| | For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease. | |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. | |
| (2) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. | |
| (3) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value $612,303,596 have been pledged as collateral for reverse repurchase agreements. | |
| (4) | Perpetual security. Maturity date is not applicable. | |
| (5) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. | |
| (6) | Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $750,435,416. | |
| (7) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. | |
| (8) | Contingent Capital Securities (“CoCos”) are hybrid securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. For example, the terms may specify an automatic write-down of principal or a mandatory conversion into the issuer’s common stock under certain adverse circumstances, such as the issuer’s capital ratio falling below a specified level. | |
| (9) | For fair value measurement disclosure purposes, investment classified as Level 2. | |
| (10) | Non-income producing; issuer has not declared an ex-dividend date within the past twelve months. | |
| (11) | Borrowings as a percentage of Total Investments is 27.2%. | |
| (12) | The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $1,778,484,426 have been pledged as collateral for borrowings. | |
| (13) | Reverse Repurchase Agreements, including accrued interest as a percentage of Total Investments is 8.7%. | |
| (14) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable. | |
| (15) | Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| LIBOR | London Inter-Bank Offered Rate | |
| N/A | Not Applicable. | |
| Reg S | Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States. | |
