Inc.,
6.125%, 1/15/2029(a)
217,300
870,000
Foundation Building Materials, Inc.,
6.000%, 3/01/2029(a)
782,243
395,000
LBM Acquisition LLC, 6.250%, 1/15/2029(a)
352,715
255,000
MIWD Holdco II LLC/MIWD Finance Corp.,
5.500%, 2/01/2030(a)
225,675
275,000
Patrick Industries, Inc., 4.750%, 5/01/2029(a)
250,419
540,000
Specialty Building Products Holdings LLC/SBP
Finance Corp., 6.375%, 9/30/2026(a)
529,610
225,000
Standard Industries, Inc., 4.375%, 7/15/2030(a)
206,637
305,000
Summit Materials LLC/Summit Materials Finance
Corp., 7.250%, 1/15/2031(a)
321,380
 
5,625,692
Cable Satellite — 9.7%
665,000
Altice Financing SA, 5.000%, 1/15/2028(a)
602,797
95,000
Block Communications, Inc., 4.875%, 3/01/2028(a)
83,125
Principal
Amount
Description
Value (†)
Cable Satellite — continued
$295,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 2/01/2031(a)
$257,727
4,065,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.250%, 1/15/2034(a)
3,303,329
1,170,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.500%, 6/01/2033(a)
989,981
2,155,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
4.750%, 3/01/2030(a)
1,969,163
605,000
CSC Holdings LLC, 3.375%, 2/15/2031(a)
441,392
200,000
CSC Holdings LLC, 4.500%, 11/15/2031(a)
151,215
6,090,000
CSC Holdings LLC, 4.625%, 12/01/2030(a)
3,666,913
585,000
CSC Holdings LLC, 5.000%, 11/15/2031(a)
353,925
1,790,000
CSC Holdings LLC, 5.750%, 1/15/2030(a)
1,114,275
280,000
CSC Holdings LLC, 6.500%, 2/01/2029(a)
247,128
1,795,000
Directv Financing LLC/Directv Financing Co-Obligor,
Inc., 5.875%, 8/15/2027(a)
1,686,540
2,140,000
DISH DBS Corp., 5.125%, 6/01/2029
1,102,935
705,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
604,009
555,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
442,668
175,000
DISH DBS Corp., 7.375%, 7/01/2028
104,611
1,355,000
DISH DBS Corp., 7.750%, 7/01/2026
943,771
205,000
DISH Network Corp., 11.750%, 11/15/2027(a)
213,991
480,000
Radiate Holdco LLC/Radiate Finance, Inc.,
6.500%, 9/15/2028(a)
235,192
1,205,000
Sirius XM Radio, Inc., 3.875%, 9/01/2031(a)
1,030,861
275,000
Telesat Canada/Telesat LLC, 5.625%, 12/06/2026(a)
168,645
260,000
Viasat, Inc., 6.500%, 7/15/2028(a)
213,525
755,000
Virgin Media Secured Finance PLC,
5.500%, 5/15/2029(a)
729,513
920,000
Ziggo Bond Co. BV, 6.000%, 1/15/2027(a)
895,401
 
21,552,632
Chemicals — 1.1%
80,000
Ashland, Inc., 3.375%, 9/01/2031(a)
68,953
535,000
ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028(a)
386,326
750,000
Braskem Netherlands Finance BV,
8.500%, 1/12/2031(a)
697,500
805,000
Hercules LLC, 6.500%, 6/30/2029
757,618
510,000
Olympus Water U.S. Holding Corp.,
9.750%, 11/15/2028(a)
541,311
40,000
W.R. Grace Holdings LLC, 5.625%, 8/15/2029(a)
35,198
 
2,486,906
Consumer Cyclical Services — 2.7%
1,120,000
ADT Security Corp., 4.125%, 8/01/2029(a)
1,030,680
260,000
ANGI Group LLC, 3.875%, 8/15/2028(a)
219,577
230,000
Arches Buyer, Inc., 4.250%, 6/01/2028(a)
208,296
110,000
Arches Buyer, Inc., 6.125%, 12/01/2028(a)
95,150
55,000
Prime Security Services Borrower LLC/Prime
Finance, Inc., 3.375%, 8/31/2027(a)
50,996
90,000
Realogy Group LLC/Realogy Co-Issuer Corp.,
5.250%, 4/15/2030(a)
67,173
545,000
Realogy Group LLC/Realogy Co-Issuer Corp.,
5.750%, 1/15/2029(a)
423,554
760,000
Uber Technologies, Inc., 4.500%, 8/15/2029(a)
725,015
715,000
Uber Technologies, Inc., 6.250%, 1/15/2028(a)
716,793
1,080,000
Uber Technologies, Inc., 7.500%, 9/15/2027(a)
1,118,480
940,000
Uber Technologies, Inc., 8.000%, 11/01/2026(a)
957,438
300,000
VT Topco, Inc., 8.500%, 8/15/2030(a)
312,111
 
5,925,263
Consumer Products — 1.2%
255,000
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige
International U.S. LLC, 4.750%, 1/15/2029(a)
243,221
Principal
Amount
Description
Value (†)
Consumer Products — continued
$455,000
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige
International U.S. LLC, 6.625%, 7/15/2030(a)
$467,426
1,530,000
Energizer Holdings, Inc., 4.375%, 3/31/2029(a)
1,369,482
510,000
Newell Brands, Inc., 5.200%, 4/01/2026
502,968
140,000
Prestige Brands, Inc., 3.750%, 4/01/2031(a)
122,383
 
2,705,480
Diversified Manufacturing — 0.4%
285,000
Madison IAQ LLC, 5.875%, 6/30/2029(a)
251,109
640,000
Resideo Funding, Inc., 4.000%, 9/01/2029(a)
558,400
 
809,509
Electric — 0.6%
675,000
Calpine Corp., 4.500%, 2/15/2028(a)
642,026
31,000
NRG Energy, Inc., 3.875%, 2/15/2032(a)
26,538
105,000
NRG Energy, Inc., 5.250%, 6/15/2029(a)
101,680
135,000
NRG Energy, Inc., 5.750%, 1/15/2028
134,504
320,000
PG&E Corp., 5.000%, 7/01/2028
311,354
70,000
PG&E Corp., 5.250%, 7/01/2030
67,518
150,000
Talen Energy Supply LLC, 8.625%, 6/01/2030(a)
159,380
 
1,443,000
Environmental — 0.8%
20,000
Clean Harbors, Inc., 5.125%, 7/15/2029(a)
19,117
170,000
Clean Harbors, Inc., 6.375%, 2/01/2031(a)
172,730
935,000
Covanta Holding Corp., 4.875%, 12/01/2029(a)
816,900
530,000
GFL Environmental, Inc., 4.000%, 8/01/2028(a)
489,928
195,000
GFL Environmental, Inc., 6.750%, 1/15/2031(a)
200,905
 
1,699,580
Finance Companies — 5.3%
255,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
260,028
155,000
Aircastle Ltd., Series A, (fixed rate to 6/15/2026,
variable rate thereafter), 5.250%(a)(c)
132,883
105,000
Blackstone Secured Lending Fund,
2.750%, 9/16/2026
96,066
520,000
Blackstone Secured Lending Fund,
3.625%, 1/15/2026
496,017
585,000
Blue Owl Capital Corp., 3.400%, 7/15/2026
543,868
331,600
Global Aircraft Leasing Co. Ltd., 7.250% PIK or
6.500% Cash, 9/15/2024(a)(d)
311,704
345,000
Nationstar Mortgage Holdings, Inc.,
5.000%, 2/01/2026(a)
337,396
245,000
Nationstar Mortgage Holdings, Inc.,
5.125%, 12/15/2030(a)
221,512
565,000
Nationstar Mortgage Holdings, Inc.,
5.750%, 11/15/2031(a)
526,811
685,000
Nationstar Mortgage Holdings, Inc.,
6.000%, 1/15/2027(a)
679,862
1,465,000
Navient Corp., 4.875%, 3/15/2028
1,361,062
395,000
Navient Corp., 5.000%, 3/15/2027
381,355
335,000
OneMain Finance Corp., 3.500%, 1/15/2027
310,024
40,000
OneMain Finance Corp., 3.875%, 9/15/2028
35,390
940,000
OneMain Finance Corp., 4.000%, 9/15/2030
804,410
140,000
OneMain Finance Corp., 5.375%, 11/15/2029
131,096
990,000
OneMain Finance Corp., 7.125%, 3/15/2026
1,008,601
455,000
PennyMac Financial Services, Inc.,
7.875%, 12/15/2029(a)
468,362
410,000
Provident Funding Associates LP/PFG Finance
Corp., 6.375%, 6/15/2025(a)
376,175
370,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 2.875%, 10/15/2026(a)
341,325
360,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 3.625%, 3/01/2029(a)
325,831
Principal
Amount
Description
Value (†)
Finance Companies — continued
$1,465,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 3.875%, 3/01/2031(a)
$1,288,462
1,645,000
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc., 4.000%, 10/15/2033(a)
1,397,474
 
11,835,714
Financial Other — 1.2%
400,000
Agile Group Holdings Ltd., 6.050%, 10/13/2025
48,252
200,000
Central China Real Estate Ltd., 7.250%, 8/13/2024(e)
9,214
205,000
Central China Real Estate Ltd., 7.650%, 8/27/2025(e)
9,319
353,395
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(f)
27,014
429,065
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(f)
11,091
44,015
CFLD Cayman Investment Ltd., Zero Coupon,
0.000%–28.181%, 1/31/2031(a)(g)
286
200,000
China Evergrande Group, 8.750%, 6/28/2025(e)
2,500
200,000
China Evergrande Group, 9.500%, 4/11/2022(e)
2,586
448,246
Easy Tactic Ltd., 7.500% PIK or 6.500% Cash,
7/11/2027(d)
18,638
20,000
Icahn Enterprises LP/Icahn Enterprises Finance
Corp., 4.750%, 9/15/2024
19,878
1,900,000
Icahn Enterprises LP/Icahn Enterprises Finance
Corp., 5.250%, 5/15/2027
1,706,626
475,000
Icahn Enterprises LP/Icahn Enterprises Finance
Corp., 6.375%, 12/15/2025
466,320
400,000
Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e)
12,956
400,000
Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(e)
11,500
400,000
Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e)
11,500
610,000
Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e)
19,703
210,000
KWG Group Holdings Ltd., 6.300%, 2/13/2026(e)
12,323
205,000
Shimao Group Holdings Ltd., 3.450%, 1/11/2031(e)
7,688
200,000
Shimao Group Holdings Ltd., 4.750%, 7/03/2022(e)
7,920
200,000
Shimao Group Holdings Ltd., 6.125%, 2/21/2024(e)
8,000
70,621
Sunac China Holdings Ltd., 6.000% PIK or 5.000%
Cash, 9/30/2026(a)(d)
8,637
70,621
Sunac China Holdings Ltd., 6.250% PIK or 5.250%
Cash, 9/30/2027(a)(d)
7,498
141,242
Sunac China Holdings Ltd., 6.500% PIK or 5.500%
Cash, 9/30/2027(a)(d)
13,185
211,863
Sunac China Holdings Ltd., 6.750% PIK or 5.750%
Cash, 9/30/2028(a)(d)
16,792
211,863
Sunac China Holdings Ltd., 7.000% PIK or 6.000%
Cash, 9/30/2029(a)(d)
15,741
99,527
Sunac China Holdings Ltd., 7.250% PIK or 6.250%
Cash, 9/30/2030(a)(d)
6,344
205,000
Times China Holdings Ltd., 5.750%, 1/14/2027(e)
4,116
630,000
Times China Holdings Ltd., 6.200%, 3/22/2026(e)
14,175
800,000
Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(e)
49,456
200,000
Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(e)
12,458
820,000
Zhenro Properties Group Ltd., 6.630%, 1/07/2026(e)
7,716
210,000
Zhenro Properties Group Ltd., 6.700%, 8/04/2026(e)
1,976
 
2,571,408
Food & Beverage — 0.9%
80,000
Aramark Services, Inc., 5.000%, 2/01/2028(a)
77,603
335,000
Central American Bottling Corp./CBC Bottling
Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029(a)
314,474
275,000
HLF Financing SARL LLC/Herbalife International,
Inc., 4.875%, 6/01/2029(a)
215,933
670,000
Lamb Weston Holdings, Inc., 4.375%, 1/31/2032(a)
611,223
555,000
Post Holdings, Inc., 4.625%, 4/15/2030(a)
510,513
Principal
Amount
Description
Value (†)
Food & Beverage — continued
$15,000
Post Holdings, Inc., 5.750%, 3/01/2027(a)
$14,882
260,000
Simmons Foods, Inc./Simmons Prepared Foods,
Inc./Simmons Pet Food, Inc./Simmons Feed,
4.625%, 3/01/2029(a)
224,947
 
1,969,575
Gaming — 2.3%
350,000
Boyd Gaming Corp., 4.750%, 6/15/2031(a)
321,238
865,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
873,802
775,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
793,530
175,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
182,535
630,000
Melco Resorts Finance Ltd., 5.375%, 12/04/2029(a)
554,576
30,000
Penn Entertainment, Inc., 4.125%, 7/01/2029(a)
25,650
525,000
Sands China Ltd., 5.650%, 8/08/2028
520,616
450,000
Studio City Finance Ltd., 5.000%, 1/15/2029(a)
377,366
290,000
Wynn Macau Ltd., 5.125%, 12/15/2029(a)
257,656
465,000
Wynn Macau Ltd., 5.500%, 1/15/2026(a)
453,844
415,000
Wynn Macau Ltd., 5.625%, 8/26/2028(a)
384,342
420,000
Wynn Resorts Finance LLC/Wynn Resorts Capital
Corp., 5.125%, 10/01/2029(a)
396,390
 
5,141,545
Government Owned - No Guarantee — 0.4%
325,000
Antares Holdings LP, 7.950%, 8/11/2028(a)
336,214
365,000
Petroleos Mexicanos, 5.950%, 1/28/2031
291,452
285,000
Petroleos Mexicanos, 6.625%, 6/15/2035
218,580
 
846,246
Health Care REITs — 0.2%
530,000
MPT Operating Partnership LP/MPT Finance Corp.,
3.500%, 3/15/2031
331,370
Health Insurance — 0.5%
675,000
Centene Corp., 2.450%, 7/15/2028
601,155
60,000
Molina Healthcare, Inc., 3.875%, 11/15/2030(a)
53,934
550,000
Molina Healthcare, Inc., 3.875%, 5/15/2032(a)
480,570
 
1,135,659
Healthcare — 2.6%
125,000
AdaptHealth LLC, 4.625%, 8/01/2029(a)
96,469
680,000
AdaptHealth LLC, 5.125%, 3/01/2030(a)
530,450
1,050,000
Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(a)
1,107,687
940,000
CHS/Community Health Systems, Inc.,
5.250%, 5/15/2030(a)
786,166
610,000
DaVita, Inc., 3.750%, 2/15/2031(a)
501,024
100,000
Fortrea Holdings, Inc., 7.500%, 7/01/2030(a)
102,697
340,000
Garden Spinco Corp., 8.625%, 7/20/2030(a)
363,166
145,000
Hologic, Inc., 3.250%, 2/15/2029(a)
131,460
210,000
Hologic, Inc., 4.625%, 2/01/2028(a)
201,582
675,000
LifePoint Health, Inc., 5.375%, 1/15/2029(a)
499,134
435,000
Medline Borrower LP, 3.875%, 4/01/2029(a)
393,303
185,000
RP Escrow Issuer LLC, 5.250%, 12/15/2025(a)
148,017
750,000
Star Parent, Inc., 9.000%, 10/01/2030(a)
790,390
190,000
U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026(a)
158,756
 
5,810,301
Home Construction — 0.1%
255,000
Brookfield Residential Properties, Inc./Brookfield
Residential U.S. LLC, 4.875%, 2/15/2030(a)
224,256
200,000
Corp. GEO SAB de CV, 8.875%, 3/27/2022(a)(e)(h)
—
25,000
Meritage Homes Corp., 3.875%, 4/15/2029(a)
22,973
 
247,229
Independent Energy — 5.2%
390,000
Antero Resources Corp., 5.375%, 3/01/2030(a)
373,800
Principal
Amount
Description
Value (†)
Independent Energy — continued
$135,000
Apache Corp., 4.750%, 4/15/2043
$106,249
645,000
Ascent Resources Utica Holdings LLC/ARU Finance
Corp., 7.000%, 11/01/2026(a)
649,076
415,000
Baytex Energy Corp., 8.500%, 4/30/2030(a)
429,488
625,000
Baytex Energy Corp., 8.750%, 4/01/2027(a)
645,716
840,000
Chesapeake Energy Corp., 5.500%, 2/01/2026(a)
832,725
275,000
Chesapeake Energy Corp., 6.750%, 4/15/2029(a)
277,558
695,000
Civitas Resources, Inc., 8.375%, 7/01/2028(a)
725,542
230,000
Civitas Resources, Inc., 8.625%, 11/01/2030(a)
243,966
320,000
Crescent Energy Finance LLC, 7.250%, 5/01/2026(a)
321,973
515,000
Crescent Energy Finance LLC, 9.250%, 2/15/2028(a)
534,349
100,000
Energian Israel Finance Ltd., 4.875%, 3/30/2026(a)
92,000
200,000
Energian Israel Finance Ltd., 5.375%, 3/30/2028(a)
175,550
200,000
Gulfport Energy Corp., 8.000%, 5/17/2026(a)
202,170
785,000
Leviathan Bond Ltd., 6.750%, 6/30/2030(a)
714,469
505,000
Matador Resources Co., 5.875%, 9/15/2026
500,808
330,000
Matador Resources Co., 6.875%, 4/15/2028(a)
334,724
115,000
MEG Energy Corp., 5.875%, 2/01/2029(a)
111,739
300,000
Murphy Oil Corp., 5.875%, 12/01/2042
265,054
690,000
Northern Oil & Gas, Inc., 8.125%, 3/01/2028(a)
698,625
300,000
Northern Oil & Gas, Inc., 8.750%, 6/15/2031(a)
312,479
220,000
Permian Resources Operating LLC,
5.875%, 7/01/2029(a)
214,491
260,000
Permian Resources Operating LLC,
6.875%, 4/01/2027(a)
259,822
410,000
Permian Resources Operating LLC,
7.000%, 1/15/2032(a)
422,986
180,000
Range Resources Corp., 8.250%, 1/15/2029
186,295
1,070,000
Sitio Royalties Operating Partnership LP/Sitio
Finance Corp., 7.875%, 11/01/2028(a)
1,108,755
240,000
SM Energy Co., 5.625%, 6/01/2025
237,171
35,000
SM Energy Co., 6.625%, 1/15/2027
34,802
230,000
SM Energy Co., 6.750%, 9/15/2026
229,401
195,000
Southwestern Energy Co., 5.375%, 2/01/2029
190,299
225,000
Strathcona Resources Ltd., 6.875%, 8/01/2026(a)
214,809
 
11,646,891
Industrial Other — 0.2%
315,000
Brundage-Bone Concrete Pumping Holdings, Inc.,
6.000%, 2/01/2026(a)
314,846
150,000
Installed Building Products, Inc.,
5.750%, 2/01/2028(a)
145,500
 
460,346
Leisure — 4.2%
1,405,000
Carnival Corp., 5.750%, 3/01/2027(a)
1,370,484
880,000
Carnival Corp., 6.000%, 5/01/2029(a)
846,741
75,000
Carnival Corp., 7.000%, 8/15/2029(a)
78,309
265,000
Cinemark USA, Inc., 5.250%, 7/15/2028(a)
243,112
1,735,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
1,695,369
20,000
NCL Corp. Ltd., 5.875%, 3/15/2026
19,543
430,000
NCL Corp. Ltd., 8.125%, 1/15/2029(a)
449,170
165,000
NCL Finance Ltd., 6.125%, 3/15/2028(a)
157,943
425,000
Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028
391,798
780,000
Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(a)
753,382
1,495,000
Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a)
1,475,952
265,000
SeaWorld Parks & Entertainment, Inc.,
5.250%, 8/15/2029(a)
247,726
335,000
Speedway Motorsports LLC/Speedway Funding II,
Inc., 4.875%, 11/01/2027(a)
314,475
355,000
Viking Cruises Ltd., 5.875%, 9/15/2027(a)
342,575
150,000
Viking Cruises Ltd., 7.000%, 2/15/2029(a)
148,711
Principal
Amount
Description
Value (†)
Leisure — continued
$550,000
Viking Ocean Cruises Ship VII Ltd.,
5.625%, 2/15/2029(a)
$536,250
295,000
VOC Escrow Ltd., 5.000%, 2/15/2028(a)
282,557
 
9,354,097
Lodging — 2.0%
145,000
Hilton Domestic Operating Co., Inc.,
3.625%, 2/15/2032(a)
126,543
1,160,000
Hilton Grand Vacations Borrower Escrow LLC/Hilton
Grand Vacations Borrower Escrow, Inc.,
4.875%, 7/01/2031(a)
1,026,834
725,000
Hilton Grand Vacations Borrower Escrow LLC/Hilton
Grand Vacations Borrower Escrow, Inc.,
5.000%, 6/01/2029(a)
668,846
1,875,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
1,652,269
725,000
Travel & Leisure Co., 4.500%, 12/01/2029(a)
649,299
205,000
Travel & Leisure Co., 4.625%, 3/01/2030(a)
183,331
5,000
Travel & Leisure Co., 6.000%, 4/01/2027
4,972
120,000
Travel & Leisure Co., 6.625%, 7/31/2026(a)
121,051
 
4,433,145
Media Entertainment — 1.4%
555,000
Diamond Sports Group LLC/Diamond Sports
Finance Co., 5.375%, 8/15/2026(a)(e)
27,750
310,000
Diamond Sports Group LLC/Diamond Sports
Finance Co., 6.625%, 8/15/2027(a)(e)
15,500
1,375,000
iHeartCommunications, Inc., 4.750%, 1/15/2028(a)
1,057,794
475,000
iHeartCommunications, Inc., 5.250%, 8/15/2027(a)
377,423
130,000
iHeartCommunications, Inc., 6.375%, 5/01/2026
110,835
210,000
Outfront Media Capital LLC/Outfront Media Capital
Corp., 7.375%, 2/15/2031(a)
220,530
150,000
Playtika Holding Corp., 4.250%, 3/15/2029(a)
130,882
1,265,000
Stagwell Global LLC, 5.625%, 8/15/2029(a)
1,166,482
 
3,107,196
Metals & Mining — 3.2%
270,000
ATI, Inc., 4.875%, 10/01/2029
251,629
325,000
ATI, Inc., 5.875%, 12/01/2027
320,271
390,000
ATI, Inc., 7.250%, 8/15/2030
405,753
350,000
Commercial Metals Co., 4.125%, 1/15/2030
320,700
2,795,000
First Quantum Minerals Ltd., 6.875%, 3/01/2026(a)
2,501,904
410,000
First Quantum Minerals Ltd., 6.875%, 10/15/2027(a)
348,437
945,000
GrafTech Finance, Inc., 4.625%, 12/15/2028(a)
626,450
320,000
GrafTech Global Enterprises, Inc.,
9.875%, 12/15/2028(a)
246,678
235,000
Mineral Resources Ltd., 8.000%, 11/01/2027(a)
239,803
475,000
Mineral Resources Ltd., 8.125%, 5/01/2027(a)
482,548
470,000
Mineral Resources Ltd., 9.250%, 10/01/2028(a)
499,972
785,000
Novelis Corp., 4.750%, 1/30/2030(a)
738,252
76,000
U.S. Steel Corp., 6.875%, 3/01/2029
77,753
90,000
Volcan Cia Minera SAA, 4.375%, 2/11/2026(a)
55,918
 
7,116,068
Midstream — 4.7%
225,000
Antero Midstream Partners LP/Antero Midstream
Finance Corp., 5.375%, 6/15/2029(a)
216,308
285,000
Antero Midstream Partners LP/Antero Midstream
Finance Corp., 7.875%, 5/15/2026(a)
291,903
185,000
Buckeye Partners LP, 5.600%, 10/15/2044
142,344
130,000
Buckeye Partners LP, 5.850%, 11/15/2043
105,313
260,000
CQP Holdco LP/BIP-V Chinook Holdco LLC,
5.500%, 6/15/2031(a)
246,377
275,000
Energy Transfer LP, 6.000%, 2/01/2029(a)
277,470
1,130,000
Energy Transfer LP, Series A, 3 mo. USD LIBOR +
4.028%, 9.669%(b)(c)
1,085,155
Principal
Amount
Description
Value (†)
Midstream — continued
$360,000
EnLink Midstream LLC, 6.500%, 9/01/2030(a)
$367,420
70,000
EnLink Midstream Partners LP, 5.050%, 4/01/2045
57,925
255,000
EnLink Midstream Partners LP, 5.450%, 6/01/2047
222,487
360,000
EnLink Midstream Partners LP, 5.600%, 4/01/2044
313,316
105,000
Enterprise Products Operating LLC, Series E, (fixed
rate to 8/16/2027, variable rate thereafter),
5.250%, 8/16/2077
100,381
155,000
EQM Midstream Partners LP, 4.125%, 12/01/2026
149,712
100,000
EQM Midstream Partners LP, 5.500%, 7/15/2028
99,083
167,000
EQM Midstream Partners LP, 6.000%, 7/01/2025(a)
166,923
470,000
EQM Midstream Partners LP, 6.500%, 7/01/2027(a)
478,569
95,000
EQM Midstream Partners LP, 6.500%, 7/15/2048
97,346
575,000
EQM Midstream Partners LP, 7.500%, 6/01/2027(a)
592,478
135,000
EQM Midstream Partners LP, 7.500%, 6/01/2030(a)
145,128
275,000
Ferrellgas LP/Ferrellgas Finance Corp.,
5.375%, 4/01/2026(a)
269,127
680,000
Hess Midstream Operations LP, 4.250%, 2/15/2030(a)
625,600
335,000
Hess Midstream Operations LP, 5.125%, 6/15/2028(a)
323,207
515,000
Hess Midstream Operations LP, 5.625%, 2/15/2026(a)
511,230
475,000
Kinetik Holdings LP, 5.875%, 6/15/2030(a)
466,000
620,000
Kinetik Holdings LP, 6.625%, 12/15/2028(a)
631,663
265,000
Suburban Propane Partners LP/Suburban Energy
Finance Corp., 5.000%, 6/01/2031(a)
240,245
220,000
Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029
204,363
1,035,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
877,109
600,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(a)
528,604
530,000
Venture Global LNG, Inc., 8.375%, 6/01/2031(a)
529,726
 
10,362,512
Non-Agency Commercial Mortgage-Backed
Securities — 1.5%
94,076
CG-CCRE Commercial Mortgage Trust,
Series 2014-FL2, Class COL1, 1 mo. USD SOFR +
3.614%, 8.976%, 11/15/2031(a)(b)
42,251
329,268
CG-CCRE Commercial Mortgage Trust,
Series 2014-FL2, Class COL2, 1 mo. USD SOFR +
4.614%, 9.976%, 11/15/2031(a)(b)
125,114
590,000
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class D, 4.937%, 5/10/2047(a)(b)
366,260
405,000
Commercial Mortgage Trust, Series 2012-CR3,
Class B, 3.922%, 10/15/2045(a)
314,766
795,000
Credit Suisse Mortgage Trust, Series 2014-USA,
Class E, 4.373%, 9/15/2037(a)
373,604
110,000
GS Mortgage Securities Trust, Series 2011-GC5,
Class C, 5.153%, 8/10/2044(a)(b)
76,965
935,000
GS Mortgage Securities Trust, Series 2011-GC5,
Class D, 5.153%, 8/10/2044(a)(b)
277,396
100,000
GS Mortgage Securities Trust, Series 2013-GC13,
Class C, 3.833%, 7/10/2046(a)(b)
69,082
170,000
GS Mortgage Securities Trust, Series 2014-GC22,
Class D, 4.685%, 6/10/2047(a)(b)
100,693
465,000
JP Morgan Chase Commercial Mortgage Securities
Trust, Series 2011-C3, Class C,
5.360%, 2/15/2046(a)(b)
390,465
275,000
Morgan Stanley Capital I Trust, Series 2011-C2,
Class E, 5.211%, 6/15/2044(a)(b)
194,791
295,000
MSBAM Commercial Mortgage Securities Trust,
Series 2012-CKSV, Class C, 4.282%, 10/15/2030(a)(b)
177,687
97,150
Starwood Retail Property Trust, Series 2014-STAR,
Class A, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)
68,559
Principal
Amount
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$320,000
Starwood Retail Property Trust, Series 2014-STAR,
Class D, PRIME + 0.000%,
8.500%, 11/15/2027(a)(b)(f)(h)
$72,512
350,000
Starwood Retail Property Trust, Series 2014-STAR,
Class E, PRIME + 0.000%,
8.500%, 11/15/2027(a)(b)(f)(h)
17,500
325,000
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class C, 4.458%, 8/15/2050
123,527
145,000
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class C, 4.118%, 11/15/2059(b)
103,005
158,612
WFRBS Commercial Mortgage Trust,
Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b)
45,966
205,000
WFRBS Commercial Mortgage Trust,
Series 2011-C4, Class E, 4.979%, 6/15/2044(a)(b)
140,311
530,000
WFRBS Commercial Mortgage Trust,
Series 2012-C10, Class C, 4.329%, 12/15/2045(b)
361,023
 
3,441,477
Oil Field Services — 1.7%
280,000
Diamond Foreign Asset Co./Diamond Finance LLC,
8.500%, 10/01/2030(a)
286,329
300,000
Nabors Industries, Inc., 9.125%, 1/31/2030(a)
301,218
115,000
Oceaneering International, Inc.,
6.000%, 2/01/2028(a)
112,050
220,000
Seadrill Finance Ltd., 8.375%, 8/01/2030(a)
229,533
240,000
Solaris Midstream Holdings LLC,
7.625%, 4/01/2026(a)
243,229
275,000
Transocean Aquila Ltd., 8.000%, 9/30/2028(a)
279,116
1,282,500
Transocean Poseidon Ltd., 6.875%, 2/01/2027(a)
1,276,130
245,000
Transocean Titan Financing Ltd.,
8.375%, 2/01/2028(a)
254,184
415,000
Transocean, Inc., 7.500%, 1/15/2026(a)
409,261
395,000
Weatherford International Ltd., 8.625%, 4/30/2030(a)
412,403
 
3,803,453
Other REITs — 0.6%
100,000
Service Properties Trust, 3.950%, 1/15/2028
81,927
380,000
Service Properties Trust, 4.750%, 10/01/2026
354,588
330,000
Service Properties Trust, 7.500%, 9/15/2025
333,667
590,000
Service Properties Trust, 8.625%, 11/15/2031(a)
617,985
 
1,388,167
Packaging — 0.2%
259,274
ARD Finance SA, 7.250% PIK or 6.500% Cash,
6/30/2027(a)(i)
121,128
170,000
Graham Packaging Co., Inc., 7.125%, 8/15/2028(a)
153,000
215,000
Sealed Air Corp./Sealed Air Corp. U.S.,
6.125%, 2/01/2028(a)
216,851
 
490,979
Pharmaceuticals — 3.8%
1,945,000
Bausch Health Cos., Inc., 4.875%, 6/01/2028(a)
1,171,363
915,000
Bausch Health Cos., Inc., 5.250%, 1/30/2030(a)
421,788
285,000
Bausch Health Cos., Inc., 6.125%, 2/01/2027(a)
192,375
385,000
Cheplapharm Arzneimittel GmbH,
5.500%, 1/15/2028(a)
365,511
1,245,000
Organon & Co./Organon Foreign Debt Co-Issuer BV,
5.125%, 4/30/2031(a)
1,064,282
485,000
Perrigo Finance Unlimited Co., 4.650%, 6/15/2030
441,155
230,000
Teva Pharmaceutical Finance Co. LLC,
6.150%, 2/01/2036
220,108
1,400,000
Teva Pharmaceutical Finance Netherlands III BV,
3.150%, 10/01/2026
1,296,260
3,275,000
Teva Pharmaceutical Finance Netherlands III BV,
4.100%, 10/01/2046
2,216,678
Principal
Amount
Description
Value (†)
Pharmaceuticals — continued
$545,000
Teva Pharmaceutical Finance Netherlands III BV,
5.125%, 5/09/2029
$520,500
220,000
Teva Pharmaceutical Finance Netherlands III BV,
7.875%, 9/15/2029
237,107
200,000
Teva Pharmaceutical Finance Netherlands III BV,
8.125%, 9/15/2031
218,116
 
8,365,243
Property & Casualty Insurance — 1.7%
270,000
Acrisure LLC/Acrisure Finance, Inc.,
4.250%, 2/15/2029(a)
243,797
95,000
Acrisure LLC/Acrisure Finance, Inc.,
4.250%, 2/15/2029
85,780
330,000
Alliant Holdings Intermediate LLC/Alliant Holdings
Co-Issuer, 6.750%, 10/15/2027(a)
328,833
440,000
AmWINS Group, Inc., 4.875%, 6/30/2029(a)
401,823
339,426
Ardonagh Midco 2 PLC, 12.750% PIK or 11.500%
Cash, 1/15/2027(a)(d)
336,038
255,000
AssuredPartners, Inc., 5.625%, 1/15/2029(a)
238,055
275,000
BroadStreet Partners, Inc., 5.875%, 4/15/2029(a)
256,699
650,000
HUB International Ltd., 7.250%, 6/15/2030(a)
686,549
705,000
Liberty Mutual Group, Inc., 4.300%, 2/01/2061(a)
465,822
740,000
USI, Inc., 7.500%, 1/15/2032(a)
757,612
 
3,801,008
Refining — 1.0%
590,000
CVR Energy, Inc., 5.250%, 2/15/2025(a)
588,997
580,000
CVR Energy, Inc., 8.500%, 1/15/2029(a)
577,100
215,000
HF Sinclair Corp., 5.000%, 2/01/2028(a)
208,508
245,000
HF Sinclair Corp., 6.375%, 4/15/2027(a)
246,921
340,000
Parkland Corp., 4.500%, 10/01/2029(a)
311,600
215,000
PBF Holding Co. LLC/PBF Finance Corp.,
7.875%, 9/15/2030(a)
218,978
 
2,152,104
Restaurants — 1.3%
85,000
1011778 BC ULC/New Red Finance, Inc.,
3.500%, 2/15/2029
78,366
55,000
1011778 BC ULC/New Red Finance, Inc.,
3.500%, 2/15/2029(a)
50,708
1,635,000
1011778 BC ULC/New Red Finance, Inc.,
3.875%, 1/15/2028(a)
1,544,623
230,000
Bloomin' Brands, Inc./OSI Restaurant Partners LLC,
5.125%, 4/15/2029(a)
212,181
575,000
Papa John's International, Inc., 3.875%, 9/15/2029(a)
508,623
305,000
Yum! Brands, Inc., 3.625%, 3/15/2031
275,047
340,000
Yum! Brands, Inc., 4.625%, 1/31/2032
317,934
 
2,987,482
Retailers — 1.8%
306,000
Asbury Automotive Group, Inc., 4.500%, 3/01/2028
290,623
715,000
Asbury Automotive Group, Inc.,
4.625%, 11/15/2029(a)
661,805
99,000
Asbury Automotive Group, Inc., 4.750%, 3/01/2030
92,414
145,000
Bath & Body Works, Inc., 5.250%, 2/01/2028
143,414
90,000
Bath & Body Works, Inc., 6.625%, 10/01/2030(a)
91,985
545,000
Bath & Body Works, Inc., 6.875%, 11/01/2035
551,830
45,000
Crocs, Inc., 4.125%, 8/15/2031(a)
38,079
480,000
Dillard's, Inc., 7.000%, 12/01/2028
499,502
130,000
Ken Garff Automotive LLC, 4.875%, 9/15/2028(a)
123,031
120,000
Lithia Motors, Inc., 4.375%, 1/15/2031(a)
109,083
200,000
Michaels Cos., Inc., 7.875%, 5/01/2029(a)
125,918
275,000
NMG Holding Co., Inc./Neiman Marcus Group LLC,
7.125%, 4/01/2026(a)
264,260
120,000
Nordstrom, Inc., 4.250%, 8/01/2031
99,901
Principal
Amount
Description
Value (†)
Retailers — continued
$525,000
Sonic Automotive, Inc., 4.625%, 11/15/2029(a)
$477,756
345,000
Sonic Automotive, Inc., 4.875%, 11/15/2031(a)
307,517
30,000
Victoria's Secret & Co., 4.625%, 7/15/2029(a)
25,075
 
3,902,193
Technology — 5.4%
555,000
Cloud Software Group, Inc., 6.500%, 3/31/2029(a)
528,605
1,950,000
CommScope Technologies LLC, 5.000%, 3/15/2027(a)
811,688
340,000
CommScope, Inc., 4.750%, 9/01/2029(a)
228,278
245,000
CommScope, Inc., 6.000%, 3/01/2026(a)
218,413
160,000
Dun & Bradstreet Corp., 5.000%, 12/15/2029(a)
149,251
540,000
Elastic NV, 4.125%, 7/15/2029(a)
495,853
140,000
Everi Holdings, Inc., 5.000%, 7/15/2029(a)
127,082
360,000
Gartner, Inc., 3.750%, 10/01/2030(a)
318,230
575,000
GoTo Group, Inc., 5.500%, 9/01/2027(a)
278,123
756,000
GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(a)
798,882
480,000
Iron Mountain, Inc., 4.500%, 2/15/2031(a)
434,648
740,000
Iron Mountain, Inc., 4.875%, 9/15/2029(a)
700,842
225,000
Iron Mountain, Inc., 5.250%, 7/15/2030(a)
214,179
75,000
Iron Mountain, Inc., 5.250%, 7/15/2030
71,393
950,000
NCR Atleos Corp., 9.500%, 4/01/2029(a)
1,009,371
825,000
NCR Voyix Corp., 5.000%, 10/01/2028(a)
779,846
375,000
NCR Voyix Corp., 5.125%, 4/15/2029(a)
356,476
25,000
NCR Voyix Corp., 5.250%, 10/01/2030(a)
22,959
440,000
Neptune Bidco U.S., Inc., 9.290%, 4/15/2029(a)
410,299
710,000
Newfold Digital Holdings Group, Inc.,
11.750%, 10/15/2028(a)
763,783
455,000
Open Text Corp., 6.900%, 12/01/2027(a)
473,041
25,000
Open Text Holdings, Inc., 4.125%, 2/15/2030(a)
22,627
150,000
Paysafe Finance PLC/Paysafe Holdings U.S. Corp.,
4.000%, 6/15/2029(a)
132,370
85,000
Paysafe Finance PLC/Paysafe Holdings U.S. Corp.,
4.000%, 6/15/2029
75,010
130,000
Presidio Holdings, Inc., 4.875%, 2/01/2027(a)
127,439
130,000
Presidio Holdings, Inc., 8.250%, 2/01/2028(a)
131,337
235,000
Sabre Global, Inc., 11.250%, 12/15/2027(a)
230,894
175,000
Seagate HDD Cayman, 4.091%, 6/01/2029
162,162
100,000
Seagate HDD Cayman, 4.875%, 6/01/2027
98,081
375,000
Seagate HDD Cayman, 8.250%, 12/15/2029(a)
404,448
970,000
Sensata Technologies, Inc., 3.750%, 2/15/2031(a)
854,308
80,000
Sensata Technologies, Inc., 4.375%, 2/15/2030(a)
74,197
230,000
Western Digital Corp., 2.850%, 2/01/2029
198,001
100,000
Western Digital Corp., 3.100%, 2/01/2032
79,560
130,000
Western Digital Corp., 4.750%, 2/15/2026
127,532
222,000
Ziff Davis, Inc., 4.625%, 10/15/2030(a)
203,670
 
12,112,878
Transportation Services — 0.6%
1,435,000
Rand Parent LLC, 8.500%, 2/15/2030(a)
1,372,506
Wireless — 1.3%
445,000
Altice France Holding SA, 10.500%, 5/15/2027(a)
287,252
1,285,000
Altice France SA, 5.125%, 1/15/2029(a)
999,406
200,000
Altice France SA, 8.125%, 2/01/2027(a)
184,366
315,000
IHS Holding Ltd., 5.625%, 11/29/2026(a)
273,338
1,150,000
SoftBank Group Corp., 4.625%, 7/06/2028
1,048,984
100,000
Vodafone Group PLC, (fixed rate to 12/04/2050,
variable rate thereafter), 5.125%, 6/04/2081
75,287
 
2,868,633
Wirelines — 1.7%
220,000
Cincinnati Bell Telephone Co. LLC,
6.300%, 12/01/2028
183,498
825,000
Frontier Communications Holdings LLC,
5.000%, 5/01/2028(a)
762,446
Principal
Amount
Description
Value (†)
Wirelines — continued
$690,000
Frontier Communications Holdings LLC,
5.875%, 10/15/2027(a)
$666,610
225,000
Frontier Communications Holdings LLC,
8.750%, 5/15/2030(a)
231,459
455,000
Iliad Holding SASU, 6.500%, 10/15/2026(a)
454,110
450,000
Level 3 Financing, Inc., 3.625%, 1/15/2029(a)
189,000
155,000
Level 3 Financing, Inc., 4.250%, 7/01/2028(a)
76,725
310,000
Lumen Technologies, Inc., 4.000%, 2/15/2027(a)
200,065
100,000
Telecom Italia Capital SA, 6.000%, 9/30/2034
94,968
330,000
Telecom Italia Capital SA, 6.375%, 11/15/2033
322,775
265,000
Telecom Italia Capital SA, 7.200%, 7/18/2036
266,013
485,000
Uniti Group LP/Uniti Group Finance, Inc./CSL
Capital LLC, 4.750%, 4/15/2028(a)
418,019
 
3,865,688
Total Non-Convertible Bonds
(Identified Cost $206,481,694)
189,616,151
Convertible Bonds — 3.7%
Airlines — 0.4%
865,000
Southwest Airlines Co., 1.250%, 5/01/2025
874,083
Cable Satellite — 1.3%
4,830,000
DISH Network Corp., 3.375%, 8/15/2026
2,559,900
545,000
DISH Network Corp., Zero Coupon,
0.000%–33.748%, 12/15/2025(g)
337,900
 
2,897,800
Consumer Cyclical Services — 0.0%
55,000
Zillow Group, Inc., 1.375%, 9/01/2026
74,965
Financial Other — 0.0%
87,296
Sunac China Holdings Ltd., 7.800% PIK or 7.800%
Cash, 9/30/2032(a)(d)
6,547
Gaming — 0.1%
115,000
Penn Entertainment, Inc., 2.750%, 5/15/2026
148,925
Healthcare — 0.8%
565,000
Envista Holdings Corp., 1.750%, 8/15/2028(a)
514,150
1,655,000
Teladoc Health, Inc., 1.250%, 6/01/2027
1,360,244
 
1,874,394
Leisure — 0.2%
365,000
NCL Corp. Ltd., 1.125%, 2/15/2027
335,574
Pharmaceuticals — 0.8%
1,330,000
BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027
1,365,777
495,000
Livongo Health, Inc., 0.875%, 6/01/2025
462,785
 
1,828,562
Technology — 0.1%
65,000
Wolfspeed, Inc., 0.250%, 2/15/2028
43,778
135,000
Wolfspeed, Inc., 1.875%, 12/01/2029
92,002
 
135,780
Total Convertible Bonds
(Identified Cost $11,547,686)
8,176,630
Total Bonds and Notes
(Identified Cost $218,029,380)
197,792,781
Senior Loans — 3.1%
Aerospace & Defense — 0.3%
760,000
TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR
+ 3.250%, 8.598%, 2/14/2031(b)(j)
762,850
Principal
Amount
Description
Value (†)
Brokerage — 0.2%
$324,169
Edelman Financial Center LLC, 2021 Term Loan B,
4/07/2028(k)
$324,373
Chemicals — 0.2%
365,085
Chemours Co., 2023 USD Term Loan B, 1 mo. USD
SOFR + 3.500%, 8.856%, 8/18/2028(b)(j)
363,990
Electric — 0.1%
132,335
Talen Energy Supply LLC, 2023 Term Loan B, 3 mo.
USD SOFR + 4.500%, 9.869%, 5/17/2030(b)(j)
132,887
Food & Beverage — 0.2%
470,000
Chobani LLC, 2023 Incremental Term Loan, 3 mo.
USD SOFR + 3.750%, 9.112%, 10/25/2027(b)(j)
470,390
Healthcare — 0.5%
368,000
IVC Acquisition Ltd., 2023 USD Term Loan B,
11/17/2028(k)
368,305
631,156
Star Parent, Inc., Term Loan B, 3 mo. USD SOFR +
4.000%, 9.348%, 9/27/2030(b)(j)
623,002
 
991,307
Leisure — 0.5%
871,431
Carnival Corp., 2021 Incremental Term Loan B, 1 mo.
USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(j)
871,797
241,553
Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR +
3.000%, 8.357%, 8/08/2027(b)(j)
241,754
 
1,113,551
Media Entertainment — 0.2%
550,043
MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR +
4.250%, 9.606%, 5/03/2028(b)(j)
539,884
Property & Casualty Insurance — 0.4%
191,973
Acrisure LLC, 2020 Term Loan B, 2/15/2027(b)(j)
191,323
371,962
Acrisure LLC, 2020 Term Loan B, 2/15/2027(k)
370,701
74,972
AssuredPartners, Inc., 2023 Term Loan B4,
2/12/2027(k)
75,106
62,468
USI, Inc., 2023 Acquisition Term Loan, 3 mo. USD
SOFR + 3.250%, 8.598%, 9/27/2030(b)(j)
62,487
256,062
USI, Inc., 2023 Term Loan B, 3 mo. USD SOFR +
3.000%, 8.348%, 11/22/2029(b)(j)
256,261
 
955,878
Technology — 0.3%
280,000
Iron Mountain, Inc., 2023 Term Loan B, 1/31/2031(k)
279,826
476,165
Neptune Bidco U.S., Inc., 2022 USD Term Loan B,
3 mo. USD SOFR + 5.000%, 10.507%, 4/11/2029(b)(j)
433,906
 
713,732
Transportation Services — 0.2%
433,924
PODS LLC, 2021 Term Loan B, 1 mo. USD SOFR +
3.000%, 8.470%, 3/31/2028(k)
424,004
Total Senior Loans
(Identified Cost $6,738,347)
6,792,846
Collateralized Loan Obligations — 1.3%
250,000
Battalion CLO XVI Ltd., Series 2019-16A, Class ER,
3 mo. USD SOFR + 6.862%, 12.277%, 12/19/2032(a)(b)
232,080
670,000
Clover CLO LLC, Series 2021-2A, Class E, 3 mo. USD
SOFR + 6.762%, 12.177%, 7/20/2034(a)(b)
666,947
665,000
OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER,
3 mo. USD SOFR + 6.512%, 11.927%, 7/02/2035(a)(b)
664,937
Principal
Amount
Description
Value (†)
$340,000
Palmer Square CLO Ltd., Series 2021-3A, Class E,
3 mo. USD SOFR + 6.412%, 11.806%, 1/15/2035(a)(b)
$335,629
530,000
Palmer Square CLO Ltd., Series 2021-4A, Class E,
3 mo. USD SOFR + 6.312%, 11.706%, 10/15/2034(a)(b)
521,616
275,000
PPM CLO 5 Ltd., Series 2021-5A, Class E, 3 mo. USD
SOFR + 6.762%, 12.157%, 10/18/2034(a)(b)
261,403
320,000
Whetstone Park CLO Ltd., Series 2021-1A, Class E,
3 mo. USD SOFR + 6.412%, 11.827%, 1/20/2035(a)(b)
304,031
Total Collateralized Loan Obligations
(Identified Cost $3,050,000)
2,986,643
 

 
Shares
 
 
Common Stocks— 0.6%
Biotechnology — 0.2%
2,125
AbbVie, Inc.
329,311
Energy Equipment & Services — 0.0%
11,343
McDermott International Ltd.(f)
1,021
Media — 0.1%
68,328
Altice USA, Inc., Class A(f)
222,066
Oil, Gas & Consumable Fuels — 0.3%
2,801
Battalion Oil Corp.(f)
26,918
5,003
Canadian Natural Resources Ltd.
327,796
2,021
Diamondback Energy, Inc.
313,417
 
668,131
Professional Services — 0.0%
265
Clarivate PLC(f)
2,454
Total Common Stocks
(Identified Cost $2,491,047)
1,222,983
Preferred Stocks — 0.3%
Convertible Preferred Stock — 0.3%
Technology — 0.3%
17,227
Clarivate PLC, Series A, 5.250%
(Identified Cost $1,009,076)
659,794
Warrants — 0.0%
22,710
McDermott International Ltd., Tranche A, Expiration
on 5/1/2024, (f)(h)
—
25,233
McDermott International Ltd., Tranche B, Expiration
on 5/1/2024, (f)(h)
—
Total Warrants
(Identified Cost $35,226)
—
 
Principal
Amount
Description
Value (†)
Short-Term Investments — 5.2%
$4,679,649
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 12/29/2023  at 2.500% to
be repurchased at $4,680,949 on 1/02/2024
collateralized by $5,305,400 U.S. Treasury Note,
0.625% due 3/31/2027 valued at $4,773,273 including
accrued interest(l)
$4,679,649
1,915,000
U.S. Treasury Bills, 5.170%–5.238%, 4/09/2024(m)(n)
1,887,913
5,065,000
U.S. Treasury Bills, 5.291%, 1/04/2024(n)
5,063,528
Total Short-Term Investments
(Identified Cost $11,630,066)
11,631,090
Total Investments — 99.4%
(Identified Cost $242,983,142)
221,086,137
Other assets less liabilities — 0.6%
1,366,211
Net Assets — 100.0%
$222,452,348
 
(†)
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. Shares of
open-end investment companies are valued at net asset value ("NAV") per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an
independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the
market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent
pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished
by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service
or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent
pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations
where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the
investment. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices
obtained from broker-dealers.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior
to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of
the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market
disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may,
among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market
activity and/or information that occurred after the close of the foreign market but before the time the Fund's NAV is calculated. Fair valuation by the
Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV may
differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not
always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in
currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
 
(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 December 31, 2023, the value of Rule 144A holdings amounted to
$153,808,069 or 69.1% of net assets.
(b)
Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for
the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a
published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not
indicate a reference rate and/or spread in their description.
(c)
Perpetual bond with no specified maturity date.
(d)
Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No
payments were received during the period.
(e)
The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(f)
Non-income producing security.
(g)
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.
(h)
Level 3 security. Value has been determined using significant unobservable inputs.
(i)
Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the
period ended December 31, 2023, interest payments were made in cash.
(j)
Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate
which may range from 0.00% to 2.50%, to which the spread is added.
(k)
Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized
until settlement date.
(l)
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, 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.
(m)
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.
(n)
Interest rate represents discount rate at time of purchase; not a coupon rate.
 
ABS
Asset-Backed Securities
GMTN
Global Medium Term Note
LIBOR
London Interbank Offered Rate
PIK
Payment-in-Kind
REITs
Real Estate Investment Trusts
SOFR
Secured Overnight Financing Rate
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the "protection buyer" and "protection seller") to exchange the credit risk of an issuer ("reference obligation") for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments ("fees") over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter ("OTC") market and may be entered into as a bilateral contract or centrally cleared ("centrally cleared swaps"). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the "CCP") and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as "variation margin," are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund's counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty.  
At December 31, 2023, the Fund had the following open centrally cleared credit default swap agreements:
 
Sell Protection
 
Reference Obligation
(Pay)/
Receive
Fixed Rate
Expiration
Date
Implied
Credit
Spread^
Notional
Value(‡)
Unamortized
Up Front Premium
Paid/(Received)
Market
Value
Unrealized
Appreciation
(Depreciation)
CDX.NA.HY* .S41 500, 5-Year
5.00%
12/20/2028
3.56
%
2,079,000
$(24,313
)
$124,727
$149,040
 
(‡)
Notional value stated in U.S. dollars unless otherwise noted.
^
Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or
risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront
payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater
likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
*
CDX.NA.HY is an index composed of North American high yield credit default swaps.
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 December 31, 2023, at value: 
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Non-Convertible Bonds
Non-Agency Commercial Mortgage-Backed Securities
$—
$3,351,465
$90,012
$3,441,477
All Other Non-Convertible Bonds(a)
—
186,174,674
—
186,174,674
Total Non-Convertible Bonds
—
189,526,139
90,012
189,616,151
Convertible Bonds(a)
—
8,176,630
—
8,176,630
Total Bonds and Notes
—
197,702,769
90,012
197,792,781
Senior Loans(a)
—
6,792,846
—
6,792,846
Collateralized Loan Obligations
—
2,986,643
—
2,986,643
Common Stocks(a)
1,222,983
—
—
1,222,983
Preferred Stocks(a)
659,794
—
—
659,794
Warrants
—
—
—
—
Short-Term Investments
—
11,631,090
—
11,631,090
Total Investments
1,882,777
219,113,348
90,012
221,086,137
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)
—
149,040
—
149,040
Total
$1,882,777
$219,262,388
$90,012
$221,235,177
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2023 and/or December 31, 2023: 
 
Asset Valuation Inputs
Investments in Securities
Balance as of
September 30,
2023
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
December 31,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
December 31,
2023
Bonds and Notes
Non-Convertible Bonds
Home Construction
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
 
Asset Valuation Inputs
Investments in Securities
Balance as of
September 30,
2023
Accrued
Discounts
(Premiums)
Realized
Gain (Loss)
Change in
Unrealized
Appreciation
(Depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance as of
December 31,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
December 31,
2023
Non-Agency Commercial Mortgage-
Backed Securities
$86,012
$—
$—
$4,000
$—
$—
$—
$—
$90,012
$4,000
Warrants
—
—
—
—
—
—
—
—
—
—
Total
$86,012
$—
$—
$4,000
$—
$—
$—
$—
$90,012
$4,000
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 swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. As of December 31, 2023, the Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.
The following is a summary of derivative instruments for the Fund, as of December 31, 2023: 
Assets
Swap
agreements
at value
Exchange-traded/cleared asset derivatives
Credit contracts
$149,040
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 December 31, 2023 (Unaudited)
Cable Satellite
11.0%
Technology
6.1
Finance Companies
5.3
Independent Energy
5.2
Leisure
4.9
Midstream
4.7
Pharmaceuticals
4.6
Healthcare
3.9
Metals & Mining
3.2
Automotive
2.9
Consumer Cyclical Services
2.7
Building Materials
2.5
Gaming
2.4
Property & Casualty Insurance
2.1
Lodging
2.0
Aerospace & Defense
2.0
Other Investments, less than 2% each
27.4
Collateralized Loan Obligations
1.3
Short-Term Investments
5.2
Total Investments
99.4
Other assets less liabilities (including swap agreements)
0.6
Net Assets
100.0%