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: 811-21323
Eaton Vance Limited Duration Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
March 31
Date of Fiscal Year End
September 30, 2022
Date of Reporting Period
Item 1. Reports to Stockholders
Fund (EVV)
% Average Annual Total Returns1,2 | Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 05/30/2003 | (11.68)% | (15.22)% | 0.89% | 3.58% |
Fund at Market Price | — | (16.64) | (22.38) | 0.28 | 2.31 |
Bloomberg U.S. Aggregate Bond Index | — | (9.22)% | (14.60)% | (0.27)% | 0.89% |
Blended Index | — | (7.79) | (10.10) | 1.13 | 2.55 |
% Premium/Discount to NAV3 | |
(10.23)% |
Distributions 4 | |
Total Distributions per share for the period | $0.600 |
Distribution Rate at NAV | 11.70% |
Distribution Rate at Market Price | 13.03 |
% Total Leverage5 | |
Auction Preferred Shares (APS) | 11.70% |
Borrowings | 23.72 |
Asset Allocation (% of total investments)1 |
1 | Including the Fund’s use of leverage, Asset Allocation as a percentage of the Fund's net assets amounted to 167.4%. |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. Morningstar® LSTA® US Leveraged Loan IndexSM is an unmanaged index of the institutional leveraged loan market. Morningstar® LSTA® Leveraged Loan indices are a product of Morningstar, Inc. (“Morningstar”) and have been licensed for use. Morningstar® is a registered trademark of Morningstar licensed for certain use. Loan Syndications and Trading Association® and LSTA® are trademarks of the LSTA licensed for certain use by Morningstar, and further sublicensed by Morningstar for certain use. Neither Morningstar nor LSTA guarantees the accuracy and/or completeness of the Morningstar® LSTA® US Leveraged Loan IndexSM or any data included therein, and shall have no liability for any errors, omissions, or interruptions therein. Prior to August 29, 2022, the index name was S&P/LSTA Leveraged Loan Index. ICE BofA B U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds with a credit quality rating of B. ICE BofA U.S. Mortgage-Backed Securities Index is an unmanaged index of fixed rate residential mortgage pass-through securities issued by U.S. agencies. ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of America Corporation in the United States and other countries. The Blended Index consists of 33.33% Morningstar® LSTA® US Leveraged Loan IndexSM, 33.33% ICE BofA B U.S. High Yield Index and 33.34% ICE BofA U.S. Mortgage-Backed Securities Index, rebalanced monthly. Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. |
2 | Performance results reflect the effects of leverage. Included in the average annual total return at NAV for the five- and ten-year periods is the impact of the 2018 tender and repurchase of a portion of the Fund’s Auction Preferred Shares (APS) at 92% of the Fund’s APS per share liquidation preference. Had this transaction not occurred, the total return at NAV would be lower for the Fund. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waives and/or reimbursements, performance would have been lower. Pursuant to the Fund’s Dividend Reinvestment Plan, if the NAV per share on the distribution payment date is equal to or less than the market price per share plus estimated brokerage commissions, then new shares are issued. The number of shares shall be determined by the greater of the NAV per share or 95% of the market price. Otherwise, shares generally are purchased on the open market by the Plan’s agent. |
3 | The shares of the Fund often trade at a discount or premium to their net asset value. The discount or premium may vary over time and may be higher or lower than what is quoted in this report. For up-to-date premium/discount information, please refer to https://funds.eatonvance.com/closed-end-fund-prices.php. |
4 | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions in any period may be more or less than the net return earned by the Fund on its investments, and therefore should not be used as a measure of performance or confused with “yield” or “income.” Distributions in excess of Fund returns may include a return of capital which, over time, will cause the Fund’s net assets and net asset value per share to erode. When the Fund’s distributions include amounts from sources other than net investment income, shareholders are notified. The final determination of the tax characteristics of Fund distributions will occur after the end of the year, at which time that determination will be reported to shareholders. |
5 | Leverage represents the liquidation value of the Fund’s APS and borrowings outstanding as a percentage of Fund net assets applicable to common shares plus APS and borrowings outstanding. Use of leverage creates an opportunity for income, but creates risks including greater price volatility. The cost of leverage rises and falls with changes in short-term interest rates. The Fund may be required to maintain prescribed asset coverage for its leverage and may be required to reduce its leverage at an inopportune time. |
Fund profile subject to change due to active management. |
Asset-Backed Securities — 7.7% |
Security | Principal Amount (000's omitted) | Value | |
AIG CLO, Ltd., Series 2019-1A, Class ER, 9.181%, (3 mo. SOFR + 6.70%), 4/18/35(1)(2) | $ | 2,877 | $ 2,245,136 |
Alinea CLO, Ltd., Series 2018-1A, Class E, 8.71%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 1,000 | 794,243 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 9.422%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 500 | 393,328 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 9.092%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 2,000 | 1,489,060 | |
Ares XXXIV CLO, Ltd., Series 2015-2A, Class ER, 9.59%, (3 mo. USD LIBOR + 6.85%), 4/17/33(1)(2) | 2,000 | 1,708,538 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 8.212%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 2,000 | 1,626,782 | |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 9.44%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 3,000 | 2,530,665 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 8.862%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 3,000 | 2,480,994 | |
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class ER, 9.262%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 4,500 | 3,841,695 | |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 9.407%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 2,000 | 1,647,404 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 9.55%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) | 1,000 | 849,048 | |
BlueMountain CLO XXV, Ltd., Series 2019-25A, Class ER, 9.762%, (3 mo. USD LIBOR + 7.25%), 7/15/36(1)(2) | 2,000 | 1,647,168 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 9.84%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 2,500 | 2,173,840 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 9.028%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,587,664 | |
BlueMountain CLO XXXIV, Ltd., Series 2022-34A, Class E, 8.513%, (3 mo. SOFR + 7.55%), 4/20/35(1)(2) | 1,000 | 918,838 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class ER, 8.855%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 2,000 | 1,554,466 | |
Series 2018-1A, Class E, 8.732%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 1,000 | 767,232 | |
Canyon Capital CLO, Ltd.: | |||
Series 2016-2A, Class ER, 8.512%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | 3,350 | 2,601,978 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: (continued) | |||
Series 2019-2A, Class ER, 9.262%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | $ | 1,000 | $ 843,951 |
Carlyle CLO 17, Ltd., Series C17A, Class DR, 8.782%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 1,750 | �� 1,385,423 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class DR2, 8.983%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 2,000 | 1,610,958 | |
Series 2014-4RA, Class D, 8.162%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 1,250 | 960,010 | |
Series 2015-5A, Class DR, 9.41%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) | 1,000 | 799,001 | |
Cedar Funding X CLO, Ltd., Series 2019-10A, Class ER, 9.21%, (3 mo. USD LIBOR + 6.50%), 10/20/32(1)(2) | 1,500 | 1,267,572 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class ER, 7.812%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) | 2,000 | 1,597,390 | |
Series 2016-42A, Class ER, 8.062%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 1,000 | 818,033 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 7.789%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,000 | 838,794 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 9.244%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,758,180 | |
Galaxy XIX CLO, Ltd., Series 2015-19A, Class D2R, 9.783%, (3 mo. USD LIBOR + 7.00%), 7/24/30(1)(2) | 1,600 | 1,307,610 | |
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 9.157%, (3 mo. USD LIBOR + 6.645%), 10/15/30(1)(2) | 3,275 | 2,665,719 | |
Galaxy XXI CLO, Ltd., Series 2015-21A, Class ER, 7.96%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2) | 1,100 | 866,425 | |
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 8.733%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 1,000 | 805,251 | |
Golub Capital Partners CLO 37B, Ltd., Series 2018-37A, Class E, 8.46%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 3,000 | 2,704,863 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 9.577%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,618,884 | |
Madison Park Funding XVII, Ltd., Series 2015-17A, Class ER, 9.232%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2) | 2,000 | 1,731,486 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 9.378%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 3,000 | 2,596,338 | |
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class ER, 8.662%, (3 mo. USD LIBOR + 6.15%), 7/15/33(1)(2) | 3,500 | 3,005,047 |
Security | Principal Amount (000's omitted) | Value | |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 8.80%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | $ | 1,500 | $ 1,268,438 |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 8.91%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) | 2,000 | 1,725,222 | |
Neuberger Berman Loan Advisers CLO 31, Ltd., Series 2019-31A, Class ER, 9.21%, (3 mo. USD LIBOR + 6.50%), 4/20/31(1)(2) | 1,000 | 872,799 | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 9.041%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 2,000 | 1,658,048 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 4,032 | 3,552,152 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 8.59%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 2,000 | 1,702,928 | |
Series 2018-2A, Class D, 8.34%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 1,000 | 849,315 | |
Series 2019-1A, Class DR, 9.405%, (3 mo. USD LIBOR + 6.50%), 11/14/34(1)(2) | 2,000 | 1,759,800 | |
Series 2021-3A, Class E, 8.662%, (3 mo. USD LIBOR + 6.15%), 1/15/35(1)(2) | 2,500 | 2,174,087 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 9.483%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 4,550 | 3,886,091 | |
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 8.74%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2) | 450 | 362,372 | |
Regatta XII Funding, Ltd., Series 2019-1A, Class ER, 8.862%, (3 mo. USD LIBOR + 6.35%), 10/15/32(1)(2) | 2,000 | 1,554,322 | |
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 8.462%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 2,000 | 1,428,442 | |
Regatta XIV Funding, Ltd., Series 2018-3A, Class E, 8.733%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 1,000 | 786,265 | |
Regatta XVI Funding, Ltd., Series 2019-2A, Class E, 9.512%, (3 mo. USD LIBOR + 7.00%), 1/15/33(1)(2) | 1,800 | 1,442,693 | |
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 8.96%, (3 mo. USD LIBOR + 6.25%), 7/20/31(1)(2) | 1,000 | 708,764 | |
Vibrant CLO XI, Ltd., Series 2019-11A, Class D, 9.48%, (3 mo. USD LIBOR + 6.77%), 7/20/32(1)(2) | 575 | 434,656 | |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class DR, 8.91%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2) | 3,000 | 2,349,981 | |
Series 2016-3A, Class DR, 8.82%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) | 1,400 | 1,034,412 |
Security | Principal Amount (000's omitted) | Value | |
Wellfleet CLO, Ltd., Series 2020-1A, Class D, 9.752%, (3 mo. USD LIBOR + 7.24%), 4/15/33(1)(2) | $ | 2,000 | $ 1,745,608 |
Total Asset-Backed Securities (identified cost $109,337,161) | $ 91,335,409 |
Closed-End Funds — 1.6% |
Security | Shares | Value | |
BlackRock Corporate High Yield Fund, Inc. | 2,188,579 | $ 18,712,350 | |
Total Closed-End Funds (identified cost $26,062,179) | $ 18,712,350 |
Collateralized Mortgage Obligations — 7.2% |
Security | Principal Amount (000's omitted) | Value | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(3) | $ | 2,976 | $ 2,603,229 |
Federal Home Loan Mortgage Corp.: | |||
Series 24, Class J, 6.25%, 11/25/23 | 22 | 21,776 | |
Series 1497, Class K, 7.00%, 4/15/23 | 11 | 11,358 | |
Series 1529, Class Z, 7.00%, 6/15/23 | 26 | 25,798 | |
Series 1620, Class Z, 6.00%, 11/15/23 | 16 | 16,057 | |
Series 1677, Class Z, 7.50%, 7/15/23 | 13 | 12,857 | |
Series 1702, Class PZ, 6.50%, 3/15/24 | 269 | 270,047 | |
Series 2113, Class QG, 6.00%, 1/15/29 | 180 | 181,544 | |
Series 2122, Class K, 6.00%, 2/15/29 | 36 | 36,167 | |
Series 2130, Class K, 6.00%, 3/15/29 | 24 | 24,707 | |
Series 2167, Class BZ, 7.00%, 6/15/29 | 29 | 29,909 | |
Series 2182, Class ZB, 8.00%, 9/15/29 | 284 | 294,956 | |
Series 2198, Class ZA, 8.50%, 11/15/29 | 299 | 310,241 | |
Series 2458, Class ZB, 7.00%, 6/15/32 | 396 | 409,235 | |
Series 3762, Class SH, 4.872%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(4) | 394 | 357,562 | |
Series 4273, Class PU, 4.00%, 11/15/43 | 2,263 | 1,989,691 | |
Series 4273, Class SP, 5.163%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(4) | 503 | 423,140 | |
Series 4678, Class PC, 3.00%, 1/15/46 | 3,008 | 2,866,167 | |
Series 5028, Class TZ, 2.00%, 10/25/50 | 2,592 | 1,707,484 | |
Series 5035, Class AZ, 2.00%, 11/25/50 | 7,944 | 5,030,123 | |
Series 5083, Class SK, 0.822%, (3.867% - 30-day average SOFR x 1.33), 3/25/51(4) | 2,080 | 1,373,047 | |
Series 5160, Class ZY, 3.00%, 10/25/50 | 2,440 | 1,897,673 | |
Interest Only:(5) | |||
Series 284, Class S6, 3.282%, (6.10% - 1 mo. USD LIBOR), 10/15/42(4) | 1,187 | 127,689 | |
Series 362, Class C7, 3.50%, 9/15/47 | 4,769 | 856,564 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 362, Class C11, 4.00%, 12/15/47 | $ | 4,541 | $ 917,232 |
Series 4067, Class JI, 3.50%, 6/15/27 | 855 | 47,316 | |
Series 4070, Class S, 3.282%, (6.10% - 1 mo. USD LIBOR), 6/15/32(4) | 2,758 | 216,453 | |
Series 4088, Class EI, 3.50%, 9/15/41 | 230 | 2,761 | |
Series 4094, Class CS, 3.182%, (6.00% - 1 mo. USD LIBOR), 8/15/42(4) | 754 | 113,814 | |
Series 4095, Class HS, 3.282%, (6.10% - 1 mo. USD LIBOR), 7/15/32(4) | 596 | 31,889 | |
Series 4109, Class ES, 3.332%, (6.15% - 1 mo. USD LIBOR), 12/15/41(4) | 81 | 9,217 | |
Series 4110, Class SA, 2.832%, (5.65% - 1 mo. USD LIBOR), 9/15/42(4) | 2,324 | 190,343 | |
Series 4149, Class S, 3.432%, (6.25% - 1 mo. USD LIBOR), 1/15/33(4) | 1,504 | 124,340 | |
Series 4188, Class AI, 3.50%, 4/15/28 | 701 | 33,217 | |
Series 4203, Class QS, 3.432%, (6.25% - 1 mo. USD LIBOR), 5/15/43(4) | 2,554 | 189,611 | |
Series 4408, Class IP, 3.50%, 4/15/44 | 1,629 | 219,740 | |
Series 4435, Class BI, 3.50%, 7/15/44 | 3,392 | 548,865 | |
Series 4629, Class QI, 3.50%, 11/15/46 | 1,313 | 268,292 | |
Series 4644, Class TI, 3.50%, 1/15/45 | 1,498 | 222,201 | |
Series 4667, Class PI, 3.50%, 5/15/42 | 336 | 3,976 | |
Series 4744, Class IO, 4.00%, 11/15/47 | 2,336 | 442,675 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 1,036 | 196,660 | |
Series 4793, Class SD, 3.382%, (6.20% - 1 mo. USD LIBOR), 6/15/48(4) | 4,786 | 537,653 | |
Series 4966, Class SY, 2.966%, (6.05% - 1 mo. USD LIBOR), 4/25/50(4) | 12,322 | 1,469,366 | |
Principal Only:(6) | |||
Series 242, Class PO, 0.00%, 11/15/36 | 2,063 | 1,640,909 | |
Series 259, Class PO, 0.00%, 4/15/39 | 1,283 | 1,014,159 | |
Series 3606, Class PO, 0.00%, 12/15/39 | 1,385 | 1,065,056 | |
Series 4417, Class KO, 0.00%, 12/15/43 | 184 | 115,186 | |
Series 4478, Class PO, 0.00%, 5/15/45 | 622 | 461,568 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2020-DNA4, Class M2, 6.834%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) | 102 | 102,604 | |
Federal National Mortgage Association: | |||
Series G93-35, Class ZQ, 6.50%, 11/25/23 | 243 | 246,581 | |
Series G93-40, Class H, 6.40%, 12/25/23 | 55 | 55,765 | |
Series 1993-16, Class Z, 7.50%, 2/25/23 | 3 | 3,467 | |
Series 1993-22, Class PM, 7.40%, 2/25/23 | 3 | 3,178 | |
Series 1993-25, Class J, 7.50%, 3/25/23 | 7 | 7,279 | |
Series 1993-30, Class PZ, 7.50%, 3/25/23 | 10 | 10,410 | |
Series 1993-42, Class ZQ, 6.75%, 4/25/23 | 20 | 20,628 | |
Series 1993-56, Class PZ, 7.00%, 5/25/23 | 4 | 4,340 | |
Series 1993-156, Class ZB, 7.00%, 9/25/23 | 6 | 6,370 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 1994-45, Class Z, 6.50%, 2/25/24 | $ | 56 | $ 56,671 |
Series 1994-89, Class ZQ, 8.00%, 7/25/24 | 90 | 93,055 | |
Series 1996-57, Class Z, 7.00%, 12/25/26 | 128 | 129,780 | |
Series 1997-77, Class Z, 7.00%, 11/18/27 | 73 | 75,399 | |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | 87 | 88,788 | |
Series 1999-45, Class ZG, 6.50%, 9/25/29 | 25 | 25,310 | |
Series 2000-22, Class PN, 6.00%, 7/25/30 | 325 | 326,658 | |
Series 2002-1, Class G, 7.00%, 7/25/23 | 7 | 7,484 | |
Series 2002-21, Class PE, 6.50%, 4/25/32 | 231 | 240,259 | |
Series 2005-75, Class CS, 11.864%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(4) | 613 | 715,765 | |
Series 2007-74, Class AC, 5.00%, 8/25/37 | 2,471 | 2,471,079 | |
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(4) | 240 | 230,684 | |
Series 2011-109, Class PE, 3.00%, 8/25/41 | 178 | 177,612 | |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | 1,379 | 1,096,367 | |
Series 2013-6, Class TA, 1.50%, 1/25/43 | 1,358 | 1,239,137 | |
Series 2013-67, Class NF, 4.084%, (1 mo. USD LIBOR + 1.00%), 7/25/43(2) | 947 | 909,013 | |
Series 2014-64, Class PA, 3.00%, 3/25/44 | 70 | 69,933 | |
Series 2017-15, Class LE, 3.00%, 6/25/46 | 709 | 708,353 | |
Series 2017-48, Class LG, 2.75%, 5/25/47 | 1,537 | 1,371,306 | |
Interest Only:(5) | |||
Series 2011-101, Class IC, 3.50%, 10/25/26 | 2,128 | 87,343 | |
Series 2011-101, Class IE, 3.50%, 10/25/26 | 695 | 28,209 | |
Series 2012-33, Class CI, 3.50%, 3/25/27 | 1,248 | 42,015 | |
Series 2012-118, Class IN, 3.50%, 11/25/42 | 3,214 | 669,898 | |
Series 2012-124, Class IO, 0.689%, 11/25/42(7) | 1,599 | 63,770 | |
Series 2012-125, Class IG, 3.50%, 11/25/42 | 10,151 | 2,295,106 | |
Series 2012-150, Class SK, 3.066%, (6.15% - 1 mo. USD LIBOR), 1/25/43(4) | 1,991 | 302,114 | |
Series 2013-12, Class SP, 2.566%, (5.65% - 1 mo. USD LIBOR), 11/25/41(4) | 408 | 10,998 | |
Series 2013-15, Class DS, 3.116%, (6.20% - 1 mo. USD LIBOR), 3/25/33(4) | 4,691 | 323,928 | |
Series 2013-16, Class SY, 3.066%, (6.15% - 1 mo. USD LIBOR), 3/25/43(4) | 977 | 153,618 | |
Series 2013-54, Class HS, 3.216%, (6.30% - 1 mo. USD LIBOR), 10/25/41(4) | 210 | 1,994 | |
Series 2013-64, Class PS, 3.166%, (6.25% - 1 mo. USD LIBOR), 4/25/43(4) | 1,417 | 108,971 | |
Series 2013-75, Class SC, 3.166%, (6.25% - 1 mo. USD LIBOR), 7/25/42(4) | 2,037 | 67,748 | |
Series 2014-32, Class EI, 4.00%, 6/25/44 | 383 | 68,685 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 897 | 181,491 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 1,067 | 241,902 | |
Series 2015-52, Class MI, 3.50%, 7/25/45 | 994 | 206,176 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,254 | 801,390 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only: (continued) | |||
Series 2019-1, Class AS, 2.916%, (6.00% - 1 mo. USD LIBOR), 2/25/49(4) | $ | 6,915 | $ 498,712 |
Series 2019-33, Class SK, 2.966%, (6.05% - 1 mo. USD LIBOR), 7/25/49(4) | 4,846 | 427,051 | |
Series 2020-23, Class SP, 2.966%, (6.05% - 1 mo. USD LIBOR), 2/25/50(4) | 3,893 | 465,245 | |
Principal Only:(6) | |||
Series 379, Class 1, 0.00%, 5/25/37 | 1,281 | 999,904 | |
Series 2006-8, Class WQ, 0.00%, 3/25/36 | 2,196 | 1,776,609 | |
Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R04, Class 2B1, 8.334%, (1 mo. USD LIBOR + 5.25%), 6/25/39(1)(2) | 4,430 | 4,545,827 | |
Government National Mortgage Association: | |||
Series 2017-121, Class DF, 3.514%, (1 mo. USD LIBOR + 0.50%), 8/20/47(2) | 3,584 | 3,501,653 | |
Series 2017-137, Class AF, 3.514%, (1 mo. USD LIBOR + 0.50%), 9/20/47(2) | 1,882 | 1,838,042 | |
Series 2018-6, Class JZ, 4.00%, 1/20/48 | 5,001 | 4,877,061 | |
Series 2021-160, Class NZ, 3.00%, 9/20/51 | 1,470 | 1,198,825 | |
Series 2021-165, Class MZ, 2.50%, 9/20/51 | 8,982 | 6,562,417 | |
Interest Only:(5) | |||
Series 2017-104, Class SD, 3.186%, (6.20% - 1 mo. USD LIBOR), 7/20/47(4) | 2,753 | 295,206 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 12,537 | 1,626,138 | |
Series 2020-154, Class PI, 2.50%, 10/20/50 | 11,513 | 1,595,601 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 13,423 | 1,875,599 | |
Series 2021-131, Class QI, 3.00%, 7/20/51 | 11,684 | 1,410,202 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 24,150 | 3,123,039 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 15,936 | 1,989,701 | |
Total Collateralized Mortgage Obligations (identified cost $127,433,031) | $ 85,714,983 |
Commercial Mortgage-Backed Securities — 7.1% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(7) | $ | 910 | $ 694,598 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(7) | 3,505 | 2,606,871 | |
BBCMS Mortgage Trust, Series 2017-C1, Class D, 3.661%, 2/15/50(1)(7) | 2,200 | 1,682,838 |
Security | Principal Amount (000's omitted) | Value | |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class C, 3.918%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(2) | $ | 2,000 | $ 1,856,714 |
BX Trust, Series 2018-EXCL, Class C, 4.793%, (1 mo. USD LIBOR + 1.975%), 9/15/37(1)(2) | 2,800 | 2,704,368 | |
CFCRE Commercial Mortgage Trust: | |||
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(7) | 3,500 | 2,653,929 | |
Series 2016-C7, Class D, 4.533%, 12/10/54(1)(7) | 1,675 | 1,281,316 | |
CGMS Commercial Mortgage Trust, Series 2015-P1, Class D, 3.225%, 9/15/48(1) | 1,100 | 916,390 | |
COMM Mortgage Trust: | |||
Series 2013-CR11, Class D, 5.118%, 8/10/50(1)(7) | 7,400 | 7,183,179 | |
Series 2014-CR21, Class C, 4.566%, 12/10/47(7) | 2,000 | 1,817,008 | |
Series 2015-CR22, Class D, 4.071%, 3/10/48(1)(7) | 4,100 | 3,603,224 | |
CSMC Trust: | |||
Series 2016-NXSR, Class C, 4.597%, 12/15/49(7) | 2,770 | 2,150,337 | |
Series 2016-NXSR, Class D, 4.597%, 12/15/49(1)(7) | 3,000 | 2,020,298 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 6.334%, (1 mo. USD LIBOR + 3.25%), 10/25/49(1)(2) | 1,580 | 1,503,040 | |
Series 2020-01, Class M10, 6.834%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 2,000 | 1,876,326 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.699%, 9/15/47(1)(7) | 5,276 | 3,913,557 | |
Series 2014-C23, Class D, 4.132%, 9/15/47(1)(7) | 3,488 | 3,065,253 | |
Series 2014-C25, Class D, 4.084%, 11/15/47(1)(7) | 4,400 | 2,985,155 | |
Series 2015-C29, Class D, 3.823%, 5/15/48(7) | 2,000 | 1,472,621 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2013-C13, Class D, 4.212%, 1/15/46(1)(7) | 3,000 | 2,891,990 | |
Series 2013-C16, Class D, 5.17%, 12/15/46(1)(7) | 3,500 | 3,324,429 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 2,600 | 545,863 | |
Series 2021-MHC, Class C, 4.118%, (1 mo. USD LIBOR + 1.30%), 4/15/38(1)(2) | 1,900 | 1,808,934 | |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class C, 4.169%, (1 mo. USD LIBOR + 1.35%), 4/15/38(1)(2) | 2,100 | 1,983,935 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | |||
Series 2015-C23, Class D, 4.281%, 7/15/50(1)(7)(8) | 2,000 | 1,730,562 | |
Series 2016-C29, Class D, 3.00%, 5/15/49(1)(8) | 3,577 | 2,754,896 | |
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(7)(8) | 1,600 | 1,185,641 | |
Morgan Stanley Capital I Trust: | |||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(8) | 4,489 | 2,425,003 | |
Series 2017-CLS, Class F, 5.418%, (1 mo. USD LIBOR + 2.60%), 11/15/34(1)(2)(8) | 569 | 558,223 | |
Series 2019-BPR, Class C, 6.118%, (1 mo. USD LIBOR + 3.30%), 5/15/36(1)(2)(8) | 1,845 | 1,753,668 |
Security | Principal Amount (000's omitted) | Value | |
UBS Commercial Mortgage Trust, Series 2012-C1, Class D, 6.445%, 5/10/45(1)(7) | $ | 420 | $ 383,971 |
UBS-Barclays Commercial Mortgage Trust: | |||
Series 2012-C4, Class D, 4.387%, 12/10/45(1)(7) | 1,870 | 1,757,213 | |
Series 2013-C6, Class D, 4.316%, 4/10/46(1)(7) | 4,437 | 3,720,425 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 7.493%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2) | 6,000 | 5,772,111 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2013-LC12, Class D, 4.432%, 7/15/46(1)(7) | 3,000 | 1,057,500 | |
Series 2015-C31, Class D, 3.852%, 11/15/48 | 2,475 | 2,043,733 | |
Series 2015-LC22, Class C, 4.708%, 9/15/58(7) | 1,250 | 1,162,350 | |
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 1,850 | 1,397,233 | |
Series 2016-C36, Class D, 2.942%, 11/15/59(1) | 1,500 | 932,708 | |
Total Commercial Mortgage-Backed Securities (identified cost $94,838,666) | $ 85,177,410 |
Common Stocks — 0.5% |
Security | Shares | Value | |
Aerospace and Defense — 0.0%(9) | |||
IAP Global Services, LLC(10)(11)(12) | 31 | $ 129,599 | |
$ 129,599 | |||
Containers and Glass Products — 0.2% | |||
LG Newco Holdco, Inc.(11)(12) | 166,175 | $ 2,298,749 | |
$ 2,298,749 | |||
Electronics/Electrical — 0.0%(9) | |||
Riverbed Technology, Inc.(11)(12) | 21,990 | $ 11,050 | |
Skillsoft Corp.(11)(12) | 143,062 | 261,803 | |
$ 272,853 | |||
Health Care — 0.0%(9) | |||
Akorn Holding Company, LLC, Class A(11)(12) | 42,374 | $ 264,838 | |
$ 264,838 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., Class A(11)(12) | 3,818 | $ 392,299 | |
$ 392,299 | |||
Oil and Gas — 0.1% | |||
AFG Holdings, Inc.(10)(11)(12) | 29,751 | $ 76,163 | |
McDermott International, Ltd.(11)(12) | 93,940 | 45,796 |
Security | Shares | Value | |
Oil and Gas (continued) | |||
Nine Point Energy Holdings, Inc.(10)(11)(13) | 29,787 | $ 0 | |
QuarterNorth Energy, Inc.(11)(12) | 10,461 | 1,281,472 | |
$ 1,403,431 | |||
Radio and Television — 0.1% | |||
Clear Channel Outdoor Holdings, Inc.(11)(12) | 74,443 | $ 101,987 | |
Cumulus Media, Inc., Class A(11)(12) | 50,522 | 355,169 | |
iHeartMedia, Inc., Class A(11)(12) | 31,657 | 232,046 | |
$ 689,202 | |||
Retailers (Except Food and Drug) — 0.0%(9) | |||
David’s Bridal, LLC(10)(11)(12) | 40,851 | $ 0 | |
Phillips Pet Holding Corp.(10)(11)(12) | 582 | 187,767 | |
$ 187,767 | |||
Telecommunications — 0.0%(9) | |||
GEE Acquisition Holdings Corp.(10)(11)(12) | 37,259 | $ 350,980 | |
$ 350,980 | |||
Utilities — 0.0%(9) | |||
Longview Intermediate Holdings, LLC, Class A(11)(12) | 10,730 | $ 160,950 | |
$ 160,950 | |||
Total Common Stocks (identified cost $8,997,499) | $ 6,150,668 |
Convertible Bonds — 0.0%(9) |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.0%(9) | |||
1Life Healthcare, Inc., 3.00%, 6/15/25 | $ | 619 | $ 601,978 |
Total Convertible Bonds (identified cost $556,646) | $ 601,978 |
Convertible Preferred Stocks — 0.3% |
Security | Shares | Value | |
Containers and Glass Products — 0.3% | |||
LG Newco Holdco, Inc., Series A, 13.00%(11)(12) | 25,199 | $ 3,105,836 | |
$ 3,105,836 |
Security | Shares | Value | |
Electronics/Electrical — 0.0%(9) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(11)(12) | 7,179 | $ 7,179 | |
$ 7,179 | |||
Oil and Gas — 0.0% | |||
Nine Point Energy Holdings, Inc., Series A, 12.00%, (PIK)(10)(11)(13) | 555 | $ 0 | |
$ 0 | |||
Total Convertible Preferred Stocks (identified cost $2,093,357) | $ 3,113,015 |
Corporate Bonds — 52.7% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.0% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 736 | $ 676,079 | |
7.875%, 4/15/27(1) | 795 | 733,173 | |
Moog, Inc., 4.25%, 12/15/27(1) | 955 | 847,052 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 2,954 | 2,572,520 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 725 | 688,230 | |
TransDigm, Inc.: | |||
5.50%, 11/15/27 | 2,552 | 2,225,255 | |
6.25%, 3/15/26(1) | 2,408 | 2,339,829 | |
7.50%, 3/15/27 | 1,862 | 1,774,858 | |
$ 11,856,996 | |||
Agriculture — 0.1% | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 892 | $ 850,941 | |
$ 850,941 | |||
Air Transport — 0.9% | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 3,023 | $ 2,844,144 | |
5.75%, 4/20/29(1) | 1,952 | 1,706,585 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 1,016 | 947,647 | |
Deutsche Lufthansa AG: | |||
2.875%, 2/11/25(14) | EUR | 200 | 176,409 |
3.00%, 5/29/26(14) | EUR | 100 | 82,793 |
3.50%, 7/14/29(14) | EUR | 100 | 72,292 |
Gatwick Airport Finance PLC, 4.375%, 4/7/26(14) | GBP | 300 | 276,738 |
Security | Principal Amount* (000's omitted) | Value | |
Air Transport (continued) | |||
Heathrow Finance PLC, 4.75% to 12/1/23, 3/1/24(3)(14) | GBP | 225 | $ 235,209 |
Mileage Plus Holdings, LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27(1) | 2,297 | 2,252,628 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 835 | 746,690 | |
4.625%, 4/15/29(1) | 1,276 | 1,059,042 | |
$ 10,400,177 | |||
Airlines — 0.2% | |||
Air Canada: | |||
3.875%, 8/15/26(1) | 2,639 | $ 2,269,540 | |
4.625%, 8/15/29(1) | CAD | 717 | 438,925 |
$ 2,708,465 | |||
Automotive — 1.9% | |||
Adient Global Holdings, Ltd., 3.50%, 8/15/24(14) | EUR | 125 | $ 113,419 |
Adler Pelzer Holding GmbH, 4.125%, 4/1/24(14) | EUR | 100 | 76,348 |
Allison Transmission, Inc., 3.75%, 1/30/31(1) | 426 | 327,398 | |
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 512 | 410,570 | |
4.75%, 3/1/30 | 1,134 | 887,454 | |
5.00%, 2/15/32(1) | 217 | 167,472 | |
Clarios Global, L.P., 4.375%, 5/15/26(14) | EUR | 500 | 434,557 |
Clarios Global, L.P./Clarios U.S. Finance Co.: | |||
6.25%, 5/15/26(1) | 1,504 | 1,438,335 | |
6.75%, 5/15/25(1) | 432 | 423,485 | |
8.50%, 5/15/27(1) | 2,484 | 2,376,691 | |
Dana Financing Luxembourg S.a.r.l., 3.00%, 7/15/29(14) | EUR | 100 | 71,094 |
Faurecia S.E.: | |||
2.75%, 2/15/27(14) | EUR | 400 | 302,704 |
3.75%, 6/15/28(14) | EUR | 260 | 193,817 |
Ford Motor Co.: | |||
3.25%, 2/12/32 | 2,825 | 2,039,805 | |
4.75%, 1/15/43 | 1,274 | 847,267 | |
7.45%, 7/16/31 | 457 | 449,607 | |
9.625%, 4/22/30 | 201 | 223,744 | |
General Motors Co.: | |||
5.00%, 4/1/35 | 495 | 406,943 | |
5.60%, 10/15/32 | 1,125 | 1,005,666 | |
GKN Holdings, Ltd., 4.625%, 5/12/32(14) | GBP | 120 | 96,920 |
Goodyear Tire & Rubber Co. (The): | |||
5.00%, 7/15/29 | 2,056 | 1,682,065 | |
5.25%, 7/15/31 | 1,657 | 1,327,630 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive (continued) | |||
IHO Verwaltungs GmbH, 6.375%, (6.375% cash or 7.125% PIK), 5/15/29(1)(15) | 200 | $ 172,453 | |
Jaguar Land Rover Automotive PLC, 2.20%, 1/15/24(14) | EUR | 200 | 175,125 |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 651 | 523,512 | |
4.375%, 1/15/31(1) | 1,696 | 1,391,017 | |
4.625%, 12/15/27(1) | 514 | 447,233 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 1,087 | 786,390 | |
Renault S.A.: | |||
1.25%, 6/24/25(14) | EUR | 300 | 255,866 |
2.375%, 5/25/26(14) | EUR | 100 | 82,088 |
2.50%, 6/2/27(14) | EUR | 200 | 156,642 |
Schaeffler AG, 3.375%, 10/12/28(14) | EUR | 100 | 80,308 |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,297 | 1,019,682 | |
4.875%, 11/15/31(1) | 1,081 | 820,609 | |
TI Automotive Finance PLC, 3.75%, 4/15/29(14) | EUR | 212 | 141,245 |
Tupy Overseas S.A., 4.50%, 2/16/31(1) | 700 | 521,284 | |
Volkswagen International Finance N.V., 3.875% to 6/17/29(14)(16)(17) | EUR | 200 | 159,101 |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 1,305 | 599,569 | |
ZF North America Capital, Inc., 4.75%, 4/29/25(1) | 200 | 182,251 | |
$ 22,817,366 | |||
Banks and Thrifts — 1.1% | |||
Banco de Chile, 2.99%, 12/9/31(1) | 445 | $ 346,150 | |
Bank Hapoalim BM, 3.255% to 1/21/27, 1/21/32(1)(14)(17) | 800 | 668,695 | |
BankUnited, Inc., 5.125%, 6/11/30 | 481 | 448,917 | |
BBVA Bancomer S.A./Texas, 5.125% to 1/18/28, 1/18/33(1)(17) | 550 | 455,954 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(17) | 410 | 304,564 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(17) | 395 | 330,769 | |
5.247% to 7/26/29, 7/26/30(17) | 1,200 | 1,118,708 | |
Commonwealth Bank of Australia, 3.784%, 3/14/32(1) | 1,000 | 798,577 | |
Development Bank of Kazakhstan JSC, 2.95%, 5/6/31(14) | 1,252 | 978,951 | |
HSBC Holdings PLC, 5.402% to 8/11/32, 8/11/33(17) | 1,150 | 1,024,095 | |
SVB Financial Group, 4.10% to 2/15/31(16)(17) | 1,930 | 1,325,752 | |
Swedbank AB, 5.337%, 9/20/27(1) | 924 | 896,460 | |
Synchrony Bank, 5.625%, 8/23/27 | 2,000 | 1,917,736 |
Security | Principal Amount* (000's omitted) | Value | |
Banks and Thrifts (continued) | |||
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(17) | 1,500 | $ 1,293,798 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(17) | 686 | 625,760 | |
$ 12,534,886 | |||
Beverage and Tobacco — 0.2% | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.50%, 6/1/30 | 749 | $ 669,783 | |
4.50%, 6/1/50 | 751 | 620,240 | |
BAT Capital Corp., 4.54%, 8/15/47 | 1,250 | 830,973 | |
$ 2,120,996 | |||
Brokerage/Securities Dealers/Investment Houses — 0.2% | |||
Bread Financial Holdings, Inc., 4.75%, 12/15/24(1) | 1,896 | $ 1,657,796 | |
Intrum AB, 3.50%, 7/15/26(14) | EUR | 200 | 157,288 |
$ 1,815,084 | |||
Building and Development — 1.9% | |||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC: | |||
4.50%, 4/1/27(1) | 1,470 | $ 1,207,737 | |
5.75%, 5/15/26(1) | 1,167 | 1,056,551 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 2,118 | 1,629,377 | |
5.00%, 3/1/30(1) | 1,873 | 1,594,831 | |
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(1) | 1,396 | 1,311,961 | |
HT Troplast GmbH, 9.25%, 7/15/25(14) | EUR | 315 | 274,185 |
James Hardie International Finance DAC, 3.625%, 10/1/26(14) | EUR | 300 | 266,429 |
KB Home, 4.00%, 6/15/31 | 86 | 63,327 | |
Masonite International Corp., 5.375%, 2/1/28(1) | 570 | 505,029 | |
MDC Holdings, Inc., 2.50%, 1/15/31 | 837 | 560,299 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 1,149 | 852,743 | |
Oscar AcquisitionCo, LLC/Oscar Finance, Inc., 9.50%, 4/15/30(1) | 672 | 563,647 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 1,187 | 886,191 | |
7.50%, 10/15/27(1) | 225 | 205,346 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 1,066 | 876,429 | |
SRM Escrow Issuer, LLC, 6.00%, 11/1/28(1) | 3,078 | 2,507,862 | |
SRS Distribution, Inc.: | |||
6.00%, 12/1/29(1) | 1,100 | 879,060 | |
6.125%, 7/1/29(1) | 1,195 | 962,079 |
Security | Principal Amount* (000's omitted) | Value | |
Building and Development (continued) | |||
Standard Industries, Inc.: | |||
2.25%, 11/21/26(14) | EUR | 650 | $ 503,077 |
3.375%, 1/15/31(1) | 1,634 | 1,152,624 | |
4.375%, 7/15/30(1) | 1,779 | 1,365,222 | |
5.00%, 2/15/27(1) | 457 | 405,482 | |
Taylor Morrison Communities, Inc.: | |||
5.75%, 1/15/28(1) | 1,062 | 934,326 | |
5.875%, 6/15/27(1) | 808 | 753,565 | |
Victoria PLC, 3.625%, 8/24/26(14) | EUR | 485 | 349,509 |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 439 | 359,087 | |
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(15) | 691 | 586,753 | |
$ 22,612,728 | |||
Business Equipment and Services — 1.2% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 1,177 | $ 1,061,825 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 2,443 | 2,181,770 | |
9.75%, 7/15/27(1) | 1,148 | 945,178 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
3.625%, 6/1/28(14) | EUR | 100 | 73,425 |
4.625%, 6/1/28(1) | 776 | 587,009 | |
4.625%, 6/1/28(1) | 549 | 423,864 | |
4.875%, 6/1/28(14) | GBP | 100 | 81,888 |
CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28 | 447 | 373,869 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC: | |||
7.125%, 7/31/26(1) | 2,576 | 2,423,003 | |
7.125%, 7/31/26(14) | 350 | 329,212 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 750 | 581,183 | |
5.00%, 7/15/28(1) | 94 | 81,032 | |
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 7/30/26(14) | EUR | 264 | 233,294 |
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 7/15/25(14) | EUR | 300 | 258,377 |
Terminix Co., LLC (The), 7.45%, 8/15/27 | 3,993 | 4,530,398 | |
$ 14,165,327 | |||
Cable and Satellite Television — 1.9% | |||
Altice France S.A.: | |||
3.375%, 1/15/28(14) | EUR | 100 | $ 74,791 |
5.125%, 7/15/29(1) | 767 | 574,844 | |
5.50%, 1/15/28(1) | 841 | 667,287 |
Security | Principal Amount* (000's omitted) | Value | |
Cable and Satellite Television (continued) | |||
Altice France S.A.: (continued) | |||
5.50%, 10/15/29(1) | 755 | $ 569,952 | |
5.875%, 2/1/27(14) | EUR | 100 | 85,004 |
8.125%, 2/1/27(1) | 4,904 | 4,393,959 | |
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(1) | 2,263 | 1,739,658 | |
4.50%, 8/15/30(1) | 2,140 | 1,697,673 | |
4.50%, 5/1/32 | 771 | 589,399 | |
4.75%, 3/1/30(1) | 1,789 | 1,455,727 | |
4.75%, 2/1/32(1) | 1,044 | 814,764 | |
5.00%, 2/1/28(1) | 1,755 | 1,516,259 | |
5.375%, 6/1/29(1) | 595 | 522,113 | |
6.375%, 9/1/29(1) | 1,974 | 1,815,962 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 975 | 705,869 | |
Comcast Corp., 1.95%, 1/15/31 | 1,000 | 778,286 | |
CSC Holdings, LLC: | |||
3.375%, 2/15/31(1) | 698 | 493,196 | |
6.50%, 2/1/29(1) | 543 | 480,427 | |
7.50%, 4/1/28(1) | 619 | 505,896 | |
UPC Holding B.V., 5.50%, 1/15/28(1) | 593 | 498,843 | |
UPCB Finance VII, Ltd., 3.625%, 6/15/29(14) | EUR | 300 | 236,367 |
Virgin Media Finance PLC, 5.00%, 7/15/30(1) | 946 | 697,084 | |
Virgin Media Secured Finance PLC, 5.00%, 4/15/27(14) | GBP | 100 | 97,240 |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(14) | GBP | 325 | 271,998 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 425 | 344,556 | |
Ziggo B.V., 4.875%, 1/15/30(1) | 628 | 497,162 | |
Ziggo Bond Co., B.V.: | |||
3.375%, 2/28/30(14) | EUR | 230 | 157,032 |
6.00%, 1/15/27(1) | 745 | 622,909 | |
$ 22,904,257 | |||
Capital Markets — 0.2% | |||
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 948 | $ 829,917 | |
4.125%, 4/15/29(1) | 733 | 635,555 | |
Valmont Industries, Inc., 5.25%, 10/1/54 | 610 | 528,575 | |
$ 1,994,047 | |||
Chemicals and Plastics — 0.9% | |||
Alpek SAB de CV, 4.25%, 9/18/29(1) | 610 | $ 505,400 | |
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 826 | 636,222 | |
Avient Corp., 7.125%, 8/1/30(1) | 796 | 736,471 |
Security | Principal Amount* (000's omitted) | Value | |
Chemicals and Plastics (continued) | |||
Celanese US Holdings, LLC: | |||
6.165%, 7/15/27 | 564 | $ 534,490 | |
6.33%, 7/15/29 | 1,000 | 933,011 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 545 | 437,771 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(14) | EUR | 156 | 97,155 |
INEOS Quattro Finance 2 PLC, 2.50%, 1/15/26(14) | EUR | 154 | 124,543 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(1) | 1,242 | 971,877 | |
4.875%, 6/1/24(1) | 874 | 822,487 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 1,307 | 1,089,568 | |
OCI N.V., 3.625%, 10/15/25(14) | EUR | 180 | 172,547 |
Valvoline, Inc.: | |||
3.625%, 6/15/31(1) | 802 | 591,787 | |
4.25%, 2/15/30(1) | 1,449 | 1,372,529 | |
WR Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 1,472 | 1,267,215 | |
5.625%, 10/1/24(1) | 1,000 | 974,545 | |
$ 11,267,618 | |||
Clothing/Textiles — 0.1% | |||
Hanesbrands Finance Luxembourg SCA, 3.50%, 6/15/24(14) | EUR | 400 | $ 364,559 |
William Carter Co. (The), 5.625%, 3/15/27(1) | 811 | 759,388 | |
$ 1,123,947 | |||
Commercial Services — 1.4% | |||
Abertis Infraestructuras Finance B.V., 3.248% to 11/24/25(14)(16)(17) | EUR | 300 | $ 239,396 |
APi Escrow Corp., 4.75%, 10/15/29(1) | 1,510 | 1,253,054 | |
Autostrade per l'Italia SpA, 2.00%, 12/4/28(14) | EUR | 700 | 532,478 |
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc., 5.375%, 3/1/29(1) | 792 | 651,420 | |
BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(14) | EUR | 100 | 79,036 |
Block Financial, LLC, 3.875%, 8/15/30 | 988 | 845,103 | |
EC Finance PLC, 3.00%, 10/15/26(14) | EUR | 102 | 87,224 |
Global Payments, Inc., 5.40%, 8/15/32 | 1,075 | 999,398 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 1,176 | 994,884 | |
Korn Ferry, 4.625%, 12/15/27(1) | 1,355 | 1,199,581 | |
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 507 | 411,570 | |
8.25%, 11/1/29(1) | 1,016 | 740,401 | |
Loxam S.A.S.: | |||
3.25%, 1/14/25(14) | EUR | 200 | 177,440 |
Security | Principal Amount* (000's omitted) | Value | |
Commercial Services (continued) | |||
Loxam S.A.S.: (continued) | |||
4.25%, 4/15/24(14) | EUR | 200 | $ 189,797 |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 1,328 | 1,037,719 | |
MoneyGram International, Inc., 5.375%, 8/1/26(1) | 1,509 | 1,481,038 | |
Mooney Group SpA, 3.875%, (3 mo. EURIBOR + 3.875%), 12/17/26(2)(14) | EUR | 110 | 102,171 |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 1,282 | 1,070,175 | |
Nexi SpA, 1.75%, 10/31/24(14) | EUR | 200 | 189,640 |
PROG Holdings, Inc., 6.00%, 11/15/29(1) | 1,085 | 869,411 | |
S&P Global, Inc., 2.90%, 3/1/32(1) | 1,000 | 836,091 | |
Verisure Holding AB: | |||
3.25%, 2/15/27(14) | EUR | 200 | 160,037 |
3.875%, 7/15/26(14) | EUR | 200 | 169,134 |
Verisure Midholding AB, 5.25%, 2/15/29(14) | EUR | 175 | 126,916 |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 2,060 | 1,901,617 | |
$ 16,344,731 | |||
Computers — 0.6% | |||
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(1) | 1,341 | $ 1,156,281 | |
4.00%, 7/1/29(1) | 717 | 614,846 | |
Condor Merger Sub, Inc., 7.375%, 2/15/30(1) | 1,121 | 918,626 | |
Presidio Holdings, Inc., 8.25%, 2/1/28(1) | 3,176 | 2,743,225 | |
Seagate HDD Cayman: | |||
3.125%, 7/15/29 | 865 | 635,762 | |
5.75%, 12/1/34 | 995 | 792,219 | |
$ 6,860,959 | |||
Conglomerates — 0.1% | |||
Spectrum Brands, Inc.: | |||
5.00%, 10/1/29(1) | 406 | $ 323,899 | |
5.50%, 7/15/30(1) | 1,135 | 890,126 | |
$ 1,214,025 | |||
Consumer Products — 0.1% | |||
Central Garden & Pet Co.: | |||
4.125%, 10/15/30 | 488 | $ 389,453 | |
5.125%, 2/1/28 | 864 | 784,378 | |
$ 1,173,831 | |||
Containers and Glass Products — 0.3% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(14) | EUR | 200 | $ 140,511 |
4.00%, 9/1/29(1) | 1,177 | 864,028 |
Security | Principal Amount* (000's omitted) | Value | |
Containers and Glass Products (continued) | |||
Canpack S.A./Canpack U.S., LLC, 3.875%, 11/15/29(1) | 2,027 | $ 1,587,749 | |
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 660 | 598,732 | |
Crown Americas, LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 | 750 | 699,896 | |
Graphic Packaging International, LLC, 2.625%, 2/1/29(14) | EUR | 100 | 75,445 |
Verallia S.A., 1.875%, 11/10/31(14) | EUR | 100 | 67,290 |
$ 4,033,651 | |||
Cosmetics/Toiletries — 0.2% | |||
Edgewell Personal Care Co.: | |||
4.125%, 4/1/29(1) | 441 | $ 366,927 | |
5.50%, 6/1/28(1) | 1,067 | 955,474 | |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | 200 | 164,982 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 643 | 508,980 | |
$ 1,996,363 | |||
Distribution & Wholesale — 0.5% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 2,799 | $ 2,430,519 | |
Ferguson Finance PLC, 4.65%, 4/20/32(1) | 600 | 529,141 | |
Parts Europe S.A.: | |||
4.00%, (3 mo. EURIBOR + 4.00%), 7/20/27(2)(14) | EUR | 128 | 120,759 |
6.50%, 7/16/25(14) | EUR | 100 | 98,054 |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 2,429 | 2,027,170 | |
5.50%, 10/15/27(1) | 935 | 851,972 | |
$ 6,057,615 | |||
Diversified Financial Services — 2.0% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24 | 599 | $ 547,771 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 1,133 | 1,066,334 | |
American AgCredit Corp., Series QIB, 5.25% to 6/15/26(1)(16)(17) | 410 | 382,838 | |
BrightSphere Investment Group, Inc., 4.80%, 7/27/26 | 2,195 | 1,934,827 | |
Cantor Fitzgerald, L.P., 4.50%, 4/14/27(1) | 1,650 | 1,531,894 | |
CI Financial Corp., 3.20%, 12/17/30 | 1,000 | 726,173 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 750 | 717,994 | |
Encore Capital Group, Inc.: | |||
4.25%, (3 mo. EURIBOR + 4.25%), 1/15/28(2)(14) | EUR | 700 | 628,580 |
5.375%, 2/15/26(14) | GBP | 100 | 99,275 |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 1,823 | 1,570,341 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 1,275 | 1,068,903 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Jerrold Finco PLC, 4.875%, 1/15/26(14) | GBP | 200 | $ 175,019 |
Lincoln Financing S.a.r.l., 3.625%, 4/1/24(14) | EUR | 245 | 232,765 |
Louvre Bidco S.A.S., 6.50%, 9/30/24(14) | EUR | 400 | 369,157 |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 1,209 | 1,133,673 | |
PRA Group, Inc.: | |||
5.00%, 10/1/29(1) | 901 | 731,808 | |
7.375%, 9/1/25(1) | 1,566 | 1,517,016 | |
ProGroup AG, 3.00%, 3/31/26(14) | EUR | 500 | 404,454 |
Radian Group, Inc., 6.625%, 3/15/25 | 525 | 512,369 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
3.625%, 3/1/29(1) | 1,035 | 798,942 | |
3.875%, 3/1/31(1) | 600 | 435,854 | |
4.00%, 10/15/33(1) | 225 | 155,040 | |
Sherwood Financing PLC, 6.00%, 11/15/26(14) | GBP | 150 | 126,470 |
Stifel Financial Corp., 4.00%, 5/15/30 | 769 | 663,083 | |
Synchrony Financial, 4.875%, 6/13/25 | 227 | 219,249 | |
UniCredit SpA, 7.296% to 4/2/29, 4/2/34(1)(17) | 1,175 | 998,672 | |
Unifin Financiera SAB de CV, 7.375%, 2/12/26(1)(18) | 620 | 83,890 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.375%, 2/1/30(1) | 2,036 | 1,669,469 | |
Vivion Investments S.a.r.l.: | |||
3.00%, 8/8/24(14) | EUR | 3,100 | 2,762,513 |
3.50%, 11/1/25(14) | EUR | 100 | 87,322 |
$ 23,351,695 | |||
Drugs — 0.8% | |||
AdaptHealth, LLC: | |||
4.625%, 8/1/29(1) | 405 | $ 325,403 | |
5.125%, 3/1/30(1) | 1,019 | 841,796 | |
6.125%, 8/1/28(1) | 685 | 614,935 | |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1) | 649 | 533,998 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1) | 1,550 | 1,225,966 | |
Gruenenthal GmbH, 3.625%, 11/15/26(14) | EUR | 300 | 252,874 |
Hikma Finance USA, LLC, 3.25%, 7/9/25(14) | 1,250 | 1,165,763 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,371 | 1,187,231 | |
Nidda Healthcare Holding GmbH, 3.50%, 9/30/24(14) | EUR | 400 | 356,718 |
Organon & Co./Organon Foreign Debt Co.-Issuer B.V., 5.125%, 4/30/31(1) | 1,037 | 851,201 | |
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | 3,100 | 2,530,158 | |
$ 9,886,043 |
Security | Principal Amount* (000's omitted) | Value | |
Ecological Services and Equipment — 0.6% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 551 | $ 503,534 | |
5.125%, 7/15/29(1) | 332 | 306,350 | |
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 1,536 | 1,244,145 | |
5.00%, 9/1/30 | 319 | 250,710 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 1,679 | 1,418,755 | |
3.75%, 8/1/25(1) | 776 | 711,060 | |
4.75%, 6/15/29(1) | 3,095 | 2,611,994 | |
Paprec Holding S.A.: | |||
3.50%, 7/1/28(14) | EUR | 129 | 97,519 |
4.00%, 3/31/25(14) | EUR | 200 | 175,912 |
$ 7,319,979 | |||
Electric Utilities — 0.9% | |||
Berkshire Hathaway Energy Co., 5.15%, 11/15/43 | 385 | $ 351,093 | |
Consolidated Edison Co. of New York, Inc., 4.125%, 5/15/49 | 400 | 311,510 | |
ContourGlobal Power Holdings S.A., 4.125%, 8/1/25(14) | EUR | 200 | 187,288 |
Drax Finco PLC, 6.625%, 11/1/25(1) | 1,119 | 1,079,717 | |
EDP - Energias de Portugal S.A., 4.496% to 1/30/24, 4/30/79(14)(17) | EUR | 500 | 469,437 |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 410 | 331,610 | |
Series B, 4.40%, 7/15/27 | 1,630 | 1,516,055 | |
Liberty Utilities Finance GP 1, 2.05%, 9/15/30(1) | 526 | 398,740 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,112 | 966,439 | |
Public Power Corp S.A., 3.875%, 3/30/26(14) | EUR | 300 | 262,857 |
Southern California Edison Co., 4.00%, 4/1/47 | 845 | 617,969 | |
Southern Co. (The), 5.113%, 8/1/27 | 1,994 | 1,943,997 | |
Virginia Electric & Power Co., 4.00%, 1/15/43 | 810 | 637,759 | |
WESCO Distribution, Inc.: | |||
7.125%, 6/15/25(1) | 1,024 | 1,026,202 | |
7.25%, 6/15/28(1) | 915 | 898,151 | |
$ 10,998,824 | |||
Electronics/Electrical — 0.9% | |||
Electricite de France S.A., 2.875% to 12/15/26(14)(16)(17) | EUR | 400 | $ 300,440 |
Engie Energia Chile S.A., 3.40%, 1/28/30(1) | 960 | 724,864 | |
II-VI, Inc., 5.00%, 12/15/29(1) | 1,055 | 875,249 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 3,582 | 3,030,444 | |
Jabil, Inc., 3.00%, 1/15/31 | 1,040 | 822,873 |
Security | Principal Amount* (000's omitted) | Value | |
Electronics/Electrical (continued) | |||
Nobel Bidco B.V., 3.125%, 6/15/28(14) | EUR | 150 | $ 99,614 |
Open Text Corp., 3.875%, 2/15/28(1) | 1,009 | 835,840 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 883 | 706,665 | |
RWE AG, 6.625% to 3/30/26, 7/30/75(14)(17) | 266 | 258,519 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 447 | 427,062 | |
Sensata Technologies, Inc.: | |||
3.75%, 2/15/31(1) | 1,660 | 1,311,101 | |
4.375%, 2/15/30(1) | 627 | 525,207 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 517 | 472,685 | |
Verisure Holding AB, 5.00%, (3 mo. EURIBOR + 5.00%), 4/15/25(2)(14) | EUR | 100 | 96,792 |
$ 10,487,355 | |||
Energy — 0.5% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 1,988 | $ 1,882,537 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 2,374 | 2,196,971 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 884 | 734,904 | |
4.50%, 4/30/30 | 1,692 | 1,385,680 | |
$ 6,200,092 | |||
Engineering & Construction — 0.4% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,038 | $ 938,056 | |
Cellnex Finance Co. S.A.: | |||
1.00%, 9/15/27(14) | EUR | 100 | 78,133 |
2.25%, 4/12/26(14) | EUR | 200 | 176,969 |
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,389 | 1,173,348 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 1,562 | 1,192,644 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 1,899 | 1,636,347 | |
$ 5,195,497 | |||
Entertainment — 1.1% | |||
Banijay Entertainment SASU, 3.50%, 3/1/25(14) | EUR | 100 | $ 91,150 |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 529 | 405,498 | |
6.25%, 7/1/25(1) | 2,521 | 2,433,824 | |
8.125%, 7/1/27(1) | 1,589 | 1,521,325 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 1,751 | 1,531,967 | |
CPUK Finance, Ltd.: | |||
4.50%, 8/28/27(14) | GBP | 100 | 93,575 |
4.875%, 8/28/25(14) | GBP | 235 | 240,119 |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 1,721 | 1,474,765 | |
Live Nation Entertainment, Inc., 4.75%, 10/15/27(1) | 1,226 | 1,066,902 |
Security | Principal Amount* (000's omitted) | Value | |
Entertainment (continued) | |||
Lottomatica SpA: | |||
5.125%, 7/15/25(14) | EUR | 200 | $ 176,928 |
6.25%, 7/15/25(14) | EUR | 100 | 90,731 |
Magallanes, Inc., 5.05%, 3/15/42(1) | 555 | 416,247 | |
Pinewood Finance Co., Ltd., 3.25%, 9/30/25(14) | GBP | 200 | 192,047 |
Scientific Games International, Inc., 7.00%, 5/15/28(1) | 1,647 | 1,556,250 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 1,515 | 1,319,524 | |
$ 12,610,852 | |||
Equipment Leasing — 0.0%(9) | |||
Ashtead Capital, Inc., 4.25%, 11/1/29(1) | 526 | $ 459,633 | |
$ 459,633 | |||
Financial Intermediaries — 2.0% | |||
Ally Financial, Inc., Series B, 4.70% to 5/15/26(16)(17) | 1,647 | $ 1,288,999 | |
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(1)(18) | 691 | 34,545 | |
10.00%, 12/19/22(1)(18) | 189 | 10,990 | |
Citigroup, Inc., 3.98% to 3/20/29, 3/20/30(17) | 1,700 | 1,510,509 | |
Ford Motor Credit Co., LLC: | |||
1.744%, 7/19/24 | EUR | 200 | 181,064 |
2.386%, 2/17/26 | EUR | 200 | 171,147 |
2.90%, 2/16/28 | 420 | 330,706 | |
3.021%, 3/6/24 | EUR | 200 | 187,925 |
3.087%, 1/9/23 | 439 | 436,501 | |
3.37%, 11/17/23 | 513 | 496,951 | |
3.625%, 6/17/31 | 2,307 | 1,717,285 | |
3.815%, 11/2/27 | 1,984 | 1,669,417 | |
4.00%, 11/13/30 | 995 | 778,319 | |
4.125%, 8/17/27 | 2,739 | 2,363,401 | |
4.14%, (3 mo. USD LIBOR + 1.235%), 2/15/23(2) | 479 | 476,726 | |
4.271%, 1/9/27 | 476 | 417,147 | |
5.125%, 6/16/25 | 938 | 886,621 | |
5.584%, 3/18/24 | 257 | 252,311 | |
Goldman Sachs Group, Inc. (The), 3.615% to 3/15/27, 3/15/28(17) | 1,496 | 1,362,963 | |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
5.25%, 5/15/27 | 1,614 | 1,416,697 | |
6.25%, 5/15/26 | 1,095 | 1,024,942 | |
6.375%, 12/15/25 | 820 | 778,167 | |
JPMorgan Chase & Co.: | |||
2.545% to 11/8/31, 11/8/32(17) | 1,500 | 1,139,962 | |
Series HH, 4.60% to 2/1/25(16)(17) | 1,674 | 1,462,406 |
Security | Principal Amount* (000's omitted) | Value | |
Financial Intermediaries (continued) | |||
Macquarie Group, Ltd., 2.871% to 1/14/32, 1/14/33(1)(17) | 1,007 | $ 758,308 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 520 | 428,528 | |
3.875%, 2/15/31(1) | 899 | 758,746 | |
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(17) | 1,011 | 995,445 | |
UBS Group AG, 4.375% to 2/10/31(1)(16)(17) | 801 | 528,260 | |
$ 23,864,988 | |||
Financial Services — 0.6% | |||
Bank of America Corp.: | |||
1.922% to 10/24/30, 10/24/31(17) | 1,819 | $ 1,348,155 | |
3.846% to 3/8/32, 3/8/37(17) | 1,210 | 977,839 | |
Brookfield Finance, Inc., 4.70%, 9/20/47 | 1,050 | 837,636 | |
Carlyle Finance Subsidiary, LLC, 3.50%, 9/19/29(1) | 1,000 | 850,937 | |
Nordea Bank Abp, 4.625% to 9/13/28, 9/13/33(1)(17) | 1,515 | 1,359,184 | |
Vietnam Debt and Asset Trading Corp., 1.00%, 10/10/25(14) | 2,600 | 2,213,796 | |
$ 7,587,547 | |||
Food Products — 0.8% | |||
Bellis Acquisition Co. PLC, 3.25%, 2/16/26(14) | GBP | 200 | $ 169,159 |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 854 | 698,571 | |
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30(1) | 2,139 | 1,979,623 | |
Kraft Heinz Foods Co.: | |||
3.875%, 5/15/27 | 1,198 | 1,121,026 | |
4.25%, 3/1/31 | 1,439 | 1,297,271 | |
4.375%, 6/1/46 | 282 | 219,831 | |
4.625%, 10/1/39 | 425 | 352,728 | |
5.50%, 6/1/50 | 245 | 220,918 | |
Nomad Foods Bondco PLC, 2.50%, 6/24/28(14) | EUR | 336 | 255,824 |
Pilgrim's Pride Corp., 3.50%, 3/1/32(1) | 2,387 | 1,802,662 | |
Premier Foods Financing PLC, 3.50%, 10/15/26(14) | GBP | 125 | 111,896 |
Smithfield Foods, Inc., 3.00%, 10/15/30(1) | 1,000 | 773,422 | |
$ 9,002,931 | |||
Food Service — 0.6% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,906 | $ 1,661,832 | |
4.00%, 10/15/30(1) | 2,705 | 2,136,625 | |
4.375%, 1/15/28(1) | 1,014 | 880,005 | |
5.75%, 4/15/25(1) | 372 | 369,094 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 615 | 611,876 |
Security | Principal Amount* (000's omitted) | Value | |
Food Service (continued) | |||
Quatrim SASU, 5.875%, 1/15/24(14) | EUR | 150 | $ 137,834 |
US Foods, Inc., 4.75%, 2/15/29(1) | 1,837 | 1,576,330 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 238 | 190,766 | |
$ 7,564,362 | |||
Food/Drug Retailers — 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(1) | 1,595 | $ 1,351,571 | |
5.875%, 2/15/28(1) | 1,004 | 928,278 | |
$ 2,279,849 | |||
Forest Products & Paper — 0.0%(9) | |||
Glatfelter Corp., 4.75%, 11/15/29(1) | 244 | $ 140,783 | |
$ 140,783 | |||
Health Care — 3.9% | |||
Amgen, Inc., 3.375%, 2/21/50 | 1,000 | $ 683,407 | |
Anthem, Inc., 3.125%, 5/15/50 | 500 | 332,172 | |
Avantor Funding, Inc., 2.625%, 11/1/25(14) | EUR | 200 | 179,091 |
Baxter International, Inc.: | |||
3.50%, 8/15/46 | 500 | 352,328 | |
3.95%, 4/1/30 | 500 | 448,775 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 1,992 | 1,505,776 | |
3.00%, 10/15/30 | 2,345 | 1,862,094 | |
3.375%, 2/15/30 | 2,311 | 1,894,269 | |
4.25%, 12/15/27 | 1,005 | 921,409 | |
4.625%, 12/15/29 | 1,758 | 1,583,861 | |
Chrome Bidco SASU, 3.50%, 5/31/28(14) | EUR | 350 | 273,299 |
Chrome Holdco SASU, 5.00%, 5/31/29(14) | EUR | 200 | 149,213 |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 683 | 541,109 | |
4.75%, 2/1/30 | 639 | 526,703 | |
Gilead Sciences, Inc., 2.60%, 10/1/40 | 750 | 497,055 | |
Grifols Escrow Issuer S.A.: | |||
3.875%, 10/15/28(14) | EUR | 494 | 359,496 |
4.75%, 10/15/28(1) | 1,446 | 1,120,158 | |
Grifols S.A., 3.20%, 5/1/25(14) | EUR | 350 | 300,997 |
HCA, Inc.: | |||
5.25%, 6/15/49 | 875 | 713,620 | |
5.375%, 9/1/26 | 1,610 | 1,561,911 | |
5.625%, 9/1/28 | 1,472 | 1,405,180 | |
5.875%, 2/15/26 | 2,705 | 2,671,353 | |
5.875%, 2/1/29 | 1,076 | 1,047,689 |
Security | Principal Amount* (000's omitted) | Value | |
Health Care (continued) | |||
IQVIA, Inc.: | |||
2.25%, 1/15/28(14) | EUR | 250 | $ 197,623 |
5.00%, 10/15/26(1) | 850 | 811,000 | |
5.00%, 5/15/27(1) | 685 | 640,211 | |
Legacy LifePoint Health, LLC: | |||
4.375%, 2/15/27(1) | 989 | 818,528 | |
6.75%, 4/15/25(1) | 731 | 692,535 | |
LifePoint Health, Inc., 5.375%, 1/15/29(1) | 2,690 | 1,880,691 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 3,821 | 2,892,230 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 759 | 618,187 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 1,122 | 1,036,884 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 1,330 | 1,118,084 | |
3.875%, 5/15/32(1) | 1,450 | 1,189,785 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 1,442 | 1,221,215 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 430 | 385,465 | |
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51 | 750 | 519,229 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 1,890 | 1,404,037 | |
Teleflex, Inc., 4.25%, 6/1/28(1) | 408 | 355,713 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30(1) | 799 | 668,651 | |
4.625%, 9/1/24(1) | 268 | 259,649 | |
4.875%, 1/1/26(1) | 1,607 | 1,495,466 | |
5.125%, 11/1/27(1) | 1,607 | 1,445,316 | |
6.125%, 10/1/28(1) | 1,593 | 1,398,182 | |
6.875%, 11/15/31 | 878 | 781,850 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 2,637 | 2,218,653 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 959 | 942,912 | |
$ 45,923,061 | |||
Home Furnishings — 0.1% | |||
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 2,082 | $ 1,529,874 | |
$ 1,529,874 | |||
Homebuilders/Real Estate — 0.1% | |||
KB Home, 4.80%, 11/15/29 | 556 | $ 448,918 | |
M/I Homes, Inc., 4.95%, 2/1/28 | 459 | 383,265 | |
$ 832,183 | |||
Industrial Equipment — 0.1% | |||
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 2,000 | $ 1,396,560 | |
TK Elevator Midco GmbH: | |||
4.375%, 7/15/27(14) | EUR | 125 | 103,177 |
Security | Principal Amount* (000's omitted) | Value | |
Industrial Equipment (continued) | |||
TK Elevator Midco GmbH: (continued) | |||
4.75%, (3 mo. EURIBOR + 4.75%), 7/15/27(2)(14) | EUR | 300 | $ 274,697 |
$ 1,774,434 | |||
Insurance — 1.0% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 2,831 | $ 2,445,840 | |
American National Group, Inc., 6.144%, 6/13/32(1) | 1,085 | 1,012,888 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 1,010 | 840,625 | |
AssuredPartners, Inc., 5.625%, 1/15/29(1) | 450 | 350,320 | |
Athene Global Funding, 2.646%, 10/4/31(1) | 1,100 | 829,031 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 1,568 | 1,238,054 | |
Galaxy Finco, Ltd., 9.25%, 7/31/27(14) | GBP | 575 | 526,453 |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 1,175 | 861,969 | |
GTCR AP Finance, Inc., 8.00%, 5/15/27(1) | 820 | 755,962 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(17) | 250 | 193,632 | |
Maple Grove Funding Trust I, 4.161%, 8/15/51(1) | 860 | 585,289 | |
Radian Group, Inc., 4.875%, 3/15/27 | 1,032 | 916,241 | |
Stewart Information Services Corp., 3.60%, 11/15/31 | 1,116 | 861,812 | |
$ 11,418,116 | |||
Internet Software & Services — 0.5% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 655 | $ 512,331 | |
6.125%, 12/1/28(1) | 659 | 511,358 | |
Cars.com, Inc., 6.375%, 11/1/28(1) | 1,457 | 1,244,846 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 1,307 | 988,648 | |
Netflix, Inc.: | |||
3.625%, 6/15/30(14) | EUR | 200 | 168,202 |
5.375%, 11/15/29(1) | 1,000 | 942,135 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 1,487 | 1,325,675 | |
United Group B.V.: | |||
4.00%, 11/15/27(14) | EUR | 100 | 69,634 |
4.875%, 7/1/24(14) | EUR | 475 | 435,002 |
$ 6,197,831 | |||
Leisure Goods/Activities/Movies — 1.4% | |||
Brunswick Corp., 5.10%, 4/1/52 | 845 | $ 587,842 | |
Carnival Corp.: | |||
5.75%, 3/1/27(1) | 1,316 | 924,852 | |
6.00%, 5/1/29(1) | 404 | 265,947 | |
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 1,481 | 1,141,547 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure Goods/Activities/Movies (continued) | |||
Cinemark USA, Inc.: (continued) | |||
5.875%, 3/15/26(1) | 414 | $ 346,635 | |
8.75%, 5/1/25(1) | 303 | 307,513 | |
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(14)(15) | EUR | 252 | 209,787 |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,268 | 1,155,744 | |
8.00%, 4/15/26(1) | 427 | 365,561 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 1,167 | 1,029,049 | |
Motion Finco S.a.r.l., 7.00%, 5/15/25(14) | EUR | 300 | 291,736 |
National CineMedia, LLC: | |||
5.75%, 8/15/26 | 1,186 | 260,232 | |
5.875%, 4/15/28(1) | 1,559 | 893,447 | |
NCL Corp., Ltd.: | |||
5.875%, 3/15/26(1) | 662 | 504,643 | |
5.875%, 2/15/27(1) | 517 | 431,483 | |
7.75%, 2/15/29(1) | 433 | 327,326 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 343 | 253,623 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 1,067 | 854,747 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 1,612 | 1,469,943 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 1,264 | 1,052,533 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 2,472 | 1,890,128 | |
6.25%, 5/15/25(1) | 1,690 | 1,469,252 | |
7.00%, 2/15/29(1) | 658 | 492,328 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 422 | 328,922 | |
$ 16,854,820 | |||
Lodging and Casinos — 0.4% | |||
Accor S.A., 2.375%, 11/29/28(14) | EUR | 200 | $ 150,475 |
MGM Resorts International: | |||
4.75%, 10/15/28 | 1,138 | 955,025 | |
5.50%, 4/15/27 | 453 | 407,866 | |
5.75%, 6/15/25 | 948 | 906,923 | |
Peninsula Pacific Entertainment, LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(1) | 2,424 | 2,610,345 | |
$ 5,030,634 | |||
Machinery — 0.0%(9) | |||
IMA Industria Macchine Automatiche SpA, 3.75%, 1/15/28(14) | EUR | 321 | $ 250,056 |
$ 250,056 |
Security | Principal Amount* (000's omitted) | Value | |
Media — 0.5% | |||
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(1) | 1,595 | $ 1,233,286 | |
iHeartCommunications, Inc.: | |||
6.375%, 5/1/26 | 179 | 166,434 | |
8.375%, 5/1/27 | 324 | 273,592 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(1) | 543 | 423,816 | |
6.25%, 6/15/25(1) | 807 | 789,395 | |
Scripps Escrow II, Inc., 5.375%, 1/15/31(1) | 756 | 573,615 | |
Tele Columbus AG, 3.875%, 5/2/25(14) | EUR | 300 | 239,535 |
Telenet Finance Luxembourg S.a.r.l., 3.50%, 3/1/28(14) | EUR | 100 | 82,319 |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,990 | 1,627,293 | |
7.375%, 6/30/30(1) | 391 | 374,011 | |
Urban One, Inc., 7.375%, 2/1/28(1) | 634 | 539,664 | |
$ 6,322,960 | |||
Metals/Mining — 1.0% | |||
Arconic Corp., 6.125%, 2/15/28(1) | 648 | $ 573,846 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 2,658 | 2,617,798 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 3,216 | 3,026,385 | |
Constellium N.V.: | |||
4.25%, 2/15/26(14) | EUR | 250 | 220,915 |
5.875%, 2/15/26(1) | 490 | 450,129 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 1,600 | 1,337,704 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 1,085 | 903,176 | |
6.125%, 4/1/29(1) | 489 | 395,102 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 690 | 576,836 | |
4.75%, 1/30/30(1) | 1,068 | 878,462 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/29(14) | EUR | 300 | 232,911 |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 1,513 | 1,278,092 | |
$ 12,491,356 | |||
Nonferrous Metals/Minerals — 0.4% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 1,333 | $ 1,018,545 | |
First Quantum Minerals, Ltd., 7.50%, 4/1/25(1) | 1,615 | 1,556,513 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 2,683 | 2,124,560 | |
$ 4,699,618 |
Security | Principal Amount* (000's omitted) | Value | |
Oil and Gas — 3.7% | |||
Aethon III BR, LLC, 9.00%, (1 mo. USD LIBOR + 7.50%, Floor 1.50%), 10/1/25(2) | 2,366 | $ 2,347,032 | |
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 1,570 | 1,519,132 | |
BP Capital Markets America, Inc., 3.379%, 2/8/61 | 710 | 464,792 | |
Buckeye Partners, L.P., 4.50%, 3/1/28(1) | 308 | 262,518 | |
Callon Petroleum Co.: | |||
7.50%, 6/15/30(1) | 601 | 527,347 | |
8.00%, 8/1/28(1) | 788 | 728,486 | |
Centennial Resource Production, LLC, 5.375%, 1/15/26(1) | 232 | 212,541 | |
Chord Energy Corp., 6.375%, 6/1/26(1) | 1,111 | 1,060,872 | |
Colgate Energy Partners III, LLC: | |||
5.875%, 7/1/29(1) | 2,252 | 2,015,349 | |
7.75%, 2/15/26(1) | 1,166 | 1,147,119 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 1,519 | 1,344,085 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 2,905 | 2,488,077 | |
Energy Transfer, L.P., 6.25% to 2/15/23(16)(17) | 300 | 246,375 | |
Exxon Mobil Corp., 3.452%, 4/15/51 | 500 | 373,448 | |
Halliburton Co., 5.00%, 11/15/45 | 245 | 204,148 | |
Hilcorp Energy I, L.P./Hilcorp Finance Co.: | |||
5.75%, 2/1/29(1) | 700 | 613,414 | |
6.00%, 4/15/30(1) | 367 | 320,670 | |
6.00%, 2/1/31(1) | 560 | 487,276 | |
Nabors Industries, Inc., 9.00%, 2/1/25(1) | 1,091 | 1,089,814 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(1) | 665 | 544,127 | |
National Fuel Gas Co., 2.95%, 3/1/31 | 915 | 715,568 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 3,382 | 3,144,347 | |
Occidental Petroleum Corp.: | |||
6.20%, 3/15/40 | 480 | 465,151 | |
6.625%, 9/1/30 | 1,511 | 1,537,284 | |
8.50%, 7/15/27 | 1,965 | 2,107,394 | |
8.875%, 7/15/30 | 1,685 | 1,879,735 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 376 | 304,429 | |
4.625%, 5/1/30(1) | 1,501 | 1,219,217 | |
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 | 1,263 | 1,044,269 | |
Petroleos Mexicanos: | |||
6.50%, 3/13/27 | 925 | 776,214 | |
6.75%, 9/21/47 | 2,506 | 1,401,142 | |
6.84%, 1/23/30 | 142 | 106,082 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 932 | 824,624 | |
7.125%, 1/15/26(1) | 500 | 469,690 |
Security | Principal Amount* (000's omitted) | Value | |
Oil and Gas (continued) | |||
Shelf Drilling Holdings, Ltd.: | |||
8.25%, 2/15/25(1) | 1,535 | $ 1,231,300 | |
8.875%, 11/15/24(1) | 441 | 428,625 | |
Southwestern Energy Co., 4.75%, 2/1/32 | 1,485 | 1,247,845 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(1) | 2,569 | 2,353,230 | |
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.: | |||
4.00%, 1/15/32 | 1,038 | 858,146 | |
4.875%, 2/1/31 | 233 | 200,767 | |
5.50%, 3/1/30 | 224 | 201,543 | |
6.50%, 7/15/27 | 566 | 560,695 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 935 | 856,876 | |
UGI International, LLC, 2.50%, 12/1/29(14) | EUR | 200 | 146,679 |
Weatherford International, Ltd., 8.625%, 4/30/30(1) | 1,355 | 1,183,117 | |
Wintershall Dea Finance 2 B.V., 2.499% to 4/20/26(14)(16)(17) | EUR | 600 | 444,401 |
$ 43,704,992 | |||
Packaging & Containers — 0.1% | |||
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(14) | EUR | 350 | $ 277,403 |
Mauser Packaging Solutions Holding Co., 7.25%, 4/15/25(1) | 660 | 581,516 | |
Schoeller Packaging B.V., 6.375%, 11/1/24(14) | EUR | 200 | 158,144 |
Trivium Packaging Finance B.V.: | |||
3.75%, 8/15/26(14) | EUR | 200 | 177,144 |
3.75%, (3 mo. EURIBOR + 3.75%), 8/15/26(2)(14) | EUR | 300 | 274,353 |
$ 1,468,560 | |||
Pharmaceuticals — 0.5% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 2,444 | $ 2,240,781 | |
Diocle SpA, 3.875%, (3 mo. EURIBOR + 3.875%), 6/30/26(2)(14) | EUR | 96 | 93,547 |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 1,383 | 1,255,626 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/1/27(1) | 980 | 918,172 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 656 | 493,181 | |
PRA Health Sciences, Inc., 2.875%, 7/15/26(1) | 206 | 181,671 | |
Rossini S.a.r.l., 3.875%, (3 mo. EURIBOR + 3.875%), 10/30/25(2)(14) | EUR | 300 | 280,417 |
$ 5,463,395 | |||
Pipelines — 1.9% | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 1,874 | $ 1,737,052 |
Security | Principal Amount* (000's omitted) | Value | |
Pipelines (continued) | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: (continued) | |||
7.875%, 5/15/26(1) | 879 | $ 884,564 | |
Cheniere Energy Partners, L.P.: | |||
4.00%, 3/1/31 | 2,706 | 2,274,366 | |
4.50%, 10/1/29 | 1,722 | 1,520,001 | |
Cheniere Energy, Inc., 4.625%, 10/15/28 | 1,553 | 1,428,271 | |
DCP Midstream, L.P., Series A, 7.375% to 12/15/22(16)(17) | 1,637 | 1,619,026 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 1,449 | 1,227,542 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 1,355 | 1,093,956 | |
4.75%, 1/15/31(1) | 1,086 | 864,565 | |
6.00%, 7/1/25(1) | 257 | 237,960 | |
6.50%, 7/1/27(1) | 702 | 649,731 | |
7.50%, 6/1/30(1) | 1,010 | 956,031 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 2,308 | 2,118,199 | |
Midwest Connector Capital Co., LLC, 4.625%, 4/1/29(1) | 1,269 | 1,134,308 | |
MPLX, L.P., 4.95%, 3/14/52 | 575 | 451,381 | |
ONEOK, Inc., 4.50%, 3/15/50 | 546 | 396,138 | |
Venture Global Calcasieu Pass, LLC: | |||
3.875%, 8/15/29(1) | 1,116 | 959,559 | |
3.875%, 11/1/33(1) | 665 | 518,324 | |
4.125%, 8/15/31(1) | 992 | 824,967 | |
Western Midstream Operating, L.P.: | |||
4.30%, 2/1/30 | 1,187 | 1,017,853 | |
4.50%, 3/1/28 | 148 | 134,152 | |
4.75%, 8/15/28 | 150 | 136,822 | |
Williams Cos., Inc. (The), 5.30%, 8/15/52 | 875 | 763,459 | |
$ 22,948,227 | |||
Private Equity — 0.0%(9) | |||
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 600 | $ 419,525 | |
$ 419,525 | |||
Publishing — 0.2% | |||
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 630 | $ 527,396 | |
8.00%, 8/1/29(1) | 2,378 | 1,955,429 | |
$ 2,482,825 | |||
Radio and Television — 0.8% | |||
Audacy Capital Corp., 6.75%, 3/31/29(1) | 1,627 | $ 395,047 |
Security | Principal Amount* (000's omitted) | Value | |
Radio and Television (continued) | |||
Clear Channel Outdoor Holdings, Inc.: | |||
5.125%, 8/15/27(1) | 740 | $ 626,319 | |
7.75%, 4/15/28(1) | 1,517 | 1,147,922 | |
CMG Media Corp., 8.875%, 12/15/27(1) | 3,533 | 2,703,805 | |
Sirius XM Radio, Inc.: | |||
3.125%, 9/1/26(1) | 946 | 832,007 | |
3.875%, 9/1/31(1) | 951 | 739,612 | |
5.00%, 8/1/27(1) | 1,609 | 1,479,982 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 1,492 | 1,365,547 | |
$ 9,290,241 | |||
Real Estate Investment Trusts (REITs) — 1.5% | |||
ADLER Group S.A., 2.25%, 1/14/29(14) | EUR | 100 | $ 48,127 |
Aedas Homes Opco SLU, 4.00%, 8/15/26(14) | EUR | 105 | 88,015 |
American Assets Trust, L.P., 3.375%, 2/1/31 | 1,000 | 795,665 | |
Broadstone Net Lease, LLC, 2.60%, 9/15/31 | 309 | 227,923 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 452 | 313,831 | |
Emeria SASU, 3.375%, 3/31/28(14) | EUR | 100 | 79,499 |
EPR Properties: | |||
3.60%, 11/15/31 | 600 | 429,416 | |
3.75%, 8/15/29 | 565 | 437,117 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 600 | 482,241 | |
3.75%, 9/15/30(1) | 1,816 | 1,324,363 | |
6.00%, 4/15/25(1) | 716 | 675,113 | |
Heimstaden Bostad AB: | |||
3.00% to 10/29/27(14)(16)(17) | EUR | 352 | 203,676 |
3.248% to 11/19/24(14)(16)(17) | EUR | 100 | 71,629 |
Neinor Homes S.A., 4.50%, 10/15/26(14) | EUR | 100 | 82,569 |
Newmark Group, Inc., 6.125%, 11/15/23 | 2,126 | 2,097,452 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 823 | 605,821 | |
Service Properties Trust, 4.75%, 10/1/26 | 995 | 752,150 | |
Sun Communities Operating, L.P.: | |||
2.30%, 11/1/28 | 245 | 196,918 | |
2.70%, 7/15/31 | 261 | 197,617 | |
4.20%, 4/15/32 | 236 | 197,998 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 323 | 283,571 | |
4.125%, 8/15/30(1) | 1,108 | 927,656 | |
4.25%, 12/1/26(1) | 1,653 | 1,494,145 | |
4.50%, 9/1/26(1) | 895 | 818,424 | |
4.625%, 12/1/29(1) | 2,359 | 2,051,740 | |
5.625%, 5/1/24(1) | 480 | 472,332 | |
5.75%, 2/1/27(1) | 2,073 | 1,957,835 |
Security | Principal Amount* (000's omitted) | Value | |
Real Estate Investment Trusts (REITs) (continued) | |||
Vornado Realty, L.P., 3.40%, 6/1/31 | 219 | $ 167,904 | |
$ 17,480,747 | |||
Retail — 0.9% | |||
Arko Corp., 5.125%, 11/15/29(1) | 2,276 | $ 1,779,650 | |
B&M European Value Retail S.A., 3.625%, 7/15/25(14) | GBP | 200 | 190,204 |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 540 | 334,772 | |
Dufry One B.V.: | |||
2.00%, 2/15/27(14) | EUR | 200 | 149,877 |
2.50%, 10/15/24(14) | EUR | 200 | 180,709 |
3.375%, 4/15/28(14) | EUR | 139 | 104,607 |
eG Global Finance PLC, 6.25%, 10/30/25(14) | EUR | 300 | 256,108 |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.: | |||
4.625%, 1/15/29(1) | 745 | 617,680 | |
6.75%, 1/15/30(1) | 1,988 | 1,514,617 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,328 | 1,072,280 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 957 | 783,981 | |
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(1) | 1,652 | 1,281,723 | |
Midco GB SASU, 7.75%, (7.75% cash or 8.50% PIK), 11/1/27(14)(15) | EUR | 130 | 122,390 |
Punch Finance PLC, 6.125%, 6/30/26(14) | GBP | 125 | 112,680 |
Stonegate Pub Co. Financing 2019 PLC, 8.25%, 7/31/25(14) | GBP | 100 | 98,117 |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 824 | 677,349 | |
Victoria's Secret & Co., 4.625%, 7/15/29(1) | 1,854 | 1,403,723 | |
$ 10,680,467 | |||
Retailers (Except Food and Drug) — 1.0% | |||
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 884 | $ 770,623 | |
6.75%, 7/1/36 | 437 | 360,798 | |
6.875%, 11/1/35 | 2,079 | 1,741,776 | |
6.95%, 3/1/33 | 1,027 | 827,615 | |
7.60%, 7/15/37 | 488 | 382,376 | |
9.375%, 7/1/25(1) | 182 | 188,643 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 2,417 | 2,383,392 | |
Murphy Oil USA, Inc.: | |||
4.75%, 9/15/29 | 170 | 150,815 | |
5.625%, 5/1/27 | 560 | 536,385 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 1,290 | 1,106,625 | |
7.75%, 2/15/29(1) | 2,469 | 2,211,088 |
Security | Principal Amount* (000's omitted) | Value | |
Retailers (Except Food and Drug) (continued) | |||
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 1,532 | $ 1,267,899 | |
$ 11,928,035 | |||
Semiconductors & Semiconductor Equipment — 0.2% | |||
Intel Corp., 4.90%, 8/5/52 | 850 | $ 752,179 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 1,544 | 1,323,728 | |
$ 2,075,907 | |||
Software and Services — 0.5% | |||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) | 825 | $ 705,375 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 1,248 | 1,066,029 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 427 | 356,398 | |
3.75%, 10/1/30(1) | 660 | 541,695 | |
4.50%, 7/1/28(1) | 908 | 813,209 | |
Playtech PLC, 4.25%, 3/7/26(14) | EUR | 100 | 89,152 |
Sabre GLBL, Inc., 9.25%, 4/15/25(1) | 1,459 | 1,398,838 | |
VMware, Inc., 2.20%, 8/15/31 | 1,196 | 872,358 | |
$ 5,843,054 | |||
Steel — 0.4% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 465 | $ 459,325 | |
ATI, Inc., 5.875%, 12/1/27 | 320 | 291,696 | |
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,147 | 1,058,325 | |
Infrabuild Australia Pty, Ltd., 12.00%, 10/1/24(1) | 2,494 | 2,318,647 | |
thyssenkrupp AG, 2.875%, 2/22/24(14) | EUR | 100 | 92,282 |
TMS International Corp., 6.25%, 4/15/29(1) | 1,365 | 971,607 | |
$ 5,191,882 | |||
Surface Transport — 0.1% | |||
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 218 | $ 177,339 | |
5.00%, 12/1/29(1) | 1,771 | 1,319,802 | |
$ 1,497,141 | |||
Technology — 0.6% | |||
Almaviva-The Italian Innovation Co. SpA, 4.875%, 10/30/26(14) | EUR | 265 | $ 219,461 |
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 892 | 816,416 | |
5.25%, 1/15/29(1) | 2,500 | 2,219,713 | |
6.25%, 1/15/27(1) | 976 | 946,720 | |
6.50%, 2/15/25(1) | 718 | 717,275 |
Security | Principal Amount* (000's omitted) | Value | |
Technology (continued) | |||
Minerva Merger Sub, Inc., 6.50%, 2/15/30(1) | 2,297 | $ 1,820,258 | |
Western Union Co. (The), 6.20%, 11/17/36 | 872 | 832,297 | |
$ 7,572,140 | |||
Telecommunications — 3.0% | |||
Altice France Holding S.A.: | |||
6.00%, 2/15/28(1) | 719 | $ 457,591 | |
10.50%, 5/15/27(1) | 1,599 | 1,256,087 | |
AT&T, Inc., 3.55%, 9/15/55 | 1,589 | 1,047,071 | |
Ciena Corp., 4.00%, 1/31/30(1) | 883 | 738,528 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 2,698 | 2,363,157 | |
DKT Finance ApS, 9.375%, 6/17/23(1) | 889 | 860,997 | |
Iliad Holding SASU: | |||
5.125%, 10/15/26(14) | EUR | 100 | 88,820 |
5.625%, 10/15/28(14) | EUR | 236 | 199,059 |
6.50%, 10/15/26(1) | 989 | 866,418 | |
7.00%, 10/15/28(1) | 811 | 696,130 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 840 | 633,740 | |
6.75%, 10/15/27(1) | 1,482 | 1,232,098 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 400 | 312,912 | |
Lorca Telecom Bondco S.A., 4.00%, 9/18/27(14) | EUR | 743 | 635,632 |
Matterhorn Telecom S.A., 3.125%, 9/15/26(14) | EUR | 200 | 171,754 |
NBN Co., Ltd., 2.625%, 5/5/31(1) | 1,000 | 797,369 | |
Nokia Oyj, 6.625%, 5/15/39 | 600 | 557,124 | |
PLT VII Finance S.a.r.l., 4.625%, 1/5/26(14) | EUR | 300 | 264,591 |
Radiate Holdco, LLC/Radiate Finance, Inc., 6.50%, 9/15/28(1) | 562 | 393,170 | |
Rogers Communications, Inc., 4.35%, 5/1/49 | 650 | 497,253 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 314 | 241,389 | |
SES S.A., 5.30%, 4/4/43(1) | 186 | 142,270 | |
SoftBank Group Corp., 2.875%, 1/6/27(14) | EUR | 200 | 150,842 |
Sprint Capital Corp., 6.875%, 11/15/28 | 2,379 | 2,448,645 | |
Sprint Communications, Inc., 6.00%, 11/15/22 | 365 | 365,365 | |
Sprint Corp.: | |||
7.625%, 2/15/25 | 1,785 | 1,832,815 | |
7.625%, 3/1/26 | 993 | 1,028,740 | |
7.875%, 9/15/23 | 7,378 | 7,465,577 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 907 | 746,416 | |
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(14) | EUR | 135 | 106,231 |
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(14) | EUR | 150 | 125,707 |
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 130 | 132,133 |
Telecom Italia SpA: | |||
1.625%, 1/18/29(14) | EUR | 100 | 69,832 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Telecom Italia SpA: (continued) | |||
2.50%, 7/19/23(14) | EUR | 400 | $ 386,451 |
2.75%, 4/15/25(14) | EUR | 356 | 322,720 |
3.00%, 9/30/25(14) | EUR | 240 | 216,209 |
5.303%, 5/30/24(1) | 1,118 | 1,057,455 | |
Telefonica Europe B.V.: | |||
2.875% to 6/24/27(14)(16)(17) | EUR | 100 | 77,904 |
2.88% to 2/24/28(14)(16)(17) | EUR | 200 | 150,609 |
4.375% to 12/14/24(14)(16)(17) | EUR | 100 | 92,883 |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 851 | 762,649 | |
2.625%, 2/15/29 | 1,064 | 880,657 | |
2.875%, 2/15/31 | 638 | 514,997 | |
4.75%, 2/1/28 | 1,045 | 988,335 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 476 | 396,989 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 868 | 695,650 | |
Vmed O2 UK Financing I PLC, 3.25%, 1/31/31(14) | EUR | 200 | 148,792 |
Vodafone Group PLC, 4.875% to 7/3/25, 10/3/78(14)(17) | GBP | 350 | 337,059 |
Wp/ap Telecom Holdings III B.V., 5.50%, 1/15/30(14) | EUR | 350 | 257,263 |
$ 36,212,085 | |||
Transportation — 0.3% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 1,528 | $ 1,318,618 | |
FedEx Corp., 4.10%, 2/1/45 | 500 | 363,622 | |
Fenix Marine Service Holdings, Ltd., 8.00%, 1/15/24 | 150 | 156,436 | |
Getlink SE, 3.50%, 10/30/25(14) | EUR | 415 | 372,172 |
Seaspan Corp., 5.50%, 8/1/29(1) | 1,654 | 1,277,651 | |
$ 3,488,499 | |||
Utilities — 1.2% | |||
AES Corp. (The), 2.45%, 1/15/31 | 556 | $ 426,180 | |
Calpine Corp.: | |||
3.75%, 3/1/31(1) | 600 | 470,472 | |
4.50%, 2/15/28(1) | 1,073 | 947,652 | |
4.625%, 2/1/29(1) | 680 | 555,427 | |
5.00%, 2/1/31(1) | 910 | 724,366 | |
5.125%, 3/15/28(1) | 1,511 | 1,300,883 | |
5.25%, 6/1/26(1) | 344 | 324,714 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 838 | 676,434 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 60 | 57,584 | |
4.50%, 9/15/27(1) | 1,207 | 1,101,068 |
Security | Principal Amount* (000's omitted) | Value | |
Utilities (continued) | |||
NRG Energy, Inc.: | |||
3.375%, 2/15/29(1) | 664 | $ 538,550 | |
3.625%, 2/15/31(1) | 1,107 | 865,840 | |
3.875%, 2/15/32(1) | 1,466 | 1,146,705 | |
5.25%, 6/15/29(1) | 673 | 590,241 | |
5.75%, 1/15/28 | 1,455 | 1,345,804 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(1) | 1,497 | 1,320,930 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 939 | 783,117 | |
5.00%, 7/31/27(1) | 1,278 | 1,157,210 | |
$ 14,333,177 | |||
Total Corporate Bonds (identified cost $737,099,642) | $ 629,210,282 |
Preferred Stocks — 0.2% |
Security | Shares | Value | |
Building and Development — 0.1% | |||
Brookfield Property Partners, L.P., Series A, 5.75%(12) | 39,292 | $ 667,964 | |
$ 667,964 | |||
Financial Services — 0.0% | |||
DBI Investors, Inc., Series A-1(10)(11)(12) | 1,932 | $ 0 | |
$ 0 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., 15.00% (PIK)(11)(12) | 1,803 | $ 1,116,733 | |
$ 1,116,733 | |||
Pipelines — 0.0%(9) | |||
NuStar Energy, L.P., Series B, 9.126%, (3 mo. USD LIBOR + 5.643%)(2) | 28,087 | $ 542,922 | |
$ 542,922 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC: | |||
Series A, 8.00% (PIK)(10)(11)(12) | 1,136 | $ 0 | |
Series B, 12.00% (PIK)(10)(11)(12) | 4,631 | 0 | |
$ 0 |
Security | Shares | Value | |
Telecommunications — 0.0%(9) | |||
United States Cellular Corp., 6.25%(12) | 18,950 | $ 393,023 | |
$ 393,023 | |||
Total Preferred Stocks (identified cost $2,483,846) | $ 2,720,642 |
Rights (11) — 0.0%(9) |
Security | Shares | Value | |
Diversified Financial Services — 0.0%(9) | |||
BlackRock Corporate High Yield Fund, Inc., Exp. 10/12/22 | 2,188,579 | $ 4,377 | |
Total Rights (identified cost $0) | $ 4,377 |
Senior Floating-Rate Loans — 51.3%(19) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.4% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 796 | $ 673,759 |
Term Loan, 4.10%, (3 mo. EURIBOR + 3.00%), 2/22/27 | EUR | 204 | 172,759 |
AI Convoy (Luxembourg) S.a.r.l.: | |||
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 1,000 | 905,321 |
Term Loan, 5.052%, (6 mo. USD LIBOR + 3.50%), 1/18/27 | 729 | 706,655 | |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 4/6/26 | 647 | 598,370 | |
Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 4/6/26 | 348 | 321,705 | |
IAP Worldwide Services, Inc.: | |||
Revolving Loan, 0.75%, 7/18/23(20) | 172 | 165,820 | |
Term Loan - Second Lien, 10.174%, (3 mo. USD LIBOR + 6.50%), 7/18/23(10) | 218 | 169,366 | |
Spirit Aerosystems, Inc., Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 1/15/25 | 492 | 488,186 | |
TransDigm, Inc.: | |||
Term Loan, 5.924%, (3 mo. USD LIBOR + 2.25%), 8/22/24 | 1,340 | 1,304,605 | |
Term Loan, 5.924%, (3 mo. USD LIBOR + 2.25%), 12/9/25 | 5,391 | 5,177,254 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense (continued) | |||
WP CPP Holdings, LLC, Term Loan, 6.56%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 6,490 | $ 5,827,495 | |
$ 16,511,295 | |||
Airlines — 0.2% | |||
Mileage Plus Holdings, LLC, Term Loan, 8.777%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | 713 | $ 716,444 | |
SkyMiles IP, Ltd., Term Loan, 6.46%, (3 mo. USD LIBOR + 3.75%), 10/20/27 | 1,950 | 1,959,616 | |
$ 2,676,060 | |||
Auto Components — 1.4% | |||
Adient US, LLC, Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 4/10/28 | 864 | $ 818,159 | |
American Axle and Manufacturing, Inc., Term Loan, 5.06%, (USD LIBOR + 2.25%), 4/6/24(21) | 1,663 | 1,632,663 | |
Chassix, Inc., Term Loan, 7.858%, (USD LIBOR + 5.50%), 11/15/23(21) | 1,429 | 1,314,450 | |
Clarios Global, L.P., Term Loan, 3.935%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 1,373 | 1,222,338 |
DexKo Global, Inc.: | |||
Term Loan, 4.685%, (1 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 96 | 84,276 |
Term Loan, 4.685%, (1 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 595 | 523,764 |
Term Loan, 5.193%, (3 mo. EURIBOR + 4.00%), 10/4/28 | EUR | 309 | 272,372 |
Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 821 | 755,508 | |
Garrett LX I S.a.r.l.: | |||
Term Loan, 3.738%, (3 mo. EURIBOR + 3.50%), 4/30/28 | EUR | 1,000 | 916,347 |
Term Loan, 6.06%, (3 mo. USD LIBOR + 3.25%), 4/30/28 | 644 | 612,934 | |
LTI Holdings, Inc.: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 9/6/25 | 3,365 | 3,126,731 | |
Term Loan, 7.615%, (1 mo. USD LIBOR + 4.50%), 7/24/26 | 714 | 675,087 | |
Tenneco, Inc., Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 10/1/25 | 3,633 | 3,578,936 | |
TI Group Automotive Systems, LLC, Term Loan, 4.443%, (3 mo. EURIBOR + 3.25%), 12/16/26 | EUR | 524 | 474,857 |
Wheel Pros, LLC, Term Loan, 7.552%, (1 mo. USD LIBOR + 4.50%), 5/11/28 | 891 | 661,806 | |
$ 16,670,228 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Automobiles — 0.2% | |||
MajorDrive Holdings IV, LLC: | |||
Term Loan, 7.125%, (3 mo. USD LIBOR + 4.00%), 6/1/28 | 444 | $ 409,936 | |
Term Loan, 8.597%, (SOFR + 5.65%), 6/1/29 | 1,642 | 1,600,706 | |
Thor Industries, Inc., Term Loan, 6.125%, (1 mo. USD LIBOR + 3.00%), 2/1/26 | 763 | 753,953 | |
$ 2,764,595 | |||
Beverages — 0.0%(9) | |||
City Brewing Company, LLC, Term Loan, 6.185%, (1 mo. USD LIBOR + 3.50%), 4/5/28 | 643 | $ 504,659 | |
$ 504,659 | |||
Biotechnology — 0.1% | |||
Alkermes, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 2.50%), 3/12/26 | 1,090 | $ 1,052,014 | |
Alltech, Inc., Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 10/13/28 | 471 | 453,170 | |
$ 1,505,184 | |||
Building Products — 0.3% | |||
ACProducts, Inc., Term Loan, 7.325%, (USD LIBOR + 4.25%), 5/17/28(21) | 1,753 | $ 1,295,204 | |
LHS Borrower, LLC, Term Loan, 7.884%, (SOFR + 4.75%), 2/16/29 | 1,846 | 1,508,880 | |
Standard Industries, Inc., Term Loan, 6.675%, (6 mo. USD LIBOR + 2.50%), 9/22/28 | 1,123 | 1,092,807 | |
$ 3,896,891 | |||
Capital Markets — 1.8% | |||
Advisor Group, Inc., Term Loan, 7.615%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 1,143 | $ 1,087,838 | |
Andromeda Investissements, Term Loan, 4.00%, (3 mo. EURIBOR + 3.00%), 6/12/26 | EUR | 1,250 | 1,151,559 |
Aretec Group, Inc., Term Loan, 7.384%, (SOFR + 4.25%), 10/1/25 | 2,318 | 2,246,234 | |
Brookfield Property REIT, Inc., Term Loan, 5.609%, (SOFR + 2.50%), 8/27/25 | 778 | 753,747 | |
CeramTec AcquiCo GmbH, Term Loan, 4.332%, (3 mo. EURIBOR + 3.75%), 2/2/29 | EUR | 760 | 659,930 |
Citco Funding, LLC, Term Loan, 6.174%, (3 mo. USD LIBOR + 2.50%), 9/28/23 | 3,853 | 3,828,998 | |
EIG Management Company, LLC, Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 2/22/25 | 263 | 254,746 | |
FinCo I, LLC, Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 6/27/25 | 638 | 633,326 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Focus Financial Partners, LLC, Term Loan, 5.115%, (1 mo. USD LIBOR + 2.00%), 7/3/24 | 2,931 | $ 2,864,830 | |
Franklin Square Holdings, L.P., Term Loan, 5.375%, (1 mo. USD LIBOR + 2.25%), 8/1/25 | 528 | 517,438 | |
Greenhill & Co., Inc., Term Loan, 6.32%, (3 mo. USD LIBOR + 3.25%), 4/12/24 | 888 | 873,693 | |
Guggenheim Partners, LLC, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 7/21/23 | 2,630 | 2,609,789 | |
Hudson River Trading, LLC, Term Loan, 6.164%, (SOFR + 3.00%), 3/20/28 | 2,194 | 1,987,100 | |
Mariner Wealth Advisors, LLC: | |||
Term Loan, 6.223%, (SOFR + 3.25%), 8/18/28 | 35 | 33,190 | |
Term Loan, 7.065%, (SOFR + 3.25%), 8/18/28 | 69 | 65,980 | |
Term Loan, 7.065%, (SOFR + 3.25%), 8/18/28 | 482 | 461,165 | |
Term Loan, 7.065%, (SOFR + 3.25%), 8/18/28 | 208 | 198,641 | |
Victory Capital Holdings, Inc., Term Loan, 4.543%, (3 mo. USD LIBOR + 2.25%), 7/1/26 | 898 | 870,322 | |
$ 21,098,526 | |||
Chemicals — 2.0% | |||
Aruba Investments, Inc., Term Loan, 4.68%, (1 mo. EURIBOR + 4.00%), 11/24/27 | EUR | 985 | $ 895,362 |
Caldic B.V., Term Loan, 4.185%, (1 mo. EURIBOR + 3.50%), 2/3/29 | EUR | 1,000 | 889,396 |
Flint Group GmbH, Term Loan, 7.759%, (3 mo. USD LIBOR + 5.00%), 7.009% cash, 0.75% PIK, 9/21/23 | 21 | 17,221 | |
Flint Group US LLC, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23 | 127 | 104,101 | |
Groupe Solmax, Inc., Term Loan, 8.392%, (3 mo. USD LIBOR + 4.75%), 5/29/28 | 198 | 177,329 | |
INEOS Enterprises Holdings II Limited, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 200 | 181,211 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 6.57%, (3 mo. USD LIBOR + 3.50%), 8/28/26 | 219 | 208,537 | |
INEOS Finance PLC, Term Loan, 2.685%, (1 mo. EURIBOR + 2.00%), 4/1/24 | EUR | 1,199 | 1,136,018 |
INEOS Quattro Holdings UK, Ltd., Term Loan, 3.435%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 1,000 | 878,982 |
INEOS Styrolution Group GmbH, Term Loan, 2.685%, (1 mo. EURIBOR + 2.00%), 1/29/27 | EUR | 1,000 | 868,978 |
INEOS Styrolution US Holding, LLC, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 1/29/26 | 2,321 | 2,169,784 | |
INEOS US Finance, LLC: | |||
Term Loan, 4/1/24(22) | 2,830 | 2,744,597 | |
Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 11/8/28 | 622 | 587,672 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Kraton Corporation, Term Loan, 6.718%, (SOFR + 3.25%), 3/15/29 | 448 | $ 432,452 | |
Kraton Polymers Holdings B.V., Term Loan, 4.25%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 500 | 460,624 |
Lonza Group AG: | |||
Term Loan, 5.193%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 1,000 | 857,544 |
Term Loan, 7.674%, (3 mo. USD LIBOR + 4.00%), 7/3/28 | 1,731 | 1,556,552 | |
LSF11 Skyscraper Holdco S.a.r.l., Term Loan, 4.693%, (3 mo. EURIBOR + 3.50%), 9/29/27 | EUR | 1,000 | 940,848 |
Messer Industries GmbH, Term Loan, 6.174%, (3 mo. USD LIBOR + 2.50%), 3/2/26 | 1,324 | 1,269,815 | |
Momentive Performance Materials, Inc., Term Loan, 6.37%, (1 mo. USD LIBOR + 3.25%), 5/15/24 | 460 | 446,350 | |
Olympus Water U.S. Holding Corporation, Term Loan, 8.153%, (SOFR + 4.50%), 11/9/28 | 373 | 346,190 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 3.693%, (3 mo. EURIBOR + 2.50%), 9/24/28 | EUR | 1,000 | 945,952 |
Term Loan, 5.924%, (3 mo. USD LIBOR + 2.25%), 9/24/28 | 371 | 360,345 | |
Rohm Holding GmbH: | |||
Term Loan, 4.881%, (6 mo. EURIBOR + 4.25%), 7/31/26 | EUR | 500 | 386,660 |
Term Loan, 8.121%, (6 mo. USD LIBOR + 4.75%), 7/31/26 | 928 | 733,301 | |
Starfruit Finco B.V., Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 10/1/25 | 2,256 | 2,123,007 | |
Tronox Finance, LLC, Term Loan, 5.83%, (USD LIBOR + 2.25%), 3/10/28(21) | 1,318 | 1,254,370 | |
Venator Materials Corporation, Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 8/8/24 | 404 | 351,263 | |
W.R. Grace & Co.-Conn., Term Loan, 7.438%, (3 mo. USD LIBOR + 3.75%), 9/22/28 | 1,117 | 1,052,360 | |
$ 24,376,821 | |||
Commercial Services & Supplies — 1.5% | |||
Allied Universal Holdco, LLC: | |||
Term Loan, 4.435%, (1 mo. EURIBOR + 3.75%), 5/12/28 | EUR | 990 | $ 848,969 |
Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 5/12/28 | 2,713 | 2,392,870 | |
Aramark Services, Inc., Term Loan, 4.865%, (1 mo. USD LIBOR + 1.75%), 3/11/25 | 933 | 907,305 | |
Asplundh Tree Expert, LLC, Term Loan, 4.865%, (1 mo. USD LIBOR + 1.75%), 9/7/27 | 1,103 | 1,079,485 | |
EnergySolutions, LLC, Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 4,736 | 4,392,932 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Harsco Corporation, Term Loan, 5.375%, (1 mo. USD LIBOR + 2.25%), 3/10/28 | 395 | $ 347,600 | |
LABL, Inc., Term Loan, 8.115%, (1 mo. USD LIBOR + 5.00%), 10/29/28 | 720 | 652,823 | |
Monitronics International, Inc., Term Loan, 10.306%, (3 mo. USD LIBOR + 7.50%), 3/29/24 | 1,962 | 1,317,227 | |
PECF USS Intermediate Holding III Corporation, Term Loan, 7.365%, (1 mo. USD LIBOR + 4.25%), 12/15/28 | 645 | 553,598 | |
Phoenix Services International, LLC: | |||
DIP Loan, 3/28/23(22) | 163 | 162,913 | |
Term Loan, 8.25%, (USD Prime + 2.75%), 3/1/25 | 862 | 176,228 | |
Prime Security Services Borrower, LLC, Term Loan, 5.303%, (1 mo. USD LIBOR + 2.75%), 9/23/26 | 1,521 | 1,476,006 | |
SITEL Group, Term Loan, 4.44%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 500 | 466,443 |
SITEL Worldwide Corporation, Term Loan, 6.87%, (1 mo. USD LIBOR + 3.75%), 8/28/28 | 1,881 | 1,824,570 | |
Tempo Acquisition, LLC, Term Loan, 6.034%, (SOFR + 3.00%), 8/31/28 | 835 | 815,217 | |
Werner FinCo, L.P., Term Loan, 7.674%, (3 mo. USD LIBOR + 4.00%), 7/24/24 | 998 | 898,339 | |
$ 18,312,525 | |||
Communications Equipment — 0.2% | |||
CommScope, Inc., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | 1,770 | $ 1,636,006 | |
Digi International, Inc., Term Loan, 7.806%, (3 mo. USD LIBOR + 5.00%), 11/1/28 | 393 | 384,018 | |
Tiger Acquisition, LLC, Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 6/1/28 | 495 | 459,938 | |
$ 2,479,962 | |||
Construction Materials — 0.5% | |||
Oscar Acquisition Co, LLC, Term Loan, 8.153%, (SOFR + 4.50%), 4/29/29 | 900 | $ 830,812 | |
Quikrete Holdings, Inc.: | |||
Term Loan, 5.74%, (1 mo. USD LIBOR + 2.63%), 2/1/27 | 2,922 | 2,813,506 | |
Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 6/11/28 | 2,164 | 2,088,381 | |
$ 5,732,699 | |||
Containers & Packaging — 1.0% | |||
Berlin Packaging, LLC, Term Loan, 6.382%, (USD LIBOR + 3.75%), 3/11/28(21) | 1,238 | $ 1,169,954 | |
BWAY Holding Company, Term Loan, 5.814%, (1 mo. USD LIBOR + 3.25%), 4/3/24 | 2,498 | 2,335,562 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging (continued) | |||
Clydesdale Acquisition Holdings, Inc., Term Loan, 7.309%, (SOFR + 4.18%), 4/13/29 | 574 | $ 542,631 | |
Kouti B.V., Term Loan, 3.757%, (3 mo. EURIBOR + 3.18%), 8/31/28 | EUR | 2,000 | 1,755,922 |
Pregis TopCo Corporation, Term Loan, 6.806%, (3 mo. USD LIBOR + 4.00%), 7/31/26 | 632 | 603,153 | |
Pretium PKG Holdings, Inc.: | |||
Term Loan, 6.502%, (USD LIBOR + 4.00%), 10/2/28(21) | 620 | 561,383 | |
Term Loan - Second Lien, 9.473%, (3 mo. USD LIBOR + 6.75%), 10/1/29 | 350 | 301,875 | |
Proampac PG Borrower, LLC, Term Loan, 6.349%, (USD LIBOR + 3.75%), 11/3/25(21) | 568 | 532,284 | |
Reynolds Group Holdings, Inc.: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 2/5/26 | 1,351 | 1,296,900 | |
Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 9/24/28 | 965 | 926,399 | |
Trident TPI Holdings, Inc.: | |||
Term Loan, 6.30%, (3 mo. USD LIBOR + 4.00%), 9/15/28(20) | 99 | 93,995 | |
Term Loan, 6.924%, (3 mo. USD LIBOR + 3.25%), 10/17/24 | 811 | 794,264 | |
Term Loan, 7.674%, (3 mo. USD LIBOR + 4.00%), 9/15/28 | 694 | 659,801 | |
$ 11,574,123 | |||
Distributors — 0.2% | |||
Autokiniton US Holdings, Inc., Term Loan, 7.185%, (1 mo. USD LIBOR + 4.50%), 4/6/28 | 518 | $ 478,907 | |
Phillips Feed Service, Inc., Term Loan, 9.993%, (1 mo. USD LIBOR + 7.00%), 11/13/24(10) | 107 | 85,458 | |
White Cap Buyer, LLC, Term Loan, 6.784%, (SOFR + 3.75%), 10/19/27 | 2,063 | 1,937,860 | |
$ 2,502,225 | |||
Diversified Consumer Services — 0.3% | |||
Ascend Learning, LLC, Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 12/11/28 | 645 | $ 597,144 | |
Corporation Service Company, Term Loan, 8/31/29(22) | 350 | 342,125 | |
KUEHG Corp.: | |||
Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 2/21/25 | 2,231 | 2,114,215 | |
Term Loan - Second Lien, 11.365%, (1 mo. USD LIBOR + 8.25%), 8/22/25 | 425 | 415,437 | |
Sotheby's, Term Loan, 7.012%, (3 mo. USD LIBOR + 4.50%), 1/15/27 | 443 | 429,431 | |
$ 3,898,352 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services — 0.2% | |||
Concorde Midco Ltd., Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 1,000 | $ 909,813 |
Sandy BidCo B.V., Term Loan, 4.68%, (1 mo. EURIBOR + 4.00%), 8/17/29 | EUR | 1,000 | 914,713 |
Zephyr Bidco Limited, Term Loan, 6.474%, (SONIA + 4.75%), 7/23/25 | GBP | 775 | 722,547 |
$ 2,547,073 | |||
Diversified Telecommunication Services — 3.0% | |||
CenturyLink, Inc., Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | 7,197 | $ 6,562,949 | |
eircom Finco S.a.r.l., Term Loan, 3.631%, (1 mo. EURIBOR + 3.25%), 5/15/26 | EUR | 1,786 | 1,631,867 |
GEE Holdings 2, LLC: | |||
Term Loan, 11.604%, (3 mo. USD LIBOR + 8.00%), 3/24/25 | 329 | 326,348 | |
Term Loan - Second Lien, 11.854%, (3 mo. USD LIBOR + 8.25%), 5.104% cash, 6.75% PIK, 3/23/26 | 701 | 536,615 | |
Numericable Group S.A.: | |||
Term Loan, 3.238%, (3 mo. EURIBOR + 3.00%), 7/31/25 | EUR | 497 | 440,590 |
Term Loan, 5.556%, (3 mo. USD LIBOR + 2.75%), 7/31/25 | 2,037 | 1,879,248 | |
Telenet International Finance S.a.r.l., Term Loan, 2.613%, (6 mo. EURIBOR + 2.25%), 4/30/29 | EUR | 1,750 | 1,577,881 |
UPC Broadband Holding B.V.: | |||
Term Loan, 2.863%, (6 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 1,500 | 1,349,407 |
Term Loan, 3.363%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 3,000 | 2,762,271 |
Term Loan, 5.068%, (1 mo. USD LIBOR + 2.25%), 4/30/28 | 900 | 860,625 | |
UPC Financing Partnership, Term Loan, 5.743%, (1 mo. USD LIBOR + 2.93%), 1/31/29 | 3,025 | 2,896,438 | |
Virgin Media Bristol, LLC, Term Loan, 6.068%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 1,150 | 1,116,321 | |
Virgin Media Ireland Limited, Term Loan, 3.863%, (6 mo. EURIBOR + 3.50%), 7/15/29 | EUR | 1,000 | 906,241 |
Virgin Media SFA Finance Limited: | |||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 1,300 | 1,160,036 |
Term Loan, 4.973%, (SONIA + 3.25%), 11/15/27 | GBP | 1,500 | 1,493,734 |
Zayo Group Holdings, Inc.: | |||
Term Loan, 3.935%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 975 | 815,401 |
Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 3/9/27 | 2,171 | 1,824,487 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
Ziggo B.V., Term Loan, 3.764%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 3,750 | $ 3,321,451 |
Ziggo Financing Partnership, Term Loan, 5.318%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 4,150 | 3,962,507 | |
$ 35,424,417 | |||
Electrical Equipment — 0.2% | |||
AZZ, Inc., Term Loan, 7.085%, (SOFR + 4.25%), 5/13/29 | 376 | $ 366,543 | |
GrafTech Finance, Inc., Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 2/12/25 | 978 | 917,201 | |
II-VI Incorporated, Term Loan, 5.314%, (1 mo. USD LIBOR + 2.75%), 7/2/29 | 1,000 | 970,833 | |
$ 2,254,577 | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
Chamberlain Group, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 11/3/28 | 1,538 | $ 1,403,767 | |
CPI International, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 7/26/24 | 653 | 647,347 | |
Creation Technologies, Inc., Term Loan, 7.785%, (3 mo. USD LIBOR + 5.50%), 10/5/28 | 973 | 812,090 | |
Minimax Viking GmbH, Term Loan, 3.435%, (1 mo. EURIBOR + 2.75%), 7/31/25 | EUR | 950 | 898,112 |
Mirion Technologies, Inc., Term Loan, 5.627%, (6 mo. USD LIBOR + 2.75%), 10/20/28 | 695 | 666,092 | |
Robertshaw US Holding Corp., Term Loan, 6.625%, (1 mo. USD LIBOR + 3.50%), 2/28/25 | 1,003 | 840,638 | |
Verifone Systems, Inc., Term Loan, 6.997%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 1,229 | 1,100,291 | |
Verisure Holding AB, Term Loan, 3.473%, (6 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 1,000 | 878,125 |
$ 7,246,462 | |||
Energy Equipment & Services — 0.1% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 14.471%, (1 mo. USD LIBOR + 13.00%), 12/29/23(20) | 106 | $ 52,454 | |
Term Loan, 16.674%, (3 mo. USD LIBOR + 13.00%), 11.674% cash, 5.00% PIK, 12/31/23 | 834 | 413,665 | |
Lealand Finance Company B.V., Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 4.115% cash, 3.00% PIK, 6/30/25 | 225 | 114,850 | |
$ 580,969 | |||
Engineering & Construction — 0.4% | |||
Aegion Corporation, Term Loan, 7.865%, (1 mo. USD LIBOR + 4.75%), 5/17/28 | 470 | $ 433,805 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Engineering & Construction (continued) | |||
Amentum Government Services Holdings, LLC: | |||
Term Loan, 7.393%, (SOFR + 4.00%), 2/15/29 | 748 | $ 716,953 | |
Term Loan, 7.798%, (USD LIBOR + 4.00%), 1/29/27(21) | 1,002 | 959,355 | |
American Residential Services, LLC, Term Loan, 7.174%, (3 mo. USD LIBOR + 3.50%), 10/15/27 | 565 | 542,340 | |
APi Group DE, Inc., Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 10/1/26 | 1,433 | 1,398,557 | |
Northstar Group Services, Inc., Term Loan, 8.615%, (1 mo. USD LIBOR + 5.50%), 11/12/26 | 219 | 214,810 | |
$ 4,265,820 | |||
Entertainment — 1.2% | |||
Alchemy Copyrights, LLC, Term Loan, 5.564%, (1 mo. USD LIBOR + 3.00%), 3/10/28 | 466 | $ 455,047 | |
AMC Entertainment Holdings, Inc., Term Loan, 5.756%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | 1,809 | 1,421,867 | |
City Football Group Limited, Term Loan, 6.484%, (3 mo. USD LIBOR + 3.50%), 7/21/28 | 1,365 | 1,282,806 | |
Crown Finance US, Inc.: | |||
DIP Loan, 0.00%, 9/7/23(20) | 98 | 100,373 | |
DIP Loan, 12.783%, (SOFR + 10.00%), 9/8/23 | 1,169 | 1,194,444 | |
Term Loan, 0.00%, 9/30/26(18) | 1,500 | 633,544 | |
Term Loan, 10.076%, (6 mo. USD LIBOR + 8.25%), 2/28/25 | 210 | 227,003 | |
Term Loan, 18.924%, (3 mo. USD LIBOR + 15.25%), 10.674% cash, 8.25% PIK, 5/23/24 | 286 | 340,232 | |
Delta 2 (LUX) S.a.r.l., Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 2/1/24 | 1,125 | 1,115,818 | |
Playtika Holding Corp., Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 3/13/28 | 2,181 | 2,095,583 | |
Renaissance Holding Corp.: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 5/30/25 | 1,687 | 1,607,562 | |
Term Loan, 7.096%, (SOFR + 4.50%), 3/30/29 | 175 | 167,871 | |
Term Loan - Second Lien, 10.115%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 200 | 191,500 | |
UFC Holdings, LLC, Term Loan, 5.52%, (3 mo. USD LIBOR + 2.75%), 4/29/26 | 2,825 | 2,719,445 | |
Vue International Bidco PLC: | |||
Term Loan, 4.75%, (6 mo. EURIBOR + 4.75%), 7/3/26 | EUR | 1,081 | 755,507 |
Term Loan, 9.766%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 121 | 116,048 |
$ 14,424,650 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 4.865%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 883 | $ 860,555 | |
$ 860,555 | |||
Food & Staples Retailing — 0.2% | |||
BJ's Wholesale Club, Inc., Term Loan, 4.773%, (1 mo. USD LIBOR + 2.00%), 2/3/24 | 487 | $ 486,906 | |
US Foods, Inc., Term Loan, 5.115%, (1 mo. USD LIBOR + 2.00%), 9/13/26 | 1,673 | 1,629,153 | |
$ 2,116,059 | |||
Food Products — 1.0% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 7.865%, (1 mo. USD LIBOR + 4.75%), 10/1/25 | 594 | $ 527,175 | |
Badger Buyer Corp., Term Loan, 6.628%, (1 mo. USD LIBOR + 3.50%), 9/30/24 | 380 | 345,166 | |
CHG PPC Parent, LLC: | |||
Term Loan, 4.185%, (1 mo. EURIBOR + 3.50%), 3/31/25 | EUR | 2,000 | 1,831,061 |
Term Loan, 6.125%, (1 mo. USD LIBOR + 3.00%), 12/8/28 | 473 | 453,720 | |
Del Monte Foods, Inc., Term Loan, 7.368%, (SOFR + 4.35%), 5/16/29 | 450 | 431,437 | |
Froneri International, Ltd.: | |||
Term Loan, 3.006%, (6 mo. EURIBOR + 2.38%), 1/29/27 | EUR | 1,275 | 1,129,606 |
Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 1/29/27 | 2,151 | 2,034,240 | |
Monogram Food Solutions, LLC, Term Loan, 7.125%, (1 mo. USD LIBOR + 4.00%), 8/28/28 | 546 | 526,769 | |
Nomad Foods Europe Midco Limited, Term Loan, 2.863%, (6 mo. EURIBOR + 2.50%), 6/24/28 | EUR | 3,000 | 2,752,716 |
Shearer's Foods, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 9/23/27 | 392 | 365,654 | |
Sovos Brands Intermediate, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 6/8/28 | 497 | 475,412 | |
United Petfood Group B.V., Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 4/23/28 | EUR | 750 | 671,641 |
Valeo F1 Company Limited (Ireland), Term Loan, 5.193%, (3 mo. EURIBOR + 4.00%), 6/30/28 | EUR | 1,000 | 847,743 |
$ 12,392,340 | |||
Health Care Equipment & Supplies — 0.2% | |||
Bayou Intermediate II, LLC, Term Loan, 7.302%, (3 mo. USD LIBOR + 4.50%), 8/2/28 | 744 | $ 709,017 | |
CryoLife, Inc., Term Loan, 7.174%, (3 mo. USD LIBOR + 3.50%), 6/1/27 | 524 | 496,372 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Equipment & Supplies (continued) | |||
Journey Personal Care Corp., Term Loan, 7.924%, (3 mo. USD LIBOR + 4.25%), 3/1/28 | 1,037 | $ 673,105 | |
Medline Borrower, L.P., Term Loan, 4.185%, (1 mo. EURIBOR + 3.50%), 10/23/28 | EUR | 1,000 | 916,959 |
$ 2,795,453 | |||
Health Care Providers & Services — 3.1% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 7.438%, (3 mo. USD LIBOR + 3.75%), 9/7/28 | 1,067 | $ 1,042,931 | |
Biogroup-LCD, Term Loan, 3.027%, (3 mo. EURIBOR + 2.75%), 2/9/28 | EUR | 750 | 659,390 |
BW NHHC Holdco, Inc., Term Loan, 7.961%, (3 mo. USD LIBOR + 5.00%), 5/15/25 | 3,691 | 2,321,589 | |
CCRR Parent, Inc., Term Loan, 6.87%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 517 | 509,734 | |
Cerba Healthcare S.A.S., Term Loan, 3.935%, (1 mo. EURIBOR + 3.25%), 6/30/28 | EUR | 1,250 | 1,106,130 |
CHG Healthcare Services, Inc., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 9/29/28 | 1,089 | 1,047,774 | |
Covis Finco S.a.r.l., Term Loan, 10.203%, (SOFR + 6.50%), 2/18/27 | 926 | 738,684 | |
Dedalus Finance GmbH, Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 500 | 454,498 |
Electron BidCo, Inc., Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 11/1/28 | 796 | 756,366 | |
Elsan S.A.S., Term Loan, 4.263%, (EURIBOR + 3.35%), 6/16/28(21) | EUR | 1,500 | 1,370,845 |
Ensemble RCM, LLC, Term Loan, 6.556%, (3 mo. USD LIBOR + 3.75%), 8/3/26 | 1,320 | 1,290,763 | |
Envision Healthcare Corporation: | |||
Term Loan, 10.531%, (SOFR + 7.88%), 3/31/27 | 1,029 | 959,973 | |
Term Loan - Second Lien, 6.83%, (SOFR + 4.25%), 3/31/27 | 7,293 | 3,340,119 | |
Hanger, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 3/6/25 | 1,021 | 1,020,464 | |
IVC Acquisition, Ltd., Term Loan, 6.309%, (SONIA + 4.50%), 2/13/26 | GBP | 1,000 | 1,014,665 |
LSCS Holdings, Inc., Term Loan, 8.174%, (3 mo. USD LIBOR + 4.50%), 12/16/28 | 720 | 690,780 | |
MDVIP, Inc., Term Loan, 6.552%, (1 mo. USD LIBOR + 3.50%), 10/16/28 | 274 | 260,286 | |
Medical Solutions Holdings, Inc.: | |||
Term Loan, 3.50%, 11/1/28(20) | 204 | 194,475 | |
Term Loan, 6.377%, (USD LIBOR + 3.50%), 11/1/28(21) | 1,265 | 1,205,876 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Mehilainen Yhtiot Oy, Term Loan, 4.718%, (3 mo. EURIBOR + 3.53%), 8/11/25 | EUR | 1,000 | $ 898,583 |
Midwest Physician Administrative Services, LLC, Term Loan, 6.924%, (3 mo. USD LIBOR + 3.25%), 3/12/28 | 468 | 429,860 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 7.18%, (USD LIBOR + 3.75%), 3/2/28(21) | 2,051 | 1,480,881 | |
Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 3/2/28 | 58 | 42,092 | |
Option Care Health, Inc., Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 422 | 414,035 | |
Pacific Dental Services, LLC, Term Loan, 6.493%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 494 | 477,292 | |
Pediatric Associates Holding Company, LLC: | |||
Term Loan, 5.076%, (6 mo. USD LIBOR + 3.25%), 12/29/28 | 475 | 457,422 | |
Term Loan, 6.056%, (USD LIBOR + 3.25%), 12/29/28(20)(21) | 72 | 69,481 | |
PetVet Care Centers, LLC, Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 2/14/25 | 148 | 138,448 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 3/5/26 | 1,887 | 1,792,548 | |
Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 3/5/26 | 1,304 | 1,238,582 | |
Radiology Partners, Inc., Term Loan, 7.319%, (1 mo. USD LIBOR + 4.25%), 7/9/25 | 1,197 | 1,017,254 | |
Radnet Management, Inc., Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 4/21/28 | 1,012 | 970,857 | |
Ramsay Generale de Sante S.A., Term Loan, 2.925%, (3 mo. EURIBOR + 2.80%), 4/22/27 | EUR | 500 | 464,299 |
Select Medical Corporation, Term Loan, 5.62%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 2,968 | 2,877,984 | |
Sound Inpatient Physicians, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 6/27/25 | 479 | 439,253 | |
Surgery Center Holdings, Inc., Term Loan, 6.51%, (1 mo. USD LIBOR + 3.75%), 8/31/26 | 1,046 | 995,187 | |
Synlab Bondco PLC, Term Loan, 2.778%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 500 | 463,564 |
U.S. Anesthesia Partners, Inc., Term Loan, 6.814%, (1 mo. USD LIBOR + 4.25%), 10/1/28 | 1,509 | 1,418,469 | |
WP CityMD Bidco, LLC, Term Loan, 6.924%, (3 mo. USD LIBOR + 3.25%), 12/22/28 | 672 | 643,681 | |
$ 36,715,114 | |||
Health Care Technology — 1.1% | |||
Bracket Intermediate Holding Corp., Term Loan, 6.543%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 912 | $ 865,260 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Technology (continued) | |||
Change Healthcare Holdings, LLC, Term Loan, 7.75%, (USD Prime + 1.50%), 3/1/24 | 5,019 | $ 5,011,628 | |
GHX Ultimate Parent Corporation, Term Loan, 6.127%, (6 mo. USD LIBOR + 3.25%), 6/28/24 | 926 | 893,565 | |
Imprivata, Inc., Term Loan, 7.284%, (SOFR + 4.25%), 12/1/27 | 224 | 217,564 | |
MedAssets Software Intermediate Holdings, Inc., Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 12/18/28 | 1,095 | 1,009,676 | |
Navicure, Inc., Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 10/22/26 | 1,662 | 1,598,005 | |
Project Ruby Ultimate Parent Corp., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 3/10/28 | 1,034 | 968,963 | |
Verscend Holding Corp., Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 2,207 | 2,153,533 | |
$ 12,718,194 | |||
Hotels, Restaurants & Leisure — 2.2% | |||
Carnival Corporation: | |||
Term Loan, 3.975%, (6 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 1,481 | $ 1,349,925 |
Term Loan, 5.877%, (6 mo. USD LIBOR + 3.00%), 6/30/25 | 1,271 | 1,162,736 | |
Term Loan, 6.127%, (6 mo. USD LIBOR + 3.25%), 10/18/28 | 2,680 | 2,344,781 | |
ClubCorp Holdings, Inc., Term Loan, 6.424%, (3 mo. USD LIBOR + 2.75%), 9/18/24 | 1,900 | 1,754,650 | |
Dave & Buster's, Inc., Term Loan, 8.188%, (SOFR + 5.00%), 6/29/29 | 750 | 732,991 | |
Fertitta Entertainment, LLC, Term Loan, 7.034%, (SOFR + 4.00%), 1/27/29 | 4,192 | 3,899,314 | |
Four Seasons Hotels Limited, Term Loan, 5.121%, (1 mo. USD LIBOR + 2.00%), 11/30/23 | 1,021 | 1,018,650 | |
GVC Holdings PLC, Term Loan, 3.185%, (1 mo. EURIBOR + 2.50%), 3/29/24 | EUR | 1,850 | 1,708,840 |
Hilton Grand Vacations Borrower, LLC, Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 8/2/28 | 916 | 886,942 | |
IRB Holding Corp.: | |||
Term Loan, 5.696%, (SOFR + 3.00%), 12/15/27 | 298 | 278,933 | |
Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 2/5/25 | 2,182 | 2,115,250 | |
Oravel Stays Singapore Pte, Ltd., Term Loan, 11.86%, (3 mo. USD LIBOR + 8.25%), 6/23/26 | 543 | 480,666 | |
Playa Resorts Holding B.V., Term Loan, 5.87%, (1 mo. USD LIBOR + 2.75%), 4/29/24 | 2,454 | 2,374,549 | |
Scientific Games Holdings, L.P., Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 4/4/29 | EUR | 1,000 | 908,996 |
SeaWorld Parks & Entertainment, Inc., Term Loan, 6.125%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 891 | 857,142 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
SMG US Midco 2, Inc., Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 1/23/25 | 239 | $ 228,519 | |
Stars Group Holdings B.V. (The), Term Loan, 5.892%, (3 mo. USD LIBOR + 2.25%), 7/21/26 | 2,252 | 2,182,806 | |
Travel Leaders Group, LLC, Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 1/25/24 | 934 | 858,878 | |
Twin River Worldwide Holdings, Inc., Term Loan, 5.935%, (1 mo. USD LIBOR + 3.25%), 10/2/28 | 1,166 | 1,056,129 | |
$ 26,200,697 | |||
Household Durables — 1.0% | |||
Libbey Glass, Inc., Term Loan, 10.455%, (3 mo. USD LIBOR + 8.00%), 11/13/25 | 4,242 | $ 4,356,355 | |
Serta Simmons Bedding, LLC: | |||
Term Loan, 10.793%, (3 mo. USD LIBOR + 7.50%), 8/10/23 | 2,442 | 2,379,072 | |
Term Loan - Second Lien, 10.793%, (3 mo. USD LIBOR + 7.50%), 8/10/23 | 8,073 | 4,265,373 | |
Solis IV B.V., Term Loan, 4.468%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 1,000 | 843,659 |
$ 11,844,459 | |||
Household Products — 0.1% | |||
Kronos Acquisition Holdings, Inc., Term Loan, 8.94%, (SOFR + 6.00%), 12/22/26 | 397 | $ 376,157 | |
Nobel Bidco B.V., Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 1,000 | 723,277 |
$ 1,099,434 | |||
Independent Power and Renewable Electricity Producers — 0.0%(9) | |||
Longview Power, LLC, Term Loan, 13.674%, (3 mo. USD LIBOR + 10.00%), 7/30/25 | 21 | $ 20,926 | |
$ 20,926 | |||
Industrial Conglomerates — 0.2% | |||
Rain Carbon GmbH, Term Loan, 3.532%, (6 mo. EURIBOR + 3.00%), 1/16/25 | EUR | 1,025 | $ 931,721 |
SPX Flow, Inc., Term Loan, 7.634%, (SOFR + 4.50%), 4/5/29 | 1,350 | 1,250,438 | |
$ 2,182,159 | |||
Insurance — 1.9% | |||
Alliant Holdings Intermediate, LLC: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 5/9/25 | 2,660 | $ 2,550,082 | |
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 5/9/25 | 460 | 440,950 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Insurance (continued) | |||
AmWINS Group, Inc., Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 2/19/28 | 3,807 | $ 3,648,127 | |
AssuredPartners, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 170 | 161,338 | |
Financiere CEP S.A.S., Term Loan, 4.225%, (6 mo. EURIBOR + 4.00%), 6/18/27 | EUR | 750 | 682,360 |
Hub International Limited: | |||
Term Loan, 5.766%, (3 mo. USD LIBOR + 3.00%), 4/25/25 | 4,979 | 4,797,127 | |
Term Loan, 5.982%, (3 mo. USD LIBOR + 3.25%), 4/25/25 | 1,824 | 1,760,503 | |
NFP Corp., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 3,107 | 2,923,407 | |
Ryan Specialty Group, LLC, Term Loan, 6.134%, (SOFR + 3.00%), 9/1/27 | 1,691 | 1,639,785 | |
USI, Inc.: | |||
Term Loan, 6.424%, (3 mo. USD LIBOR + 2.75%), 5/16/24 | 3,088 | 3,012,563 | |
Term Loan, 6.924%, (3 mo. USD LIBOR + 3.25%), 12/2/26 | 1,386 | 1,340,813 | |
$ 22,957,055 | |||
Interactive Media & Services — 0.4% | |||
Buzz Finco, LLC: | |||
Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 561 | $ 541,003 | |
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 1/29/27 | 60 | 58,883 | |
Camelot U.S. Acquisition, LLC: | |||
Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 10/30/26 | 1,799 | 1,746,650 | |
Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 10/30/26 | 1,056 | 1,023,842 | |
Foundational Education Group, Inc., Term Loan, 7.565%, (SOFR + 3.75%), 8/31/28 | 546 | 513,123 | |
Getty Images, Inc., Term Loan, 7.625%, (3 mo. USD LIBOR + 4.50%), 2/19/26 | 730 | 726,007 | |
Match Group, Inc., Term Loan, 4.692%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 675 | 648,562 | |
$ 5,258,070 | |||
Internet & Direct Marketing Retail — 0.4% | |||
Adevinta ASA: | |||
Term Loan, 4.443%, (3 mo. EURIBOR + 3.25%), 6/26/28 | EUR | 1,800 | $ 1,678,091 |
Term Loan, 6.674%, (3 mo. USD LIBOR + 3.00%), 6/26/28 | 296 | 289,461 | |
CNT Holdings I Corp., Term Loan, 6.248%, (SOFR + 3.50%), 11/8/27 | 690 | 658,257 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Internet & Direct Marketing Retail (continued) | |||
Etraveli Holding AB, Term Loan, 5.443%, (3 mo. EURIBOR + 4.25%), 8/2/24 | EUR | 937 | $ 843,998 |
Hoya Midco, LLC, Term Loan, 6.284%, (SOFR + 3.25%), 2/3/29 | 993 | 953,379 | |
Speedster Bidco GmbH, Term Loan, 5.108%, (6 mo. EURIBOR + 3.25%), 3/31/27 | EUR | 1,000 | 852,644 |
$ 5,275,830 | |||
IT Services — 1.8% | |||
Asurion, LLC: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 3,105 | $ 2,638,995 | |
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 7/31/27 | 1,093 | 923,881 | |
Term Loan, 7.703%, (SOFR + 4.00%), 8/19/28 | 1,015 | 873,755 | |
Term Loan - Second Lien, 8.365%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 1,350 | 1,033,875 | |
Cyxtera DC Holdings, Inc., Term Loan, 5.79%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 903 | 826,690 | |
Endure Digital, Inc., Term Loan, 6.185%, (1 mo. USD LIBOR + 3.50%), 2/10/28 | 2,765 | 2,350,250 | |
EP Purchaser, LLC, Term Loan, 7.174%, (3 mo. USD LIBOR + 3.50%), 11/6/28 | 423 | 413,801 | |
Gainwell Acquisition Corp., Term Loan, 7.674%, (3 mo. USD LIBOR + 4.00%), 10/1/27 | 3,096 | 2,959,007 | |
Indy US Bidco, LLC: | |||
Term Loan, 4.435%, (1 mo. EURIBOR + 3.75%), 3/6/28 | EUR | 739 | 658,281 |
Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 3/5/28 | 665 | 600,634 | |
Informatica, LLC, Term Loan, 5.875%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 2,662 | 2,586,213 | |
NAB Holdings, LLC, Term Loan, 6.703%, (SOFR + 3.00%), 11/23/28 | 1,117 | 1,064,456 | |
Rackspace Technology Global, Inc., Term Loan, 5.617%, (3 mo. USD LIBOR + 2.75%), 2/15/28 | 1,330 | 954,511 | |
Sedgwick Claims Management Services, Inc., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 12/31/25 | 1,227 | 1,165,316 | |
Skopima Merger Sub, Inc., Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 5/12/28 | 1,485 | 1,384,762 | |
team.blue Finco S.a.r.l.: | |||
Term Loan, 4.893%, (3 mo. EURIBOR + 3.70%), 3/30/28 | EUR | 946 | 852,136 |
Term Loan, 4.943%, (3 mo. EURIBOR + 3.75%), 3/27/28 | EUR | 54 | 48,694 |
$ 21,335,257 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Leisure Products — 0.2% | |||
Accell Group N.V., Term Loan, 9/14/29(22) | EUR | 500 | $ 456,642 |
Amer Sports Oyj, Term Loan, 5.131%, (6 mo. EURIBOR + 4.50%), 3/30/26 | EUR | 1,550 | 1,357,043 |
Fender Musical Instruments Corporation, Term Loan, 6.754%, (SOFR + 4.00%), 12/1/28 | 323 | 275,921 | |
$ 2,089,606 | |||
Life Sciences Tools & Services — 0.5% | |||
Avantor Funding, Inc., Term Loan, 3.435%, (1 mo. EURIBOR + 2.75%), 6/12/28 | EUR | 988 | $ 940,379 |
Catalent Pharma Solutions, Inc., Term Loan, 5.063%, (1 mo. USD LIBOR + 2.00%), 2/22/28 | 823 | 818,142 | |
Curia Global, Inc., Term Loan, 6.556%, (3 mo. USD LIBOR + 3.75%), 8/30/26 | 246 | 228,241 | |
IQVIA, Inc., Term Loan, 4.865%, (1 mo. USD LIBOR + 1.75%), 1/17/25 | 1,363 | 1,362,252 | |
LGC Group Holdings, Ltd., Term Loan, 3.685%, (1 mo. EURIBOR + 3.00%), 4/21/27 | EUR | 1,000 | 894,296 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 4/21/27 | 342 | 314,827 | |
Packaging Coordinators Midco, Inc., Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 11/30/27 | 1,356 | 1,291,000 | |
$ 5,849,137 | |||
Machinery — 2.4% | |||
AI Alpine AT Bidco GmbH, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 10/31/25 | EUR | 750 | $ 684,197 |
Albion Financing 3 S.a.r.l., Term Loan, 8.009%, (3 mo. USD LIBOR + 5.25%), 8/17/26 | 1,538 | 1,460,495 | |
Alliance Laundry Systems, LLC, Term Loan, 5.955%, (3 mo. USD LIBOR + 3.50%), 10/8/27 | 1,069 | 1,026,473 | |
American Trailer World Corp., Term Loan, 6.884%, (SOFR + 3.75%), 3/3/28 | 891 | 814,464 | |
Apex Tool Group, LLC, Term Loan, 8.098%, (SOFR + 5.25%), 2/8/29 | 3,354 | 2,989,482 | |
Conair Holdings, LLC, Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 1,535 | 1,294,734 | |
CPM Holdings, Inc., Term Loan, 6.064%, (1 mo. USD LIBOR + 3.50%), 11/17/25 | 313 | 303,035 | |
Delachaux Group S.A., Term Loan, 7.306%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 444 | 406,374 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 4.943%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 990 | 887,778 |
Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 5/19/28 | 1,871 | 1,803,044 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Filtration Group Corporation: | |||
Term Loan, 4.728%, (3 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 1,354 | $ 1,270,223 |
Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 10/21/28 | 743 | 706,303 | |
Gates Global, LLC: | |||
Term Loan, 3.685%, (1 mo. EURIBOR + 3.00%), 4/1/24 | EUR | 856 | 792,942 |
Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 3/31/27 | 3,949 | 3,806,668 | |
Granite Holdings US Acquisition Co., Term Loan, 7.688%, (3 mo. USD LIBOR + 4.00%), 9/30/26 | 1,255 | 1,218,828 | |
Icebox Holdco III, Inc.: | |||
Term Loan, 3.75%, 12/22/28(20) | 146 | 138,064 | |
Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 12/22/28 | 701 | 663,974 | |
Illuminate Buyer, LLC, Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 6/30/27 | 748 | 683,114 | |
Penn Engineering & Manufacturing Corp., Term Loan, 3.693%, (3 mo. EURIBOR + 2.50%), 6/27/24 | EUR | 1,184 | 1,108,417 |
Titan Acquisition Limited, Term Loan, 5.877%, (6 mo. USD LIBOR + 3.00%), 3/28/25 | 3,032 | 2,737,116 | |
TK Elevator Topco GmbH, Term Loan, 4.256%, (6 mo. EURIBOR + 3.63%), 7/29/27 | EUR | 1,000 | 880,208 |
Vertical US Newco, Inc., Term Loan, 6.871%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 1,201 | 1,151,484 | |
Zephyr German BidCo GmbH, Term Loan, 4.216%, (3 mo. EURIBOR + 3.40%), 3/10/28 | EUR | 1,500 | 1,343,281 |
$ 28,170,698 | |||
Media — 1.5% | |||
Axel Springer SE, Term Loan, 5.816%, (3 mo. EURIBOR + 4.75%), 12/18/26 | EUR | 1,000 | $ 923,697 |
CMG Media Corporation, Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 12/17/26 | 1,824 | 1,711,299 | |
Diamond Sports Group, LLC: | |||
Term Loan, 10.696%, (SOFR + 8.00%), 5/26/26 | 914 | 876,492 | |
Term Loan - Second Lien, 5.946%, (SOFR + 3.25%), 8/24/26 | 3,008 | 610,527 | |
Entravision Communications Corporation, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 11/29/24 | 823 | 811,191 | |
Gray Television, Inc.: | |||
Term Loan, 5.064%, (1 mo. USD LIBOR + 2.50%), 1/2/26 | 637 | 619,868 | |
Term Loan, 5.187%, (1 mo. USD LIBOR + 2.50%), 2/7/24 | 208 | 207,858 | |
Term Loan, 5.564%, (1 mo. USD LIBOR + 3.00%), 12/1/28 | 943 | 918,714 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Media (continued) | |||
Hubbard Radio, LLC, Term Loan, 7.37%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 662 | $ 577,606 | |
iHeartCommunications, Inc., Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 444 | 417,490 | |
Magnite, Inc., Term Loan, 8.173%, (USD LIBOR + 5.00%), 4/28/28(21) | 642 | 614,595 | |
MJH Healthcare Holdings, LLC, Term Loan, 6.634%, (SOFR + 3.50%), 1/28/29 | 274 | 259,944 | |
Nexstar Broadcasting, Inc., Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 294 | 291,214 | |
Recorded Books, Inc., Term Loan, 7.075%, (SOFR + 4.00%), 8/29/25 | 1,660 | 1,602,815 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 5.62%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 631 | 600,551 | |
Term Loan, 6.12%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 407 | 384,671 | |
Univision Communications, Inc., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 6,837 | 6,509,271 | |
$ 17,937,803 | |||
Metals/Mining — 0.2% | |||
American Consolidated Natural Resources, Inc., Term Loan, 19.084%, (1 mo. USD LIBOR + 16.00%), 16.084% cash, 3.00% PIK, 9/16/25 | 104 | $ 104,732 | |
Dynacast International, LLC: | |||
Term Loan, 7.48%, (3 mo. USD LIBOR + 4.50%), 7/22/25 | 1,053 | 934,565 | |
Term Loan, 11.98%, (3 mo. USD LIBOR + 9.00%), 10/22/25 | 406 | 359,711 | |
WireCo WorldGroup, Inc., Term Loan, 7.188%, (3 mo. USD LIBOR + 4.25%), 11/13/28 | 484 | 468,498 | |
Zekelman Industries, Inc., Term Loan, 5.604%, (3 mo. USD LIBOR + 2.00%), 1/24/27 | 1,108 | 1,061,672 | |
$ 2,929,178 | |||
Oil, Gas & Consumable Fuels — 1.0% | |||
Buckeye Partners, L.P., Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 11/1/26 | 2,706 | $ 2,642,566 | |
Centurion Pipeline Company, LLC: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 9/29/25 | 266 | 262,293 | |
Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 9/28/25 | 222 | 218,022 | |
CITGO Petroleum Corporation, Term Loan, 9.365%, (1 mo. USD LIBOR + 6.25%), 3/28/24 | 2,243 | 2,243,959 | |
Delek US Holdings, Inc.: | |||
Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 3/31/25 | 1,351 | 1,309,390 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Delek US Holdings, Inc.: (continued) | |||
Term Loan, 8.615%, (1 mo. USD LIBOR + 5.50%), 3/31/25 | 561 | $ 555,019 | |
Freeport LNG Investments, LLLP, Term Loan, 6.21%, (3 mo. USD LIBOR + 3.50%), 12/21/28 | 667 | 617,418 | |
Matador Bidco S.a.r.l., Term Loan, 7.615%, (1 mo. USD LIBOR + 4.50%), 10/15/26 | 1,715 | 1,672,125 | |
Oryx Midstream Services Permian Basin, LLC, Term Loan, 6.211%, (3 mo. USD LIBOR + 3.25%), 10/5/28 | 819 | 795,255 | |
Oxbow Carbon, LLC, Term Loan, 7.878%, (3 mo. USD LIBOR + 4.25%), 10/17/25 | 315 | 313,228 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 11.115%, (1 mo. USD LIBOR + 8.00%), 8/27/26 | 782 | 780,182 | |
UGI Energy Services, LLC, Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 8/13/26 | 1,040 | 1,035,902 | |
$ 12,445,359 | |||
Personal Products — 0.2% | |||
HLF Financing S.a.r.l., Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 8/18/25 | 968 | $ 931,700 | |
Rainbow Finco S.a.r.l., Term Loan, 4.658%, (6 mo. EURIBOR + 3.75%), 2/24/29 | EUR | 1,000 | 896,746 |
Sunshine Luxembourg VII S.a.r.l., Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 10/1/26 | 197 | 183,887 | |
$ 2,012,333 | |||
Pharmaceuticals — 1.6% | |||
Aenova Holding GmbH, Term Loan, 5.034%, (6 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 1,000 | $ 838,759 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 3.935%, (1 mo. EURIBOR + 3.25%), 9/29/25 | EUR | 1,000 | 897,562 |
Akorn, Inc., Term Loan, 9.777%, (3 mo. USD LIBOR + 7.50%), 10/1/25 | 180 | 173,828 | |
Amneal Pharmaceuticals, LLC, Term Loan, 6.903%, (USD LIBOR + 3.50%), 5/4/25(21) | 3,570 | 2,981,212 | |
Bausch Health Companies, Inc., Term Loan, 8.098%, (SOFR + 5.25%), 2/1/27 | 3,095 | 2,390,759 | |
Horizon Therapeutics USA, Inc.: | |||
Term Loan, 4.875%, (1 mo. USD LIBOR + 1.75%), 3/15/28 | 1,921 | 1,850,524 | |
Term Loan, 5.125%, (1 mo. USD LIBOR + 2.00%), 5/22/26 | 654 | 633,490 | |
Jazz Financing Lux S.a.r.l., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 1,447 | 1,401,293 | |
Mallinckrodt International Finance S.A.: | |||
Term Loan, 8.733%, (3 mo. USD LIBOR + 5.25%), 9/30/27 | 3,360 | 2,805,750 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
Mallinckrodt International Finance S.A.: (continued) | |||
Term Loan, 8.983%, (3 mo. USD LIBOR + 5.50%), 9/30/27 | 1,927 | $ 1,604,014 | |
Nidda Healthcare Holding AG: | |||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 8/21/26 | EUR | 625 | 560,466 |
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 8/21/26 | EUR | 1,000 | 882,045 |
PharmaZell GmbH, Term Loan, 4.685%, (1 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,000 | 928,597 |
Recipharm AB, Term Loan, 3.539%, (3 mo. EURIBOR + 3.20%), 2/17/28 | EUR | 1,000 | 884,495 |
$ 18,832,794 | |||
Professional Services — 1.2% | |||
AlixPartners, LLP: | |||
Term Loan, 4.443%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 985 | $ 897,775 |
Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 2/4/28 | 1,404 | 1,351,691 | |
APFS Staffing Holdings, Inc., Term Loan, 6.855%, (SOFR + 4.00%), 12/29/28 | 274 | 263,364 | |
Blitz 20-487 GmbH, Term Loan, 3.438%, (3 mo. EURIBOR + 3.20%), 4/28/28 | EUR | 1,000 | 895,930 |
Brown Group Holding, LLC: | |||
Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 6/7/28 | 223 | 212,019 | |
Term Loan, 6.784%, (SOFR + 3.75%), 7/2/29 | 250 | 242,735 | |
CoreLogic, Inc., Term Loan, 6.625%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 3,901 | 2,958,086 | |
Deerfield Dakota Holding, LLC, Term Loan, 6.784%, (SOFR + 3.75%), 4/9/27 | 2,080 | 1,977,109 | |
Employbridge, LLC, Term Loan, 8.424%, (3 mo. USD LIBOR + 4.75%), 7/19/28 | 1,510 | 1,353,113 | |
First Advantage Holdings, LLC, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 606 | 588,713 | |
Rockwood Service Corporation, Term Loan, 7.365%, (1 mo. USD LIBOR + 4.25%), 1/23/27 | 599 | 583,763 | |
Techem Verwaltungsgesellschaft 675 mbH, Term Loan, 2.638%, (6 mo. EURIBOR + 2.38%), 7/15/25 | EUR | 826 | 753,518 |
Trans Union, LLC, Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 12/1/28 | 1,770 | 1,719,771 | |
Vaco Holdings, LLC, Term Loan, 8.683%, (SOFR + 5.00%), 1/21/29 | 273 | 266,114 | |
$ 14,063,701 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Real Estate Management & Development — 0.5% | |||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 5,681 | $ 5,443,310 | |
$ 5,443,310 | |||
Road & Rail — 1.3% | |||
Grab Holdings, Inc., Term Loan, 7.62%, (1 mo. USD LIBOR + 4.50%), 1/29/26 | 2,118 | $ 1,996,862 | |
Hertz Corporation, (The): | |||
Term Loan, 6.37%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 1,039 | 984,970 | |
Term Loan, 6.37%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 198 | 187,979 | |
Kenan Advantage Group, Inc., Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 3/24/26 | 2,211 | 2,102,304 | |
Uber Technologies, Inc.: | |||
Term Loan, 6.57%, (3 mo. USD LIBOR + 3.50%), 4/4/25 | 7,574 | 7,435,881 | |
Term Loan, 6.57%, (3 mo. USD LIBOR + 3.50%), 2/25/27 | 3,431 | 3,353,803 | |
$ 16,061,799 | |||
Semiconductors & Semiconductor Equipment — 0.4% | |||
Altar Bidco, Inc., Term Loan, 5.256%, (SOFR + 3.10%), 2/1/29 | 1,272 | $ 1,193,914 | |
Bright Bidco B.V.: | |||
DIP Loan, 10.903%, (SOFR + 8.00%), 2/28/23 | 201 | 202,515 | |
Term Loan, 0.00%, 6/30/24(18) | 1,712 | 579,784 | |
MACOM Technology Solutions Holdings, Inc., Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 5/17/24 | 264 | 259,977 | |
MaxLinear, Inc., Term Loan, 5.365%, (1 mo. USD LIBOR + 2.25%), 6/23/28 | 400 | 395,000 | |
MKS Instruments, Inc., Term Loan, 3.68%, (1 mo. EURIBOR + 3.00%), 8/17/29 | EUR | 1,000 | 935,948 |
Synaptics Incorporated, Term Loan, 4.356%, (6 mo. USD LIBOR + 2.25%), 12/2/28 | 396 | 392,040 | |
Ultra Clean Holdings, Inc., Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 628 | 617,622 | |
$ 4,576,800 | |||
Software — 7.2% | |||
Applied Systems, Inc.: | |||
Term Loan, 6.674%, (3 mo. USD LIBOR + 3.00%), 9/19/24 | 4,493 | $ 4,394,762 | |
Term Loan - Second Lien, 9.174%, (3 mo. USD LIBOR + 5.50%), 9/19/25 | 463 | 457,637 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
AppLovin Corporation: | |||
Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 8/15/25 | 2,873 | $ 2,799,063 | |
Term Loan, 6.674%, (3 mo. USD LIBOR + 3.00%), 10/25/28 | 1,468 | 1,417,726 | |
Aptean, Inc.: | |||
Term Loan, 7.32%, (3 mo. USD LIBOR + 4.25%), 4/23/26 | 824 | 787,093 | |
Term Loan - Second Lien, 10.07%, (3 mo. USD LIBOR + 7.00%), 4/23/27 | 1,450 | 1,392,000 | |
Astra Acquisition Corp.: | |||
Term Loan, 8.365%, (1 mo. USD LIBOR + 5.25%), 10/25/28 | 1,069 | 900,324 | |
Term Loan - Second Lien, 11.99%, (1 mo. USD LIBOR + 8.88%), 10/25/29 | 1,650 | 1,509,387 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 4.685%, (3 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 487 | 444,158 |
Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 2,713 | 2,578,411 | |
Term Loan - Second Lien, 8.615%, (1 mo. USD LIBOR + 5.50%), 2/27/26 | 900 | 843,187 | |
CDK Global, Inc., Term Loan, 6.61%, (SOFR + 4.50%), 7/6/29 | 2,275 | 2,195,730 | |
CentralSquare Technologies, LLC, Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 866 | 761,001 | |
Ceridian HCM Holding, Inc., Term Loan, 5.615%, (1 mo. USD LIBOR + 2.50%), 4/30/25 | 1,488 | 1,413,600 | |
Cloudera, Inc.: | |||
Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 10/8/28 | 2,786 | 2,476,057 | |
Term Loan - Second Lien, 9.115%, (1 mo. USD LIBOR + 6.00%), 10/8/29 | 775 | 666,500 | |
Constant Contact, Inc., Term Loan, 6.423%, (3 mo. USD LIBOR + 4.00%), 2/10/28 | 1,733 | 1,555,150 | |
Cornerstone OnDemand, Inc., Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 1,343 | 1,135,046 | |
Delta TopCo, Inc.: | |||
Term Loan, 6.832%, (3 mo. USD LIBOR + 3.75%), 12/1/27 | 1,383 | 1,256,347 | |
Term Loan - Second Lien, 10.332%, (3 mo. USD LIBOR + 7.25%), 12/1/28 | 1,950 | 1,725,750 | |
ECI Macola Max Holding, LLC, Term Loan, 7.424%, (3 mo. USD LIBOR + 3.75%), 11/9/27 | 1,278 | 1,215,508 | |
Epicor Software Corporation, Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 778 | 729,991 | |
Finastra USA, Inc., Term Loan, 6.871%, (6 mo. USD LIBOR + 3.50%), 6/13/24 | 2,967 | 2,606,335 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Fiserv Investment Solutions, Inc., Term Loan, 6.961%, (3 mo. USD LIBOR + 4.00%), 2/18/27 | 513 | $ 493,943 | |
GoTo Group, Inc., Term Loan, 7.802%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 1,793 | 1,254,247 | |
Greeneden U.S. Holdings II, LLC: | |||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), 12/1/27 | EUR | 739 | 684,644 |
Term Loan, 7.115%, (1 mo. USD LIBOR + 4.00%), 12/1/27 | 813 | 775,854 | |
Hyland Software, Inc., Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 7,608 | 7,387,034 | |
IGT Holding IV AB, Term Loan, 4.093%, (3 mo. EURIBOR + 2.90%), 3/31/28 | EUR | 1,000 | 897,971 |
Ivanti Software, Inc.: | |||
Term Loan, 7.144%, (3 mo. USD LIBOR + 4.00%), 12/1/27 | 665 | 519,156 | |
Term Loan, 7.332%, (3 mo. USD LIBOR + 4.25%), 12/1/27 | 2,475 | 1,941,892 | |
MA FinanceCo., LLC, Term Loan, 7.418%, (3 mo. USD LIBOR + 4.25%), 6/5/25 | 1,583 | 1,567,293 | |
Magenta Buyer, LLC: | |||
Term Loan, 7.87%, (1 mo. USD LIBOR + 4.75%), 7/27/28 | 3,871 | 3,503,029 | |
Term Loan - Second Lien, 11.37%, (1 mo. USD LIBOR + 8.25%), 7/27/29 | 1,050 | 963,375 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 4.693%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 1,500 | 1,404,227 |
Term Loan, 7.105%, (SOFR + 4.00%), 12/31/27 | 95 | 92,533 | |
McAfee, LLC: | |||
Term Loan, 4.685%, (1 mo. EURIBOR + 4.00%), 3/1/29 | EUR | 998 | 895,726 |
Term Loan, 6.362%, (SOFR + 3.75%), 3/1/29 | 2,793 | 2,557,921 | |
Mediaocean, LLC, Term Loan, 6.615%, (1 mo. USD LIBOR + 3.50%), 12/15/28 | 622 | 587,154 | |
MH Sub I, LLC, Term Loan, 6.274%, (1 mo. USD LIBOR + 3.75%), 9/13/24 | 396 | 378,132 | |
Mitnick Corporate Purchaser, Inc., Term Loan, 7.393%, (SOFR + 4.75%), 5/2/29 | 450 | 429,000 | |
Panther Commercial Holdings, L.P., Term Loan, 7.306%, (3 mo. USD LIBOR + 4.50%), 1/7/28 | 889 | 822,780 | |
Polaris Newco, LLC: | |||
Term Loan, 5.193%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 990 | 896,673 |
Term Loan, 7.674%, (3 mo. USD LIBOR + 4.00%), 6/2/28 | 2,823 | 2,611,921 | |
Proofpoint, Inc., Term Loan, 6.32%, (3 mo. USD LIBOR + 3.25%), 8/31/28 | 2,481 | 2,335,787 | |
RealPage, Inc., Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 4/24/28 | 2,846 | 2,671,029 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Seattle Spinco, Inc., Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 1,995 | $ 1,956,823 | |
SolarWinds Holdings, Inc., Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 961 | 946,740 | |
Sophia, L.P., Term Loan, 7.174%, (3 mo. USD LIBOR + 3.50%), 10/7/27 | 393 | 378,783 | |
Sovos Compliance, LLC, Term Loan, 7.615%, (1 mo. USD LIBOR + 4.50%), 8/11/28 | 745 | 713,268 | |
Sportradar Capital S.a.r.l., Term Loan, 4.208%, (1 mo. EURIBOR + 3.50%), 11/22/27 | EUR | 393 | 365,769 |
SurveyMonkey, Inc., Term Loan, 6.87%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 621 | 602,047 | |
Turing Midco, LLC, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 3/23/28 | 226 | 221,079 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 5.535%, (3 mo. USD LIBOR + 3.25%), 5/4/26 | 3,881 | 3,681,120 | |
Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 5/4/26 | 1,673 | 1,598,302 | |
Veritas US, Inc.: | |||
Term Loan, 5.943%, (3 mo. EURIBOR + 4.75%), 9/1/25 | EUR | 979 | 753,803 |
Term Loan, 8.674%, (3 mo. USD LIBOR + 5.00%), 9/1/25 | 2,424 | 1,931,411 | |
Vision Solutions, Inc., Term Loan, 6.783%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 422 | 372,594 | |
VS Buyer, LLC, Term Loan, 6.115%, (1 mo. USD LIBOR + 3.00%), 2/28/27 | 1,073 | 1,037,644 | |
$ 85,491,467 | |||
Specialty Retail — 1.1% | |||
Belron Finance US, LLC, Term Loan, 5.375%, (3 mo. USD LIBOR + 2.50%), 4/13/28 | 837 | $ 815,621 | |
Belron Luxembourg S.a.r.l., Term Loan, 2.769%, (3 mo. EURIBOR + 2.50%), 4/13/28 | EUR | 500 | 456,336 |
Boels Topholding B.V., Term Loan, 3.571%, (3 mo. EURIBOR + 3.25%), 2/6/27 | EUR | 1,000 | 904,096 |
David's Bridal, Inc.: | |||
Term Loan, 9.115%, (1 mo. USD LIBOR + 6.00%), 6/30/23 | 679 | 632,086 | |
Term Loan, 12.74%, (3 mo. USD LIBOR + 10.00%), 7.74% cash, 5.00% PIK, 6/23/23 | 563 | 541,900 | |
Great Outdoors Group, LLC, Term Loan, 6.865%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 2,407 | 2,228,265 | |
Harbor Freight Tools USA, Inc., Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 10/19/27 | 1,376 | 1,249,986 | |
L1R HB Finance Limited, Term Loan, 6.016%, (6 mo. EURIBOR + 4.25%), 9/2/24 | EUR | 750 | 564,141 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Specialty Retail (continued) | |||
Les Schwab Tire Centers, Term Loan, 6.58%, (3 mo. USD LIBOR + 3.25%), 11/2/27 | 2,903 | $ 2,779,233 | |
Mattress Firm, Inc., Term Loan, 8.433%, (6 mo. USD LIBOR + 4.25%), 9/25/28 | 1,238 | 1,091,320 | |
PetSmart, Inc., Term Loan, 6.87%, (1 mo. USD LIBOR + 3.75%), 2/11/28 | 2,406 | 2,282,904 | |
$ 13,545,888 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Corporation, Term Loan, 5.31%, (3 mo. USD LIBOR + 2.50%), 8/28/26 | 922 | $ 886,944 | |
$ 886,944 | |||
Thrifts & Mortgage Finance — 0.0%(9) | |||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/23(18) | 2,694 | $ 336,811 | |
$ 336,811 | |||
Trading Companies & Distributors — 1.0% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 5.115%, (1 mo. USD LIBOR + 2.00%), 1/15/27 | 2,377 | $ 2,305,576 | |
Electro Rent Corporation, Term Loan, 7.732%, (3 mo. USD LIBOR + 5.00%), 1/31/24 | 1,803 | 1,753,552 | |
Hillman Group, Inc. (The): | |||
Term Loan, 2.994%, (1 mo. USD LIBOR + 2.75%), 7/14/28(20) | 72 | 68,662 | |
Term Loan, 5.834%, (1 mo. USD LIBOR + 2.75%), 7/14/28 | 296 | 284,026 | |
Patagonia Bidco Limited: | |||
Term Loan, 6.94%, (SONIA + 5.25%), 3/5/29 | GBP | 846 | 819,590 |
Term Loan, 6.94%, (SONIA + 5.25%), 3/5/29 | GBP | 154 | 149,016 |
Quimper AB, Term Loan, 2.925%, (3 mo. EURIBOR + 2.925%), 2/16/26 | EUR | 1,875 | 1,626,271 |
Spin Holdco, Inc., Term Loan, 7.144%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | 3,832 | 3,375,132 | |
SRS Distribution, Inc.: | |||
Term Loan, 6.177%, (SOFR + 3.50%), 6/2/28 | 373 | 344,441 | |
Term Loan, 6.306%, (3 mo. USD LIBOR + 3.50%), 6/2/28 | 990 | 911,419 | |
TricorBraun Holdings, Inc., Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 3/3/28 | 667 | 628,657 | |
$ 12,266,342 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Transportation Infrastructure — 0.0%(9) | |||
KKR Apple Bidco, LLC, Term Loan, 5.865%, (1 mo. USD LIBOR + 2.75%), 9/23/28 | 174 | $ 166,306 | |
$ 166,306 | |||
Wireless Telecommunication Services — 0.4% | |||
Digicel International Finance Limited, Term Loan, 6.365%, (1 mo. USD LIBOR + 3.25%), 5/28/24 | 4,825 | $ 4,312,595 | |
$ 4,312,595 | |||
Total Senior Floating-Rate Loans (identified cost $686,682,022) | $ 612,438,586 |
Sovereign Government Bonds — 4.2% |
Security | Principal Amount* (000's omitted) | Value | |
Angola — 0.0%(9) | |||
Republic of Angola, 8.00%, 11/26/29(14) | 519 | $ 391,900 | |
$ 391,900 | |||
Argentina — 0.0%(9) | |||
Republic of Argentina, 3.875% to 11/14/22, 1/9/38(3) | 965 | $ 227,912 | |
$ 227,912 | |||
Armenia — 0.1% | |||
Republic of Armenia: | |||
3.60%, 2/2/31(14) | 839 | $ 571,443 | |
3.95%, 9/26/29(14) | 447 | 318,774 | |
$ 890,217 | |||
Azerbaijan — 0.0%(9) | |||
Republic of Azerbaijan, 3.50%, 9/1/32(14) | 389 | $ 314,486 | |
$ 314,486 | |||
Bahrain — 0.2% | |||
Kingdom of Bahrain: | |||
6.75%, 9/20/29(14) | 1,040 | $ 974,213 | |
7.375%, 5/14/30(14) | 1,324 | 1,265,630 | |
$ 2,239,843 |
Security | Principal Amount* (000's omitted) | Value | |
Barbados — 0.2% | |||
Government of Barbados, 6.50%, 10/1/29(1) | 3,080 | $ 2,732,663 | |
$ 2,732,663 | |||
Belarus — 0.0%(9) | |||
Republic of Belarus, 5.875%, 2/24/26(14) | 240 | $ 60,000 | |
$ 60,000 | |||
Benin — 0.1% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(14) | EUR | 486 | $ 326,571 |
4.95%, 1/22/35(14) | EUR | 200 | 124,439 |
6.875%, 1/19/52(14) | EUR | 1,022 | 636,374 |
$ 1,087,384 | |||
Brazil — 0.2% | |||
Federative Republic of Brazil: | |||
3.875%, 6/12/30 | 371 | $ 307,405 | |
4.625%, 1/13/28 | 1,850 | 1,720,806 | |
$ 2,028,211 | |||
Bulgaria — 0.0%(9) | |||
Bulgaria Government International Bond, 4.625%, 9/23/34(14) | EUR | 44 | $ 39,547 |
$ 39,547 | |||
Chile — 0.1% | |||
Chile Government International Bond: | |||
2.45%, 1/31/31 | 465 | $ 373,126 | |
3.24%, 2/6/28 | 260 | 234,637 | |
3.50%, 1/25/50 | 845 | 577,139 | |
$ 1,184,902 | |||
Colombia — 0.1% | |||
Colombia Government International Bond, 3.25%, 4/22/32 | 1,314 | $ 891,372 | |
$ 891,372 | |||
Croatia — 0.0%(9) | |||
Croatia Government International Bond, 1.75%, 3/4/41(14) | EUR | 212 | $ 138,573 |
$ 138,573 |
Security | Principal Amount* (000's omitted) | Value | |
Dominican Republic — 0.2% | |||
Dominican Republic: | |||
4.50%, 1/30/30(14) | 734 | $ 580,496 | |
6.00%, 2/22/33(1) | 150 | 122,461 | |
6.40%, 6/5/49(14) | 309 | 223,490 | |
6.85%, 1/27/45(14) | 599 | 468,483 | |
7.45%, 4/30/44(14) | 646 | 545,131 | |
$ 1,940,061 | |||
Ecuador — 0.1% | |||
Republic of Ecuador, 1.50%, 7/31/40(14) | 2,958 | $ 728,657 | |
$ 728,657 | |||
Egypt — 0.2% | |||
Arab Republic of Egypt: | |||
5.80%, 9/30/27(14) | 427 | $ 300,903 | |
8.15%, 11/20/59(14) | 1,288 | 698,933 | |
8.50%, 1/31/47(14) | 601 | 335,957 | |
8.70%, 3/1/49(14) | 452 | 251,971 | |
8.875%, 5/29/50(14) | 355 | 198,443 | |
$ 1,786,207 | |||
El Salvador — 0.1% | |||
Republic of El Salvador: | |||
7.125%, 1/20/50(14) | 150 | $ 48,750 | |
7.75%, 1/24/23(14) | 1,077 | 985,725 | |
$ 1,034,475 | |||
Ethiopia — 0.0%(9) | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(14) | 500 | $ 255,530 | |
$ 255,530 | |||
Gabon — 0.1% | |||
Gabon Government International Bond, 6.625%, 2/6/31(14) | 880 | $ 581,214 | |
$ 581,214 | |||
Georgia — 0.0%(9) | |||
Georgia Government International Bond, 2.75%, 4/22/26(14) | 210 | $ 179,572 | |
$ 179,572 |
Security | Principal Amount* (000's omitted) | Value | |
Guatemala — 0.0%(9) | |||
Guatemala Government International Bond, 5.375%, 4/24/32(14) | 338 | $ 295,179 | |
$ 295,179 | |||
Honduras — 0.1% | |||
Honduras Government International Bond: | |||
5.625%, 6/24/30(14) | 1,461 | $ 1,062,542 | |
6.25%, 1/19/27(14) | 557 | 459,686 | |
$ 1,522,228 | |||
Hungary — 0.0%(9) | |||
Hungary Government International Bond, 2.125%, 9/22/31(14) | 815 | $ 559,631 | |
$ 559,631 | |||
India — 0.1% | |||
Export-Import Bank of India, 2.25%, 1/13/31(14) | 992 | $ 746,567 | |
$ 746,567 | |||
Indonesia — 0.2% | |||
Indonesia Government International Bond: | |||
3.55%, 3/31/32 | 2,462 | $ 2,140,826 | |
4.65%, 9/20/32 | 255 | 239,810 | |
$ 2,380,636 | |||
Iraq — 0.1% | |||
Republic of Iraq: | |||
5.80%, 1/15/28(14) | 1,440 | $ 1,186,745 | |
6.752%, 3/9/23(14) | 491 | 478,478 | |
$ 1,665,223 | |||
Ivory Coast — 0.0%(9) | |||
Ivory Coast Government International Bond: | |||
5.25%, 3/22/30(14) | EUR | 409 | $ 294,246 |
6.625%, 3/22/48(14) | EUR | 173 | 100,670 |
$ 394,916 | |||
Jordan — 0.1% | |||
Kingdom of Jordan: | |||
5.85%, 7/7/30(14) | 300 | $ 244,904 | |
7.375%, 10/10/47(14) | 438 | 321,273 | |
$ 566,177 |
Security | Principal Amount* (000's omitted) | Value | |
Kenya — 0.1% | |||
Republic of Kenya, 7.25%, 2/28/28(14) | 1,426 | $ 1,043,240 | |
$ 1,043,240 | |||
Lebanon — 0.0%(9) | |||
Lebanese Republic: | |||
5.80%, 4/14/20(14)(18) | �� 57 | $ 3,433 | |
6.00%, 1/27/23(14)(18) | 253 | 15,686 | |
6.10%, 10/4/22(14)(18) | 972 | 59,720 | |
6.15%, 6/19/20(18) | 75 | 4,517 | |
6.20%, 2/26/25(14)(18) | 80 | 4,915 | |
6.25%, 5/27/22(18) | 130 | 8,288 | |
6.25%, 11/4/24(14)(18) | 16 | 986 | |
6.25%, 6/12/25(14)(18) | 287 | 17,851 | |
6.375%, 3/9/20(18) | 1,110 | 66,855 | |
6.40%, 5/26/23(18) | 13 | 829 | |
6.65%, 4/22/24(14)(18) | 567 | 35,270 | |
6.65%, 11/3/28(14)(18) | 207 | 12,849 | |
6.75%, 11/29/27(14)(18) | 4 | 248 | |
6.85%, 5/25/29(18) | 5 | 310 | |
7.00%, 3/20/28(14)(18) | 506 | 31,347 | |
7.05%, 11/2/35(14)(18) | 86 | 5,340 | |
7.15%, 11/20/31(14)(18) | 451 | 27,696 | |
8.20%, 5/17/33(18) | 156 | 9,415 | |
8.25%, 4/12/21(14)(18) | 402 | 25,628 | |
8.25%, 5/17/34(18) | 129 | 7,811 | |
$ 338,994 | |||
Macedonia — 0.0%(9) | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(14) | EUR | 601 | $ 440,079 |
3.675%, 6/3/26(14) | EUR | 136 | 117,087 |
$ 557,166 | |||
Morocco — 0.0%(9) | |||
Morocco Government International Bond, 3.00%, 12/15/32(14) | 365 | $ 256,635 | |
$ 256,635 | |||
Mozambique — 0.0%(9) | |||
Mozambique Government International Bond, 5.00%, 9/15/31(14) | 213 | $ 146,565 | |
$ 146,565 |
Security | Principal Amount* (000's omitted) | Value | |
Oman — 0.2% | |||
Oman Government International Bond: | |||
6.25%, 1/25/31(14) | 839 | $ 783,936 | |
7.375%, 10/28/32(14) | 1,065 | 1,066,540 | |
$ 1,850,476 | |||
Pakistan — 0.0%(9) | |||
Islamic Republic of Pakistan: | |||
7.375%, 4/8/31(14) | 208 | $ 78,008 | |
8.875%, 4/8/51(14) | 1,029 | 377,129 | |
$ 455,137 | |||
Panama — 0.1% | |||
Panama Government International Bond, 6.70%, 1/26/36 | 1,100 | $ 1,085,290 | |
$ 1,085,290 | |||
Paraguay — 0.0%(9) | |||
Republic of Paraguay, 4.95%, 4/28/31(14) | 577 | $ 515,517 | |
$ 515,517 | |||
Peru — 0.1% | |||
Peruvian Government International Bond: | |||
2.783%, 1/23/31 | 926 | $ 735,511 | |
3.30%, 3/11/41 | 447 | 309,957 | |
$ 1,045,468 | |||
Romania — 0.2% | |||
Romania Government International Bond: | |||
3.375%, 1/28/50(14) | EUR | 518 | $ 263,008 |
4.625%, 4/3/49(14) | EUR | 1,115 | 722,312 |
5.00%, 9/27/26(14) | EUR | 662 | 627,346 |
6.625%, 9/27/29(14) | EUR | 650 | 604,365 |
$ 2,217,031 | |||
Serbia — 0.1% | |||
Serbia Government International Bond, 2.125%, 12/1/30(14) | 2,101 | $ 1,382,164 | |
$ 1,382,164 | |||
South Africa — 0.0%(9) | |||
Republic of South Africa, 5.875%, 4/20/32 | 624 | $ 517,043 | |
$ 517,043 |
Security | Principal Amount* (000's omitted) | Value | |
Sri Lanka — 0.1% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(14)(18) | 858 | $ 223,493 | |
6.20%, 5/11/27(14)(18) | 400 | 102,163 | |
6.35%, 6/28/24(14)(18) | 400 | 103,017 | |
6.75%, 4/18/28(14)(18) | 1,089 | 274,854 | |
6.825%, 7/18/26(14)(18) | 200 | 52,663 | |
6.85%, 3/14/24(14)(18) | 681 | 174,418 | |
6.85%, 11/3/25(14)(18) | 200 | 53,904 | |
7.55%, 3/28/30(14)(18) | 200 | 50,941 | |
7.85%, 3/14/29(14)(18) | 364 | 92,773 | |
$ 1,128,226 | |||
Suriname — 0.4% | |||
Republic of Suriname, 9.25%, 10/26/26(14)(18) | 5,751 | $ 4,560,543 | |
$ 4,560,543 | |||
Turkey — 0.1% | |||
Turkey Government International Bond, 5.125%, 2/17/28 | 1,000 | $ 779,540 | |
$ 779,540 | |||
Ukraine — 0.1% | |||
Ukraine Government International Bond: | |||
1.258%, GDP-Linked, 8/1/41(14)(23) | 1,614 | $ 460,489 | |
6.876%, 5/21/31(14) | 1,629 | 305,147 | |
$ 765,636 | |||
United Arab Emirates — 0.1% | |||
Finance Department Government of Sharjah, 4.375%, 3/10/51(14) | 2,625 | $ 1,611,362 | |
$ 1,611,362 | |||
Uruguay — 0.1% | |||
Uruguay Government International Bond, 7.625%, 3/21/36 | 710 | $ 852,448 | |
$ 852,448 | |||
Uzbekistan — 0.1% | |||
Republic of Uzbekistan: | |||
3.90%, 10/19/31(14) | 564 | $ 397,338 | |
4.75%, 2/20/24(14) | 355 | 335,296 | |
5.375%, 2/20/29(14) | 300 | 252,342 | |
$ 984,976 |
Security | Principal Amount* (000's omitted) | Value | |
Zambia — 0.1% | |||
Zambia Government International Bond: | |||
5.375%, 9/20/22(14)(18) | 930 | $ 439,425 | |
8.97%, 7/30/27(14)(18) | 894 | 427,886 | |
$ 867,311 | |||
Total Sovereign Government Bonds (identified cost $65,195,054) | $ 49,824,051 |
Sovereign Loans — 0.7% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Kenya — 0.2% | |||
Government of Kenya, Term Loan, 9.312%, (6 mo. USD LIBOR + 6.45%), 6/29/25(2) | $ | 2,700 | $ 2,605,219 |
$ 2,605,219 | |||
Nigeria — 0.1% | |||
Bank of Industry Limited, Term Loan, 9.27%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(24) | $ | 1,256 | $ 1,238,504 |
$ 1,238,504 | |||
Tanzania — 0.4% | |||
Government of the United Republic of Tanzania, Term Loan, 8.232%, (6 mo. USD LIBOR + 6.30%), 4/28/31(2) | $ | 4,410 | $ 3,970,010 |
$ 3,970,010 | |||
Total Sovereign Loans (identified cost $8,359,720) | $ 7,813,733 |
U.S. Government Agency Mortgage-Backed Securities — 30.6% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
3.50%, with various maturities to 2052 | $ | 31,198 | $ 28,261,136 |
5.00%, with various maturities to 2052 | 57,324 | 55,867,279 | |
5.50%, 5/1/32 | 264 | 268,131 | |
6.50%, with various maturities to 2036 | 1,824 | 1,897,732 | |
7.00%, with various maturities to 2036 | 1,555 | 1,636,777 | |
7.50%, with various maturities to 2035 | 877 | 912,485 | |
8.00%, with various maturities to 2030 | 145 | 152,176 | |
9.00%, with various maturities to 2031 | 16 | 16,924 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: | |||
2.444%, (6 mo. USD LIBOR + 1.54%), 9/1/37(25) | $ | 516 | $ 523,909 |
2.781%, (COF + 1.31%), 10/1/36(25) | 442 | 445,015 | |
3.338%, (1 yr. CMT + 2.26%), 8/1/36(25) | 2,968 | 3,072,619 | |
3.50%, with various maturities to 2052 | 22,486 | 20,368,546 | |
4.50%, with various maturities to 2052 | 27,321 | 26,112,705 | |
5.00%, 30-Year, TBA(26) | 9,300 | 9,050,060 | |
5.00%, 30-Year, TBA(26) | 182,900 | 178,746,387 | |
5.00%, with various maturities to 2052 | 5,114 | 5,082,970 | |
5.50%, with various maturities to 2033 | 385 | 392,384 | |
6.00%, with various maturities to 2029 | 299 | 302,738 | |
6.334%, (COF + 2.00%, Floor 6.334%), 7/1/32(25) | 559 | 600,996 | |
6.50%, with various maturities to 2036 | 7,588 | 7,881,090 | |
6.75%, 7/1/23 | 3 | 2,805 | |
7.00%, with various maturities to 2037 | 1,751 | 1,835,080 | |
7.50%, with various maturities to 2035 | 828 | 877,323 | |
7.986%, 9/15/27(7) | 53 | 54,577 | |
8.00%, with various maturities to 2027 | 65 | 67,629 | |
8.161%, 9/20/28(7) | 10 | 10,743 | |
8.231%, 10/15/29(7) | 14 | 14,107 | |
8.287%, 6/15/27(7) | 19 | 19,372 | |
8.50%, with various maturities to 2037 | 207 | 218,370 | |
9.00%, with various maturities to 2032 | 203 | 212,856 | |
9.50%, with various maturities to 2030 | 40 | 41,853 | |
Government National Mortgage Association: | |||
4.00%, 9/20/49 | 358 | 336,703 | |
4.50%, with various maturities to 2052 | 2,627 | 2,521,995 | |
5.00%, 6/20/52 | 14,949 | 14,686,321 | |
6.00%, 5/15/24 | 46 | 46,599 | |
6.50%, 8/15/24 | 274 | 275,667 | |
7.00%, 4/20/26 | 67 | 68,416 | |
7.50%, with various maturities to 2032 | 883 | 917,880 | |
8.00%, with various maturities to 2034 | 979 | 1,023,249 | |
9.00%, 12/15/25 | 84 | 87,066 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $383,475,140) | $ 364,910,670 |
Warrants — 0.0% |
Security | Shares | Value | |
Leisure Goods/Activities/Movies — 0.0% | |||
Cineworld Group PLC, Exp. 11/23/25(11)(12) | 78,565 | $ 0 | |
$ 0 |
Security | Shares | Value | |
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC, Exp. 11/26/22(10)(11)(12) | 7,886 | $ 0 | |
$ 0 | |||
Total Warrants (identified cost $0) | $ 0 |
Miscellaneous — 0.0%(9) |
Security | Principal Amount/ Shares | Value | |
Cable and Satellite Television — 0.0% | |||
ACC Claims Holdings, LLC(10)(12) | 2,257,600 | $ 0 | |
$ 0 | |||
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(11) | 400,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(11) | 1,530,000 | 0 | |
$ 0 | |||
Surface Transport — 0.0%(9) | |||
Hertz Corp., Escrow Certificates(11) | $ | 364,000 | $ 27,300 |
$ 27,300 | |||
Total Miscellaneous (identified cost $0) | $ 27,300 |
Short-Term Investments — 3.3% |
Affiliated Fund — 3.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.80%(27) | 38,262,156 | $ 38,262,156 | |
Total Affiliated Fund (identified cost $38,262,156) | $ 38,262,156 |
U.S. Treasury Obligations — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 10/4/22(28) | $ | 265 | $ 264,982 |
0.00%, 10/11/22 | 235 | 234,873 | |
Total U.S. Treasury Obligations (identified cost $499,792) | $ 499,855 | ||
Total Short-Term Investments (identified cost $38,761,948) | $ 38,762,011 | ||
Total Investments — 167.4% (identified cost $2,291,375,911) | $1,996,517,465 | ||
Less Unfunded Loan Commitments — (0.1)% | $ (795,595) | ||
Net Investments — 167.3% (identified cost $2,290,580,316) | $1,995,721,870 | ||
Other Assets, Less Liabilities — (49.2)% | $ (586,883,904) | ||
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (18.1)% | $ (216,088,429) | ||
Net Assets Applicable to Common Shares — 100.0% | $1,192,749,537 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At September 30, 2022, the aggregate value of these securities is $599,649,495 or 50.3% of the Fund's net assets applicable to common shares. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2022. |
(3) | Step coupon security. Interest rate represents the rate in effect at September 30, 2022. |
(4) | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at September 30, 2022. |
(5) | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
(6) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(7) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2022. |
(8) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 10). |
(9) | Amount is less than 0.05%. |
(10) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 11). |
(11) | Non-income producing security. |
(12) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(13) | Restricted security (see Note 7). |
(14) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At September 30, 2022, the aggregate value of these securities is $73,039,436 or 6.1% of the Fund's net assets applicable to common shares. |
(15) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(16) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(17) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(18) | Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status. |
(19) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(20) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At September 30, 2022, the total value of unfunded loan commitments is $737,046. See Note 1F for description. |
(21) | The stated interest rate represents the weighted average interest rate at September 30, 2022 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(22) | This Senior Loan will settle after September 30, 2022, at which time the interest rate will be determined. |
(23) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(24) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(25) | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at September 30, 2022. |
(26) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(27) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2022. |
(28) | Security (or a portion thereof) has been pledged to cover margin requirements on open derivative contracts. |
Forward Foreign Currency Exchange Contracts (Centrally Cleared) | |||||
Currency Purchased | Currency Sold | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||
USD | 2,001,788 | EUR | 1,989,416 | 12/21/22 | $ 40,151 |
USD | 1,214,104 | EUR | 1,206,600 | 12/21/22 | 24,352 |
USD | 1,141,848 | EUR | 1,134,791 | 12/21/22 | 22,903 |
USD | 592,876 | EUR | 589,211 | 12/21/22 | 11,892 |
USD | 161,664 | EUR | 160,664 | 12/21/22 | 3,243 |
$102,541 |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
EUR | 44,777,539 | USD | 43,866,316 | Standard Chartered Bank | 10/4/22 | $ 17,915 | $ — |
USD | 45,120,178 | EUR | 44,777,539 | Standard Chartered Bank | 10/4/22 | 1,235,947 | — |
EUR | 219,011 | USD | 216,630 | Bank of America, N.A. | 10/7/22 | — | (1,945) |
EUR | 160,664 | USD | 160,871 | Bank of America, N.A. | 10/7/22 | — | (3,380) |
EUR | 247,373 | USD | 248,813 | Bank of America, N.A. | 10/7/22 | — | (6,325) |
USD | 260,857 | EUR | 263,885 | Citibank, N.A. | 10/7/22 | 2,184 | — |
USD | 94,100 | EUR | 95,374 | HSBC Bank USA, N.A. | 10/7/22 | 610 | — |
USD | 147,586 | EUR | 151,759 | State Street Bank and Trust Company | 10/7/22 | — | (1,177) |
USD | 72,049 | EUR | 74,866 | State Street Bank and Trust Company | 10/7/22 | — | (1,338) |
USD | 663,357 | EUR | 684,163 | State Street Bank and Trust Company | 10/7/22 | — | (7,294) |
USD | 659,672 | EUR | 680,651 | State Street Bank and Trust Company | 10/7/22 | — | (7,536) |
USD | 42,168 | EUR | 43,502 | State Street Bank and Trust Company | 10/11/22 | — | (486) |
CAD | 14,187 | USD | 10,864 | Bank of America, N.A. | 10/31/22 | — | (595) |
EUR | 248,744 | USD | 241,571 | Bank of America, N.A. | 10/31/22 | 2,663 | — |
EUR | 17,047 | USD | 17,106 | Bank of America, N.A. | 10/31/22 | — | (368) |
EUR | 25,044 | USD | 24,996 | Bank of America, N.A. | 10/31/22 | — | (406) |
EUR | 182,752 | USD | 183,380 | Bank of America, N.A. | 10/31/22 | — | (3,941) |
EUR | 1,229,000 | USD | 1,257,746 | Bank of America, N.A. | 10/31/22 | — | (51,028) |
EUR | 18,747 | USD | 18,425 | Citibank, N.A. | 10/31/22 | — | (18) |
EUR | 1,056,043 | USD | 1,037,884 | Citibank, N.A. | 10/31/22 | — | (987) |
EUR | 58,902 | USD | 61,075 | Citibank, N.A. | 10/31/22 | — | (3,241) |
EUR | 237,804 | USD | 246,578 | Citibank, N.A. | 10/31/22 | — | (13,085) |
EUR | 83,995 | USD | 84,069 | JPMorgan Chase Bank, N.A. | 10/31/22 | — | (1,597) |
EUR | 85,600 | USD | 88,762 | JPMorgan Chase Bank, N.A. | 10/31/22 | — | (4,714) |
EUR | 71,264 | USD | 71,134 | State Street Bank and Trust Company | 10/31/22 | — | (1,162) |
EUR | 349,329 | USD | 348,693 | State Street Bank and Trust Company | 10/31/22 | — | (5,697) |
GBP | 313,375 | USD | 340,573 | Bank of America, N.A. | 10/31/22 | 9,531 | — |
GBP | 51,190 | USD | 55,605 | Bank of America, N.A. | 10/31/22 | 1,585 | — |
GBP | 3,159 | USD | 3,666 | Bank of America, N.A. | 10/31/22 | — | (137) |
GBP | 2,802 | USD | 3,299 | Bank of America, N.A. | 10/31/22 | — | (169) |
GBP | 8,622 | USD | 10,152 | Bank of America, N.A. | 10/31/22 | — | (519) |
GBP | 10,881 | USD | 12,693 | Bank of America, N.A. | 10/31/22 | — | (537) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
GBP | ���9,241 | USD | 10,968 | Bank of America, N.A. | 10/31/22 | $ — | $ (644) |
GBP | 37,588 | USD | 43,847 | Bank of America, N.A. | 10/31/22 | — | (1,854) |
GBP | 65,677 | USD | 76,222 | Bank of America, N.A. | 10/31/22 | — | (2,847) |
GBP | 4,477 | USD | 5,000 | HSBC Bank USA, N.A. | 10/31/22 | 1 | — |
GBP | 5,709 | USD | 6,521 | HSBC Bank USA, N.A. | 10/31/22 | — | (143) |
GBP | 29,888 | USD | 34,138 | HSBC Bank USA, N.A. | 10/31/22 | — | (747) |
GBP | 53,145 | USD | 56,865 | State Street Bank and Trust Company | 10/31/22 | 2,509 | — |
GBP | 6,637 | USD | 7,102 | State Street Bank and Trust Company | 10/31/22 | 313 | — |
USD | 11,457 | CAD | 14,628 | Bank of America, N.A. | 10/31/22 | 868 | — |
USD | 484,076 | CAD | 624,000 | Deutsche Bank AG | 10/31/22 | 32,380 | — |
USD | 995,751 | EUR | 973,543 | Bank of America, N.A. | 10/31/22 | 39,858 | — |
USD | 457,017 | EUR | 442,813 | Bank of America, N.A. | 10/31/22 | 22,232 | — |
USD | 99,374 | EUR | 99,160 | Bank of America, N.A. | 10/31/22 | 2,012 | — |
USD | 62,564 | EUR | 63,193 | Bank of America, N.A. | 10/31/22 | 517 | — |
USD | 100,022 | EUR | 99,244 | Deutsche Bank AG | 10/31/22 | 2,577 | — |
USD | 8,077,915 | EUR | 7,867,583 | Goldman Sachs International | 10/31/22 | 352,972 | — |
USD | 8,077,064 | EUR | 7,867,582 | Goldman Sachs International | 10/31/22 | 352,122 | — |
USD | 6,343,099 | EUR | 6,228,299 | Goldman Sachs International | 10/31/22 | 227,720 | — |
USD | 400,272 | EUR | 391,444 | HSBC Bank USA, N.A. | 10/31/22 | 15,925 | — |
USD | 314,705 | EUR | 305,648 | HSBC Bank USA, N.A. | 10/31/22 | 14,599 | — |
USD | 41,646 | EUR | 40,727 | HSBC Bank USA, N.A. | 10/31/22 | 1,657 | — |
USD | 2,717,864 | EUR | 2,651,000 | Standard Chartered Bank | 10/31/22 | 114,926 | — |
USD | 145,759 | EUR | 144,639 | Standard Chartered Bank | 10/31/22 | 3,742 | — |
USD | 15,319,872 | EUR | 14,978,790 | State Street Bank and Trust Company | 10/31/22 | 612,649 | — |
USD | 6,340,765 | EUR | 6,228,298 | State Street Bank and Trust Company | 10/31/22 | 225,387 | — |
USD | 6,340,568 | EUR | 6,228,298 | State Street Bank and Trust Company | 10/31/22 | 225,190 | — |
USD | 6,336,632 | EUR | 6,228,298 | State Street Bank and Trust Company | 10/31/22 | 221,254 | — |
USD | 3,595,422 | EUR | 3,516,178 | State Street Bank and Trust Company | 10/31/22 | 142,993 | — |
USD | 559,595 | EUR | 543,641 | State Street Bank and Trust Company | 10/31/22 | 25,811 | — |
USD | 88,133 | EUR | 85,933 | State Street Bank and Trust Company | 10/31/22 | 3,758 | — |
USD | 315,568 | GBP | 261,459 | Bank of America, N.A. | 10/31/22 | 23,465 | — |
USD | 87,855 | GBP | 71,613 | Bank of America, N.A. | 10/31/22 | 7,849 | — |
USD | 18,174 | GBP | 15,001 | Bank of America, N.A. | 10/31/22 | 1,414 | — |
USD | 2,588,850 | GBP | 2,405,253 | Goldman Sachs International | 10/31/22 | — | (98,306) |
USD | 132,879 | GBP | 109,684 | HSBC Bank USA, N.A. | 10/31/22 | 10,341 | — |
USD | 3,907,475 | GBP | 3,236,418 | Standard Chartered Bank | 10/31/22 | 291,740 | — |
USD | 105,507 | GBP | 87,317 | State Street Bank and Trust Company | 10/31/22 | 7,957 | — |
USD | 15,663 | GBP | 14,559 | State Street Bank and Trust Company | 10/31/22 | — | (602) |
USD | 2,591,148 | GBP | 2,405,253 | State Street Bank and Trust Company | 10/31/22 | — | (96,007) |
USD | 43,952,953 | EUR | 44,777,539 | Standard Chartered Bank | 11/2/22 | — | (18,836) |
USD | 4,041,266 | EUR | 4,141,012 | Bank of America, N.A. | 12/30/22 | — | (46,060) |
USD | 4,042,186 | EUR | 4,141,012 | State Street Bank and Trust Company | 12/30/22 | — | (45,139) |
USD | 5,076,720 | EUR | 5,201,512 | State Street Bank and Trust Company | 12/30/22 | — | (57,356) |
USD | 6,064,048 | EUR | 6,211,518 | State Street Bank and Trust Company | 12/30/22 | — | (66,940) |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 4,020,325 | EUR | 4,141,012 | State Street Bank and Trust Company | 12/30/22 | $ — | $ (67,001) |
$4,257,173 | $(620,164) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
Euro-Bobl | (16) | Short | 12/8/22 | $ (1,877,776) | $ 20,804 |
Euro-Bund | (3) | Short | 12/8/22 | (407,182) | 12,768 |
Euro-Buxl | (8) | Short | 12/8/22 | (1,149,716) | 85,517 |
U.S. 5-Year Treasury Note | (840) | Short | 12/30/22 | (90,306,562) | 3,067,627 |
U.S. 10-Year Treasury Note | (67) | Short | 12/20/22 | (7,508,188) | 341,053 |
U.S. Long Treasury Bond | (4) | Short | 12/20/22 | (505,625) | 42,715 |
U.S. Ultra-Long Treasury Bond | (32) | Short | 12/20/22 | (4,384,001) | 401,155 |
$3,971,639 |
Credit Default Swaps - Sell Protection (OTC) | ||||||||
Reference Entity | Counterparty | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Current Market Annual Fixed Rate*** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) |
Mexico | Citibank, N.A. | $ 2,041 | 1.00% (pays quarterly)(1) | 2.57% | 12/20/31 | $ (223,204) | $ 84,110 | $ (139,094) |
Total | $2,041 | $(223,204) | $84,110 | $(139,094) |
* | If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At September 30, 2022, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $2,041,000. |
** | The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract. |
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations: | |
CMT | – Constant Maturity Treasury |
COF | – Cost of Funds 11th District |
DIP | – Debtor In Possession |
EURIBOR | – Euro Interbank Offered Rate |
GDP | – Gross Domestic Product |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
SONIA | – Sterling Overnight Interbank Average |
TBA | – To Be Announced |
Currency Abbreviations: | |
CAD | – Canadian Dollar |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
September 30, 2022 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,240,436,689) | $ 1,947,051,721 |
Affiliated investments, at value (identified cost $50,143,627) | 48,670,149 |
Cash | 11,945,529 |
Deposits for derivatives collateral: | |
Futures contracts | 1,742,949 |
Centrally cleared derivatives | 295,877 |
OTC derivatives - forward foreign currency exchange contracts | 3,830,000 |
Deposits for forward commitment securities | 2,460,000 |
Foreign currency, at value (identified cost $5,196,267) | 5,165,655 |
Interest receivable | 18,239,399 |
Interest and dividends receivable from affiliated investments | 178,453 |
Receivable for investments sold | 10,122,963 |
Receivable for variation margin on open futures contracts | 189,128 |
Receivable for variation margin on open centrally cleared derivatives | 8,690 |
Receivable for open forward foreign currency exchange contracts | 4,257,173 |
Tax reclaims receivable | 6,182 |
Prepaid upfront fees on notes payable | 1,076,135 |
Prepaid expenses | 8,890 |
Total assets | $2,055,248,893 |
Liabilities | |
Notes payable | $ 438,000,000 |
Cash collateral due to brokers | 3,830,000 |
Payable for investments purchased | 7,244,956 |
Payable for when-issued/delayed delivery/forward commitment securities | 192,910,603 |
Payable for open forward foreign currency exchange contracts | 620,164 |
Payable for open swap contracts | 139,094 |
Upfront receipts on open non-centrally cleared swap contracts | 84,110 |
Payable to affiliate: | |
Investment adviser fee | 1,215,248 |
Accrued expenses | 2,366,752 |
Total liabilities | $ 646,410,927 |
Auction preferred shares (8,640 shares outstanding) at liquidation value plus cumulative unpaid dividends | $ 216,088,429 |
Net assets applicable to common shares | $1,192,749,537 |
Sources of Net Assets | |
Common shares, $0.01 par value, unlimited number of shares authorized | $ 1,162,035 |
Additional paid-in capital | 1,683,032,116 |
Accumulated loss | (491,444,614) |
Net assets applicable to common shares | $1,192,749,537 |
Common Shares Issued and Outstanding | 116,203,460 |
Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding | $ 10.26 |
Six Months Ended | |
September 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $667) | $ 1,242,099 |
Dividend income from affiliated investments | 384,733 |
Interest and other income (net of foreign taxes withheld of $1,909) | 51,327,261 |
Interest income from affiliated investments | 293,040 |
Total investment income | $ 53,247,133 |
Expenses | |
Investment adviser fee | $ 7,784,424 |
Trustees’ fees and expenses | 54,250 |
Custodian fee | 297,517 |
Transfer and dividend disbursing agent fees | 9,538 |
Legal and accounting services | 83,753 |
Printing and postage | 245,153 |
Interest expense and fees | 7,924,801 |
Preferred shares service fee | 113,612 |
Miscellaneous | 102,861 |
Total expenses | $ 16,615,909 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 30,319 |
Total expense reductions | $ 30,319 |
Net expenses | $ 16,585,590 |
Net investment income | $ 36,661,543 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (41,753,397) |
Investment transactions - affiliated investment | 5,074 |
Futures contracts | 12,153,932 |
Swap contracts | 27,324 |
Foreign currency transactions | (343,802) |
Forward foreign currency exchange contracts | 18,819,886 |
Net realized loss | $ (11,090,983) |
Change in unrealized appreciation (depreciation): | |
Investments | $ (189,937,461) |
Investments - affiliated investments | (304,173) |
Futures contracts | (629,401) |
Swap contracts | (132,700) |
Foreign currency | (141,565) |
Forward foreign currency exchange contracts | 1,633,944 |
Net change in unrealized appreciation (depreciation) | $(189,511,356) |
Net realized and unrealized loss | $(200,602,339) |
Distributions to preferred shareholders | $ (2,737,610) |
Net decrease in net assets from operations | $(166,678,406) |
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 36,661,543 | $ 74,344,411 |
Net realized gain (loss) | (11,090,983) | 3,126,359 |
Net change in unrealized appreciation (depreciation) | (189,511,356) | (85,016,408) |
Distributions to preferred shareholders | (2,737,610) | (344,223) |
Net decrease in net assets from operations | $ (166,678,406) | $ (7,889,861) |
Distributions to common shareholders | $ (69,722,076)* | $ (79,170,448) |
Tax return of capital to common shareholders | $ — | $ (60,229,921) |
Capital share transactions: | ||
Reinvestment of distributions to common shareholders | $ — | $ 748,152 |
Net increase in net assets from capital share transactions | $ — | $ 748,152 |
Net decrease in net assets | $ (236,400,482) | $ (146,542,078) |
Net Assets Applicable to Common Shares | ||
At beginning of period | $ 1,429,150,019 | $ 1,575,692,097 |
At end of period | $1,192,749,537 | $1,429,150,019 |
* | A portion of the distributions may be deemed a tax return of capital at year-end. See Note 3. |
Six Months Ended | |
September 30, 2022 | |
Cash Flows From Operating Activities | |
Net decrease in net assets from operations | $ (166,678,406) |
Distributions to preferred shareholders | 2,737,610 |
Net decrease in net assets from operations excluding distributions to preferred shareholders | $ (163,940,796) |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities: | |
Investments purchased | (1,486,440,413) |
Investments sold and principal repayments | 1,628,695,648 |
Decrease in short-term investments, net | 7,991,190 |
Net amortization/accretion of premium (discount) | 4,358,421 |
Amortization of prepaid upfront fees on notes payable | 241,349 |
Increase in interest receivable | (1,476,371) |
Increase in interest and dividends receivable from affiliated investments | (135,414) |
Increase in receivable for variation margin on open futures contracts | (189,128) |
Decrease in receivable for variation margin on open centrally cleared derivatives | 105,168 |
Increase in receivable for open forward foreign currency exchange contracts | (2,020,943) |
Increase in tax reclaims receivable | (3,033) |
Increase in cash collateral due to brokers | 3,400,000 |
Decrease in payable for variation margin on open futures contracts | (513,784) |
Increase in payable for open forward foreign currency exchange contracts | 530,603 |
Increase in payable for open swap contracts | 110,052 |
Decrease in upfront receipts on open non-centrally cleared swap contracts | (9,102) |
Decrease in payable to affiliate for investment adviser fee | (182,003) |
Increase in accrued expenses | 754,908 |
Decrease in unfunded loan commitments | (159,270) |
Net change in unrealized (appreciation) depreciation from investments | 190,241,634 |
Net realized loss from investments | 41,748,323 |
Net cash provided by operating activities | $ 223,107,039 |
Cash Flows From Financing Activities | |
Cash distributions paid to common shareholders | $ (69,722,076) |
Cash distributions paid to preferred shareholders | (2,662,847) |
Proceeds from notes payable | 95,000,000 |
Repayments of notes payable | (235,000,000) |
Net cash used in financing activities | $ (212,384,923) |
Net increase in cash and restricted cash* | $ 10,722,116 |
Cash and restricted cash at beginning of period (including foreign currency) | $ 14,717,894 |
Cash and restricted cash at end of period (including foreign currency) | $ 25,440,010 |
Supplemental disclosure of cash flow information: | |
Cash paid for interest and fees on borrowings | $ 6,834,899 |
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $(25,658). |
September 30, 2022 | |
Cash | $ 11,945,529 |
Deposits for derivatives collateral: | |
Futures contracts | 1,742,949 |
Centrally cleared derivatives | 295,877 |
OTC derivatives - forward foreign currency exchange contracts | 3,830,000 |
Deposits for forward commitment securities | 2,460,000 |
Foreign currency | 5,165,655 |
Total cash and restricted cash as shown on the Statement of Cash Flows | $25,440,010 |
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period (Common shares) | $ 12.300 | $ 13.570 | $ 11.750 | $ 14.450 | $ 14.740 | $ 15.110 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.315 | $ 0.640 | $ 0.756 | $ 0.762 | $ 0.826 | $ 0.808 |
Net realized and unrealized gain (loss) | (1.731) | (0.707) | 2.271 | (2.390) | (0.267) | (0.168) |
Distributions to preferred shareholders: From net investment income(1) | (0.024) | (0.003) | (0.007) | (0.055) | (0.066) | (0.043) |
Discount on redemption and repurchase of auction preferred shares(1) | — | — | — | — | 0.035 | — |
Total income (loss) from operations | $ (1.440) | $ (0.070) | $ 3.020 | $ (1.683) | $ 0.528 | $ 0.597 |
Less Distributions to Common Shareholders | ||||||
From net investment income | $ (0.600)* | $ (0.681) | $ (0.789) | $ (0.839) | $ (0.818) | $ (0.818) |
Tax return of capital | — | (0.519) | (0.411) | (0.178) | — | (0.149) |
Total distributions to common shareholders | $ (0.600) | $ (1.200) | $ (1.200) | $ (1.017) | $ (0.818) | $ (0.967) |
Net asset value — End of period (Common shares) | $10.260 | $12.300 | $13.570 | $11.750 | $14.450 | $14.740 |
Market value — End of period (Common shares) | $ 9.210 | $11.700 | $12.630 | $10.570 | $12.650 | $13.020 |
Total Investment Return on Net Asset Value(2) | (11.68)% (3) | (0.42)% | 27.62% | (11.69)% | 4.57% (4) | 4.72% |
Total Investment Return on Market Value(2) | (16.64)% (3) | 1.70% | 32.25% | (9.33)% | 3.70% | 0.99% |
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Ratios/Supplemental Data | ||||||
Net assets applicable to common shares, end of period (000’s omitted) | $1,192,750 | $1,429,150 | $1,575,692 | $1,365,197 | $1,678,459 | $1,712,583 |
Ratios (as a percentage of average daily net assets applicable to common shares):(5)† | ||||||
Expenses excluding interest and fees | 1.31% (6) | 1.24% | 1.33% | 1.29% | 1.31% | 1.30% |
Interest and fee expense(7) | 1.21% (6) | 0.53% | 0.58% | 1.33% | 1.43% | 1.00% |
Total expenses | 2.52% (6)(8) | 1.77% | 1.91% | 2.62% | 2.74% | 2.30% |
Net investment income | 5.58% (6) | 4.83% | 5.73% | 5.33% | 5.71% | 5.36% |
Portfolio Turnover | 74% (3)(9) | 137% (9) | 57% (9) | 49% | 34% | 43% |
Senior Securities: | ||||||
Total notes payable outstanding (in 000’s) | $ 438,000 | $ 578,000 | $ 570,000 | $ 525,000 | $ 595,000 | $ 663,000 |
Asset coverage per $1,000 of notes payable(10) | $ 4,217 | $ 3,846 | $ 4,143 | $ 4,012 | $ 4,184 | $ 3,985 |
Total preferred shares outstanding | 8,640 | 8,640 | 8,640 | 8,640 | 8,640 | 10,665 |
Asset coverage per preferred share(11) | $ 70,598 | $ 69,999 | $ 75,118 | $ 71,062 | $ 76,744 | $ 71,059 |
Involuntary liquidation preference per preferred share(12) | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 |
Approximate market value per preferred share(12) | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 |
(1) | Computed using average common shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Fund's dividend reinvestment plan. |
(3) | Not annualized. |
(4) | The total return based on net asset value reflects the impact of the tender and repurchase by the Fund of a portion of its Auction Preferred Shares at 92% of the per share liquidation preference. Absent this transaction, the total return based on net asset value would have been 4.31%. |
(5) | Ratios do not reflect the effect of dividend payments to preferred shareholders. |
(6) | Annualized. |
(7) | Interest and fee expense relates to the notes payable, a portion of which was incurred to partially redeem the Fund’s Auction Preferred Shares (see Note 2). |
(8) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended September 30, 2022). |
(9) | Includes the effect of To-Be-Announced (TBA) transactions. |
(10) | Calculated by subtracting the Fund’s total liabilities (not including the notes payable and preferred shares) from the Fund’s total assets, and dividing the result by the notes payable balance in thousands. |
(11) | Calculated by subtracting the Fund’s total liabilities (not including the notes payable and preferred shares) from the Fund’s total assets, dividing the result by the sum of the value of the notes payable and liquidation value of the preferred shares, and multiplying the result by the liquidation value of one preferred share. Such amount equates to 282%, 280%, 300%, 284%, 307% and 284% at September 30, 2022 and March 31, 2022, 2021, 2020, 2019 and 2018, respectively. |
(12) | Plus accumulated and unpaid dividends. |
* | A portion of the distributions may be deemed a tax return of capital at year-end. See Note 3. |
† | Ratios based on net assets applicable to common shares plus preferred shares and borrowings are presented below. Ratios do not reflect the effect of dividend payments to preferred shareholders. Ratios for periods less than one year are annualized. |
Six Months Ended September 30, 2022 (Unaudited) | Year Ended March 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Expenses excluding interest and fees | 0.84% | 0.83% | 0.88% | 0.86% | 0.87% | 0.87% |
Interest and fee expense | 0.77% | 0.36% | 0.38% | 0.89% | 0.95% | 0.67% |
Total expenses | 1.61% | 1.19% | 1.26% | 1.75% | 1.82% | 1.57% |
Net investment income | 3.55% | 3.25% | 3.79% | 3.57% | 3.79% | 3.58% |
APS Issued and Outstanding | |
Series A | 1,728 |
Series B | 1,728 |
Series C | 1,728 |
Series D | 1,728 |
Series E | 1,728 |
APS Dividend Rates at September 30, 2022 | Dividends Accrued to APS Shareholders | Average APS Dividend Rates | Dividend Rate Ranges (%) | |
Series A | 4.88% | $543,084 | 2.51% | 0.56-4.88 |
Series B | 4.97 | 548,282 | 2.53 | 0.66-4.97 |
Series C | 4.91 | 548,091 | 2.53 | 0.66-4.91 |
Series D | 4.85 | 557,191 | 2.57 | 0.63-4.85 |
Series E | 4.85 | 540,962 | 2.50 | 0.61-4.85 |
Aggregate cost | $2,289,266,287 |
Gross unrealized appreciation | $ 20,872,106 |
Gross unrealized depreciation | (306,844,428) |
Net unrealized depreciation | $ (285,972,322) |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 154,047,208 | $ 203,984,960 |
U.S. Government and Agency Securities | 1,420,592,952 | 1,415,908,217 |
$1,574,640,160 | $1,619,893,177 |
Description | Date(s) of Acquisition | Shares | Cost | Value |
Common Stocks | ||||
Nine Point Energy Holdings, Inc. | 7/15/14 | 29,787 | $ 1,370,480 | $ 0 |
Total Common Stocks | $1,370,480 | $0 | ||
Convertible Preferred Stocks | ||||
Nine Point Energy Holdings, Inc., Series A, 12.00%, (PIK) | 5/26/17 | 555 | $ 555,000 | $ 0 |
Total Convertible Preferred Stocks | $ 555,000 | $0 | ||
Total Restricted Securities | $1,925,480 | $0 |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Accumulated loss | $ — | $ 102,541* | $ 3,971,639* | $ 4,074,180 |
Receivable for open forward foreign currency exchange contracts | — | 4,257,173 | — | 4,257,173 |
Total Asset Derivatives | $ — | $4,359,714 | $3,971,639 | $8,331,353 |
Derivatives not subject to master netting or similar agreements | $ — | $ 102,541 | $3,971,639 | $4,074,180 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $4,257,173 | $ — | $4,257,173 |
Payable for open forward foreign currency exchange contracts | $ — | $ (620,164) | $ — | $ (620,164) |
Payable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts | (223,204) | — | — | (223,204) |
Total Liability Derivatives subject to master netting or similar agreements | $(223,204) | $ (620,164) | $ — | $ (843,368) |
* | For futures contracts and centrally cleared derivatives, amount represents value as shown in the Portfolio of Investments. Only the current day’s variation margin on open futures contracts and centrally cleared derivatives is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared derivatives, as applicable. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
Bank of America, N.A. | $ 111,994 | $ (111,994) | $ — | $ — | $ — |
Citibank, N.A. | 2,184 | (2,184) | — | — | — |
Deutsche Bank AG | 34,957 | — | — | — | 34,957 |
Goldman Sachs International | 932,814 | (98,306) | — | (834,508) | — |
HSBC Bank USA, N.A. | 43,133 | (890) | (30,196) | — | 12,047 |
Standard Chartered Bank | 1,664,270 | (18,836) | — | (1,645,434) | — |
State Street Bank and Trust Company | 1,467,821 | (357,735) | (1,110,086) | — | — |
$4,257,173 | $(589,945) | $(1,140,282) | $(2,479,942) | $47,004 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Bank of America, N.A. | $ (120,755) | $ 111,994 | $ — | $ — | $ (8,761) |
Citibank, N.A. | (240,535) | 2,184 | 178,988 | — | (59,363) |
Goldman Sachs International | (98,306) | 98,306 | — | — | — |
HSBC Bank USA, N.A. | (890) | 890 | — | — | — |
JPMorgan Chase Bank, N.A. | (6,311) | — | — | — | (6,311) |
Standard Chartered Bank | (18,836) | 18,836 | — | — | — |
State Street Bank and Trust Company | (357,735) | 357,735 | — | — | — |
$(843,368) | $589,945 | $178,988 | $ — | $(74,435) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Credit | Foreign Exchange | Interest Rate | Total |
Net realized gain (loss): | ||||
Futures contracts | $ — | $ — | $ 12,153,932 | $ 12,153,932 |
Swap contracts | 27,324 | — | — | 27,324 |
Forward foreign currency exchange contracts | — | 18,819,886 | — | 18,819,886 |
Total | $ 27,324 | $18,819,886 | $12,153,932 | $31,001,142 |
Change in unrealized appreciation (depreciation): | ||||
Futures contracts | $ — | $ — | $ (629,401) | $ (629,401) |
Swap contracts | (132,700) | — | — | (132,700) |
Forward foreign currency exchange contracts | — | 1,633,944 | — | 1,633,944 |
Total | $(132,700) | $ 1,633,944 | $ (629,401) | $ 871,843 |
Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$207,372,000 | $228,220,000 | $4,985,000 |
* | The average notional amount of forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Units/Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2015-C23, Class D, 4.281%, 7/15/50 | $ 1,866,948 | $ — | $ — | $ — | $ 15,068 | $ 1,730,562 | $ 47,960 | $ 2,000,000 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 2,984,932 | — | — | — | (263,377) | 2,754,896 | 64,127 | 3,577,365 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 1,236,954 | — | — | — | (103,089) | 1,185,641 | 34,565 | 1,600,000 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 2,644,734 | — | — | — | 72,218 | 2,425,003 | 91,608 | 4,488,667 |
Series 2017-CLS, Class F, 5.418%, (1 mo. USD LIBOR + 2.60%), 11/15/34 | 562,594 | — | — | — | (4,561) | 558,223 | 11,962 | 569,000 |
Series 2019-BPR, Class C, 6.118%, (1 mo. USD LIBOR + 3.30%), 5/15/36 | 1,769,714 | — | — | — | (16,046) | 1,753,668 | 42,818 | 1,845,000 |
Short-Term Investments | ||||||||
Cash Reserves Fund | 46,252,658 | 45,303,626 | (91,556,972) | 5,074 | (4,386) | — | 317 | — |
Liquidity Fund | — | 513,050,020 | (474,787,864) | — | — | 38,262,156 | 384,416 | 38,262,156 |
Total | $5,074 | $(304,173) | $48,670,149 | $677,773 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 91,335,409 | $ — | $ 91,335,409 |
Closed-End Funds | 18,712,350 | — | — | 18,712,350 |
Collateralized Mortgage Obligations | — | 85,714,983 | — | 85,714,983 |
Commercial Mortgage-Backed Securities | — | 85,177,410 | — | 85,177,410 |
Common Stocks | 951,005 | 4,455,154 | 744,509 | 6,150,668 |
Convertible Bonds | — | 601,978 | — | 601,978 |
Convertible Preferred Stocks | — | 3,113,015 | 0 | 3,113,015 |
Corporate Bonds | — | 629,210,282 | — | 629,210,282 |
Preferred Stocks | 1,603,909 | 1,116,733 | 0 | 2,720,642 |
Rights | 4,377 | — | — | 4,377 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 611,388,167 | 254,824 | 611,642,991 |
Sovereign Government Bonds | — | 49,824,051 | — | 49,824,051 |
Sovereign Loans | — | 7,813,733 | — | 7,813,733 |
U.S. Government Agency Mortgage-Backed Securities | — | 364,910,670 | — | 364,910,670 |
Warrants | — | 0 | 0 | 0 |
Miscellaneous | — | 27,300 | — | 27,300 |
Short-Term Investments: | ||||
Affiliated Fund | 38,262,156 | — | — | 38,262,156 |
U.S. Treasury Obligations | — | 499,855 | — | 499,855 |
Total Investments | $59,533,797 | $ 1,935,188,740 | $999,333 | $ 1,995,721,870 |
Forward Foreign Currency Exchange Contracts | $ — | $ 4,359,714 | $ — | $ 4,359,714 |
Futures Contracts | 3,971,639 | — | — | 3,971,639 |
Total | $63,505,436 | $ 1,939,548,454 | $999,333 | $ 2,004,053,223 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (620,164) | $ — | $ (620,164) |
Swap Contracts | — | (223,204) | — | (223,204) |
Total | $ — | $ (843,368) | $ — | $ (843,368) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Officers | |
Eric A. Stein President | Jill R. Damon Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser** |
* | Interested Trustee |
** | Ms. Wiser began serving as a Trustee effective April 4, 2022. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
State Street Financial Center, One Lincoln Street
Boston, MA 02111
6201 15th Avenue
Brooklyn, NY 11219
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not required in this filing.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
No such purchases this period.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
No activity to report for the registrant’s most recent fiscal year end.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
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, thereunto duly authorized.
Eaton Vance Limited Duration Income Fund | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | November 22, 2022 |
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/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | November 22, 2022 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | November 22, 2022 |