UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
811-10603
Western Asset Premier Bond Fund
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira.
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code:
1-888-777-0102
Date of fiscal year end: December 31
Date of reporting period: June 30, 2024
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
Under normal market conditions, the Fund expects to invest substantially all (but at least 80%) of its total managed assets in bonds, including corporate bonds, U.S. government and agency securities and mortgage-related securities, and at least 65% of its total managed assets in bonds that, at the time of purchase, are of investment grade quality. The Fund may invest up to 35% of its total managed assets in bonds of below investment grade quality (commonly referred to as “junk bonds”) at the time of purchase. The Fund may invest in securities or instruments other than bonds (including preferred stock) and may invest up to 10% of its total managed assets in instruments denominated in currencies other than the U.S. dollar. The Fund may invest in a variety of derivative instruments for investment or risk management purposes. The Fund expects that the average effective duration of its portfolio will range between 3.5 and seven years, although this target duration may change from time to time. Trust preferred interests and capital securities are considered bonds and not preferred stock for purposes of the foregoing guidelines.
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President and Chief Executive Officer
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Performance Snapshot as of June 30, 2024 (unaudited) | |
Price Per Share | 6-Month Total Return** |
$11.15 (NAV) | 0.92 %† |
$10.49 (Market Price) | 0.98 %‡ |
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President and Chief Executive Officer
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VII
1
Security | Rate | Maturity Date | Face Amount† | Value | |
Corporate Bonds & Notes — 113.5% | |||||
Communication Services — 12.6% | |||||
Diversified Telecommunication Services — 3.9% | |||||
Altice Financing SA, Senior Secured Notes | 5.000% | 1/15/28 | 420,000 | $319,886 (a) | |
Altice Financing SA, Senior Secured Notes | 5.750% | 8/15/29 | 1,090,000 | 793,173 (a)(b) | |
Altice France Holding SA, Senior Secured Notes | 6.000% | 2/15/28 | 820,000 | 267,472 (a) | |
Altice France SA, Senior Secured Notes | 5.500% | 10/15/29 | 310,000 | 204,745 (a) | |
British Telecommunications PLC, Senior Notes | 5.125% | 12/4/28 | 500,000 | 498,539 | |
Lumen Technologies Inc., Senior Notes | 7.600% | 9/15/39 | 645,000 | 177,430 | |
Orange SA, Junior Subordinated Notes (2.375% to 4/15/25 then EUR 5 year Swap Rate + 2.359%) | 2.375% | 1/15/25 | 100,000 EUR | 105,431 (c)(d)(e) | |
Orange SA, Senior Notes | 9.000% | 3/1/31 | 600,000 | 715,915 | |
Verizon Communications Inc., Senior Notes | 3.875% | 2/8/29 | 1,670,000 | 1,587,820 (b) | |
Verizon Communications Inc., Senior Notes | 2.355% | 3/15/32 | 500,000 | 408,910 | |
Total Diversified Telecommunication Services | 5,079,321 | ||||
Entertainment — 2.1% | |||||
Banijay Entertainment SASU, Senior Secured Notes | 8.125% | 5/1/29 | 340,000 | 348,053 (a) | |
Netflix Inc., Senior Notes | 6.375% | 5/15/29 | 310,000 | 326,682 | |
Walt Disney Co., Senior Notes | 3.350% | 3/24/25 | 300,000 | 295,595 | |
Walt Disney Co., Senior Notes | 2.650% | 1/13/31 | 1,280,000 | 1,117,665 (b) | |
Warnermedia Holdings Inc., Senior Notes | 3.638% | 3/15/25 | 700,000 | 689,278 (b) | |
Total Entertainment | 2,777,273 | ||||
Interactive Media & Services — 0.1% | |||||
Match Group Holdings II LLC, Senior Notes | 3.625% | 10/1/31 | 200,000 | 169,545 (a) | |
Media — 3.5% | |||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 6.484% | 10/23/45 | 480,000 | 438,857 (b) | |
Comcast Corp., Senior Notes | 7.050% | 3/15/33 | 1,000,000 | 1,119,022 (b) | |
Comcast Corp., Senior Notes | 4.200% | 8/15/34 | 920,000 | 843,619 (b) | |
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes | 5.875% | 8/15/27 | 400,000 | 376,568 (a)(b) | |
DISH DBS Corp., Senior Notes | 5.875% | 11/15/24 | 70,000 | 66,527 | |
DISH DBS Corp., Senior Notes | 7.375% | 7/1/28 | 620,000 | 264,362 | |
DISH DBS Corp., Senior Notes | 5.125% | 6/1/29 | 990,000 | 393,110 (b) |
2
Security | Rate | Maturity Date | Face Amount† | Value | |
Media — continued | |||||
Fox Corp., Senior Notes | 3.500% | 4/8/30 | 500,000 | $456,219 | |
Time Warner Cable LLC, Senior Secured Notes | 5.875% | 11/15/40 | 720,000 | 625,270 | |
Total Media | 4,583,554 | ||||
Wireless Telecommunication Services — 3.0% | |||||
CSC Holdings LLC, Senior Notes | 11.250% | 5/15/28 | 550,000 | 479,664 (a) | |
CSC Holdings LLC, Senior Notes | 3.375% | 2/15/31 | 200,000 | 125,016 (a) | |
CSC Holdings LLC, Senior Notes | 4.500% | 11/15/31 | 740,000 | 478,118 (a) | |
Millicom International Cellular SA, Senior Notes | 4.500% | 4/27/31 | 500,000 | 430,693 (a) | |
Sprint Capital Corp., Senior Notes | 6.875% | 11/15/28 | 420,000 | 445,545 (b) | |
Sprint Capital Corp., Senior Notes | 8.750% | 3/15/32 | 30,000 | 36,111 (b) | |
T-Mobile USA Inc., Senior Notes | 3.500% | 4/15/31 | 1,140,000 | 1,025,523 (b) | |
Vmed O2 UK Financing I PLC, Senior Secured Notes | 4.500% | 7/15/31 | 500,000 GBP | 522,942 (a) | |
Vmed O2 UK Financing I PLC, Senior Secured Notes | 4.750% | 7/15/31 | 540,000 | 456,160 (a) | |
Total Wireless Telecommunication Services | 3,999,772 | ||||
Total Communication Services | 16,609,465 | ||||
Consumer Discretionary — 18.2% | |||||
Automobile Components — 2.7% | |||||
Adient Global Holdings Ltd., Senior Notes | 4.875% | 8/15/26 | 580,000 | 564,562 (a) | |
American Axle & Manufacturing Inc., Senior Notes | 6.500% | 4/1/27 | 740,000 | 739,631 (b) | |
American Axle & Manufacturing Inc., Senior Notes | 5.000% | 10/1/29 | 350,000 | 321,312 | |
Garrett Motion Holdings Inc./Garrett LX I Sarl, Senior Notes | 7.750% | 5/31/32 | 270,000 | 273,849 (a) | |
JB Poindexter & Co. Inc., Senior Notes | 8.750% | 12/15/31 | 900,000 | 933,517 (a)(b) | |
ZF North America Capital Inc., Senior Notes | 4.750% | 4/29/25 | 500,000 | 494,064 (a) | |
ZF North America Capital Inc., Senior Notes | 7.125% | 4/14/30 | 280,000 | 290,184 (a) | |
Total Automobile Components | 3,617,119 | ||||
Automobiles — 4.1% | |||||
Ford Motor Co., Senior Notes | 3.250% | 2/12/32 | 1,700,000 | 1,405,810 (b) | |
General Motors Co., Senior Notes | 6.125% | 10/1/25 | 130,000 | 130,724 (b) | |
General Motors Co., Senior Notes | 4.200% | 10/1/27 | 750,000 | 723,205 (b) | |
General Motors Co., Senior Notes | 6.600% | 4/1/36 | 140,000 | 146,574 (b) | |
Mercedes-Benz Finance North America LLC, Senior Notes | 8.500% | 1/18/31 | 1,000,000 | 1,189,998 (b) |
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Security | Rate | Maturity Date | Face Amount† | Value | |
Automobiles — continued | |||||
Nissan Motor Acceptance Co. LLC, Senior Notes | 2.750% | 3/9/28 | 1,570,000 | $1,400,410 (a)(b) | |
Volkswagen Group of America Finance LLC, Senior Notes | 1.250% | 11/24/25 | 400,000 | 377,543 (a) | |
Total Automobiles | 5,374,264 | ||||
Broadline Retail — 1.5% | |||||
Amazon.com Inc., Senior Notes | 2.100% | 5/12/31 | 700,000 | 590,015 | |
Marks & Spencer PLC, Senior Notes | 7.125% | 12/1/37 | 1,050,000 | 1,124,044 (a)(b) | |
Prosus NV, Senior Notes | 4.193% | 1/19/32 | 300,000 | 264,769 (d) | |
Total Broadline Retail | 1,978,828 | ||||
Distributors — 0.5% | |||||
Ritchie Bros Holdings Inc., Senior Notes | 7.750% | 3/15/31 | 610,000 | 637,820 (a) | |
Diversified Consumer Services — 1.1% | |||||
APCOA Parking Holdings GmbH, Senior Secured Notes | 4.625% | 1/15/27 | 130,000 EUR | 136,591 (d) | |
APCOA Parking Holdings GmbH, Senior Secured Notes | 4.625% | 1/15/27 | 910,000 EUR | 956,138 (a) | |
Carriage Services Inc., Senior Notes | 4.250% | 5/15/29 | 280,000 | 250,459 (a) | |
WW International Inc., Senior Secured Notes | 4.500% | 4/15/29 | 320,000 | 124,369 (a) | |
Total Diversified Consumer Services | 1,467,557 | ||||
Hotels, Restaurants & Leisure — 7.2% | |||||
888 Acquisitions Ltd., Senior Secured Notes | 7.558% | 7/15/27 | 600,000 EUR | 643,719 (a) | |
Carnival PLC, Senior Notes | 1.000% | 10/28/29 | 1,210,000 EUR | 1,061,042 | |
IRB Holding Corp., Senior Secured Notes | 7.000% | 6/15/25 | 430,000 | 430,464 (a) | |
Las Vegas Sands Corp., Senior Notes | 3.900% | 8/8/29 | 1,310,000 | 1,199,080 (b) | |
Marston’s Issuer PLC, Secured Notes (SONIA + 2.669%) | 7.902% | 7/16/35 | 540,000 GBP | 518,859 (d)(e) | |
NCL Corp. Ltd., Senior Notes | 3.625% | 12/15/24 | 590,000 | 584,667 (a)(b) | |
NCL Corp. Ltd., Senior Notes | 7.750% | 2/15/29 | 130,000 | 135,249 (a) | |
NCL Corp. Ltd., Senior Secured Notes | 8.125% | 1/15/29 | 140,000 | 146,792 (a) | |
NCL Finance Ltd., Senior Notes | 6.125% | 3/15/28 | 700,000 | 691,820 (a) | |
Royal Caribbean Cruises Ltd., Senior Notes | 5.375% | 7/15/27 | 1,150,000 | 1,133,120 (a)(b) | |
Royal Caribbean Cruises Ltd., Senior Notes | 5.500% | 4/1/28 | 720,000 | 711,305 (a)(b) | |
Saga PLC, Senior Notes | 5.500% | 7/15/26 | 140,000 GBP | 168,280 (d) | |
Sands China Ltd., Senior Notes | 3.250% | 8/8/31 | 1,340,000 | 1,129,870 | |
Wheel Bidco Ltd., Senior Secured Notes | 6.750% | 7/15/26 | 250,000 GBP | 270,893 (a) |
4
Security | Rate | Maturity Date | Face Amount† | Value | |
Hotels, Restaurants & Leisure — continued | |||||
Wynn Macau Ltd., Senior Notes | 5.625% | 8/26/28 | 200,000 | $187,699 (a) | |
Wynn Macau Ltd., Senior Notes | 5.125% | 12/15/29 | 620,000 | 562,031 (a) | |
Total Hotels, Restaurants & Leisure | 9,574,890 | ||||
Household Durables — 0.5% | |||||
Lennar Corp., Senior Notes | 5.000% | 6/15/27 | 430,000 | 427,805 | |
Lennar Corp., Senior Notes | 4.750% | 11/29/27 | 250,000 | 246,629 | |
Total Household Durables | 674,434 | ||||
Specialty Retail — 0.6% | |||||
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes | 8.750% | 1/15/32 | 200,000 | 191,531 (a) | |
Michaels Cos. Inc., Senior Secured Notes | 5.250% | 5/1/28 | 190,000 | 152,216 (a) | |
Sally Holdings LLC/Sally Capital Inc., Senior Notes | 6.750% | 3/1/32 | 400,000 | 395,533 | |
Total Specialty Retail | 739,280 | ||||
Total Consumer Discretionary | 24,064,192 | ||||
Consumer Staples — 2.5% | |||||
Beverages — 1.1% | |||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.700% | 2/1/36 | 1,540,000 | 1,468,841 (b) | |
Food Products — 0.6% | |||||
JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, Senior Notes | 3.750% | 12/1/31 | 500,000 | 438,180 | |
Kraft Heinz Foods Co., Senior Notes | 5.500% | 6/1/50 | 340,000 | 325,603 (b) | |
Total Food Products | 763,783 | ||||
Tobacco — 0.8% | |||||
Altria Group Inc., Senior Notes | 2.450% | 2/4/32 | 1,000,000 | 808,969 (b) | |
Reynolds American Inc., Senior Notes | 5.850% | 8/15/45 | 260,000 | 240,080 | |
Total Tobacco | 1,049,049 | ||||
Total Consumer Staples | 3,281,673 | ||||
Energy — 21.4% | |||||
Energy Equipment & Services — 0.2% | |||||
Noble Finance II LLC, Senior Notes | 8.000% | 4/15/30 | 280,000 | 291,617 (a) | |
Oil, Gas & Consumable Fuels — 21.2% | |||||
Anadarko Finance Co., Senior Notes | 7.500% | 5/1/31 | 570,000 | 603,032 | |
Burlington Resources LLC, Senior Notes | 7.400% | 12/1/31 | 450,000 | 512,696 | |
Cheniere Energy Partners LP, Senior Notes | 4.000% | 3/1/31 | 500,000 | 455,013 | |
Columbia Pipeline Group Inc., Senior Notes | 4.500% | 6/1/25 | 500,000 | 493,967 (b) | |
Continental Resources Inc., Senior Notes | 4.375% | 1/15/28 | 210,000 | 201,996 | |
Continental Resources Inc., Senior Notes | 4.900% | 6/1/44 | 250,000 | 204,574 |
5
Security | Rate | Maturity Date | Face Amount† | Value | |
Oil, Gas & Consumable Fuels — continued | |||||
Crescent Energy Finance LLC, Senior Notes | 7.625% | 4/1/32 | 350,000 | $356,960 (a) | |
Devon Energy Corp., Senior Notes | 5.250% | 9/15/24 | 500,000 | 499,710 (b) | |
Diamondback Energy Inc., Senior Notes | 3.500% | 12/1/29 | 400,000 | 369,044 | |
Ecopetrol SA, Senior Notes | 5.875% | 5/28/45 | 390,000 | 279,827 | |
Ecopetrol SA, Senior Notes | 5.875% | 11/2/51 | 2,400,000 | 1,668,209 | |
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%) | 6.625% | 2/15/28 | 550,000 | 535,799 (c)(e) | |
EOG Resources Inc., Senior Notes | 3.150% | 4/1/25 | 2,250,000 | 2,212,352 (b) | |
EQM Midstream Partners LP, Senior Notes | 4.500% | 1/15/29 | 230,000 | 217,226 (a) | |
EQM Midstream Partners LP, Senior Notes | 7.500% | 6/1/30 | 280,000 | 298,987 (a) | |
EQT Corp., Senior Notes | 3.900% | 10/1/27 | 1,050,000 | 1,004,369 (b) | |
EQT Corp., Senior Notes | 5.000% | 1/15/29 | 1,260,000 | 1,237,359 (b) | |
Hilcorp Energy I LP/Hilcorp Finance Co., Senior Notes | 8.375% | 11/1/33 | 280,000 | 298,618 (a) | |
KazMunayGas National Co. JSC, Senior Notes | 3.500% | 4/14/33 | 1,120,000 | 919,066 (a) | |
Kinder Morgan Inc., Senior Notes | 7.750% | 1/15/32 | 190,000 | 214,523 | |
Kinder Morgan Inc., Senior Notes | 5.550% | 6/1/45 | 1,500,000 | 1,400,319 (b) | |
NGPL PipeCo LLC, Senior Notes | 7.768% | 12/15/37 | 490,000 | 565,982 (a) | |
Occidental Petroleum Corp., Senior Notes | 6.200% | 3/15/40 | 250,000 | 250,644 | |
ONEOK Inc., Senior Notes | 5.550% | 11/1/26 | 500,000 | 502,193 | |
Pan American Energy LLC, Senior Notes | 8.500% | 4/30/32 | 400,000 | 419,280 (a) | |
Petrobras Global Finance BV, Senior Notes | 6.750% | 1/27/41 | 920,000 | 886,915 | |
Petroleos del Peru SA, Senior Notes | 4.750% | 6/19/32 | 670,000 | 502,259 (a) | |
Petroleos Mexicanos, Senior Notes | 5.500% | 6/27/44 | 360,000 | 218,687 | |
Puma International Financing SA, Senior Notes | 7.750% | 4/25/29 | 550,000 | 555,074 (a) | |
Range Resources Corp., Senior Notes | 4.875% | 5/15/25 | 190,000 | 188,953 | |
Range Resources Corp., Senior Notes | 8.250% | 1/15/29 | 300,000 | 311,126 | |
Rockies Express Pipeline LLC, Senior Notes | 7.500% | 7/15/38 | 350,000 | 359,703 (a) | |
Sabine Pass Liquefaction LLC, Senior Secured Notes | 5.000% | 3/15/27 | 1,850,000 | 1,834,979 (b) | |
SilverBow Resources Inc., Secured Notes (3 mo. Term SOFR + 7.750%) | 13.089% | 12/15/28 | 451,370 | 474,503 (a)(e) | |
Southern Natural Gas Co. LLC, Senior Notes | 4.800% | 3/15/47 | 800,000 | 661,595 (a)(b) | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes | 10.000% | 10/15/26 | 280,000 | 288,107 (a) |
6
Security | Rate | Maturity Date | Face Amount† | Value | |
Oil, Gas & Consumable Fuels — continued | |||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 6.500% | 7/15/27 | 250,000 | $251,953 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | 6.875% | 1/15/29 | 20,000 | 20,522 | |
Tengizchevroil Finance Co. International Ltd., Senior Secured Notes | 3.250% | 8/15/30 | 350,000 | 289,408 (a) | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850% | 2/1/26 | 1,000,000 | 1,029,314 (b) | |
Transportadora de Gas del Peru SA, Senior Notes | 4.250% | 4/30/28 | 600,000 | 580,482 (a) | |
Venture Global LNG Inc., Senior Secured Notes | 9.875% | 2/1/32 | 240,000 | 261,372 (a) | |
Western Midstream Operating LP, Senior Notes | 4.050% | 2/1/30 | 900,000 | 837,606 (b) | |
Western Midstream Operating LP, Senior Notes | 5.300% | 3/1/48 | 100,000 | 86,422 | |
Western Midstream Operating LP, Senior Notes | 5.250% | 2/1/50 | 1,680,000 | 1,474,003 (f) | |
Williams Cos. Inc., Senior Notes | 7.500% | 1/15/31 | 443,000 | 490,222 | |
Williams Cos. Inc., Senior Notes | 8.750% | 3/15/32 | 39,000 | 46,629 | |
YPF SA, Senior Notes | 8.500% | 7/28/25 | 630,000 | 621,582 (a) | |
Total Oil, Gas & Consumable Fuels | 27,993,161 | ||||
Total Energy | 28,284,778 | ||||
Financials — 25.2% | |||||
Banks — 14.8% | |||||
Banco Mercantil del Norte SA, Junior Subordinated Notes (6.625% to 1/24/32 then 10 year Treasury Constant Maturity Rate + 5.034%) | 6.625% | 1/24/32 | 490,000 | 430,605 (a)(c)(e) | |
Bank of America Corp., Subordinated Notes | 4.250% | 10/22/26 | 1,500,000 | 1,463,187 (b) | |
Bank of Nova Scotia, Senior Notes | 2.700% | 8/3/26 | 500,000 | 473,983 | |
Barclays PLC, Subordinated Notes | 5.200% | 5/12/26 | 1,000,000 | 988,965 (b) | |
BBVA Bancomer SA, Subordinated Notes (5.125% to 1/17/28 then 5 year Treasury Constant Maturity Rate + 2.650%) | 5.125% | 1/18/33 | 300,000 | 273,619 (a)(e) | |
BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%) | 7.375% | 8/19/25 | 610,000 | 610,003 (a)(b)(c)(e) |
7
Security | Rate | Maturity Date | Face Amount† | Value | |
Banks — continued | |||||
BPCE SA, Subordinated Notes | 5.150% | 7/21/24 | 1,000,000 | $999,092 (a)(b) | |
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. Term SOFR + 4.167%) | 5.950% | 5/15/25 | 900,000 | 895,244 (b)(c)(e) | |
Citigroup Inc., Subordinated Notes | 4.125% | 7/25/28 | 800,000 | 768,210 (b) | |
Citigroup Inc., Subordinated Notes | 6.625% | 6/15/32 | 1,000,000 | 1,067,882 (b) | |
Comerica Bank, Senior Notes | 2.500% | 7/23/24 | 410,000 | 408,774 | |
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) | 8.125% | 12/23/25 | 1,080,000 | 1,097,435 (a)(b)(c)(e) | |
HSBC Holdings PLC, Junior Subordinated Notes (6.000% to 5/22/27 then USD 5 year ICE Swap Rate + 3.746%) | 6.000% | 5/22/27 | 400,000 | 387,239 (c)(e) | |
HSBC Holdings PLC, Senior Notes (3.973% to 5/22/29 then 3 mo. Term SOFR + 1.872%) | 3.973% | 5/22/30 | 1,130,000 | 1,056,611 (b)(e) | |
HSBC Holdings PLC, Subordinated Notes (8.113% to 11/3/32 then SOFR + 4.250%) | 8.113% | 11/3/33 | 700,000 | 791,130 (e) | |
Intesa Sanpaolo SpA, Subordinated Notes | 5.710% | 1/15/26 | 1,260,000 | 1,248,612 (a) | |
JPMorgan Chase & Co., Junior Subordinated Notes (6.100% to 10/1/24 then 3 mo. Term SOFR + 3.592%) | 6.100% | 10/1/24 | 400,000 | 400,639 (b)(c)(e) | |
JPMorgan Chase & Co., Subordinated Notes | 4.950% | 6/1/45 | 500,000 | 468,419 (b) | |
Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 9/27/25 then USD 5 year ICE Swap Rate + 4.496%) | 7.500% | 9/27/25 | 500,000 | 501,069 (c)(e) | |
Lloyds Banking Group PLC, Subordinated Notes | 4.650% | 3/24/26 | 1,500,000 | 1,473,208 (b) | |
PNC Financial Services Group Inc., Senior Notes | 2.550% | 1/22/30 | 750,000 | 658,216 (b) | |
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) | 5.812% | 6/12/26 | 750,000 | 750,910 (b)(e) | |
Santander UK Group Holdings PLC, Subordinated Notes | 5.625% | 9/15/45 | 1,000,000 | 812,843 (a)(b) | |
Truist Financial Corp., Senior Notes (5.711% to 1/24/34 then SOFR + 1.922%) | 5.711% | 1/24/35 | 700,000 | 697,259 (e) | |
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) | 7.296% | 4/2/34 | 880,000 | 898,509 (a)(b)(e) | |
Total Banks | 19,621,663 |
8
Security | Rate | Maturity Date | Face Amount† | Value | |
Capital Markets — 5.8% | |||||
Charles Schwab Corp., Junior Subordinated Notes (4.000% to 12/1/30 then 10 year Treasury Constant Maturity Rate + 3.079%) | 4.000% | 12/1/30 | 2,000,000 | $1,710,528 (b)(c)(e) | |
CME Group Inc., Senior Notes | 3.000% | 3/15/25 | 500,000 | 492,251 | |
Credit Suisse AG AT1 Claim | — | — | 2,560,000 | 76,800 *(g)(h) | |
UBS AG/Stamford CT, Senior Notes | 7.500% | 2/15/28 | 400,000 | 428,135 (b) | |
Daimler Truck Finance North America LLC, Senior Notes | 5.200% | 1/17/25 | 400,000 | 398,974 (a) | |
Goldman Sachs Group Inc., Senior Notes (2.640% to 2/24/27 then SOFR + 1.114%) | 2.640% | 2/24/28 | 2,400,000 | 2,238,971 (e)(f) | |
KKR Group Finance Co. VI LLC, Senior Notes | 3.750% | 7/1/29 | 500,000 | 468,997 (a)(b) | |
Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) | 2.699% | 1/22/31 | 500,000 | 438,458 (e) | |
UBS Group AG, Junior Subordinated Notes (6.875% to 8/7/25 then USD 5 year ICE Swap Rate + 4.590%) | 6.875% | 8/7/25 | 680,000 | 675,667 (c)(d)(e) | |
UBS Group AG, Senior Notes (6.537% to 8/12/32 then SOFR + 3.920%) | 6.537% | 8/12/33 | 770,000 | 808,451 (a)(b)(e) | |
Total Capital Markets | 7,737,232 | ||||
Financial Services — 3.3% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 3.400% | 10/29/33 | 2,500,000 | 2,098,283 (f) | |
Ahold Lease USA Inc. Pass-Through-Trust, Senior Secured Notes | 8.620% | 1/2/25 | 1,460 | 1,478 | |
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | 6.500% | 9/15/24 | 580,618 | 559,464 (a)(i) | |
GTCR W Dutch Finance Sub BV, Senior Secured Notes | 8.500% | 1/15/31 | 100,000 GBP | 135,752 (a) | |
Jane Street Group/JSG Finance Inc., Senior Secured Notes | 7.125% | 4/30/31 | 790,000 | 810,761 (a) | |
VFH Parent LLC/Valor Co-Issuer Inc., Senior Secured Notes | 7.500% | 6/15/31 | 380,000 | 382,139 (a) | |
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | 6.375% | 2/1/30 | 400,000 | 314,747 (a) | |
Total Financial Services | 4,302,624 | ||||
Insurance — 1.0% | |||||
MetLife Inc., Junior Subordinated Notes | 10.750% | 8/1/39 | 500,000 | 669,769 | |
Nuveen Finance LLC, Senior Notes | 4.125% | 11/1/24 | 650,000 | 646,017 (a)(b) | |
Total Insurance | 1,315,786 |
9
Security | Rate | Maturity Date | Face Amount† | Value | |
Mortgage Real Estate Investment Trusts (REITs) — 0.3% | |||||
Starwood Property Trust Inc., Senior Notes | 7.250% | 4/1/29 | 350,000 | $354,190 (a) | |
Total Financials | 33,331,495 | ||||
Health Care — 11.4% | |||||
Biotechnology — 0.6% | |||||
AbbVie Inc., Senior Notes | 2.950% | 11/21/26 | 500,000 | 476,719 | |
Amgen Inc., Senior Notes | 2.450% | 2/21/30 | 400,000 | 348,969 | |
Total Biotechnology | 825,688 | ||||
Health Care Equipment & Supplies — 0.8% | |||||
Becton Dickinson and Co., Senior Notes | 3.700% | 6/6/27 | 500,000 | 481,181 | |
Solventum Corp., Senior Notes | 5.600% | 3/23/34 | 500,000 | 491,298 (a) | |
Total Health Care Equipment & Supplies | 972,479 | ||||
Health Care Providers & Services — 7.2% | |||||
Centene Corp., Senior Notes | 3.375% | 2/15/30 | 2,440,000 | 2,167,607 (b) | |
CHS/Community Health Systems Inc., Senior Secured Notes | 10.875% | 1/15/32 | 500,000 | 521,018 (a) | |
CVS Health Corp., Senior Notes | 3.250% | 8/15/29 | 500,000 | 453,743 | |
CVS Health Corp., Senior Notes | 3.750% | 4/1/30 | 1,000,000 | 920,590 (b) | |
CVS Health Corp., Senior Notes | 5.250% | 2/21/33 | 400,000 | 390,768 | |
CVS Pass-Through Trust | 5.789% | 1/10/26 | 78,788 | 78,806 (a) | |
CVS Pass-Through Trust | 7.507% | 1/10/32 | 249,290 | 259,432 (a)(b) | |
CVS Pass-Through Trust, Secured Trust | 5.880% | 1/10/28 | 161,814 | 158,396 | |
CVS Pass-Through Trust, Secured Trust | 6.943% | 1/10/30 | 217,081 | 219,480 (b) | |
CVS Pass-Through Trust, Senior Secured Trust | 6.036% | 12/10/28 | 186,047 | 186,555 (b) | |
HCA Inc., Senior Notes | 4.500% | 2/15/27 | 1,000,000 | 977,415 (b) | |
HCA Inc., Senior Notes | 3.500% | 9/1/30 | 1,000,000 | 902,308 (b) | |
Humana Inc., Senior Notes | 5.875% | 3/1/33 | 400,000 | 407,084 | |
Legacy LifePoint Health LLC, Senior Secured Notes | 4.375% | 2/15/27 | 360,000 | 344,190 (a) | |
Sotera Health Holdings LLC, Senior Secured Notes | 7.375% | 6/1/31 | 480,000 | 481,313 (a) | |
Tenet Healthcare Corp., Secured Notes | 6.250% | 2/1/27 | 670,000 | 670,137 | |
UnitedHealth Group Inc., Senior Notes | 2.000% | 5/15/30 | 500,000 | 425,092 | |
Total Health Care Providers & Services | 9,563,934 | ||||
Pharmaceuticals — 2.8% | |||||
Endo Finance Holdings Inc., Senior Secured Notes | 8.500% | 4/15/31 | 480,000 | 495,949 (a) | |
Par Pharmaceutical Inc., Escrow | — | — | 330,000 | 0 *(a)(g)(h)(j) | |
Pfizer Inc., Senior Notes | 3.000% | 12/15/26 | 500,000 | 477,258 (b) |
10
Security | Rate | Maturity Date | Face Amount† | Value | |
Pharmaceuticals — continued | |||||
Pfizer Investment Enterprises Pte Ltd., Senior Notes | 4.750% | 5/19/33 | 1,300,000 | $1,267,221 (b) | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150% | 10/1/26 | 780,000 | 732,660 (b) | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 5.125% | 5/9/29 | 646,000 | 621,981 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 4.100% | 10/1/46 | 200,000 | 139,905 | |
Total Pharmaceuticals | 3,734,974 | ||||
Total Health Care | 15,097,075 | ||||
Industrials — 10.7% | |||||
Aerospace & Defense — 2.4% | |||||
Avolon Holdings Funding Ltd., Senior Notes | 3.250% | 2/15/27 | 750,000 | 702,149 (a)(b) | |
Avolon Holdings Funding Ltd., Senior Notes | 2.750% | 2/21/28 | 1,000,000 | 898,754 (a)(b) | |
Boeing Co., Senior Notes | 3.200% | 3/1/29 | 500,000 | 443,803 (b) | |
Bombardier Inc., Senior Notes | 7.500% | 2/1/29 | 310,000 | 321,570 (a) | |
TransDigm Inc., Senior Secured Notes | 7.125% | 12/1/31 | 730,000 | 753,088 (a)(b) | |
Total Aerospace & Defense | 3,119,364 | ||||
Building Products — 0.5% | |||||
Masterbrand Inc., Senior Notes | 7.000% | 7/15/32 | 210,000 | 212,515 (a) | |
Standard Industries Inc., Senior Notes | 4.375% | 7/15/30 | 578,000 | 522,715 (a)(b) | |
Total Building Products | 735,230 | ||||
Commercial Services & Supplies — 1.4% | |||||
CoreCivic Inc., Senior Notes | 8.250% | 4/15/29 | 860,000 | 889,678 (b) | |
GEO Group Inc., Senior Notes | 10.250% | 4/15/31 | 460,000 | 481,689 (a) | |
GEO Group Inc., Senior Secured Notes | 8.625% | 4/15/29 | 340,000 | 348,529 (a) | |
GFL Environmental Inc., Senior Secured Notes | 6.750% | 1/15/31 | 190,000 | 194,072 (a) | |
Total Commercial Services & Supplies | 1,913,968 | ||||
Machinery — 0.5% | |||||
Cellnex Finance Co. SA, Senior Notes | 2.000% | 2/15/33 | 500,000 EUR | 454,809 (d) | |
Titan International Inc., Senior Secured Notes | 7.000% | 4/30/28 | 210,000 | 202,157 | |
Total Machinery | 656,966 | ||||
Passenger Airlines — 3.2% | |||||
American Airlines Group Inc., Senior Notes | 3.750% | 3/1/25 | 570,000 | 561,475 (a)(b) | |
American Airlines Inc., Senior Secured Notes | 8.500% | 5/15/29 | 620,000 | 644,547 (a)(b) | |
Delta Air Lines Inc., Senior Notes | 2.900% | 10/28/24 | 310,000 | 306,972 (b) |
11
Security | Rate | Maturity Date | Face Amount† | Value | |
Passenger Airlines — continued | |||||
Delta Air Lines Inc., Senior Notes | 7.375% | 1/15/26 | 260,000 | $265,444 (b) | |
Delta Air Lines Inc., Senior Secured Notes | 7.000% | 5/1/25 | 1,490,000 | 1,501,533 (a)(f) | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000% | 9/20/25 | 549,999 | 401,933 (a) | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000% | 9/20/25 | 230,000 | 168,081 (a) | |
United Airlines Pass-Through Trust | 4.875% | 1/15/26 | 337,680 | 332,892 (b) | |
Total Passenger Airlines | 4,182,877 | ||||
Trading Companies & Distributors — 2.7% | |||||
Air Lease Corp., Senior Notes | 3.375% | 7/1/25 | 1,100,000 | 1,075,163 (b) | |
Ashtead Capital Inc., Senior Notes | 2.450% | 8/12/31 | 1,230,000 | 993,590 (a)(b) | |
H&E Equipment Services Inc., Senior Notes | 3.875% | 12/15/28 | 520,000 | 469,780 (a)(b) | |
United Rentals North America Inc., Secured Notes | 3.875% | 11/15/27 | 1,000,000 | 945,379 (b) | |
United Rentals North America Inc., Senior Notes | 5.500% | 5/15/27 | 80,000 | 79,452 | |
Total Trading Companies & Distributors | 3,563,364 | ||||
Total Industrials | 14,171,769 | ||||
Information Technology — 2.9% | |||||
Communications Equipment — 0.3% | |||||
Viasat Inc., Senior Notes | 7.500% | 5/30/31 | 250,000 | 166,384 (a) | |
Viasat Inc., Senior Secured Notes | 5.625% | 4/15/27 | 300,000 | 268,762 (a) | |
Total Communications Equipment | 435,146 | ||||
Electronic Equipment, Instruments & Components — 0.2% | |||||
EquipmentShare.com Inc., Secured Notes | 8.625% | 5/15/32 | 210,000 | 218,016 (a) | |
Semiconductors & Semiconductor Equipment — 1.1% | |||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Senior Notes | 3.125% | 1/15/25 | 500,000 | 492,957 | |
Foundry JV Holdco LLC, Senior Secured Notes | 5.900% | 1/25/30 | 500,000 | 507,498 (a)(b) | |
Texas Instruments Inc., Senior Notes | 1.375% | 3/12/25 | 500,000 | 486,454 | |
Total Semiconductors & Semiconductor Equipment | 1,486,909 | ||||
Software — 0.4% | |||||
Cloud Software Group Inc., Senior Secured Notes | 8.250% | 6/30/32 | 460,000 | 469,141 (a) | |
Technology Hardware, Storage & Peripherals — 0.9% | |||||
Seagate HDD Cayman, Senior Notes | 4.750% | 1/1/25 | 570,000 | 566,309 (b) |
12
Security | Rate | Maturity Date | Face Amount† | Value | |
Technology Hardware, Storage & Peripherals — continued | |||||
Seagate HDD Cayman, Senior Notes | 4.875% | 6/1/27 | 260,000 | $254,339 | |
Western Digital Corp., Senior Notes | 4.750% | 2/15/26 | 430,000 | 421,291 (b) | |
Total Technology Hardware, Storage & Peripherals | 1,241,939 | ||||
Total Information Technology | 3,851,151 | ||||
Materials — 6.4% | |||||
Chemicals — 1.9% | |||||
Braskem Netherlands Finance BV, Senior Notes | 5.875% | 1/31/50 | 350,000 | 258,812 (d) | |
OCP SA, Senior Notes | 6.750% | 5/2/34 | 1,220,000 | 1,253,459 (a) | |
Orbia Advance Corp. SAB de CV, Senior Notes | 1.875% | 5/11/26 | 350,000 | 326,569 (a) | |
Sasol Financing USA LLC, Senior Notes | 8.750% | 5/3/29 | 700,000 | 712,584 (a) | |
Total Chemicals | 2,551,424 | ||||
Construction Materials — 0.4% | |||||
Smyrna Ready Mix Concrete LLC, Senior Secured Notes | 8.875% | 11/15/31 | 440,000 | 467,274 (a) | |
Containers & Packaging — 0.0%†† | |||||
Pactiv LLC, Senior Notes | 7.950% | 12/15/25 | 50,000 | 51,618 | |
Metals & Mining — 2.7% | |||||
ArcelorMittal SA, Senior Notes | 7.000% | 10/15/39 | 430,000 | 462,408 (f) | |
First Quantum Minerals Ltd., Secured Notes | 9.375% | 3/1/29 | 330,000 | 345,221 (a) | |
Freeport Indonesia PT, Senior Notes | 5.315% | 4/14/32 | 450,000 | 436,726 (a) | |
Freeport-McMoRan Inc., Senior Notes | 5.400% | 11/14/34 | 220,000 | 216,553 | |
Freeport-McMoRan Inc., Senior Notes | 5.450% | 3/15/43 | 580,000 | 551,322 | |
Glencore Funding LLC, Senior Notes | 4.000% | 3/27/27 | 400,000 | 385,768 (a) | |
Teck Resources Ltd., Senior Notes | 6.000% | 8/15/40 | 210,000 | 207,177 | |
Vale Overseas Ltd., Senior Notes | 6.875% | 11/10/39 | 940,000 | 1,002,921 (b) | |
Total Metals & Mining | 3,608,096 | ||||
Paper & Forest Products — 1.4% | |||||
Suzano Austria GmbH, Senior Notes | 5.750% | 7/14/26 | 950,000 | 952,201 (a)(b) | |
Suzano Austria GmbH, Senior Notes | 3.750% | 1/15/31 | 1,000,000 | 871,908 (b) | |
Total Paper & Forest Products | 1,824,109 | ||||
Total Materials | 8,502,521 | ||||
Real Estate — 0.6% | |||||
Diversified REITs — 0.4% | |||||
Vornado Realty LP, Senior Notes | 3.500% | 1/15/25 | 500,000 | 492,596 (b) | |
Hotel & Resort REITs — 0.1% | |||||
Service Properties Trust, Senior Notes | 8.875% | 6/15/32 | 220,000 | 205,378 |
13
Security | Rate | Maturity Date | Face Amount† | Value | |
Real Estate Management & Development — 0.1% | |||||
Cushman & Wakefield US Borrower LLC, Senior Secured Notes | 8.875% | 9/1/31 | 120,000 | $126,364 (a) | |
Total Real Estate | 824,338 | ||||
Utilities — 1.6% | |||||
Electric Utilities — 1.1% | |||||
Comision Federal de Electricidad, Senior Notes | 3.348% | 2/9/31 | 400,000 | 330,865 (a) | |
Pacific Gas and Electric Co., First Mortgage Bonds | 6.950% | 3/15/34 | 700,000 | 754,339 | |
Vistra Operations Co. LLC, Senior Notes | 7.750% | 10/15/31 | 300,000 | 312,653 (a) | |
Total Electric Utilities | 1,397,857 | ||||
Independent Power and Renewable Electricity Producers — 0.5% | |||||
Minejesa Capital BV, Senior Secured Notes | 4.625% | 8/10/30 | 753,138 | 723,868 (a)(b) | |
Total Utilities | 2,121,725 | ||||
Total Corporate Bonds & Notes (Cost — $146,572,093) | 150,140,182 | ||||
Senior Loans — 13.2% | |||||
Consumer Discretionary — 3.5% | |||||
Diversified Consumer Services — 0.1% | |||||
WW International Inc., Initial Term Loan (1 mo. Term SOFR + 3.614%) | 8.958% | 4/13/28 | 200,000 | 76,500 (e)(k)(l) | |
Hotels, Restaurants & Leisure — 3.4% | |||||
Caesars Entertainment Inc., Incremental Term Loan B1 (3 mo. Term SOFR + 2.750%) | 8.097% | 2/6/31 | 798,000 | 799,620 (e)(k)(l) | |
Flutter Entertainment Public Ltd. Co., Term Loan B (3 mo. Term SOFR + 2.250%) | 7.585% | 11/25/30 | 696,500 | 697,736 (e)(k)(l) | |
Four Seasons Hotels Ltd., 2024 Repricing Term Loan (1 mo. Term SOFR + 2.000%) | 7.344% | 11/30/29 | 895,455 | 900,429 (e)(k)(l) | |
Hilton Worldwide Finance LLC, Term Loan B4 (1 mo. Term SOFR + 1.750%) | 7.095% | 11/8/30 | 900,000 | 901,935 (e)(k)(l) | |
Scientific Games International Inc., Term Loan B1 (1 mo. Term SOFR + 2.750%) | 8.080% | 4/14/29 | 1,236,850 | 1,238,953 (e)(k)(l) | |
Total Hotels, Restaurants & Leisure | 4,538,673 | ||||
Total Consumer Discretionary | 4,615,173 | ||||
Energy — 0.4% | |||||
Oil, Gas & Consumable Fuels — 0.4% | |||||
Buckeye Partners LP, Term Loan B2 | — | 11/22/30 | 498,750 | 499,296 (m) |
14
Security | Rate | Maturity Date | Face Amount† | Value | |
Financials — 4.1% | |||||
Consumer Finance — 0.7% | |||||
Blackhawk Network Holdings Inc., Term Loan B (1 mo. Term SOFR + 5.000%) | 10.344% | 3/12/29 | 120,000 | $120,413 (e)(k)(l) | |
TransUnion Intermediate Holdings Inc., Term Loan B7 (1 mo. Term SOFR + 2.000%) | 7.344% | 12/1/28 | 847,875 | 849,159 (e)(k)(l) | |
Total Consumer Finance | 969,572 | ||||
Financial Services — 2.7% | |||||
Boost Newco Borrower LLC, Initial USD Term Loan (3 mo. Term SOFR + 3.000%) | 8.335% | 1/31/31 | 1,150,000 | 1,153,036 (e)(k)(l) | |
Citadel Securities LP, 2024 Term Loan B (1 mo. Term SOFR + 2.250%) | 7.594% | 7/29/30 | 2,216,580 | 2,225,446 (e)(k)(l) | |
Nexus Buyer LLC, Amendment No. 5 Term Loan (1 mo. Term SOFR + 4.500%) | 9.844% | 12/13/28 | 249,375 | 249,905 (e)(k)(l) | |
Total Financial Services | 3,628,387 | ||||
Insurance — 0.4% | |||||
Asurion LLC, New Term Loan B10 (1 mo. Term SOFR + 4.100%) | 9.444% | 8/19/28 | 497,468 | 492,648 (e)(k)(l) | |
Mortgage Real Estate Investment Trusts (REITs) — 0.3% | |||||
Starwood Property Mortgage LLC, Term Loan B (1 mo. Term SOFR + 3.250%) | 8.579% | 11/18/27 | 349,116 | 350,862 (e)(h)(k)(l) | |
Total Financials | 5,441,469 | ||||
Health Care — 0.4% | |||||
Life Sciences Tools & Services — 0.4% | |||||
IQVIA Inc., Term Loan B4 (3 mo. Term SOFR + 2.000%) | 7.335% | 1/2/31 | 497,500 | 500,142 (e)(k)(l) | |
Industrials — 1.1% | |||||
Passenger Airlines — 0.9% | |||||
Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) | 9.075% | 10/20/27 | 279,029 | 286,115 (e)(k)(l) | |
United Airlines Inc., Term Loan B (1 mo. Term SOFR + 2.750%) | 8.094% | 2/22/31 | 867,825 | 871,079 (e)(k)(l) | |
Total Passenger Airlines | 1,157,194 | ||||
Trading Companies & Distributors — 0.2% | |||||
United Rentals North America Inc., Restatement Term Loan (1 mo. Term SOFR + 1.750%) | 7.094% | 2/14/31 | 299,250 | 302,196 (e)(k)(l) | |
Total Industrials | 1,459,390 |
15
Security | Rate | Maturity Date | Face Amount† | Value | |
Information Technology — 1.3% | |||||
Electronic Equipment, Instruments & Components — 0.5% | |||||
Coherent Corp., Term Loan B1 (1 mo. Term SOFR + 2.500%) | 7.844% | 7/2/29 | 683,353 | $684,720 (e)(k)(l) | |
Semiconductors & Semiconductor Equipment — 0.4% | |||||
MKS Instruments Inc., 2023 Dollar Term Loan B (1 mo. Term SOFR + 2.500%) | 7.828% | 8/17/29 | 476,336 | 477,427 (e)(k)(l) | |
Software — 0.4% | |||||
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 4.000%) | 9.344% | 10/16/26 | 348,182 | 340,130 (e)(k)(l) | |
Modena Buyer LLC, Term Loan | — | 4/18/31 | 200,000 | 195,469 (m) | |
Total Software | 535,599 | ||||
Total Information Technology | 1,697,746 | ||||
Materials — 1.8% | |||||
Construction Materials — 0.5% | |||||
Summit Materials LLC, Term Loan B2 (3 mo. Term SOFR + 2.500%) | 7.799% | 1/12/29 | 598,500 | 603,363 (e)(k)(l) | |
Containers & Packaging — 0.6% | |||||
Berry Global Inc., Term Loan AA (1 mo. Term SOFR + 1.864%) | 7.191% | 7/1/29 | 845,739 | 847,198 (e)(k)(l) | |
Paper & Forest Products — 0.7% | |||||
Asplundh Tree Expert LLC, 2021 Refinancing Term Loan (1 mo. Term SOFR + 1.850%) | 7.194% | 9/7/27 | 984,655 | 986,501 (e)(k)(l) | |
Total Materials | 2,437,062 | ||||
Utilities — 0.6% | |||||
Electric Utilities — 0.6% | |||||
Vistra Operations Co. LLC, 2018 Incremental Term Loan (1 mo. Term SOFR + 2.000%) | 7.344% | 12/20/30 | 746,250 | 747,690 (e)(k)(l) | |
Total Senior Loans (Cost — $17,415,248) | 17,397,968 | ||||
Sovereign Bonds — 8.7% | |||||
Angola — 0.3% | |||||
Angolan Government International Bond, Senior Notes | 8.000% | 11/26/29 | 400,000 | 360,640 (a) | |
Argentina — 0.5% | |||||
Argentine Republic Government International Bond, Senior Notes | 1.000% | 7/9/29 | 43,394 | 24,951 | |
Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then 6.625%) | 6.375% | 9/1/37 | 460,247 | 191,003 (a) | |
Provincia de Cordoba, Senior Notes | 6.990% | 6/1/27 | 560,000 | 483,000 (a) | |
Total Argentina | 698,954 |
16
Security | Rate | Maturity Date | Face Amount† | Value | |
Colombia — 1.0% | |||||
Colombia Government International Bond, Senior Notes | 3.250% | 4/22/32 | 1,750,000 | $1,344,404 | |
Dominican Republic — 0.3% | |||||
Dominican Republic International Bond, Senior Notes | 4.875% | 9/23/32 | 380,000 | 341,100 (a) | |
Indonesia — 1.4% | |||||
Indonesia Government International Bond, Senior Notes | 3.850% | 7/18/27 | 300,000 | 288,731 (a) | |
Indonesia Government International Bond, Senior Notes | 3.500% | 1/11/28 | 1,670,000 | 1,580,070 (b) | |
Total Indonesia | 1,868,801 | ||||
Mexico — 2.9% | |||||
Mexican Bonos, Bonds | 7.750% | 5/29/31 | 37,450,000 MXN | 1,826,238 | |
Mexico Government International Bond, Senior Notes | 3.750% | 1/11/28 | 500,000 | 473,811 | |
Mexico Government International Bond, Senior Notes | 2.659% | 5/24/31 | 360,000 | 296,267 | |
Mexico Government International Bond, Senior Notes | 4.350% | 1/15/47 | 1,750,000 | 1,309,160 | |
Total Mexico | 3,905,476 | ||||
Panama — 0.9% | |||||
Panama Government International Bond, Senior Notes | 4.500% | 5/15/47 | 1,650,000 | 1,145,542 | |
Peru — 1.0% | |||||
Peruvian Government International Bond, Senior Notes | 2.783% | 1/23/31 | 1,540,000 | 1,326,023 | |
Saudi Arabia — 0.4% | |||||
Saudi Government International Bond, Senior Notes | 4.000% | 4/17/25 | 500,000 | 494,202 (a) | |
Total Sovereign Bonds (Cost — $11,578,871) | 11,485,142 | ||||
Collateralized Mortgage Obligations(n) — 6.1% | |||||
280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%) | 8.454% | 9/15/34 | 220,000 | 195,964 (a)(e) | |
Bear Stearns ALT-A Trust, 2004-3 A1 (1 mo. Term SOFR + 0.754%) | 6.100% | 4/25/34 | 28,536 | 28,577 (e) | |
CHL Mortgage Pass-Through Trust, 2005-7 1A1 (1 mo. Term SOFR + 0.384%) | 6.000% | 3/25/35 | 154,903 | 139,373 (e) | |
Citigroup Commercial Mortgage Trust, 2015- GC29 D | 3.110% | 4/10/48 | 250,000 | 224,506 (a) |
17
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(n) — continued | |||||
Citigroup Commercial Mortgage Trust, 2015-P1 D | 3.225% | 9/15/48 | 440,000 | $390,416 (a) | |
Citigroup Commercial Mortgage Trust, 2015-P1 E | 4.514% | 9/15/48 | 500,000 | 385,312 (a)(e) | |
CSAIL Commercial Mortgage Trust, 2015-C3 C | 4.493% | 8/15/48 | 410,000 | 354,830 (e) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA6 B1 (30 Day Average SOFR + 3.000%) | 8.335% | 12/25/50 | 310,000 | 336,351 (a)(e) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA7 B2 (30 Day Average SOFR + 7.800%) | 13.135% | 11/25/41 | 450,000 | 488,209 (a)(e) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA2 M2 (30 Day Average SOFR + 3.750%) | 9.085% | 2/25/42 | 910,000 | 956,926 (a)(e) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA6 M2 (30 Day Average SOFR + 5.750%) | 11.085% | 9/25/42 | 1,000,000 | 1,119,285 (a)(e) | |
Federal National Mortgage Association (FNMA), 2004-W15 1A2 | 6.500% | 8/25/44 | 40,867 | 41,811 | |
Federal National Mortgage Association (FNMA) — CAS, 2023-R06 1M2 (30 Day Average SOFR + 2.700%) | 8.035% | 7/25/43 | 560,000 | 585,926 (a)(e) | |
Federal National Mortgage Association (FNMA) — CAS, 2024-R02 1M2 (30 Day Average SOFR + 1.800%) | 7.135% | 2/25/44 | 520,000 | 525,933 (a)(e) | |
GS Mortgage Securities Corp. Trust, 2024- 70P E | 9.263% | 3/10/41 | 270,000 | 272,006 (a)(e) | |
Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 3.047%) | 8.376% | 5/15/38 | 350,000 | 348,762 (a)(e) | |
Impac CMB Trust, 2004-10 2A (1 mo. Term SOFR + 0.754%) | 6.100% | 3/25/35 | 43,447 | 40,132 (e) | |
Impac CMB Trust, 2005-2 2A2 (1 mo. Term SOFR + 0.914%) | 6.260% | 4/25/35 | 10,948 | 10,019 (e) | |
MAFI II Remic Trust, 1998-BI B1 | 4.917% | 11/20/24 | 87,415 | 72,793 (e) | |
MERIT Securities Corp., 2011-PA B3 (1 mo. USD LIBOR + 2.250%) | 7.708% | 9/28/32 | 426,201 | 391,614 (a)(e) |
18
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(n) — continued | |||||
Morgan Stanley Capital Trust, 2015-UBS8 C | 4.710% | 12/15/48 | 410,000 | $368,108 (e) | |
Morgan Stanley Capital Trust, 2016-BNK2 B | 3.485% | 11/15/49 | 430,000 | 356,071 | |
Prime Mortgage Trust, 2005-2 2XB, IO | 1.743% | 10/25/32 | 817,955 | 45,381 (e) | |
Prime Mortgage Trust, 2005-5 1X, IO | 1.068% | 7/25/34 | 1,089,630 | 28,896 (e) | |
RAMP Trust, 2005-SL2 APO, STRIPS, PO | 0.000% | 2/25/32 | 1,672 | 1,386 | |
Sequoia Mortgage Trust, 2003-2 A2 (6 mo. Term SOFR + 1.108%) | 6.386% | 6/20/33 | 2,913 | 2,786 (e) | |
Structured Asset Securities Corp., 1998-RF2 A | 4.739% | 7/15/27 | 54,872 | 54,770 (a)(e) | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A 2A2 | 6.657% | 3/25/33 | 19,026 | 18,081 (e) | |
UBS Commercial Mortgage Trust, 2018-C15 C | 5.311% | 12/15/51 | 285,000 | 255,805 (e) | |
Total Collateralized Mortgage Obligations (Cost — $7,697,103) | 8,040,029 | ||||
Asset-Backed Securities — 1.6% | |||||
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR + 1.014%) | 6.360% | 7/25/46 | 436,342 | 104,218 (a)(e) | |
Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. Term SOFR + 0.914%) | 6.260% | 3/25/37 | 282,388 | 278,528 (a)(e) | |
Bayview Financial Asset Trust, 2007-SR1A M4 (1 mo. Term SOFR + 1.614%) | 6.960% | 3/25/37 | 29,212 | 29,743 (a)(e) | |
Financial Asset Securities Corp. Trust, 2005-1A 1A3B (1 mo. Term SOFR + 0.524%) | 5.870% | 2/27/35 | 150,820 | 141,717 (a)(e) | |
GSAMP Trust, 2003-SEA2 A1 | 5.421% | 7/25/33 | 344,276 | 328,750 | |
Indymac Manufactured Housing Contract Pass-Through Certificates, 1997-1 A5 | 6.970% | 2/25/28 | 6,460 | 6,412 | |
Morgan Stanley ABS Capital Inc. Trust, 2003-SD1 A1 (1 mo. Term SOFR + 1.114%) | 6.460% | 3/25/33 | 4,364 | 4,217 (e) | |
Morgan Stanley ABS Capital Inc. Trust, 2004-HE7 M1 (1 mo. Term SOFR + 1.014%) | 6.360% | 8/25/34 | 728,188 | 721,356 (e) | |
Origen Manufactured Housing Contract Trust, 2006-A A2 | 6.950% | 10/15/37 | 205,339 | 182,595 (e) | |
Origen Manufactured Housing Contract Trust, 2007-A A2 | 7.470% | 4/15/37 | 278,638 | 259,153 (e) | |
Total Asset-Backed Securities (Cost — $1,953,345) | 2,056,689 |
19
Security | Rate | Maturity Date | Face Amount† | Value | |
Convertible Bonds & Notes — 0.7% | |||||
Communication Services — 0.7% | |||||
Media — 0.7% | |||||
DISH Network Corp., Senior Notes | 0.000% | 12/15/25 | 920,000 | $682,045 (b) | |
DISH Network Corp., Senior Notes | 3.375% | 8/15/26 | 415,000 | 259,441 (b) | |
Total Convertible Bonds & Notes (Cost — $1,075,174) | 941,486 | ||||
U.S. Government & Agency Obligations — 0.3% | |||||
U.S. Government Obligations — 0.3% | |||||
U.S. Treasury Notes | 3.250% | 8/31/24 | 185,000 | 184,296 | |
U.S. Treasury Notes | 4.125% | 1/31/25 | 250,000 | 248,271 | |
Total U.S. Government & Agency Obligations (Cost — $433,585) | 432,567 | ||||
Shares | |||||
Common Stocks — 0.0%†† | |||||
Health Care — 0.0%†† | |||||
Pharmaceuticals — 0.0%†† | |||||
Endo Inc. | 1,914 | 54,071 * | |||
Endo International PLC | 64 | 1,800 * | |||
Total Common Stocks (Cost — $51,926) | 55,871 | ||||
Expiration Date | Warrants | ||||
Warrants — 0.0%†† | |||||
Industrials — 0.0%†† | |||||
Passenger Airlines — 0.0%†† | |||||
flyExclusive Inc. (Cost — $8,421) | 5/28/28 | 8,795 | 5,321 * | ||
Total Investments before Short-Term Investments (Cost — $186,785,766) | 190,555,255 | ||||
Rate | Maturity Date | Face Amount† | |||
Short-Term Investments — 4.9% | |||||
U.S. Treasury Bills — 4.5% | |||||
U.S. Treasury Bills | 4.379% | 7/5/24 | 1,000,000 | 999,414 (o) | |
U.S. Treasury Bills | 4.831% | 7/9/24 | 3,500,000 | 3,495,942 (o) | |
U.S. Treasury Bills | 4.972% | 7/11/24 | 1,500,000 | 1,497,814 (o) | |
Total U.S. Treasury Bills (Cost — $5,993,210) | 5,993,170 |
20
Security | Rate | Shares | Value | ||
Money Market Funds — 0.4% | |||||
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost — $540,780) | 5.254% | 540,780 | $540,780 (p)(q) | ||
Total Short-Term Investments (Cost — $6,533,990) | 6,533,950 | ||||
Total Investments — 149.0% (Cost — $193,319,756) | 197,089,205 | ||||
Liabilities in Excess of Other Assets — (49.0)% | (64,814,225 ) | ||||
Total Net Assets — 100.0% | $132,274,980 |
21
† | Face amount denominated in U.S. dollars, unless otherwise noted. |
†† | Represents less than 0.1%. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(b) | All or a portion of this security is pledged as collateral pursuant to the loan agreement (Note 5). |
(c) | Security has no maturity date. The date shown represents the next call date. |
(d) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(e) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(f) | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
(g) | Security is fair valued in accordance with procedures approved by the Board of Trustees (Note 1). |
(h) | Security is valued using significant unobservable inputs (Note 1). |
(i) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
(j) | Value is less than $1. |
(k) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(l) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(m) | All or a portion of this loan has not settled as of June 30, 2024. Interest rates are not effective until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
(n) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
(o) | Rate shown represents yield-to-maturity. |
(p) | Rate shown is one-day yield as of the end of the reporting period. |
(q) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At June 30, 2024, the total market value of investments in Affiliated Companies was $540,780 and the cost was $540,780 (Note 8). |
22
Abbreviation(s) used in this schedule: | ||
CAS | — | Connecticut Avenue Securities |
EUR | — | Euro |
GBP | — | British Pound |
ICE | — | Intercontinental Exchange |
IO | — | Interest Only |
JSC | — | Joint Stock Company |
LIBOR | — | London Interbank Offered Rate |
MXN | — | Mexican Peso |
PIK | — | Payment-In-Kind |
PO | — | Principal Only |
REMIC | — | Real Estate Mortgage Investment Conduit |
SOFR | — | Secured Overnight Financing Rate |
SONIA | — | Sterling Overnight Index Average |
STRIPS | — | Separate Trading of Registered Interest and Principal Securities |
USD | — | United States Dollar |
Counterparty | Rate | Effective Date | Maturity Date | Face Amount of Reverse Repurchase Agreements | Asset Class of Collateral* | Collateral Value** |
Deutsche Bank Securities | 5.720% | 6/18/2024 | 9/18/2024 | $4,242,589 | Corporate Bonds & Notes | $4,463,193 |
Goldman Sachs Group Inc. | 5.700% | 6/21/2024 | 7/23/2024 | 2,801,294 | Corporate Bonds & Notes | 3,029,669 |
$7,043,883 | $7,492,862 |
* | Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
** | Including accrued interest. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 2,992,813 | EUR | 2,800,665 | Bank of America N.A. | 7/19/24 | $(9,600 ) |
GBP | 57,693 | USD | 71,634 | Citibank N.A. | 7/19/24 | 1,306 |
USD | 1,219,148 | GBP | 971,806 | Citibank N.A. | 7/19/24 | (9,468 ) |
USD | 306,135 | MXN | 5,110,000 | JPMorgan Chase & Co. | 7/19/24 | 27,740 |
USD | 701,628 | MXN | 11,660,000 | JPMorgan Chase & Co. | 7/19/24 | 66,387 |
EUR | 403,500 | USD | 430,631 | Morgan Stanley & Co. Inc. | 7/19/24 | 1,935 |
Net unrealized appreciation on open forward foreign currency contracts | $78,300 |
23
Abbreviation(s) used in this table: | ||
EUR | — | Euro |
GBP | — | British Pound |
MXN | — | Mexican Peso |
USD | — | United States Dollar |
24
Assets: | |
Investments in unaffiliated securities, at value (Cost — $192,778,976) | $196,548,425 |
Investments in affiliated securities, at value (Cost — $540,780) | 540,780 |
Foreign currency, at value (Cost — $263,129) | 252,523 |
Cash | 29,548 |
Interest receivable | 2,487,480 |
Receivable for securities sold | 370,200 |
Unrealized appreciation on forward foreign currency contracts | 97,368 |
Principal paydown receivable | 5,455 |
Dividends receivable from affiliated investments | 4,877 |
Prepaid expenses | 6,425 |
Total Assets | 200,343,081 |
Liabilities: | |
Loan payable (Note 5) | 59,000,000 |
Payable for open reverse repurchase agreements (Note 3) | 7,043,883 |
Distributions payable | 830,592 |
Payable for securities purchased | 698,781 |
Interest and commitment fees payable | 304,880 |
Investment management fee payable | 66,999 |
Administration fee payable | 19,745 |
Unrealized depreciation on forward foreign currency contracts | 19,068 |
Accrued expenses | 84,153 |
Total Liabilities | 68,068,101 |
Total Net Assets | $132,274,980 |
Net Assets: | |
Common shares, no par value, unlimited number of shares authorized, 11,865,600 shares issued and outstanding | $156,166,075 |
Total distributable earnings (loss) | (23,891,095 ) |
Total Net Assets | $132,274,980 |
Shares Outstanding | 11,865,600 |
Net Asset Value | $11.15 |
25
Investment Income: | |
Interest | $6,833,773 |
Dividends from affiliated investments | 33,406 |
Dividends from unaffiliated investments | 16,409 |
Less: Foreign taxes withheld | (2,172 ) |
Total Investment Income | 6,881,416 |
Expenses: | |
Interest expense (Notes 3 and 5) | 1,716,988 |
Investment management fee (Note 2) | 514,544 |
Audit and tax fees | 34,906 |
Fund accounting fees | 21,166 |
Legal fees | 18,084 |
Commitment fees (Note 5) | 16,785 |
Transfer agent fees | 15,871 |
Stock exchange listing fees | 6,216 |
Shareholder reports | 4,497 |
Trustees’ fees | 3,154 |
Custody fees | 783 |
Insurance | 696 |
Miscellaneous expenses | 3,175 |
Total Expenses | 2,356,865 |
Less: Fee waivers and/or expense reimbursements (Note 2) | (652 ) |
Net Expenses | 2,356,213 |
Net Investment Income | 4,525,203 |
Realized and Unrealized Gain (Loss) on Investments, Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes 1, 3 and 4): | |
Net Realized Loss From: | |
Investment transactions in unaffiliated securities | (629,560 ) |
Forward foreign currency contracts | (69,369 ) |
Foreign currency transactions | (11,526 ) |
Net Realized Loss | (710,455 ) |
Change in Net Unrealized Appreciation (Depreciation) From: | |
Investments in unaffiliated securities | (2,916,698 ) |
Forward foreign currency contracts | 275,881 |
Foreign currencies | (2,602 ) |
Change in Net Unrealized Appreciation (Depreciation) | (2,643,419 ) |
Net Loss on Investments, Forward Foreign Currency Contracts and Foreign Currency Transactions | (3,353,874 ) |
Increase in Net Assets From Operations | $1,171,329 |
26
For the Six Months Ended June 30, 2024 (unaudited) and the Year Ended December 31, 2023 | 2024 | 2023 |
Operations: | ||
Net investment income | $4,525,203 | $9,192,635 |
Net realized loss | (710,455 ) | (6,932,978 ) |
Change in net unrealized appreciation (depreciation) | (2,643,419 ) | 10,147,896 |
Increase in Net Assets From Operations | 1,171,329 | 12,407,553 |
Distributions to Shareholders From (Note 1): | ||
Total distributable earnings | (4,983,552 ) | (9,539,942 ) |
Decrease in Net Assets From Distributions to Shareholders | (4,983,552 ) | (9,539,942 ) |
Increase (Decrease) in Net Assets | (3,812,223 ) | 2,867,611 |
Net Assets: | ||
Beginning of period | 136,087,203 | 133,219,592 |
End of period | $132,274,980 | $136,087,203 |
27
Increase (Decrease) in Cash: | |
Cash Flows from Operating Activities: | |
Net increase in net assets resulting from operations | $1,171,329 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating activities: | |
Purchases of portfolio securities | (51,210,461 ) |
Sales of portfolio securities | 42,523,814 |
Net purchases, sales and maturities of short-term investments | (7,935,373 ) |
Net amortization of premium (accretion of discount) | (1,431,260 ) |
Decrease in receivable for securities sold | 108,550 |
Increase in interest receivable | (11,335 ) |
Increase in prepaid expenses | (5,588 ) |
Decrease in dividends receivable from affiliated investments | 5,251 |
Increase in principal paydown receivable | (5,455 ) |
Increase in payable for securities purchased | 698,781 |
Increase in investment management fee payable | 1,347 |
Decrease in Trustees’ fees payable | (882 ) |
Increase in administration fee payable | 384 |
Increase in interest and commitment fees payable | 31,280 |
Decrease in accrued expenses | (70,083 ) |
Net realized loss on investments | 629,560 |
Change in net unrealized appreciation (depreciation) of investments and forward foreign currency contracts | 2,640,817 |
Net Cash Used in Operating Activities* | (12,859,324 ) |
Cash Flows from Financing Activities: | |
Distributions paid on common stock (net of distributions payable) | (4,152,960 ) |
Proceeds from loan facility borrowings | 11,500,000 |
Increase in payable for open reverse repurchase agreements | 5,574,906 |
Net Cash Provided by Financing Activities | 12,921,946 |
Net Increase in Cash and Restricted Cash | 62,622 |
Cash and restricted cash at beginning of period | 219,449 |
Cash and restricted cash at end of period | $282,071 |
* | Included in operating expenses is $1,699,227 paid for interest and commitment fees on borrowings. |
June 30, 2024 | |
Cash | $282,071 |
Restricted cash | — |
Total cash and restricted cash shown in the Statement of Cash Flows | $282,071 |
28
For a common share outstanding throughout each year ended December 31, unless otherwise noted: | ||||||
20241,2 | 20231 | 20221 | 20211 | 20201 | 20191 | |
Net asset value, beginning of period | $11.47 | $11.23 | $14.32 | $14.85 | $14.66 | $13.00 |
Income (loss) from operations: | ||||||
Net investment income | 0.38 | 0.77 | 0.82 | 0.87 | 0.87 | 0.82 |
Net realized and unrealized gain (loss) | (0.28 ) | 0.27 | (3.12 ) | (0.61 ) | 0.10 | 1.63 |
Total income (loss) from operations | 0.10 | 1.04 | (2.30) | 0.26 | 0.97 | 2.45 |
Less distributions from: | ||||||
Net investment income | (0.42 )3 | (0.80 ) | (0.79 ) | (0.79 ) | (0.79 ) | (0.79 ) |
Total distributions | (0.42 ) | (0.80 ) | (0.79 ) | (0.79 ) | (0.79 ) | (0.79 ) |
Anti-dilutive impact of repurchase plan | — | — | — | — | 0.01 4 | — |
Net asset value, end of period | $11.15 | $11.47 | $11.23 | $14.32 | $14.85 | $14.66 |
Market price, end of period | $10.49 | $10.80 | $10.64 | $14.33 | $14.17 | $14.65 |
Total return, based on NAV5,6 | 0.92 % | 9.77 % | (16.21 )% | 1.80 % | 7.28 % | 19.22 % |
Total return, based on Market Price7 | 0.98 % | 9.57 % | (20.29 )% | 6.87 % | 2.64 % | 28.35 % |
Net assets, end of period (millions) | $132 | $136 | $133 | $170 | $176 | $175 |
Ratios to average net assets: | ||||||
Gross expenses | 3.55 %8 | 3.29 % | 2.19 % | 1.22 % | 1.50 % | 2.14 % |
Net expenses9 | 3.55 8,10 | 3.29 10 | 2.19 10 | 1.22 10 | 1.50 | 2.14 |
Net investment income | 6.82 8 | 6.94 | 6.80 | 5.93 | 6.24 | 5.78 |
Portfolio turnover rate | 23 % | 36 % | 72 % | 32 % | 55 % | 47 % |
Supplemental data: | ||||||
Loan Outstanding, End of Period (000s) | $59,000 | $47,500 | $57,500 | $57,500 | $57,500 | $57,000 |
Asset Coverage Ratio for Loan Outstanding11 | 324 % | 386 % | 332 % | 395 % | 406 % | 406 % |
Asset Coverage, per $1,000 Principal Amount of Loan Outstanding11 | $3,242 | $3,865 | $3,317 | $3,954 | $4,064 | $4,063 |
Weighted Average Loan (000s) | $49,865 | $48,240 | $57,500 | $57,500 | $57,448 | $57,000 |
Weighted Average Interest Rate on Loan | 6.22 % | 5.81 % | 2.42 % | 0.80 % | 1.48 % | 3.09 % |
29
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2024 (unaudited). |
3 | The actual source of the Fund’s current fiscal year distributions may be from net investment income, realized capital gains, return of capital or a combination thereof. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. |
4 | The repurchase plan was completed at an average repurchase price of $10.38 for 44,671 shares and $462,743 for the year ended December 31, 2020. |
5 | Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
6 | The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
7 | The total return calculation assumes that distributions are reinvested in accordance with the Fund’s dividend reinvestment plan. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
8 | Annualized. |
9 | The investment adviser has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
10 | Reflects fee waivers and/or expense reimbursements. |
11 | Represents value of net assets plus the loan outstanding at the end of the period divided by the loan outstanding at the end of the period. |
30
31
32
ASSETS | ||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Long-Term Investments†: | ||||
Corporate Bonds & Notes: | ||||
Financials | — | $33,254,695 | $76,800 | $33,331,495 |
Health Care | — | 15,097,075 | 0 * | 15,097,075 |
Other Corporate Bonds & Notes | — | 101,711,612 | — | 101,711,612 |
Senior Loans: | ||||
Financials | — | 5,090,607 | 350,862 | 5,441,469 |
Other Senior Loans | — | 11,956,499 | — | 11,956,499 |
Sovereign Bonds | — | 11,485,142 | — | 11,485,142 |
Collateralized Mortgage Obligations | — | 8,040,029 | — | 8,040,029 |
Asset-Backed Securities | — | 2,056,689 | — | 2,056,689 |
Convertible Bonds & Notes | — | 941,486 | — | 941,486 |
U.S. Government & Agency Obligations | — | 432,567 | — | 432,567 |
Common Stocks: | ||||
Health Care | $54,071 | 1,800 | — | 55,871 |
Warrants | — | 5,321 | — | 5,321 |
Total Long-Term Investments | 54,071 | 190,073,522 | 427,662 | 190,555,255 |
Short-Term Investments†: | ||||
U.S. Treasury Bills | — | 5,993,170 | — | 5,993,170 |
Money Market Funds | 540,780 | — | — | 540,780 |
Total Short-Term Investments | 540,780 | 5,993,170 | — | 6,533,950 |
Total Investments | $594,851 | $196,066,692 | $427,662 | $197,089,205 |
Other Financial Instruments: | ||||
Forward Foreign Currency Contracts†† | — | $97,368 | — | $97,368 |
Total | $594,851 | $196,164,060 | $427,662 | $197,186,573 |
LIABILITIES | ||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Other Financial Instruments: | ||||
Forward Foreign Currency Contracts†† | — | $19,068 | — | $19,068 |
33
† | See Schedule of Investments for additional detailed categorizations. |
* | Amount represents less than $1. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
34
35
36
37
38
39
Investments | U.S. Government & Agency Obligations | |
Purchases | $48,208,005 | $3,002,456 |
Sales | 38,348,597 | 4,175,217 |
Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation | |
Securities | $193,319,756 | $7,067,065 | $(3,297,616) | $3,769,449 |
Forward foreign currency contracts | — | 97,368 | (19,068) | 78,300 |
Average Daily Balance* | Weighted Average Interest Rate* | Maximum Amount Outstanding |
$5,331,556 | 5.715% | $9,531,602 |
* Averages based on the number of days that the Fund had reverse repurchase agreements outstanding. |
ASSET DERIVATIVES1 | |
Foreign Exchange Risk | |
Forward foreign currency contracts | $97,368 |
LIABILITY DERIVATIVES1 | |
Foreign Exchange Risk | |
Forward foreign currency contracts | $19,068 |
1 | Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized depreciation. |
40
AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | |
Foreign Exchange Risk | |
Forward foreign currency contracts | $(69,369 ) |
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | |
Foreign Exchange Risk | |
Forward foreign currency contracts | $275,881 |
Average Market Value | |
Forward foreign currency contracts (to buy) | $300,777 |
Forward foreign currency contracts (to sell) | 5,151,508 |
Counterparty | Gross Assets Subject to Master Agreements1 | Gross Liabilities Subject to Master Agreements1 | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received) | Net Amount2 |
Bank of America N.A. | — | $(9,600) | $(9,600) | — | $(9,600) |
Citibank N.A. | $1,306 | (9,468) | (8,162) | — | (8,162) |
JPMorgan Chase & Co. | 94,127 | — | 94,127 | — | 94,127 |
Morgan Stanley & Co. Inc. | 1,935 | — | 1,935 | — | 1,935 |
Total | $97,368 | $(19,068) | $78,300 | — | $78,300 |
1 | Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities. |
2 | Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
41
Record Date | Payable Date | Amount |
6/21/2024 | 7/1/2024 | $0.0700 |
7/24/2024 | 8/1/2024 | $0.0700 |
8/23/2024 | 9/3/2024 | $0.0700 |
42
Affiliate Value at December 31, 2023 | Purchased | Sold | |||
Cost | Shares | Proceeds | Shares | ||
Western Asset Premier Institutional Government Reserves, Premium Shares | $2,196,036 | $39,247,800 | 39,247,800 | $40,903,056 | 40,903,056 |
(cont’d) | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at June 30, 2024 |
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $33,406 | — | $540,780 |
43
44
45
46
47
Nominees | FOR | WITHHELD |
Robert Abeles, Jr. | 8,513,626 | 181,835 |
Jane F. Dasher | 8,040,645 | 654,816 |
Anita L. DeFrantz | 8,040,656 | 654,805 |
Susan B. Kerley | 8,044,156 | 651,305 |
Michael Larson | 8,035,833 | 659,628 |
Ronald L. Olson | 8,557,679 | 137,782 |
Avedick B. Poladian | 8,555,748 | 139,713 |
William E. B. Siart | 8,030,335 | 665,126 |
Jaynie Miller Studenmund | 8,563,811 | 131,650 |
Peter J. Taylor | 8,578,592 | 116,869 |
Jane E. Trust | 8,574,312 | 121,149 |
48
49
50
Chairman
President and Chief Executive Officer
Treasurer and Principal Financial
Officer
Chief Compliance Officer
Secretary and Chief Legal
Officer
Senior Vice President
Senior Vice President
47th Floor
New York, NY 10018
public accounting firm
100 East Pratt Street
Baltimore, MD 21202
1211 Avenue of the Americas
New York, NY 10036
P.O. Box 43006
Providence, RI 02940-3078
Exchange Symbol
Your Privacy and the Security of Your Personal Information is Very Important to Us
620 Eighth Avenue
47th Floor
New York, NY 10018
P.O. Box 43006
Providence, RI 02940-3078
ITEM 2. | CODE OF ETHICS. |
Not applicable.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
Included herein under Item 1
ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | INVESTMENT PROFESSIONALS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
On March 1, 2024, Blanton Keh and Ryan Brist became part of the portfolio management team of the Fund.
NAME AND | LENGTH OF | PRINCIPAL OCCUPATION(S) DURING | ||
ADDRESS | TIME SERVED | PAST 5 YEARS | ||
Blanton Keh
Western Asset 385 East Colorado Blvd. Pasadena, CA 91101 | Since March 1, 2024 | Responsible for the day-to-day management with other members of the Fund’s portfolio management team; employed by Western Asset Management as an investment professional for at least the past five years; prior to joining Western Asset, he served as a Portfolio Manager with Banc of America Capital Management, and, prior to that, as a Market Risk Manager with Bank of America. | ||
Ryan Brist
Western Asset 385 East Colorado Blvd. Pasadena, CA 91101 | Since March 1, 2024 | Responsible for the day-to-day management with other members of the Fund’s portfolio management team; Head of Investment-Grade Credit of Western Asset and has oversight of US credit research as well as of the Municipal Team; employed by Western Asset Management as an investment professional for at least the past five years. |
The following tables set forth certain additional information with respect to the above named fund’s investment professional responsible for the day-to-day management with other members of the Fund’s portfolio management team for the fund. Unless noted otherwise, all information is provided as of June 30, 2024.
Other Accounts Managed by Investment Professional
The table below identifies the number of accounts (other than the fund) for which the below named fund’s investment professional has day-to-day management responsibilities and the total assets in such accounts, within each of the following categories: registered investment companies, other pooled investment vehicles, and other accounts. For each category, the number of accounts and total assets in the accounts where fees are based on performance is also indicated.
Name of PM | Type of Account | Number of Accounts Managed | Total Assets Managed | Number of Accounts Managed for which Advisory Fee is Performance-Based | Assets Managed for which Advisory Fee is Performance-Based |
Blanton Keh ‡ | Other Registered Investment Companies | 8 | $2.34 billion | None | None |
Other Pooled Vehicles | 16 | $9.20 billion | None | None | |
Other Accounts | 130 | $52.37 billion | 5 | $1.33 billion | |
Ryan Brist ‡ | Other Registered Investment Companies | 30 | $15.23 billion | None | None |
Other Pooled Vehicles | 30 | $14.27 billion | None | None | |
Other Accounts | 167 | $72.48 billion | 5 | $1.33 billion |
‡ The numbers above reflect the overall number of portfolios managed by employees of Western Asset Management Company (“Western Asset”). Western Asset’s investment discipline emphasizes a team approach that combines the efforts of groups of specialists working in different market sectors. They are responsible for overseeing implementation of Western Asset’s overall investment ideas and coordinating the work of the various sector teams. This structure ensures that client portfolios benefit from a consensus that draws on the expertise of all team members.
(a)(3): Investment Professional Compensation
Conflicts of Interest
The Subadviser has adopted compliance policies and procedures to address a wide range of potential conflicts of interest that could directly impact client portfolios. For example, potential conflicts of interest may arise in connection with the management of multiple portfolios (including portfolios managed in a personal capacity). These could include potential conflicts of interest related to the knowledge and timing of a portfolio’s trades, investment opportunities and broker selection. Portfolio managers are privy to the size, timing, and possible market impact of a portfolio’s trades.
It is possible that an investment opportunity may be suitable for both a portfolio and other accounts managed by a portfolio manager, but may not be available in sufficient quantities for both the portfolio and the other accounts to participate fully. Similarly, there may be limited opportunity to sell an investment held by a portfolio and another account. A conflict may arise where the portfolio manager may have an incentive to treat an account preferentially as compared to a portfolio because the account pays a performance-based fee or the portfolio manager, the Subadviser or an affiliate has an interest in the account. The Subadviser has adopted procedures for allocation of portfolio transactions and investment opportunities across multiple client accounts on a fair and equitable basis over time. Eligible accounts that can participate in a trade generally share the same price on a pro-rata allocation basis, taking into account differences based on factors such as cash availability, investment restrictions and guidelines, and portfolio composition versus strategy.
With respect to securities transactions, the Subadviser determines which broker or dealer to use to execute each order, consistent with their duty to seek best execution of the transaction. However, with respect to certain other accounts (such as pooled investment vehicles that are not registered investment companies and other accounts managed for organizations and individuals), the Subadviser may be limited by the client with respect to the selection of brokers or dealers or may be instructed to direct trades through a particular broker or dealer. In these cases, trades for a portfolio in a particular security may be placed separately from, rather than aggregated with, such other accounts. Having separate transactions with respect to a security may temporarily affect the market price of the security or the execution of the transaction, or both, to the possible detriment of a portfolio or the other account(s) involved. Additionally, the management of multiple portfolios and/or other accounts may result in a portfolio manager devoting unequal time and attention to the management of each portfolio and/or other account. The Subadviser’s team approach to portfolio management and block trading approach seeks to limit this potential risk.
The Subadviser also maintains a gift and entertainment policy to address the potential for a business contact to give gifts or host entertainment events that may influence the business judgment of an employee.
Employees are permitted to retain gifts of only a nominal value and are required to make reimbursement for entertainment events above a certain value. All gifts (except those of a de minimis value) and entertainment events that are given or sponsored by a business contact are required to be reported in a gift and entertainment log which is reviewed on a regular basis for possible issues.
Employees of the Subadviser have access to transactions and holdings information regarding client accounts and the Subadviser’s overall trading activities. This information represents a potential conflict of interest because employees may take advantage of this information as they trade in their personal accounts. Accordingly, the Subadviser maintains a Code of Ethics that is compliant with Rule 17j-1 under the 1940 Act and Rule 204A-1 under the Advisers Act to address personal trading. In addition, the Code of Ethics seeks to establish broader principles of good conduct and fiduciary responsibility in all aspects of the Subadviser’s business. The Code of Ethics is administered by the Legal and Compliance Department and monitored through the Subadviser’s compliance monitoring program.
The Subadviser may also face other potential conflicts of interest with respect to managing client assets, and the description above is not a complete description of every conflict of interest that could be deemed to exist. The Subadviser also maintains a compliance monitoring program and engages independent auditors to conduct a SOC1/ISAE 3402 audit on an annual basis. These steps help to ensure that potential conflicts of interest have been addressed.
Investment Professional Compensation
With respect to the compensation of the Fund’s investment professionals, the Subadviser’s compensation system assigns each employee a total compensation range, which is derived from annual market surveys that benchmark each role with its job function and peer universe. This method is designed to reward employees with total compensation reflective of the external market value of their skills, experience and ability to produce desired results. Standard compensation includes competitive base salaries, generous employee benefits and a retirement plan.
In addition, the Subadviser’s employees are eligible for bonuses. These are structured to closely align the interests of employees with those of the Subadviser, and are determined by the professional’s job function and pre-tax performance as measured by a formal review process. All bonuses are completely discretionary. The principal factor considered is an investment professional’s investment performance versus appropriate peer groups and benchmarks (e.g., a securities index and with respect to the Fund, the benchmark set forth in the Fund’s Prospectus to which the Fund’s average annual total returns are compared or, if none, the benchmark set forth in the Fund’s annual report). Performance is reviewed on a 1, 3 and 5 year basis for compensation—with 3 and 5 years having a larger emphasis. The Subadviser may also measure an investment professional’s pre-tax investment performance against other benchmarks, as it determines appropriate. Because investment professionals are generally responsible for multiple accounts (including the Fund) with similar investment strategies, they are generally compensated on the performance of the aggregate group of similar accounts, rather than a specific account. Other factors that may be considered when making bonus decisions include client service, business development, length of service to the Subadviser, management or supervisory responsibilities, contributions to developing business strategy and overall contributions to the Subadviser’s business.
Finally, in order to attract and retain top talent, all investment professionals are eligible for additional incentives in recognition of outstanding performance. These are determined based upon the factors described above and include long-term incentives that vest over a set period of time past the award date.
Investment Professional Securities Ownership
The table below identifies the dollar range of securities beneficially owned by the named investment professional as of June 30, 2024.
Investment Professional | Dollar Range of | |
Blanton Keh | A | |
Ryan Brist | A |
Dollar Range ownership is as follows:
A: none
B: $1 - $10,000
C: 10,001 - $50,000
D: $50,001 - $100,000
E: $100,001 - $500,000
F: $500,001 - $1 million
G: over $1 million
ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 16. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable
ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 19. | EXHIBITS. |
(a) (1) Not applicable. | |
Exhibit 99.CODE ETH | |
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.CERT | |
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.906CERT |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Western Asset Premier Bond Fund
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | August 26, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | August 26, 2024 |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | August 26, 2024 |