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
March 31, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
![](https://capedge.com/proxy/N-CSR/0001193125-23-153944/g373514imgfa3ec79c1.gif)
Fund (EVV)
![](https://capedge.com/proxy/N-CSR/0001193125-23-153944/g373514img659f52e42.gif)
% Average Annual Total Returns1,2 | Inception Date | One Year | Five Years | Ten Years |
Fund at NAV | 05/30/2003 | (3.98)% | 2.42% | 3.98% |
Fund at Market Price | — | (5.30) | 3.67 | 3.17 |
Bloomberg U.S. Aggregate Bond Index | — | (4.78)% | 0.90% | 1.36% |
Blended Index | — | (1.99) | 2.28 | 2.85 |
% Premium/Discount to NAV3 | |
As of period end | (6.19)% |
Distributions 4 | |
Total Distributions per share for the period | $1.200 |
Distribution Rate at NAV | 11.43% |
Distribution Rate at Market Price | 12.18 |
% Total Leverage5 | |
Auction Preferred Shares (APS) | 12.33% |
Borrowings | 17.93 |
![](https://capedge.com/proxy/N-CSR/0001193125-23-153944/g373514img5830f44a3.jpg)
Asset Allocation (% of total investments)1 |
![](https://capedge.com/proxy/N-CSR/0001193125-23-153944/g373514imgd07217a84.jpg)
1 | Including the Fund’s use of leverage, Asset Allocation as a percentage of the Fund's net assets amounted to 160.2%. |
† | The views expressed in this report are those of the portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance and the Fund(s) disclaim any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as “forward-looking statements.” The Fund’s actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund’s filings with the Securities and Exchange Commission. |
‡ | The information contained herein is provided for informational purposes only and does not constitute a solicitation of an offer to buy or sell Fund shares. Common shares of the Fund are available for purchase and sale only at current market prices in secondary market trading. |
1 | Bloomberg U.S. Aggregate Bond Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities. The Blended Index consists of 33.33% Morningstar® LSTA® US Leveraged Loan IndexSM, 33.33% ICE BofA Single-B U.S. High Yield Index and 33.34% ICE BofA U.S. Mortgage-Backed Securities Index, rebalanced monthly. 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 Single-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. 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 waivers 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. | |
Additional Information | |
Bloomberg U.S. Treasury Index measures the performance of U.S. Treasuries with a maturity of one year or more. ICE BofA U.S. High Yield Index is an unmanaged index of below-investment grade U.S. corporate bonds. | |
Duration is a measure of the expected change in price of a bond — in percentage terms — given a one percent change in interest rates, all else being constant. Securities with lower durations tend to be less sensitive to interest rate changes. | |
Spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality. |
Asset-Backed Securities — 7.9% |
Security | Principal Amount (000's omitted) | Value | |
AIG CLO, Ltd., Series 2019-1A, Class ER, 11.332%, (3 mo. SOFR + 6.70%), 4/18/35(1)(2) | $ | 2,877 | $ 2,514,955 |
Alinea CLO, Ltd., Series 2018-1A, Class E, 10.808%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) | 1,000 | 825,613 | |
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 11.702%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) | 500 | 422,510 | |
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 11.039%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) | 2,000 | 1,569,604 | |
Ares XXXIV CLO, Ltd., Series 2015-2A, Class ER, 11.642%, (3 mo. USD LIBOR + 6.85%), 4/17/33(1)(2) | 2,000 | 1,794,064 | |
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 10.492%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) | 2,000 | 1,654,014 | |
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 11.492%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) | 3,000 | 2,675,676 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 11.142%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 3,000 | 2,744,505 | |
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class ER, 11.542%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 4,500 | 4,119,331 | |
Benefit Street Partners CLO XXII, Ltd., Series 2020-22A, Class ER, 11.569%, (3 mo. SOFR + 6.93%), 4/20/35(1)(2) | 2,000 | 1,807,466 | |
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 11.648%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) | 1,000 | 897,580 | |
BlueMountain CLO XXV, Ltd., Series 2019-25A, Class ER, 12.042%, (3 mo. USD LIBOR + 7.25%), 7/15/36(1)(2) | 2,000 | 1,810,322 | |
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class ER, 11.938%, (3 mo. USD LIBOR + 7.13%), 10/20/34(1)(2) | 2,500 | 2,308,438 | |
BlueMountain CLO XXX, Ltd., Series 2020-30A, Class ER, 11.358%, (3 mo. SOFR + 6.70%), 4/15/35(1)(2) | 2,000 | 1,735,396 | |
BlueMountain CLO XXXIV, Ltd., Series 2022-34A, Class E, 12.189%, (3 mo. SOFR + 7.55%), 4/20/35(1)(2) | 1,000 | 915,635 | |
BlueMountain CLO, Ltd.: | |||
Series 2016-3A, Class ER, 10.814%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) | 2,000 | 1,615,734 | |
Series 2018-1A, Class E, 10.752%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) | 1,000 | 772,315 |
Security | Principal Amount (000's omitted) | Value | |
Canyon Capital CLO, Ltd.: | |||
Series 2016-2A, Class ER, 10.792%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) | $ | 3,350 | $ 2,602,742 |
Series 2019-2A, Class ER, 11.542%, (3 mo. USD LIBOR + 6.75%), 10/15/34(1)(2) | 1,000 | 903,089 | |
Carlyle CLO C17, Ltd., Series C17A, Class DR, 10.802%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) | 1,750 | 1,439,018 | |
Carlyle Global Market Strategies CLO, Ltd.: | |||
Series 2012-3A, Class DR2, 11.292%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) | 2,000 | 1,635,262 | |
Series 2014-4RA, Class D, 10.442%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) | 1,250 | 1,011,170 | |
Series 2015-5A, Class DR, 11.508%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) | 1,000 | 796,018 | |
Cedar Funding X CLO, Ltd., Series 2019-10A, Class ER, 11.308%, (3 mo. USD LIBOR + 6.50%), 10/20/32(1)(2) | 1,500 | 1,338,090 | |
Dryden Senior Loan Fund: | |||
Series 2015-41A, Class ER, 10.13%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) | 2,000 | 1,614,636 | |
Series 2016-42A, Class ER, 10.342%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) | 1,000 | 836,905 | |
Elmwood CLO 14, Ltd., Series 2022-1A, Class E, 10.989%, (3 mo. SOFR + 6.35%), 4/20/35(1)(2) | 1,000 | 912,254 | |
Elmwood CLO 17, Ltd., Series 2022-4A, Class E, 11.808%, (3 mo. SOFR + 7.15%), 7/17/35(1)(2) | 2,000 | 1,910,558 | |
Galaxy XIX CLO, Ltd., Series 2015-19A, Class D2R, 11.816%, (3 mo. USD LIBOR + 7.00%), 7/24/30(1)(2) | 1,600 | 1,362,987 | |
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 11.437%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) | 3,275 | 2,778,618 | |
Galaxy XXI CLO, Ltd., Series 2015-21A, Class ER, 10.058%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2) | 1,100 | 941,587 | |
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 10.768%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 1,000 | 864,835 | |
Golub Capital Partners CLO 37B, Ltd., Series 2018-37A, Class E, 10.558%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) | 3,000 | 2,849,103 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 11.739%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,827,048 | |
Madison Park Funding XVII, Ltd., Series 2015-17A, Class ER, 11.315%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2) | 2,000 | 1,802,786 | |
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class ER, 11.708%, (3 mo. SOFR + 7.05%), 4/15/35(1)(2) | 3,000 | 2,832,525 |
Security | Principal Amount (000's omitted) | Value | |
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class ER, 10.942%, (3 mo. USD LIBOR + 6.15%), 7/15/33(1)(2) | $ | 3,500 | $ 3,226,626 |
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 10.852%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) | 1,500 | 1,320,687 | |
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 11.008%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) | 2,000 | 1,819,232 | |
Neuberger Berman Loan Advisers CLO 31, Ltd., Series 2019-31A, Class ER, 11.308%, (3 mo. USD LIBOR + 6.50%), 4/20/31(1)(2) | 1,000 | 912,890 | |
Neuberger Berman Loan Advisers CLO 48, Ltd., Series 2022-48A, Class E, 11.16%, (3 mo. SOFR + 6.50%), 4/25/36(1)(2) | 2,000 | 1,834,678 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 3,607 | 3,295,676 | |
Palmer Square CLO, Ltd.: | |||
Series 2013-2A, Class DRR, 10.642%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) | 2,000 | 1,759,940 | |
Series 2018-2A, Class D, 10.43%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) | 1,000 | 917,925 | |
Series 2019-1A, Class DR, 11.369%, (3 mo. USD LIBOR + 6.50%), 11/14/34(1)(2) | 2,000 | 1,811,384 | |
Series 2021-3A, Class E, 10.942%, (3 mo. USD LIBOR + 6.15%), 1/15/35(1)(2) | 2,500 | 2,272,870 | |
RAD CLO 5, Ltd., Series 2019-5A, Class E, 11.516%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2) | 4,550 | 3,981,209 | |
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 10.792%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2) | 450 | 391,117 | |
Regatta XII Funding, Ltd., Series 2019-1A, Class ER, 11.142%, (3 mo. USD LIBOR + 6.35%), 10/15/32(1)(2) | 2,000 | 1,812,972 | |
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 10.742%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) | 2,000 | 1,610,944 | |
Regatta XIV Funding, Ltd., Series 2018-3A, Class E, 10.768%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) | 1,000 | 853,402 | |
Regatta XVI Funding, Ltd., Series 2019-2A, Class E, 11.792%, (3 mo. USD LIBOR + 7.00%), 1/15/33(1)(2) | 1,800 | 1,677,364 | |
Vibrant CLO IX, Ltd., Series 2018-9A, Class D, 11.058%, (3 mo. USD LIBOR + 6.25%), 7/20/31(1)(2) | 1,000 | 658,436 | |
Vibrant CLO XI, Ltd., Series 2019-11A, Class D, 11.578%, (3 mo. USD LIBOR + 6.77%), 7/20/32(1)(2) | 575 | 480,181 | |
Voya CLO, Ltd.: | |||
Series 2015-3A, Class DR, 11.008%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2) | 3,000 | 2,247,675 |
Security | Principal Amount (000's omitted) | Value | |
Voya CLO, Ltd.: (continued) | |||
Series 2016-3A, Class DR, 10.875%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) | $ | 1,400 | $ 1,008,225 |
Wellfleet CLO, Ltd., Series 2020-1A, Class D, 12.032%, (3 mo. USD LIBOR + 7.24%), 4/15/33(1)(2) | 2,000 | 1,697,672 | |
Total Asset-Backed Securities (identified cost $108,977,372) | $ 96,033,494 |
Closed-End Funds — 1.5% |
Security | Shares | Value | |
BlackRock Corporate High Yield Fund, Inc. | 2,188,579 | $ 19,084,409 | |
Total Closed-End Funds (identified cost $26,062,179) | $ 19,084,409 |
Collateralized Mortgage Obligations — 6.9% |
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) | $ | 2,911 | $ 2,591,461 |
Federal Home Loan Mortgage Corp.: | |||
Series 24, Class J, 6.25%, 11/25/23 | 8 | 7,907 | |
Series 1497, Class K, 7.00%, 4/15/23 | 0 (4) | 249 | |
Series 1529, Class Z, 7.00%, 6/15/23 | 4 | 4,013 | |
Series 1620, Class Z, 6.00%, 11/15/23 | 6 | 6,261 | |
Series 1677, Class Z, 7.50%, 7/15/23 | 3 | 2,744 | |
Series 1702, Class PZ, 6.50%, 3/15/24 | 157 | 157,191 | |
Series 2113, Class QG, 6.00%, 1/15/29 | 160 | 161,747 | |
Series 2122, Class K, 6.00%, 2/15/29 | 32 | 31,937 | |
Series 2130, Class K, 6.00%, 3/15/29 | 21 | 21,798 | |
Series 2167, Class BZ, 7.00%, 6/15/29 | 25 | 25,365 | |
Series 2182, Class ZB, 8.00%, 9/15/29 | 246 | 254,646 | |
Series 2198, Class ZA, 8.50%, 11/15/29 | 241 | 249,085 | |
Series 2458, Class ZB, 7.00%, 6/15/32 | 358 | 374,887 | |
Series 3762, Class SH, 0.676%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(5) | 381 | 355,285 | |
Series 4273, Class PU, 4.00%, 11/15/43 | 2,263 | 2,107,983 | |
Series 4273, Class SP, 0.35%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(5) | 503 | 445,781 | |
Series 4678, Class PC, 3.00%, 1/15/46 | 2,725 | 2,624,282 | |
Series 5028, Class TZ, 2.00%, 10/25/50 | 2,618 | 1,609,002 | |
Series 5035, Class AZ, 2.00%, 11/25/50 | 8,024 | 4,586,676 | |
Series 5083, Class SK, 0.00%, (3.87% - 30-day average SOFR x 1.33), 3/25/51(5) | 2,047 | 1,424,982 |
Security | Principal Amount (000's omitted) | Value | |
Interest Only:(6) | |||
Series 284, Class S6, 1.416%, (6.10% - 1 mo. USD LIBOR), 10/15/42(5) | $ | 1,082 | $ 123,075 |
Series 362, Class C7, 3.50%, 9/15/47 | 4,558 | 803,573 | |
Series 362, Class C11, 4.00%, 12/15/47 | 4,276 | 842,775 | |
Series 4067, Class JI, 3.50%, 6/15/27 | 680 | 30,193 | |
Series 4070, Class S, 1.416%, (6.10% - 1 mo. USD LIBOR), 6/15/32(5) | 2,531 | 199,315 | |
Series 4088, Class EI, 3.50%, 9/15/41 | 128 | 953 | |
Series 4094, Class CS, 1.316%, (6.00% - 1 mo. USD LIBOR), 8/15/42(5) | 624 | 69,436 | |
Series 4095, Class HS, 1.416%, (6.10% - 1 mo. USD LIBOR), 7/15/32(5) | 543 | 26,724 | |
Series 4109, Class ES, 1.466%, (6.15% - 1 mo. USD LIBOR), 12/15/41(5) | 81 | 9,976 | |
Series 4110, Class SA, 0.966%, (5.65% - 1 mo. USD LIBOR), 9/15/42(5) | 2,137 | 183,230 | |
Series 4149, Class S, 1.566%, (6.25% - 1 mo. USD LIBOR), 1/15/33(5) | 1,379 | 113,655 | |
Series 4188, Class AI, 3.50%, 4/15/28 | 561 | 22,819 | |
Series 4203, Class QS, 1.566%, (6.25% - 1 mo. USD LIBOR), 5/15/43(5) | 2,399 | 176,467 | |
Series 4408, Class IP, 3.50%, 4/15/44 | 1,509 | 193,209 | |
Series 4435, Class BI, 3.50%, 7/15/44 | 3,159 | 482,880 | |
Series 4629, Class QI, 3.50%, 11/15/46 | 1,235 | 241,768 | |
Series 4644, Class TI, 3.50%, 1/15/45 | 1,412 | 198,960 | |
Series 4667, Class PI, 3.50%, 5/15/42 | 136 | 620 | |
Series 4744, Class IO, 4.00%, 11/15/47 | 2,198 | 414,528 | |
Series 4749, Class IL, 4.00%, 12/15/47 | 977 | 184,464 | |
Series 4793, Class SD, 1.516%, (6.20% - 1 mo. USD LIBOR), 6/15/48(5) | 4,622 | 541,663 | |
Series 4966, Class SY, 1.205%, (6.05% - 1 mo. USD LIBOR), 4/25/50(5) | 12,002 | 1,577,448 | |
Principal Only:(7) | |||
Series 242, Class PO, 0.00%, 11/15/36 | 1,947 | 1,582,176 | |
Series 259, Class PO, 0.00%, 4/15/39 | 1,212 | 977,999 | |
Series 3606, Class PO, 0.00%, 12/15/39 | 1,298 | 1,016,476 | |
Series 4417, Class KO, 0.00%, 12/15/43 | 184 | 121,675 | |
Series 4478, Class PO, 0.00%, 5/15/45 | 613 | 464,472 | |
Federal National Mortgage Association: | |||
Series G93-35, Class ZQ, 6.50%, 11/25/23 | 93 | 92,535 | |
Series G93-40, Class H, 6.40%, 12/25/23 | 22 | 22,078 | |
Series 1993-42, Class ZQ, 6.75%, 4/25/23 | 0 (4) | 304 | |
Series 1993-56, Class PZ, 7.00%, 5/25/23 | 1 | 571 | |
Series 1993-156, Class ZB, 7.00%, 9/25/23 | 2 | 2,154 | |
Series 1994-45, Class Z, 6.50%, 2/25/24 | 22 | 22,329 | |
Series 1994-89, Class ZQ, 8.00%, 7/25/24 | 60 | 60,524 | |
Series 1996-57, Class Z, 7.00%, 12/25/26 | 105 | 105,835 | |
Series 1997-77, Class Z, 7.00%, 11/18/27 | 62 | 64,242 | |
Series 1998-44, Class ZA, 6.50%, 7/20/28 | 75 | 77,038 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Series 1999-45, Class ZG, 6.50%, 9/25/29 | $ | 22 | $ 22,141 |
Series 2000-22, Class PN, 6.00%, 7/25/30 | 294 | 297,249 | |
Series 2002-1, Class G, 7.00%, 7/25/23 | 2 | 1,709 | |
Series 2002-21, Class PE, 6.50%, 4/25/32 | 205 | 215,383 | |
Series 2005-75, Class CS, 4.819%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(5) | 585 | 692,927 | |
Series 2007-74, Class AC, 5.00%, 8/25/37 | 2,286 | 2,335,794 | |
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(5) | 226 | 219,928 | |
Series 2011-109, Class PE, 3.00%, 8/25/41 | 21 | 21,073 | |
Series 2012-134, Class ZT, 2.00%, 12/25/42 | 1,351 | 1,126,700 | |
Series 2013-6, Class TA, 1.50%, 1/25/43 | 1,321 | 1,220,123 | |
Series 2013-67, Class NF, 5.00%, (1 mo. USD LIBOR + 1.00%), 7/25/43(2) | 947 | 916,230 | |
Series 2014-64, Class PA, 3.00%, 3/25/44 | 54 | 53,738 | |
Series 2017-15, Class LE, 3.00%, 6/25/46 | 481 | 466,601 | |
Series 2017-48, Class LG, 2.75%, 5/25/47 | 1,397 | 1,250,239 | |
Interest Only:(6) | |||
Series 2011-101, Class IC, 3.50%, 10/25/26 | 1,671 | 57,697 | |
Series 2011-101, Class IE, 3.50%, 10/25/26 | 527 | 17,899 | |
Series 2012-33, Class CI, 3.50%, 3/25/27 | 911 | 24,108 | |
Series 2012-118, Class IN, 3.50%, 11/25/42 | 3,034 | 603,307 | |
Series 2012-124, Class IO, 0.455%, 11/25/42(8) | 1,376 | 59,604 | |
Series 2012-125, Class IG, 3.50%, 11/25/42 | 9,580 | 2,059,471 | |
Series 2012-150, Class SK, 1.305%, (6.15% - 1 mo. USD LIBOR), 1/25/43(5) | 1,777 | 207,414 | |
Series 2013-12, Class SP, 0.805%, (5.65% - 1 mo. USD LIBOR), 11/25/41(5) | 358 | 7,599 | |
Series 2013-15, Class DS, 1.355%, (6.20% - 1 mo. USD LIBOR), 3/25/33(5) | 4,228 | 292,411 | |
Series 2013-16, Class SY, 1.305%, (6.15% - 1 mo. USD LIBOR), 3/25/43(5) | 943 | 153,763 | |
Series 2013-54, Class HS, 1.455%, (6.30% - 1 mo. USD LIBOR), 10/25/41(5) | 111 | 442 | |
Series 2013-64, Class PS, 1.405%, (6.25% - 1 mo. USD LIBOR), 4/25/43(5) | 1,349 | 104,418 | |
Series 2013-75, Class SC, 1.405%, (6.25% - 1 mo. USD LIBOR), 7/25/42(5) | 1,838 | 49,988 | |
Series 2014-32, Class EI, 4.00%, 6/25/44 | 354 | 60,251 | |
Series 2014-55, Class IN, 3.50%, 7/25/44 | 789 | 162,340 | |
Series 2014-89, Class IO, 3.50%, 1/25/45 | 1,021 | 223,352 | |
Series 2015-52, Class MI, 3.50%, 7/25/45 | 898 | 183,100 | |
Series 2018-21, Class IO, 3.00%, 4/25/48 | 4,044 | 723,002 | |
Series 2019-1, Class AS, 1.155%, (6.00% - 1 mo. USD LIBOR), 2/25/49(5) | 6,540 | 488,117 | |
Series 2019-33, Class SK, 1.205%, (6.05% - 1 mo. USD LIBOR), 7/25/49(5) | 4,468 | 424,089 | |
Series 2020-23, Class SP, 1.205%, (6.05% - 1 mo. USD LIBOR), 2/25/50(5) | 3,724 | 490,280 |
Security | Principal Amount (000's omitted) | Value | |
Principal Only:(7) | |||
Series 379, Class 1, 0.00%, 5/25/37 | $ | 1,195 | $ 953,661 |
Series 2006-8, Class WQ, 0.00%, 3/25/36 | 2,019 | 1,657,998 | |
Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R04, Class 2B1, 10.095%, (1 mo. USD LIBOR + 5.25%), 6/25/39(1)(2) | 4,167 | 4,257,459 | |
Government National Mortgage Association: | |||
Series 2017-121, Class DF, 5.00%, (1 mo. USD LIBOR + 0.50%), 8/20/47(2) | 3,363 | 3,297,726 | |
Series 2017-137, Class AF, 5.00%, (1 mo. USD LIBOR + 0.50%), 9/20/47(2) | 1,767 | 1,732,294 | |
Series 2018-6, Class JZ, 4.00%, 1/20/48 | 5,102 | 5,268,799 | |
Series 2021-160, Class NZ, 3.00%, 9/20/51 | 1,492 | 1,043,475 | |
Series 2021-165, Class MZ, 2.50%, 9/20/51 | 9,095 | 7,094,474 | |
Series 2022-189, Class US, 6.017%, (22.73% - 30-day average SOFR x 3.67), 11/20/52(5) | 4,741 | 5,073,371 | |
Interest Only:(6) | |||
Series 2017-104, Class SD, 1.439%, (6.20% - 1 mo. USD LIBOR), 7/20/47(5) | 2,582 | 299,673 | |
Series 2020-151, Class AI, 2.00%, 10/20/50 | 12,114 | 1,515,607 | |
Series 2020-154, Class PI, 2.50%, 10/20/50 | 11,006 | 1,460,772 | |
Series 2020-176, Class HI, 2.50%, 11/20/50 | 12,852 | 1,715,575 | |
Series 2021-131, Class QI, 3.00%, 7/20/51 | 10,828 | 1,273,249 | |
Series 2021-193, Class IU, 3.00%, 11/20/49 | 22,679 | 2,850,204 | |
Series 2021-209, Class IW, 3.00%, 11/20/51 | 14,869 | 1,788,024 | |
Total Collateralized Mortgage Obligations (identified cost $124,874,387) | $ 84,606,269 |
Commercial Mortgage-Backed Securities — 6.3% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(8) | $ | 910 | $ 650,407 |
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(8) | 3,505 | 2,331,740 | |
BBCMS Mortgage Trust, Series 2017-C1, Class D, 3.544%, 2/15/50(1)(8) | 2,200 | 1,525,612 | |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class C, 5.784%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(2) | 2,000 | 1,888,882 | |
BX Trust, Series 2018-EXCL, Class C, 6.66%, (1 mo. USD LIBOR + 1.975%), 9/15/37(1)(2) | 318 | 313,060 | |
CFCRE Commercial Mortgage Trust: | |||
Series 2016-C3, Class C, 4.753%, 1/10/48(8) | 1,300 | 1,106,215 | |
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(8) | 3,500 | 2,578,033 | |
Series 2016-C7, Class D, 4.385%, 12/10/54(1)(8) | 1,675 | 1,175,231 |
Security | Principal Amount (000's omitted) | Value | |
CGMS Commercial Mortgage Trust, Series 2015-P1, Class D, 3.225%, 9/15/48(1) | $ | 1,100 | $ 821,265 |
COMM Mortgage Trust: | |||
Series 2013-CR9, Class D, 4.513%, 7/10/45(1)(8) | 2,000 | 1,770,925 | |
Series 2013-CR11, Class D, 5.118%, 8/10/50(1)(8) | 7,400 | 7,093,449 | |
Series 2014-CR21, Class C, 4.41%, 12/10/47(8) | 2,000 | 1,831,111 | |
Series 2015-CR22, Class D, 4.071%, 3/10/48(1)(8) | 4,100 | 3,200,283 | |
CSMC Trust: | |||
Series 2016-NXSR, Class C, 4.431%, 12/15/49(8) | 2,770 | 2,076,117 | |
Series 2016-NXSR, Class D, 4.431%, 12/15/49(1)(8) | 3,000 | 1,741,194 | |
Series 2020-TMIC, Class A, 8.184%, (1 mo. USD LIBOR + 3.50%), 12/15/35(1)(2) | 2,100 | 2,081,777 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 8.095%, (1 mo. USD LIBOR + 3.25%), 10/25/49(1)(2) | 1,527 | 1,405,090 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.547%, 9/15/47(1)(8) | 5,276 | 3,816,922 | |
Series 2014-C23, Class D, 3.979%, 9/15/47(1)(8) | 3,488 | 2,949,436 | |
Series 2014-C25, Class D, 3.936%, 11/15/47(1)(8) | 4,400 | 1,894,857 | |
Series 2015-C29, Class D, 3.687%, 5/15/48(8) | 2,000 | 1,389,474 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2013-C13, Class D, 4.157%, 1/15/46(1)(8) | 3,000 | 2,901,463 | |
Series 2013-C16, Class D, 5.008%, 12/15/46(1)(8) | 3,500 | 3,208,238 | |
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 2,600 | 458,640 | |
Series 2021-MHC, Class C, 5.984%, (1 mo. USD LIBOR + 1.30%), 4/15/38(1)(2) | 1,900 | 1,808,571 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | |||
Series 2014-C16, Class B, 4.301%, 6/15/47(8)(9) | 363 | 342,690 | |
Series 2015-C23, Class D, 4.14%, 7/15/50(1)(8)(9) | 2,670 | 2,054,435 | |
Series 2016-C29, Class D, 3.00%, 5/15/49(1)(9) | 3,577 | 2,540,356 | |
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(8)(9) | 1,600 | 1,054,795 | |
Morgan Stanley Capital I Trust: | |||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(9) | 4,489 | 2,198,211 | |
Series 2019-BPR, Class C, 7.984%, (1 mo. USD LIBOR + 3.30%), 5/15/36(1)(2)(9) | 1,845 | 1,743,153 | |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class D, 4.38%, 4/10/46(1)(8) | 4,437 | 3,682,958 | |
VMC Finance, LLC, Series 2021-HT1, Class B, 9.261%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(2) | 6,000 | 5,666,230 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2013-LC12, Class D, 4.364%, 7/15/46(1)(8) | 3,000 | 1,151,967 | |
Series 2015-C31, Class D, 3.852%, 11/15/48 | 2,475 | 1,881,150 | |
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 1,850 | 1,341,897 |
Security | Principal Amount (000's omitted) | Value | |
Wells Fargo Commercial Mortgage Trust: (continued) | |||
Series 2016-C36, Class D, 2.942%, 11/15/59(1) | $ | 1,500 | $ 849,859 |
Total Commercial Mortgage-Backed Securities (identified cost $90,551,186) | $ 76,525,693 |
Common Stocks — 0.3% |
Security | Shares | Value | |
Aerospace and Defense — 0.0%(10) | |||
IAP Global Services, LLC(11)(12)(13) | 30 | $ 136,445 | |
$ 136,445 | |||
Containers and Glass Products — 0.2% | |||
LG Newco Holdco, Inc., Class A(12)(13) | 166,175 | $ 1,730,995 | |
$ 1,730,995 | |||
Electronics/Electrical — 0.0%(10) | |||
Riverbed Technology, Inc.(12)(13) | 21,990 | $ 11,050 | |
Skillsoft Corp.(12)(13) | 143,062 | 286,124 | |
$ 297,174 | |||
Health Care — 0.0% | |||
Akorn Holding Company, LLC, Class A(11)(12)(13) | 42,374 | $ 0 | |
$ 0 | |||
Investment Companies — 0.0%(10) | |||
Aegletes B.V.(13) | 11,215 | $ 190,655 | |
Jubilee Topco, Ltd., Class A(11)(12)(13) | 807,124 | 0 | |
$ 190,655 | |||
Nonferrous Metals/Minerals — 0.0%(10) | |||
ACNR Holdings, Inc., Class A(12)(13) | 3,818 | $ 367,483 | |
$ 367,483 | |||
Oil and Gas — 0.0%(10) | |||
AFG Holdings, Inc.(11)(12)(13) | 29,751 | $ 88,063 | |
McDermott International, Ltd.(12)(13) | 93,940 | 38,158 | |
$ 126,221 | |||
Radio and Television — 0.1% | |||
Clear Channel Outdoor Holdings, Inc.(12)(13) | 74,443 | $ 89,332 |
Security | Shares | Value | |
Radio and Television (continued) | |||
Cumulus Media, Inc., Class A(12)(13) | 50,522 | $ 186,426 | |
iHeartMedia, Inc., Class A(12)(13) | 31,657 | 123,462 | |
$ 399,220 | |||
Retailers (Except Food and Drug) — 0.0%(10) | |||
David’s Bridal, LLC(11)(12)(13) | 40,851 | $ 0 | |
Phillips Pet Holding Corp.(11)(12)(13) | 582 | 43,032 | |
$ 43,032 | |||
Telecommunications — 0.0%(10) | |||
GEE Acquisition Holdings Corp.(11)(12)(13) | 37,259 | $ 356,196 | |
$ 356,196 | |||
Utilities — 0.0%(10) | |||
Longview Intermediate Holdings, LLC, Class A(12)(13) | 10,730 | $ 86,591 | |
$ 86,591 | |||
Total Common Stocks (identified cost $7,786,647) | $ 3,734,012 |
Convertible Bonds — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
Transportation — 0.1% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 1,990 | $ 1,555,730 |
Total Convertible Bonds (identified cost $1,602,212) | $ 1,555,730 |
Convertible Preferred Stocks — 0.0%(10) |
Security | Shares | Value | |
Electronics/Electrical — 0.0%(10) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(13) | 7,179 | $ 1,831 | |
Total Convertible Preferred Stocks (identified cost $215,385) | $ 1,831 |
Corporate Bonds — 54.1% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.3% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 736 | $ 739,312 | |
7.875%, 4/15/27(1) | 795 | 805,569 | |
Moog, Inc., 4.25%, 12/15/27(1) | 955 | 884,595 | |
Rolls-Royce PLC: | |||
5.75%, 10/15/27(1) | 2,954 | 2,945,478 | |
5.75%, 10/15/27(14) | GBP | 100 | 118,137 |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 567 | 481,196 | |
9.375%, 11/30/29(1) | 989 | 1,080,482 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 725 | 714,832 | |
TransDigm, Inc.: | |||
5.50%, 11/15/27 | 2,552 | 2,409,095 | |
6.25%, 3/15/26(1) | 2,408 | 2,412,635 | |
6.75%, 8/15/28(1) | 1,812 | 1,832,385 | |
7.50%, 3/15/27 | 1,862 | 1,859,235 | |
$ 16,282,951 | |||
Agriculture — 0.2% | |||
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 892 | $ 889,770 | |
Imperial Brands Finance PLC: | |||
3.125%, 7/26/24(1) | 300 | 290,740 | |
6.125%, 7/27/27(1) | 475 | 487,832 | |
Philip Morris International, Inc., 5.125%, 11/17/27 | 750 | 767,974 | |
$ 2,436,316 | |||
Air Transport — 0.9% | |||
Air France-KLM: | |||
7.25%, 5/31/26(14) | EUR | 100 | $ 110,444 |
8.125%, 5/31/28(14) | EUR | 100 | 109,623 |
American Airlines, Inc., 7.25%, 2/15/28(1) | 478 | 465,316 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 3,023 | 2,978,688 | |
5.75%, 4/20/29(1) | 1,952 | 1,874,507 | |
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 1,016 | 981,302 | |
Deutsche Lufthansa AG: | |||
2.875%, 5/16/27(14) | EUR | 100 | 98,069 |
3.00%, 5/29/26(14) | EUR | 100 | 101,339 |
3.50%, 7/14/29(14) | EUR | 100 | 95,409 |
Gatwick Airport Finance PLC, 4.375%, 4/7/26(14) | GBP | 300 | 341,432 |
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 | $ 272,160 |
Mileage Plus Holdings, LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27(1) | 2,055 | 2,050,684 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 835 | 799,828 | |
4.625%, 4/15/29(1) | 1,276 | 1,155,828 | |
$ 11,434,629 | |||
Airlines — 0.2% | |||
Air Canada: | |||
3.875%, 8/15/26(1) | 2,639 | $ 2,399,013 | |
4.625%, 8/15/29(1) | CAD | 717 | 473,326 |
$ 2,872,339 | |||
Auto Components — 0.4% | |||
Daimler Truck Finance North America, LLC, 2.00%, 12/14/26(1) | 550 | $ 495,612 | |
General Motors Financial Co., Inc., 1.50%, 6/10/26 | 1,125 | 1,001,873 | |
Hyundai Capital America, 1.30%, 1/8/26(1) | 850 | 763,698 | |
Mercedes-Benz Finance North America, LLC, 3.30%, 5/19/25(1) | 1,000 | 967,997 | |
Volkswagen Group of America Finance, LLC: | |||
0.875%, 11/22/23(1) | 975 | 948,381 | |
1.25%, 11/24/25(1) | 525 | 477,891 | |
$ 4,655,452 | |||
Automotive — 1.7% | |||
Adient Global Holdings, Ltd., 3.50%, 8/15/24(14) | EUR | 19 | $ 20,222 |
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 512 | 458,936 | |
4.75%, 3/1/30 | 1,134 | 1,016,274 | |
5.00%, 2/15/32(1) | 217 | 190,396 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 432 | 437,074 | |
Clarios Global, L.P./Clarios U.S. Finance Co.: | |||
4.375%, 5/15/26(14) | EUR | 400 | 415,224 |
6.25%, 5/15/26(1) | 1,504 | 1,501,947 | |
8.50%, 5/15/27(1) | 2,484 | 2,497,973 | |
Faurecia S.E.: | |||
2.375%, 6/15/29(14) | EUR | 200 | 176,907 |
2.75%, 2/15/27(14) | EUR | 460 | 444,838 |
3.75%, 6/15/28(14) | EUR | 100 | 97,465 |
Ford Motor Co.: | |||
3.25%, 2/12/32 | 2,825 | 2,224,311 | |
4.75%, 1/15/43 | 1,274 | 978,712 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive (continued) | |||
Ford Motor Co.: (continued) | |||
7.45%, 7/16/31 | 457 | $ 483,679 | |
9.625%, 4/22/30 | 201 | 233,590 | |
Goodyear Europe B.V., 2.75%, 8/15/28(14) | EUR | 100 | 88,663 |
Goodyear Tire & Rubber Co. (The): | |||
5.00%, 7/15/29 | 1,605 | 1,435,961 | |
5.25%, 7/15/31 | 709 | 613,186 | |
IHO Verwaltungs GmbH, 6.375%, (6.375% cash or 7.125% PIK), 5/15/29(1)(15) | 200 | 176,456 | |
Jaguar Land Rover Automotive PLC, 2.20%, 1/15/24(14) | EUR | 100 | 106,263 |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 651 | 563,935 | |
4.375%, 1/15/31(1) | 1,171 | 1,010,169 | |
4.625%, 12/15/27(1) | 514 | 478,662 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 1,087 | 804,726 | |
Renault S.A.: | |||
1.25%, 6/24/25(14) | EUR | 300 | 301,171 |
2.375%, 5/25/26(14) | EUR | 100 | 99,437 |
2.50%, 6/2/27(14) | EUR | 200 | 191,897 |
2.50%, 4/1/28(14) | EUR | 100 | 92,875 |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,297 | 1,088,048 | |
4.875%, 11/15/31(1) | 1,081 | 872,756 | |
TI Automotive Finance PLC, 3.75%, 4/15/29(14) | EUR | 212 | 176,187 |
Volkswagen International Finance N.V., 3.875% to 6/17/29(14)(16)(17) | EUR | 200 | 186,372 |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 1,305 | 593,775 | |
ZF Finance GmbH, 5.75%, 8/3/26(14) | EUR | 100 | 109,058 |
$ 20,167,145 | |||
Banks — 1.0% | |||
Australia & New Zealand Banking Group, Ltd., 4.829%, 2/3/25(1) | 900 | $ 903,265 | |
Bank of Montreal, 5.203%, 2/1/28 | 925 | 933,082 | |
Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/24(1) | 1,025 | 976,277 | |
Canadian Imperial Bank of Commerce, 3.30%, 4/7/25 | 500 | 484,343 | |
Citizens Bank NA, 6.064% to 10/24/24, 10/24/25(17) | 700 | 659,161 | |
Credit Suisse Group AG, 6.442% to 8/11/27, 8/11/28(1)(17) | 1,025 | 1,019,158 | |
Deutsche Bank AG, 0.962%, 11/8/23 | 975 | 931,141 | |
Discover Bank, 2.45%, 9/12/24 | 1,000 | 948,457 | |
Intesa Sanpaolo SpA, 7.00%, 11/21/25(1) | 925 | 941,810 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(17) | 1,000 | 970,365 |
Security | Principal Amount* (000's omitted) | Value | |
Banks (continued) | |||
NatWest Group PLC, 7.472% to 11/10/25, 11/10/26(17) | 575 | $ 594,778 | |
Santander UK Group Holdings PLC, 6.833% to 11/21/25, 11/21/26(17) | 1,900 | 1,926,240 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(17) | 450 | 457,875 | |
$ 11,745,952 | |||
Banks and Thrifts — 0.6% | |||
American Express Co., 2.55%, 3/4/27 | 525 | $ 485,132 | |
BPCE S.A., 5.15%, 7/21/24(1) | 950 | 932,243 | |
Capital One Financial Corp.: | |||
3.273% to 3/1/29, 3/1/30(17) | 395 | 336,857 | |
5.468% to 2/1/28, 2/1/29(17) | 400 | 390,199 | |
HSBC Holdings PLC: | |||
6.161% to 3/9/28, 3/9/29(17) | 975 | 1,003,299 | |
7.39% to 11/3/27, 11/3/28(17) | 375 | 399,447 | |
Swedbank AB, 3.356%, 4/4/25(1) | 975 | 940,778 | |
Synchrony Bank, 5.625%, 8/23/27 | 1,300 | 1,194,784 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(17) | 1,500 | 1,241,926 | |
United Overseas Bank, Ltd., 3.863% to 10/7/27, 10/7/32(1)(17) | 686 | 648,136 | |
$ 7,572,801 | |||
Beverage and Tobacco — 0.1% | |||
BAT Capital Corp., 3.557%, 8/15/27 | 1,050 | $ 976,796 | |
JDE Peet's NV, 0.80%, 9/24/24(1) | 800 | 745,916 | |
$ 1,722,712 | |||
Biotechnology — 0.0%(10) | |||
Royalty Pharma PLC, 1.20%, 9/2/25 | 525 | $ 476,266 | |
$ 476,266 | |||
Brokerage/Securities Dealers/Investment Houses — 0.1% | |||
Bread Financial Holdings, Inc., 4.75%, 12/15/24(1) | 825 | $ 738,533 | |
Intrum AB, 3.50%, 7/15/26(14) | EUR | 200 | 181,369 |
$ 919,902 | |||
Building and Development — 1.8% | |||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC, 4.50%, 4/1/27(1) | 1,174 | $ 943,779 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 2,118 | 1,847,509 | |
5.00%, 3/1/30(1) | 1,085 | 1,005,842 |
Security | Principal Amount* (000's omitted) | Value | |
Building and Development (continued) | |||
Castle UK Finco PLC, 7.904%, (3 mo. EURIBOR + 5.25%), 5/15/28(2)(14) | EUR | 200 | $ 181,242 |
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(1) | 1,396 | 1,361,484 | |
HT Troplast GmbH, 9.25%, 7/15/25(14) | EUR | 115 | 123,552 |
James Hardie International Finance DAC, 3.625%, 10/1/26(14) | EUR | 400 | 410,683 |
KB Home: | |||
4.00%, 6/15/31 | 86 | 74,575 | |
4.80%, 11/15/29 | 556 | 509,524 | |
Masonite International Corp., 5.375%, 2/1/28(1) | 570 | 545,159 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 1,149 | 972,554 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 1,187 | 1,031,248 | |
7.50%, 10/15/27(1) | 225 | 221,412 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 1,066 | 964,730 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 3,078 | 2,893,920 | |
SRS Distribution, Inc.: | |||
6.00%, 12/1/29(1) | 692 | 572,374 | |
6.125%, 7/1/29(1) | 1,195 | 1,009,775 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(14) | EUR | 750 | 707,876 |
3.375%, 1/15/31(1) | 1,634 | 1,315,075 | |
4.375%, 7/15/30(1) | 1,779 | 1,549,740 | |
5.00%, 2/15/27(1) | 457 | 434,657 | |
Taylor Morrison Communities, Inc.: | |||
5.75%, 1/15/28(1) | 1,062 | 1,045,704 | |
5.875%, 6/15/27(1) | 808 | 793,811 | |
Victoria PLC, 3.625%, 8/24/26(14) | EUR | 385 | 339,134 |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 439 | 381,209 | |
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(15) | 691 | 629,349 | |
$ 21,865,917 | |||
Business Equipment and Services — 0.8% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 1,900 | $ 1,804,791 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 2,443 | 2,350,166 | |
9.75%, 7/15/27(1) | 1,148 | 1,024,303 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
3.625%, 6/1/28(14) | EUR | 200 | 179,550 |
4.625%, 6/1/28(1) | 776 | 652,203 | |
4.625%, 6/1/28(1) | 549 | 465,110 | |
4.875%, 6/1/28(14) | GBP | 100 | 101,954 |
Security | Principal Amount* (000's omitted) | Value | |
Business Equipment and Services (continued) | |||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC: | |||
7.125%, 7/31/26(1) | 2,576 | $ 2,507,368 | |
7.125%, 7/31/26(14) | 350 | 340,675 | |
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 7/30/26(14) | EUR | 264 | 272,241 |
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 7/15/25(14) | EUR | 300 | 304,251 |
$ 10,002,612 | |||
Cable and Satellite Television — 1.6% | |||
Altice France S.A.: | |||
2.125%, 2/15/25(14) | EUR | 100 | $ 100,457 |
2.50%, 1/15/25(14) | EUR | 100 | 101,265 |
5.125%, 7/15/29(1) | 767 | 577,896 | |
5.50%, 1/15/28(1) | 841 | 691,680 | |
5.875%, 2/1/27(14) | EUR | 200 | 192,143 |
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(1) | 2,263 | 1,853,012 | |
4.50%, 8/15/30(1) | 2,140 | 1,810,729 | |
4.50%, 5/1/32 | 771 | 631,380 | |
4.75%, 3/1/30(1) | 1,789 | 1,551,958 | |
4.75%, 2/1/32(1) | 1,044 | 878,116 | |
5.00%, 2/1/28(1) | 1,755 | 1,621,120 | |
5.375%, 6/1/29(1) | 595 | 547,001 | |
6.375%, 9/1/29(1) | 1,974 | 1,886,947 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.908%, 7/23/25 | 950 | 940,903 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 1,293 | 1,255,574 | |
UPC Holding B.V., 5.50%, 1/15/28(1) | 593 | 531,675 | |
Virgin Media Finance PLC: | |||
3.75%, 7/15/30(14) | EUR | 125 | 108,624 |
5.00%, 7/15/30(1) | 946 | 782,919 | |
Virgin Media Secured Finance PLC, 5.25%, 5/15/29(14) | GBP | 100 | 107,945 |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(14) | GBP | 425 | 447,528 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 1,091 | 970,815 | |
Ziggo B.V., 4.875%, 1/15/30(1) | 628 | 536,017 | |
Ziggo Bond Co., B.V.: | |||
3.375%, 2/28/30(14) | EUR | 230 | 193,862 |
6.00%, 1/15/27(1) | 745 | 688,235 | |
$ 19,007,801 |
Security | Principal Amount* (000's omitted) | Value | |
Capital Goods — 0.1% | |||
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 948 | $ 854,735 | |
4.125%, 4/15/29(1) | 733 | 650,881 | |
$ 1,505,616 | |||
Chemicals — 0.1% | |||
Diamond BC B.V., 4.625%, 10/1/29(1) | 1,729 | $ 1,686,380 | |
$ 1,686,380 | |||
Chemicals and Plastics — 0.8% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 1,242 | $ 993,973 | |
Avient Corp., 7.125%, 8/1/30(1) | 796 | 821,671 | |
Celanese US Holdings, LLC, 6.165%, 7/15/27 | 1,164 | 1,172,293 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 545 | 439,305 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(14) | EUR | 156 | 113,923 |
INEOS Finance PLC: | |||
2.875%, 5/1/26(14) | EUR | 100 | 101,427 |
3.375%, 3/31/26(14) | EUR | 100 | 101,852 |
INEOS Quattro Finance 2 PLC, 2.50%, 1/15/26(14) | EUR | 154 | 150,163 |
Italmatch Chemicals SpA, 10.00%, 2/6/28(14) | EUR | 200 | 221,607 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(1) | 1,242 | 1,016,695 | |
4.875%, 6/1/24(1) | 874 | 863,293 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 1,307 | 1,152,963 | |
Valvoline, Inc., 3.625%, 6/15/31(1) | 802 | 681,933 | |
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 1,472 | 1,420,715 | |
7.375%, 3/1/31(1) | 611 | 613,893 | |
$ 9,865,706 | |||
Clothing/Textiles — 0.2% | |||
Hanesbrands, Inc., 9.00%, 2/15/31(1) | 1,084 | $ 1,110,780 | |
William Carter Co. (The), 5.625%, 3/15/27(1) | 811 | 789,059 | |
$ 1,899,839 | |||
Commercial Services — 1.2% | |||
Abertis Infraestructuras Finance B.V., 3.248% to 11/24/25(14)(16)(17) | EUR | 500 | $ 484,609 |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 1,510 | 1,330,913 | |
Arena Luxembourg Finance S.a.r.l., 1.875%, 2/1/28(14) | EUR | 200 | 171,970 |
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc., 5.375%, 3/1/29(1) | 792 | 736,338 | |
BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(14) | EUR | 100 | 92,559 |
Security | Principal Amount* (000's omitted) | Value | |
Commercial Services (continued) | |||
EC Finance PLC, 3.00%, 10/15/26(14) | EUR | 102 | $ 102,404 |
Global Payments, Inc., 4.95%, 8/15/27 | 975 | 964,071 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 1,176 | 1,046,309 | |
IPD 3 B.V., 5.50%, 12/1/25(14) | EUR | 300 | 320,649 |
Korn Ferry, 4.625%, 12/15/27(1) | 1,355 | 1,281,715 | |
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 507 | 451,453 | |
8.25%, 11/1/29(1) | 1,016 | 868,274 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 1,938 | 1,615,943 | |
Mooney Group SpA, 6.69%, (3 mo. EURIBOR + 3.875%), 12/17/26(2)(14) | EUR | 110 | 116,998 |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 1,282 | 1,161,101 | |
PROG Holdings, Inc., 6.00%, 11/15/29(1) | 1,085 | 923,808 | |
Sabre GLBL, Inc., 11.25%, 12/15/27(1) | 996 | 928,735 | |
Verisure Holding AB: | |||
3.25%, 2/15/27(14) | EUR | 200 | 193,102 |
3.875%, 7/15/26(14) | EUR | 200 | 201,760 |
Verisure Midholding AB, 5.25%, 2/15/29(14) | EUR | 175 | 158,316 |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 2,060 | 1,951,562 | |
$ 15,102,589 | |||
Computers — 0.9% | |||
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(1) | 1,341 | $ 1,224,963 | |
4.00%, 7/1/29(1) | 717 | 647,676 | |
Dell International, LLC/EMC Corp., 5.25%, 2/1/28 | 650 | 656,618 | |
Hewlett Packard Enterprise Co., 5.90%, 10/1/24 | 754 | 763,737 | |
Kyndryl Holdings, Inc., 2.70%, 10/15/28 | 625 | 524,011 | |
McAfee Corp., 7.375%, 2/15/30(1) | 1,121 | 940,961 | |
NCR Corp.: | |||
5.125%, 4/15/29(1) | 550 | 476,437 | |
5.25%, 10/1/30(1) | 843 | 688,967 | |
Presidio Holdings, Inc., 8.25%, 2/1/28(1) | 3,176 | 3,021,456 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 418 | 369,677 | |
9.625%, 12/1/32(1) | 1,800 | 2,019,072 | |
$ 11,333,575 | |||
Consumer Products — 0.1% | |||
Central Garden & Pet Co.: | |||
4.125%, 10/15/30 | 488 | $ 431,636 | |
5.125%, 2/1/28 | 864 | 832,728 | |
$ 1,264,364 |
Security | Principal Amount* (000's omitted) | Value | |
Containers and Glass Products — 0.4% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(14) | EUR | 300 | $ 243,302 |
4.00%, 9/1/29(1) | 1,177 | 922,126 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.125%, 8/15/26(14) | EUR | 200 | 190,516 |
Berry Global, Inc., 5.50%, 4/15/28(1) | 275 | 274,239 | |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 2,027 | 1,643,490 | |
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 660 | 633,394 | |
Crown Americas, LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 | 750 | 731,149 | |
Verallia S.A., 1.875%, 11/10/31(14) | EUR | 100 | 88,068 |
$ 4,726,284 | |||
Cosmetics/Toiletries — 0.2% | |||
Coty, Inc., 3.875%, 4/15/26(14) | EUR | 100 | $ 104,512 |
Edgewell Personal Care Co.: | |||
4.125%, 4/1/29(1) | 441 | 386,864 | |
5.50%, 6/1/28(1) | 1,067 | 1,023,685 | |
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | 200 | 173,689 | |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 643 | 524,234 | |
$ 2,212,984 | |||
Distribution & Wholesale — 0.7% | |||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 2,799 | $ 2,560,105 | |
Parts Europe S.A.: | |||
6.342%, (3 mo. EURIBOR + 4.00%), 7/20/27(2)(14) | EUR | 328 | 351,821 |
6.50%, 7/16/25(14) | EUR | 100 | 109,366 |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 2,429 | 2,183,810 | |
5.50%, 10/15/27(1) | 935 | 914,916 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 558 | 575,343 | |
7.75%, 3/15/31(1) | 996 | 1,045,073 | |
Travis Perkins PLC, 4.50%, 9/7/23(14) | GBP | 100 | 122,098 |
$ 7,862,532 | |||
Diversified Financial Services — 1.7% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
1.65%, 10/29/24 | 599 | $ 560,727 | |
2.45%, 10/29/26 | 975 | 876,284 | |
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 1,133 | 1,141,498 | |
Air Lease Corp., 0.80%, 8/18/24 | 750 | 699,910 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
American AgCredit Corp., Series QIB, 5.25% to 6/15/26(1)(16)(17) | 410 | $ 354,138 | |
Aviation Capital Group, LLC, 6.25%, 4/15/28(1)(18) | 275 | 275,215 | |
Cantor Fitzgerald, L.P., 4.50%, 4/14/27(1) | 1,650 | 1,541,145 | |
CI Financial Corp., 3.20%, 12/17/30 | 1,000 | 771,492 | |
Enact Holdings, Inc., 6.50%, 8/15/25(1) | 708 | 691,029 | |
Encore Capital Group, Inc., 6.538%, (3 mo. EURIBOR + 4.25%), 1/15/28(2)(14) | EUR | 300 | 312,801 |
Intrum AB: | |||
4.875%, 8/15/25(14) | EUR | 125 | 125,453 |
9.25%, 3/15/28(14) | EUR | 100 | 106,422 |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 1,823 | 1,634,247 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 1,275 | 1,083,311 | |
Jerrold Finco PLC, 4.875%, 1/15/26(14) | GBP | 200 | 213,561 |
Lincoln Financing S.a.r.l., 3.625%, 4/1/24(14) | EUR | 120 | 129,570 |
Louvre Bidco S.A.S., 6.50%, 9/30/24(14) | EUR | 400 | 420,027 |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 1,209 | 1,131,920 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 1,566 | 1,560,732 | |
ProGroup AG, 3.00%, 3/31/26(14) | EUR | 500 | 507,211 |
Radian Group, Inc., 6.625%, 3/15/25 | 950 | 946,884 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
3.625%, 3/1/29(1) | 2,290 | 1,969,400 | |
3.875%, 3/1/31(1) | 600 | 498,081 | |
4.00%, 10/15/33(1) | 225 | 178,869 | |
Sherwood Financing PLC, 6.00%, 11/15/26(14) | GBP | 150 | 154,729 |
Synchrony Financial, 4.875%, 6/13/25 | 227 | 210,365 | |
Unifin Financiera SAB de CV, 7.375%, 2/12/26(1)(19) | 620 | 21,700 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.375%, 2/1/30(1) | 2,192 | 1,955,814 | |
Vivion Investments S.a.r.l., 3.00%, 8/8/24(14) | EUR | 600 | 479,175 |
$ 20,551,710 | |||
Drugs — 0.5% | |||
Catalent Pharma Solutions, Inc., 2.375%, 3/1/28(14) | EUR | 250 | $ 244,641 |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1) | 649 | 484,839 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1) | 1,550 | 1,147,978 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,371 | 1,262,554 | |
Organon & Co./Organon Foreign Debt Co.-Issuer B.V., 5.125%, 4/30/31(1) | 1,037 | 921,455 | |
Perrigo Finance Unlimited Co.: | |||
4.40%, 6/15/30 | 2,255 | 2,027,318 |
Security | Principal Amount* (000's omitted) | Value | |
Drugs (continued) | |||
Perrigo Finance Unlimited Co.: (continued) | |||
4.90%, 12/15/44 | 200 | $ 141,517 | |
$ 6,230,302 | |||
Ecological Services and Equipment — 0.7% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 551 | $ 531,989 | |
5.125%, 7/15/29(1) | 332 | 316,913 | |
6.375%, 2/1/31(1) | 308 | 314,561 | |
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 1,536 | 1,368,284 | |
5.00%, 9/1/30 | 319 | 275,098 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 1,679 | 1,521,065 | |
3.75%, 8/1/25(1) | 776 | 746,532 | |
4.75%, 6/15/29(1) | 3,095 | 2,893,825 | |
Paprec Holding S.A.: | |||
3.50%, 7/1/28(14) | EUR | 129 | 122,554 |
4.00%, 3/31/25(14) | EUR | 200 | 214,694 |
$ 8,305,515 | |||
Electric Utilities — 1.2% | |||
Dominion Energy, Inc., 1.45%, 4/15/26 | 800 | $ 721,053 | |
Drax Finco PLC, 6.625%, 11/1/25(1) | 281 | 276,880 | |
Edison International, 4.70%, 8/15/25 | 500 | 493,439 | |
EDP - Energias de Portugal S.A., 4.496% to 1/30/24, 4/30/79(14)(17) | EUR | 600 | 645,334 |
EDP Finance B.V., 6.30%, 10/11/27(1) | 700 | 726,704 | |
Electricite de France S.A., 7.50% to 9/6/28(14)(16)(17) | EUR | 400 | 425,605 |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(14) | EUR | 1,200 | 1,050,063 |
Fells Point Funding Trust, 3.046%, 1/31/27(1) | 525 | 487,564 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 410 | 349,166 | |
Series B, 4.15%, 7/15/27 | 1,630 | 1,554,507 | |
Metropolitan Edison Co., 5.20%, 4/1/28(1) | 225 | 227,438 | |
NextEra Energy Capital Holdings, Inc.: | |||
4.625%, 7/15/27 | 475 | 474,069 | |
6.051%, 3/1/25 | 175 | 178,119 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,112 | 1,019,058 | |
Pennsylvania Electric Co., 5.15%, 3/30/26(1) | 200 | 201,029 | |
Public Power Corp S.A., 4.375%, 3/30/26(14) | EUR | 300 | 307,960 |
Southern California Edison Co., 5.85%, 11/1/27 | 275 | 289,966 | |
Southern Co. (The), 5.113%, 8/1/27 | 1,994 | 1,999,908 |
Security | Principal Amount* (000's omitted) | Value | |
Electric Utilities (continued) | |||
TransAlta Corp., 7.75%, 11/15/29 | 1,045 | $ 1,099,465 | |
Wec Energy Group, Inc., 5.00%, 9/27/25 | 475 | 475,494 | |
WESCO Distribution, Inc.: | |||
7.125%, 6/15/25(1) | 1,024 | 1,041,838 | |
7.25%, 6/15/28(1) | 915 | 940,419 | |
$ 14,985,078 | |||
Electronic Equipment, Instruments & Components — 0.1% | |||
Nexans S.A., 5.50%, 4/5/28(14)(18) | EUR | 100 | $ 110,830 |
Vontier Corp., 1.80%, 4/1/26 | 800 | 709,140 | |
$ 819,970 | |||
Electronics/Electrical — 0.8% | |||
Arrow Electronics, Inc., 6.125%, 3/1/26 | 475 | $ 476,243 | |
Coherent Corp., 5.00%, 12/15/29(1) | 1,246 | 1,132,302 | |
Electricite de France S.A., 2.875% to 12/15/26(14)(16)(17) | EUR | 200 | 182,301 |
Imola Merger Corp., 4.75%, 5/15/29(1) | 3,165 | 2,834,954 | |
Open Text Corp., 3.875%, 2/15/28(1) | 1,009 | 901,794 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 883 | 758,408 | |
RWE AG, 6.625% to 3/30/26, 7/30/75(14)(17) | 266 | 263,319 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 447 | 444,184 | |
Sensata Technologies, Inc.: | |||
3.75%, 2/15/31(1) | 1,660 | 1,453,994 | |
4.375%, 2/15/30(1) | 627 | 572,036 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 517 | 502,226 | |
Verisure Holding AB, 7.288%, (3 mo. EURIBOR + 5.00%), 4/15/25(2)(14) | EUR | 100 | 109,060 |
$ 9,630,821 | |||
Energy — 0.5% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 2,651 | $ 2,415,154 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 1,974 | 1,817,886 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 884 | 812,542 | |
4.50%, 4/30/30 | 1,692 | 1,532,114 | |
$ 6,577,696 | |||
Engineering & Construction — 0.5% | |||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,038 | $ 974,397 | |
Cellnex Finance Co. S.A.: | |||
1.00%, 9/15/27(14) | EUR | 100 | 92,738 |
2.25%, 4/12/26(14) | EUR | 100 | 102,090 |
Security | Principal Amount* (000's omitted) | Value | |
Engineering & Construction (continued) | |||
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,389 | $ 1,255,163 | |
Infrastrutture Wireless Italiane SpA, 1.875%, 7/8/26(14) | EUR | 100 | 102,255 |
TopBuild Corp., 4.125%, 2/15/32(1) | 1,562 | 1,307,387 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 1,899 | 1,683,847 | |
$ 5,517,877 | |||
Entertainment — 1.3% | |||
Banijay Entertainment SASU, 3.50%, 3/1/25(14) | EUR | 200 | $ 211,734 |
Boyne USA, Inc., 4.75%, 5/15/29(1) | 839 | 750,011 | |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 529 | 463,158 | |
6.25%, 7/1/25(1) | 2,521 | 2,523,475 | |
7.00%, 2/15/30(1) | 800 | 814,732 | |
8.125%, 7/1/27(1) | 1,589 | 1,622,210 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 1,751 | 1,692,770 | |
Cirsa Finance International S.a.r.l., 4.50%, 3/15/27(14) | EUR | 100 | 94,893 |
CPUK Finance, Ltd.: | |||
4.50%, 8/28/27(14) | GBP | 100 | 104,635 |
4.875%, 2/28/47(14) | GBP | 335 | 394,130 |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 1,721 | 1,505,205 | |
Live Nation Entertainment, Inc., 4.75%, 10/15/27(1) | 1,226 | 1,135,448 | |
Lottomatica SpA: | |||
5.125%, 7/15/25(14) | EUR | 100 | 107,224 |
6.25%, 7/15/25(14) | EUR | 100 | 108,507 |
Pinewood Finance Co., Ltd., 3.25%, 9/30/25(14) | GBP | 200 | 231,741 |
Scientific Games International, Inc., 7.00%, 5/15/28(1) | 1,647 | 1,632,136 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 1,515 | 1,392,198 | |
WarnerMedia Holdings, Inc.: | |||
3.755%, 3/15/27(1) | 1,050 | 989,703 | |
6.412%, 3/15/26 | 250 | 251,338 | |
$ 16,025,248 | |||
Environmental — 0.0%(10) | |||
Waste Management, Inc., 0.75%, 11/15/25 | 525 | $ 477,863 | |
$ 477,863 | |||
Equipment Leasing — 0.0%(10) | |||
Ashtead Capital, Inc., 4.25%, 11/1/29(1) | 526 | $ 483,026 | |
$ 483,026 | |||
Financial Intermediaries — 2.2% | |||
Ally Financial, Inc.: | |||
Series B, 4.70% to 5/15/26(16)(17) | 1,647 | $ 1,186,869 |
Security | Principal Amount* (000's omitted) | Value | |
Financial Intermediaries (continued) | |||
Ally Financial, Inc.: (continued) | |||
5.75%, 11/20/25 | 925 | $ 870,949 | |
Alpha Holding S.A. de CV: | |||
9.00%, 2/10/25(1)(19) | 722 | 9,924 | |
10.00%, 12/19/22(1)(19) | 188 | 1,159 | |
Citigroup, Inc.: | |||
3.668% to 7/24/27, 7/24/28(17) | 950 | 900,717 | |
5.61% to 9/29/25, 9/29/26(17) | 1,425 | 1,436,591 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 771 | 679,802 | |
Ford Motor Credit Co., LLC: | |||
1.744%, 7/19/24 | EUR | 200 | 208,419 |
2.90%, 2/16/28 | 420 | 361,612 | |
3.021%, 3/6/24 | EUR | 200 | 213,423 |
3.25%, 9/15/25 | EUR | 100 | 104,188 |
3.37%, 11/17/23 | 513 | 503,903 | |
3.625%, 6/17/31 | 2,307 | 1,904,048 | |
3.815%, 11/2/27 | 1,984 | 1,780,918 | |
4.00%, 11/13/30 | 995 | 846,852 | |
4.125%, 8/17/27 | 2,739 | 2,513,320 | |
4.271%, 1/9/27 | 476 | 443,870 | |
4.867%, 8/3/27 | EUR | 200 | 210,827 |
5.125%, 6/16/25 | 938 | 919,470 | |
5.584%, 3/18/24 | 257 | 254,751 | |
Goldman Sachs Group, Inc. (The), 3.615% to 3/15/27, 3/15/28(17) | 1,496 | 1,416,731 | |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
5.25%, 5/15/27 | 1,614 | 1,516,385 | |
6.25%, 5/15/26 | 1,095 | 1,078,575 | |
6.375%, 12/15/25 | 820 | 806,271 | |
JPMorgan Chase & Co.: | |||
3.54%, 5/1/28(17) | 1,550 | 1,467,024 | |
Series HH, 4.60% to 2/1/25(16)(17) | 1,674 | 1,561,005 | |
5.546%, 12/15/25(17) | 1,400 | 1,410,346 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 520 | 452,509 | |
3.875%, 2/15/31(1) | 899 | 801,009 | |
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(17) | 1,011 | 823,949 | |
$ 26,685,416 | |||
Financial Services — 0.5% | |||
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(17) | 1,625 | $ 1,458,487 | |
5.08% to 1/20/26, 1/20/27(17) | 975 | 972,697 |
Security | Principal Amount* (000's omitted) | Value | |
Financial Services (continued) | |||
Carlyle Finance Subsidiary, LLC, 3.50%, 9/19/29(1) | 1,000 | $ 916,406 | |
Nationwide Building Society, 4.00%, 9/14/26(1) | 525 | 489,585 | |
Nordea Bank Abp, 3.75%, 8/30/23(1) | 475 | 471,419 | |
Vietnam Debt and Asset Trading Corp., 1.00%, 10/10/25(14) | 2,600 | 2,210,000 | |
$ 6,518,594 | |||
Food Products — 0.7% | |||
Bellis Acquisition Co. PLC, 3.25%, 2/16/26(14) | GBP | 200 | $ 202,817 |
Casino Guichard Perrachon SA, 4.498%, 3/7/24(14) | EUR | 100 | 54,984 |
Chobani, LLC/Chobani Finance Corp., Inc., 7.50%, 4/15/25(1) | 1,619 | 1,580,195 | |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 854 | 742,980 | |
Kraft Heinz Foods Co.: | |||
3.875%, 5/15/27 | 1,198 | 1,170,664 | |
4.25%, 3/1/31 | 1,439 | 1,393,372 | |
4.375%, 6/1/46 | 282 | 245,928 | |
4.625%, 10/1/39 | 425 | 390,025 | |
5.50%, 6/1/50 | 245 | 248,295 | |
Nomad Foods Bondco PLC, 2.50%, 6/24/28(14) | EUR | 336 | 319,982 |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 1,979 | 1,612,291 | |
Premier Foods Financing PLC, 3.50%, 10/15/26(14) | GBP | 125 | 140,730 |
$ 8,102,263 | |||
Food Service — 0.7% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,906 | $ 1,774,429 | |
4.00%, 10/15/30(1) | 2,705 | 2,321,972 | |
4.375%, 1/15/28(1) | 1,014 | 937,098 | |
5.75%, 4/15/25(1) | 372 | 373,711 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 615 | 617,472 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 1,837 | 1,699,161 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 238 | 209,178 | |
$ 7,933,021 | |||
Food/Drug Retailers — 0.2% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(1) | 1,595 | $ 1,490,480 | |
5.875%, 2/15/28(1) | 1,004 | 998,879 | |
$ 2,489,359 |
Security | Principal Amount* (000's omitted) | Value | |
Forest Products & Paper — 0.0%(10) | |||
Georgia-Pacific, LLC, 1.75%, 9/30/25(1) | 525 | $ 486,462 | |
$ 486,462 | |||
Health Care — 3.7% | |||
Avantor Funding, Inc., 2.625%, 11/1/25(14) | EUR | 300 | $ 313,884 |
Centene Corp.: | |||
2.50%, 3/1/31 | 1,992 | 1,614,914 | |
3.00%, 10/15/30 | 2,345 | 1,976,791 | |
3.375%, 2/15/30 | 1,397 | 1,220,062 | |
4.25%, 12/15/27 | 1,005 | 969,282 | |
4.625%, 12/15/29 | 1,758 | 1,654,524 | |
Chrome Bidco SASU, 3.50%, 5/31/28(14) | EUR | 450 | 407,198 |
Chrome Holdco SASU, 5.00%, 5/31/29(14) | EUR | 300 | 242,062 |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 683 | 597,284 | |
4.75%, 2/1/30 | 639 | 581,682 | |
Grifols Escrow Issuer S.A.: | |||
3.875%, 10/15/28(14) | EUR | 494 | 418,416 |
4.75%, 10/15/28(1) | 2,051 | 1,683,892 | |
Grifols S.A.: | |||
1.625%, 2/15/25(14) | EUR | 100 | 102,350 |
3.20%, 5/1/25(14) | EUR | 350 | 346,347 |
HCA, Inc.: | |||
5.25%, 6/15/26 | 475 | 475,706 | |
5.375%, 9/1/26 | 1,610 | 1,616,840 | |
5.625%, 9/1/28 | 1,472 | 1,490,271 | |
5.875%, 2/15/26 | 2,705 | 2,746,528 | |
5.875%, 2/1/29 | 1,076 | 1,100,112 | |
IQVIA, Inc.: | |||
2.25%, 1/15/28(14) | EUR | 450 | 433,862 |
2.25%, 3/15/29(14) | EUR | 100 | 92,615 |
2.875%, 6/15/28(14) | EUR | 100 | 97,671 |
5.00%, 10/15/26(1) | 850 | 831,767 | |
5.00%, 5/15/27(1) | 685 | 673,793 | |
Legacy LifePoint Health, LLC: | |||
4.375%, 2/15/27(1) | 989 | 809,827 | |
6.75%, 4/15/25(1) | 731 | 694,450 | |
LifePoint Health, Inc., 5.375%, 1/15/29(1) | 2,888 | 1,768,900 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 3,821 | 3,318,796 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 759 | 645,230 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 1,550 | 1,488,054 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 1,330 | 1,161,645 | |
3.875%, 5/15/32(1) | 1,450 | 1,219,887 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 1,801 | 1,592,471 |
Security | Principal Amount* (000's omitted) | Value | |
Health Care (continued) | |||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 702 | $ 568,471 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 1,890 | 1,139,764 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 187 | 168,001 | |
4.625%, 9/1/24 | 268 | 263,549 | |
4.875%, 1/1/26 | 1,607 | 1,577,198 | |
5.125%, 11/1/27 | 1,607 | 1,544,328 | |
6.125%, 10/1/28 | 1,593 | 1,528,237 | |
6.875%, 11/15/31 | 878 | 839,408 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 2,637 | 2,350,793 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 706 | 692,171 | |
$ 45,059,033 | |||
Health Care Providers & Services — 0.1% | |||
Boston Scientific Corp., 1.90%, 6/1/25 | 525 | $ 496,508 | |
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(1) | 1,322 | 1,163,003 | |
$ 1,659,511 | |||
Home Furnishings — 0.1% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 409 | $ 352,763 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 1,475 | 1,233,144 | |
$ 1,585,907 | |||
Homebuilders/Real Estate — 0.0%(10) | |||
M/I Homes, Inc., 4.95%, 2/1/28 | 459 | $ 425,173 | |
$ 425,173 | |||
Hotels, Restaurants & Leisure — 0.1% | |||
SeaWorld Parks & Entertainment, Inc., 8.75%, 5/1/25(1) | 1,090 | $ 1,120,520 | |
$ 1,120,520 | |||
Industrial Equipment — 0.2% | |||
Huntington Ingalls Industries, Inc., 0.67%, 8/16/23 | 500 | $ 491,738 | |
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 2,000 | 1,546,980 | |
TK Elevator Holdco GmbH, 6.625%, 7/15/28(14) | EUR | 90 | 83,050 |
TK Elevator Midco GmbH, 4.375%, 7/15/27(14) | EUR | 225 | 221,454 |
$ 2,343,222 | |||
Insurance — 0.7% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 1,615 | $ 1,499,447 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 1,010 | 895,178 | |
Assurant, Inc., 6.10%, 2/27/26 | 200 | 204,093 |
Security | Principal Amount* (000's omitted) | Value | |
Insurance (continued) | |||
AssuredPartners, Inc., 5.625%, 1/15/29(1) | 450 | $ 389,401 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 1,784 | 1,510,761 | |
F&G Annuities & Life, Inc., 7.40%, 1/13/28(1) | 575 | 578,997 | |
Galaxy Finco, Ltd., 9.25%, 7/31/27(14) | GBP | 575 | 634,132 |
GTCR AP Finance, Inc., 8.00%, 5/15/27(1) | 820 | 783,530 | |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 1,355 | 1,366,467 | |
Radian Group, Inc., 4.875%, 3/15/27 | 1,032 | 971,531 | |
$ 8,833,537 | |||
Internet Software & Services — 0.7% | |||
Amazon.com, Inc., 3.30%, 4/13/27 | 1,025 | $ 992,488 | |
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 655 | 548,075 | |
6.125%, 12/1/28(1) | 963 | 795,558 | |
Cars.com, Inc., 6.375%, 11/1/28(1) | 1,770 | 1,674,491 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 1,727 | 1,407,332 | |
Netflix, Inc., 5.375%, 11/15/29(1) | 1,000 | 1,016,875 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 1,487 | 1,386,513 | |
United Group B.V.: | |||
4.00%, 11/15/27(14) | EUR | 100 | 80,291 |
4.875%, 7/1/24(14) | EUR | 400 | 422,715 |
$ 8,324,338 | |||
Leisure Goods/Activities/Movies — 1.6% | |||
Carnival Corp., 5.75%, 3/1/27(1) | 1,316 | $ 1,080,982 | |
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 1,481 | 1,282,768 | |
5.875%, 3/15/26(1) | 414 | 390,953 | |
8.75%, 5/1/25(1) | 303 | 309,612 | |
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(14)(15) | EUR | 262 | 263,344 |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,268 | 1,233,130 | |
8.00%, 4/15/26(1) | 638 | 609,169 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 1,667 | 1,615,856 | |
Motion Finco S.a.r.l., 7.00%, 5/15/25(14) | EUR | 300 | 330,329 |
National CineMedia, LLC: | |||
5.75%, 8/15/26(19) | 1,186 | 28,594 | |
5.875%, 4/15/28(1) | 1,559 | 457,683 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 439 | 408,760 | |
5.875%, 3/15/26(1) | 662 | 564,123 | |
5.875%, 2/15/27(1) | 517 | 482,694 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure Goods/Activities/Movies (continued) | |||
NCL Corp., Ltd.: (continued) | |||
7.75%, 2/15/29(1) | 433 | $ 371,705 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 1,000 | 811,370 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 1,511 | 1,259,759 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 1,612 | 1,732,900 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 1,264 | 1,142,315 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 2,472 | 2,131,111 | |
6.25%, 5/15/25(1) | 1,690 | 1,589,349 | |
7.00%, 2/15/29(1) | 658 | 565,058 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 422 | 362,656 | |
$ 19,024,220 | |||
Lodging and Casinos — 0.3% | |||
Accor S.A.: | |||
2.375%, 11/29/28(14) | EUR | 200 | $ 192,222 |
4.375% to 1/30/24(14)(16)(17) | EUR | 100 | 105,588 |
Marriott International, Inc., 4.90%, 4/15/29 | 485 | 480,989 | |
MGM Resorts International: | |||
4.75%, 10/15/28 | 1,138 | 1,060,819 | |
5.50%, 4/15/27 | 453 | 440,007 | |
5.75%, 6/15/25 | 948 | 946,604 | |
$ 3,226,229 | |||
Machinery — 0.1% | |||
Chart Industries, Inc., 9.50%, 1/1/31(1) | 1,139 | $ 1,202,733 | |
IMA Industria Macchine Automatiche SpA, 3.75%, 1/15/28(14) | EUR | 221 | 211,640 |
$ 1,414,373 | |||
Media — 0.5% | |||
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(1) | 1,595 | $ 1,060,857 | |
iHeartCommunications, Inc.: | |||
6.375%, 5/1/26 | 179 | 158,164 | |
8.375%, 5/1/27 | 324 | 236,369 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(1) | 543 | 453,505 | |
6.25%, 6/15/25(1) | 807 | 803,705 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,990 | 1,673,918 | |
7.375%, 6/30/30(1) | 391 | 370,019 | |
Urban One, Inc., 7.375%, 2/1/28(1) | 1,006 | 914,856 | |
$ 5,671,393 |
Security | Principal Amount* (000's omitted) | Value | |
Metals/Mining — 1.2% | |||
BHP Billiton Finance USA, Ltd., 4.75%, 2/28/28 | 675 | $ 683,920 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 2,658 | 2,708,502 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 3,216 | 3,064,880 | |
Constellium N.V., 5.875%, 2/15/26(1) | 490 | 490,980 | |
Constellium SE: | |||
3.125%, 7/15/29(14) | EUR | 100 | 88,216 |
5.625%, 6/15/28(1) | 630 | 595,499 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 1,600 | 1,498,425 | |
Glencore Funding, LLC, 4.125%, 3/12/24(1) | 475 | 470,048 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 1,085 | 1,003,215 | |
6.125%, 4/1/29(1) | 489 | 462,582 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 690 | 631,191 | |
4.75%, 1/30/30(1) | 1,068 | 982,560 | |
Novelis Sheet Ingot GmbH, 3.375%, 4/15/29(14) | EUR | 500 | 474,122 |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 1,513 | 1,352,864 | |
$ 14,507,004 | |||
Nonferrous Metals/Minerals — 0.4% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 1,333 | $ 1,240,643 | |
First Quantum Minerals, Ltd., 7.50%, 4/1/25(1) | 1,340 | 1,340,241 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 2,250 | 2,167,853 | |
$ 4,748,737 | |||
Oil and Gas — 3.7% | |||
Aethon III BR, LLC, 9.00%, 10/1/25 | 2,366 | $ 2,365,989 | |
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 1,570 | 1,542,078 | |
Callon Petroleum Co.: | |||
7.50%, 6/15/30(1) | 601 | 565,520 | |
8.00%, 8/1/28(1) | 788 | 781,381 | |
Chord Energy Corp., 6.375%, 6/1/26(1) | 1,111 | 1,101,762 | |
Continental Resources, Inc., 2.268%, 11/15/26(1) | 550 | 488,961 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 1,519 | 1,416,923 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 2,905 | 2,669,027 | |
Hilcorp Energy I, L.P./Hilcorp Finance Co., 5.75%, 2/1/29(1) | 700 | 645,253 | |
Marathon Petroleum Corp., 4.70%, 5/1/25 | 475 | 474,287 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(1) | 665 | 614,328 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 3,382 | 3,281,776 | |
NiSource, Inc., 5.25%, 3/30/28 | 950 | 967,129 |
Security | Principal Amount* (000's omitted) | Value | |
Oil and Gas (continued) | |||
Occidental Petroleum Corp.: | |||
6.20%, 3/15/40 | 480 | $ 483,331 | |
6.625%, 9/1/30 | 1,511 | 1,592,722 | |
8.50%, 7/15/27 | 1,965 | 2,163,337 | |
8.875%, 7/15/30 | 1,685 | 1,961,458 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 376 | 334,554 | |
4.625%, 5/1/30(1) | 1,501 | 1,336,618 | |
Permian Resources Operating, LLC: | |||
5.375%, 1/15/26(1) | 232 | 220,153 | |
5.875%, 7/1/29(1) | 2,252 | 2,134,896 | |
7.75%, 2/15/26(1) | 1,166 | 1,170,367 | |
Petroleos Mexicanos: | |||
5.35%, 2/12/28 | 470 | 398,425 | |
5.95%, 1/28/31 | 1,370 | 1,049,491 | |
6.50%, 3/13/27 | 360 | 327,481 | |
6.50%, 1/23/29 | 530 | 456,073 | |
6.75%, 9/21/47 | 1,366 | 889,008 | |
6.84%, 1/23/30 | 142 | 117,833 | |
10.00%, 2/7/33(1) | 267 | 256,132 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 932 | 846,629 | |
7.125%, 1/15/26(1) | 500 | 488,780 | |
Repsol International Finance B.V., 4.50% to 3/25/25, 3/25/75(14)(17) | EUR | 100 | 105,460 |
Shelf Drilling Holdings, Ltd.: | |||
8.25%, 2/15/25(1) | 1,535 | 1,367,808 | |
8.875%, 11/15/24(1) | 441 | 438,123 | |
Southwestern Energy Co., 4.75%, 2/1/32 | 1,485 | 1,313,408 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(1) | 2,569 | 2,252,931 | |
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.: | |||
4.00%, 1/15/32 | 1,038 | 905,816 | |
4.875%, 2/1/31 | 233 | 218,262 | |
5.50%, 3/1/30 | 224 | 219,121 | |
6.50%, 7/15/27 | 566 | 577,588 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 868 | 851,436 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 707 | 721,776 | |
UGI International, LLC, 2.50%, 12/1/29(14) | EUR | 200 | 170,515 |
Var Energi ASA, 7.50%, 1/15/28(1) | 600 | 622,349 | |
Weatherford International, Ltd., 8.625%, 4/30/30(1) | 1,355 | 1,387,466 | |
Wintershall Dea Finance 2 B.V., 2.499% to 4/20/26(14)(16)(17) | EUR | 600 | 548,447 |
$ 44,842,208 |
Security | Principal Amount* (000's omitted) | Value | |
Packaging & Containers — 0.2% | |||
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(14) | EUR | 350 | $ 317,915 |
Schoeller Packaging B.V., 6.375%, 11/1/24(14) | EUR | 200 | 156,395 |
Sealed Air Corp., 6.125%, 2/1/28(1) | 626 | 633,637 | |
Silgan Holdings, Inc., 1.40%, 4/1/26(1) | 550 | 493,581 | |
Trivium Packaging Finance B.V.: | |||
3.75%, 8/15/26(14) | EUR | 300 | 300,950 |
5.50%, 8/15/26(1) | 424 | 406,705 | |
6.404%, (3 mo. EURIBOR + 3.75%), 8/15/26(2)(14) | EUR | 200 | 213,344 |
$ 2,522,527 | |||
Pharmaceuticals — 0.6% | |||
Abbvie, Inc., 3.80%, 3/15/25 | 725 | $ 713,519 | |
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 2,444 | 2,477,898 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 1,383 | 1,305,706 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/1/27(1) | 1,105 | 1,122,636 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 1,595 | 1,249,508 | |
PRA Health Sciences, Inc., 2.875%, 7/15/26(1) | 410 | 378,561 | |
Rossini S.a.r.l., 6.343%, (3 mo. EURIBOR + 3.875%), 10/30/25(2)(14) | EUR | 300 | 324,537 |
$ 7,572,365 | |||
Pipelines — 2.0% | |||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 1,874 | $ 1,833,334 | |
7.875%, 5/15/26(1) | 879 | 895,900 | |
Cheniere Energy Partners, L.P.: | |||
4.00%, 3/1/31 | 2,706 | 2,410,992 | |
4.50%, 10/1/29 | 1,722 | 1,601,366 | |
Cheniere Energy, Inc., 4.625%, 10/15/28 | 1,553 | 1,477,586 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 1,449 | 1,272,001 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 1,094 | 935,465 | |
Enterprise Products Operating, LLC, 5.05%, 1/10/26 | 125 | 126,802 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 1,355 | 1,153,505 | |
4.75%, 1/15/31(1) | 1,086 | 902,890 | |
6.00%, 7/1/25(1) | 257 | 254,384 | |
6.50%, 7/1/27(1) | 702 | 681,172 | |
7.50%, 6/1/30(1) | 1,010 | 979,634 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 2,308 | 2,224,912 | |
Midwest Connector Capital Co., LLC, 4.625%, 4/1/29(1) | 1,269 | 1,191,142 |
Security | Principal Amount* (000's omitted) | Value | |
Pipelines (continued) | |||
Plains All American Pipeline, L.P., Series B, 8.974%, (3 mo. USD LIBOR + 4.11%)(2)(16) | 1,462 | $ 1,308,825 | |
Sabine Pass Liquefaction, LLC, 5.75%, 5/15/24 | 950 | 952,512 | |
Venture Global Calcasieu Pass, LLC: | |||
3.875%, 8/15/29(1) | 1,116 | 1,007,636 | |
3.875%, 11/1/33(1) | 665 | 559,361 | |
4.125%, 8/15/31(1) | 992 | 872,553 | |
Western Midstream Operating, L.P.: | |||
4.30%, 2/1/30 | 1,187 | 1,081,654 | |
4.50%, 3/1/28 | 148 | 140,154 | |
4.75%, 8/15/28 | 150 | 142,922 | |
Williams Cos., Inc. (The), 4.55%, 6/24/24 | 950 | 943,348 | |
$ 24,950,050 | |||
Publishing — 0.2% | |||
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 630 | $ 548,840 | |
8.00%, 8/1/29(1) | 2,438 | 2,002,220 | |
$ 2,551,060 | |||
Radio and Television — 0.8% | |||
Audacy Capital Corp., 6.75%, 3/31/29(1) | 1,627 | $ 116,941 | |
Clear Channel Outdoor Holdings, Inc.: | |||
5.125%, 8/15/27(1) | 740 | 664,919 | |
7.75%, 4/15/28(1) | 2,088 | 1,567,879 | |
CMG Media Corp., 8.875%, 12/15/27(1) | 3,533 | 2,674,446 | |
Sirius XM Radio, Inc.: | |||
3.125%, 9/1/26(1) | 946 | 854,290 | |
3.875%, 9/1/31(1) | 951 | 740,339 | |
5.00%, 8/1/27(1) | 1,609 | 1,508,116 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 1,492 | 1,412,790 | |
$ 9,539,720 | |||
Real Estate Investment Trusts (REITs) — 1.4% | |||
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 1,591 | $ 1,362,047 | |
Emeria SASU: | |||
3.375%, 3/31/28(14) | EUR | 200 | 172,232 |
7.75%, 3/31/28(14) | EUR | 150 | 154,541 |
EPR Properties: | |||
3.60%, 11/15/31 | 600 | 449,763 | |
3.75%, 8/15/29 | 565 | 433,655 | |
Equinix, Inc., 1.00%, 9/15/25 | 525 | 475,711 | |
Extra Space Storage, L.P., 5.70%, 4/1/28 | 450 | 453,366 |
Security | Principal Amount* (000's omitted) | Value | |
Real Estate Investment Trusts (REITs) (continued) | |||
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 600 | $ 521,208 | |
3.75%, 9/15/30(1) | 1,816 | 1,373,677 | |
6.00%, 4/15/25(1) | 716 | 688,617 | |
Heimstaden Bostad AB: | |||
3.00% to 10/29/27(14)(16)(17) | EUR | 352 | 211,862 |
3.248% to 11/19/24(14)(16)(17) | EUR | 300 | 202,312 |
Newmark Group, Inc., 6.125%, 11/15/23 | 2,126 | 2,109,516 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 323 | 298,473 | |
4.125%, 8/15/30(1) | 1,108 | 979,679 | |
4.25%, 12/1/26(1) | 1,653 | 1,543,830 | |
4.50%, 9/1/26(1) | 895 | 842,921 | |
4.625%, 12/1/29(1) | 2,359 | 2,149,603 | |
5.625%, 5/1/24(1) | 480 | 476,400 | |
5.75%, 2/1/27(1) | 2,073 | 2,036,975 | |
$ 16,936,388 | |||
Retail — 1.2% | |||
7-Eleven, Inc., 0.80%, 2/10/24(1) | 500 | $ 478,898 | |
Arko Corp., 5.125%, 11/15/29(1) | 2,276 | 1,886,596 | |
B&M European Value Retail S.A., 3.625%, 7/15/25(14) | GBP | 200 | 232,833 |
Dufry One B.V.: | |||
2.00%, 2/15/27(14) | EUR | 200 | 187,815 |
2.50%, 10/15/24(14) | EUR | 200 | 213,528 |
3.375%, 4/15/28(14) | EUR | 139 | 133,019 |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 1,323 | 1,258,206 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 1,081 | 925,358 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.: | |||
4.625%, 1/15/29(1) | 745 | 654,743 | |
6.75%, 1/15/30(1) | 1,276 | 1,050,952 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,328 | 1,170,898 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 957 | 814,797 | |
Kohl's Corp., 3.625%, 5/1/31 | 1,114 | 752,908 | |
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(1) | 1,652 | 1,383,955 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 479 | 443,631 | |
Michaels Cos., Inc., 5.25%, 5/1/28(1) | 1,259 | 1,050,598 | |
Midco GB SASU, 7.75%, (7.75% cash or 8.50% PIK), 11/1/27(14)(15) | EUR | 130 | 128,120 |
Punch Finance PLC, 6.125%, 6/30/26(14) | GBP | 125 | 134,839 |
Starbucks Corp., 4.75%, 2/15/26 | 575 | 578,622 | |
Stonegate Pub Co. Financing 2019 PLC, 8.25%, 7/31/25(14) | GBP | 100 | 115,487 |
Security | Principal Amount* (000's omitted) | Value | |
Retail (continued) | |||
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 824 | $ 720,979 | |
Victoria's Secret & Co., 4.625%, 7/15/29(1) | 973 | 789,463 | |
$ 15,106,245 | |||
Retailers (Except Food and Drug) — 0.9% | |||
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | 479 | $ 467,399 | |
6.75%, 7/1/36 | 437 | 391,023 | |
6.95%, 3/1/33 | 1,027 | 909,511 | |
7.60%, 7/15/37 | 488 | 421,895 | |
9.375%, 7/1/25(1) | 182 | 194,618 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 2,417 | 2,465,340 | |
Murphy Oil USA, Inc.: | |||
4.75%, 9/15/29 | 170 | 155,074 | |
5.625%, 5/1/27 | 560 | 542,698 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 1,290 | 1,212,149 | |
7.75%, 2/15/29(1) | 2,469 | 2,426,237 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 1,532 | 1,369,765 | |
$ 10,555,709 | |||
Semiconductors & Semiconductor Equipment — 0.3% | |||
Broadcom, Inc., 3.459%, 9/15/26 | 775 | $ 741,080 | |
Intel Corp., 4.875%, 2/10/28 | 1,000 | 1,016,552 | |
NXP B.V./NXP Funding, LLC/NXP USA, Inc., 2.70%, 5/1/25 | 550 | 522,277 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 1,544 | 1,391,556 | |
$ 3,671,465 | |||
Software — 0.2% | |||
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 1,485 | $ 1,344,437 | |
Oracle Corp., 5.80%, 11/10/25 | 475 | 487,078 | |
Sabre GLBL, Inc., 9.25%, 4/15/25(1) | 637 | 600,666 | |
$ 2,432,181 | |||
Software and Services — 0.3% | |||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) | 825 | $ 751,781 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 1,248 | 1,158,662 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 427 | 381,399 | |
3.75%, 10/1/30(1) | 660 | 593,023 | |
4.50%, 7/1/28(1) | 908 | 862,750 |
Security | Principal Amount* (000's omitted) | Value | |
Software and Services (continued) | |||
Playtech PLC, 4.25%, 3/7/26(14) | EUR | 200 | $ 209,729 |
$ 3,957,344 | |||
Specialty Retail — 0.0%(10) | |||
Fiber Bidco SpA: | |||
9.015%, (3 mo. EURIBOR + 6.00%), 10/25/27(2)(14) | EUR | 200 | $ 218,640 |
11.00%, 10/25/27(14) | EUR | 100 | 116,698 |
$ 335,338 | |||
Steel — 0.3% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 465 | $ 468,464 | |
ATI, Inc., 5.875%, 12/1/27 | 320 | 312,994 | |
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,147 | 1,139,458 | |
Nucor Corp., 3.95%, 5/23/25 | 500 | 492,370 | |
TMS International Corp., 6.25%, 4/15/29(1) | 1,365 | 1,053,959 | |
$ 3,467,245 | |||
Surface Transport — 0.1% | |||
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 218 | $ 197,689 | |
5.00%, 12/1/29(1) | 1,771 | 1,468,761 | |
$ 1,666,450 | |||
Technology — 0.6% | |||
Almaviva-The Italian Innovation Co. SpA, 4.875%, 10/30/26(14) | EUR | 265 | $ 269,974 |
athenahealth Group, Inc., 6.50%, 2/15/30(1) | 2,297 | 1,864,612 | |
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 892 | 861,806 | |
5.25%, 1/15/29(1) | 2,500 | 2,396,250 | |
6.25%, 1/15/27(1) | 976 | 987,951 | |
6.50%, 2/15/25(1) | 513 | 518,894 | |
$ 6,899,487 | |||
Telecommunications — 3.0% | |||
Altice France Holding S.A., 10.50%, 5/15/27(1) | 1,599 | $ 1,224,674 | |
Ciena Corp., 4.00%, 1/31/30(1) | 883 | 769,005 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 2,698 | 2,538,548 | |
Iliad Holding SASU: | |||
5.125%, 10/15/26(14) | EUR | 100 | 104,786 |
5.625%, 10/15/28(14) | EUR | 236 | 238,897 |
6.50%, 10/15/26(1) | 1,389 | 1,324,994 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Iliad Holding SASU: (continued) | |||
7.00%, 10/15/28(1) | 811 | $ 770,199 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 840 | 708,914 | |
6.75%, 10/15/27(1) | 1,482 | 1,401,090 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 400 | 226,090 | |
Lorca Telecom Bondco S.A., 4.00%, 9/18/27(14) | EUR | 843 | 842,219 |
Matterhorn Telecom S.A., 3.125%, 9/15/26(14) | EUR | 500 | 504,021 |
NBN Co., Ltd., 1.45%, 5/5/26(1) | 1,075 | 972,334 | |
PLT VII Finance S.a.r.l., 4.625%, 1/5/26(14) | EUR | 400 | 408,423 |
Rogers Communications, Inc., 2.95%, 3/15/25(1) | 500 | 481,758 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 2,379 | 2,558,615 | |
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC, 5.152%, 9/20/29(1) | 475 | 472,206 | |
Sprint, LLC: | |||
7.625%, 2/15/25 | 1,785 | 1,852,591 | |
7.625%, 3/1/26 | 993 | 1,050,972 | |
7.875%, 9/15/23 | 7,378 | 7,439,193 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 907 | 772,095 | |
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(14) | EUR | 135 | 121,107 |
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(14) | EUR | 150 | 142,345 |
Telecom Italia Finance S.A., 7.75%, 1/24/33 | EUR | 60 | 69,986 |
Telecom Italia SpA: | |||
1.625%, 1/18/29(14) | EUR | 100 | 85,332 |
2.50%, 7/19/23(14) | EUR | 400 | 431,631 |
2.75%, 4/15/25(14) | EUR | 356 | 369,570 |
3.00%, 9/30/25(14) | EUR | 240 | 247,971 |
4.00%, 4/11/24(14) | EUR | 100 | 107,756 |
5.303%, 5/30/24(1) | 1,118 | 1,096,697 | |
6.875%, 2/15/28(14) | EUR | 100 | 111,099 |
Telefonica Europe B.V.: | |||
2.88% to 2/24/28(14)(16)(17) | EUR | 200 | 181,045 |
4.375% to 12/14/24(14)(16)(17) | EUR | 600 | 636,226 |
7.125% to 8/23/28(14)(16)(17) | EUR | 300 | 331,850 |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 851 | 792,248 | |
2.625%, 2/15/29 | 1,064 | 938,459 | |
2.875%, 2/15/31 | 638 | 551,046 | |
4.75%, 2/1/28 | 1,045 | 1,032,574 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 476 | 447,392 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 868 | 743,187 | |
Vmed O2 UK Financing I PLC: | |||
3.25%, 1/31/31(14) | EUR | 200 | 177,349 |
4.50%, 7/15/31(14) | GBP | 100 | 98,688 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Vodafone Group PLC: | |||
2.625% to 5/27/26, 8/27/80(14)(17) | EUR | 400 | $ 390,973 |
4.875% to 7/3/25, 10/3/78(14)(17) | GBP | 350 | 411,812 |
Wp/ap Telecom Holdings III B.V., 5.50%, 1/15/30(14) | EUR | 250 | 226,477 |
$ 36,404,444 | |||
Transportation — 0.3% | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 1,528 | $ 1,367,973 | |
Fenix Marine Service Holdings, Ltd., 8.00%, 1/15/24 | 150 | 149,086 | |
Getlink S.E., 3.50%, 10/30/25(14) | EUR | 415 | 437,590 |
Seaspan Corp., 5.50%, 8/1/29(1) | 1,654 | 1,291,722 | |
$ 3,246,371 | |||
Utilities — 1.3% | |||
Calpine Corp.: | |||
4.50%, 2/15/28(1) | 1,073 | $ 996,622 | |
4.625%, 2/1/29(1) | 680 | 588,056 | |
5.00%, 2/1/31(1) | 910 | 771,318 | |
5.125%, 3/15/28(1) | 1,511 | 1,385,452 | |
5.25%, 6/1/26(1) | 344 | 335,767 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 838 | 730,905 | |
NextEra Energy Operating Partners, L.P.: | |||
4.25%, 9/15/24(1) | 60 | 57,779 | |
4.50%, 9/15/27(1) | 1,207 | 1,153,808 | |
NRG Energy, Inc.: | |||
3.375%, 2/15/29(1) | 664 | 550,541 | |
3.625%, 2/15/31(1) | 1,107 | 888,876 | |
3.875%, 2/15/32(1) | 1,466 | 1,174,398 | |
5.25%, 6/15/29(1) | 673 | 625,735 | |
5.75%, 1/15/28 | 1,455 | 1,429,101 | |
10.25% to 3/15/28(1)(16)(17) | 1,413 | 1,351,612 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(1) | 1,497 | 1,424,026 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 939 | 832,691 | |
5.00%, 7/31/27(1) | 1,278 | 1,210,145 | |
$ 15,506,832 | |||
Total Corporate Bonds (identified cost $711,553,848) | $ 660,549,511 |
Preferred Stocks — 0.1% |
Security | Shares | Value | |
Financial Services — 0.0% | |||
DBI Investors, Inc., Series A-1(11)(12)(13) | 1,932 | $ 0 | |
$ 0 | |||
Nonferrous Metals/Minerals — 0.1% | |||
ACNR Holdings, Inc., 15.00% (PIK)(12)(13) | 1,803 | $ 1,059,263 | |
$ 1,059,263 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC: | |||
Series A, 8.00% (PIK)(11)(12)(13) | 1,136 | $ 0 | |
Series B, 10.00% (PIK)(11)(12)(13) | 4,631 | 0 | |
$ 0 | |||
Total Preferred Stocks (identified cost $374,926) | $ 1,059,263 |
Senior Floating-Rate Loans — 46.6%(20) |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Aerospace and Defense — 1.2% | |||
Aernnova Aerospace S.A.U.: | |||
Term Loan, 5.436%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 796 | $ 808,146 |
Term Loan, 5.625%, (6 mo. EURIBOR + 3.00%), 2/26/27 | EUR | 204 | 207,217 |
AI Convoy (Luxembourg) S.a.r.l., Term Loan, 5.532%, (6 mo. EURIBOR + 3.50%), 1/18/27 | EUR | 1,000 | 1,022,141 |
Dynasty Acquisition Co., Inc.: | |||
Term Loan, 8.407%, (SOFR + 3.50%), 4/6/26 | 644 | 630,974 | |
Term Loan, 8.407%, (SOFR + 3.50%), 4/6/26 | 346 | 339,233 | |
IAP Worldwide Services, Inc., Term Loan - Second Lien, 11.659%, (3 mo. USD LIBOR + 6.50%), 7/18/23(11) | 217 | 171,501 | |
TransDigm, Inc.: | |||
Term Loan, 8.148%, (SOFR + 3.25%), 2/22/27 | 1,336 | 1,339,432 | |
Term Loan, 8.148%, (SOFR + 3.25%), 8/24/28 | 4,610 | 4,604,186 | |
WP CPP Holdings, LLC, Term Loan, 8.58%, (3 mo. USD LIBOR + 3.75%), 4/30/25 | 6,458 | 5,913,669 | |
$ 15,036,499 | |||
Airlines — 0.2% | |||
Mileage Plus Holdings, LLC, Term Loan, 10.213%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | 638 | $ 662,956 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Airlines (continued) | |||
SkyMiles IP, Ltd., Term Loan, 8.558%, (3 mo. USD LIBOR + 3.75%), 10/20/27 | 1,853 | $ 1,922,895 | |
$ 2,585,851 | |||
Apparel & Luxury Goods — 0.0%(10) | |||
Hanesbrands, Inc., Term Loan, 8.557%, (SOFR + 3.75%), 3/8/30 | 375 | $ 374,063 | |
$ 374,063 | |||
Auto Components — 0.8% | |||
Adient US, LLC, Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 4/10/28 | 553 | $ 553,438 | |
Clarios Global, L.P., Term Loan, 6.155%, (1 mo. EURIBOR + 3.25%), 4/30/26 | EUR | 1,373 | 1,443,839 |
DexKo Global, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 96 | 93,214 |
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 10/4/28 | EUR | 309 | 301,260 |
Term Loan, 6.765%, (EURIBOR + 3.75%), 10/4/28(21) | EUR | 595 | 579,316 |
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 10/4/28 | 817 | 767,016 | |
Term Loan, 11.398%, (SOFR + 6.50%), 10/4/28 | 875 | 813,750 | |
Garrett LX I S.a.r.l.: | |||
Term Loan, 5.992%, (3 mo. EURIBOR + 3.50%), 4/30/28 | EUR | 1,000 | 1,063,262 |
Term Loan, 8.08%, (3 mo. USD LIBOR + 3.25%), 4/30/28 | 640 | 635,448 | |
LTI Holdings, Inc.: | |||
Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 9/6/25 | 3,348 | 3,235,629 | |
Term Loan, 9.59%, (1 mo. USD LIBOR + 4.75%), 7/24/26 | 711 | 691,151 | |
$ 10,177,323 | |||
Automobiles — 0.2% | |||
MajorDrive Holdings IV, LLC: | |||
Term Loan, 9.00%, (3 mo. USD LIBOR + 4.00%), 6/1/28 | 442 | $ 420,571 | |
Term Loan, 10.556%, (SOFR + 5.50%), 6/1/29 | 1,634 | 1,576,328 | |
Thor Industries, Inc., Term Loan, 7.875%, (1 mo. USD LIBOR + 3.00%), 2/1/26 | 716 | 714,390 | |
$ 2,711,289 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Beverages — 0.0%(10) | |||
City Brewing Company, LLC, Term Loan, 8.33%, (3 mo. USD LIBOR + 3.50%), 4/5/28 | 640 | $ 270,777 | |
$ 270,777 | |||
Biotechnology — 0.1% | |||
Alkermes, Inc., Term Loan, 7.21%, (1 mo. USD LIBOR + 2.50%), 3/12/26 | 1,085 | $ 1,062,943 | |
Alltech, Inc., Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 10/13/28 | 469 | 455,773 | |
$ 1,518,716 | |||
Building Products — 0.3% | |||
LHS Borrower, LLC, Term Loan, 9.657%, (SOFR + 4.75%), 2/16/29 | 1,836 | $ 1,492,116 | |
Oscar AcquisitionCo, LLC, Term Loan, 9.498%, (SOFR + 4.50%), 4/29/29 | 896 | 865,556 | |
Standard Industries, Inc., Term Loan, 7.116%, (SOFR + 2.00%), 9/22/28 | 1,114 | 1,110,774 | |
$ 3,468,446 | |||
Capital Markets — 1.4% | |||
Advisor Group, Inc., Term Loan, 9.34%, (1 mo. USD LIBOR + 4.50%), 7/31/26 | 1,137 | $ 1,122,197 | |
Andromeda Investissements, Term Loan, 5.957%, (3 mo. EURIBOR + 3.00%), 6/12/26 | EUR | 1,250 | 1,352,236 |
Aretec Group, Inc.: | |||
Term Loan, 9.157%, (SOFR + 4.25%), 10/1/25 | 2,306 | 2,295,928 | |
Term Loan, 3/8/30(22) | 725 | 715,484 | |
Brookfield Property REIT, Inc., Term Loan, 7.407%, (SOFR + 2.50%), 8/27/25 | 773 | 761,484 | |
CeramTec AcquiCo GmbH, Term Loan, 6.448%, (3 mo. EURIBOR + 3.75%), 3/16/29 | EUR | 760 | 786,877 |
EIG Management Company, LLC, Term Loan, 8.557%, (1 mo. USD LIBOR + 3.75%), 2/22/25 | 261 | 260,270 | |
FinCo I, LLC, Term Loan, 7.14%, (1 mo. USD LIBOR + 2.30%), 6/27/25 | 638 | 638,511 | |
Focus Financial Partners, LLC, Term Loan, 8.057%, (SOFR + 3.25%), 6/30/28 | 3,239 | 3,215,197 | |
Franklin Square Holdings, L.P., Term Loan, 7.125%, (1 mo. USD LIBOR + 2.25%), 8/1/25 | 525 | 523,934 | |
Greenhill & Co., Inc., Term Loan, 8.203%, (3 mo. USD LIBOR + 3.25%), 4/12/24 | 882 | 864,612 | |
HighTower Holdings, LLC, Term Loan, 8.815%, (3 mo. USD LIBOR + 4.00%), 4/21/28 | 748 | 708,826 | |
Hudson River Trading, LLC, Term Loan, 7.84%, (SOFR + 3.00%), 3/20/28 | 2,183 | 2,051,584 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Capital Markets (continued) | |||
Mariner Wealth Advisors, LLC, Term Loan, 8.404%, (SOFR + 3.25%), 8/18/28 | 790 | $ 774,884 | |
Victory Capital Holdings, Inc., Term Loan, 6.954%, (SOFR + 2.25%), 7/1/26 | 891 | 884,961 | |
$ 16,956,985 | |||
Chemicals — 2.1% | |||
Aruba Investments, Inc., Term Loan, 6.928%, (1 mo. EURIBOR + 4.00%), 11/24/27 | EUR | 980 | $ 1,028,269 |
Flint Group GmbH, Term Loan, 9.82%, (USD LIBOR + 4.25%), 9.07% cash, 0.75% PIK, 9/21/23 | 21 | 14,550 | |
Flint Group US LLC, Term Loan, 9.82%, (3 mo. USD LIBOR + 4.25%), 9.07% cash, 0.75% PIK, 9/21/23 | 127 | 87,953 | |
Groupe Solmax, Inc., Term Loan, 9.909%, (3 mo. USD LIBOR + 4.75%), 5/29/28 | 197 | 177,293 | |
INEOS Enterprises Holdings II Limited, Term Loan, 5.948%, (3 mo. EURIBOR + 3.25%), 8/31/26 | EUR | 200 | 213,172 |
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 8.49%, (SOFR + 3.50%), 8/28/26 | 218 | 216,189 | |
INEOS Finance PLC, Term Loan, 6.905%, (1 mo. EURIBOR + 4.00%), 4/1/24 | EUR | 1,194 | 1,293,373 |
INEOS Quattro Holdings UK Ltd.: | |||
Term Loan, 5.655%, (1 mo. EURIBOR + 2.75%), 1/29/26 | EUR | 1,000 | 1,048,350 |
Term Loan, 8.657%, (SOFR + 3.75%), 3/14/30 | 425 | 423,406 | |
INEOS Styrolution Group GmbH, Term Loan, 4.905%, (1 mo. EURIBOR + 2.00%), 1/29/27 | EUR | 1,000 | 1,034,342 |
INEOS Styrolution US Holding, LLC, Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 1/29/26 | 2,309 | 2,289,393 | |
INEOS US Finance, LLC: | |||
Term Loan, 7.407%, (SOFR + 2.50%), 11/8/28 | 617 | 608,319 | |
Term Loan, 8.376%, (SOFR + 3.50%), 2/18/30 | 775 | 770,883 | |
Term Loan, 8.556%, (SOFR + 3.75%), 11/8/27 | 1,021 | 1,020,131 | |
Kraton Corporation, Term Loan, 8.544%, (SOFR + 3.25%), 3/15/29 | 446 | 444,317 | |
Kraton Polymers Holdings B.V., Term Loan, 6.25%, (3 mo. EURIBOR + 3.25%), 3/15/29 | EUR | 500 | 528,694 |
Lonza Group AG: | |||
Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 7/3/28 | EUR | 1,000 | 1,001,468 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 7/3/28 | 1,722 | 1,602,952 | |
LSF11 Skyscraper Holdco S.a.r.l., Term Loan, 6.405%, (1 mo. EURIBOR + 3.50%), 9/29/27 | EUR | 1,000 | 1,082,466 |
Messer Industries GmbH, Term Loan, 7.66%, (SOFR + 2.50%), 3/2/26 | 1,202 | 1,201,111 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
Momentive Performance Materials, Inc., Term Loan, 3/31/28(22) | 800 | $ 781,000 | |
Olympus Water US Holding Corporation, Term Loan, 9.498%, (SOFR + 4.50%), 11/9/28 | 371 | 356,632 | |
Orion Engineered Carbons GmbH: | |||
Term Loan, 5.515%, (3 mo. EURIBOR + 2.50%), 9/24/28 | EUR | 1,000 | 1,074,333 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 9/24/28 | 369 | 362,564 | |
Rohm Holding GmbH: | |||
Term Loan, 7.442%, (6 mo. EURIBOR + 4.50%), 7/31/26 | EUR | 500 | 467,239 |
Term Loan, 10.102%, (6 mo. USD LIBOR + 5.00%), 7/31/26 | 923 | 782,620 | |
SCUR-Alpha 1503 GmbH, Term Loan, 3/30/30(22) | 925 | 832,500 | |
Starfruit Finco B.V., Term Loan, 7.526%, (SOFR + 2.75%), 10/1/25 | 2,241 | 2,227,611 | |
Tronox Finance, LLC, Term Loan, 7.078%, (USD LIBOR + 2.25%), 3/10/28(21) | 1,318 | 1,291,941 | |
W.R. Grace & Co.-Conn., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/22/28 | 1,111 | 1,105,152 | |
$ 25,368,223 | |||
Commercial Services & Supplies — 1.5% | |||
Allied Universal Holdco, LLC: | |||
Term Loan, 6.655%, (1 mo. EURIBOR + 3.75%), 5/12/28 | EUR | 985 | $ 1,006,141 |
Term Loan, 8.657%, (SOFR + 3.75%), 5/12/28 | 2,699 | 2,565,935 | |
Aramark Services, Inc., Term Loan, 6.59%, (1 mo. USD LIBOR + 1.75%), 3/11/25 | 933 | 931,264 | |
Asplundh Tree Expert, LLC, Term Loan, 6.59%, (1 mo. USD LIBOR + 1.75%), 9/7/27 | 1,097 | 1,092,591 | |
EnergySolutions, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/9/25 | 4,710 | 4,580,048 | |
Harsco Corporation, Term Loan, 7.172%, (SOFR + 2.25%), 3/10/28 | 393 | 378,385 | |
LABL, Inc., Term Loan, 9.84%, (1 mo. USD LIBOR + 5.00%), 10/29/28 | 716 | 694,410 | |
Monitronics International, Inc., Term Loan, 12.325%, (3 mo. USD LIBOR + 7.50%), 3/29/24 | 1,952 | 819,938 | |
PECF USS Intermediate Holding III Corporation, Term Loan, 9.09%, (1 mo. USD LIBOR + 4.25%), 12/15/28 | 642 | 543,187 | |
Phoenix Services International, LLC: | |||
DIP Loan, 14.759%, (SOFR + 12.00%), 5/29/23(21) | 101 | 96,696 | |
DIP Loan, 16.806%, (SOFR + 12.00%), 5/29/23 | 210 | 201,411 | |
Term Loan, 0.00%, 3/1/25(19) | 664 | 76,156 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Commercial Services & Supplies (continued) | |||
Prime Security Services Borrower, LLC, Term Loan, 7.517%, (3 mo. USD LIBOR + 2.75%), 9/23/26 | 1,513 | $ 1,510,350 | |
SITEL Group, Term Loan, 6.66%, (1 mo. EURIBOR + 3.75%), 8/28/28 | EUR | 500 | 524,966 |
SITEL Worldwide Corporation, Term Loan, 8.60%, (1 mo. USD LIBOR + 3.75%), 8/28/28 | 1,872 | 1,852,396 | |
Tempo Acquisition, LLC, Term Loan, 7.807%, (SOFR + 3.00%), 8/31/28 | 831 | 830,681 | |
$ 17,704,555 | |||
Communications Equipment — 0.2% | |||
CommScope, Inc., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 4/6/26 | 1,761 | $ 1,698,751 | |
Digi International, Inc., Term Loan, 9.84%, (1 mo. USD LIBOR + 5.00%), 11/1/28 | 378 | 377,180 | |
$ 2,075,931 | |||
Construction Materials — 0.4% | |||
Quikrete Holdings, Inc.: | |||
Term Loan, 7.465%, (1 mo. USD LIBOR + 2.625%), 2/1/27 | 2,907 | $ 2,862,637 | |
Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 3/18/29 | 2,153 | 2,132,256 | |
$ 4,994,893 | |||
Containers & Packaging — 0.8% | |||
Berlin Packaging, LLC, Term Loan, 8.445%, (USD LIBOR + 3.75%), 3/11/28(21) | 1,231 | $ 1,215,860 | |
Clydesdale Acquisition Holdings, Inc., Term Loan, 9.082%, (SOFR + 4.175%), 4/13/29 | 571 | 559,014 | |
Kouti B.V., Term Loan, 5.873%, (3 mo. EURIBOR + 3.175%), 8/31/28 | EUR | 2,000 | 2,040,894 |
Pregis TopCo Corporation, Term Loan, 8.672%, (SOFR + 3.75%), 7/31/26 | 629 | 615,249 | |
Pretium PKG Holdings, Inc.: | |||
Term Loan, 8.843%, (3 mo. USD LIBOR + 4.00%), 10/2/28 | 617 | 490,003 | |
Term Loan - Second Lien, 11.648%, (3 mo. USD LIBOR + 6.75%), 10/1/29 | 350 | 224,766 | |
Proampac PG Borrower, LLC, Term Loan, 8.429%, (3 mo. USD LIBOR + 3.75%), 11/3/25 | 565 | 554,770 | |
Reynolds Group Holdings, Inc.: | |||
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 2/5/26 | 1,228 | 1,224,945 | |
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 9/24/28 | 960 | 948,885 | |
Trident TPI Holdings, Inc.: | |||
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 10/17/24 | 807 | 802,026 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Containers & Packaging (continued) | |||
Trident TPI Holdings, Inc.: (continued) | |||
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 9/15/28 | 788 | $ 767,263 | |
$ 9,443,675 | |||
Distributors — 0.1% | |||
Autokiniton US Holdings, Inc., Term Loan, 9.422%, (SOFR + 4.50%), 4/6/28 | 516 | $ 502,015 | |
Phillips Feed Service, Inc., Term Loan, 11.779%, (1 mo. USD LIBOR + 7.00%), 11/13/24(11) | 106 | 85,022 | |
Winterfell Financing S.a.r.l., Term Loan, 5/4/28(22) | EUR | 500 | 526,999 |
$ 1,114,036 | |||
Diversified Consumer Services — 0.3% | |||
Ascend Learning, LLC, Term Loan, 8.407%, (SOFR + 3.50%), 12/11/28 | 642 | $ 595,472 | |
KUEHG Corp.: | |||
Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 2/21/25 | 2,219 | 2,184,769 | |
Term Loan - Second Lien, 13.409%, (3 mo. USD LIBOR + 8.25%), 8/22/25 | 425 | 414,375 | |
Sotheby's, Term Loan, 9.33%, (3 mo. USD LIBOR + 4.50%), 1/15/27 | 440 | 439,926 | |
$ 3,634,542 | |||
Diversified Financial Services — 0.2% | |||
Concorde Midco Ltd., Term Loan, 6.132%, (3 mo. EURIBOR + 4.00%), 3/1/28 | EUR | 1,000 | $ 1,047,898 |
Sandy BidCo B.V., Term Loan, 6.038%, (6 mo. EURIBOR + 4.00%), 8/17/29 | EUR | 1,000 | 1,055,354 |
Zephyr Bidco Limited, Term Loan, 8.709%, (SONIA + 4.782%), 7/23/25 | GBP | 775 | 891,507 |
$ 2,994,759 | |||
Diversified Telecommunication Services — 2.6% | |||
Altice France S.A., Term Loan, 10.17%, (SOFR + 5.50%), 8/15/28 | 1,076 | $ 1,025,247 | |
CenturyLink, Inc., Term Loan, 7.172%, (SOFR + 2.25%), 3/15/27 | 2,520 | 1,678,205 | |
eircom Finco S.a.r.l., Term Loan, 5.823%, (1 mo. EURIBOR + 3.25%), 5/15/26 | EUR | 1,786 | 1,910,051 |
GEE Holdings 2, LLC: | |||
Term Loan, 13.018%, (3 mo. USD LIBOR + 8.00%), 3/24/25 | 329 | 322,237 | |
Term Loan - Second Lien, 13.268%, (3 mo. USD LIBOR + 8.25%), 3/23/26 | 725 | 447,975 | |
Telenet International Finance S.a.r.l., Term Loan, 4.896%, (1 mo. EURIBOR + 2.25%), 4/30/29 | EUR | 1,750 | 1,832,279 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Diversified Telecommunication Services (continued) | |||
UPC Broadband Holding B.V.: | |||
Term Loan, 5.146%, (1 mo. EURIBOR + 2.50%), 4/30/29 | EUR | 1,500 | $ 1,579,981 |
Term Loan, 5.571%, (1 mo. EURIBOR + 2.925%), 1/31/29 | EUR | 3,000 | 3,184,363 |
Term Loan, 6.934%, (1 mo. USD LIBOR + 2.25%), 4/30/28 | 900 | 884,531 | |
UPC Financing Partnership, Term Loan, 7.609%, (1 mo. USD LIBOR + 2.925%), 1/31/29 | 3,025 | 2,984,919 | |
Virgin Media Bristol, LLC, Term Loan, 7.934%, (1 mo. USD LIBOR + 3.25%), 1/31/29 | 1,150 | 1,140,554 | |
Virgin Media Ireland Limited, Term Loan, 6.109%, (1 mo. EURIBOR + 3.4625%), 7/15/29 | EUR | 1,000 | 1,047,681 |
Virgin Media SFA Finance Limited: | |||
Term Loan, 5.146%, (1 mo. EURIBOR + 2.50%), 1/31/29 | EUR | 1,300 | 1,369,023 |
Term Loan, 7.21%, (SONIA + 3.25%), 11/15/27 | GBP | 1,500 | 1,744,773 |
Zayo Group Holdings, Inc.: | |||
Term Loan, 6.155%, (1 mo. EURIBOR + 3.25%), 3/9/27 | EUR | 970 | 876,748 |
Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 3/9/27 | 2,171 | 1,764,912 | |
Ziggo B.V., Term Loan, 6.102%, (6 mo. EURIBOR + 3.00%), 1/31/29 | EUR | 3,750 | 3,847,149 |
Ziggo Financing Partnership, Term Loan, 7.184%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 4,150 | 4,104,607 | |
$ 31,745,235 | |||
Electrical Equipment — 0.0%(10) | |||
AZZ, Inc., Term Loan, 9.157%, (SOFR + 4.25%), 5/13/29 | 357 | $ 356,774 | |
$ 356,774 | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
Chamberlain Group, Inc., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 11/3/28 | 1,531 | $ 1,473,227 | |
Creation Technologies, Inc., Term Loan, 10.282%, (3 mo. USD LIBOR + 5.50%), 10/5/28 | 968 | 841,888 | |
II-VI Incorporated, Term Loan, 7.672%, (SOFR + 2.75%), 7/2/29 | 956 | 948,546 | |
Minimax Viking GmbH, Term Loan, 5.655%, (1 mo. EURIBOR + 2.75%), 7/31/25 | EUR | 945 | 1,021,642 |
Mirion Technologies, Inc., Term Loan, 7.96%, (6 mo. USD LIBOR + 2.75%), 10/20/28 | 588 | 585,008 | |
Robertshaw US Holding Corp., Term Loan, 8.688%, (3 mo. USD LIBOR + 3.50%), 2/28/25 | 998 | 575,225 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Verifone Systems, Inc., Term Loan, 8.958%, (3 mo. USD LIBOR + 4.00%), 8/20/25 | 1,222 | $ 1,057,453 | |
Verisure Holding AB, Term Loan, 6.262%, (3 mo. EURIBOR + 3.25%), 3/27/28 | EUR | 1,000 | 1,044,340 |
$ 7,547,329 | |||
Energy Equipment & Services — 0.1% | |||
Ameriforge Group, Inc.: | |||
Term Loan, 16.101%, (1 mo. USD LIBOR + 13.00%), 2/1/26(23) | 108 | $ 53,654 | |
Term Loan, 18.159%, (3 mo. USD LIBOR + 13.00%), 13.159% cash, 5.00% PIK, 2/1/26 | 851 | 422,269 | |
Lealand Finance Company B.V., Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 5.84% cash, 3.00% PIK, 6/30/25 | 229 | 153,376 | |
$ 629,299 | |||
Engineering & Construction — 0.4% | |||
Aegion Corporation, Term Loan, 9.59%, (1 mo. USD LIBOR + 4.75%), 5/17/28 | 468 | $ 458,224 | |
Amentum Government Services Holdings, LLC: | |||
Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 1/29/27 | 997 | 978,122 | |
Term Loan, 8.906%, (SOFR + 4.00%), 2/15/29 | 744 | 729,953 | |
American Residential Services, LLC, Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/15/27 | 562 | 556,442 | |
APi Group DE, Inc., Term Loan, 7.34%, (1 mo. USD LIBOR + 2.50%), 10/1/26 | 1,305 | 1,303,662 | |
Northstar Group Services, Inc., Term Loan, 10.422%, (1 mo. USD LIBOR + 5.50%), 11/12/26 | 216 | 214,128 | |
$ 4,240,531 | |||
Entertainment — 1.1% | |||
AMC Entertainment Holdings, Inc., Term Loan, 7.684%, (1 mo. USD LIBOR + 3.00%), 4/22/26 | 1,800 | $ 1,306,876 | |
City Football Group Limited, Term Loan, 7.779%, (1 mo. USD LIBOR + 3.00%), 7/21/28 | 1,358 | 1,308,592 | |
Crown Finance US, Inc.: | |||
DIP Loan, 14.674%, (SOFR + 10.00%), 9/7/23(21) | 1,265 | 1,286,320 | |
Term Loan, 0.00%, 9/30/26(19) | 1,500 | 233,924 | |
EP Purchaser, LLC, Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 11/6/28 | 421 | 419,172 | |
Playtika Holding Corp., Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 3/13/28 | 2,170 | 2,158,965 | |
Renaissance Holding Corp.: | |||
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 4/5/30 | 2,628 | 2,561,040 | |
Term Loan, 9.234%, (SOFR + 4.50%), 4/1/27 | 174 | 173,427 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Entertainment (continued) | |||
Renaissance Holding Corp.: (continued) | |||
Term Loan - Second Lien, 11.84%, (1 mo. USD LIBOR + 7.00%), 5/29/26 | 200 | $ 194,000 | |
UFC Holdings, LLC, Term Loan, 7.57%, (3 mo. USD LIBOR + 2.75%), 4/29/26 | 2,760 | 2,746,682 | |
Vue International Bidco PLC: | |||
Term Loan, 10.846%, (3 mo. EURIBOR + 8.00%), 4.346% cash, 6.50% PIK, 12/31/27 | EUR | 807 | 494,559 |
Term Loan, 11.086%, (6 mo. EURIBOR + 8.00%), 6/30/27 | EUR | 121 | 116,295 |
$ 12,999,852 | |||
Equity Real Estate Investment Trusts (REITs) — 0.1% | |||
Iron Mountain, Inc., Term Loan, 6.59%, (1 mo. USD LIBOR + 1.75%), 1/2/26 | 879 | $ 874,356 | |
$ 874,356 | |||
Financial Services — 0.0%(10) | |||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/23(19) | 2,331 | $ 256,463 | |
$ 256,463 | |||
Food & Staples Retailing — 0.1% | |||
US Foods, Inc., Term Loan, 6.84%, (1 mo. USD LIBOR + 2.00%), 9/13/26 | 1,435 | $ 1,429,866 | |
$ 1,429,866 | |||
Food Products — 1.1% | |||
8th Avenue Food & Provisions, Inc., Term Loan, 9.59%, (1 mo. USD LIBOR + 4.75%), 10/1/25 | 591 | $ 527,837 | |
Badger Buyer Corp., Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 9/30/24 | 378 | 309,960 | |
CHG PPC Parent, LLC: | |||
Term Loan, 6.405%, (1 mo. EURIBOR + 3.50%), 3/31/25 | EUR | 2,000 | 2,117,486 |
Term Loan, 7.875%, (1 mo. USD LIBOR + 3.00%), 12/8/28 | 470 | 466,135 | |
Del Monte Foods, Inc., Term Loan, 9.109%, (SOFR + 4.25%), 5/16/29 | 449 | 438,326 | |
Froneri International, Ltd.: | |||
Term Loan, 5.067%, (6 mo. EURIBOR + 2.125%), 1/29/27 | EUR | 1,275 | 1,317,403 |
Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 1/29/27 | 2,140 | 2,111,727 | |
Monogram Food Solutions, LLC, Term Loan, 8.875%, (1 mo. USD LIBOR + 4.00%), 8/28/28 | 543 | 524,116 | |
Nomad Foods Europe Midco Limited, Term Loan, 5.318%, (6 mo. EURIBOR + 2.50%), 6/24/28 | EUR | 3,000 | 3,242,314 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Food Products (continued) | |||
Shearer's Foods, Inc., Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 9/23/27 | 390 | $ 382,344 | |
Sovos Brands Intermediate, Inc., Term Loan, 8.325%, (3 mo. USD LIBOR + 3.50%), 6/8/28 | 497 | 489,142 | |
United Petfood Group B.V., Term Loan, 5.501%, (3 mo. EURIBOR + 3.00%), 4/23/28 | EUR | 750 | 774,739 |
Valeo F1 Company Limited (Ireland), Term Loan, 7.239%, (6 mo. EURIBOR + 4.00%), 9/29/28 | EUR | 1,000 | 908,269 |
$ 13,609,798 | |||
Health Care Equipment & Supplies — 0.3% | |||
Artivion, Inc., Term Loan, 8.66%, (SOFR + 3.50%), 6/1/27 | 521 | $ 484,429 | |
Bayou Intermediate II, LLC, Term Loan, 9.296%, (3 mo. USD LIBOR + 4.50%), 8/2/28 | 741 | 711,000 | |
Journey Personal Care Corp., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 3/1/28 | 1,529 | 1,191,499 | |
Medline Borrower, L.P., Term Loan, 6.405%, (1 mo. EURIBOR + 3.50%), 10/23/28 | EUR | 1,000 | 1,055,218 |
$ 3,442,146 | |||
Health Care Providers & Services — 2.9% | |||
AEA International Holdings (Lux) S.a.r.l., Term Loan, 8.938%, (3 mo. USD LIBOR + 3.75%), 9/7/28 | 1,062 | $ 1,057,582 | |
Biogroup-LCD, Term Loan, 5.602%, (3 mo. EURIBOR + 3.00%), 2/9/28 | EUR | 750 | 745,466 |
BW NHHC Holdco, Inc., Term Loan - Second Lien, 12.876%, (SOFR + 8.00%), 1/15/26 | 3,705 | 2,667,428 | |
CCRR Parent, Inc., Term Loan, 8.60%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 515 | 504,572 | |
Cerba Healthcare S.A.S., Term Loan, 6.155%, (1 mo. EURIBOR + 3.25%), 6/30/28 | EUR | 1,250 | 1,237,250 |
CHG Healthcare Services, Inc., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 9/29/28 | 1,084 | 1,073,935 | |
CNT Holdings I Corp., Term Loan, 8.125%, (SOFR + 3.50%), 11/8/27 | 686 | 675,367 | |
Covis Finco S.a.r.l., Term Loan, 11.548%, (SOFR + 6.50%), 2/18/27 | 903 | 516,681 | |
Dedalus Finance GmbH, Term Loan, 5.782%, (6 mo. EURIBOR + 3.75%), 7/17/27 | EUR | 500 | ���476,276 |
Electron BidCo, Inc., Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 11/1/28 | 792 | 782,298 | |
Elsan S.A.S., Term Loan, 6.103%, (3 mo. EURIBOR + 3.35%), 6/16/28 | EUR | 1,500 | 1,556,935 |
Ensemble RCM, LLC, Term Loan, 8.526%, (SOFR + 3.75%), 8/3/26 | 1,313 | 1,313,237 | |
Envision Healthcare Corporation: | |||
Term Loan, 12.923%, (SOFR + 7.875%), 3/31/27 | 1,023 | 895,464 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Providers & Services (continued) | |||
Envision Healthcare Corporation: (continued) | |||
Term Loan - Second Lien, 9.148%, (SOFR + 4.25%), 3/31/27 | 7,224 | $ 2,004,531 | |
IVC Acquisition, Ltd., Term Loan, 7.703%, (SONIA + 4.50%), 2/13/26 | GBP | 1,000 | 1,149,304 |
LSCS Holdings, Inc., Term Loan, 9.34%, (1 mo. USD LIBOR + 4.50%), 12/16/28 | 716 | 687,300 | |
Medical Solutions Holdings, Inc., Term Loan, 8.24%, (SOFR + 3.25%), 11/1/28 | 1,461 | 1,421,200 | |
Mehilainen Yhtiot Oy, Term Loan, 6.54%, (3 mo. EURIBOR + 3.525%), 8/8/25 | EUR | 1,000 | 1,046,090 |
Midwest Physician Administrative Services, LLC, Term Loan, 8.409%, (3 mo. USD LIBOR + 3.25%), 3/12/28 | 466 | 438,007 | |
National Mentor Holdings, Inc.: | |||
Term Loan, 8.676%, (SOFR + 3.75%), 3/2/28(21) | 2,041 | 1,575,671 | |
Term Loan, 8.748%, (SOFR + 3.75%), 3/2/28 | 58 | 45,015 | |
Option Care Health, Inc., Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 420 | 418,533 | |
Pacific Dental Services, LLC, Term Loan, 8.279%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 491 | 488,333 | |
Pediatric Associates Holding Company, LLC: | |||
Term Loan, 7.36%, 12/29/28(23) | 72 | 70,573 | |
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 12/29/28 | 473 | 463,842 | |
PetVet Care Centers, LLC, Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 2/14/25 | 148 | 143,550 | |
Phoenix Guarantor, Inc.: | |||
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 3/5/26 | 1,877 | 1,832,023 | |
Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 3/5/26 | 1,297 | 1,265,940 | |
Radiology Partners, Inc., Term Loan, 9.09%, (1 mo. USD LIBOR + 4.25%), 7/9/25 | 1,197 | 970,380 | |
Radnet Management, Inc., Term Loan, 7.922%, (1 mo. USD LIBOR + 3.00%), 4/21/28 | 1,007 | 1,002,782 | |
Ramsay Generale de Sante S.A., Term Loan, 5.443%, (3 mo. EURIBOR + 3.05%), 4/22/27 | EUR | 500 | 539,539 |
Select Medical Corporation, Term Loan, 7.35%, (1 mo. USD LIBOR + 2.50%), 3/6/25 | 2,968 | 2,962,087 | |
Sound Inpatient Physicians, Term Loan, 7.825%, (3 mo. USD LIBOR + 3.00%), 6/27/25 | 476 | 376,833 | |
Surgery Center Holdings, Inc., Term Loan, 8.46%, (1 mo. USD LIBOR + 3.75%), 8/31/26 | 943 | 938,202 | |
Synlab Bondco PLC, Term Loan, 5.193%, (6 mo. EURIBOR + 2.50%), 7/1/27 | EUR | 500 | 536,488 |
U.S. Anesthesia Partners, Inc., Term Loan, 8.912%, (1 mo. USD LIBOR + 4.25%), 10/1/28 | 1,501 | 1,449,431 | |
$ 35,328,145 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Health Care Technology — 0.6% | |||
Bracket Intermediate Holding Corp., Term Loan, 9.038%, (3 mo. USD LIBOR + 4.25%), 9/5/25 | 907 | $ 895,342 | |
GHX Ultimate Parent Corporation, Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 6/28/24 | 921 | 917,056 | |
Imprivata, Inc., Term Loan, 9.057%, (SOFR + 4.25%), 12/1/27 | 223 | 219,614 | |
MedAssets Software Intermediate Holdings, Inc., Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 12/18/28 | 1,089 | 1,020,938 | |
Navicure, Inc., Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 10/22/26 | 1,654 | 1,649,075 | |
Project Ruby Ultimate Parent Corp., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 3/10/28 | 1,029 | 994,592 | |
Verscend Holding Corp., Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 2,196 | 2,196,515 | |
$ 7,893,132 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Bally's Corporation, Term Loan, 7.959%, (1 mo. USD LIBOR + 3.25%), 10/2/28 | 1,160 | $ 1,111,289 | |
Carnival Corporation: | |||
Term Loan, 6.655%, (1 mo. EURIBOR + 3.75%), 6/30/25 | EUR | 1,474 | 1,578,039 |
Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 6/30/25 | 1,264 | 1,250,343 | |
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 10/18/28 | 2,666 | 2,611,259 | |
ClubCorp Holdings, Inc., Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 9/18/24 | 1,890 | 1,811,448 | |
Dave & Buster's, Inc., Term Loan, 9.938%, (SOFR + 5.00%), 6/29/29 | 746 | 747,369 | |
Fertitta Entertainment, LLC, Term Loan, 8.807%, (SOFR + 4.00%), 1/27/29 | 4,170 | 4,114,452 | |
Four Seasons Hotels Limited, Term Loan, 8.157%, (SOFR + 3.25%), 11/30/29 | 1,019 | 1,020,192 | |
GVC Holdings (Gibraltar) Limited, Term Loan, 5.942%, (3 mo. EURIBOR + 3.75%), 6/30/28 | EUR | 1,804 | 1,956,167 |
Hilton Grand Vacations Borrower, LLC, Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 8/2/28 | 911 | 911,125 | |
IRB Holding Corp., Term Loan, 7.83%, (SOFR + 3.00%), 12/15/27 | 298 | 292,936 | |
Oravel Stays Singapore Pte, Ltd., Term Loan, 13.27%, (3 mo. USD LIBOR + 8.25%), 6/23/26 | 540 | 468,775 | |
Playa Resorts Holding B.V., Term Loan, 8.993%, (SOFR + 4.25%), 1/5/29 | 1,322 | 1,315,699 | |
Scientific Games Holdings, L.P., Term Loan, 6.172%, (3 mo. EURIBOR + 4.00%), 4/4/29 | EUR | 1,000 | 1,058,065 |
SeaWorld Parks & Entertainment, Inc., Term Loan, 7.875%, (1 mo. USD LIBOR + 3.00%), 8/25/28 | 887 | 884,284 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
SMG US Midco 2, Inc., Term Loan, 7.325%, (3 mo. USD LIBOR + 2.50%), 1/23/25 | 238 | $ 235,934 | |
Stars Group Holdings B.V. (The), Term Loan, 7.409%, (3 mo. USD LIBOR + 2.25%), 7/21/26 | 2,241 | 2,242,276 | |
$ 23,609,652 | |||
Household Durables — 1.5% | |||
ACProducts, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 5/17/28 | 1,744 | $ 1,394,060 | |
Libbey Glass, Inc., Term Loan, 13.461%, (SOFR + 8.50%), 8.711% cash, 4.75% PIK, 11/22/27 | 9,472 | 8,856,043 | |
Serta Simmons Bedding, LLC: | |||
Term Loan, 0.00%, 8/10/23(19) | 2,430 | 2,387,180 | |
Term Loan - Second Lien, 0.00%, 8/10/23(19) | 8,032 | 4,620,951 | |
Solis IV B.V., Term Loan, 6.67%, (3 mo. EURIBOR + 4.00%), 2/26/29 | EUR | 1,000 | 1,004,970 |
$ 18,263,204 | |||
Household Products — 0.1% | |||
Kronos Acquisition Holdings, Inc., Term Loan, 11.023%, (SOFR + 6.00%), 12/22/26 | 395 | $ 384,137 | |
Nobel Bidco B.V., Term Loan, 5.942%, (6 mo. EURIBOR + 3.50%), 9/1/28 | EUR | 1,000 | 906,461 |
$ 1,290,598 | |||
Industrial Conglomerates — 0.1% | |||
Rain Carbon GmbH, Term Loan, 5.628%, (6 mo. EURIBOR + 2.75%), 1/16/25 | EUR | 1,025 | $ 1,079,654 |
$ 1,079,654 | |||
Insurance — 1.9% | |||
Alliant Holdings Intermediate, LLC, Term Loan, 8.347%, (SOFR + 3.50%), 11/5/27 | 1,513 | $ 1,498,196 | |
AmWINS Group, Inc.: | |||
Term Loan, 7.109%, (1 mo. USD LIBOR + 2.25%), 2/19/28 | 3,788 | 3,748,659 | |
Term Loan, 7.657%, (SOFR + 2.75%), 2/19/28 | 673 | 664,265 | |
AssuredPartners, Inc., Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 2/12/27 | 169 | 167,919 | |
Financiere CEP S.A.S., Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 6/18/27 | EUR | 750 | 792,532 |
Hub International Limited: | |||
Term Loan, 7.818%, (3 mo. USD LIBOR + 3.00%), 4/25/25 | 4,953 | 4,944,837 | |
Term Loan, 8.058%, (3 mo. USD LIBOR + 3.25%), 4/25/25 | 1,814 | 1,813,067 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Insurance (continued) | |||
NFP Corp., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 2/15/27 | 3,091 | $ 3,022,070 | |
Ryan Specialty Group, LLC, Term Loan, 7.907%, (SOFR + 3.00%), 9/1/27 | 1,682 | 1,682,576 | |
USI, Inc.: | |||
Term Loan, 8.409%, (3 mo. USD LIBOR + 3.25%), 12/2/26 | 1,379 | 1,380,118 | |
Term Loan, 8.648%, (SOFR + 3.75%), 11/22/29 | 3,072 | 3,068,223 | |
$ 22,782,462 | |||
Interactive Media & Services — 0.4% | |||
Adevinta ASA: | |||
Term Loan, 6.015%, (3 mo. EURIBOR + 3.00%), 6/26/28 | EUR | 1,456 | $ 1,568,026 |
Term Loan, 7.909%, (3 mo. USD LIBOR + 2.75%), 6/26/28 | 295 | 293,276 | |
Buzz Finco, LLC: | |||
Term Loan, 7.609%, (1 mo. USD LIBOR + 2.75%), 1/29/27 | 558 | 554,961 | |
Term Loan, 8.109%, (1 mo. USD LIBOR + 3.25%), 1/29/27 | 60 | 60,239 | |
Foundational Education Group, Inc., Term Loan, 8.91%, (SOFR + 3.75%), 8/31/28 | 543 | 491,528 | |
Getty Images, Inc., Term Loan, 9.493%, (SOFR + 4.50%), 2/19/26(21) | 724 | 724,911 | |
Match Group, Inc., Term Loan, 6.713%, (3 mo. USD LIBOR + 1.75%), 2/13/27 | 675 | 672,047 | |
$ 4,364,988 | |||
IT Services — 1.7% | |||
Asurion, LLC: | |||
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 3,089 | $ 2,880,399 | |
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 7/31/27 | 1,088 | 1,000,776 | |
Term Loan, 8.907%, (SOFR + 4.00%), 8/19/28 | 1,010 | 931,047 | |
Term Loan - Second Lien, 10.09%, (1 mo. USD LIBOR + 5.25%), 1/31/28 | 1,350 | 1,131,891 | |
Cyxtera DC Holdings, Inc., Term Loan, 7.82%, (3 mo. USD LIBOR + 3.00%), 5/1/24 | 895 | 731,074 | |
Endure Digital, Inc., Term Loan, 8.219%, (1 mo. USD LIBOR + 3.50%), 2/10/28 | 2,751 | 2,565,308 | |
Gainwell Acquisition Corp., Term Loan, 8.998%, (SOFR + 4.00%), 10/1/27 | 3,080 | 2,935,608 | |
Indy US Bidco, LLC, Term Loan, 6.655%, (1 mo. EURIBOR + 3.75%), 3/6/28 | EUR | 735 | 681,180 |
Informatica, LLC, Term Loan, 7.625%, (1 mo. USD LIBOR + 2.75%), 10/27/28 | 2,648 | 2,633,904 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
IT Services (continued) | |||
NAB Holdings, LLC, Term Loan, 8.048%, (SOFR + 3.00%), 11/23/28 | 1,111 | $ 1,094,620 | |
Rackspace Technology Global, Inc., Term Loan, 7.595%, (3 mo. USD LIBOR + 2.75%), 2/15/28 | 1,323 | 714,420 | |
Sedgwick Claims Management Services, Inc., Term Loan, 8.557%, (SOFR + 3.75%), 2/17/28 | 1,224 | 1,211,250 | |
Skopima Merger Sub, Inc., Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 5/12/28 | 1,478 | 1,381,463 | |
team.blue Finco S.a.r.l., Term Loan, 6.715%, (3 mo. EURIBOR + 3.70%), 3/30/28 | EUR | 1,000 | 1,034,794 |
$ 20,927,734 | |||
Leisure Products — 0.2% | |||
Accell Group N.V., Term Loan, 7.527%, (6 mo. EURIBOR + 4.50%), 6/14/29 | EUR | 500 | $ 508,133 |
Amer Sports Oyj, Term Loan, 6.992%, (3 mo. EURIBOR + 4.50%), 3/30/26 | EUR | 1,550 | 1,642,943 |
Fender Musical Instruments Corporation, Term Loan, 8.843%, (SOFR + 4.00%), 12/1/28 | 321 | 293,087 | |
Topgolf Callaway Brands Corp., Term Loan, 8.26%, (SOFR + 3.50%), 3/15/30 | 525 | 522,594 | |
$ 2,966,757 | |||
Life Sciences Tools & Services — 0.5% | |||
Avantor Funding, Inc., Term Loan, 5.402%, (1 mo. EURIBOR + 2.50%), 6/12/28 | EUR | 983 | $ 1,059,749 |
Catalent Pharma Solutions, Inc., Term Loan, 6.813%, (1 mo. USD LIBOR + 2.00%), 2/22/28 | 818 | 813,052 | |
Curia Global, Inc., Term Loan, 8.526%, (SOFR + 3.75%), 8/30/26 | 244 | 209,876 | |
IQVIA, Inc., Term Loan, 6.59%, (1 mo. USD LIBOR + 1.75%), 1/17/25 | 1,363 | 1,363,956 | |
LGC Group Holdings, Ltd., Term Loan, 5.655%, (1 mo. EURIBOR + 2.75%), 4/21/27 | EUR | 1,000 | 1,022,819 |
Loire Finco Luxembourg S.a.r.l., Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 4/21/27 | 340 | 329,428 | |
Packaging Coordinators Midco, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 11/30/27 | 1,349 | 1,322,214 | |
$ 6,121,094 | |||
Machinery — 2.5% | |||
AI Alpine AT Bidco GmbH, Term Loan, 4.731%, (6 mo. EURIBOR + 3.00%), 10/31/25 | EUR | 750 | $ 783,213 |
Albion Financing 3 S.a.r.l.: | |||
Term Loan, 10.065%, (3 mo. USD LIBOR + 5.25%), 8/17/26 | 1,531 | 1,486,620 | |
Term Loan, 10.347%, (SOFR + 5.50%), 8/17/26 | 300 | 294,000 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Machinery (continued) | |||
Alliance Laundry Systems, LLC, Term Loan, 8.306%, (3 mo. USD LIBOR + 3.50%), 10/8/27 | 1,063 | $ 1,056,596 | |
American Trailer World Corp., Term Loan, 8.657%, (SOFR + 3.75%), 3/3/28 | 612 | 533,162 | |
Apex Tool Group, LLC, Term Loan, 10.093%, (SOFR + 5.25%), 2/8/29 | 3,337 | 2,955,030 | |
Conair Holdings, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 5/17/28 | 1,527 | 1,354,991 | |
CPM Holdings, Inc., Term Loan, 8.162%, (1 mo. USD LIBOR + 3.50%), 11/17/25 | 311 | 310,796 | |
Delachaux Group S.A., Term Loan, 9.325%, (3 mo. USD LIBOR + 4.50%), 4/16/26 | 444 | 426,360 | |
Engineered Machinery Holdings, Inc.: | |||
Term Loan, 6.765%, (3 mo. EURIBOR + 3.75%), 5/21/28 | EUR | 985 | 1,033,515 |
Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 5/19/28 | 2,336 | 2,309,178 | |
Filtration Group Corporation: | |||
Term Loan, 6.405%, (1 mo. EURIBOR + 3.50%), 3/29/25 | EUR | 1,347 | 1,453,222 |
Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 10/21/28 | 739 | 729,977 | |
Gates Global, LLC, Term Loan, 7.407%, (SOFR + 2.50%), 3/31/27 | 3,929 | 3,915,263 | |
Icebox Holdco III, Inc., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 12/22/28 | 842 | 804,328 | |
Illuminate Buyer, LLC, Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 6/30/27 | 744 | 731,391 | |
Penn Engineering & Manufacturing Corp., Term Loan, 5.155%, (1 mo. EURIBOR + 2.25%), 6/27/24 | EUR | 1,131 | 1,213,777 |
Roper Industrial Products Investment Company, LLC: | |||
Term Loan, 8.015%, (3 mo. EURIBOR + 5.25%), 11/22/29 | EUR | 500 | 516,832 |
Term Loan, 9.398%, (SOFR + 4.50%), 11/22/29 | 600 | 596,400 | |
SPX Flow, Inc., Term Loan, 9.407%, (SOFR + 4.50%), 4/5/29 | 1,176 | 1,127,881 | |
Titan Acquisition Limited, Term Loan, 8.151%, (6 mo. USD LIBOR + 3.00%), 3/28/25 | 3,016 | 2,868,573 | |
TK Elevator Topco GmbH, Term Loan, 6.567%, (6 mo. EURIBOR + 3.625%), 7/30/27 | EUR | 1,000 | 1,047,446 |
Vertical US Newco, Inc., Term Loan, 8.602%, (6 mo. USD LIBOR + 3.50%), 7/30/27 | 1,198 | 1,169,908 | |
Zephyr German BidCo GmbH, Term Loan, 6.645%, (3 mo. EURIBOR + 3.60%), 3/10/28 | EUR | 1,500 | 1,508,810 |
$ 30,227,269 | |||
Media — 1.2% | |||
Axel Springer SE, Term Loan, 7.50%, (3 mo. EURIBOR + 4.75%), 12/18/26 | EUR | 1,000 | $ 1,060,551 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Media (continued) | |||
Diamond Sports Group, LLC: | |||
Term Loan, 13.064%, (SOFR + 8.10%), 5/25/26 | 506 | $ 474,808 | |
Term Loan - Second Lien, 8.025%, (SOFR + 3.25%), 8/24/26 | 3,000 | 200,247 | |
Gray Television, Inc.: | |||
Term Loan, 7.358%, (SOFR + 2.50%), 1/2/26 | 637 | 628,470 | |
Term Loan, 7.662%, (1 mo. USD LIBOR + 3.00%), 12/1/28 | 938 | 913,304 | |
Hubbard Radio, LLC, Term Loan, 9.10%, (1 mo. USD LIBOR + 4.25%), 3/28/25 | 635 | 557,332 | |
iHeartCommunications, Inc., Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 5/1/26 | 444 | 394,296 | |
Magnite, Inc., Term Loan, 9.909%, (USD LIBOR + 5.00%), 4/28/28(21) | 639 | 612,282 | |
MJH Healthcare Holdings, LLC, Term Loan, 8.407%, (SOFR + 3.50%), 1/28/29 | 272 | 266,465 | |
Nexstar Broadcasting, Inc., Term Loan, 7.34%, (1 mo. USD LIBOR + 2.50%), 9/18/26 | 267 | 266,731 | |
Recorded Books, Inc., Term Loan, 8.792%, (SOFR + 4.00%), 8/29/25 | 1,660 | 1,656,080 | |
Sinclair Television Group, Inc.: | |||
Term Loan, 7.35%, (1 mo. USD LIBOR + 2.50%), 9/30/26 | 627 | 577,070 | |
Term Loan, 7.85%, (1 mo. USD LIBOR + 3.00%), 4/1/28 | 405 | 367,901 | |
Univision Communications, Inc., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 3/15/26 | 6,803 | 6,780,985 | |
$ 14,756,522 | |||
Metals/Mining — 0.2% | |||
American Consolidated Natural Resources, Inc., Term Loan, 20.822%, (1 mo. USD LIBOR + 16.00%), 17.822% cash, 3.00% PIK,, 9/16/25 | 45 | $ 44,997 | |
Dynacast International, LLC: | |||
Term Loan, 9.458%, (3 mo. USD LIBOR + 4.50%), 7/22/25 | 1,048 | 958,633 | |
Term Loan, 13.958%, (3 mo. USD LIBOR + 9.00%), 10/22/25 | 404 | 305,315 | |
WireCo WorldGroup, Inc., Term Loan, 9.063%, (1 mo. USD LIBOR + 4.25%), 11/13/28 | 467 | 463,426 | |
Zekelman Industries, Inc., Term Loan, 7.018%, (3 mo. USD LIBOR + 2.00%), 1/24/27 | 1,104 | 1,093,896 | |
$ 2,866,267 | |||
Oil, Gas & Consumable Fuels — 0.7% | |||
Buckeye Partners, L.P., Term Loan, 7.09%, (1 mo. USD LIBOR + 2.25%), 11/1/26 | 2,685 | $ 2,683,433 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Centurion Pipeline Company, LLC: | |||
Term Loan, 7.754%, (1 mo. USD LIBOR + 4.00%), 9/28/25 | 222 | $ 222,604 | |
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 9/29/25 | 266 | 266,561 | |
Freeport LNG Investments, LLP, Term Loan, 8.308%, (3 mo. USD LIBOR + 3.50%), 12/21/28 | 663 | 643,859 | |
Matador Bidco S.a.r.l., Term Loan, 9.407%, (1 mo. USD LIBOR + 4.50%), 10/15/26 | 1,695 | 1,686,060 | |
Oryx Midstream Services Permian Basin, LLC, Term Loan, 8.063%, (SOFR + 3.25%), 10/5/28 | 1,031 | 1,016,448 | |
Oxbow Carbon, LLC, Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 10/17/25 | 306 | 306,378 | |
QuarterNorth Energy Holding, Inc., Term Loan - Second Lien, 12.84%, (1 mo. USD LIBOR + 8.00%), 8/27/26 | 782 | 779,856 | |
UGI Energy Services, LLC, Term Loan, 8.157%, (SOFR + 3.25%), 2/22/30 | 1,484 | 1,470,675 | |
$ 9,075,874 | |||
Personal Products — 0.2% | |||
HLF Financing S.a.r.l., Term Loan, 7.34%, (1 mo. USD LIBOR + 2.50%), 8/18/25 | 963 | $ 955,522 | |
Rainbow Finco S.a.r.l., Term Loan, 6.697%, (6 mo. EURIBOR + 3.50%), 2/23/29 | EUR | 1,000 | 1,030,275 |
Sunshine Luxembourg VII S.a.r.l., Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 10/1/26 | 196 | 194,372 | |
$ 2,180,169 | |||
Pharmaceuticals — 1.3% | |||
Aenova Holding GmbH, Term Loan, 7.332%, (6 mo. EURIBOR + 4.50%), 3/6/26 | EUR | 1,000 | $ 1,017,622 |
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 6.155%, (1 mo. EURIBOR + 3.25%), 9/29/25 | EUR | 1,000 | 1,054,676 |
Akorn, Inc., Term Loan, 12.254%, (3 mo. USD LIBOR + 7.50%), 10/1/25 | 180 | 44,975 | |
Amneal Pharmaceuticals, LLC, Term Loan, 8.375%, (1 mo. USD LIBOR + 3.50%), 5/4/25 | 1,781 | 1,696,073 | |
Bausch Health Companies, Inc., Term Loan, 10.093%, (SOFR + 5.25%), 2/1/27 | 3,017 | 2,257,482 | |
Horizon Therapeutics USA, Inc.: | |||
Term Loan, 6.563%, (1 mo. USD LIBOR + 1.75%), 3/15/28 | 1,911 | 1,909,123 | |
Term Loan, 6.813%, (1 mo. USD LIBOR + 2.00%), 5/22/26 | 654 | 653,687 | |
Jazz Financing Lux S.a.r.l., Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | 1,439 | 1,435,557 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Pharmaceuticals (continued) | |||
Mallinckrodt International Finance S.A.: | |||
Term Loan, 9.978%, (1 mo. USD LIBOR + 5.25%), 9/30/27 | 3,318 | $ 2,429,926 | |
Term Loan, 10.228%, (1 mo. USD LIBOR + 5.50%), 9/30/27 | 1,902 | 1,387,921 | |
PharmaZell GmbH, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 5/12/27 | EUR | 1,000 | 1,059,195 |
Recipharm AB, Term Loan, 5.882%, (3 mo. EURIBOR + 3.20%), 2/17/28 | EUR | 1,000 | 1,013,747 |
$ 15,959,984 | |||
Professional Services — 1.6% | |||
AlixPartners, LLP: | |||
Term Loan, 6.24%, (3 mo. EURIBOR + 3.25%), 2/4/28 | EUR | 980 | $ 1,039,340 |
Term Loan, 7.609%, (1 mo. USD LIBOR + 2.75%), 2/4/28 | 1,397 | 1,393,632 | |
APFS Staffing Holdings, Inc., Term Loan, 8.705%, (SOFR + 4.00%), 12/29/28(21) | 272 | 269,527 | |
Apleona Holding GmbH, Term Loan, 5.692%, (3 mo. EURIBOR + 3.20%), 4/28/28 | EUR | 1,000 | 1,037,731 |
Camelot U.S. Acquisition, LLC: | |||
Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 10/30/26 | 1,526 | 1,521,995 | |
Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 10/30/26 | 896 | 894,870 | |
CoreLogic, Inc., Term Loan, 8.375%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 3,881 | 3,320,744 | |
Corporation Service Company, Term Loan, 8.157%, (SOFR + 3.25%), 11/2/29 | 335 | 334,915 | |
Deerfield Dakota Holding, LLC, Term Loan, 8.557%, (SOFR + 3.75%), 4/9/27 | 2,069 | 2,008,809 | |
Employbridge Holding Company, Term Loan, 9.497%, (3 mo. USD LIBOR + 4.75%), 7/19/28 | 2,338 | 1,954,019 | |
First Advantage Holdings, LLC, Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 1/31/27 | 606 | 603,993 | |
Neptune Bidco U.S., Inc., Term Loan, 9.735%, (SOFR + 5.00%), 4/11/29 | 1,900 | 1,691,000 | |
Rockwood Service Corporation, Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 1/23/27 | 596 | 594,294 | |
Techem Verwaltungsgesellschaft 675 mbH, Term Loan, 5.107%, (6 mo. EURIBOR + 2.375%), 7/15/25 | EUR | 826 | 875,723 |
Trans Union, LLC, Term Loan, 7.09%, (1 mo. USD LIBOR + 2.25%), 12/1/28 | 1,578 | 1,570,731 | |
Vaco Holdings, LLC, Term Loan, 10.048%, (SOFR + 5.00%), 1/21/29 | 272 | 268,621 | |
$ 19,379,944 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Real Estate Management & Development — 0.4% | |||
Cushman & Wakefield U.S. Borrower, LLC: | |||
Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | 2,382 | $ 2,319,453 | |
Term Loan, 8.157%, (SOFR + 3.25%), 1/31/30 | 3,005 | 2,929,412 | |
$ 5,248,865 | |||
Road & Rail — 0.6% | |||
Grab Holdings, Inc., Term Loan, 9.35%, (1 mo. USD LIBOR + 4.50%), 1/29/26 | 966 | $ 967,120 | |
Hertz Corporation (The): | |||
Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 198 | 197,394 | |
Term Loan, 8.10%, (1 mo. USD LIBOR + 3.25%), 6/30/28 | 1,033 | 1,029,068 | |
Kenan Advantage Group, Inc., Term Loan, 8.59%, (1 mo. USD LIBOR + 3.75%), 3/24/26 | 2,199 | 2,184,804 | |
Uber Technologies, Inc., Term Loan, 7.87%, (SOFR + 2.75%), 2/28/30 | 2,408 | 2,406,116 | |
$ 6,784,502 | |||
Semiconductors & Semiconductor Equipment — 0.3% | |||
Altar Bidco, Inc., Term Loan, 6.608%, (SOFR + 3.10%), 2/1/29 | 1,265 | $ 1,210,469 | |
Bright Bidco B.V., Term Loan, 13.676%, (SOFR + 9.00%), 5.676% cash, 8.00% PIK, 10/31/27 | 333 | 295,595 | |
MACOM Technology Solutions Holdings, Inc., Term Loan, 7.09%, (1 mo. USD LIBOR + 2.25%), 5/17/24 | 264 | 262,724 | |
MaxLinear, Inc., Term Loan, 7.09%, (1 mo. USD LIBOR + 2.25%), 6/23/28 | 286 | 284,286 | |
MKS Instruments, Inc., Term Loan, 5.822%, (1 mo. EURIBOR + 3.00%), 8/17/29 | EUR | 995 | 1,064,915 |
Synaptics Incorporated, Term Loan, 7.399%, (6 mo. USD LIBOR + 2.25%), 12/2/28 | 394 | 391,599 | |
Ultra Clean Holdings, Inc., Term Loan, 8.59%, (1 mo. USD LIBOR + 3.75%), 8/27/25 | 579 | 580,142 | |
$ 4,089,730 | |||
Software — 6.5% | |||
Applied Systems, Inc., Term Loan, 9.398%, (SOFR + 4.50%), 9/18/26 | 4,493 | $ 4,492,113 | |
AppLovin Corporation, Term Loan, 8.157%, (SOFR + 3.35%), 8/15/25 | 1,587 | 1,580,361 | |
Aptean, Inc.: | |||
Term Loan, 9.157%, (SOFR + 4.25%), 4/23/26 | 820 | 786,600 | |
Term Loan - Second Lien, 11.807%, (1 mo. USD LIBOR + 7.00%), 4/23/27 | 1,450 | 1,353,937 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Astra Acquisition Corp.: | |||
Term Loan, 10.09%, (1 mo. USD LIBOR + 5.25%), 10/25/28 | 1,069 | $ 921,697 | |
Term Loan - Second Lien, 13.734%, (1 mo. USD LIBOR + 8.875%), 10/25/29 | 1,650 | 1,369,171 | |
Banff Merger Sub, Inc.: | |||
Term Loan, 6.905%, (1 mo. EURIBOR + 4.00%), 10/2/25 | EUR | 485 | 512,203 |
Term Loan, 8.59%, (1 mo. USD LIBOR + 3.75%), 10/2/25 | 2,697 | 2,665,214 | |
Term Loan - Second Lien, 10.34%, (1 mo. USD LIBOR + 5.50%), 2/27/26 | 900 | 875,089 | |
CDK Global, Inc., Term Loan, 9.148%, (SOFR + 4.25%), 7/6/29 | 2,269 | 2,266,678 | |
CentralSquare Technologies, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 8/29/25 | 862 | 760,064 | |
Ceridian HCM Holding, Inc., Term Loan, 7.34%, (1 mo. USD LIBOR + 2.50%), 4/30/25 | 1,480 | 1,478,092 | |
Cloudera, Inc.: | |||
Term Loan, 8.657%, (SOFR + 3.75%), 10/8/28 | 2,772 | 2,619,540 | |
Term Loan - Second Lien, 10.907%, (SOFR + 6.00%), 10/8/29 | 775 | 689,750 | |
Constant Contact, Inc., Term Loan, 8.806%, (3 mo. USD LIBOR + 4.00%), 2/10/28 | 1,726 | 1,634,533 | |
Cornerstone OnDemand, Inc., Term Loan, 8.59%, (1 mo. USD LIBOR + 3.75%), 10/16/28 | 1,337 | 1,237,933 | |
Delta TopCo, Inc.: | |||
Term Loan, 8.656%, (SOFR + 3.75%), 12/1/27 | 1,376 | 1,278,641 | |
Term Loan - Second Lien, 12.156%, (SOFR + 7.25%), 12/1/28 | 1,950 | 1,675,376 | |
ECI Macola Max Holding, LLC, Term Loan, 8.909%, (3 mo. USD LIBOR + 3.75%), 11/9/27 | 1,272 | 1,255,957 | |
Epicor Software Corporation, Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 7/30/27 | 774 | 762,563 | |
Finastra USA, Inc., Term Loan, 8.325%, (3 mo. USD LIBOR + 3.50%), 6/13/24 | 2,950 | 2,776,167 | |
Fiserv Investment Solutions, Inc., Term Loan, 8.756%, (1 mo. USD LIBOR + 4.00%), 2/18/27 | 511 | 490,140 | |
GoTo Group, Inc., Term Loan, 9.59%, (1 mo. USD LIBOR + 4.75%), 8/31/27 | 1,784 | 1,032,773 | |
Greeneden U.S. Holdings II, LLC: | |||
Term Loan, 6.742%, (3 mo. EURIBOR + 4.25%), 12/1/27 | EUR | 735 | 786,396 |
Term Loan, 8.84%, (1 mo. USD LIBOR + 4.00%), 12/1/27 | 809 | 799,404 | |
Hyland Software, Inc., Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | 7,569 | 7,480,532 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
IGT Holding IV AB, Term Loan, 6.415%, (3 mo. EURIBOR + 3.40%), 3/31/28 | EUR | 1,000 | $ 1,047,446 |
Ivanti Software, Inc., Term Loan, 9.212%, (3 mo. USD LIBOR + 4.25%), 12/1/27 | 1,453 | 1,192,900 | |
Magenta Buyer, LLC: | |||
Term Loan, 9.58%, (3 mo. USD LIBOR + 4.75%), 7/27/28 | 3,851 | 3,177,281 | |
Term Loan - Second Lien, 13.08%, (3 mo. USD LIBOR + 8.25%), 7/27/29 | 1,050 | 794,500 | |
Marcel LUX IV S.a.r.l.: | |||
Term Loan, 5.72%, (3 mo. EURIBOR + 3.50%), 3/16/26 | EUR | 1,500 | 1,591,418 |
Term Loan, 8.932%, (SOFR + 4.00%), 12/31/27 | 95 | 94,787 | |
McAfee, LLC: | |||
Term Loan, 6.492%, (3 mo. EURIBOR + 4.00%), 3/1/29 | EUR | 992 | 1,019,280 |
Term Loan, 8.515%, (SOFR + 3.75%), 3/1/29 | 2,779 | 2,627,314 | |
Mediaocean, LLC, Term Loan, 8.407%, (SOFR + 3.50%), 12/15/28 | 619 | 586,111 | |
MH Sub I, LLC, Term Loan, 8.59%, (1 mo. USD LIBOR + 3.75%), 9/13/24 | 394 | 388,226 | |
Open Text Corporation, Term Loan, 8.157%, (SOFR + 3.25%), 1/31/30 | 1,372 | 1,369,420 | |
Panther Commercial Holdings, L.P., Term Loan, 9.075%, (3 mo. USD LIBOR + 4.25%), 1/7/28 | 885 | 826,358 | |
Polaris Newco, LLC: | |||
Term Loan, 6.492%, (3 mo. EURIBOR + 4.00%), 6/2/28 | EUR | 985 | 944,718 |
Term Loan, 9.159%, (3 mo. USD LIBOR + 4.00%), 6/2/28 | 2,808 | 2,568,190 | |
Proofpoint, Inc., Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 8/31/28 | 2,469 | 2,418,217 | |
RealPage, Inc., Term Loan, 7.84%, (1 mo. USD LIBOR + 3.00%), 4/24/28 | 2,832 | 2,753,211 | |
SolarWinds Holdings, Inc., Term Loan, 8.807%, (SOFR + 4.00%), 2/5/27 | 1,700 | 1,697,345 | |
Sophia, L.P., Term Loan, 8.659%, (3 mo. USD LIBOR + 3.50%), 10/7/27 | 391 | 386,255 | |
SurveyMonkey, Inc., Term Loan, 8.672%, (1 mo. USD LIBOR + 3.75%), 10/10/25 | 617 | 615,458 | |
Turing Midco, LLC, Term Loan, 7.34%, (1 mo. USD LIBOR + 2.50%), 3/24/28 | 168 | 168,098 | |
Ultimate Software Group, Inc. (The): | |||
Term Loan, 8.032%, (3 mo. USD LIBOR + 3.25%), 5/4/26 | 3,862 | 3,767,907 | |
Term Loan, 8.575%, (3 mo. USD LIBOR + 3.75%), 5/4/26 | 1,665 | 1,638,467 | |
Veritas US, Inc.: | |||
Term Loan, 7.765%, (3 mo. EURIBOR + 4.75%), 9/1/25 | EUR | 975 | 810,647 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Software (continued) | |||
Veritas US, Inc.: (continued) | |||
Term Loan, 9.84%, (1 mo. USD LIBOR + 5.00%), 9/1/25 | 2,413 | $ 1,840,114 | |
Vision Solutions, Inc., Term Loan, 8.818%, (3 mo. USD LIBOR + 4.00%), 4/24/28 | 420 | 371,674 | |
VS Buyer, LLC, Term Loan, 7.70%, (3 mo. USD LIBOR + 3.00%), 2/28/27 | 1,067 | 1,058,553 | |
$ 79,334,819 | |||
Specialty Retail — 1.3% | |||
Belron Finance US, LLC, Term Loan, 7.30%, (3 mo. USD LIBOR + 2.425%), 4/13/28 | 833 | $ 833,000 | |
Belron Luxembourg S.a.r.l., Term Loan, 5.045%, (3 mo. EURIBOR + 2.50%), 4/13/28 | EUR | 500 | 534,794 |
Boels Topholding B.V., Term Loan, 5.901%, (EURIBOR + 3.25%), 2/6/27(21) | EUR | 1,000 | 1,064,166 |
David's Bridal, Inc.: | |||
Term Loan, 10.83%, (1 mo. USD LIBOR + 6.00%), 12/31/24(11) | 704 | 0 | |
Term Loan, 14.82%, (3 mo. USD LIBOR + 10.00%), 9.82% cash, 5.00% PIK, 6/23/23(11) | 581 | 170,183 | |
Etraveli Holding AB, Term Loan, 7.015%, (3 mo. EURIBOR + 4.00%), 8/2/24 | EUR | 937 | 1,005,106 |
Great Outdoors Group, LLC, Term Loan, 8.59%, (1 mo. USD LIBOR + 3.75%), 3/6/28 | 2,395 | 2,369,204 | |
Harbor Freight Tools USA, Inc., Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 10/19/27 | 1,869 | 1,819,452 | |
Hoya Midco, LLC, Term Loan, 7.926%, (SOFR + 3.25%), 2/3/29 | 988 | 980,702 | |
Les Schwab Tire Centers, Term Loan, 8.064%, (3 mo. USD LIBOR + 3.25%), 11/2/27 | 2,888 | 2,869,772 | |
Mattress Firm, Inc., Term Loan, 9.39%, (3 mo. USD LIBOR + 4.25%), 9/25/28 | 1,187 | 1,113,391 | |
PetSmart, Inc., Term Loan, 8.657%, (SOFR + 3.75%), 2/11/28 | 2,394 | 2,378,609 | |
Speedster Bidco GmbH, Term Loan, 6.54%, (6 mo. EURIBOR + 3.25%), 3/31/27 | EUR | 1,000 | 1,022,141 |
$ 16,160,520 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Corporation, Term Loan, 7.33%, (3 mo. USD LIBOR + 2.50%), 8/28/26 | 911 | $ 900,597 | |
$ 900,597 | |||
Trading Companies & Distributors — 1.2% | |||
American Builders & Contractors Supply Co., Inc., Term Loan, 6.907%, (SOFR + 2.00%), 1/15/27 | 2,364 | $ 2,357,415 |
Borrower/Description | Principal Amount* (000's omitted) | Value | |
Trading Companies & Distributors (continued) | |||
Electro Rent Corporation, Term Loan, 10.271%, (SOFR + 5.50%), 11/1/24 | 1,794 | $ 1,764,427 | |
Hillman Group, Inc. (The): | |||
Term Loan, 3.132%, 7/14/28(23) | 72 | 71,196 | |
Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 7/14/28 | 295 | 293,137 | |
Patagonia Bidco Limited, Term Loan, 8.678%, (SONIA + 5.25%), 10/28/28 | GBP | 1,000 | 1,099,445 |
PEARLS (Netherlands) Bidco B.V., Term Loan, 5.992%, (3 mo. EURIBOR + 3.50%), 2/26/29 | EUR | 1,000 | 1,042,476 |
Quimper AB, Term Loan, 5.057%, (3 mo. EURIBOR + 2.925%), 2/16/26 | EUR | 1,875 | 1,949,558 |
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | 3,822 | 3,227,201 | |
SRS Distribution, Inc.: | |||
Term Loan, 8.157%, (SOFR + 3.25%), 6/2/28 | 371 | 360,113 | |
Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 6/2/28 | 985 | 951,756 | |
White Cap Buyer, LLC, Term Loan, 8.557%, (SOFR + 3.75%), 10/19/27 | 2,053 | 2,031,842 | |
$ 15,148,566 | |||
Transportation Infrastructure — 0.1% | |||
Brown Group Holding, LLC: | |||
Term Loan, 7.407%, (SOFR + 2.50%), 6/7/28 | 221 | $ 219,672 | |
Term Loan, 8.462%, (SOFR + 3.75%), 7/2/29(21) | 249 | 249,217 | |
KKR Apple Bidco, LLC, Term Loan, 7.59%, (1 mo. USD LIBOR + 2.75%), 9/23/28 | 173 | 171,327 | |
$ 640,216 | |||
Wireless Telecommunication Services — 0.4% | |||
Digicel International Finance Limited, Term Loan, 8.081%, (1 mo. USD LIBOR + 3.25%), 5/28/24 | 4,800 | $ 4,325,902 | |
$ 4,325,902 | |||
Total Senior Floating-Rate Loans (identified cost $616,724,767) | $ 569,269,378 |
Sovereign Government Bonds — 3.7% |
Security | Principal Amount* (000's omitted) | Value | |
Albania — 0.0%(10) | |||
Albania Government International Bond, 3.50%, 10/9/25(14) | EUR | 101 | $ 103,436 |
$ 103,436 |
Security | Principal Amount* (000's omitted) | Value | |
Argentina — 0.1% | |||
Province of Salta Argentina, 8.50%, 12/1/27(14) | 81 | $ 66,622 | |
Provincia de Cordoba, 6.875%, 12/10/25(14) | 320 | 272,825 | |
Republic of Argentina, 3.875% to 7/9/23, 1/9/38(3) | 965 | 304,165 | |
$ 643,612 | |||
Armenia — 0.0%(10) | |||
Republic of Armenia, 3.95%, 9/26/29(14) | 200 | $ 164,237 | |
$ 164,237 | |||
Azerbaijan — 0.0%(10) | |||
Republic of Azerbaijan, 3.50%, 9/1/32(14) | 389 | $ 332,638 | |
$ 332,638 | |||
Bahrain — 0.1% | |||
Kingdom of Bahrain: | |||
5.625%, 5/18/34(14) | 200 | $ 175,338 | |
6.75%, 9/20/29(14) | 300 | 298,640 | |
7.375%, 5/14/30(14) | 590 | 611,223 | |
$ 1,085,201 | |||
Barbados — 0.1% | |||
Government of Barbados, 6.50%, 10/1/29(1) | 949 | $ 886,095 | |
$ 886,095 | |||
Benin — 0.1% | |||
Benin Government International Bond: | |||
4.875%, 1/19/32(14) | EUR | 300 | $ 246,355 |
4.95%, 1/22/35(14) | EUR | 200 | 149,757 |
6.875%, 1/19/52(14) | EUR | 1,022 | 771,229 |
$ 1,167,341 | |||
Brazil — 0.2% | |||
Federative Republic of Brazil: | |||
3.875%, 6/12/30 | 371 | $ 333,091 | |
4.625%, 1/13/28 | 1,850 | 1,812,793 | |
5.00%, 1/27/45 | 600 | 473,007 | |
$ 2,618,891 | |||
Chile — 0.1% | |||
Chile Government International Bond: | |||
2.45%, 1/31/31 | 465 | $ 401,917 | |
3.24%, 2/6/28 | 260 | 248,437 | |
3.50%, 1/25/50 | 845 | 634,624 | |
$ 1,284,978 |
Security | Principal Amount* (000's omitted) | Value | |
Croatia — 0.0%(10) | |||
Croatia Government International Bond, 1.75%, 3/4/41(14) | EUR | 212 | $ 160,434 |
$ 160,434 | |||
Dominican Republic — 0.1% | |||
Dominican Republic: | |||
4.50%, 1/30/30(14) | 430 | $ 375,490 | |
6.40%, 6/5/49(14) | 150 | 125,696 | |
6.85%, 1/27/45(14) | 300 | 268,901 | |
7.45%, 4/30/44(14) | 300 | 289,448 | |
$ 1,059,535 | |||
Ecuador — 0.1% | |||
Republic of Ecuador, 1.50% to 7/31/23, 7/31/40(3)(14) | 2,958 | $ 632,795 | |
$ 632,795 | |||
Egypt — 0.1% | |||
Arab Republic of Egypt: | |||
5.80%, 9/30/27(14) | 427 | $ 300,572 | |
8.15%, 11/20/59(14) | 1,071 | 599,439 | |
8.50%, 1/31/47(14) | 601 | 350,502 | |
8.70%, 3/1/49(14) | 452 | 265,675 | |
8.875%, 5/29/50(14) | 355 | 210,412 | |
$ 1,726,600 | |||
El Salvador — 0.0%(10) | |||
Republic of El Salvador: | |||
5.875%, 1/30/25(14) | 61 | $ 47,580 | |
6.375%, 1/18/27(14) | 331 | 186,622 | |
7.125%, 1/20/50(14) | 150 | 69,421 | |
$ 303,623 | |||
Ethiopia — 0.1% | |||
Ethiopia Government International Bond, 6.625%, 12/11/24(14) | 970 | $ 683,797 | |
$ 683,797 | |||
Gabon — 0.0%(10) | |||
Gabon Government International Bond, 6.625%, 2/6/31(14) | 474 | $ 362,823 | |
$ 362,823 |
Security | Principal Amount* (000's omitted) | Value | |
Ghana — 0.0%(10) | |||
Ghana Government International Bond, 8.627%, 6/16/49(14) | 740 | $ 249,287 | |
$ 249,287 | |||
Guatemala — 0.0%(10) | |||
Guatemala Government International Bond, 5.375%, 4/24/32(14) | 338 | $ 329,114 | |
$ 329,114 | |||
Honduras — 0.1% | |||
Honduras Government International Bond: | |||
5.625%, 6/24/30(14) | 601 | $ 476,945 | |
6.25%, 1/19/27(14) | 407 | 364,130 | |
$ 841,075 | |||
Hungary — 0.1% | |||
Hungary Government International Bond: | |||
2.125%, 9/22/31(14) | 815 | $ 627,887 | |
6.25%, 9/22/32(1) | 400 | 408,742 | |
$ 1,036,629 | |||
India — 0.1% | |||
Export-Import Bank of India: | |||
2.25%, 1/13/31(14) | 992 | $ 796,413 | |
5.50%, 1/18/33(1) | 230 | 230,081 | |
$ 1,026,494 | |||
Indonesia — 0.2% | |||
Indonesia Government International Bond: | |||
3.55%, 3/31/32 | 1,813 | $ 1,666,761 | |
4.65%, 9/20/32 | 455 | 454,060 | |
$ 2,120,821 | |||
Iraq — 0.1% | |||
Republic of Iraq, 5.80%, 1/15/28(14) | 1,309 | $ 1,223,560 | |
$ 1,223,560 | |||
Ivory Coast — 0.0%(10) | |||
Ivory Coast Government International Bond, 5.25%, 3/22/30(14) | EUR | 257 | $ 229,317 |
$ 229,317 |
Security | Principal Amount* (000's omitted) | Value | |
Jordan — 0.1% | |||
Kingdom of Jordan: | |||
5.85%, 7/7/30(14) | 300 | $ 268,077 | |
7.375%, 10/10/47(14) | 438 | 371,202 | |
$ 639,279 | |||
Kazakhstan — 0.0%(10) | |||
Kazakhstan Government International Bond, 6.50%, 7/21/45(14) | 500 | $ 522,475 | |
$ 522,475 | |||
Kenya — 0.0%(10) | |||
Republic of Kenya, 7.25%, 2/28/28(14) | 480 | $ 394,831 | |
$ 394,831 | |||
Kuwait — 0.0%(10) | |||
Kuwait International Government Bond, 3.50%, 3/20/27(14) | 247 | $ 242,388 | |
$ 242,388 | |||
Lebanon — 0.0%(10) | |||
Lebanese Republic: | |||
5.80%, 4/14/20(14)(19) | 57 | $ 3,748 | |
6.00%, 1/27/23(14)(19) | 253 | 16,129 | |
6.10%, 10/4/22(14)(19) | 972 | 63,909 | |
6.15%, 6/19/20(19) | 75 | 4,838 | |
6.20%, 2/26/25(14)(19) | 80 | 5,301 | |
6.25%, 5/27/22(19) | 130 | 8,483 | |
6.25%, 11/4/24(14)(19) | 16 | 1,069 | |
6.25%, 6/12/25(14)(19) | 287 | 19,085 | |
6.375%, 3/9/20(19) | 1,110 | 74,231 | |
6.40%, 5/26/23(19) | 13 | 843 | |
6.65%, 4/22/24(14)(19) | 567 | 37,776 | |
6.65%, 11/3/28(14)(19) | 207 | 13,662 | |
6.75%, 11/29/27(14)(19) | 4 | 264 | |
6.85%, 5/25/29(19) | 5 | 331 | |
7.00%, 3/20/28(14)(19) | 506 | 33,333 | |
7.05%, 11/2/35(14)(19) | 86 | 5,676 | |
7.15%, 11/20/31(14)(19) | 451 | 29,725 | |
8.20%, 5/17/33(19) | 156 | 10,116 | |
8.25%, 4/12/21(14)(19) | 402 | 25,627 | |
8.25%, 5/17/34(19) | 129 | 8,402 | |
$ 362,548 |
Security | Principal Amount* (000's omitted) | Value | |
Macedonia — 0.2% | |||
North Macedonia Government International Bond: | |||
1.625%, 3/10/28(14) | EUR | 802 | $ 691,656 |
3.675%, 6/3/26(14) | EUR | 136 | 136,038 |
6.96%, 3/13/27(14) | EUR | 884 | 964,541 |
$ 1,792,235 | |||
Mexico — 0.0%(10) | |||
Mexico Government International Bond, 5.00%, 4/27/51 | 370 | $ 318,363 | |
$ 318,363 | |||
Morocco — 0.0%(10) | |||
Morocco Government International Bond, 3.00%, 12/15/32(14) | 365 | $ 295,178 | |
$ 295,178 | |||
Mozambique — 0.0%(10) | |||
Mozambique Government International Bond, 5.00% to 9/15/23, 9/15/31(3)(14) | 416 | $ 300,706 | |
$ 300,706 | |||
Oman — 0.1% | |||
Oman Government International Bond: | |||
6.25%, 1/25/31(14) | 683 | $ 696,655 | |
6.75%, 1/17/48(14) | 230 | 218,062 | |
7.375%, 10/28/32(14) | 457 | 499,755 | |
$ 1,414,472 | |||
Pakistan — 0.0%(10) | |||
Islamic Republic of Pakistan: | |||
7.375%, 4/8/31(14) | 208 | $ 74,880 | |
8.875%, 4/8/51(14) | 222 | 77,028 | |
$ 151,908 | |||
Panama — 0.1% | |||
Panama Government International Bond, 6.70%, 1/26/36 | 1,100 | $ 1,166,911 | |
$ 1,166,911 | |||
Paraguay — 0.1% | |||
Republic of Paraguay, 4.95%, 4/28/31(14) | 577 | $ 561,052 | |
$ 561,052 |
Security | Principal Amount* (000's omitted) | Value | |
Peru — 0.1% | |||
Peruvian Government International Bond: | |||
2.783%, 1/23/31 | 926 | $ 792,673 | |
3.30%, 3/11/41 | 447 | 336,341 | |
$ 1,129,014 | |||
Romania — 0.2% | |||
Romania Government International Bond: | |||
3.375%, 1/28/50(14) | EUR | 518 | $ 340,962 |
4.625%, 4/3/49(14) | EUR | 1,115 | 900,973 |
5.00%, 9/27/26(14) | EUR | 768 | 833,305 |
6.625%, 9/27/29(14) | EUR | 650 | 721,801 |
$ 2,797,041 | |||
Serbia — 0.1% | |||
Serbia Government International Bond, 2.125%, 12/1/30(14) | 1,536 | $ 1,169,441 | |
$ 1,169,441 | |||
Sri Lanka — 0.2% | |||
Sri Lanka Government International Bond: | |||
5.75%, 4/18/23(14)(19) | 858 | $ 308,944 | |
6.20%, 5/11/27(14)(19) | 400 | 144,083 | |
6.35%, 6/28/24(14)(19) | 760 | 275,461 | |
6.75%, 4/18/28(14)(19) | 1,089 | 392,089 | |
6.825%, 7/18/26(14)(19) | 200 | 74,255 | |
6.85%, 3/14/24(14)(19) | 681 | 246,828 | |
6.85%, 11/3/25(14)(19) | 400 | 148,022 | |
7.55%, 3/28/30(14)(19) | 400 | 143,984 | |
7.85%, 3/14/29(14)(19) | 764 | 275,012 | |
$ 2,008,678 | |||
Suriname — 0.3% | |||
Republic of Suriname, 9.25%, 10/26/26(14)(19) | 5,751 | $ 4,186,728 | |
$ 4,186,728 | |||
Ukraine — 0.1% | |||
Ukraine Government International Bond: | |||
0.00%, GDP-Linked, 8/1/41(12)(14)(24) | 2,164 | $ 582,811 | |
6.876%, 5/21/31(14) | 1,629 | 295,057 | |
$ 877,868 | |||
United Arab Emirates — 0.2% | |||
Finance Department Government of Sharjah: | |||
4.375%, 3/10/51(14) | 2,625 | $ 1,789,754 |
Security | Principal Amount* (000's omitted) | Value | |
United Arab Emirates (continued) | |||
Finance Department Government of Sharjah: (continued) | |||
6.50%, 11/23/32(1) | 860 | $ 878,218 | |
$ 2,667,972 | |||
Uzbekistan — 0.1% | |||
Republic of Uzbekistan: | |||
3.90%, 10/19/31(14) | 564 | $ 453,809 | |
4.75%, 2/20/24(14) | 355 | 349,824 | |
5.375%, 2/20/29(14) | 300 | 275,259 | |
$ 1,078,892 | |||
Zambia — 0.1% | |||
Zambia Government International Bond: | |||
5.375%, 9/20/22(14)(19) | 630 | $ 268,065 | |
8.97%, 7/30/27(14)(19) | 894 | 399,135 | |
$ 667,200 | |||
Total Sovereign Government Bonds (identified cost $54,944,133) | $ 45,017,513 |
Sovereign Loans — 0.5% |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Kenya — 0.1% | |||
Government of Kenya, Term Loan, 11.176%, (6 mo. USD LIBOR + 6.45%), 6/29/25(2) | $ | 1,560 | $ 1,513,105 |
$ 1,513,105 | |||
Nigeria — 0.1% | |||
Bank of Industry Limited, Term Loan, 11.138%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(25) | $ | 753 | $ 766,313 |
$ 766,313 | |||
Tanzania — 0.3% | |||
Government of the United Republic of Tanzania, Term Loan, 11.434%, (6 mo. USD LIBOR + 6.30%), 4/28/31(2) | $ | 4,410 | $ 4,246,062 |
$ 4,246,062 | |||
Total Sovereign Loans (identified cost $6,720,678) | $ 6,525,480 |
U.S. Government Agency Mortgage-Backed Securities — 30.0% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
5.00%, with various maturities to 2052 | $ | 52,731 | $ 52,706,372 |
5.50%, 5/1/32 | 249 | 256,057 | |
6.50%, with various maturities to 2036 | 1,600 | 1,667,413 | |
7.00%, with various maturities to 2036 | 1,322 | 1,395,489 | |
7.50%, with various maturities to 2035 | 697 | 725,771 | |
8.00%, with various maturities to 2030 | 97 | 101,022 | |
9.00%, with various maturities to 2031 | 14 | 15,103 | |
Federal National Mortgage Association: | |||
3.441%, (6 mo. USD LIBOR + 1.54%), 9/1/37(26) | 493 | 495,924 | |
3.782%, (COF + 1.31%), 10/1/36(26) | 403 | 387,252 | |
4.149%, (1 yr. CMT + 2.26%), 8/1/36(26) | 2,620 | 2,681,125 | |
4.50%, 7/1/42 | 2,684 | 2,709,688 | |
5.00%, with various maturities to 2052 | 4,847 | 4,912,199 | |
5.50%, 30-Year, TBA(27) | 4,650 | 4,698,679 | |
5.50%, with various maturities to 2033 | 341 | 352,120 | |
6.00%, 30-Year, TBA(27) | 28,850 | 29,450,671 | |
6.00%, with various maturities to 2029 | 162 | 163,066 | |
6.333%, (COF + 2.00%), 7/1/32(26) | 490 | 501,721 | |
6.50%, with various maturities to 2036 | 6,648 | 6,909,769 | |
7.00%, with various maturities to 2037 | 1,472 | 1,545,266 | |
7.50%, with various maturities to 2035 | 716 | 761,696 | |
8.00%, with various maturities to 2027 | 40 | 41,615 | |
8.019%, 9/15/27(8) | 36 | 36,269 | |
8.168%, 9/20/28(8) | 8 | 8,267 | |
8.221%, 10/15/29(8) | 9 | 9,683 | |
8.287%, 6/15/27(8) | 15 | 15,089 | |
8.50%, with various maturities to 2037 | 165 | 173,587 | |
9.00%, with various maturities to 2032 | 160 | 165,136 | |
9.50%, with various maturities to 2030 | 30 | 31,232 | |
Government National Mortgage Association: | |||
4.00%, 9/20/49 | 221 | 215,375 | |
4.50%, with various maturities to 2052 | 2,549 | 2,517,038 | |
5.00%, 6/20/52 | 14,675 | 14,725,226 | |
5.50%, 30-Year, TBA(27) | 93,900 | 95,005,776 | |
6.00%, 30-Year, TBA(27) | 104,000 | 105,980,035 | |
6.00%, 5/15/24 | 25 | 25,311 | |
6.50%, with various maturities to 2053 | 31,893 | 32,848,423 | |
7.00%, 4/20/26 | 50 | 50,317 | |
7.50%, with various maturities to 2032 | 696 | 725,753 | |
8.00%, with various maturities to 2034 | 820 | 855,061 |
Security | Principal Amount (000's omitted) | Value | |
Government National Mortgage Association: (continued) | |||
9.00%, 12/15/25 | $ | 65 | $ 66,531 |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $367,353,396) | $ 365,932,127 |
Warrants — 0.0% |
Security | Shares | Value | |
Leisure Goods/Activities/Movies — 0.0% | |||
Cineworld Group PLC, Exp. 11/23/25(12)(13) | 78,565 | $ 0 | |
$ 0 | |||
Retailers (Except Food and Drug) — 0.0% | |||
David’s Bridal, LLC, Exp. 12/31/28(11)(12)(13) | 7,886 | $ ��� 0 | |
$ 0 | |||
Total Warrants (identified cost $0) | $ 0 |
Miscellaneous — 0.0%(10) |
Security | Principal Amount/ Shares | Value | |
Cable and Satellite Television — 0.0% | |||
ACC Claims Holdings, LLC(11)(13) | 2,257,600 | $ 0 | |
$ 0 | |||
Financial Intermediaries — 0.0% | |||
Alpha Holding S.A., Escrow Certificates(11)(12) | 400,000 | $ 0 | |
Alpha Holding S.A., Escrow Certificates(11)(12) | 1,530,000 | 0 | |
$ 0 | |||
Surface Transport — 0.0%(10) | |||
Hertz Corp., Escrow Certificates(12) | $ | 364,000 | $ 34,580 |
$ 34,580 | |||
Total Miscellaneous (identified cost $0) | $ 34,580 |
Short-Term Investments — 2.2% |
Affiliated Fund — 2.1% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.73%(28) | 26,067,123 | $ 26,067,123 | |
Total Affiliated Fund (identified cost $26,067,123) | $ 26,067,123 |
U.S. Treasury Obligations — 0.1% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 4/4/23 | $ | 265 | $ 264,966 |
0.00%, 4/11/23(29) | 142 | 141,456 | |
0.00%, 5/2/23(29) | 93 | 93,055 | |
Total U.S. Treasury Obligations (identified cost $499,415) | $ 499,477 | ||
Total Short-Term Investments (identified cost $26,566,538) | $ 26,566,600 | ||
Total Investments — 160.2% (identified cost $2,144,307,654) | $1,956,495,890 | ||
Less Unfunded Loan Commitments — (0.0)%(10) | $ (100,733) | ||
Net Investments — 160.2% (identified cost $2,144,206,921) | $1,956,395,157 | ||
Other Assets, Less Liabilities — (42.5)% | $ (519,078,578) | ||
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (17.7)% | $ (216,138,298) | ||
Net Assets Applicable to Common Shares — 100.0% | $1,221,178,281 |
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 March 31, 2023, the aggregate value of these securities is $618,103,321 or 50.6% of the Fund's net assets applicable to common shares. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2023. |
(3) | Step coupon security. Interest rate represents the rate in effect at March 31, 2023. |
(4) | Principal amount is less than $500. |
(5) | 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 March 31, 2023. |
(6) | 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. |
(7) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(8) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2023. |
(9) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 9). |
(10) | Amount is less than 0.05% or (0.05)%, as applicable. |
(11) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 10). |
(12) | Non-income producing security. |
(13) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(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 March 31, 2023, the aggregate value of these securities is $73,064,192 or 6.0% 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) | When-issued security. For a variable rate security interest rate will be determined after March 31, 2023. |
(19) | 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. |
(20) | 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. |
(21) | The stated interest rate represents the weighted average interest rate at March 31, 2023 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 March 31, 2023, at which time the interest rate will be determined. |
(23) | 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 March 31, 2023, the total value of unfunded loan commitments is $81,371. See Note 1F for description. |
(24) | 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. |
(25) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(26) | 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 March 31, 2023. |
(27) | 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. |
(28) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2023. |
(29) | 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 | 118,145 | EUR | 109,793 | 6/21/23 | $ (1,449) |
USD | 673,167 | EUR | 625,975 | 6/21/23 | (8,683) |
USD | 792,972 | EUR | 737,380 | 6/21/23 | (10,229) |
USD | 1,850,398 | EUR | 1,720,675 | 6/21/23 | (23,869) |
USD | 3,607,108 | EUR | 3,354,229 | 6/21/23 | (46,530) |
$(90,760) |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 44,799,997 | EUR | 42,161,465 | Standard Chartered Bank | 4/4/23 | $ — | $ (924,107) |
EUR | 1,000,000 | USD | 1,080,443 | Bank of America, N.A. | 4/14/23 | 4,654 | — |
EUR | 142,236 | USD | 152,728 | Citibank, N.A. | 4/14/23 | 1,612 | — |
USD | 829,761 | EUR | 776,340 | Citibank, N.A. | 4/14/23 | — | (12,643) |
EUR | 88,721 | USD | 97,263 | Bank of America, N.A. | 4/28/23 | — | (916) |
EUR | 539,293 | USD | 573,730 | Citibank, N.A. | 4/28/23 | 11,918 | — |
EUR | 661,889 | USD | 708,248 | Citibank, N.A. | 4/28/23 | 10,534 | — |
EUR | 89,923 | USD | 95,652 | Citibank, N.A. | 4/28/23 | 2,000 | — |
EUR | 38,797 | USD | 41,274 | Citibank, N.A. | 4/28/23 | 857 | — |
EUR | 40,863 | USD | 43,725 | Citibank, N.A. | 4/28/23 | 650 | — |
EUR | 678,263 | USD | 731,108 | HSBC Bank USA, N.A. | 4/28/23 | 5,456 | — |
GBP | 36,085 | USD | 43,407 | Goldman Sachs International | 4/28/23 | 1,129 | — |
GBP | 11,982 | USD | 14,413 | Goldman Sachs International | 4/28/23 | 375 | — |
USD | 3,329 | CAD | 4,428 | JPMorgan Chase Bank, N.A. | 4/28/23 | 51 | — |
Forward Foreign Currency Exchange Contracts (OTC) (continued) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 487,576 | CAD | 648,693 | UBS AG | 4/28/23 | $ 7,422 | $ — |
USD | 730,749 | EUR | 669,475 | Bank of America, N.A. | 4/28/23 | 3,729 | — |
USD | 296,088 | EUR | 271,261 | Bank of America, N.A. | 4/28/23 | 1,511 | — |
USD | 11,405 | EUR | 10,582 | Bank of America, N.A. | 4/28/23 | — | (87) |
USD | 454,478 | EUR | 421,690 | Bank of America, N.A. | 4/28/23 | — | (3,458) |
USD | 18,364,976 | EUR | 16,820,453 | Citibank, N.A. | 4/28/23 | 98,713 | — |
USD | 14,303,749 | EUR | 13,102,702 | Citibank, N.A. | 4/28/23 | 74,799 | — |
USD | 315,423 | EUR | 288,895 | Citibank, N.A. | 4/28/23 | 1,695 | — |
USD | 245,670 | EUR | 225,042 | Citibank, N.A. | 4/28/23 | 1,285 | — |
USD | 643,735 | EUR | 592,211 | Citibank, N.A. | 4/28/23 | 621 | — |
USD | 187,222 | EUR | 175,506 | HSBC Bank USA, N.A. | 4/28/23 | — | (3,369) |
USD | 91,248 | EUR | 83,551 | State Street Bank and Trust Company | 4/28/23 | 515 | — |
USD | 270,983 | EUR | 253,686 | The Royal Bank of Scotland PLC | 4/28/23 | — | (4,509) |
USD | 36,542 | GBP | 29,531 | Bank of America, N.A. | 4/28/23 | 94 | — |
USD | 1,043 | GBP | 843 | Bank of America, N.A. | 4/28/23 | 3 | — |
USD | 12,319 | GBP | 10,261 | Bank of America, N.A. | 4/28/23 | — | (345) |
USD | 12,588 | GBP | 10,406 | HSBC Bank USA, N.A. | 4/28/23 | — | (255) |
USD | 83,349 | GBP | 68,899 | HSBC Bank USA, N.A. | 4/28/23 | — | (1,688) |
USD | 102,714 | GBP | 85,332 | HSBC Bank USA, N.A. | 4/28/23 | — | (2,604) |
USD | 134,268 | GBP | 112,440 | Standard Chartered Bank | 4/28/23 | — | (4,508) |
USD | 4,076,693 | GBP | 3,292,152 | State Street Bank and Trust Company | 4/28/23 | 13,468 | — |
USD | 294,970 | GBP | 238,204 | State Street Bank and Trust Company | 4/28/23 | 974 | — |
USD | 45,880,178 | EUR | 42,161,465 | Standard Chartered Bank | 5/3/23 | 81,761 | — |
USD | 1,248,133 | EUR | 1,177,256 | Bank of America, N.A. | 5/31/23 | — | (32,711) |
USD | 4,902,328 | EUR | 4,621,216 | State Street Bank and Trust Company | 5/31/23 | — | (125,512) |
USD | 4,902,156 | EUR | 4,621,216 | State Street Bank and Trust Company | 5/31/23 | — | (125,684) |
USD | 4,902,002 | EUR | 4,621,216 | State Street Bank and Trust Company | 5/31/23 | — | (125,838) |
USD | 4,900,889 | EUR | 4,621,217 | State Street Bank and Trust Company | 5/31/23 | — | (126,951) |
USD | 4,901,955 | EUR | 4,621,216 | The Royal Bank of Scotland PLC | 5/31/23 | — | (125,885) |
USD | 4,915,877 | GBP | 4,105,273 | State Street Bank and Trust Company | 5/31/23 | — | (154,241) |
USD | 1,997,889 | EUR | 1,833,973 | Bank of America, N.A. | 6/30/23 | — | (784) |
USD | 5,553,227 | EUR | 5,100,000 | Goldman Sachs International | 6/30/23 | — | (4,780) |
USD | 5,555,027 | EUR | 5,100,000 | Standard Chartered Bank | 6/30/23 | — | (2,980) |
USD | 5,554,814 | EUR | 5,100,000 | Standard Chartered Bank | 6/30/23 | — | (3,193) |
USD | 5,553,971 | EUR | 5,100,000 | Standard Chartered Bank | 6/30/23 | — | (4,036) |
USD | 5,553,637 | EUR | 5,100,000 | Standard Chartered Bank | 6/30/23 | — | (4,370) |
$325,826 | $(1,795,454) |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 90 | Long | 6/30/23 | $ 18,580,781 | $ 187,859 |
Euro-Bobl | (18) | Short | 6/8/23 | (2,301,135) | (58,184) |
Euro-Bund | (5) | Short | 6/8/23 | (736,592) | (27,447) |
Euro-Buxl | (8) | Short | 6/8/23 | (1,222,101) | (67,547) |
U.S. 5-Year Treasury Note | (75) | Short | 6/30/23 | (8,213,086) | (92,562) |
U.S. 10-Year Treasury Note | (91) | Short | 6/21/23 | (10,457,891) | (265,210) |
U.S. 10-Year Ultra Treasury Note | (3) | Short | 6/21/23 | (363,423) | (11,884) |
U.S. Long Treasury Bond | (2) | Short | 6/21/23 | (262,312) | (11,156) |
U.S. Ultra-Long Treasury Bond | (34) | Short | 6/21/23 | (4,798,251) | (217,199) |
$ (563,330) |
Credit Default Swaps - Buy Protection (Centrally Cleared) | |||||||
Reference Entity | Notional Amount* (000's omitted) | Contract Annual Fixed Rate** | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
Mexico | $1,384 | 1.00% (pays quarterly)(1) | 6/20/28 | $ 12,122 | $ (26,654) | $ (14,532) | |
Total | $12,122 | $(26,654) | $(14,532) |
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) | 1.80% | 12/20/31 | $ (115,456) | $ 79,563 | $ (35,893) |
Total | $2,041 | $(115,456) | $79,563 | $(35,893) |
* | 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 March 31, 2023, 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) or paid by the Fund (as a buyer 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 |
REITs | – Real Estate Investment Trusts |
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 |
March 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $2,105,878,862) | $ 1,920,394,394 |
Affiliated investments, at value (identified cost $38,328,059) | 36,000,763 |
Cash | 4,100,106 |
Deposits for derivatives collateral: | |
Futures contracts | 770,557 |
Centrally cleared derivatives | 471,949 |
OTC derivatives | 3,550,400 |
Deposits for forward commitment securities | 257,764 |
Foreign currency, at value (identified cost $4,245,280) | 4,254,718 |
Interest receivable | 19,432,978 |
Interest and dividends receivable from affiliated investments | 169,929 |
Receivable for investments sold | 6,460,522 |
Receivable for variation margin on open centrally cleared derivatives | 39,799 |
Receivable for open forward foreign currency exchange contracts | 325,826 |
Tax reclaims receivable | 11,023 |
Prepaid upfront fees on notes payable | 859,506 |
Prepaid expenses | 8,890 |
Total assets | $1,997,109,124 |
Liabilities | |
Notes payable | $ 314,000,000 |
Cash collateral due to brokers | 257,764 |
Payable for investments purchased | 5,549,400 |
Payable for when-issued/delayed delivery/forward commitment securities | 233,933,603 |
Payable for variation margin on open futures contracts | 82,432 |
Payable for open forward foreign currency exchange contracts | 1,795,454 |
Payable for open swap contracts | 35,893 |
Upfront receipts on open non-centrally cleared swap contracts | 79,563 |
Payable to affiliate: | |
Investment adviser fee | 1,108,963 |
Accrued expenses | 2,949,473 |
Total liabilities | $ 559,792,545 |
Auction preferred shares (8,640 shares outstanding) at liquidation value plus cumulative unpaid dividends | $ 216,138,298 |
Net assets applicable to common shares | $1,221,178,281 |
Sources of Net Assets | |
Common shares, $0.01 par value, unlimited number of shares authorized | $ 1,162,035 |
Additional paid-in capital | 1,627,248,324 |
Accumulated loss | (407,232,078) |
Net assets applicable to common shares | $1,221,178,281 |
Common Shares Issued and Outstanding | 116,203,460 |
Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding | $ 10.51 |
Year Ended | |
March 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $2,759) | $ 2,407,590 |
Dividend income from affiliated investments | 1,190,672 |
Interest and other income | 112,100,778 |
Interest income from affiliated investments | 608,855 |
Total investment income | $ 116,307,895 |
Expenses | |
Investment adviser fee | $ 14,516,524 |
Trustees’ fees and expenses | 108,500 |
Custodian fee | 591,751 |
Transfer and dividend disbursing agent fees | 18,943 |
Legal and accounting services | 217,188 |
Printing and postage | 530,266 |
Interest expense and fees | 18,103,919 |
Preferred shares service fee | 226,603 |
Miscellaneous | 191,904 |
Total expenses | $ 34,505,598 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 64,277 |
Total expense reductions | $ 64,277 |
Net expenses | $ 34,441,321 |
Net investment income | $ 81,866,574 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (76,551,082) |
Investment transactions - affiliated investments | 9,203 |
Futures contracts | 17,022,603 |
Swap contracts | 31,174 |
Foreign currency transactions | 193,773 |
Forward foreign currency exchange contracts | 10,889,728 |
Net realized loss | $ (48,404,601) |
Change in unrealized appreciation (depreciation): | |
Investments | $ (82,036,961) |
Investments - affiliated investments | (1,157,991) |
Futures contracts | (5,164,370) |
Swap contracts | (44,031) |
Foreign currency | 77,521 |
Forward foreign currency exchange contracts | (3,665,994) |
Net change in unrealized appreciation (depreciation) | $ (91,991,826) |
Net realized and unrealized loss | $(140,396,427) |
Distributions to preferred shareholders | $ (9,997,733) |
Net decrease in net assets from operations | $ (68,527,586) |
Year Ended March 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 81,866,574 | $ 74,344,411 |
Net realized gain (loss) | (48,404,601) | 3,126,359 |
Net change in unrealized appreciation (depreciation) | (91,991,826) | (85,016,408) |
Distributions to preferred shareholders | (9,997,733) | (344,223) |
Net decrease in net assets from operations | $ (68,527,586) | $ (7,889,861) |
Distributions to common shareholders | $ (83,662,686) | $ (79,170,448) |
Tax return of capital to common shareholders | $ (55,781,466) | $ (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 | $ (207,971,738) | $ (146,542,078) |
Net Assets Applicable to Common Shares | ||
At beginning of year | $ 1,429,150,019 | $ 1,575,692,097 |
At end of year | $1,221,178,281 | $1,429,150,019 |
Year Ended | |
March 31, 2023 | |
Cash Flows From Operating Activities | |
Net decrease in net assets from operations | $ (68,527,586) |
Distributions to preferred shareholders | 9,997,733 |
Net decrease in net assets from operations excluding distributions to preferred shareholders | $ (58,529,853) |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities: | |
Investments purchased | (3,977,937,671) |
Investments sold and principal repayments | 4,262,756,423 |
Decrease in short-term investments, net | 20,186,777 |
Net amortization/accretion of premium (discount) | 4,863,903 |
Amortization of prepaid upfront fees on notes payable | 457,978 |
Increase in interest receivable | (2,669,950) |
Increase in interest and dividends receivable from affiliated investments | (126,890) |
Decrease in receivable for variation margin on open centrally cleared derivatives | 74,059 |
Decrease in receivable for open forward foreign currency exchange contracts | 1,910,404 |
Increase in tax reclaims receivable | (7,874) |
Decrease in cash collateral due to broker | (172,236) |
Decrease in payable for variation margin on open futures contracts | (431,352) |
Increase in payable for open forward foreign currency exchange contracts | 1,705,893 |
Increase in payable for open swap contracts | 6,851 |
Decrease in upfront receipts on open non-centrally cleared swap contracts | (13,649) |
Decrease in payable to affiliate for investment adviser fee | (288,288) |
Increase in accrued expenses | 1,337,629 |
Decrease in unfunded loan commitments | (854,132) |
Net change in unrealized appreciation (depreciation) from investments | 83,194,952 |
Net realized loss from investments | 76,541,879 |
Net cash provided by operating activities | $ 412,004,853 |
Cash Flows From Financing Activities | |
Cash distributions paid to common shareholders | $ (139,444,152) |
Cash distributions paid to preferred shareholders | (9,873,101) |
Proceeds from notes payable | 120,000,000 |
Repayments of notes payable | (384,000,000) |
Net cash used in financing activities | $ (413,317,253) |
Net decrease in cash and restricted cash* | $ (1,312,400) |
Cash and restricted cash at beginning of year (including foreign currency) | $ 14,717,894 |
Cash and restricted cash at end of year (including foreign currency) | $ 13,405,494 |
Supplemental disclosure of cash flow information: | |
Cash paid for interest and fees on borrowings | $ 16,606,866 |
* | Includes net change in unrealized appreciation (depreciation) on foreign currency of $14,392. |
March 31, 2023 | |
Cash | $ 4,100,106 |
Deposits for derivatives collateral: | |
Futures contracts | 770,557 |
Centrally cleared derivatives | 471,949 |
OTC derivatives | 3,550,400 |
Deposits for forward commitment securities | 257,764 |
Foreign currency | 4,254,718 |
Total cash and restricted cash as shown on the Statement of Cash Flows | $13,405,494 |
Year Ended March 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value — Beginning of year (Common shares) | $ 12.300 | $ 13.570 | $ 11.750 | $ 14.450 | $ 14.740 |
Income (Loss) From Operations | |||||
Net investment income(1) | $ 0.705 | $ 0.640 | $ 0.756 | $ 0.762 | $ 0.826 |
Net realized and unrealized gain (loss) | (1.209) | (0.707) | 2.271 | (2.390) | (0.267) |
Distributions to preferred shareholders: From net investment income(1) | (0.086) | (0.003) | (0.007) | (0.055) | (0.066) |
Discount on redemption and repurchase of auction preferred shares(1) | — | — | — | — | 0.035 |
Total income (loss) from operations | $ (0.590) | $ (0.070) | $ 3.020 | $ (1.683) | $ 0.528 |
Less Distributions to Common Shareholders | |||||
From net investment income | $ (0.720) | $ (0.681) | $ (0.789) | $ (0.839) | $ (0.818) |
Tax return of capital | (0.480) | (0.519) | (0.411) | (0.178) | — |
Total distributions to common shareholders | $ (1.200) | $ (1.200) | $ (1.200) | $ (1.017) | $ (0.818) |
Net asset value — End of year (Common shares) | $10.510 | $12.300 | $13.570 | $11.750 | $14.450 |
Market value — End of year (Common shares) | $ 9.850 | $11.700 | $12.630 | $10.570 | $12.650 |
Total Investment Return on Net Asset Value(2) | (3.98)% | (0.42)% | 27.62% | (11.69)% | 4.57% (3) |
Total Investment Return on Market Value(2) | (5.30)% | 1.70% | 32.25% | (9.33)% | 3.70% |
Year Ended March 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios/Supplemental Data | |||||
Net assets applicable to common shares, end of year (000’s omitted) | $1,221,178 | $1,429,150 | $1,575,692 | $1,365,197 | $1,678,459 |
Ratios (as a percentage of average daily net assets applicable to common shares):(4)† | |||||
Expenses excluding interest and fees | 1.29% | 1.24% | 1.33% | 1.29% | 1.31% |
Interest and fee expense(5) | 1.43% | 0.53% | 0.58% | 1.33% | 1.43% |
Total expenses | 2.72% (6) | 1.77% | 1.91% | 2.62% | 2.74% |
Net investment income | 6.47% | 4.83% | 5.73% | 5.33% | 5.71% |
Portfolio Turnover | 201% (7) | 137% (7) | 57% (7) | 49% | 34% |
Senior Securities: | |||||
Total notes payable outstanding (in 000’s) | $ 314,000 | $ 578,000 | $ 570,000 | $ 525,000 | $ 595,000 |
Asset coverage per $1,000 of notes payable(8) | $ 5,577 | $ 3,846 | $ 4,143 | $ 4,012 | $ 4,184 |
Total preferred shares outstanding | 8,640 | 8,640 | 8,640 | 8,640 | 8,640 |
Asset coverage per preferred share(9) | $ 82,609 | $ 69,999 | $ 75,118 | $ 71,062 | $ 76,744 |
Involuntary liquidation preference per preferred share(10) | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 | $ 25,000 |
Approximate market value per preferred share(10) | $ 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) | 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%. |
(4) | Ratios do not reflect the effect of dividend payments to preferred shareholders. |
(5) | 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). |
(6) | 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 0.01% of average daily net assets for the year ended March 31, 2023). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
(8) | 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. |
(9) | 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 330%, 280%, 300%, 284% and 307% at March 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
(10) | Plus accumulated and unpaid dividends. |
† | 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. |
Year Ended March 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Expenses excluding interest and fees | 0.85% | 0.83% | 0.88% | 0.86% | 0.87% |
Interest and fee expense | 0.94% | 0.36% | 0.38% | 0.89% | 0.95% |
Total expenses | 1.79% | 1.19% | 1.26% | 1.75% | 1.82% |
Net investment income | 4.24% | 3.25% | 3.79% | 3.57% | 3.79% |
of current income. The Fund may, as a secondary objective, also seek capital appreciation to the extent it is consistent with its primary objective.
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 March 31, 2023 | Dividends Accrued to APS Shareholders | Average APS Dividend Rates | Dividend Rate Ranges (%) | |
Series A | 7.73% | $1,990,056 | 4.61% | 0.56-7.73 |
Series B | 7.73 | 1,999,901 | 4.63 | 0.66-7.73 |
Series C | 7.73 | 1,999,548 | 4.63 | 0.66-7.73 |
Series D | 7.74 | 2,018,870 | 4.67 | 0.63-7.74 |
Series E | 7.74 | 1,989,358 | 4.60 | 0.61-7.74 |
Year Ended March 31, | ||
2023 | 2022 | |
Ordinary income | $93,660,419 | $79,514,671 |
Tax return of capital | $55,781,466 | $60,229,921 |
Deferred capital losses | $ (219,516,627) |
Late year ordinary losses | (2,077,548) |
Net unrealized depreciation | (185,637,903) |
Accumulated loss | $(407,232,078) |
Aggregate cost | $2,141,869,252 |
Gross unrealized appreciation | $ 15,296,090 |
Gross unrealized depreciation | (200,770,185) |
Net unrealized depreciation | $ (185,474,095) |
Purchases | Sales | |
Investments (non-U.S. Government) | $ 341,643,889 | $ 486,396,699 |
U.S. Government and Agency Securities | 3,761,995,888 | 3,763,894,812 |
$4,103,639,777 | $4,250,291,511 |
Fair Value | ||||
Statement of Assets and Liabilities Caption | Credit | Foreign Exchange | Interest Rate | Total |
Accumulated loss | $ 12,122* | $ — | $ 187,859* | $ 199,981 |
Receivable for open forward foreign currency exchange contracts | — | 325,826 | — | 325,826 |
Total Asset Derivatives | $ 12,122 | $ 325,826 | $ 187,859 | $ 525,807 |
Derivatives not subject to master netting or similar agreements | $ 12,122 | $ — | $ 187,859 | $ 199,981 |
Total Asset Derivatives subject to master netting or similar agreements | $ — | $ 325,826 | $ — | $ 325,826 |
Accumulated loss | $ — | $ (90,760) | $ (751,189) | $ (841,949) |
Payable for open forward foreign currency exchange contracts | — | (1,795,454) | — | (1,795,454) |
Payable for open swap contracts; Upfront receipts on open non-centrally cleared swap contracts | (115,456) | — | — | (115,456) |
Total Liability Derivatives | $(115,456) | $(1,886,214) | $(751,189) | $(2,752,859) |
Derivatives not subject to master netting or similar agreements | $ — | $ (90,760) | $(751,189) | $ (841,949) |
Total Liability Derivatives subject to master netting or similar agreements | $(115,456) | $(1,795,454) | $ — | $(1,910,910) |
* | 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) | Total Cash Collateral Received |
Bank of America, N.A. | $ 9,991 | $ (9,991) | $ — | $ — | $ — | $ — |
Citibank, N.A. | 204,684 | (128,099) | — | — | 76,585 | — |
Goldman Sachs International | 1,504 | (1,504) | — | — | — | — |
HSBC Bank USA, N.A. | 5,456 | (5,456) | — | — | — | — |
JPMorgan Chase Bank, N.A. | 51 | — | — | — | 51 | — |
Standard Chartered Bank | 81,761 | (81,761) | — | — | — | — |
State Street Bank and Trust Company | 14,957 | (14,957) | — | — | — | — |
UBS AG | 7,422 | — | — | — | 7,422 | — |
$325,826 | $(241,768) | $ — | $ — | $84,058 | $ — |
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) | Total Cash Collateral Pledged |
Bank of America, N.A. | $ (38,301) | $ 9,991 | $ — | $ — | $ (28,310) | $ — |
Citibank, N.A. | (128,099) | 128,099 | — | — | — | 1,082,400 |
Goldman Sachs International | (4,780) | 1,504 | — | — | (3,276) | — |
HSBC Bank USA, N.A. | (7,916) | 5,456 | — | — | (2,460) | — |
Standard Chartered Bank | (943,194) | 81,761 | 4,595 | 856,838 | — | 1,335,000 |
State Street Bank and Trust Company | (658,226) | 14,957 | 136,861 | 506,408 | — | 1,133,000 |
The Royal Bank of Scotland PLC | (130,394) | — | — | — | (130,394) | — |
$(1,910,910) | $241,768 | $141,456 | $1,363,246 | $(164,440) | $3,550,400 | |
Total — Deposits for derivatives collateral — OTC derivatives | $3,550,400 |
(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 | $ — | $ — | $ 17,022,603 | $ 17,022,603 |
Swap contracts | 31,174 | — | — | 31,174 |
Forward foreign currency exchange contracts | — | 10,889,728 | — | 10,889,728 |
Total | $ 31,174 | $10,889,728 | $17,022,603 | $27,943,505 |
Change in unrealized appreciation (depreciation): | ||||
Futures contracts | $ — | $ — | $ (5,164,370) | $ (5,164,370) |
Swap contracts | (44,031) | — | — | (44,031) |
Forward foreign currency exchange contracts | — | (3,665,994) | — | (3,665,994) |
Total | $(44,031) | $ (3,665,994) | $ (5,164,370) | $ (8,874,395) |
Futures Contracts — Long | Futures Contracts — Short | Forward Foreign Currency Exchange Contracts* | Swap Contracts |
$4,504,000 | $148,991,000 | $216,358,000 | $3,732,000 |
* | 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 2014-C16, Class B, 4.301%, 6/15/47 | $ — | $ 330,557 | $ — | $ — | $ 11,994 | $ 342,690 | $ 1,830 | $ 363,000 |
Series 2015-C23, Class D, 4.14%, 7/15/50 | 1,866,948 | 572,353 | — | — | (239,735) | 2,054,435 | 103,323 | 2,670,000 |
Series 2016-C29, Class D, 3.00%, 5/15/49 | 2,984,932 | — | — | — | (488,327) | 2,540,356 | 128,197 | 3,577,365 |
Series 2016-C32, Class D, 3.396%, 12/15/49 | 1,236,954 | — | — | — | (241,291) | 1,054,795 | 69,090 | 1,600,000 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 2,644,734 | — | — | — | (171,757) | 2,198,211 | 183,125 | 4,488,667 |
Series 2017-CLS, Class F, 5.418%, (1 mo. USD LIBOR + 2.60%), 11/15/34 | 562,594 | — | (569,000) | 4,129 | 2,072 | — | 13,176 | — |
Series 2019-BPR, Class C, 7.984%, (1 mo. USD LIBOR + 3.30%), 5/15/36 | 1,769,714 | — | — | — | (26,561) | 1,743,153 | 110,114 | 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 | — | 905,205,572 | (879,138,449) | — | — | 26,067,123 | 1,190,355 | 26,067,123 |
Total | $9,203 | $(1,157,991) | $36,000,763 | $1,799,527 |
• | 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 | $ — | $ 96,033,494 | $ — | $ 96,033,494 |
Closed-End Funds | 19,084,409 | — | — | 19,084,409 |
Collateralized Mortgage Obligations | — | 84,606,269 | — | 84,606,269 |
Commercial Mortgage-Backed Securities | — | 76,525,693 | — | 76,525,693 |
Common Stocks | 685,344 | 2,424,932 | 623,736 | 3,734,012 |
Convertible Bonds | — | 1,555,730 | — | 1,555,730 |
Convertible Preferred Stocks | — | 1,831 | ��� — | 1,831 |
Corporate Bonds | — | 660,549,511 | — | 660,549,511 |
Preferred Stocks | — | 1,059,263 | 0 | 1,059,263 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 568,741,939 | 426,706 | 569,168,645 |
Sovereign Government Bonds | — | 45,017,513 | — | 45,017,513 |
Sovereign Loans | — | 6,525,480 | — | 6,525,480 |
U.S. Government Agency Mortgage-Backed Securities | — | 365,932,127 | — | 365,932,127 |
Warrants | — | 0 | 0 | 0 |
Miscellaneous | — | 34,580 | 0 | 34,580 |
Short-Term Investments: | ||||
Affiliated Fund | 26,067,123 | — | — | 26,067,123 |
U.S. Treasury Obligations | — | 499,477 | — | 499,477 |
Total Investments | $ 45,836,876 | $ 1,909,507,839 | $ 1,050,442 | $ 1,956,395,157 |
Forward Foreign Currency Exchange Contracts | $ — | $ 325,826 | $ — | $ 325,826 |
Futures Contracts | 187,859 | — | — | 187,859 |
Swap Contracts | — | 12,122 | — | 12,122 |
Total | $ 46,024,735 | $ 1,909,845,787 | $ 1,050,442 | $ 1,956,920,964 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (1,886,214) | $ — | $ (1,886,214) |
Futures Contracts | (751,189) | — | — | (751,189) |
Swap Contracts | — | (115,456) | — | (115,456) |
Total | $ (751,189) | $ (2,001,670) | $ — | $ (2,752,859) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
Boston, Massachusetts
May 18, 2023
Number of Shares | ||||
Nominees for Trustee | For | Withheld | ||
Thomas E. Faust Jr. | 83,690,282 | 2,562,835 | ||
Mark R. Fetting | 83,811,249 | 2,441,868 | ||
Keith Quinton | 83,741,927 | 2,511,190 |
Number of Shares | ||||
Nominees for Trustee | For | Withheld | ||
Nancy A. Wiser | 7,511 | 1,017 |
Please print exact name on account | |
Shareholder signature | Date |
Shareholder signature | Date |
Please sign exactly as your common shares are registered. All persons whose names appear on the share certificate must sign. |
c/o American Stock Transfer & Trust Company, LLC
P.O. Box 922
Wall Street Station
New York, NY 10269-0560
Name and Year of Birth | Fund Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustees | |||
Thomas E. Faust Jr. 1958 | Class II Trustee | Until 2026. 3 years. Since 2007. | Chairman of Morgan Stanley Investment Management, Inc. (MSIM), member of the Board of Managers and President of EV (since 2021), Chief Executive Officer of EVM and BMR. Formerly, Chairman, Chief Executive Officer (2007-2021) and President (2006-2021) of EVC and Director of EVD (2007-2022). Mr. Faust is an interested person because of his positions with MSIM, BMR, EVM and EV, which are affiliates of the Fund. Mr. Faust has apprised the Board of Trustees that he intends to retire as a Trustee of all Eaton Vance Funds effective on or about August 3, 2023. Other Directorships. Formerly, Director of EVC (2007-2021) and Hexavest Inc. (investment management firm) (2012-2021). |
Anchal Pachnanda(1) 1980 | Class I Trustee | Until 2025. 3 years. Since 2023. | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Fund. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser(2) 1962 | Class III Trustee | Until 2024. 3 years. Since 2023. | Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. None. |
Mark R. Fetting 1954 | Class II Trustee | Until 2026. 3 years. Since 2016. | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Class I Trustee | Until 2025. 3 years. Since 2014. | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
Name and Year of Birth | Fund Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
George J. Gorman(3) 1952 | Chairperson of the Board and Class III Trustee | Until 2024. 3 years. Chairperson of the Board since 2021 and Trustee since 2014. | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Valerie A. Mosley 1960 | Class I Trustee | Until 2025. 3 years. Since 2014. | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (e-commerce provider) (2020-2022). |
Keith Quinton 1958 | Class II Trustee | Until 2026. 3 years. Since 2018. | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Class III Trustee | Until 2024. 3 years. Since 2018. | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Class III Trustee | Until 2024. 3 years. Since 2015. | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Class I Trustee | Until 2025. 3 years. Since 2016. | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser(3) 1967 | Class II Trustee | Until 2026. 3 years. Since 2022. | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Fund Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Eric A. Stein 1980 | President | Since 2020 | Vice President and Chief Investment Officer, Fixed Income of EVM and BMR. Prior to November 1, 2020, Mr. Stein was a co-Director of Eaton Vance’s Global Income Investments. Also Vice President of Calvert Research and Management (“CRM”). |
Name and Year of Birth | Fund Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
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
One Congress Street, Suite 1
Boston, MA 02114-2016
6201 15th Avenue
Brooklyn, NY 11219
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various
capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
(a) –(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended March 31, 2022 and March 31, 2023 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Fiscal Years Ended | 3/31/22 | 3/31/23 | ||||||
Audit Fees | $ | 127,600 | $ | 131,600 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 19,982 | $ | 350 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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| |||||
Total | $ | 147,582 | $ | 131,950 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01(c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended March 31, 2022 and March 31, 2023; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
Fiscal Years Ended | 3/31/22 | 3/31/23 | ||||||
Registrant | $ | 19,982 | $ | 350 | ||||
Eaton Vance(1) | $ | 51,800 | $ | 52,836 |
(1) | The Investment Adviser to the registrant, as well as any of its affiliates that provide ongoing services to the registrant, are subsidiaries of Morgan Stanley. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants
The registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities and Exchange Act of 1934, as amended. George J. Gorman, Keith Quinton, Scott E. Wennerholm (Chair), and Nancy A. Wiser are the members of the registrant’s audit committee.
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
The Board of the Fund has adopted a proxy voting policy and procedure (the “Fund Policy”), pursuant to which the trustees have delegated proxy voting responsibility to the Fund’s investment adviser and adopted the investment adviser’s proxy voting policies and procedures (the “Policies”) which are described below. The trustees will review the Policies annually. In the event that a conflict of interest arises between the Fund’s shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment adviser will generally refrain from voting the proxies related to the companies giving rise to such conflict until it consults with the Board, or any committee, sub-committee or group of independent trustees identified by the Board, which will instruct the investment adviser on the appropriate course of action. If the Board Members are unable to meet and the failure to vote a proxy would have a material adverse impact on the Fund, the investment adviser may vote such proxy, provided that it discloses the existence of the material conflict to the Chairperson of the Fund’s Board as soon as practicable and to the Board at its next meeting.
The Policies are designed to promote accountability of a company’s management to its shareholders and to align the interests of management with those shareholders. An independent proxy voting service (“Agent”), currently Institutional Shareholder Services, Inc., has been retained to assist in the voting of proxies through the provision of vote analysis, implementation and recordkeeping and disclosure services. The investment adviser will generally vote proxies through the Agent. The Agent is required to vote all proxies in accordance with customized proxy voting guidelines (the “Guidelines”) and/or refer them back to the investment adviser pursuant to the Policies.
The Agent is required to establish and maintain adequate internal controls and policies in connection with the provision of proxy voting services, including methods to reasonably ensure that its analysis and recommendations are not influenced by a conflict of interest. The Guidelines include voting guidelines for matters relating to, among other things, the election of directors, approval of independent auditors, executive compensation, corporate structure and anti-takeover defenses. The investment adviser may cause the Fund to abstain from voting from time to time where it determines that the costs associated with voting a proxy outweigh the benefits derived from exercising the right to vote or it is unable to access or access timely ballots or other proxy information, among other stated reasons. The Agent will refer Fund proxies to the investment adviser for instructions under circumstances where, among others: (1) the application of the Guidelines is unclear; (2) a particular proxy question is not covered by the Guidelines; or (3) the Guidelines require input from the investment adviser. When a proxy voting issue has been referred to the investment adviser, the analyst (or portfolio manager if applicable) covering the company subject to the proxy proposal determines the final vote (or decision not to vote) and the investment adviser’s Proxy Administrator (described below) instructs the Agent to vote accordingly for securities held by the Fund. Where more than one analyst covers a particular company and the recommendations of such analysts voting a proposal conflict, the investment adviser’s Global Proxy Group (described below) will review such recommendations and any other available information related to the proposal and determine the manner in which it should be voted, which may result in different recommendations for the Fund that may differ from other clients of the investment adviser.
The investment adviser has appointed a Proxy Administrator to assist in the coordination of the voting of client proxies (including the Fund’s) in accordance with the Guidelines and the Policies. The investment adviser and its affiliates have also established a Global Proxy Group. The Global Proxy Group develops the investment adviser’s positions on all major corporate issues, creates the Guidelines and oversees the proxy voting process. The Proxy Administrator maintains a record of all proxy questions that have been referred by the Agent, all applicable recommendations, analysis and research received and any resolution of the matter. Before instructing the Agent to vote contrary to the Guidelines or the recommendation of the Agent, the Proxy Administrator will provide the Global Proxy Group with the Agent’s recommendation for the proposal along with any other relevant materials, including the basis for the analyst’s recommendation. The Proxy Administrator will then instruct the Agent to vote the proxy in the manner determined by the Global Proxy Group. A similar process will be followed if the Agent has a conflict of interest with respect to a proxy. The investment adviser will report to the Fund’s Board any votes cast contrary to the Guidelines or Agent recommendations, as applicable, no less than annually.
The investment adviser’s Global Proxy Group is responsible for monitoring and resolving possible material conflicts with respect to proxy voting. Because the Guidelines are predetermined and designed to be in the best interests of shareholders, application of the Guidelines to vote client proxies should, in most cases, adequately address any possible conflict of interest. The investment adviser will monitor situations that may result in a conflict of interest between any of its clients and the investment adviser or any of its affiliates by maintaining a list of significant existing and prospective corporate clients. The Proxy Administrator will compare such list with the names of companies of which he or she has been referred a proxy statement (the “Proxy Companies”). If a company on the list is also a Proxy Company, the Proxy Administrator will report that fact to the Global
Proxy Group. If the Proxy Administrator intends to instruct the Agent to vote in a manner inconsistent with the Guidelines, the Global Proxy Group will first determine, in consultation with legal counsel if necessary, whether a material conflict exists. If it is determined that a material conflict exists, the investment adviser will seek instruction on how the proxy should be voted from the Fund’s Board, or any committee or subcommittee identified by the Board. If a matter is referred to the Global Proxy Group, the decision made and basis for the decision will be documented by the Proxy Administrator and/or Global Proxy Group.
Information on how the Fund voted proxies relating to portfolio securities during the most recent 12 month period ended June 30 is available (1) without charge, upon request, by calling 1-800-262-1122, and (2) on the Securities and Exchange Commission’s website at http://www.sec.gov.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Eaton Vance Management (“EVM” or “Eaton Vance”) is the investment adviser of the Fund. Catherine C. McDermott, Kelley Gerrity, Eric A. Stein and Andrew Szczurowski comprise the investment team responsible for the overall management of the Fund’s investments.
Ms. McDermott is a Vice President of EVM and has been a portfolio manager of the Fund since January 2008. Ms. Gerrity is a Vice President of EVM and has been a portfolio manager of the Fund since March 2019. Mr. Stein is a Vice President and Chief Investment Officer, Fixed Income of EVM, has been a portfolio manager of the Fund since December 2012. Mr. Szczurowski is a Vice President of EVM and has been a portfolio manager of the Fund since November 2011. Mmes. Gerrity and McDermott and Messrs. Stein and Szczurowski have managed other Eaton Vance portfolios for more than five years. This information is provided as of the date of filing this report.
The following table shows, as of the Fund’s most recent fiscal year end, the number of accounts each portfolio manager managed in each of the listed categories and the total assets (in millions of dollars) in the accounts managed within each category. The table also shows the number of accounts with respect to which the advisory fee is based on the performance of the account, if any, and the total assets (in millions of dollars) in those accounts.
Number of All Accounts | Total Assets of All Accounts | Number of Accounts Paying a Performance Fee | Total Assets of Accounts Paying a Performance Fee | |||||||||||||
Kelley Gerrity(1) | ||||||||||||||||
Registered Investment Companies | 7 | $10,614.9 | 0 | $0 | ||||||||||||
Other Pooled Investment Vehicles | 1 | $22.9 | 0 | $0 | ||||||||||||
Other Accounts | 0 | $0 | 0 | $0 | ||||||||||||
Catherine C. McDermott | ||||||||||||||||
Registered Investment Companies | 6 | $3,695.8 | 0 | $0 | ||||||||||||
Other Pooled Investment Vehicles | 0 | $0 | 0 | $0 | ||||||||||||
Other Accounts | 0 | $0 | 0 | $0 | ||||||||||||
Eric A. Stein(1) | ||||||||||||||||
Registered Investment Companies | 3 | $5,745.1 | 0 | $0 | ||||||||||||
Other Pooled Investment Vehicles | 1 | $64.5 | 0 | $0 | ||||||||||||
Other Accounts | 0 | $0 | 0 | $0 | ||||||||||||
Andrew Szczurowski(1) | ||||||||||||||||
Registered Investment Companies | 6 | $12,785.1 | 0 | $0 | ||||||||||||
Other Pooled Investment Vehicles | 1 | $64.5 | 0 | $0 | ||||||||||||
Other Accounts | 0 | $0 | 0 | $0 |
(1) | This portfolio manager serves as portfolio manager of one or more registered investment companies and/or pooled investment vehicles that invest or may invest in one or more underlying registered investment companies and/or separate pooled investment vehicles in the Eaton Vance family of funds. The underlying investment companies may be managed by this portfolio manager or another portfolio manager. |
The following table shows the dollar range of Fund shares beneficially owned by each portfolio manager as of the Fund’s most recent fiscal year end.
Portfolio Manager | Dollar Range of Equity Securities Beneficially Owned in the Fund | |
Kelley Gerrity | None | |
Catherine C. McDermott | None | |
Eric A. Stein | $1 - $10,000 | |
Andrew Szczurowski | $10,001 - $50,000 |
Potential for Conflicts of Interest. It is possible that conflicts of interest may arise in connection with a portfolio manager’s management of the Fund’s investments on the one hand and the investments of other accounts for which a portfolio manager is responsible on the other. For example, a portfolio manager may have conflicts of interest in allocating management time, resources and investment opportunities among the Fund and other accounts he or she advises. In addition, due to differences in the investment strategies or restrictions between the Fund and the other accounts, the portfolio manager may take action with respect to another account that differs from the action taken with respect to the Fund. In some cases, another account managed by a portfolio manager may compensate the investment adviser based on the performance of the securities held by that account. The existence of such a performance based fee may create additional conflicts of interest for the portfolio manager in the allocation of management time, resources and investment opportunities. Whenever conflicts of interest arise, the portfolio manager will endeavor to exercise his or her discretion in a manner that he or she believes is equitable to all interested persons. EVM has adopted several policies and procedures designed to address these potential conflicts including a code of ethics and policies that govern the investment adviser’s trading practices, including among other things the aggregation and allocation of trades among clients, brokerage allocations, cross trades and best execution.
Compensation Structure for EVM
The compensation structure of Eaton Vance and its affiliates that are investment advisers (for purposes of this section “Eaton Vance”) is based on a total reward system of base salary and incentive compensation, which is paid either in the form of cash bonus, or for employees meeting the specified deferred compensation eligibility threshold, partially as a cash bonus and partially as mandatory deferred compensation. Deferred compensation granted to Eaton Vance employees is generally granted as a mix of deferred cash awards under the Investment Management Alignment Plan (IMAP) and equity-based awards in the form of stock units. The portion of incentive compensation granted in the form of a deferred compensation award and the terms of such awards are determined annually by the Compensation, Management Development and Succession Committee of the Board of Directors of Eaton Vance’s parent company, Morgan Stanley.
Base salary compensation. Generally, portfolio managers and research analysts receive base salary compensation based on the level of their position with the adviser.
Incentive compensation. In addition to base compensation, portfolio managers and research analysts may receive discretionary year-end compensation. Incentive compensation may include:
• | Cash bonus |
• | Deferred compensation: |
• | A mandatory program that defers a portion of incentive compensation into restricted stock units or other awards based on Morgan Stanley common stock or other plans that are subject to vesting and other conditions. |
• | IMAP is a cash-based deferred compensation plan designed to increase the alignment of participants’ interests with the interests of clients. For eligible employees, a portion of their deferred compensation is mandatorily deferred into IMAP on an annual basis. Awards granted under IMAP are notionally invested in referenced funds available pursuant to the plan, which are funds advised |
by MSIM and its affiliates including Eaton Vance. Portfolio managers are required to notionally invest a minimum of 40% of their account balance in the designated funds that they manage and are included in the IMAP notional investment fund menu. |
• | Deferred compensation awards are typically subject to vesting over a multi-year period and are subject to cancellation through the payment date for competition, cause (i.e., any act or omission that constitutes a breach of obligation to the Funds, including failure to comply with internal compliance, ethics or risk management standards, and failure or refusal to perform duties satisfactorily, including supervisory and management duties), disclosure of proprietary information, and solicitation of employees or clients. Awards are also subject to clawback through the payment date if an employee’s act or omission (including with respect to direct supervisory responsibilities) causes a restatement of the firm’s consolidated financial results, constitutes a violation of the firm’s global risk management principles, policies and standards, or causes a loss of revenue associated with a position on which the employee was paid and the employee operated outside of internal control policies. |
Eaton Vance compensates employees based on principles of pay-for-performance, market competitiveness and risk management. Eligibility for, and the amount of any, discretionary compensation is subject to a multi-dimensional process. Specifically, consideration is given to one or more of the following factors, which can vary by portfolio management team and circumstances:
• | Revenue and profitability of the business and/or each fund/account managed by the portfolio manager |
• | Individual contribution and performance |
• | Contribution to client objectives |
• | Revenue and profitability of the firm |
• | Return on equity and risk factors of both the business units and Morgan Stanley |
• | Assets managed by the portfolio manager |
• | External market conditions |
• | New business development and business sustainability |
• | Team, product and/or Eaton Vance performance |
• | The pre-tax investment performance of the funds/accounts managed by the portfolio manager(1) (which may, in certain cases, be measured against the applicable benchmark(s) and/or peer group(s) over one, three and five-year periods),(2) provided that for funds that are tax-managed or otherwise have an objective of after-tax returns, performance net of taxes will be considered |
Further, the firm’s Global Incentive Compensation Discretion Policy requires compensation managers to consider only legitimate, business related factors when exercising discretion in determining variable incentive compensation, including adherence to Morgan Stanley’s core values, conduct, disciplinary actions in the current performance year, risk management and risk outcomes.
(1) | Generally, this is total return performance, provided that consideration may also be given to relative risk-adjusted performance. |
(2) | When a fund’s peer group as determined by Lipper or Morningstar is deemed by the relevant Eaton Vance Chief Investment Officer, or in the case of the sub-advised Funds, the Director of Product Development and Sub-Advised Funds, not to provide a fair comparison, performance may instead be evaluated primarily against a custom peer group or market index. |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
REGISTRANT PURCHASES OF EQUITY SECURITIES
Period* | Total Number of Shares Purchased | Average Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Programs | Maximum Number of Shares that May Yet Be Purchased Under the Programs | ||||
April 2022 | — | — | — | 10,354,702 | ||||
May 2022 | — | — | — | 10,354,702 | ||||
June 2022 | — | — | — | 10,354,702 | ||||
July 2022 | — | — | — | 10,354,702 | ||||
August 2022 | — | — | — | 10,354,702 | ||||
September 2022 | — | — | — | 10,354,702 | ||||
October 2022 | — | — | — | 10,354,702 | ||||
November 2022 | — | — | — | 10,354,702 | ||||
December 2022 | — | — | — | 10,354,702 | ||||
January 2023 | — | — | — | 10,354,702 | ||||
February 2023 | — | — | — | 10,354,702 | ||||
March 2023 | — | — | — | 10,354,702 | ||||
Total | — | — | — |
* | On November 11, 2013, the Fund’s Board of Trustees approved a share repurchase program authorizing the Fund to repurchase up to 10% of its then currently outstanding common shares in open-market transactions at a discount to net asset value. The repurchase program was announced on November 15, 2013. |
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 second fiscal quarter of 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: | May 22, 2023 |
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: | May 22, 2023 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | May 22, 2023 |