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: 811-21413
Name of Fund: | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Strategies Fund, Inc., 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2024
Date of reporting period: 06/30/2024
Item 1 – Reports to Stockholders
(a) The Reports to Shareholders are attached herewith.
![](https://capedge.com/proxy/N-CSRS/0001193125-24-213402/g878620img75302d8e1.jpg)
2024 Semi-Annual Report (Unaudited) |
BlackRock Debt Strategies Fund, Inc. (DSU) |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
BlackRock Income Trust, Inc. (BKT) |
BlackRock Limited Duration Income Trust (BLW) |
BlackRock Multi-Sector Income Trust (BIT) |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Total Cumulative Distributions for the Fiscal Period | % Breakdown of the Total Cumulative Distributions for the Fiscal Period | ||||||||||
Fund Name | Net Income | Net Realized Capital Gains Short-Term | Net Realized Capital Gains Long-Term | Return of Capital (a) | Total Per Common Share | Net Income | Net Realized Capital Gains Short-Term | Net Realized Capital Gains Long-Term | Return of Capital | Total Per Common Share | |
DSU | $ 0.490927 | $ — | $ — | $ 0.101453 | $ 0.592380 | 83 % | — % | — % | 17 % | 100 % | |
FRA | 0.611348 | — | — | 0.131692 | 0.743040 | 82 | — | — | 18 | 100 | |
BKT | 0.203628 | — | — | 0.325572 | 0.529200 | 38 | — | — | 62 | 100 | |
BLW | 0.587721 | — | — | 0.059679 | 0.647400 | 91 | — | — | 9 | 100 | |
BIT | 0.471579 | — | — | 0.270621 | 0.742200 | 64 | — | — | 36 | 100 |
(a) | Each Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share. |
Fund Name | Amount Per Common Share |
DSU | $ 0.098730 |
FRA | 0.123840 |
BKT | 0.088200 |
BLW | 0.107900 |
BIT | 0.123700 |
Symbol on New York Stock Exchange | DSU |
Initial Offering Date | March 27, 1998 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($10.84)(a) | 10.93% |
Current Monthly Distribution per Common Share(b) | $0.098730 |
Current Annualized Distribution per Common Share(b) | $1.184760 |
Leverage as of June 30, 2024(c) | 21% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 10.84 | $ 10.79 | 0.46 % | $ 11.36 | $ 10.26 |
Net Asset Value | 10.74 | 10.89 | (1.38 ) | 10.91 | 10.72 |
Average Annual Total Returns | ||||
6-month | 1 Year | 5 Years | 10 Years | |
Fund at NAV(a)(b) | 4.16 % | 11.63 % | 6.16 % | 5.84 % |
Fund at Market Price(a)(b) | 6.10 | 23.37 | 8.97 | 6.84 |
Reference Benchmark(c) | 3.50 | 10.81 | 4.75 | 4.48 |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) | 2.58 | 10.43 | 3.90 | 4.30 |
Morningstar LSTA Leveraged Loan Index(e) | 4.40 | 11.11 | 5.53 | 4.60 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the Morningstar LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) | An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon spreads, interest payments and market weightings subject to a single loan facility weight cap of 2%. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
PORTFOLIO COMPOSITION | |
Investment Type | Percent of Total Investments |
Floating Rate Loan Interests | 80.3 % |
Corporate Bonds | 13.9 |
Asset-Backed Securities | 2.3 |
Investment Companies | 1.9 |
Other* | 1.6 |
CREDIT QUALITY ALLOCATION | |
Credit Rating(a) | Percent of Total Investments(b) |
A | 0.1 % |
BBB/Baa | 8.6 |
BB/Ba | 28.1 |
B | 53.3 |
CCC/Caa | 5.4 |
N/R(c) | 4.5 |
(a) | For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2024, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
Symbol on New York Stock Exchange | FRA |
Initial Offering Date | October 31, 2003 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($12.94)(a) | 11.48% |
Current Monthly Distribution per Common Share(b) | $0.123840 |
Current Annualized Distribution per Common Share(b) | $1.486080 |
Leverage as of June 30, 2024(c) | 24% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 12.94 | $ 12.66 | 2.21 % | $ 13.32 | $ 12.22 |
Net Asset Value | 13.08 | 13.26 | (1.36 ) | 13.30 | 13.05 |
Average Annual Total Returns | ||||
6-month | 1 Year | 5 Years | 10 Years | |
Fund at NAV(a)(b) | 4.44 % | 11.62 % | 6.33 % | 5.47 % |
Fund at Market Price(a)(b) | 8.22 | 18.83 | 8.72 | 5.95 |
Morningstar LSTA Leveraged Loan Index(c) | 4.40 | 11.11 | 5.53 | 4.60 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon spreads, interest payments and market weightings subject to a single loan facility weight cap of 2%. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
PORTFOLIO COMPOSITION | |
Investment Type | Percent of Total Investments |
Floating Rate Loan Interests | 93.6 % |
Investment Companies | 2.4 |
Asset-Backed Securities | 1.9 |
Corporate Bonds | 1.3 |
Other* | 0.8 |
CREDIT QUALITY ALLOCATION | |
Credit Rating(a) | Percent of Total Investments(b) |
A | 0.1 % |
BBB/Baa | 9.2 |
BB/Ba | 26.3 |
B | 55.2 |
CCC/Caa | 4.5 |
N/R(c) | 4.7 |
(a) | For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2024, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
Symbol on New York Stock Exchange | BKT |
Initial Offering Date | July 22, 1988 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($11.93)(a) | 8.87% |
Current Monthly Distribution per Common Share(b) | $0.088200 |
Current Annualized Distribution per Common Share(b) | $1.058400 |
Leverage as of June 30, 2024(c) | 23% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 11.93 | $ 12.18 | (2.05 )% | $ 12.36 | $ 11.12 |
Net Asset Value | 12.06 | 12.73 | (5.26 ) | 12.73 | 11.75 |
Average Annual Total Returns | ||||
6-month | 1 Year | 5 Years | 10 Years | |
Fund at NAV(a)(b) | (0.95 )% | 3.48 % | (1.69 )% | 0.71 % |
Fund at Market Price(a)(b) | 2.41 | 7.25 | (0.73 ) | 1.60 |
FTSE Mortgage Index(c) | (1.00 ) | 2.10 | (0.83 ) | 0.86 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
PORTFOLIO COMPOSITION | |
Investment Type | Percent of Total Investments |
U.S. Government Sponsored Agency Securities | 98.7 % |
Non-Agency Mortgage-Backed Securities | 1.3 |
Asset-Backed Securities | — (a) |
CREDIT QUALITY ALLOCATION | |
Credit Rating(b) | Percent of Total Investments(c) |
AAA/Aaa(d) | 99.6 % |
AA/Aa | 0.1 |
CCC/Caa | — (a) |
N/R | 0.3 |
(a) | Rounds to less than 0.1%. |
(b) | For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | Excludes short-term securities. |
(d) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
Symbol on New York Stock Exchange | BLW |
Initial Offering Date | July 30, 2003 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($13.96)(a) | 9.28% |
Current Monthly Distribution per Common Share(b) | $0.107900 |
Current Annualized Distribution per Common Share(b) | $1.294800 |
Leverage as of June 30, 2024(c) | 41% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The monthly distribution per Common Share, declared on July 1, 2024, was increased to $0.113200 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 13.96 | $ 13.98 | (0.14 )% | $ 14.22 | $ 13.30 |
Net Asset Value | 13.95 | 14.11 | (1.13 ) | 14.13 | 13.77 |
Average Annual Total Returns | ||||
6-month | 1 Year | 5 Years | 10 Years | |
Fund at NAV(a)(b) | 3.57 % | 12.27 % | 4.42 % | 5.30 % |
Fund at Market Price(a)(b) | 4.61 | 18.98 | 6.95 | 5.89 |
Reference Benchmark(c) | 2.91 | 9.10 | 3.71 | 3.60 |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) | 2.58 | 10.43 | 3.90 | 4.30 |
Morningstar LSTA Leveraged Loan Index(e) | 4.40 | 11.11 | 5.53 | 4.60 |
BATS S Benchmark(f) | 1.76 | 5.74 | 1.51 | 1.77 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the Morningstar LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) | An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon spreads, interest payments and market weightings subject to a single loan facility weight cap of 2%. |
(f) | A composite index comprised of Bloomberg ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Corporate 1-5 year Index, Bloomberg CMBS Investment Grade 1-3.5 Yr. Index, Bloomberg MBS 15 Yr Index and Bloomberg Credit Ex-Corporate 1-5 Yr Index. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
PORTFOLIO COMPOSITION | |
Investment Type | Percent of Total Investments |
Corporate Bonds | 43.8 % |
Floating Rate Loan Interests | 35.9 |
U.S. Treasury Obligations | 6.6 |
Asset-Backed Securities | 4.2 |
Preferred Securities | 3.8 |
U.S. Government Sponsored Agency Securities | 2.3 |
Non-Agency Mortgage-Backed Securities | 2.0 |
Other* | 1.4 |
CREDIT QUALITY ALLOCATION | |
Credit Rating(a) | Percent of Total Investments(b) |
AAA/Aaa(c) | 10.1 % |
AA/Aa | 0.7 |
A | 1.6 |
BBB/Baa | 10.2 |
BB/Ba | 30.4 |
B | 38.3 |
CCC/Caa | 4.9 |
CC | — (d) |
C | 0.3 |
D | — (d) |
N/R(e) | 3.5 |
(a) | For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
(d) | Rounds to less than 0.1%. |
(e) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2024, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
Symbol on New York Stock Exchange | BIT |
Initial Offering Date | February 27, 2013 |
Current Distribution Rate on Closing Market Price as of June 30, 2024 ($14.58)(a) | 10.18% |
Current Monthly Distribution per Common Share(b) | $0.123700 |
Current Annualized Distribution per Common Share(b) | $1.484400 |
Leverage as of June 30, 2024(c) | 35% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
06/30/24 | 12/31/23 | Change | High | Low | |
Closing Market Price | $ 14.58 | $ 15.00 | (2.80 )% | $ 15.88 | $ 14.53 |
Net Asset Value | 14.44 | 14.76 | (2.17 ) | 14.76 | 14.26 |
Average Annual Total Returns | ||||
6-month | 1 Year | 5 Years | 10 Years | |
Fund at NAV(a)(b) | 2.89 % | 10.75 % | 4.35 % | 6.04 % |
Fund at Market Price(a)(b) | 2.23 | 12.37 | 5.98 | 7.14 |
Bloomberg U.S. Aggregate Bond Index(c) | (0.71 ) | 2.63 | (0.23 ) | 1.35 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage, if any. |
(b) | The Fund’s premium to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
Past performance is not an indication of future results.
These views are not intended to be a forecast of future events and are no guarantee of future results.
PORTFOLIO COMPOSITION | |
Investment Type | Percent of Total Investments |
Corporate Bonds | 55.7 % |
Asset-Backed Securities | 12.6 |
Non-Agency Mortgage-Backed Securities | 11.6 |
U.S. Government Sponsored Agency Securities | 8.6 |
Floating Rate Loan Interests | 5.0 |
Preferred Securities | 4.0 |
Other* | 2.5 |
CREDIT QUALITY ALLOCATION | |
Credit Rating(a) | Percent of Total Investments(b) |
AAA/Aaa(c) | 15.4 % |
AA/Aa | 1.5 |
A | 2.5 |
BBB/Baa | 9.5 |
BB/Ba | 26.7 |
B | 26.1 |
CCC/Caa | 5.4 |
CC | 0.3 |
C | 3.8 |
D | — (d) |
N/R(e) | 8.8 |
(a) | For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(b) | Excludes short-term securities. |
(c) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser. |
(d) | Rounds to less than 0.1%. |
(e) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2024, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of total investments. |
* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
Ballyrock CLO Ltd., Series 2023-25A, Class C, (3-mo. CME Term SOFR + 4.70%), 10.02%, 01/25/36(a)(b) | USD | 1,000 | $ 1,015,189 |
Bryant Park Funding Ltd., Series 2024-23A, Class D1, (3-mo. CME Term SOFR + 3.85%), 9.18%, 05/15/37(a)(b) | 1,000 | 1,012,491 | |
Eaton Vance CLO Ltd., Series 2019-1A, Class D1R2, (3-mo. CME Term SOFR + 3.35%), 8.68%, 07/15/37(a)(b) | 2,000 | 1,999,810 | |
Golub Capital Partners CLO Ltd.(a)(b) | |||
Series 2023-66B, Class D, (3-mo. CME Term SOFR + 5.50%), 10.82%, 04/25/36 | 1,000 | 1,020,795 | |
Series 2024-74A, Class D1, (3-mo. CME Term SOFR + 3.20%), 8.51%, 07/25/37 | 1,500 | 1,499,955 | |
Madison Park Funding LXIX Ltd., Series 2024-69A, Class D1, (3-mo. CME Term SOFR + 3.35%), 3.40%, 07/25/37(a)(b) | 1,090 | 1,089,722 | |
Oaktree CLO Ltd., Series 2024-26A, Class D1, (3-mo. CME Term SOFR + 3.45%), 8.78%, 04/20/37(a)(b) | 1,500 | 1,499,840 | |
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.77%, 04/20/36(a)(b) | 1,000 | 1,043,721 | |
Sycamore Tree CLO Ltd., Series 2023-3A, Class D1R, (3-mo. CME Term SOFR + 4.25%), 9.57%, 04/20/37(a)(b) | 1,590 | 1,608,169 | |
Symphony CLO Ltd.(a)(b) | |||
Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.52%, 04/24/36 | 1,000 | 1,025,003 | |
Series 2023-40A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.33%, 01/14/34 | 1,000 | 1,016,008 | |
Unique Pub Finance Co. PLC(c) | |||
Series 02, Class N, 6.46%, 03/30/32 | GBP | 100 | 130,939 |
Series 02-1, Class A4, 5.66%, 06/30/27 | 28 | 34,782 | |
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 10.47%, 04/20/36(a)(b) | USD | 1,000 | 1,031,206 |
Total Asset-Backed Securities — 3.0% (Cost: $14,860,496) | 15,027,630 |
Shares | |||
Common Stocks | |||
Construction & Engineering — 0.0% | |||
McDermott International Ltd.(d) | 141,483 | 41,030 | |
Electrical Equipment — 0.0% | |||
SunPower Corp.(d) | 1,707 | 5,053 | |
Energy Equipment & Services — 0.0% | |||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(e)(f) | 7,288 | — | |
Entertainment — 0.1% | |||
Learfield Communications LLC, (Acquired 09/06/23, Cost: $73,447)(d)(e)(f) | 5,846 | 312,761 |
Security | Shares | Value | |
Financial Services(d) — 0.1% | |||
NMG Parent LLC | 1,477 | $ 147,700 | |
Travelport Finance Luxembourg SARL(e) | 228 | 615,292 | |
762,992 | |||
Health Care Providers & Services — 0.1% | |||
Envision Healthcare Corp., (Acquired 11/03/23, Cost: $875,815)(d)(f) | 28,198 | 289,029 | |
Industrial Conglomerates — 0.0% | |||
Ameriforge Group, Inc.(d)(e) | 1,664 | 17 | |
Oil, Gas & Consumable Fuels — 0.0% | |||
Kcad Holdings I Ltd.(d)(e) | 1,075,282,733 | 10,753 | |
Semiconductors & Semiconductor Equipment — 0.0% | |||
Maxeon Solar Technologies Ltd.(d) | 213 | 182 | |
Trading Companies & Distributors — 0.0% | |||
TMK Hawk Parent Corp.(d)(e) | 24,798 | 216,980 | |
Total Common Stocks — 0.3% (Cost: $15,752,890) | 1,638,797 |
Par (000) | |||
Corporate Bonds | |||
Advertising Agencies(b) — 0.0% | |||
Neptune Bidco U.S., Inc., 9.29%, 04/15/29 | USD | 186 | 178,518 |
Stagwell Global LLC, 5.63%, 08/15/29 | 32 | 29,556 | |
208,074 | |||
Aerospace & Defense(b) — 0.7% | |||
AAR Escrow Issuer LLC, 6.75%, 03/15/29 | 71 | 72,376 | |
Boeing Co., 6.53%, 05/01/34 | 175 | 179,183 | |
Bombardier, Inc. | |||
7.88%, 04/15/27 | 4 | 4,010 | |
6.00%, 02/15/28 | 206 | 203,630 | |
7.50%, 02/01/29 | 4 | 4,145 | |
8.75%, 11/15/30 | 118 | 127,532 | |
7.25%, 07/01/31 | 36 | 36,962 | |
7.00%, 06/01/32 | 62 | 62,861 | |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26 | 200 | 198,000 | |
Spirit AeroSystems, Inc. | |||
9.38%, 11/30/29 | 111 | 119,507 | |
9.75%, 11/15/30 | 128 | 141,199 | |
TransDigm, Inc. | |||
6.75%, 08/15/28 | 527 | 533,442 | |
6.38%, 03/01/29 | 659 | 662,323 | |
7.13%, 12/01/31 | 201 | 207,106 | |
6.63%, 03/01/32 | 663 | 669,669 | |
Triumph Group, Inc., 9.00%, 03/15/28 | 212 | 222,227 | |
3,444,172 | |||
Air Freight & Logistics — 0.0% | |||
Rand Parent LLC, 8.50%, 02/15/30(b) | 7 | 7,087 | |
Automobile Components — 0.4% | |||
Champions Financing, Inc., 8.75%, 02/15/29(b) | 289 | 296,362 |
Security | Par (000) | Value | |
Automobile Components (continued) | |||
Clarios Global LP, 6.75%, 05/15/25(b) | USD | 486 | $ 485,852 |
Clarios Global LP/Clarios U.S. Finance Co.(b) | |||
8.50%, 05/15/27 | 624 | 627,520 | |
6.75%, 05/15/28 | 193 | 195,326 | |
Forvia SE, 3.75%, 06/15/28(c) | EUR | 100 | 103,080 |
Garrett Motion Holdings, Inc./Garrett LX I SARL, 7.75%, 05/31/32(b) | USD | 121 | 122,624 |
Goodyear Tire & Rubber Co. | |||
5.00%, 07/15/29 | 26 | 24,201 | |
5.63%, 04/30/33 | 30 | 27,118 | |
NM Holdings Co. LLC(e) | |||
12.00%, 06/01/09 | 5,150 | — | |
Series B, 9.50%, 07/01/05 | 5,125 | — | |
Phinia, Inc., 6.75%, 04/15/29(b) | 38 | 38,564 | |
Tenneco, Inc., 8.00%, 11/17/28(b) | 77 | 70,097 | |
ZF Finance GmbH, 5.75%, 08/03/26(c) | EUR | 100 | 109,772 |
2,100,516 | |||
Automobiles — 0.1% | |||
Asbury Automotive Group, Inc. | |||
4.50%, 03/01/28 | USD | 39 | 36,951 |
5.00%, 02/15/32(b) | 73 | 66,138 | |
Aston Martin Capital Holdings Ltd., 10.38%, 03/31/29(c) | GBP | 100 | 125,462 |
Carvana Co.(b)(g) | |||
(13.00% PIK), 13.00%, 06/01/30 | USD | 57 | 62,396 |
(14.00% PIK), 14.00%, 06/01/31 | 165 | 185,348 | |
Cougar JV Subsidiary LLC, 8.00%, 05/15/32(b) | 54 | 55,840 | |
Wabash National Corp., 4.50%, 10/15/28(b) | 70 | 62,988 | |
595,123 | |||
Banks — 0.1% | |||
Banca Monte dei Paschi di Siena SpA, (3-mo. EURIBOR + 2.05%), 4.75%, 03/15/29(a)(c) | EUR | 100 | 107,277 |
Banco Espirito Santo SA | |||
2.63%, 05/08/17(c) | 100 | 29,987 | |
4.75%, 01/15/18 | 200 | 59,973 | |
4.00%, 01/21/19 | 100 | 29,987 | |
Barclays Bank PLC, 1.00%, 02/16/29(h) | USD | 93 | 96,415 |
Deutsche Bank AG, (5-year EURIBOR ICE Swap + 4.55%), 4.50%(a)(c)(i) | EUR | 200 | 191,165 |
Freedom Mortgage Corp., 12.25%, 10/01/30(b) | USD | 26 | 27,969 |
National Bank of Greece SA, (5-year EURIBOR ICE Swap + 3.15%), 5.88%, 06/28/35(a)(c) | EUR | 100 | 108,059 |
650,832 | |||
Broadline Retail(b) — 0.1% | |||
Ken Garff Automotive LLC, 4.88%, 09/15/28 | USD | 39 | 36,146 |
LCM Investments Holdings II LLC | |||
4.88%, 05/01/29 | 103 | 96,277 | |
8.25%, 08/01/31 | 93 | 97,043 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 | 38 | 37,542 | |
Rakuten Group, Inc., 9.75%, 04/15/29 | 200 | 206,150 | |
473,158 | |||
Building Materials — 0.4% | |||
Builders FirstSource, Inc., 6.38%, 03/01/34(b) | 51 | 50,490 | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) | 67 | 65,687 | |
EMRLD Borrower LP/Emerald Co-Issuer, Inc.(b) | |||
6.63%, 12/15/30 | 703 | 708,485 |
Security | Par (000) | Value | |
Building Materials (continued) | |||
EMRLD Borrower LP/Emerald Co-Issuer, Inc.(b) (continued) | |||
07/15/31(j) | USD | 55 | $ 55,687 |
Masterbrand, Inc., 7.00%, 07/15/32(b) | 35 | 35,395 | |
New Enterprise Stone & Lime Co., Inc.(b) | |||
5.25%, 07/15/28 | 26 | 24,547 | |
9.75%, 07/15/28 | 40 | 40,666 | |
Smyrna Ready Mix Concrete LLC(b) | |||
6.00%, 11/01/28 | 119 | 116,259 | |
8.88%, 11/15/31 | 178 | 188,845 | |
Standard Industries, Inc. | |||
2.25%, 11/21/26(c) | EUR | 100 | 101,146 |
5.00%, 02/15/27(b) | USD | 27 | 26,246 |
4.38%, 07/15/30(b) | 176 | 159,019 | |
3.38%, 01/15/31(b) | 34 | 28,646 | |
Summit Materials LLC/Summit Materials Finance Corp.(b) | |||
5.25%, 01/15/29 | 112 | 107,881 | |
7.25%, 01/15/31 | 102 | 105,637 | |
1,814,636 | |||
Building Products(b) — 0.2% | |||
Beacon Roofing Supply, Inc. | |||
4.13%, 05/15/29 | 31 | 28,240 | |
6.50%, 08/01/30 | 48 | 48,432 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29 | 24 | 21,299 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 27 | 26,528 | |
White Cap Buyer LLC, 6.88%, 10/15/28 | 759 | 732,352 | |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(g) | 109 | 109,003 | |
965,854 | |||
Capital Markets — 0.2% | |||
Apollo Debt Solutions BDC, 6.90%, 04/13/29(b) | 55 | 55,274 | |
Ares Capital Corp. | |||
5.88%, 03/01/29 | 35 | 34,496 | |
5.95%, 07/15/29 | 70 | 68,814 | |
Aretec Group, Inc., 10.00%, 08/15/30(b) | 25 | 27,190 | |
Blackstone Private Credit Fund | |||
3.25%, 03/15/27 | 24 | 22,157 | |
5.95%, 07/16/29(b) | 34 | 33,298 | |
6.25%, 01/25/31(b) | 41 | 40,765 | |
Blue Owl Capital Corp., 3.40%, 07/15/26 | 5 | 4,711 | |
Blue Owl Capital Corp. II, 8.45%, 11/15/26(b) | 38 | 39,206 | |
Blue Owl Credit Income Corp. | |||
7.75%, 09/16/27 | 58 | 59,595 | |
6.60%, 09/15/29(b) | 25 | 24,661 | |
Blue Owl Technology Finance Corp. II, 6.75%, 04/04/29(b) | 26 | 25,436 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | 65 | 61,651 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | |||
6.25%, 05/15/26 | 16 | 15,874 | |
5.25%, 05/15/27 | 185 | 173,645 | |
9.75%, 01/15/29(b) | 77 | 79,772 | |
4.38%, 02/01/29 | 55 | 47,027 | |
9.00%, 06/15/30(b) | 49 | 48,753 |
Security | Par (000) | Value | |
Capital Markets (continued) | |||
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(b) | USD | 43 | $ 45,452 |
State Street Corp., Series I, (5-year CMT + 2.61%), 6.70%(a)(i) | 69 | 69,411 | |
977,188 | |||
Chemicals — 0.6% | |||
Chemours Co. | |||
5.38%, 05/15/27 | 60 | 56,953 | |
5.75%, 11/15/28(b) | 103 | 95,094 | |
4.63%, 11/15/29(b) | 39 | 33,579 | |
Element Solutions, Inc., 3.88%, 09/01/28(b) | 498 | 457,667 | |
Herens Holdco SARL, 4.75%, 05/15/28(b) | 200 | 173,488 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) | 184 | 185,457 | |
INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29(c) | EUR | 100 | 113,387 |
Ingevity Corp., 3.88%, 11/01/28(b) | USD | 23 | 20,868 |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(g) | 90 | 73,950 | |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | 42 | 39,751 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | 55 | 52,201 | |
Olympus Water U.S. Holding Corp. | |||
9.63%, 11/15/28(c) | EUR | 100 | 114,739 |
9.75%, 11/15/28(b) | USD | 200 | 211,594 |
7.25%, 06/15/31(b) | 200 | 198,802 | |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) | 185 | 167,538 | |
WR Grace Holdings LLC(b) | |||
4.88%, 06/15/27 | 55 | 53,038 | |
5.63%, 08/15/29 | 1,040 | 958,563 | |
7.38%, 03/01/31 | 53 | 53,714 | |
3,060,383 | |||
Commercial Services & Supplies — 1.0% | |||
ADT Security Corp.(b) | |||
4.13%, 08/01/29 | 9 | 8,300 | |
4.88%, 07/15/32 | 68 | 62,444 | |
Allied Universal Holdco LLC, 7.88%, 02/15/31(b) | 294 | 294,765 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) | |||
6.63%, 07/15/26 | 11 | 10,967 | |
9.75%, 07/15/27 | 30 | 29,817 | |
6.00%, 06/01/29 | 323 | 282,749 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL | |||
4.63%, 06/01/28(b) | 400 | 364,625 | |
4.88%, 06/01/28(c) | GBP | 100 | 113,611 |
APi Group DE, Inc.(b) | |||
4.13%, 07/15/29 | USD | 67 | 60,970 |
4.75%, 10/15/29 | 32 | 29,857 | |
APX Group, Inc.(b) | |||
6.75%, 02/15/27 | 46 | 45,881 | |
5.75%, 07/15/29 | 86 | 82,511 | |
Block, Inc. | |||
2.75%, 06/01/26 | 161 | 152,080 | |
6.50%, 05/15/32(b) | 273 | 276,655 | |
Boels Topholding BV, 5.75%, 05/15/30(c) | EUR | 100 | 108,487 |
Boost Newco Borrower LLC, 7.50%, 01/15/31(b) | USD | 400 | 417,061 |
Brink’s Co.(b) | |||
6.50%, 06/15/29 | 39 | 39,409 | |
6.75%, 06/15/32 | 58 | 58,426 | |
Fortress Transportation and Infrastructure Investors LLC(b) | |||
5.50%, 05/01/28 | 238 | 230,752 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
Fortress Transportation and Infrastructure Investors LLC(b) (continued) | |||
7.88%, 12/01/30 | USD | 172 | $ 179,934 |
7.00%, 05/01/31 | 245 | 250,306 | |
7.00%, 06/15/32 | 154 | 156,179 | |
Garda World Security Corp.(b) | |||
4.63%, 02/15/27 | 61 | 58,289 | |
9.50%, 11/01/27 | 30 | 30,139 | |
7.75%, 02/15/28 | 175 | 178,235 | |
6.00%, 06/01/29 | 27 | 24,633 | |
Global Payments, Inc., 1.50%, 03/01/31(b)(h) | 142 | 130,001 | |
Herc Holdings, Inc.(b) | |||
5.50%, 07/15/27 | 101 | 99,419 | |
6.63%, 06/15/29 | 67 | 67,940 | |
Mavis Tire Express Services Topco Corp., 6.50%, 05/15/29(b) | 39 | 36,359 | |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | 52 | 48,164 | |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28(b) | 178 | 175,405 | |
Q-Park Holding I BV, 02/15/30(c)(j) | EUR | 100 | 106,827 |
Service Corp. International, 4.00%, 05/15/31 | USD | 45 | 40,076 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 76 | 73,588 | |
Sotheby’s, 7.38%, 10/15/27(b) | 200 | 167,011 | |
Sotheby’ s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b) | 202 | 150,324 | |
United Rentals North America, Inc., 6.13%, 03/15/34(b) | 45 | 44,836 | |
Wand NewCo 3, Inc., 7.63%, 01/30/32(b) | 201 | 207,591 | |
Williams Scotsman, Inc.(b) | |||
6.63%, 06/15/29 | 48 | 48,380 | |
7.38%, 10/01/31 | 63 | 64,834 | |
Worldline SA/France, 0.00%, 07/30/26(c)(k) | EUR | 14 | 14,338 |
5,022,175 | |||
Communications Equipment(b) — 0.0% | |||
CommScope, Inc., 4.75%, 09/01/29 | USD | 72 | 49,846 |
Viavi Solutions, Inc., 3.75%, 10/01/29 | 31 | 26,182 | |
76,028 | |||
Construction & Engineering — 0.2% | |||
Arcosa, Inc., 4.38%, 04/15/29(b) | 117 | 108,649 | |
Azzurra Aeroporti SpA, 2.63%, 05/30/27(c) | EUR | 100 | 101,230 |
Brand Industrial Services, Inc., 10.38%, 08/01/30(b) | USD | 624 | 674,353 |
Dycom Industries, Inc., 4.50%, 04/15/29(b) | 37 | 34,625 | |
Pike Corp., 8.63%, 01/31/31(b) | 23 | 24,364 | |
943,221 | |||
Construction Materials(b) — 0.0% | |||
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/29 | 10 | 8,945 | |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 | 12 | 11,580 | |
Gates Corp., 6.88%, 07/01/29 | 74 | 75,290 | |
H&E Equipment Services, Inc., 3.88%, 12/15/28 | 20 | 18,045 | |
Resideo Funding, Inc., 4.00%, 09/01/29 | 18 | 15,865 | |
Velocity Vehicle Group LLC, 8.00%, 06/01/29 | 32 | 32,914 | |
162,639 | |||
Consumer Finance — 0.2% | |||
Bread Financial Holdings, Inc., 9.75%, 03/15/29(b) | 36 | 37,819 | |
JPMorgan Chase Financial Co. LLC, 0.50%, 06/15/27(h) | 100 | 106,150 | |
Navient Corp. | |||
5.50%, 03/15/29 | 66 | 60,259 |
Security | Par (000) | Value | |
Consumer Finance (continued) | |||
Navient Corp. (continued) | |||
9.38%, 07/25/30 | USD | 70 | $ 73,603 |
OneMain Finance Corp. | |||
6.63%, 01/15/28 | 53 | 53,188 | |
9.00%, 01/15/29 | 122 | 128,713 | |
5.38%, 11/15/29 | 126 | 118,170 | |
7.88%, 03/15/30 | 99 | 102,074 | |
4.00%, 09/15/30 | 95 | 81,533 | |
7.50%, 05/15/31 | 27 | 27,321 | |
SLM Corp., 3.13%, 11/02/26 | 56 | 52,162 | |
840,992 | |||
Consumer Staples Distribution & Retail(b) — 0.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | |||
5.88%, 02/15/28 | 84 | 83,025 | |
6.50%, 02/15/28 | 10 | 10,047 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | 104 | 100,776 | |
Performance Food Group, Inc., 4.25%, 08/01/29 | 74 | 67,370 | |
Post Holdings, Inc. | |||
5.50%, 12/15/29 | 11 | 10,614 | |
4.63%, 04/15/30 | 36 | 33,081 | |
4.50%, 09/15/31 | 28 | 25,098 | |
6.25%, 02/15/32 | 70 | 70,091 | |
U.S. Foods, Inc. | |||
4.63%, 06/01/30 | 13 | 12,078 | |
7.25%, 01/15/32 | 60 | 62,267 | |
United Natural Foods, Inc., 6.75%, 10/15/28 | 22 | 19,861 | |
494,308 | |||
Containers & Packaging — 0.4% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) | |||
6.00%, 06/15/27 | 200 | 196,524 | |
4.00%, 09/01/29 | 285 | 241,183 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |||
2.13%, 08/15/26(c) | EUR | 100 | 88,783 |
4.13%, 08/15/26(b) | USD | 200 | 173,593 |
Clydesdale Acquisition Holdings, Inc.(b) | |||
6.63%, 04/15/29 | 76 | 74,695 | |
8.75%, 04/15/30 | 252 | 246,621 | |
LABL, Inc.(b) | |||
6.75%, 07/15/26 | 17 | 16,788 | |
5.88%, 11/01/28 | 71 | 64,742 | |
9.50%, 11/01/28 | 117 | 117,922 | |
Mauser Packaging Solutions Holding Co.(b) | |||
7.88%, 04/15/27 | 784 | 799,673 | |
9.25%, 04/15/27 | 15 | 15,010 | |
Owens-Brockway Glass Container, Inc.(b) | |||
6.63%, 05/13/27 | 10 | 9,980 | |
7.25%, 05/15/31 | 42 | 41,927 | |
Sealed Air Corp.(b) | |||
5.00%, 04/15/29 | 15 | 14,276 | |
6.50%, 07/15/32 | 46 | 45,742 | |
Trident TPI Holdings, Inc., 12.75%, 12/31/28(b) | 27 | 29,489 | |
2,176,948 |
Security | Par (000) | Value | |
Diversified Consumer Services(b) — 0.0% | |||
Match Group Holdings II LLC, 3.63%, 10/01/31 | USD | 53 | $ 44,893 |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 | 113 | 97,715 | |
142,608 | |||
Diversified REITs — 0.2% | |||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | 35 | 30,665 | |
HAT Holdings I LLC/HAT Holdings II LLC(b) | |||
3.38%, 06/15/26 | 59 | 55,634 | |
8.00%, 06/15/27 | 54 | 56,140 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | 77 | 70,335 | |
SBA Communications Corp. | |||
3.13%, 02/01/29 | 294 | 262,115 | |
3.88%, 02/15/27 | 27 | 25,732 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | 450 | 440,677 | |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b) | 147 | 145,078 | |
1,086,376 | |||
Diversified Telecommunication Services — 1.0% | |||
Altice Financing SA(b) | |||
9.63%, 07/15/27 | 200 | 183,259 | |
5.75%, 08/15/29 | 236 | 171,349 | |
Altice France SA/France | |||
11.50%, 02/01/27(c) | EUR | 100 | 87,577 |
5.13%, 07/15/29(b) | USD | 200 | 131,520 |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b) | 200 | 193,030 | |
Frontier Communications Holdings LLC(b) | |||
5.88%, 10/15/27 | 12 | 11,716 | |
5.00%, 05/01/28 | 21 | 19,784 | |
8.75%, 05/15/30 | 550 | 566,743 | |
8.63%, 03/15/31 | 98 | 100,952 | |
GCI LLC, 4.75%, 10/15/28(b) | 35 | 31,947 | |
Iliad Holding SASU, 7.00%, 10/15/28(b) | 200 | 198,326 | |
iliad SA(c) | |||
5.38%, 06/14/27 | EUR | 100 | 108,873 |
5.63%, 02/15/30 | 100 | 109,594 | |
Level 3 Financing, Inc.(b) | |||
10.50%, 04/15/29 | USD | 238 | 237,405 |
4.88%, 06/15/29 | 133 | 75,981 | |
11.00%, 11/15/29 | 731 | 747,890 | |
10.50%, 05/15/30 | 317 | 313,961 | |
10.75%, 12/15/30 | 2 | 1,995 | |
Lorca Telecom Bondco SA, 5.75%, 04/30/29(c) | EUR | 100 | 109,639 |
Lumen Technologies, Inc.(b) | |||
4.13%, 04/15/29 | USD | 50 | 32,601 |
4.13%, 04/15/30 | 50 | 31,349 | |
SoftBank Group Corp., 2.88%, 01/06/27(c) | EUR | 100 | 101,363 |
Telecom Italia Capital SA, 7.20%, 07/18/36(b) | USD | 200 | 206,120 |
T-Mobile U.S., Inc. | |||
3.38%, 04/15/29 | 67 | 61,873 | |
3.50%, 04/15/31 | 26 | 23,359 | |
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31(b) | 200 | 168,675 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 08/15/28(b) | 82 | 77,248 |
Security | Par (000) | Value | |
Diversified Telecommunication Services (continued) | |||
Zayo Group Holdings, Inc.(b) | |||
4.00%, 03/01/27 | USD | 897 | $ 717,390 |
6.13%, 03/01/28 | 211 | 141,276 | |
4,962,795 | |||
Electric Utilities — 0.2% | |||
Clearway Energy Operating LLC(b) | |||
4.75%, 03/15/28 | 8 | 7,644 | |
3.75%, 01/15/32 | 97 | 82,470 | |
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(i) | 144 | 140,278 | |
FirstEnergy Corp., 4.00%, 05/01/26(h) | 163 | 161,207 | |
NextEra Energy Capital Holdings, Inc., (5-year CMT + 2.46%), 6.75%, 06/15/54(a) | 70 | 70,401 | |
NextEra Energy Operating Partners LP(b) | |||
3.88%, 10/15/26 | 17 | 16,166 | |
7.25%, 01/15/29 | 43 | 44,095 | |
NRG Energy, Inc., 7.00%, 03/15/33(b) | 25 | 26,390 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | 32 | 29,620 | |
PG&E Corp., 4.25%, 12/01/27(b)(h) | 58 | 58,493 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | 34 | 36,252 | |
Texas Competitive Electric Holdings, Series M, 5.03%, 11/10/17(d)(e)(l) | 2,375 | — | |
TransAlta Corp., 7.75%, 11/15/29 | 8 | 8,348 | |
Vistra Corp., (5-year CMT + 6.93%), 8.00%(a)(b)(i) | 44 | 44,374 | |
Vistra Operations Co. LLC(b) | |||
5.63%, 02/15/27 | 41 | 40,313 | |
5.00%, 07/31/27 | 5 | 4,837 | |
7.75%, 10/15/31 | 126 | 131,215 | |
6.88%, 04/15/32 | 95 | 96,441 | |
6.95%, 10/15/33 | 30 | 32,109 | |
1,030,653 | |||
Electrical Equipment(b) — 0.0% | |||
WESCO Distribution, Inc. | |||
6.38%, 03/15/29 | 47 | 47,170 | |
6.63%, 03/15/32 | 58 | 58,610 | |
105,780 | |||
Electronic Equipment, Instruments & Components(b) — 0.1% | |||
Coherent Corp., 5.00%, 12/15/29 | 109 | 103,155 | |
EquipmentShare.com, Inc., 8.63%, 05/15/32 | 23 | 23,849 | |
Sensata Technologies BV, 4.00%, 04/15/29 | 36 | 33,052 | |
Sensata Technologies, Inc. | |||
4.38%, 02/15/30 | 146 | 134,087 | |
3.75%, 02/15/31 | 65 | 56,654 | |
Zebra Technologies Corp., 6.50%, 06/01/32 | 29 | 29,326 | |
380,123 | |||
Energy Equipment & Services — 0.2% | |||
Archrock Partners LP/Archrock Partners Finance Corp.(b) | |||
6.88%, 04/01/27 | 212 | 212,845 | |
6.25%, 04/01/28 | 37 | 36,644 | |
Enerflex Ltd., 9.00%, 10/15/27(b) | 83 | 84,043 | |
Kodiak Gas Services LLC, 7.25%, 02/15/29(b) | 133 | 136,335 | |
Oceaneering International, Inc., 6.00%, 02/01/28 | 18 | 17,794 | |
USA Compression Partners LP/USA Compression Finance Corp. | |||
6.88%, 09/01/27 | 167 | 167,313 |
Security | Par (000) | Value | |
Energy Equipment & Services (continued) | |||
USA Compression Partners LP/USA Compression Finance Corp. (continued) | |||
7.13%, 03/15/29(b) | USD | 106 | $ 106,807 |
Weatherford International Ltd., 8.63%, 04/30/30(b) | 107 | 110,877 | |
872,658 | |||
Entertainment(b) — 0.2% | |||
Boyne USA, Inc., 4.75%, 05/15/29 | 165 | 153,961 | |
Live Nation Entertainment, Inc. | |||
4.75%, 10/15/27 | 68 | 65,166 | |
3.75%, 01/15/28 | 35 | 32,511 | |
Odeon Finco PLC, 12.75%, 11/01/27 | 519 | 543,976 | |
Playtika Holding Corp., 4.25%, 03/15/29 | 21 | 18,427 | |
814,041 | |||
Environmental, Maintenance & Security Service — 0.4% | |||
Clean Harbors, Inc., 6.38%, 02/01/31(b) | 7 | 7,018 | |
Covanta Holding Corp. | |||
4.88%, 12/01/29(b) | 43 | 39,247 | |
5.00%, 09/01/30 | 21 | 18,980 | |
GFL Environmental, Inc.(b) | |||
4.00%, 08/01/28 | 8 | 7,435 | |
4.75%, 06/15/29 | 164 | 154,777 | |
4.38%, 08/15/29 | 65 | 59,902 | |
6.75%, 01/15/31 | 107 | 109,160 | |
Madison IAQ LLC, 5.88%, 06/30/29(b) | 1,178 | 1,096,010 | |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) | 328 | 323,476 | |
1,816,005 | |||
Financial Services — 0.4% | |||
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b) | 34 | 35,250 | |
Blue Owl Credit Income Corp., 6.65%, 03/15/31 | 75 | 73,301 | |
Enact Holdings, Inc., 6.25%, 05/28/29 | 33 | 33,010 | |
Freedom Mortgage Holdings LLC(b) | |||
9.25%, 02/01/29 | 97 | 96,937 | |
9.13%, 05/15/31 | 68 | 66,171 | |
GGAM Finance Ltd.(b) | |||
7.75%, 05/15/26 | 11 | 11,225 | |
8.00%, 02/15/27 | 83 | 85,733 | |
8.00%, 06/15/28 | 29 | 30,544 | |
6.88%, 04/15/29 | 65 | 66,137 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(g) | 27 | 25,590 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc., 07/01/34(b)(j) | 35 | 34,263 | |
HPS Corporate Lending Fund, 6.75%, 01/30/29(b) | 50 | 50,367 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(b) | 200 | 184,494 | |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | |||
4.75%, 06/15/29 | 22 | 20,323 | |
07/15/31(j) | 55 | 55,481 | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(b) | 54 | 47,948 | |
Macquarie Airfinance Holdings Ltd.(b) | |||
8.38%, 05/01/28 | 28 | 29,511 | |
6.40%, 03/26/29 | 15 | 15,254 | |
8.13%, 03/30/29 | 57 | 60,260 | |
6.50%, 03/26/31 | 40 | 41,133 | |
Nationstar Mortgage Holdings, Inc.(b) | |||
5.00%, 02/01/26 | 322 | 315,162 | |
6.00%, 01/15/27 | 28 | 27,701 |
Security | Par (000) | Value | |
Financial Services (continued) | |||
Nationstar Mortgage Holdings, Inc.(b) (continued) | |||
5.13%, 12/15/30 | USD | 21 | $ 19,257 |
5.75%, 11/15/31 | 79 | 74,253 | |
7.13%, 02/01/32 | 193 | 194,128 | |
PennyMac Financial Services, Inc.(b) | |||
7.88%, 12/15/29 | 72 | 74,245 | |
7.13%, 11/15/30 | 68 | 67,790 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(b) | |||
2.88%, 10/15/26 | 203 | 189,579 | |
3.88%, 03/01/31 | 68 | 59,261 | |
4.00%, 10/15/33 | 27 | 22,753 | |
2,107,061 | |||
Food Products — 0.2% | |||
Aramark International Finance SARL, 3.13%, 04/01/25(c) | EUR | 100 | 105,890 |
Aramark Services, Inc., 5.00%, 02/01/28(b) | USD | 100 | 96,712 |
B&G Foods, Inc., 09/15/28(b)(j) | 22 | 22,357 | |
Bellis Acquisition Co. PLC, 8.13%, 05/14/30(c) | GBP | 100 | 126,252 |
Chobani LLC/Chobani Finance Corp., Inc.(b) | |||
4.63%, 11/15/28 | USD | 264 | 249,324 |
7.63%, 07/01/29 | 298 | 306,912 | |
Darling Ingredients, Inc., 6.00%, 06/15/30(b) | 76 | 74,728 | |
Fiesta Purchaser, Inc., 7.88%, 03/01/31(b) | 38 | 39,265 | |
Lion/Polaris Lux 4 SA, 07/01/29(a)(c)(j) | EUR | 100 | 107,095 |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) | USD | 60 | 52,762 |
1,181,297 | |||
Gas Utilities(b) — 0.0% | |||
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28 | 76 | 78,010 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | 29 | 26,116 | |
104,126 | |||
Ground Transportation(b) — 0.2% | |||
Genesee & Wyoming, Inc., 6.25%, 04/15/32 | 106 | 105,603 | |
GN Bondco LLC, 9.50%, 10/15/31 | 48 | 44,740 | |
Uber Technologies, Inc. | |||
7.50%, 09/15/27 | 28 | 28,549 | |
6.25%, 01/15/28 | 201 | 201,236 | |
4.50%, 08/15/29 | 491 | 467,820 | |
847,948 | |||
Health Care Equipment & Supplies(b) — 0.3% | |||
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28 | 434 | 444,308 | |
Medline Borrower LP | |||
3.88%, 04/01/29 | 157 | 144,583 | |
5.25%, 10/01/29 | 765 | 730,060 | |
Medline Borrower LP/Medline Co-Issuer, Inc., 6.25%, 04/01/29 | 145 | 146,641 | |
Neogen Food Safety Corp., 8.63%, 07/20/30 | 64 | 69,094 | |
Sotera Health Holdings LLC, 7.38%, 06/01/31 | 48 | 48,071 | |
1,582,757 | |||
Health Care Providers & Services — 0.5% | |||
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) | 64 | 60,818 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | 110 | 104,423 | |
Catalent Pharma Solutions, Inc.(b) | |||
5.00%, 07/15/27 | 206 | 201,995 | |
3.13%, 02/15/29 | 25 | 23,927 |
Security | Par (000) | Value | |
Health Care Providers & Services (continued) | |||
Catalent Pharma Solutions, Inc.(b) (continued) | |||
3.50%, 04/01/30 | USD | 86 | $ 82,327 |
CHS/Community Health Systems, Inc.(b) | |||
5.63%, 03/15/27 | 168 | 156,443 | |
6.00%, 01/15/29 | 180 | 158,851 | |
5.25%, 05/15/30 | 215 | 177,266 | |
4.75%, 02/15/31 | 98 | 77,051 | |
10.88%, 01/15/32 | 139 | 144,669 | |
Concentra Escrow Issuer Corp., 07/15/32(b)(j) | 61 | 61,803 | |
Encompass Health Corp., 4.63%, 04/01/31 | 84 | 77,088 | |
Fortrea Holdings, Inc., 7.50%, 07/01/30(b) | 50 | 49,679 | |
HealthEquity, Inc., 4.50%, 10/01/29(b) | 182 | 170,112 | |
LifePoint Health, Inc.(b) | |||
9.88%, 08/15/30 | 65 | 69,317 | |
11.00%, 10/15/30 | 157 | 172,977 | |
10.00%, 06/01/32 | 68 | 69,524 | |
Star Parent, Inc., 9.00%, 10/01/30(b) | 251 | 263,524 | |
Surgery Center Holdings, Inc., 7.25%, 04/15/32(b) | 155 | 156,571 | |
Tenet Healthcare Corp. | |||
6.13%, 06/15/30 | 41 | 40,723 | |
6.75%, 05/15/31 | 376 | 381,645 | |
U.S. Acute Care Solutions LLC, 9.75%, 05/15/29(b) | 63 | 62,042 | |
2,762,775 | |||
Health Care REITs — 0.1% | |||
MPT Operating Partnership LP/MPT Finance Corp. | |||
2.50%, 03/24/26 | GBP | 100 | 108,340 |
4.63%, 08/01/29 | USD | 147 | 106,694 |
3.50%, 03/15/31 | 146 | 95,136 | |
310,170 | |||
Health Care Technology — 0.1% | |||
AthenaHealth Group, Inc., 6.50%, 02/15/30(b) | 738 | 679,476 | |
Hotel & Resort REITs — 0.2% | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 7.00%, 02/01/30(b) | 56 | 56,668 | |
RHP Hotel Properties LP/RHP Finance Corp.(b) | |||
7.25%, 07/15/28 | 68 | 70,317 | |
4.50%, 02/15/29 | 153 | 143,485 | |
6.50%, 04/01/32 | 194 | 194,014 | |
RLJ Lodging Trust LP, 4.00%, 09/15/29(b) | 74 | 65,359 | |
Service Properties Trust | |||
8.63%, 11/15/31(b) | 398 | 414,841 | |
8.88%, 06/15/32 | 113 | 105,399 | |
1,050,083 | |||
Hotels, Restaurants & Leisure — 1.2% | |||
Boyd Gaming Corp., 4.75%, 06/15/31(b) | 16 | 14,501 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., 4.00%, 10/15/30(b) | 75 | 66,022 | |
Caesars Entertainment, Inc.(b) | |||
4.63%, 10/15/29 | 419 | 384,127 | |
7.00%, 02/15/30 | 386 | 394,369 | |
6.50%, 02/15/32 | 175 | 175,858 | |
Carnival Corp.(b) | |||
6.00%, 05/01/29 | 275 | 271,650 | |
7.00%, 08/15/29 | 12 | 12,439 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b) | 616 | 666,872 | |
Churchill Downs, Inc.(b) | |||
5.50%, 04/01/27 | 108 | 106,262 | |
4.75%, 01/15/28 | 47 | 44,892 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Churchill Downs, Inc.(b) (continued) | |||
5.75%, 04/01/30 | USD | 231 | $ 224,378 |
6.75%, 05/01/31 | 98 | 98,531 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) | |||
4.63%, 01/15/29 | 139 | 126,582 | |
6.75%, 01/15/30 | 586 | 514,600 | |
Hilton Domestic Operating Co., Inc. | |||
4.88%, 01/15/30 | 14 | 13,437 | |
6.13%, 04/01/32(b) | 50 | 50,242 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 6.63%, 01/15/32(b) | 60 | 60,281 | |
Light & Wonder International, Inc., 7.50%, 09/01/31(b) | 81 | 83,691 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) | 31 | 31,870 | |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b) | 77 | 76,034 | |
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.00%), 7.79%, 12/15/30(a)(c) | EUR | 100 | 108,436 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | USD | 78 | 73,443 |
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b) | 200 | 179,599 | |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | 40 | 37,260 | |
NCL Corp. Ltd.(b) | |||
5.88%, 03/15/26 | 97 | 95,896 | |
8.38%, 02/01/28 | 19 | 19,854 | |
8.13%, 01/15/29 | 31 | 32,480 | |
7.75%, 02/15/29 | 51 | 53,025 | |
NCL Finance Ltd., 6.13%, 03/15/28(b) | 46 | 45,427 | |
Ontario Gaming GTA LP, 8.00%, 08/01/30(b) | 41 | 42,076 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | |||
5.63%, 09/01/29 | 34 | 24,451 | |
5.88%, 09/01/31 | 37 | 25,163 | |
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(b) | 36 | 38,881 | |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(b) | 25 | 24,186 | |
Royal Caribbean Cruises Ltd.(b) | |||
4.25%, 07/01/26 | 24 | 23,227 | |
5.38%, 07/15/27 | 25 | 24,616 | |
5.50%, 04/01/28 | 40 | 39,490 | |
7.25%, 01/15/30 | 36 | 37,275 | |
6.25%, 03/15/32 | 87 | 87,731 | |
Sabre GLBL, Inc.(b) | |||
8.63%, 06/01/27 | 85 | 78,308 | |
11.25%, 12/15/27 | 6 | 5,832 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30(b) | 69 | 67,262 | |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b) | 257 | 261,655 | |
Six Flags Entertainment Corp./Six Flags Theme Parks, Inc., 6.63%, 05/01/32(b) | 24 | 24,390 | |
Station Casinos LLC(b) | |||
4.50%, 02/15/28 | 69 | 64,924 | |
4.63%, 12/01/31 | 31 | 27,630 | |
6.63%, 03/15/32 | 49 | 48,759 | |
Vail Resorts, Inc., 6.50%, 05/15/32(b) | 90 | 91,076 | |
Viking Cruises Ltd.(b) | |||
5.88%, 09/15/27 | 58 | 57,400 | |
7.00%, 02/15/29 | 13 | 13,069 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Viking Cruises Ltd.(b) (continued) | |||
9.13%, 07/15/31 | USD | 215 | $ 232,859 |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | 27 | 26,394 | |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) | 44 | 41,019 | |
Wynn Macau Ltd., 5.63%, 08/26/28(b) | 200 | 187,200 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | |||
5.13%, 10/01/29 | 202 | 192,115 | |
7.13%, 02/15/31 | 128 | 132,726 | |
5,981,772 | |||
Household Durables — 0.2% | |||
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | |||
4.63%, 08/01/29 | 32 | 28,830 | |
4.63%, 04/01/30 | 46 | 41,113 | |
Beazer Homes USA, Inc., 7.50%, 03/15/31(b) | 22 | 21,954 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) | |||
5.00%, 06/15/29 | 67 | 61,194 | |
4.88%, 02/15/30 | 56 | 50,091 | |
Dream Finders Homes, Inc., 8.25%, 08/15/28(b) | 30 | 30,717 | |
Empire Communities Corp., 9.75%, 05/01/29(b) | 20 | 20,350 | |
LGI Homes, Inc., 8.75%, 12/15/28(b) | 33 | 34,373 | |
Mattamy Group Corp., 4.63%, 03/01/30(b) | 72 | 66,555 | |
Meritage Homes Corp., 1.75%, 05/15/28(b)(h) | 7 | 6,951 | |
New Home Co., Inc., 9.25%, 10/01/29(b) | 56 | 56,137 | |
Scotts Miracle-Gro Co. | |||
4.50%, 10/15/29 | 5 | 4,570 | |
4.38%, 02/01/32 | 97 | 83,564 | |
STL Holding Co. LLC, 8.75%, 02/15/29(b) | 31 | 32,355 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | 340 | 183,145 | |
Taylor Morrison Communities, Inc., 5.13%, 08/01/30(b) | 20 | 19,152 | |
Tempur Sealy International, Inc.(b) | |||
4.00%, 04/15/29 | 89 | 80,262 | |
3.88%, 10/15/31 | 23 | 19,226 | |
840,539 | |||
Household Products — 0.0% | |||
Central Garden & Pet Co. | |||
4.13%, 10/15/30 | 43 | 38,323 | |
4.13%, 04/30/31(b) | 55 | 48,471 | |
Kronos Acquisition Holdings, Inc., 06/30/31(j) | 15 | 15,015 | |
Spectrum Brands, Inc.(b) | |||
3.38%, 06/01/29(h) | 48 | 46,224 | |
3.88%, 03/15/31 | 10 | 8,357 | |
156,390 | |||
Independent Power and Renewable Electricity Producers(b) — 0.1% | |||
Calpine Corp. | |||
4.63%, 02/01/29 | 99 | 91,852 | |
5.00%, 02/01/31 | 25 | 23,332 | |
NextEra Energy Partners LP(h) | |||
0.00%, 11/15/25(k) | 76 | 68,628 | |
2.50%, 06/15/26 | 51 | 46,538 | |
230,350 | |||
Insurance(b) — 1.2% | |||
Acrisure LLC/Acrisure Finance, Inc., 7.50%, 11/06/30 | 66 | 66,046 |
Security | Par (000) | Value | |
Insurance (continued) | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | |||
4.25%, 10/15/27 | USD | 285 | $ 266,855 |
6.75%, 10/15/27 | 782 | 771,333 | |
6.75%, 04/15/28 | 109 | 109,173 | |
5.88%, 11/01/29 | 415 | 388,335 | |
7.00%, 01/15/31 | 251 | 253,566 | |
AmWINS Group, Inc. | |||
6.38%, 02/15/29 | 36 | 36,098 | |
4.88%, 06/30/29 | 88 | 81,863 | |
Ardonagh Finco Ltd., 7.75%, 02/15/31 | 200 | 197,713 | |
Ardonagh Group Finance Ltd., 8.88%, 02/15/32 | 200 | 195,342 | |
AssuredPartners, Inc., 7.50%, 02/15/32 | 99 | 99,373 | |
Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, 7.13%, 05/15/31 | 20 | 20,232 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC | |||
7.25%, 02/15/31 | 441 | 437,703 | |
8.13%, 02/15/32 | 245 | 243,406 | |
HUB International Ltd. | |||
7.25%, 06/15/30 | 847 | 868,286 | |
7.38%, 01/31/32 | 1,039 | 1,053,631 | |
Jones Deslauriers Insurance Management, Inc. | |||
8.50%, 03/15/30 | 136 | 141,831 | |
10.50%, 12/15/30 | 83 | 89,130 | |
Panther Escrow Issuer LLC, 7.13%, 06/01/31 | 704 | 712,050 | |
USI, Inc./New York, 7.50%, 01/15/32 | 119 | 120,862 | |
6,152,828 | |||
Interactive Media & Services — 0.0% | |||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | 200 | 177,620 | |
IT Services — 0.2% | |||
CA Magnum Holdings, 5.38%, 10/31/26(b) | 201 | 192,269 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | 121 | 116,972 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29(b) | 302 | 306,634 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b) | 170 | 169,160 | |
Fortress Intermediate 3, Inc., 7.50%, 06/01/31(b) | 145 | 148,560 | |
Insight Enterprises, Inc., 6.63%, 05/15/32(b) | 40 | 40,619 | |
KBR, Inc., 4.75%, 09/30/28(b) | 75 | 69,750 | |
Twilio, Inc. | |||
3.63%, 03/15/29 | 52 | 46,773 | |
3.88%, 03/15/31 | 129 | 113,454 | |
1,204,191 | |||
Leisure Products — 0.0% | |||
Acushnet Co., 7.38%, 10/15/28(b) | 2 | 2,073 | |
Amer Sports Co., 6.75%, 02/16/31(b) | 77 | 76,507 | |
Mattel, Inc., 6.20%, 10/01/40 | 21 | 20,699 | |
99,279 | |||
Machinery — 0.5% | |||
ATS Corp., 4.13%, 12/15/28(b) | 35 | 31,895 | |
Chart Industries, Inc.(b) | |||
7.50%, 01/01/30 | 224 | 231,474 | |
9.50%, 01/01/31 | 28 | 30,337 | |
Esab Corp., 6.25%, 04/15/29(b) | 66 | 66,396 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | 35 | 25,797 |
Security | Par (000) | Value | |
Machinery (continued) | |||
Husky Injection Molding Systems Ltd./Titan Co- Borrower LLC, 9.00%, 02/15/29(b) | USD | 512 | $ 530,183 |
OT Merger Corp., 7.88%, 10/15/29(b) | 37 | 16,650 | |
Terex Corp., 5.00%, 05/15/29(b) | 67 | 63,576 | |
TK Elevator Holdco GmbH | |||
6.63%, 07/15/28(c) | EUR | 90 | 92,795 |
7.63%, 07/15/28(b) | USD | 200 | 198,474 |
TK Elevator Midco GmbH, 4.38%, 07/15/27(c) | EUR | 200 | 206,447 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b) | USD | 312 | 302,427 |
Vertiv Group Corp., 4.13%, 11/15/28(b) | 781 | 729,354 | |
2,525,805 | |||
Media — 1.0% | |||
Adelphia Communications Corp., 10.50%, 12/31/49(d)(e)(l) | 400 | — | |
Cable One, Inc. | |||
0.00%, 03/15/26(h)(k) | 28 | 24,500 | |
1.13%, 03/15/28(h) | 82 | 60,867 | |
4.00%, 11/15/30(b) | 5 | 3,732 | |
CCO Holdings LLC/CCO Holdings Capital Corp.(b) | |||
6.38%, 09/01/29 | 413 | 392,569 | |
4.50%, 08/15/30 | 22 | 18,625 | |
7.38%, 03/01/31 | 662 | 652,735 | |
4.25%, 01/15/34 | 152 | 115,377 | |
Clear Channel Outdoor Holdings, Inc.(b) | |||
5.13%, 08/15/27 | 113 | 107,913 | |
7.75%, 04/15/28 | 168 | 147,001 | |
9.00%, 09/15/28 | 348 | 364,341 | |
7.50%, 06/01/29 | 47 | 39,274 | |
7.88%, 04/01/30 | 210 | 211,375 | |
CMG Media Corp., 8.88%, 12/15/27(b) | 79 | 45,057 | |
CSC Holdings LLC(b) | |||
5.50%, 04/15/27 | 200 | 162,228 | |
11.75%, 01/31/29 | 200 | 170,571 | |
Directv Financing LLC/Directv Financing Co- Obligor, Inc., 5.88%, 08/15/27(b) | 193 | 181,533 | |
DISH DBS Corp., 5.25%, 12/01/26(b) | 188 | 148,293 | |
DISH Network Corp., 11.75%, 11/15/27(b) | 315 | 308,857 | |
Gray Television, Inc.(b) | |||
7.00%, 05/15/27 | 81 | 74,577 | |
10.50%, 07/15/29 | 107 | 107,576 | |
Lamar Media Corp., 4.00%, 02/15/30 | 15 | 13,599 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) | 180 | 168,576 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | |||
5.00%, 08/15/27 | 96 | 92,930 | |
4.25%, 01/15/29 | 65 | 59,268 | |
4.63%, 03/15/30 | 22 | 19,810 | |
7.38%, 02/15/31 | 75 | 78,053 | |
Pinewood Finco PLC, 6.00%, 03/27/30(c) | GBP | 100 | 124,198 |
Radiate Holdco LLC/Radiate Finance, Inc.(b) | |||
4.50%, 09/15/26 | USD | 604 | 460,241 |
6.50%, 09/15/28 | 70 | 34,692 | |
Sirius XM Radio, Inc.(b) | |||
3.13%, 09/01/26 | 11 | 10,349 | |
5.00%, 08/01/27 | 92 | 88,064 | |
4.00%, 07/15/28 | 53 | 47,878 | |
Univision Communications, Inc.(b) | |||
6.63%, 06/01/27 | 107 | 102,435 |
Security | Par (000) | Value | |
Media (continued) | |||
Univision Communications, Inc.(b) (continued) | |||
8.00%, 08/15/28 | USD | 207 | $ 201,872 |
8.50%, 07/31/31 | 110 | 106,847 | |
4,945,813 | |||
Metals & Mining — 0.5% | |||
Advanced Drainage Systems, Inc.(b) | |||
5.00%, 09/30/27 | 6 | 5,866 | |
6.38%, 06/15/30 | 42 | 42,152 | |
Arsenal AIC Parent LLC(b) | |||
8.00%, 10/01/30 | 46 | 48,272 | |
11.50%, 10/01/31 | 219 | 245,066 | |
ATI, Inc. | |||
5.88%, 12/01/27 | 19 | 18,747 | |
4.88%, 10/01/29 | 32 | 29,913 | |
7.25%, 08/15/30 | 103 | 106,322 | |
5.13%, 10/01/31 | 88 | 81,341 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) | 296 | 296,659 | |
Carpenter Technology Corp., 7.63%, 03/15/30 | 65 | 66,919 | |
Constellium SE | |||
4.25%, 02/15/26(c) | EUR | 100 | 106,452 |
3.75%, 04/15/29(b) | USD | 250 | 226,657 |
ERO Copper Corp., 6.50%, 02/15/30(b) | 78 | 75,265 | |
First Quantum Minerals Ltd., 9.38%, 03/01/29(b) | 200 | 209,250 | |
Kaiser Aluminum Corp.(b) | |||
4.63%, 03/01/28 | 63 | 58,947 | |
4.50%, 06/01/31 | 243 | 215,187 | |
Mineral Resources Ltd., 9.25%, 10/01/28(b) | 10 | 10,495 | |
New Gold, Inc., 7.50%, 07/15/27(b) | 147 | 147,938 | |
Novelis Corp.(b) | |||
3.25%, 11/15/26 | 217 | 204,198 | |
4.75%, 01/30/30 | 329 | 305,215 | |
3.88%, 08/15/31 | 96 | 83,115 | |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(c) | EUR | 100 | 100,669 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | USD | 39 | 35,889 |
2,720,534 | |||
Mortgage Real Estate Investment Trusts (REITs)(b) — 0.0% | |||
Starwood Property Trust, Inc. | |||
4.38%, 01/15/27 | 13 | 12,308 | |
7.25%, 04/01/29 | 43 | 43,461 | |
55,769 | |||
Oil, Gas & Consumable Fuels — 2.0% | |||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | 136 | 137,487 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | |||
5.38%, 06/15/29 | 66 | 63,978 | |
6.63%, 02/01/32 | 75 | 75,675 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | |||
9.00%, 11/01/27 | 97 | 120,108 | |
8.25%, 12/31/28 | 201 | 205,924 | |
5.88%, 06/30/29 | 113 | 110,431 | |
Baytex Energy Corp., 8.50%, 04/30/30(b) | 75 | 78,435 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp.(b) | |||
7.00%, 07/15/29 | 56 | 57,030 | |
7.25%, 07/15/32 | 45 | 46,267 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Borr IHC Ltd./Borr Finance LLC, 10.00%, 11/15/28(b) | USD | 192 | $ 200,250 |
Buckeye Partners LP | |||
6.88%, 07/01/29(b) | 24 | 24,090 | |
5.85%, 11/15/43 | 16 | 13,731 | |
5.60%, 10/15/44 | 1 | 788 | |
CITGO Petroleum Corp.(b) | |||
7.00%, 06/15/25 | 163 | 162,956 | |
8.38%, 01/15/29 | 130 | 133,993 | |
Civitas Resources, Inc.(b) | |||
8.38%, 07/01/28 | 135 | 141,457 | |
8.63%, 11/01/30 | 72 | 77,200 | |
8.75%, 07/01/31 | 174 | 186,345 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | 32 | 28,837 | |
CNX Resources Corp., 7.38%, 01/15/31(b) | 32 | 32,717 | |
Comstock Resources, Inc.(b) | |||
6.75%, 03/01/29 | 362 | 350,559 | |
5.88%, 01/15/30 | 33 | 30,707 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) | 250 | 236,981 | |
Crescent Energy Finance LLC(b) | |||
7.63%, 04/01/32 | 102 | 103,957 | |
7.38%, 01/15/33 | 94 | 94,203 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 57 | 59,831 | |
DT Midstream, Inc., 4.38%, 06/15/31(b) | 79 | 71,955 | |
Enbridge, Inc.(a) | |||
(5-year CMT + 2.97%), 7.20%, 06/27/54 | 40 | 40,241 | |
(5-year CMT + 3.12%), 7.38%, 03/15/55 | 54 | 54,108 | |
(5-year CMT + 4.43%), 8.50%, 01/15/84 | 50 | 53,902 | |
Encino Acquisition Partners Holdings LLC, 8.75%, 05/01/31(b) | 56 | 58,391 | |
Energy Transfer LP(a) | |||
(5-year CMT + 2.83%), 7.13%, 10/01/54 | 75 | 73,994 | |
(5-year CMT + 4.02%), 8.00%, 05/15/54 | 152 | 158,991 | |
Series B, (3-mo. LIBOR US + 4.16%), 6.63%(i) | 29 | 28,142 | |
Series H, (5-year CMT + 5.69%), 6.50%(i) | 144 | 142,034 | |
EQM Midstream Partners LP(b) | |||
6.38%, 04/01/29 | 89 | 89,899 | |
7.50%, 06/01/30 | 49 | 52,292 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) | 35 | 37,057 | |
Genesis Energy LP/Genesis Energy Finance Corp. | |||
7.75%, 02/01/28 | 29 | 29,308 | |
8.25%, 01/15/29 | 82 | 84,652 | |
8.88%, 04/15/30 | 28 | 29,454 | |
7.88%, 05/15/32 | 91 | 91,867 | |
Harvest Midstream I LP, 7.50%, 05/15/32(b) | 54 | 54,829 | |
Hess Midstream Operations LP, 6.50%, 06/01/29(b) | 64 | 64,881 | |
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | |||
6.25%, 11/01/28 | 3 | 2,963 | |
5.75%, 02/01/29 | 72 | 69,672 | |
6.00%, 04/15/30 | 5 | 4,830 | |
8.38%, 11/01/33 | 159 | 169,455 | |
6.88%, 05/15/34 | 84 | 83,092 | |
Howard Midstream Energy Partners LLC(b) | |||
8.88%, 07/15/28 | 67 | 70,895 | |
7.38%, 07/15/32 | 77 | 78,198 | |
ITT Holdings LLC, 6.50%, 08/01/29(b) | 109 | 98,755 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Kinetik Holdings LP(b) | |||
6.63%, 12/15/28 | USD | 3 | $ 3,048 |
5.88%, 06/15/30 | 32 | 31,533 | |
Matador Resources Co.(b) | |||
6.88%, 04/15/28 | 64 | 64,962 | |
6.50%, 04/15/32 | 75 | 75,006 | |
Nabors Industries Ltd., 7.50%, 01/15/28(b) | 63 | 60,115 | |
Nabors Industries, Inc.(b) | |||
7.38%, 05/15/27 | 37 | 37,636 | |
9.13%, 01/31/30 | 48 | 49,725 | |
New Fortress Energy, Inc.(b) | |||
6.75%, 09/15/25 | 89 | 86,396 | |
8.75%, 03/15/29 | 168 | 153,362 | |
NGL Energy Operating LLC/NGL Energy Finance Corp.(b) | |||
8.13%, 02/15/29 | 132 | 134,496 | |
8.38%, 02/15/32 | 266 | 270,095 | |
Noble Finance II LLC, 8.00%, 04/15/30(b) | 78 | 81,176 | |
Northern Oil & Gas, Inc. | |||
8.13%, 03/01/28(b) | 238 | 240,686 | |
3.63%, 04/15/29(h) | 40 | 46,040 | |
8.75%, 06/15/31(b) | 74 | 77,647 | |
Northriver Midstream Finance LP, 07/15/32(b)(j) | 42 | 42,073 | |
Patterson-UTI Energy, Inc., 7.15%, 10/01/33 | 25 | 26,480 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30(b) | 46 | 47,091 | |
Permian Resources Operating LLC(b) | |||
7.75%, 02/15/26 | 20 | 20,163 | |
8.00%, 04/15/27 | 70 | 71,571 | |
5.88%, 07/01/29 | 159 | 156,565 | |
9.88%, 07/15/31 | 79 | 87,446 | |
7.00%, 01/15/32 | 85 | 87,318 | |
Prairie Acquiror LP, 9.00%, 08/01/29(b) | 50 | 51,532 | |
Precision Drilling Corp., 6.88%, 01/15/29(b) | 4 | 3,957 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | 131 | 122,623 | |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | 14 | 13,179 | |
Saturn Oil & Gas, Inc., 9.63%, 06/15/29(b) | 49 | 49,458 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28(b) | 100 | 103,397 | |
SM Energy Co., 6.50%, 07/15/28 | 6 | 5,948 | |
Southwestern Energy Co., 4.75%, 02/01/32 | 2 | 1,840 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) | |||
6.00%, 03/01/27 | 14 | 13,798 | |
5.50%, 01/15/28 | 21 | 20,091 | |
7.38%, 02/15/29 | 122 | 122,596 | |
6.00%, 12/31/30 | 2 | 1,863 | |
6.00%, 09/01/31 | 41 | 38,316 | |
Talos Production, Inc.(b) | |||
9.00%, 02/01/29 | 48 | 50,378 | |
9.38%, 02/01/31 | 40 | 42,232 | |
Transocean Aquila Ltd., 8.00%, 09/30/28(b) | 33 | 33,514 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b) | 32 | 33,027 | |
Transocean, Inc.(b) | |||
8.00%, 02/01/27 | 53 | 52,816 | |
8.25%, 05/15/29 | 165 | 165,409 | |
8.75%, 02/15/30 | 221 | 231,498 | |
8.50%, 05/15/31 | 210 | 210,090 | |
Valaris Ltd., 8.38%, 04/30/30(b) | 208 | 215,331 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Venture Global Calcasieu Pass LLC(b) | |||
3.88%, 08/15/29 | USD | 285 | $ 259,561 |
4.13%, 08/15/31 | 5 | 4,487 | |
Venture Global LNG, Inc.(b) | |||
8.13%, 06/01/28 | 133 | 137,019 | |
9.50%, 02/01/29 | 563 | 616,539 | |
8.38%, 06/01/31 | 358 | 371,329 | |
9.88%, 02/01/32 | 374 | 407,071 | |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | 51 | 50,124 | |
Vital Energy, Inc. | |||
9.75%, 10/15/30 | 85 | 92,811 | |
7.88%, 04/15/32(b) | 148 | 150,455 | |
10,190,713 | |||
Passenger Airlines — 0.1% | |||
Air Canada, 3.88%, 08/15/26(b) | 73 | 69,437 | |
Air France-KLM, 4.63%, 05/23/29(c) | EUR | 100 | 105,468 |
American Airlines, Inc., 8.50%, 05/15/29(b) | USD | 121 | 125,715 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(b) | 16 | 15,119 | |
Finnair OYJ, 4.75%, 05/24/29(c) | EUR | 100 | 105,390 |
United Airlines, Inc., 4.63%, 04/15/29(b) | USD | 175 | 162,979 |
584,108 | |||
Personal Care Products(b) — 0.0% | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC | |||
4.75%, 01/15/29 | 5 | 4,752 | |
6.63%, 07/15/30 | 36 | 36,533 | |
41,285 | |||
Pharmaceuticals — 0.1% | |||
1375209 BC Ltd., 9.00%, 01/30/28(b) | 60 | 57,695 | |
Bausch Health Cos., Inc., 11.00%, 09/30/28(b) | 132 | 117,480 | |
Endo Finance Holdings, Inc., 8.50%, 04/15/31(b) | 77 | 79,462 | |
Option Care Health, Inc., 4.38%, 10/31/29(b) | 79 | 72,515 | |
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27 | EUR | 100 | 104,285 |
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 | USD | 203 | 190,820 |
622,257 | |||
Professional Services(b) — 0.1% | |||
CoreLogic, Inc., 4.50%, 05/01/28 | 243 | 220,498 | |
Dun & Bradstreet Corp., 5.00%, 12/15/29 | 153 | 142,111 | |
362,609 | |||
Real Estate Management & Development — 0.1% | |||
Anywhere Real Estate Group LLC/Anywhere Co- Issuer Corp. | |||
7.00%, 04/15/30(b) | 45 | 37,036 | |
Series AI, 7.00%, 04/15/30 | 80 | 65,415 | |
Cushman & Wakefield U.S. Borrower LLC(b) | |||
6.75%, 05/15/28 | 101 | 100,255 | |
8.88%, 09/01/31 | 38 | 39,978 | |
Howard Hughes Corp., 4.38%, 02/01/31(b) | 53 | 45,636 | |
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29(b) | 42 | 25,850 | |
314,170 | |||
Retail REITs — 0.0% | |||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | 51 | 47,464 |
Security | Par (000) | Value | |
Semiconductors & Semiconductor Equipment — 0.1% | |||
ams-OSRAM AG, 10.50%, 03/30/29(c) | EUR | 100 | $ 112,048 |
MKS Instruments, Inc., 1.25%, 06/01/30(b)(h) | USD | 61 | 64,946 |
Synaptics, Inc., 4.00%, 06/15/29(b) | 84 | 76,114 | |
253,108 | |||
Software — 1.3% | |||
Boxer Parent Co., Inc., 9.13%, 03/01/26(b) | 177 | 177,137 | |
Capstone Borrower, Inc., 8.00%, 06/15/30(b) | 124 | 128,055 | |
Clarivate Science Holdings Corp.(b) | |||
3.88%, 07/01/28 | 381 | 353,864 | |
4.88%, 07/01/29 | 186 | 172,620 | |
Cloud Software Group, Inc.(b) | |||
6.50%, 03/31/29 | 1,106 | 1,062,108 | |
9.00%, 09/30/29 | 987 | 957,607 | |
8.25%, 06/30/32 | 484 | 493,315 | |
Dye & Durham Ltd., 8.63%, 04/15/29(b) | 29 | 29,418 | |
Elastic NV, 4.13%, 07/15/29(b) | 120 | 109,567 | |
Fiserv, Inc., 2.25%, 06/01/27 | 1,385 | 1,277,975 | |
McAfee Corp., 7.38%, 02/15/30(b) | 173 | 159,827 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b) | 151 | 146,358 | |
SS&C Technologies, Inc.(b) | |||
5.50%, 09/30/27 | 262 | 257,993 | |
6.50%, 06/01/32 | 176 | 177,531 | |
UKG, Inc., 6.88%, 02/01/31(b) | 749 | 758,385 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | 231 | 209,752 | |
6,471,512 | |||
Specialized REITs(b) — 0.0% | |||
Iron Mountain, Inc. | |||
7.00%, 02/15/29 | 152 | 154,674 | |
5.63%, 07/15/32 | 44 | 41,781 | |
196,455 | |||
Specialty Retail(b) — 0.2% | |||
ANGI Group LLC, 3.88%, 08/15/28 | 80 | 68,739 | |
eG Global Finance PLC, 12.00%, 11/30/28 | 415 | 441,841 | |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 | 253 | 246,389 | |
Staples, Inc., 10.75%, 09/01/29 | 54 | 51,318 | |
808,287 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
NCR Atleos Corp., 9.50%, 04/01/29(b) | 63 | 68,087 | |
Seagate HDD Cayman | |||
8.25%, 12/15/29 | 98 | 105,105 | |
8.50%, 07/15/31 | 120 | 129,243 | |
302,435 | |||
Textiles, Apparel & Luxury Goods(b) — 0.0% | |||
Crocs, Inc. | |||
4.25%, 03/15/29 | 57 | 51,954 | |
4.13%, 08/15/31 | 13 | 11,319 | |
Hanesbrands, Inc. | |||
4.88%, 05/15/26 | 42 | 41,089 | |
9.00%, 02/15/31 | 3 | 3,143 | |
Kontoor Brands, Inc., 4.13%, 11/15/29 | 32 | 28,968 | |
136,473 |
Security | Par (000) | Value | |
Trading Companies & Distributors — 0.0% | |||
GYP Holdings III Corp., 4.63%, 05/01/29(b) | USD | 74 | $ 68,482 |
Total Corporate Bonds — 18.0% (Cost: $101,232,132) | 91,340,314 | ||
Fixed Rate Loan Interests | |||
Commercial Services & Supplies — 0.2% | |||
AVSC Holding Corp., 2020 Term Loan B3, (10.00% PIK), 15.00%, 10/15/26(g) | 920 | 950,041 | |
Health Care Technology — 0.2% | |||
Cotiviti, Inc., 2024 Fixed Term Loan B, 7.63%, 05/01/31 | 965 | 959,374 | |
Media — 0.1% | |||
Morgan Stanley & Co. International PLC, 2024 CCIBV Fixed Term Loan, 15.00%(e) | 665 | 646,713 | |
Total Fixed Rate Loan Interests — 0.5% (Cost: $2,525,067) | 2,556,128 | ||
Floating Rate Loan Interests(a) | |||
Aerospace & Defense — 3.9% | |||
Barnes Group, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 09/03/30 | 939 | 940,666 | |
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 10/31/30 | 1,098 | 1,102,256 | |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.26%, 08/03/29 | 320 | 310,087 | |
Cubic Corp. | |||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 3,057 | 2,222,873 | |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 616 | 447,853 | |
Dynasty Acquisition Co., Inc., 2024 Term Loan B1, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 3,743 | 3,754,232 | |
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.70%), 10.94%, 04/09/26 | 750 | 720,403 | |
Ovation Parent, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 04/21/31 | 268 | 269,340 | |
Peraton Corp. | |||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR + 7.85%), 13.18%, 02/01/29 | 1,467 | 1,470,947 | |
Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/01/28 | 2,726 | 2,724,781 | |
Setanta Aircraft Leasing DAC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.08%, 11/05/28 | 588 | 590,437 | |
Standard Aero Ltd., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 1,443 | 1,447,535 |
Security | Par (000) | Value | |
Aerospace & Defense (continued) | |||
TransDigm, Inc. | |||
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 7.84%, 02/28/31 | USD | 3,456 | $ 3,462,555 |
2024 Term Loan K, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 03/22/30 | 99 | 98,891 | |
19,562,856 | |||
Air Freight & Logistics — 0.0% | |||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.58%, 03/17/30 | 219 | 219,352 | |
Automobile Components — 1.0% | |||
Champions Financing, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 02/23/29 | 2,081 | 2,088,804 | |
Clarios Global LP | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 05/06/30 | 2,112 | 2,114,525 | |
2024 USD Term Loan B, 05/06/30(m) | 33 | 33,041 | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.10%), 10.43%, 11/17/28 | 1,011 | 968,396 | |
5,204,766 | |||
Automobiles — 0.8% | |||
Dealer Tire Financial LLC | |||
2024 Term Loan B, 07/02/31(e)(m) | 1,046 | 1,043,367 | |
2024 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 12/14/27 | 2,620 | 2,612,373 | |
RVR Dealership Holdings LLC, Term Loan B, (1- mo. CME Term SOFR + 3.85%), 9.19%, 02/08/28 | 203 | 187,521 | |
3,843,261 | |||
Banks — 0.5% | |||
Ascensus Holdings, Inc., Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 08/02/28 | 2,372 | 2,369,948 | |
Beverages — 0.9% | |||
Naked Juice LLC | |||
2nd Lien Term Loan, (3-mo. CME Term SOFR + 6.10%), 11.43%, 01/24/30 | 1,631 | 1,301,204 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 01/24/29 | 3,472 | 3,213,968 | |
4,515,172 | |||
Broadline Retail — 0.9% | |||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 11/24/28 | 590 | 587,016 | |
StubHub Holdco Sub LLC, 2024 Extended Term Loan B, (1-mo. CME Term SOFR + 4.75%), 10.09%, 03/15/30 | 3,903 | 3,897,112 | |
Woof Holdings, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.01%), 9.35%, 12/21/27 | 334 | 274,914 | |
4,759,042 | |||
Building Materials — 2.4% | |||
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.51%), 9.85%, 05/17/28 | 1,404 | 1,185,906 | |
Chariot Buyer LLC | |||
2024 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/03/28 | 567 | 568,758 |
Security | Par (000) | Value | |
Building Materials (continued) | |||
Chariot Buyer LLC (continued) | |||
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.69%, 11/03/28 | USD | 2,118 | $ 2,115,053 |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 3.35%), 8.68%, 04/12/28 | 308 | 300,066 | |
Emrld Borrower LP, 2024 Term Loan B, 06/18/31(m) | 1,206 | 1,204,493 | |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.58%, 04/29/29 | 1,260 | 1,258,011 | |
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/02/29(e) | 478 | 479,439 | |
Standard Industries, Inc., 2021 Term Loan B, (1- mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 09/22/28 | 1,381 | 1,383,584 | |
Summit Materials LLC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.80%, 01/12/29 | 655 | 659,094 | |
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.35%), 8.68%, 12/31/26 | 2,977 | 2,976,253 | |
12,130,657 | |||
Building Products — 2.1% | |||
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 05/13/29 | 230 | 230,728 | |
Beacon Roofing Supply, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 05/19/28 | 1,287 | 1,290,260 | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 11/23/27 | 1,255 | 1,222,585 | |
CP Iris Holdco I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 10/02/28 | 523 | 521,007 | |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 2.60%), 7.94%, 04/28/29 | 696 | 696,834 | |
Emerald Debt Merger Sub LLC, Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 05/31/30 | 1,509 | 1,507,784 | |
Foundation Building Materials, Inc., 2024 Term Loan B2, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 01/29/31 | 1,503 | 1,494,238 | |
Gulfside Supply, Inc., Term Loan B, 06/17/31(e)(m) | 511 | 511,000 | |
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR at 0.00% Floor + 4.18%), 7.90%, 04/12/28 | EUR | 854 | 846,387 |
Peer Holding III BV, 2024 USD Term Loan B5, 06/20/31(m) | USD | 589 | 589,247 |
White Cap Buyer LLC | |||
2024 Term Loan B, 10/19/29(m) | 707 | 707,925 | |
Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.59%, 10/19/27 | 1,072 | 1,073,402 | |
10,691,397 | |||
Capital Markets — 1.5% | |||
Aretec Group, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/09/30 | 543 | 545,005 | |
Azalea Topco, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/30/31 | 584 | 583,270 |
Security | Par (000) | Value | |
Capital Markets (continued) | |||
Castlelake Aviation One DAC | |||
2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 10/22/27 | USD | 643 | $ 644,009 |
Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 10/22/26 | 1,882 | 1,883,458 | |
Focus Financial Partners LLC | |||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 06/30/28 | 1,276 | 1,274,658 | |
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 06/30/28 | 908 | 906,175 | |
Learning Care Group U.S. No. 2, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 08/11/28 | 198 | 199,120 | |
Osaic Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/17/28 | 1,795 | 1,799,488 | |
7,835,183 | |||
Chemicals — 4.6% | |||
Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1- mo. CME Term SOFR + 7.10%), 12.44%, 09/30/29 | 815 | 736,556 | |
Aruba Investments Holdings LLC | |||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.85%), 13.19%, 11/24/28 | 1,275 | 1,210,613 | |
2020 USD Term Loan, (1-mo. CME Term SOFR + 4.10%), 9.44%, 11/24/27 | 668 | 661,547 | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.85%), 10.07%, 08/27/26 | 428 | 426,672 | |
Axalta Coating Systems U.S. Holdings, Inc., 2024 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 12/20/29 | 1,075 | 1,076,158 | |
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 08/18/28 | 1,034 | 1,029,014 | |
Derby Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/01/30 | 1,858 | 1,865,887 | |
Ecovyst Catalyst Technologies LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.60%, 06/12/31 | 1,500 | 1,497,746 | |
Element Solutions, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 12/18/30 | 1,724 | 1,725,349 | |
HB Fuller Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 02/15/30 | 262 | 262,192 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 4.03%), 9.36%, 07/03/28 | 930 | 900,030 | |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.35%), 8.60%, 02/18/30 | 610 | 606,267 | |
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 10/15/28(e) | 1,611 | 1,578,486 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.84%, 03/29/28(e) | 1,997 | 1,992,015 | |
NIC Acquisition Corp, Term Loan, (3-mo. CME Term SOFR + 4.01%), 9.35%, 12/29/27 | 399 | 332,025 |
Security | Par (000) | Value | |
Chemicals (continued) | |||
Nouryon USA LLC, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/03/28 | USD | 1,133 | $ 1,134,482 |
Olympus Water U.S. Holding Corp., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.85%, 06/20/31 | 766 | 765,567 | |
OQ Chemicals Corp., 2017 USD Term Loan B2, (3-mo. CME Term SOFR at 0.00% Floor + 3.70%), 8.91%, 10/14/24 | 1,400 | 1,291,632 | |
Potters Borrower LP, 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.08%, 12/14/27 | 471 | 472,620 | |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 03/16/27 | 916 | 916,442 | |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-week CME Term SOFR at 0.75% Floor + 3.50%), 8.58%, 08/02/30 | 1,445 | 1,443,556 | |
WR Grace Holdings LLC, 2021 Term Loan B, (3- mo. CME Term SOFR + 3.25%), 8.59%, 09/22/28 | 1,249 | 1,253,072 | |
23,177,928 | |||
Commercial Services & Supplies — 4.7% | |||
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.33%, 10/24/30(e) | 579 | 581,419 | |
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.51%), 10.84%, 08/17/26 | 1,706 | 1,708,459 | |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 02/04/28 | 1,756 | 1,755,739 | |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 05/12/28 | 3,598 | 3,580,845 | |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.34%, 02/15/29 | 677 | 679,197 | |
AVSC Holding Corp., 2020 Term Loan B1, (1-mo. CME Term SOFR + 3.35%, 0.25% PIK), 9.19%, 03/03/25(g) | 856 | 848,460 | |
Boost Newco Borrower LLC, USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 01/31/31 | 2,292 | 2,291,679 | |
Garda World Security Corp., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.59%, 02/01/29 | 382 | 383,938 | |
Grant Thornton LLP/Chicago, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.60%, 06/02/31 | 296 | 296,743 | |
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3- mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 10/17/30 | 529 | 529,114 | |
Mavis Tire Express Services Topco Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 05/04/28 | 2,604 | 2,607,070 | |
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.21%, 07/31/28 | 155 | 156,013 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.84%, 12/15/28 | 679 | 447,829 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
Prime Security Services Borrower LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.58%, 10/13/30 | USD | 647 | $ 646,756 |
Ryan LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/14/30 | 75 | 75,018 | |
Sotheby’ s, 2021 Term Loan B, (3-mo. CME Term SOFR + 4.76%), 10.09%, 01/15/27 | 2,494 | 2,281,348 | |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.10%), 9.44%, 11/02/27 | 1,438 | 1,383,526 | |
Vestis Corp., Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.58%, 02/22/31 | 899 | 893,759 | |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.59%, 07/30/28 | 876 | 876,235 | |
Wand NewCo 3, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 01/30/31 | 1,709 | 1,719,374 | |
23,742,521 | |||
Communications Equipment — 0.5% | |||
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 10/24/30 | 1,249 | 1,252,152 | |
Viasat, Inc. | |||
2023 Term Loan, (1-mo. CME Term SOFR + 4.61%), 9.94%, 05/30/30 | 502 | 446,236 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/02/29 | 1,026 | 915,288 | |
2,613,676 | |||
Construction & Engineering — 2.1% | |||
AECOM, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.88%), 7.22%, 04/17/31 | 1,051 | 1,056,476 | |
Apple Bidco LLC | |||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.21%, 09/22/28 | 1,148 | 1,148,432 | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 09/22/28 | 665 | 665,688 | |
Brand Industrial Services, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 08/01/30 | 3,235 | 3,243,785 | |
Brown Group Holding LLC(m) | |||
2022 Incremental Term Loan B2, 07/02/29 | 561 | 560,876 | |
Term Loan B, 06/07/28 | 1,020 | 1,019,024 | |
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.94%, 12/16/27 | 199 | 198,857 | |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.46%, 01/21/28 | 925 | 926,156 | |
Propulsion BC Newco LLC, Term Loan, 09/14/29(m) | 196 | 196,480 | |
USIC Holdings, Inc., 2021 Term Loan, (3-mo. CME Term SOFR + 3.61%), 9.08%, 05/12/28 | 1,522 | 1,468,464 | |
10,484,238 | |||
Construction Materials — 0.8% | |||
American Builders & Contractors Supply Co., Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/31/31 | 1,455 | 1,457,159 |
Security | Par (000) | Value | |
Construction Materials (continued) | |||
Gates Corp., 2024 Term Loan B5, 06/04/31(m) | USD | 1,273 | $ 1,273,790 |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 03/08/29 | 724 | 691,182 | |
Quikrete Holdings, Inc., 2024 Term Loan B1, (1- mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 03/19/29 | 555 | 554,358 | |
3,976,489 | |||
Consumer Finance — 0.1% | |||
Edelman Financial Engines Center LLC, 2024 Term Loan B, 04/07/28(m) | 570 | 570,663 | |
Consumer Staples Distribution & Retail — 0.3% | |||
U.S. Foods, Inc. | |||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.11%), 7.46%, 09/13/26 | 559 | 559,866 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 11/22/28 | 779 | 781,975 | |
1,341,841 | |||
Containers & Packaging — 1.6% | |||
Charter Next Generation, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 | 3,362 | 3,365,647 | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.44%, 10/29/28 | 1,383 | 1,364,211 | |
Mauser Packaging Solutions Holding Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/15/27 | 1,214 | 1,214,238 | |
Pregis TopCo LLC | |||
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 07/31/26 | 586 | 585,374 | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 4.11%), 9.46%, 07/31/26 | 607 | 606,629 | |
Trident TPI Holdings, Inc., 2024 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 09/15/28 | 1,127 | 1,127,877 | |
8,263,976 | |||
Distributors — 0.2% | |||
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.01%), 9.34%, 10/28/27 | 858 | 783,806 | |
Diversified Consumer Services — 1.1% | |||
Ascend Learning LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.60%), 8.94%, 12/11/28 | 542 | 541,607 | |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.36%), 7.71%, 11/24/28 | 800 | 798,748 | |
Hoya Midco LLC, 2022 Term Loan, 02/03/29(m) | 841 | 843,103 | |
KUEHG Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 06/12/30 | 1,261 | 1,265,432 |
Security | Par (000) | Value | |
Diversified Consumer Services (continued) | |||
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 10/04/30 | USD | 1,401 | $ 1,405,544 |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR + 5.11%), 10.46%, 09/01/25 | 720 | 624,580 | |
5,479,014 | |||
Diversified Telecommunication Services — 2.9% | |||
Altice Financing SA, USD 2017 1st Lien Term Loan, (3-mo. LIBOR US at 0.00% Floor + 2.75%), 8.34%, 01/31/26(e) | 1,695 | 1,559,846 | |
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.83%, 08/15/28 | 2,063 | 1,509,371 | |
Connect Finco SARL | |||
2024 Extended Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 09/27/29 | 1,123 | 1,056,837 | |
2024 Non-Extended Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 12/11/26 | 1,222 | 1,204,568 | |
Iridium Satellite LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.59%, 09/20/30 | 586 | 584,311 | |
Level 3 Financing Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/29 | 871 | 851,890 | |
2024 Extended Term Loan B2, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/30 | 878 | 853,611 | |
Lumen Technologies, Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR + 2.46%), 7.81%, 04/15/29 | 673 | 461,926 | |
2024 Extended Term Loan B2, (1-mo. CME Term SOFR + 2.46%), 7.81%, 04/15/30 | 688 | 458,954 | |
2024 Term Loan A, 06/01/28(m) | 117 | 96,263 | |
ORBCOMM, Inc., Term Loan B, (1-mo. CME Term SOFR + 4.36%), 9.78%, 09/01/28 | 754 | 649,634 | |
Sunrise Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.11%), 8.44%, 01/31/29 | 672 | 667,506 | |
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.36%), 8.69%, 01/31/29 | 1,212 | 1,155,945 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.46%, 03/09/27 | 4,386 | 3,806,439 | |
14,917,101 | |||
Electric Utilities — 0.3% | |||
Hamilton Projects Acquiror LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 05/22/31 | 282 | 283,512 | |
NRG Energy, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 04/16/31 | 1,117 | 1,116,641 | |
1,400,153 |
Security | Par (000) | Value | |
Electrical Equipment — 0.4% | |||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.01%), 10.35%, 06/23/28 | USD | 1,987 | $ 1,988,765 |
Electronic Equipment, Instruments & Components — 0.8% | |||
Celestica Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 06/20/31(e) | 402 | 401,498 | |
Coherent Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 07/02/29 | 1,294 | 1,292,640 | |
Roper Industrial Products Investment Co., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 11/22/29 | 2,453 | 2,453,242 | |
4,147,380 | |||
Energy Equipment & Services — 0.0% | |||
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 06/30/27 | 46 | 21,861 | |
Entertainment — 3.7% | |||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.44%, 04/22/26 | 1,292 | 1,221,664 | |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 2.35%), 7.68%, 05/24/29 | 88 | 87,657 | |
Creative Artists Agency LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 11/27/28 | 2,658 | 2,667,840 | |
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.58%, 01/15/30 | 1,655 | 1,657,416 | |
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.85%), 7.19%, 10/19/26 | 2,221 | 2,216,198 | |
Motion Finco SARL, 2024 USD Term Loan B, (3- mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 11/12/29 | 1,131 | 1,130,874 | |
OVG Business Services LLC, 2024 Term Loan B, 06/25/31(m) | 641 | 642,615 | |
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.86%), 8.21%, 03/13/28 | 1,486 | 1,485,064 | |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.93%), 8.09%, 01/23/25 | 1,673 | 1,670,836 | |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.34%, 04/29/26 | 756 | 757,330 | |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.21%, 05/18/25 | 2,497 | 2,498,950 | |
WMG Acquisition Corp., 2024 Term Loan I, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/24/31 | 2,657 | 2,658,293 | |
18,694,737 | |||
Environmental, Maintenance & Security Service — 2.2% | |||
Clean Harbors, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 1.86%), 7.21%, 10/08/28 | 916 | 919,570 |
Security | Par (000) | Value | |
Environmental, Maintenance & Security Service (continued) | |||
Covanta Holding Corp. | |||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 11/30/28 | USD | 979 | $ 978,128 |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 11/30/28 | 75 | 74,763 | |
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 11/30/28 | 780 | 779,239 | |
2024 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 11/30/28 | 43 | 42,581 | |
Filtration Group Corp., 2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 10/21/28 | 3,078 | 3,090,724 | |
FinCo I LLC, 2023 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 06/27/29 | 424 | 425,124 | |
GFL Environmental, Inc. | |||
2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/31/27 | 641 | 641,350 | |
2024 Term Loan B, 06/27/31(e)(m) | 671 | 671,000 | |
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.09%, 06/21/28 | 3,220 | 3,220,875 | |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.35%), 8.69%, 03/09/28 | 809 | 437,550 | |
11,280,904 | |||
Financial Services — 3.9% | |||
ABG Intermediate Holdings 2 LLC, 2024 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 7.33%, 12/21/28 | 1,132 | 1,131,639 | |
Belron Finance U.S. LLC | |||
2018 Term Loan B, (3-mo. CME Term SOFR + 2.51%), 7.84%, 11/13/25 | 1,941 | 1,941,427 | |
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.51%), 7.84%, 10/30/26 | 1,114 | 1,113,918 | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 2.35%), 7.68%, 04/18/29 | 423 | 423,333 | |
2023 USD Term Loan, (3-mo. CME Term SOFR + 2.26%), 7.51%, 04/13/28 | 3,105 | 3,105,365 | |
Cogeco Financing 2 LP, 2023 Incremental Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 09/01/28 | 894 | 862,851 | |
CPI Holdco B LLC, Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/17/31 | 886 | 884,618 | |
Deerfield Dakota Holding LLC | |||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.08%, 04/09/27 | 5,549 | 5,542,297 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR + 7.01%), 12.35%, 04/07/28 | 1,594 | 1,590,015 | |
Hyperion Refinance SARL, 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/15/31 | 1,465 | 1,467,306 |
Security | Par (000) | Value | |
Financial Services (continued) | |||
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 12/17/27 | USD | 430 | $ 429,264 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.69%, 03/24/25 | 1,098 | 1,095,034 | |
Oxea Holding Drei GmbH, 2024 Tranche B Term Loan, (3-mo. CME Term SOFR at 3.00% Floor + 8.00%), 13.34%, 06/22/25 | 286 | 263,949 | |
19,851,016 | |||
Food Products — 2.4% | |||
8th Avenue Food & Provisions, Inc. | |||
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.86%), 9.21%, 10/01/25 | 1,256 | 1,188,810 | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 4.86%), 10.21%, 10/01/25 | 1,314 | 1,242,192 | |
Aramark Services, Inc., 2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 06/22/30 | 589 | 589,334 | |
Chobani LLC | |||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 10/25/27 | 2,870 | 2,876,653 | |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 10/25/27 | 733 | 736,065 | |
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.35%), 7.69%, 01/29/27 | 3,205 | 3,201,642 | |
H-Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.95%), 9.30%, 05/23/25 | 449 | 326,541 | |
Nomad Foods U.S. LLC, Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.81%, 11/12/29 | 902 | 902,176 | |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.85%, 03/31/28 | 837 | 836,557 | |
UTZ Quality Foods LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/20/28 | 488 | 488,641 | |
12,388,611 | |||
Ground Transportation — 1.0% | |||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 4.85%), 10.18%, 04/06/28 | 502 | 501,935 | |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.21%, 08/06/27 | 560 | 553,626 | |
Genesee & Wyoming, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 04/10/31 | 1,683 | 1,680,677 | |
Hertz Corp. | |||
2021 Term Loan B, (3-mo. CME Term SOFR + 3.51%), 8.86%, 06/30/28 | 389 | 351,138 |
Security | Par (000) | Value | |
Ground Transportation (continued) | |||
Hertz Corp. (continued) | |||
2021 Term Loan C, (3-mo. CME Term SOFR + 3.51%), 8.86%, 06/30/28 | USD | 75 | $ 68,047 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, 08/04/25 | 1,281 | 896,837 | |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 03/03/30 | 1,147 | 1,151,157 | |
5,203,417 | |||
Health Care Equipment & Supplies — 2.7% | |||
Avantor Funding, Inc., 2024 Term Loan, (1-mo. CME Term SOFR + 2.10%), 7.44%, 11/08/27 | 938 | 941,375 | |
Bausch & Lomb Corp. | |||
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 09/29/28 | 846 | 842,972 | |
Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 05/10/27 | 2,020 | 1,996,704 | |
Insulet Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 05/04/28 | 664 | 665,832 | |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.33%, 10/19/27 | 1,274 | 1,258,282 | |
Medline Borrower LP | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 10/23/28 | 4,172 | 4,177,111 | |
2024 USD Add-on Term Loan B, 10/23/28(m) | 1,587 | 1,587,000 | |
Sotera Health Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/30/31 | 1,991 | 1,984,370 | |
13,453,646 | |||
Health Care Providers & Services — 3.6% | |||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR + 2.11%), 7.46%, 02/22/28 | 1,823 | 1,821,521 | |
CHG Healthcare Services, Inc. | |||
2021 Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.69%, 09/29/28 | 887 | 887,986 | |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 09/29/28 | 194 | 193,838 | |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 11/08/27 | 1,928 | 1,930,940 | |
Concentra Health Services, Inc., Term Loan B, 06/26/31(e)(m) | 160 | 160,400 | |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 11/01/28 | 1,890 | 1,888,287 | |
Ensemble RCM LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 08/01/29 | 210 | 208,614 | |
EyeCare Partners LLC | |||
2024 Second Out Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.61%), 10.04%, 11/30/28 | 2,389 | 1,454,515 | |
2024 Superpriority New Money 1st Out Term Loan A, (3-mo. CME Term SOFR at 0.00% Floor + 5.75%), 11.08%, 08/31/28 | 685 | 686,539 |
Security | Par (000) | Value | |
Health Care Providers & Services (continued) | |||
EyeCare Partners LLC (continued) | |||
2024 Third Out Term Loan C, (3-mo. CME Term SOFR at 0.00% Floor + 6.75%), 12.08%, 11/30/28(e) | USD | 38 | $ 6,473 |
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 07/01/30 | 134 | 133,914 | |
ICON Luxembourg SARL | |||
2024 LUX Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 07/03/28 | 500 | 501,888 | |
2024 US Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 07/03/28 | 127 | 127,012 | |
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 4.36%), 9.71%, 03/06/28 | 699 | 590,650 | |
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 01/02/31 | 1,091 | 1,094,097 | |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.44%, 11/01/29 | 536 | 363,585 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.71%, 11/15/28 | 2,641 | 2,645,464 | |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1- mo. CME Term SOFR + 3.35%), 8.69%, 11/01/28 | 546 | 409,606 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 09/27/30 | 1,009 | 1,007,437 | |
Surgery Center Holdings, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 12/19/30 | 1,051 | 1,050,836 | |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.69%, 05/16/29 | 288 | 289,097 | |
WCG Intermediate Corp., 2024 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.84%, 01/08/27 | 930 | 930,222 | |
18,382,921 | |||
Health Care Technology — 2.5% | |||
AthenaHealth Group, Inc., 2022 Term Loan B, (1- mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 02/15/29 | 2,703 | 2,691,148 | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | 1,749 | 1,737,689 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR + 4.10%), 9.43%, 10/01/27 | 2,778 | 2,687,141 | |
PointClickCare Technologies, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.33%, 12/29/27 | 498 | 499,867 | |
Polaris Newco LLC, USD Term Loan B, (3-mo. CME Term SOFR + 4.26%), 9.59%, 06/02/28 | 4,145 | 4,141,415 | |
Waystar Technologies, Inc., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 10/22/29 | 477 | 477,027 | |
Zelis Payments Buyer, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 09/28/29 | 209 | 208,453 | |
12,442,740 |
Security | Par (000) | Value | |
Hotel & Resort REITs — 0.1% | |||
RHP Hotel Properties LP, 2024 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 05/18/30 | USD | 443 | $ 442,792 |
Hotels, Restaurants & Leisure — 6.9% | |||
1011778 B.C. Unlimited Liability Company, 2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 09/20/30 | 2,074 | 2,066,498 | |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 02/02/26 | 1,628 | 1,586,747 | |
Alterra Mountain Co. | |||
2024 Add-on Term Loan B, 05/31/30(m) | 199 | 199,872 | |
2024 Term Loan B5, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 05/31/30 | 630 | 632,709 | |
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.84%, 10/02/28 | 1,060 | 1,005,011 | |
Caesars Entertainment, Inc. | |||
2024 Term Loan B1, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.10%, 02/06/31 | 2,568 | 2,565,586 | |
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.10%, 02/06/30 | 1,120 | 1,118,637 | |
Carnival Corp., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.09%, 08/08/27 | 804 | 806,652 | |
Cedar Fair LP, 2024 Term Loan B, 05/01/31(m) | 303 | 302,055 | |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.10%), 7.44%, 03/17/28 | 1,295 | 1,296,963 | |
City Football Group Ltd., 2024 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.59%, 07/21/28 | 1,454 | 1,448,230 | |
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.08%, 01/27/29 | 3,513 | 3,515,446 | |
Flutter Financing BV, Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.58%, 11/25/30 | 3,212 | 3,209,869 | |
Four Seasons Hotels Ltd., 2024 Term Loan B, (1- mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 11/30/29 | 2,826 | 2,834,753 | |
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.10%, 11/08/30 | 696 | 696,480 | |
IRB Holding Corp., 2024 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 8.19%, 12/15/27 | 2,116 | 2,113,696 | |
Light & Wonder International, Inc. | |||
2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.07%, 04/14/29 | 947 | 946,028 | |
2024 Term Loan B2, 04/14/29(m) | 41 | 40,971 | |
Penn Entertainment, Inc., 2022 Term Loan B, (1- mo. CME Term SOFR + 2.85%), 8.19%, 05/03/29 | 1,262 | 1,262,517 | |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.09%, 01/05/29 | 406 | 405,915 | |
Sabre GLBL, Inc. | |||
2021 Term Loan B1, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 240 | 215,833 | |
2021 Term Loan B2, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 320 | 286,711 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Scientific Games Holdings LP, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.31%, 04/04/29 | USD | 375 | $ 374,063 |
SeaWorld Parks & Entertainment, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/25/28 | 465 | 465,018 | |
Station Casinos LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 03/14/31 | 1,777 | 1,775,483 | |
Whatabrands LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 08/03/28 | 2,691 | 2,690,080 | |
Wyndham Hotels & Resorts, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 05/24/30 | 1,148 | 1,148,455 | |
35,010,278 | |||
Household Durables — 1.5% | |||
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/31/28 | 1,306 | 1,306,980 | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.84%, 02/26/29 | 2,058 | 2,037,956 | |
Serta Simmons Bedding LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.61%), 12.95%, 06/29/28 | 443 | 352,130 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.11%), 9.46%, 10/06/28 | 1,554 | 1,327,222 | |
Weber-Stephen Products LLC, Term Loan B, (1- mo. CME Term SOFR + 3.36%), 8.71%, 10/30/27 | 2,755 | 2,554,176 | |
7,578,464 | |||
Independent Power and Renewable Electricity Producers — 0.5% | |||
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 07/31/30 | 1,103 | 1,099,430 | |
Calpine Corp., Term Loan B9, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/31/31 | 526 | 524,028 | |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR + 2.76%), 8.11%, 12/15/27 | 1,011 | 1,011,594 | |
2,635,052 | |||
Industrial Conglomerates — 0.1% | |||
Stitch Aquisition Corporation, 2024 Term Loan, 07/28/28 | 978 | 391,030 | |
Insurance — 6.6% | |||
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/06/30 | 6,066 | 6,079,399 | |
AmWINS Group, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.36%), 7.59%, 02/19/28 | 2,657 | 2,653,900 | |
Amynta Agency Borrower, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.10%, 02/28/28 | 2,042 | 2,044,624 | |
AssuredPartners, Inc., 2024 Incremental Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/14/31 | 3,521 | 3,528,253 |
Security | Par (000) | Value | |
Insurance (continued) | |||
Baldwin Insurance Group Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/26/31(e) | USD | 491 | $ 490,394 |
HUB International Ltd., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.57%, 06/20/30 | 4,664 | 4,672,421 | |
Jones Deslauriers Insurance Management, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 03/15/30 | 1,023 | 1,021,926 | |
Ryan Specialty LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.09%, 09/01/27 | 1,153 | 1,157,603 | |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 02/24/28 | 3,598 | 3,597,466 | |
Truist Insurance Holdings LLC | |||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/06/31 | 2,727 | 2,729,427 | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 05/06/32 | 904 | 920,200 | |
USI, Inc. | |||
2024 Term Loan (2029), (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 11/22/29 | 3,667 | 3,664,726 | |
2024 Term Loan (2030), (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 09/27/30 | 1,000 | 999,040 | |
33,559,379 | |||
Interactive Media & Services — 0.1% | |||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR + 4.15%), 9.48%, 02/16/28 | 380 | 380,005 | |
IT Services — 3.4% | |||
Asurion LLC | |||
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.36%), 8.71%, 12/23/26 | 383 | 379,526 | |
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.36%), 10.71%, 01/31/28 | 985 | 914,101 | |
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.36%), 10.71%, 01/20/29 | 953 | 876,465 | |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.35%), 9.69%, 08/19/28 | 1,365 | 1,353,375 | |
Camelot U.S. Acquisition LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/31/31 | 2,907 | 2,910,423 | |
Central Parent, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 07/06/29 | 2,802 | 2,759,464 | |
Fortress Intermediate 3, Inc, Term Loan B, 06/27/31(e)(m) | 522 | 522,000 | |
Go Daddy Operating Co. LLC | |||
2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 11/09/29 | 1,056 | 1,057,170 | |
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 05/30/31 | 2,318 | 2,315,105 | |
Magenta Buyer LLC | |||
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.59%, 07/27/28 | 1,150 | 634,369 |
Security | Par (000) | Value | |
IT Services (continued) | |||
Magenta Buyer LLC (continued) | |||
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.51%), 13.84%, 07/27/29 | USD | 1,497 | $ 438,682 |
Mitchell International, Inc. | |||
2024 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 06/17/31 | 2,046 | 2,025,540 | |
2024 2nd Lien Term Loan, 06/17/32(m) | 704 | 700,044 | |
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR + 5.01%), 10.36%, 06/28/29 | 560 | 559,775 | |
17,446,039 | |||
Leisure Products — 0.1% | |||
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.10%), 9.44%, 12/01/28 | 399 | 392,206 | |
Machinery — 3.1% | |||
Columbus McKinnon Corp./New York, 2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/14/28 | 289 | 290,667 | |
Doosan Bobcat North America, Inc. | |||
2022 Term Loan B, (3-mo. CME Term SOFR + 2.35%), 7.68%, 04/20/29 | 229 | 228,581 | |
2024 Term Loan, 04/20/29(m) | 89 | 89,022 | |
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.85%), 7.18%, 12/13/26 | 290 | 289,820 | |
SPX Flow, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 04/05/29 | 1,455 | 1,463,120 | |
Titan Acquisition Ltd./Canada, 2024 Term Loan B, (6-mo. CME Term SOFR at 0.00% Floor + 5.00%), 10.33%, 02/15/29 | 6,337 | 6,347,974 | |
TK Elevator U.S. Newco, Inc., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.79%, 04/30/30 | 3,516 | 3,531,621 | |
Vertiv Group Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 03/02/27 | 2,214 | 2,217,896 | |
Wec US Holdings Ltd., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/27/31 | 1,022 | 1,022,225 | |
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.46%, 10/04/28 | 98 | 98,284 | |
15,579,210 | |||
Media — 2.1% | |||
A L Parent LLC, 2023 Take Back Term Loan, (1- mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.84%, 06/30/28 | 411 | 412,072 | |
Charter Communications Operating LLC, 2023 Term Loan B4, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.30%, 12/07/30 | 1,247 | 1,231,338 | |
Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.11%), 9.46%, 08/23/28 | 643 | 643,429 | |
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.60%), 8.93%, 12/17/26 | — (n) | 160 |
Security | Par (000) | Value | |
Media (continued) | |||
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US at 0.00% Floor + 2.50%), 7.94%, 04/15/27 | USD | 1,359 | $ 1,126,014 |
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.11%), 10.46%, 08/02/27 | 832 | 832,479 | |
ECL Entertainment LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/31/30 | 951 | 953,784 | |
Gray Television, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 5.25%), 10.58%, 06/04/29 | 220 | 208,725 | |
NEP Group, Inc. | |||
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.71%, 08/19/26 | 146 | 137,754 | |
2023 Term Loan B, (1-mo. CME Term SOFR + 3.25%, 1.50% PIK), 10.21%, 08/19/26(g) | 1,737 | 1,636,638 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.71%, 09/25/26 | 2,364 | 1,909,031 | |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.85%), 9.19%, 04/21/29 | 501 | 338,573 | |
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.61%), 7.94%, 04/30/28 | 1,066 | 1,029,287 | |
10,459,284 | |||
Oil, Gas & Consumable Fuels — 2.0% | |||
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.09%, 12/21/28 | 3,218 | 3,212,690 | |
GIP Pilot Acquisition Partners LP, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.83%, 10/04/30 | 249 | 248,976 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1- mo. CME Term SOFR + 4.60%), 9.94%, 09/19/29 | 226 | 226,662 | |
Medallion Midland Acquisition LP, 2023 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 10/18/28 | 1,864 | 1,871,286 | |
Murphy USA, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.19%, 01/31/28 | 557 | 557,337 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.33%, 10/27/28 | 1,593 | 1,547,495 | |
Oryx Midstream Services Permian Basin LLC, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.44%, 10/05/28 | 2,647 | 2,645,089 | |
10,309,535 | |||
Paper & Forest Products — 0.4% | |||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.85%), 7.19%, 09/07/27 | 1,908 | 1,907,328 | |
Passenger Airlines — 1.6% | |||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3- mo. CME Term SOFR + 5.01%), 10.34%, 04/20/28 | 1,147 | 1,183,434 |
Security | Par (000) | Value | |
Passenger Airlines (continued) | |||
Air Canada, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.85%, 03/21/31 | USD | 744 | $ 744,366 |
American Airlines, Inc. | |||
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.85%), 7.07%, 01/29/27 | 144 | 143,608 | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.77%, 06/04/29 | 1,563 | 1,559,093 | |
Series AA, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.19%, 02/15/28 | 1,132 | 1,127,785 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR + 5.25%), 10.74%, 06/21/27 | 1,751 | 1,785,462 | |
United Airlines, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 02/22/31 | 1,266 | 1,266,954 | |
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR + 3.10%), 8.44%, 12/11/26 | 69 | 68,955 | |
7,879,657 | |||
Personal Care Products — 0.0% | |||
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR + 2.11%), 7.46%, 07/03/28 | 44 | 44,490 | |
Pharmaceuticals — 1.7% | |||
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.84%, 05/04/28 | 1,043 | 1,047,928 | |
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR + 5.35%), 10.69%, 02/01/27 | 904 | 821,600 | |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.85%), 7.18%, 08/01/27 | 1,259 | 1,253,318 | |
Jazz Financing Lux S.a.r.l., 2024 1st Lien Term Loan B, 05/05/28(m) | 363 | 362,993 | |
Jazz Financing Lux SARL, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.46%, 05/05/28 | 1,882 | 1,882,498 | |
Option Care Health, Inc., 2021 Term Loan B, (1- mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 10/27/28 | 704 | 708,312 | |
Organon & Co., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/19/31 | 862 | 861,810 | |
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.69%, 04/20/29 | 829 | 824,531 | |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.10%), 8.43%, 11/18/27 | 1,074 | 1,069,146 | |
8,832,136 | |||
Professional Services — 3.7% | |||
CoreLogic, Inc. | |||
2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.61%), 11.96%, 06/04/29 | 978 | 953,550 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.96%, 06/02/28 | 3,030 | 2,979,631 | |
Dayforce, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 02/26/31(e) | 1,679 | 1,681,099 |
Security | Par (000) | Value | |
Professional Services (continued) | |||
Dun & Bradstreet Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.10%, 01/18/29 | USD | 5,537 | $ 5,536,819 |
Element Materials Technology Group U.S. Holdings, Inc., 2022 USD Term Loan, (3- mo. CME Term SOFR + 4.35%), 9.68%, 07/06/29 | 1,650 | 1,655,139 | |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.85%), 7.19%, 04/28/28 | 1,911 | 1,911,367 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.08%, 04/29/29 | 826 | 667,022 | |
Trans Union LLC | |||
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 12/01/28 | 1,605 | 1,604,174 | |
2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.19%, 06/24/31 | 1,612 | 1,609,708 | |
18,598,509 | |||
Real Estate Management & Development — 0.2% | |||
Cushman & Wakefield U.S. Borrower LLC | |||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.21%, 08/21/25 | 40 | 40,151 | |
2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 01/31/30(e) | 579 | 582,445 | |
2024 Term Loan B, 01/31/30(e)(m) | 473 | 472,152 | |
1,094,748 | |||
Semiconductors & Semiconductor Equipment — 0.5% | |||
Entegris, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.08%, 07/06/29 | 792 | 791,117 | |
MKS Instruments, Inc. | |||
2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 08/17/29 | 1,026 | 1,026,037 | |
2024 USD Term Loan B, 08/17/29(m) | 189 | 188,960 | |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.85%, 12/02/28 | 540 | 538,658 | |
2,544,772 | |||
Software — 9.9% | |||
Applied Systems, Inc., 2024 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 02/24/31 | 2,916 | 2,935,360 | |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.81%, 08/15/29 | 551 | 549,098 | |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR + 2.36%), 7.71%, 09/21/28 | 1,828 | 1,827,858 | |
Cloud Software Group, Inc. | |||
2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 03/21/31 | 1,051 | 1,053,133 | |
2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 03/30/29 | 4,599 | 4,592,378 | |
Cloudera, Inc. | |||
2021 Second Lien Term Loan, (1-mo. CME Term SOFR + 6.10%), 11.44%, 10/08/29 | 676 | 668,395 | |
2021 Term Loan, (1-mo. CME Term SOFR + 3.85%), 9.19%, 10/08/28(e) | 732 | 731,431 |
Security | Par (000) | Value | |
Software (continued) | |||
Drake Software LLC, 2024 Term Loan B, 06/26/31(e)(m) | USD | 526 | $ 520,740 |
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 3.61%), 8.96%, 02/04/28 | 246 | 246,770 | |
Ellucian Holdings, Inc. | |||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.10%), 13.44%, 10/09/28 | 1,580 | 1,581,715 | |
2024 Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.94%, 10/09/29 | 2,490 | 2,499,540 | |
Gen Digital, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 1.75%), 7.09%, 09/12/29 | 1,833 | 1,825,688 | |
Genesys Cloud Services Holdings II LLC | |||
First Lien Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 | 2,748 | 2,760,010 | |
Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 12/01/27 | 1,128 | 1,135,224 | |
Helios Software Holdings, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 07/18/30 | 1,166 | 1,167,870 | |
Informatica LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 10/27/28 | 2,633 | 2,638,598 | |
ION Trading Finance Ltd, 2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.35%, 04/01/28 | 438 | 437,549 | |
McAfee Corp., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 03/01/29 | 3,141 | 3,133,998 | |
MH Sub I LLC | |||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 6.25%), 9.59%, 02/23/29 | 908 | 901,660 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 05/03/28 | 2,423 | 2,418,480 | |
Modena Buyer LLC, Term Loan, 07/01/31(m) | 762 | 742,714 | |
Planview Parent, Inc., 2024 Term Loan, 12/17/27(m) | 217 | 216,151 | |
Proofpoint, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.34%, 08/31/28 | 2,924 | 2,925,014 | |
RealPage, Inc. | |||
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 04/24/28 | 2,977 | 2,890,551 | |
2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.61%), 11.96%, 04/23/29 | 2,459 | 2,391,460 | |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 08/01/27 | 1,156 | 1,158,408 | |
SS&C Technologies, Inc., 2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/09/31 | 847 | 848,344 | |
UKG, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 02/10/31 | 3,145 | 3,155,601 |
Security | Par (000) | Value | |
Software (continued) | |||
Voyage Australia Pty. Ltd., USD Term Loan B, (3- mo. CME Term SOFR + 3.76%), 9.09%, 07/20/28 | USD | 209 | $ 208,752 |
VS Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 04/14/31 | 1,831 | 1,833,031 | |
49,995,521 | |||
Specialty Retail — 0.6% | |||
EG America LLC, 2021 Term Loan, (3-mo. SOFR OIS CMPD + 4.51%), 9.82%, 03/31/26(e) | 247 | 246,454 | |
LS Group OpCo Acquistion LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 04/23/31 | 505 | 504,772 | |
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/11/28 | 1,668 | 1,661,394 | |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 10/20/28 | 742 | 721,078 | |
3,133,698 | |||
Technology Hardware, Storage & Peripherals — 0.8% | |||
Tempo Acquisition LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 08/31/28 | 4,146 | 4,153,498 | |
Textiles, Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 03/08/30 | 466 | 467,069 | |
Trading Companies & Distributors — 1.1% | |||
Core & Main LP | |||
2024 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 02/09/31 | 704 | 704,679 | |
2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 07/27/28 | 3,505 | 3,507,504 | |
TMK Hawk Parent Corp.(e) | |||
2024 PIK Term Loan, (3-mo. CME Term SOFR + 11.00%), 11.00%, 12/15/31 | 56 | 46,765 | |
2024 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.59%, 06/30/29 | 1,785 | 1,213,770 | |
5,472,718 | |||
Transportation Infrastructure — 0.1% | |||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR + 6.35%), 11.69%, 12/15/26 | 729 | 725,471 |
Security | Par (000) | Value | |
Wireless Telecommunication Services — 0.4% | |||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 04/30/28 | USD | 814 | $ 810,778 |
SBA Senior Finance II LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 01/25/31 | 1,366 | 1,366,919 | |
2,177,697 | |||
Total Floating Rate Loan Interests — 104.0% (Cost: $533,965,327) | 526,949,624 |
Shares | |||
Investment Companies | |||
Equity Funds — 0.1% | |||
Janus Henderson AAA CLO ETF | 15,000 | 763,200 | |
Fixed Income Funds — 2.4% | |||
Invesco Senior Loan ETF | 566,200 | 11,914,108 | |
Total Investment Companies — 2.5% (Cost: $12,678,195) | 12,677,308 |
Benefical Interest (000) | |||
Other Interests | |||
Capital Markets — 0.0% | |||
Millennium Lender Claim Trust(e)(o) | USD | 1,156 | — |
Industrial Conglomerates — 0.0% | |||
Millennium Corp. Claim(e)(o) | 1,084 | — | |
Total Other Interests — 0.0% (Cost: $ — ) | — |
Par (000) | |||
Preferred Securities | |||
Capital Trusts — 0.7%(a) | |||
Automobiles(i) — 0.1% | |||
General Motors Financial Co., Inc., Series C, 5.70% | USD | 50 | 46,936 |
Volkswagen International Finance NV, 3.88%(c) | EUR | 100 | 99,679 |
146,615 | |||
Banks(i) — 0.3% | |||
AIB Group PLC, 5.25%(c) | 200 | 213,387 | |
Barclays PLC | |||
4.38% | USD | 200 | 167,941 |
9.63% | 200 | 216,818 | |
Citigroup, Inc. | |||
Series AA, 7.63% | 81 | 84,336 |
Security | Par (000) | Value | |
Banks (continued) | |||
Citigroup, Inc. (continued) | |||
Series CC, 7.13% | USD | 180 | $ 179,597 |
PNC Financial Services Group, Inc. | |||
Series V, 6.20% | 67 | 66,739 | |
Series W, 6.25% | 72 | 70,162 | |
UBS Group AG(b) | |||
7.75% | 200 | 204,009 | |
Series NC10, 9.25% | 200 | 223,978 | |
Wells Fargo & Co., 7.63% | 111 | 118,205 | |
1,545,172 | |||
Diversified Telecommunication Services(c) — 0.1% | |||
British Telecommunications PLC, 5.13%, 10/03/54 | EUR | 100 | 107,362 |
Telefonica Europe BV, 6.14%(i) | 100 | 112,175 | |
Vodafone Group PLC, 6.50%, 08/30/84 | 100 | 114,993 | |
334,530 | |||
Electric Utilities — 0.2% | |||
AES Corp., 7.60%, 01/15/55 | USD | 71 | 71,878 |
Dominion Energy, Inc. | |||
Series A, 6.88%, 02/01/55 | 74 | 75,543 | |
Series B, 7.00%, 06/01/54 | 45 | 46,821 | |
Edison International, Series B, 5.00%(i) | 75 | 71,340 | |
EDP - Energias de Portugal SA, 4.75%, 05/29/54(c) | EUR | 100 | 106,426 |
Electricite de France SA, 3.38%(c)(i) | 200 | 186,654 | |
NRG Energy, Inc., 10.25%(b)(i) | USD | 118 | 129,058 |
Terna - Rete Elettrica Nazionale, 4.75%(c)(i) | EUR | 100 | 105,756 |
Vistra Corp., 7.00%(b)(i) | USD | 168 | 166,540 |
960,016 | |||
Gas Utilities — 0.0% | |||
Centrica PLC, 6.50%, 05/21/55(c) | GBP | 100 | 127,674 |
Industrial Conglomerates — 0.0% | |||
Alstom SA, 5.87%(c)(i) | EUR | 100 | 108,605 |
3,222,612 | |||
Total Preferred Securities — 0.7% (Cost: $3,225,557) | 3,222,612 |
Shares | |||
Warrants | |||
Consumer Discretionary — 0.0% | |||
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)(d) | 2,435 | — | |
Energy Equipment & Services — 0.0% | |||
Turbo Cayman Ltd.(d)(e) | 1 | — |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.0% | |||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(d) | 1,152 | $ 20,546 | |
Total Warrants — 0.0% (Cost: $ — ) | 20,546 | ||
Total Long-Term Investments — 129.0% (Cost: $684,239,664) | 653,432,959 | ||
Short-Term Securities | |||
Money Market Funds — 0.6% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(p)(q) | 3,146,351 | 3,146,351 | |
Total Short-Term Securities — 0.6% (Cost: $3,146,350) | 3,146,351 | ||
Total Investments — 129.6% (Cost: $687,386,014) | 656,579,310 | ||
Liabilities in Excess of Other Assets — (29.6)% | (149,870,278 ) | ||
Net Assets — 100.0% | $ 506,709,032 |
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) | Non-income producing security. |
(e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(f) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $601,790, representing 0.1% of its net assets as of period end, and an original cost of $949,262. |
(g) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) | Convertible security. |
(i) | Perpetual security with no stated maturity date. |
(j) | When-issued security. |
(k) | Zero-coupon bond. |
(l) | Issuer filed for bankruptcy and/or is in default. |
(m) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(n) | Rounds to less than 1,000. |
(o) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(p) | Affiliate of the Fund. |
(q) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 1,315,320 | $ 1,831,031 (a) | $ — | $ — | $ — | $ 3,146,351 | 3,146,351 | $ 35,473 | $ — |
iShares iBoxx $ High Yield Corporate Bond ETF(b) | 1,160,850 | — | (1,155,993 ) | 17,193 | (22,050 ) | — | — | 18,089 | — |
$ 17,193 | $ (22,050 ) | $ 3,146,351 | $ 53,562 | $ — |
(a) | Represents net amount purchased (sold). |
(b) | As of period end, the entity is no longer held. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
EUR | 15,000 | USD | 16,063 | Barclays Bank PLC | 07/03/24 | $ 2 |
USD | 100,284 | EUR | 93,000 | Barclays Bank PLC | 09/18/24 | 314 |
USD | 492,784 | EUR | 457,726 | BNP Paribas SA | 09/18/24 | 754 |
USD | 4,239,615 | EUR | 3,938,000 | BNP Paribas SA | 09/18/24 | 6,484 |
USD | 319,938 | EUR | 297,274 | Toronto-Dominion Bank | 09/18/24 | 385 |
USD | 38,044 | GBP | 30,000 | Goldman Sachs International | 09/18/24 | 99 |
USD | 157,248 | GBP | 124,000 | Goldman Sachs International | 09/18/24 | 410 |
USD | 545,296 | GBP | 430,000 | Goldman Sachs International | 09/18/24 | 1,423 |
USD | 38,065 | GBP | 30,000 | HSBC Bank PLC | 09/18/24 | 120 |
USD | 44,377 | GBP | 35,000 | JPMorgan Chase Bank N.A. | 09/18/24 | 109 |
USD | 31,708 | GBP | 25,000 | Standard Chartered Bank | 09/18/24 | 88 |
USD | 8,879 | GBP | 7,000 | UBS AG | 09/18/24 | 25 |
10,213 | ||||||
USD | 16,122 | EUR | 15,000 | Barclays Bank PLC | 09/18/24 | (2 ) |
$ 10,211 |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CDX.NA.HY.39.V3 | 5.00 % | Quarterly | 12/20/27 | CCC+ | USD | 4,008 | $ 251,169 | $ (44,730 ) | $ 295,899 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Reference Obligations/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Matterhorn Telecom Holding S.A. | 5.00 % | Quarterly | Goldman Sachs International | 06/20/29 | EUR | 8 | $ (1,026 ) | $ (982 ) | $ (44 ) |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CMA CGM SA | 5.00 % | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | N/R | EUR | 8 | $ 957 | $ 1,228 | $ (271 ) |
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | N/R | EUR | 15 | (461 ) | (2,421 ) | 1,960 |
Faurecia SE | 5.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BB | EUR | 5 | 554 | 660 | (106 ) |
Sunrise HoldCo IV B.V. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | B | EUR | 5 | 606 | 488 | 118 |
Ziggo Bond Company B.V. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | B- | EUR | 3 | 156 | 234 | (78 ) |
Ziggo Bond Company B.V. | 5.00 | Quarterly | Goldman Sachs International | 06/20/29 | B- | EUR | 5 | 266 | 232 | 34 |
$ 2,078 | $ 421 | $ 1,657 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Fund | Received by the Fund | ||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Barclays Bank PLC | N/A | 09/20/24 | USD | 5,000 | $ 6,194 | $ (36,312 ) | $ 42,506 |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | BNP Paribas SA | N/A | 09/20/24 | USD | 10,000 | 133,191 | (1,475 ) | 134,666 |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | BNP Paribas SA | N/A | 09/20/24 | USD | 4,200 | 2,989 | (39,871 ) | 42,860 |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Morgan Stanley & Co. International PLC | N/A | 12/20/24 | USD | 4,000 | 29,621 | (21,916 ) | 51,537 |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Morgan Stanley & Co. International PLC | N/A | 03/20/25 | USD | 2,000 | (1,707 ) | (2,365 ) | 658 |
$ 170,288 | $ (101,939 ) | $ 272,227 |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation |
Centrally Cleared Swaps(a) | $ — | $ (44,730 ) | $ 295,899 | $ — |
OTC Swaps | 2,842 | (105,342 ) | 274,339 | (499 ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | $ — | $ — | $ — | $ 10,213 | $ — | $ — | $ 10,213 |
Swaps — centrally cleared Unrealized appreciation on centrally cleared swaps(a) | — | 295,899 | — | — | — | — | 295,899 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | 4,954 | — | — | 272,227 | — | 277,181 |
$ — | $ 300,853 | $ — | $ 10,213 | $ 272,227 | $ — | $ 583,293 | |
Liabilities — Derivative Financial Instruments | |||||||
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | $ — | $ — | $ — | $ 2 | $ — | $ — | $ 2 |
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | — | 3,902 | — | — | 101,939 | — | 105,841 |
$ — | $ 3,902 | $ — | $ 2 | $ 101,939 | $ — | $ 105,843 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Forward foreign currency exchange contracts | $ — | $ — | $ — | $ 151,807 | $ — | $ — | $ 151,807 |
Options purchased(a) | — | — | — | — | 119 | — | 119 |
Options written | — | — | — | — | 72 | — | 72 |
Swaps | — | 109,156 | — | — | (198,933 ) | — | (89,777 ) |
$ — | $ 109,156 | $ — | $ 151,807 | $ (198,742 ) | $ — | $ 62,221 | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Forward foreign currency exchange contracts | $ — | $ — | $ — | $ 58,505 | $ — | $ — | $ 58,505 |
Swaps | — | (4,832 ) | — | — | 213,562 | — | 208,730 |
$ — | $ (4,832 ) | $ — | $ 58,505 | $ 213,562 | $ — | $ 267,235 |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $5,659,773 |
Average amounts sold — in USD | $61,977 |
Options: | |
Average value of option contracts purchased | $70 |
Average value of option contracts written | $8 |
Credit default swaps: | |
Average notional value — buy protection | $4,284 |
Average notional value — sell protection | $4,046,759 |
Total return swaps: | |
Average notional value | $17,600,000 |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Forward foreign currency exchange contracts | $ 10,213 | $ 2 |
Swaps — centrally cleared | — | 3,121 |
Swaps — OTC(a) | 277,181 | 105,841 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 287,394 | 108,964 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | (3,121 ) |
Total derivative assets and liabilities subject to an MNA | $ 287,394 | $ 105,843 |
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets(b)(c) |
Bank of America N.A. | $ 2,800 | $ (2,499 ) | $ — | $ — | $ 301 |
Barclays Bank PLC | 43,482 | (36,420 ) | — | — | 7,062 |
BNP Paribas SA | 184,764 | (41,346 ) | — | — | 143,418 |
Goldman Sachs International | 2,198 | (1,026 ) | — | — | 1,172 |
HSBC Bank PLC | 120 | — | — | — | 120 |
JPMorgan Chase Bank N.A. | 109 | — | — | — | 109 |
Morgan Stanley & Co. International PLC | 53,423 | (24,552 ) | — | — | 28,871 |
Standard Chartered Bank | 88 | — | — | — | 88 |
Toronto-Dominion Bank | 385 | — | — | — | 385 |
UBS AG | 25 | — | — | — | 25 |
$ 287,394 | $ (105,843 ) | $ — | $ — | $ 181,551 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities |
Bank of America N.A. | $ 2,499 | $ (2,499 ) | $ — | $ — | $ — |
Barclays Bank PLC | 36,420 | (36,420 ) | — | — | — |
BNP Paribas SA | 41,346 | (41,346 ) | — | — | — |
Goldman Sachs International | 1,026 | (1,026 ) | — | — | — |
Morgan Stanley & Co. International PLC | 24,552 | (24,552 ) | — | — | — |
$ 105,843 | $ (105,843 ) | $ — | $ — | $ — |
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 15,027,630 | $ — | $ 15,027,630 |
Common Stocks | ||||
Construction & Engineering | — | 41,030 | — | 41,030 |
Electrical Equipment | 5,053 | — | — | 5,053 |
Energy Equipment & Services | — | — | — | — |
Entertainment | — | — | 312,761 | 312,761 |
Financial Services | — | 147,700 | 615,292 | 762,992 |
Health Care Providers & Services | — | 289,029 | — | 289,029 |
Industrial Conglomerates | — | — | 17 | 17 |
Oil, Gas & Consumable Fuels | — | — | 10,753 | 10,753 |
Semiconductors & Semiconductor Equipment | 182 | — | — | 182 |
Trading Companies & Distributors | — | — | 216,980 | 216,980 |
Corporate Bonds | ||||
Advertising Agencies | — | 208,074 | — | 208,074 |
Aerospace & Defense | — | 3,444,172 | — | 3,444,172 |
Air Freight & Logistics | — | 7,087 | — | 7,087 |
Automobile Components | — | 2,100,516 | — | 2,100,516 |
Automobiles | — | 595,123 | — | 595,123 |
Banks | — | 650,832 | — | 650,832 |
Broadline Retail | — | 473,158 | — | 473,158 |
Building Materials | — | 1,814,636 | — | 1,814,636 |
Building Products | — | 965,854 | — | 965,854 |
Capital Markets | — | 977,188 | — | 977,188 |
Chemicals | — | 3,060,383 | — | 3,060,383 |
Commercial Services & Supplies | 14,338 | 5,007,837 | — | 5,022,175 |
Communications Equipment | — | 76,028 | — | 76,028 |
Construction & Engineering | — | 943,221 | — | 943,221 |
Construction Materials | — | 162,639 | — | 162,639 |
Consumer Finance | — | 840,992 | — | 840,992 |
Consumer Staples Distribution & Retail | — | 494,308 | — | 494,308 |
Containers & Packaging | — | 2,176,948 | — | 2,176,948 |
Diversified Consumer Services | — | 142,608 | — | 142,608 |
Diversified REITs | — | 1,086,376 | — | 1,086,376 |
Diversified Telecommunication Services | — | 4,962,795 | — | 4,962,795 |
Electric Utilities | — | 1,030,653 | — | 1,030,653 |
Electrical Equipment | — | 105,780 | — | 105,780 |
Electronic Equipment, Instruments & Components | — | 380,123 | — | 380,123 |
Energy Equipment & Services | — | 872,658 | — | 872,658 |
Entertainment | — | 814,041 | — | 814,041 |
Environmental, Maintenance & Security Service | — | 1,816,005 | — | 1,816,005 |
Financial Services | — | 2,107,061 | — | 2,107,061 |
Food Products | — | 1,181,297 | — | 1,181,297 |
Gas Utilities | — | 104,126 | — | 104,126 |
Ground Transportation | — | 847,948 | — | 847,948 |
Health Care Equipment & Supplies | — | 1,582,757 | — | 1,582,757 |
Health Care Providers & Services | — | 2,762,775 | — | 2,762,775 |
Health Care REITs | — | 310,170 | — | 310,170 |
Health Care Technology | — | 679,476 | — | 679,476 |
Hotel & Resort REITs | — | 1,050,083 | — | 1,050,083 |
Hotels, Restaurants & Leisure | — | 5,981,772 | — | 5,981,772 |
Household Durables | — | 840,539 | — | 840,539 |
Household Products | — | 156,390 | — | 156,390 |
Independent Power and Renewable Electricity Producers | — | 230,350 | — | 230,350 |
Insurance | — | 6,152,828 | — | 6,152,828 |
Level 1 | Level 2 | Level 3 | Total | |
Corporate Bonds (continued) | ||||
Interactive Media & Services | $ — | $ 177,620 | $ — | $ 177,620 |
IT Services | — | 1,204,191 | — | 1,204,191 |
Leisure Products | — | 99,279 | — | 99,279 |
Machinery | — | 2,525,805 | — | 2,525,805 |
Media | — | 4,945,813 | — | 4,945,813 |
Metals & Mining | — | 2,720,534 | — | 2,720,534 |
Mortgage Real Estate Investment Trusts (REITs) | — | 55,769 | — | 55,769 |
Oil, Gas & Consumable Fuels | — | 10,190,713 | — | 10,190,713 |
Passenger Airlines | — | 584,108 | — | 584,108 |
Personal Care Products | — | 41,285 | — | 41,285 |
Pharmaceuticals | — | 622,257 | — | 622,257 |
Professional Services | — | 362,609 | — | 362,609 |
Real Estate Management & Development | — | 314,170 | — | 314,170 |
Retail REITs | — | 47,464 | — | 47,464 |
Semiconductors & Semiconductor Equipment | — | 253,108 | — | 253,108 |
Software | — | 6,471,512 | — | 6,471,512 |
Specialized REITs | — | 196,455 | — | 196,455 |
Specialty Retail | — | 808,287 | — | 808,287 |
Technology Hardware, Storage & Peripherals | — | 302,435 | — | 302,435 |
Textiles, Apparel & Luxury Goods | — | 136,473 | — | 136,473 |
Trading Companies & Distributors | — | 68,482 | — | 68,482 |
Fixed Rate Loan Interests | — | 1,909,415 | 646,713 | 2,556,128 |
Floating Rate Loan Interests | — | 511,457,431 | 15,492,193 | 526,949,624 |
Investment Companies | 12,677,308 | — | — | 12,677,308 |
Other Interests | — | — | — | — |
Preferred Securities | ||||
Capital Trusts | — | 3,222,612 | — | 3,222,612 |
Warrants | 20,546 | — | — | 20,546 |
Short-Term Securities | ||||
Money Market Funds | 3,146,351 | — | — | 3,146,351 |
Unfunded Floating Rate Loan Interests(a) | — | — | 1,087 | 1,087 |
$15,863,778 | $623,420,823 | $17,295,796 | $656,580,397 | |
Derivative Financial Instruments(b) | ||||
Assets | ||||
Credit Contracts | $ — | $ 298,011 | $ — | $ 298,011 |
Foreign Currency Exchange Contracts | — | 10,213 | — | 10,213 |
Interest Rate Contracts | — | 272,227 | — | 272,227 |
Liabilities | ||||
Credit Contracts | — | (499 ) | — | (499 ) |
Foreign Currency Exchange Contracts | — | (2 ) | — | (2 ) |
$— | $579,950 | $— | $579,950 |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Common Stocks | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Other Interests | Preferred Stocks | Unfunded Floating Rate Loan Interests | Total | |
Assets | ||||||||
Opening balance, as of December 31, 2023 | $ 470,693 | $ — (a) | $ — | $ 17,370,922 | $ — (a) | $ 82,144 | $ 870 | $ 17,924,629 |
Transfers into Level 3(b) | 17 | — | — | 5,974,663 | — | — | — | 5,974,680 |
Transfers out of Level 3(c) | (211,485 ) | — | — | (6,834,290 ) | — | — | — | (7,045,775 ) |
Accrued discounts/premiums | — | — | 339 | 48,440 | — | — | — | 48,779 |
Net realized gain (loss) | — | — | — | (927,255 ) | — | 1,245 | — | (926,010 ) |
Net change in unrealized appreciation (depreciation)(d)(e) | (295,922 ) | — | (11,976 ) | 467,243 | — | (389 ) | 217 | 159,173 |
Purchases | 1,192,500 | — | 658,350 | 10,869,091 | — | — | — | 12,719,941 |
Sales | — | — | — | (11,476,621 ) | — | (83,000 ) | — | (11,559,621 ) |
Closing balance, as of June 30, 2024 | $ 1,155,803 | $ — (a) | $ 646,713 | $ 15,492,193 | $ — (a) | $ — | $ 1,087 | $ 17,295,796 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(e) | $ (295,922 ) | $ — | $ (11,976 ) | $ (509,968 ) | $ — | $ — | $ 217 | $ (817,649 ) |
(a) | Rounds to less than $1. |
(b) | As of December 31, 2023, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2024, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2023, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2024, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
Bryant Park Funding Ltd., Series 2024-23A, Class D1, (3-mo. CME Term SOFR + 3.85%), 9.18%, 05/15/37(a)(b) | USD | 1,000 | $ 1,012,491 |
Golub Capital Partners CLO Ltd.(a)(b) | |||
Series 2023-66B, Class D, (3-mo. CME Term SOFR + 5.50%), 10.82%, 04/25/36 | 1,000 | 1,020,795 | |
Series 2024-74A, Class D1, (3-mo. CME Term SOFR + 3.20%), 8.51%, 07/25/37 | 1,000 | 999,970 | |
Madison Park Funding LXIX Ltd., Series 2024-69A, Class D1, (3-mo. CME Term SOFR + 3.35%), 3.40%, 07/25/37(a)(b) | 1,000 | 999,745 | |
Oaktree CLO Ltd., Series 2024-26A, Class D1, (3- mo. CME Term SOFR + 3.45%), 8.78%, 04/20/37(a)(b) | 1,670 | 1,669,822 | |
Palmer Square CLO Ltd., Series 2023-2A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.32%, 04/20/36(a)(b) | 1,000 | 1,024,165 | |
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3- mo. CME Term SOFR + 5.45%), 10.77%, 04/20/36(a)(b) | 1,000 | 1,043,721 | |
Sycamore Tree CLO Ltd., Series 2023-3A, Class D1R, (3-mo. CME Term SOFR + 4.25%), 9.57%, 04/20/37(a)(b) | 1,000 | 1,011,427 | |
Symphony CLO Ltd.(a)(b) | |||
Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.52%, 04/24/36 | 1,000 | 1,025,002 | |
Series 2023-40A, Class D, (3-mo. CME Term SOFR + 5.00%), 10.33%, 01/14/34 | 1,000 | 1,016,008 | |
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 10.47%, 04/20/36(a)(b) | 1,000 | 1,031,206 | |
Total Asset-Backed Securities — 2.6% (Cost: $11,670,000) | 11,854,352 |
Shares | |||
Common Stocks | |||
Construction & Engineering — 0.0% | |||
McDermott International Ltd.(c) | 123,933 | 35,941 | |
Energy Equipment & Services — 0.0% | |||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(c)(d)(e) | 6,099 | — | |
Entertainment — 0.1% | |||
Learfield Communications LLC, (Acquired 09/06/23, Cost: $85,471)(c)(d)(e) | 6,803 | 363,961 | |
Financial Services(c) — 0.2% | |||
NMG Parent LLC | 3,613 | 361,300 | |
Travelport Finance Luxembourg SARL(d) | 267 | 720,540 | |
1,081,840 | |||
Health Care Providers & Services — 0.1% | |||
Envision Healthcare Corp., (Acquired 11/03/23, Cost: $737,244)(c)(e) | 23,736 | 243,294 | |
Oil, Gas & Consumable Fuels — 0.0% | |||
Kcad Holdings I Ltd.(c)(d) | 309,827,230 | 3,098 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment — 0.0% | |||
Maxeon Solar Technologies Ltd.(c) | 232 | $ 198 | |
Trading Companies & Distributors — 0.0% | |||
TMK Hawk Parent Corp.(c)(d) | 23,534 | 205,926 | |
Total Common Stocks — 0.4% (Cost: $7,608,859) | 1,934,258 |
Par (000) | |||
Corporate Bonds | |||
Automobile Components(b) — 0.1% | |||
Champions Financing, Inc., 8.75%, 02/15/29 | USD | 208 | 213,299 |
Clarios Global LP, 6.75%, 05/15/25 | 446 | 445,864 | |
659,163 | |||
Building Materials — 0.0% | |||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) | 118 | 113,660 | |
Chemicals(b) — 0.1% | |||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 | 51 | 51,404 | |
WR Grace Holdings LLC, 5.63%, 08/15/29 | 388 | 357,618 | |
409,022 | |||
Construction & Engineering — 0.1% | |||
Brand Industrial Services, Inc., 10.38%, 08/01/30(b) | 249 | 269,093 | |
Construction Materials — 0.1% | |||
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26(b)(c)(f) | 1,013 | 354,550 | |
Diversified REITs — 0.0% | |||
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b) | 138 | 136,196 | |
Diversified Telecommunication Services(b) — 0.2% | |||
Level 3 Financing, Inc., 11.00%, 11/15/29 | 524 | 536,547 | |
Zayo Group Holdings, Inc., 6.13%, 03/01/28 | 251 | 168,058 | |
704,605 | |||
Electric Utilities — 0.0% | |||
Texas Competitive Electric Holdings, Series M, 5.03%, 11/10/17(c)(d)(f) | 1,710 | — | |
Entertainment — 0.1% | |||
Odeon Finco PLC, 12.75%, 11/01/27(b) | 607 | 636,211 | |
Ground Transportation — 0.1% | |||
Uber Technologies, Inc., 4.50%, 08/15/29(b) | 381 | 363,013 | |
Health Care Equipment & Supplies — 0.1% | |||
Medline Borrower LP, 5.25%, 10/01/29(b) | 384 | 366,461 | |
Hotels, Restaurants & Leisure(b) — 0.2% | |||
Caesars Entertainment, Inc., 4.63%, 10/15/29 | 390 | 357,540 | |
Expedia Group, Inc., 6.25%, 05/01/25 | 337 | 337,538 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 | 441 | 387,267 | |
1,082,345 | |||
Insurance — 0.1% | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(b) | 357 | 352,130 |
Security | Par (000) | Value | |
IT Services — 0.0% | |||
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29(b) | USD | 191 | $ 193,931 |
Machinery(b) — 0.3% | |||
Husky Injection Molding Systems Ltd./Titan Co- Borrower LLC, 9.00%, 02/15/29 | 336 | 347,933 | |
Vertiv Group Corp., 4.13%, 11/15/28 | 901 | 841,418 | |
1,189,351 | |||
Media — 0.1% | |||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26(b) | 573 | 436,620 | |
Real Estate Management & Development — 0.0% | |||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29(b) | 46 | 28,312 | |
Specialty Retail — 0.1% | |||
eG Global Finance PLC, 12.00%, 11/30/28(b) | 465 | 495,075 | |
Wireless Telecommunication Services — 0.0% | |||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(g) | 263 | 37,407 | |
Total Corporate Bonds — 1.7% (Cost: $8,686,566) | 7,827,145 | ||
Fixed Rate Loan Interests | |||
Commercial Services & Supplies — 0.2% | |||
AVSC Holding Corp., 2020 Term Loan B3, (10.00% PIK), 15.00%, 10/15/26(g) | 1,066 | 1,100,416 | |
Health Care Technology — 0.2% | |||
Cotiviti, Inc., 2024 Fixed Term Loan B, 7.63%, 05/01/31 | 1,086 | 1,079,669 | |
Media — 0.2% | |||
Morgan Stanley & Co. International PLC, 2024 CCIBV Fixed Term Loan, 15.00%(d)(h) | 740 | 719,650 | |
Total Fixed Rate Loan Interests — 0.6% (Cost: $2,866,251) | 2,899,735 | ||
Floating Rate Loan Interests(a) | |||
Aerospace & Defense — 4.7% | |||
Barnes Group, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 09/03/30 | 1,043 | 1,044,073 | |
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 10/31/30 | 1,095 | 1,099,507 | |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.26%, 08/03/29 | 368 | 355,744 | |
Cubic Corp. | |||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 3,405 | 2,476,308 | |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 690 | 501,593 | |
Dynasty Acquisition Co., Inc., 2024 Term Loan B1, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 4,264 | 4,276,538 |
Security | Par (000) | Value | |
Aerospace & Defense (continued) | |||
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.70%), 10.94%, 04/09/26 | USD | 750 | $ 720,403 |
Ovation Parent, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 04/21/31 | 299 | 300,495 | |
Peraton Corp. | |||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR + 7.85%), 13.18%, 02/01/29 | 1,691 | 1,695,684 | |
Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/01/28 | 3,077 | 3,075,496 | |
Setanta Aircraft Leasing DAC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.08%, 11/05/28 | 670 | 673,350 | |
Standard Aero Ltd., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 1,644 | 1,648,923 | |
TransDigm, Inc. | |||
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 7.84%, 02/28/31 | 3,744 | 3,751,851 | |
2024 Term Loan K, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 03/22/30 | 118 | 117,870 | |
21,737,835 | |||
Air Freight & Logistics — 0.1% | |||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.58%, 03/17/30 | 243 | 243,066 | |
Automobile Components — 1.3% | |||
Champions Financing, Inc., 2024 Term Loan B, (3- mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 02/23/29 | 2,334 | 2,342,752 | |
Clarios Global LP | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 05/06/30 | 2,339 | 2,342,264 | |
2024 USD Term Loan B, 05/06/30(i) | 35 | 35,044 | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.10%), 10.43%, 11/17/28 | 1,123 | 1,075,677 | |
5,795,737 | |||
Automobiles — 0.8% | |||
Dealer Tire Financial LLC | |||
2024 Term Loan B, 07/02/31(d)(i) | 1,149 | 1,146,107 | |
2024 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 12/14/27 | 2,507 | 2,499,271 | |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/08/28 | 240 | 222,019 | |
3,867,397 | |||
Banks — 0.6% | |||
Ascensus Holdings, Inc., Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 08/02/28 | 2,713 | 2,710,035 | |
Beverages — 1.1% | |||
Naked Juice LLC | |||
2nd Lien Term Loan, (3-mo. CME Term SOFR + 6.10%), 11.43%, 01/24/30 | 1,804 | 1,439,140 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 01/24/29 | 3,836 | 3,551,219 | |
4,990,359 |
Security | Par (000) | Value | |
Broadline Retail — 1.2% | |||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 11/24/28 | USD | 690 | $ 687,026 |
StubHub Holdco Sub LLC, 2024 Extended Term Loan B, (1-mo. CME Term SOFR + 4.75%), 10.09%, 03/15/30 | 4,338 | 4,330,736 | |
Woof Holdings, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.01%), 9.35%, 12/21/27 | 377 | 310,747 | |
5,328,509 | |||
Building Materials — 2.9% | |||
ACProducts Holdings, Inc., 2021 Term Loan B, (3- mo. CME Term SOFR + 4.51%), 9.85%, 05/17/28 | 1,620 | 1,367,575 | |
Chariot Buyer LLC | |||
2024 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/03/28 | 635 | 636,729 | |
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.69%, 11/03/28 | 2,420 | 2,416,925 | |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 3.35%), 8.68%, 04/12/28 | 262 | 255,198 | |
Emrld Borrower LP, 2024 Term Loan B, 06/18/31(i) | 1,327 | 1,325,341 | |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.58%, 04/29/29 | 1,397 | 1,395,080 | |
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/02/29(d) | 534 | 535,803 | |
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 09/22/28 | 1,573 | 1,575,253 | |
Summit Materials LLC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.80%, 01/12/29 | 727 | 731,722 | |
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.35%), 8.68%, 12/31/26 | 3,123 | 3,123,003 | |
13,362,629 | |||
Building Products — 2.6% | |||
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 05/13/29 | 263 | 264,740 | |
Beacon Roofing Supply, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 05/19/28 | 1,440 | 1,443,370 | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 11/23/27 | 1,444 | 1,406,694 | |
CP Iris Holdco I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 10/02/28 | 580 | 578,183 | |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 2.60%), 7.94%, 04/28/29 | 786 | 786,495 | |
Emerald Debt Merger Sub LLC, Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 05/31/30 | 1,685 | 1,683,239 | |
Foundation Building Materials, Inc., 2024 Term Loan B2, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 01/29/31 | 1,672 | 1,662,063 | |
Gulfside Supply, Inc., Term Loan B, 06/17/31(d)(i) | 564 | 564,000 | |
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR at 0.00% Floor + 4.18%), 7.90%, 04/12/28 | EUR | 854 | 846,387 |
Security | Par (000) | Value | |
Building Products (continued) | |||
Peer Holding III BV, 2024 USD Term Loan B5, 06/20/31(i) | USD | 648 | $ 648,272 |
White Cap Buyer LLC | |||
2024 Term Loan B, 10/19/29(i) | 779 | 780,020 | |
Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.59%, 10/19/27 | 1,210 | 1,211,563 | |
11,875,026 | |||
Capital Markets — 1.9% | |||
Aretec Group, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/09/30 | 602 | 603,472 | |
Azalea Topco, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/30/31 | 648 | 647,190 | |
Castlelake Aviation One DAC | |||
2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 10/22/27 | 709 | 710,087 | |
Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 10/22/26 | 2,178 | 2,180,107 | |
Focus Financial Partners LLC | |||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 06/30/28 | 1,444 | 1,441,572 | |
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 06/30/28 | 1,014 | 1,012,282 | |
Learning Care Group U.S. No. 2, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 08/11/28 | 220 | 221,133 | |
Osaic Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/17/28 | 2,000 | 2,005,624 | |
8,821,467 | |||
Chemicals — 5.3% | |||
Aruba Investments Holdings LLC | |||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.85%), 13.19%, 11/24/28 | 690 | 655,155 | |
2020 USD Term Loan, (1-mo. CME Term SOFR + 4.10%), 9.44%, 11/24/27 | 754 | 746,877 | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.85%), 10.07%, 08/27/26 | 478 | 477,281 | |
Axalta Coating Systems U.S. Holdings, Inc., 2024 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 12/20/29 | 1,250 | 1,251,847 | |
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 08/18/28 | 1,145 | 1,139,618 | |
Derby Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/01/30 | 2,070 | 2,078,216 | |
Ecovyst Catalyst Technologies LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.60%, 06/12/31 | 1,703 | 1,701,191 | |
Element Solutions, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 12/18/30 | 1,957 | 1,959,038 | |
HB Fuller Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 02/15/30 | 290 | 289,896 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 4.03%), 9.36%, 07/03/28 | 1,058 | 1,024,056 |
Security | Par (000) | Value | |
Chemicals (continued) | |||
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.35%), 8.60%, 02/18/30 | USD | 673 | $ 668,373 |
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 10/15/28(d) | 1,797 | 1,760,420 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.84%, 03/29/28(d) | 2,207 | 2,201,975 | |
NIC Acquisition Corp, Term Loan, (3-mo. CME Term SOFR + 4.01%), 9.35%, 12/29/27 | 449 | 373,392 | |
Nouryon USA LLC, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/03/28 | 1,262 | 1,264,001 | |
Olympus Water U.S. Holding Corp., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.85%, 06/20/31 | 848 | 850,852 | |
OQ Chemicals Corp., 2017 USD Term Loan B2, (3- mo. CME Term SOFR at 0.00% Floor + 3.70%), 8.91%, 10/14/24 | 1,561 | 1,439,609 | |
Potters Borrower LP, 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.08%, 12/14/27 | 522 | 523,796 | |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 03/16/27 | 1,038 | 1,037,572 | |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-week CME Term SOFR at 0.75% Floor + 3.50%), 8.58%, 08/02/30 | 1,672 | 1,670,193 | |
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.59%, 09/22/28 | 1,388 | 1,392,083 | |
24,505,441 | |||
Commercial Services & Supplies — 5.8% | |||
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.33%, 10/24/30(d) | 644 | 647,581 | |
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.51%), 10.84%, 08/17/26 | 1,941 | 1,943,337 | |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 02/04/28 | 1,967 | 1,967,590 | |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 05/12/28 | 4,053 | 4,034,063 | |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.34%, 02/15/29 | 775 | 777,761 | |
AVSC Holding Corp., 2020 Term Loan B1, (1-mo. CME Term SOFR + 3.35%, 0.25% PIK), 9.19%, 03/03/25(g) | 993 | 983,424 | |
Boost Newco Borrower LLC, USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 01/31/31 | 2,547 | 2,546,643 | |
Garda World Security Corp., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.59%, 02/01/29 | 428 | 430,051 | |
Grant Thornton LLP/Chicago, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.60%, 06/02/31 | 327 | 327,821 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 10/17/30 | USD | 587 | $ 587,537 |
Mavis Tire Express Services Topco Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 05/04/28 | 2,949 | 2,952,867 | |
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.21%, 07/31/28 | 188 | 188,805 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (1-mo. CME Term SOFR + 4.51%), 9.84%, 12/15/28 | 794 | 523,299 | |
Prime Security Services Borrower LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.58%, 10/13/30 | 738 | 737,441 | |
Ryan LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/14/30 | 82 | 82,020 | |
Sotheby’ s, 2021 Term Loan B, (3-mo. CME Term SOFR + 4.76%), 10.09%, 01/15/27 | 2,708 | 2,477,460 | |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.10%), 9.44%, 11/02/27 | 1,626 | 1,564,540 | |
Vestis Corp., Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.58%, 02/22/31 | 997 | 990,693 | |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.59%, 07/30/28 | 973 | 973,149 | |
Wand NewCo 3, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 01/30/31 | 1,910 | 1,921,594 | |
26,657,676 | |||
Communications Equipment — 0.6% | |||
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 10/24/30 | 1,391 | 1,394,702 | |
Viasat, Inc. | |||
2023 Term Loan, (1-mo. CME Term SOFR + 4.61%), 9.94%, 05/30/30 | 566 | 502,592 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/02/29 | 1,132 | 1,010,324 | |
2,907,618 | |||
Construction & Engineering — 2.5% | |||
AECOM, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.88%), 7.22%, 04/17/31 | 1,169 | 1,175,091 | |
Apple Bidco LLC | |||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.21%, 09/22/28 | 1,289 | 1,289,810 | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 09/22/28 | 736 | 736,905 | |
Brand Industrial Services, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 08/01/30 | 3,588 | 3,598,252 | |
Brown Group Holding LLC(i) | |||
2022 Incremental Term Loan B2, 07/02/29 | 618 | 617,661 | |
Term Loan B, 06/07/28 | 1,119 | 1,116,814 | |
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.94%, 12/16/27 | 221 | 220,623 | |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.46%, 01/21/28 | 1,045 | 1,046,378 |
Security | Par (000) | Value | |
Construction & Engineering (continued) | |||
Propulsion BC Newco LLC, Term Loan, 09/14/29(i) | USD | 217 | $ 217,497 |
USIC Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 3.61%), 9.08%, 05/12/28 | 1,725 | 1,664,055 | |
11,683,086 | |||
Construction Materials — 1.0% | |||
American Builders & Contractors Supply Co., Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/31/31 | 1,618 | 1,619,808 | |
Gates Corp., 2024 Term Loan B5, 06/04/31(i) | 1,410 | 1,410,875 | |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 03/08/29 | 833 | 795,497 | |
Quikrete Holdings, Inc., 2024 Term Loan B1, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 03/19/29 | 619 | 618,702 | |
4,444,882 | |||
Consumer Finance — 0.1% | |||
Edelman Financial Engines Center LLC, 2024 Term Loan B, 04/07/28(i) | 635 | 636,150 | |
Consumer Staples Distribution & Retail — 0.3% | |||
U.S. Foods, Inc. | |||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.11%), 7.46%, 09/13/26 | 632 | 633,086 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 11/22/28 | 891 | 894,330 | |
1,527,416 | |||
Containers & Packaging — 2.3% | |||
Charter Next Generation, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 | 3,725 | 3,729,279 | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.44%, 10/29/28 | 1,581 | 1,558,411 | |
Mauser Packaging Solutions Holding Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/15/27 | 1,339 | 1,340,129 | |
Pregis TopCo LLC | |||
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 07/31/26 | 666 | 665,318 | |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 4.11%), 9.46%, 07/31/26 | 690 | 689,363 | |
Reynolds Consumer Products LLC, Term Loan, (1- mo. CME Term SOFR + 1.85%), 7.19%, 02/04/27 | 1,270 | 1,272,187 | |
Trident TPI Holdings, Inc., 2024 Term Loan B6, (3- mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 09/15/28 | 1,272 | 1,273,637 | |
10,528,324 | |||
Distributors — 0.2% | |||
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.01%), 9.34%, 10/28/27 | 1,005 | 918,139 | |
Diversified Consumer Services — 1.3% | |||
Ascend Learning LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.60%), 8.94%, 12/11/28 | 617 | 615,923 | |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.36%), 7.71%, 11/24/28 | 914 | 912,716 | |
Hoya Midco LLC, 2022 Term Loan, 02/03/29(i) | 926 | 928,315 |
Security | Par (000) | Value | |
Diversified Consumer Services (continued) | |||
KUEHG Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 06/12/30 | USD | 1,397 | $ 1,401,832 |
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 10/04/30 | 1,477 | 1,482,652 | |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR + 5.11%), 10.46%, 09/01/25 | 803 | 696,031 | |
6,037,469 | |||
Diversified Telecommunication Services — 3.5% | |||
Altice Financing SA, USD 2017 1st Lien Term Loan, (3-mo. LIBOR US at 0.00% Floor + 2.75%), 8.34%, 01/31/26(d) | 1,531 | 1,408,035 | |
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.83%, 08/15/28 | 2,280 | 1,668,303 | |
Connect Finco SARL | |||
2024 Extended Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 09/27/29 | 1,257 | 1,182,607 | |
2024 Non-Extended Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 12/11/26 | 1,266 | 1,248,323 | |
Iridium Satellite LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.59%, 09/20/30 | 649 | 648,018 | |
Level 3 Financing Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/29 | 967 | 945,507 | |
2024 Extended Term Loan B2, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/30 | 974 | 947,417 | |
Lumen Technologies, Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR + 2.46%), 7.81%, 04/15/29 | 746 | 511,671 | |
2024 Extended Term Loan B2, (1-mo. CME Term SOFR + 2.46%), 7.81%, 04/15/30 | 760 | 507,105 | |
ORBCOMM, Inc., Term Loan B, (1-mo. CME Term SOFR + 4.36%), 9.78%, 09/01/28 | 859 | 740,260 | |
Sunrise Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.11%), 8.44%, 01/31/29 | 768 | 762,693 | |
Virgin Media Bristol LLC, USD Term Loan N, (1-mo. CME Term SOFR + 2.61%), 7.94%, 01/31/28 | 988 | 943,518 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.46%, 03/09/27 | 5,045 | 4,378,619 | |
15,892,076 | |||
Electric Utilities — 0.3% | |||
Hamilton Projects Acquiror LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 05/22/31 | 313 | 314,678 | |
NRG Energy, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 04/16/31 | 1,242 | 1,241,266 | |
1,555,944 |
Security | Par (000) | Value | |
Electrical Equipment — 0.5% | |||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.01%), 10.35%, 06/23/28 | USD | 2,223 | $ 2,224,326 |
Electronic Equipment, Instruments & Components — 1.0% | |||
Celestica Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 06/20/31(d) | 444 | 443,445 | |
Coherent Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 07/02/29 | 1,479 | 1,477,303 | |
Roper Industrial Products Investment Co., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 8.58%, 11/22/29 | 2,713 | 2,726,943 | |
4,647,691 | |||
Energy Equipment & Services — 0.0% | |||
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 06/30/27 | 40 | 19,115 | |
Entertainment — 4.2% | |||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.44%, 04/22/26 | 1,487 | 1,405,846 | |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 2.35%), 7.68%, 05/24/29 | 101 | 101,181 | |
Creative Artists Agency LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 11/27/28 | 2,950 | 2,961,104 | |
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.58%, 01/15/30 | 1,847 | 1,849,696 | |
Live Nation Entertainment, Inc., Term Loan B4, (1- mo. CME Term SOFR + 1.85%), 7.19%, 10/19/26 | 2,491 | 2,485,732 | |
Motion Finco SARL, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 11/12/29 | 1,264 | 1,263,507 | |
OVG Business Services LLC, 2024 Term Loan B, 06/25/31(i) | 706 | 703,797 | |
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.86%), 8.21%, 03/13/28 | 1,481 | 1,479,828 | |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.93%), 8.09%, 01/23/25 | 412 | 411,404 | |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.34%, 04/29/26 | 886 | 887,571 | |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.21%, 05/18/25 | 2,635 | 2,637,149 | |
WMG Acquisition Corp., 2024 Term Loan I, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/24/31 | 2,970 | 2,971,492 | |
19,158,307 | |||
Environmental, Maintenance & Security Service — 2.8% | |||
Clean Harbors, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 1.86%), 7.21%, 10/08/28 | 1,021 | 1,024,728 | |
Covanta Holding Corp. | |||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 11/30/28 | 1,117 | 1,116,105 |
Security | Par (000) | Value | |
Environmental, Maintenance & Security Service (continued) | |||
Covanta Holding Corp. (continued) | |||
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 11/30/28 | USD | 86 | $ 85,528 |
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 11/30/28 | 874 | 873,869 | |
2024 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 11/30/28 | 48 | 47,752 | |
Filtration Group Corp., 2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 10/21/28 | 3,497 | 3,511,540 | |
FinCo I LLC, 2023 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 06/27/29 | 608 | 610,020 | |
GFL Environmental, Inc. | |||
2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/31/27 | 722 | 722,925 | |
2024 Term Loan B, 06/27/31(d)(i) | 734 | 734,000 | |
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.09%, 06/21/28 | 3,654 | 3,654,856 | |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.35%), 8.69%, 03/09/28 | 896 | 484,291 | |
12,865,614 | |||
Financial Services — 4.5% | |||
ABG Intermediate Holdings 2 LLC, 2024 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 7.33%, 12/21/28 | 1,271 | 1,271,285 | |
Belron Finance U.S. LLC | |||
2018 Term Loan B, (3-mo. CME Term SOFR + 2.51%), 7.84%, 11/13/25 | 429 | 429,217 | |
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.51%), 7.84%, 10/30/26 | 855 | 855,313 | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 2.35%), 7.68%, 04/18/29 | 468 | 468,052 | |
2023 USD Term Loan, (3-mo. CME Term SOFR + 2.26%), 7.51%, 04/13/28 | 4,537 | 4,537,082 | |
Cogeco Financing 2 LP, 2023 Incremental Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 09/01/28 | 1,003 | 968,528 | |
CPI Holdco B LLC, Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/17/31 | 983 | 981,467 | |
Deerfield Dakota Holding LLC | |||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.08%, 04/09/27 | 6,084 | 6,075,886 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR + 7.01%), 12.35%, 04/07/28 | 1,806 | 1,801,485 | |
Hyperion Refinance SARL, 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/15/31 | 1,631 | 1,633,114 | |
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 12/17/27 | 501 | 500,136 | |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.69%, 03/24/25 | 954 | 951,496 | |
Oxea Holding Drei GmbH, 2024 Tranche B Term Loan, (3-mo. CME Term SOFR at 3.00% Floor + 8.00%), 13.34%, 06/22/25 | 319 | 294,189 | |
20,767,250 |
Security | Par (000) | Value | |
Food Products — 2.9% | |||
8th Avenue Food & Provisions, Inc. | |||
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.86%), 9.21%, 10/01/25 | USD | 997 | $ 943,962 |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 4.86%), 10.21%, 10/01/25 | 1,500 | 1,417,605 | |
Aramark Services, Inc., 2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 06/22/30 | 753 | 753,693 | |
Chobani LLC | |||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 10/25/27 | 3,179 | 3,186,620 | |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 10/25/27 | 818 | 820,957 | |
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.35%), 7.69%, 01/29/27 | 3,496 | 3,492,494 | |
H-Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.95%), 9.30%, 05/23/25 | 492 | 357,884 | |
Nomad Foods U.S. LLC, Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.81%, 11/12/29 | 1,002 | 1,002,207 | |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.85%, 03/31/28 | 925 | 924,641 | |
UTZ Quality Foods LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/20/28 | 553 | 553,795 | |
13,453,858 | |||
Ground Transportation — 1.2% | |||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 4.85%), 10.18%, 04/06/28 | 570 | 570,028 | |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.21%, 08/06/27 | 649 | 641,329 | |
Genesee & Wyoming, Inc., 2024 Term Loan B, (3- mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 04/10/31 | 1,892 | 1,889,389 | |
Hertz Corp. | |||
2021 Term Loan B, (3-mo. CME Term SOFR + 3.51%), 8.86%, 06/30/28 | 430 | 387,894 | |
2021 Term Loan C, (3-mo. CME Term SOFR + 3.51%), 8.86%, 06/30/28 | 83 | 75,364 | |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, 08/04/25 | 1,135 | 794,873 | |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 03/03/30 | 1,267 | 1,271,875 | |
5,630,752 | |||
Health Care Equipment & Supplies — 3.3% | |||
Avantor Funding, Inc., 2024 Term Loan, (1-mo. CME Term SOFR + 2.10%), 7.44%, 11/08/27 | 1,062 | 1,066,225 | |
Bausch & Lomb Corp. | |||
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 09/29/28 | 937 | 933,997 | |
Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 05/10/27 | 2,237 | 2,211,264 |
Security | Par (000) | Value | |
Health Care Equipment & Supplies (continued) | |||
Insulet Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 05/04/28 | USD | 754 | $ 755,258 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.33%, 10/19/27 | 1,468 | 1,450,050 | |
Medline Borrower LP | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 10/23/28 | 4,639 | 4,644,730 | |
2024 USD Add-on Term Loan B, 10/23/28(i) | 1,748 | 1,748,000 | |
Sotera Health Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/30/31 | 2,205 | 2,197,657 | |
15,007,181 | |||
Health Care Providers & Services — 4.4% | |||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR + 2.11%), 7.46%, 02/22/28 | 1,890 | 1,888,007 | |
CHG Healthcare Services, Inc. | |||
2021 Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.69%, 09/29/28 | 1,007 | 1,008,346 | |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 09/29/28 | 214 | 214,282 | |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 11/08/27 | 2,191 | 2,195,086 | |
Concentra Health Services, Inc., Term Loan B, 06/26/31(d)(i) | 175 | 175,438 | |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 11/01/28 | 2,158 | 2,155,692 | |
Ensemble RCM LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 08/01/29 | 234 | 233,449 | |
EyeCare Partners LLC | |||
2024 Second Out Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.61%), 10.04%, 11/30/28 | 2,252 | 1,371,041 | |
2024 Superpriority New Money 1st Out Term Loan A, (3-mo. CME Term SOFR at 0.00% Floor + 5.75%), 11.08%, 08/31/28 | 628 | 628,656 | |
2024 Third Out Term Loan C, (3-mo. CME Term SOFR at 0.00% Floor + 6.75%), 12.08%, 11/30/28(d) | 44 | 7,406 | |
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 07/01/30 | 112 | 111,949 | |
ICON Luxembourg SARL | |||
2024 LUX Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 07/03/28 | 571 | 572,664 | |
2024 US Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 07/03/28 | 145 | 144,923 | |
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 4.36%), 9.71%, 03/06/28 | 773 | 653,345 | |
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 01/02/31 | 1,217 | 1,220,876 | |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.44%, 11/01/29 | 611 | 414,460 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1- mo. CME Term SOFR + 3.36%), 8.71%, 11/15/28 | 3,022 | 3,026,522 |
Security | Par (000) | Value | |
Health Care Providers & Services (continued) | |||
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 11/01/28 | USD | 898 | $ 673,949 |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 09/27/30 | 1,121 | 1,119,705 | |
Surgery Center Holdings, Inc., 2024 Term Loan B, 12/19/30(i) | 1,184 | 1,185,755 | |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.69%, 05/16/29 | 331 | 332,363 | |
WCG Intermediate Corp., 2024 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.84%, 01/08/27 | 1,095 | 1,095,033 | |
20,428,947 | |||
Health Care Technology — 3.1% | |||
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 02/15/29 | 3,093 | 3,079,554 | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | 1,973 | 1,960,723 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR + 4.10%), 9.43%, 10/01/27 | 3,212 | 3,106,372 | |
PointClickCare Technologies, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.33%, 12/29/27 | 555 | 557,081 | |
Polaris Newco LLC, USD Term Loan B, (3-mo. CME Term SOFR + 4.26%), 9.59%, 06/02/28 | 4,592 | 4,587,688 | |
Waystar Technologies, Inc., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 10/22/29 | 535 | 535,115 | |
Zelis Payments Buyer, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 09/28/29 | 234 | 233,269 | |
14,059,802 | |||
Hotel & Resort REITs — 0.1% | |||
RHP Hotel Properties LP, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 05/18/30 | 489 | 489,309 | |
Hotels, Restaurants & Leisure — 8.3% | |||
1011778 B.C. Unlimited Liability Company, 2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 09/20/30 | 2,317 | 2,308,475 | |
Alterra Mountain Co. | |||
2024 Add-on Term Loan B, 05/31/30(i) | 215 | 215,942 | |
2024 Term Loan B5, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 05/31/30 | 700 | 702,903 | |
Bally’ s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.84%, 10/02/28 | 1,197 | 1,135,321 | |
Caesars Entertainment, Inc. | |||
2024 Term Loan B1, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.10%, 02/06/31 | 2,874 | 2,871,298 | |
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.10%, 02/06/30 | 1,234 | 1,233,370 | |
Carnival Corp., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.09%, 08/08/27 | 890 | 892,438 | |
Cedar Fair LP, 2024 Term Loan B, 05/01/31(i) | 337 | 335,949 | |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.10%), 7.44%, 03/17/28 | 1,448 | 1,449,367 | |
City Football Group Ltd., 2024 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.59%, 07/21/28 | 2,093 | 2,083,053 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Fertitta Entertainment LLC, 2022 Term Loan B, (1- mo. CME Term SOFR + 3.75%), 9.08%, 01/27/29 | USD | 4,396 | $ 4,398,591 |
Flutter Financing BV, Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.58%, 11/25/30 | 3,540 | 3,538,015 | |
Four Seasons Hotels Ltd., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 11/30/29 | 3,154 | 3,164,535 | |
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.10%, 11/08/30 | 767 | 767,529 | |
IRB Holding Corp., 2024 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 8.19%, 12/15/27 | 2,379 | 2,376,114 | |
Light & Wonder International, Inc. | |||
2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.07%, 04/14/29 | 1,082 | 1,080,837 | |
2024 Term Loan B2, 04/14/29(i) | 43 | 42,969 | |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 8.19%, 05/03/29 | 1,460 | 1,461,082 | |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.09%, 01/05/29 | 472 | 471,876 | |
Sabre GLBL, Inc. | |||
2021 Term Loan B1, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 266 | 238,109 | |
2021 Term Loan B2, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 415 | 371,521 | |
Scientific Games Holdings LP, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.31%, 04/04/29 | 413 | 411,967 | |
SeaWorld Parks & Entertainment, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/25/28 | 544 | 543,835 | |
Station Casinos LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 03/14/31 | 1,967 | 1,964,788 | |
Whatabrands LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 08/03/28 | 3,044 | 3,043,671 | |
Wyndham Hotels & Resorts, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 05/24/30 | 1,360 | 1,360,152 | |
38,463,707 | |||
Household Durables — 1.7% | |||
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/31/28 | 1,457 | 1,458,093 | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.84%, 02/26/29 | 2,374 | 2,350,736 | |
Serta Simmons Bedding LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.61%), 12.95%, 06/29/28 | 499 | 396,566 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.11%), 9.46%, 10/06/28 | 812 | 693,609 | |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 10/30/27 | 3,076 | 2,851,465 | |
7,750,469 |
Security | Par (000) | Value | |
Independent Power and Renewable Electricity Producers — 0.6% | |||
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 07/31/30 | USD | 1,222 | $ 1,217,311 |
Calpine Corp., Term Loan B9, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/31/31 | 588 | 585,324 | |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR + 2.76%), 8.11%, 12/15/27 | 1,143 | 1,144,455 | |
2,947,090 | |||
Industrial Conglomerates — 0.1% | |||
Stitch Aquisition Corporation, 2024 Term Loan, 07/28/28 | 1,111 | 444,353 | |
Insurance — 8.1% | |||
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/06/30 | 6,820 | 6,836,339 | |
AmWINS Group, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.36%), 7.59%, 02/19/28 | 2,939 | 2,935,659 | |
Amynta Agency Borrower, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.10%, 02/28/28 | 2,265 | 2,268,022 | |
AssuredPartners, Inc., 2024 Incremental Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/14/31 | 3,909 | 3,917,060 | |
Baldwin Insurance Group Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/26/31(d) | 548 | 547,169 | |
HUB International Ltd., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.57%, 06/20/30 | 4,942 | 4,950,517 | |
Jones Deslauriers Insurance Management, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 03/15/30 | 1,134 | 1,133,590 | |
Ryan Specialty LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.09%, 09/01/27 | 1,339 | 1,343,936 | |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 02/24/28 | 4,302 | 4,301,913 | |
Truist Insurance Holdings LLC | |||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/06/31 | 3,032 | 3,034,698 | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 05/06/32 | 1,006 | 1,024,027 | |
USI, Inc. | |||
2024 Term Loan (2029), (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 11/22/29 | 4,044 | 4,041,072 | |
2024 Term Loan (2030), (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 09/27/30 | 1,107 | 1,106,187 | |
37,440,189 | |||
Interactive Media & Services — 0.1% | |||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR + 4.15%), 9.48%, 02/16/28 | 429 | 428,407 | |
IT Services — 4.1% | |||
Asurion LLC | |||
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.36%), 8.71%, 12/23/26 | 292 | 288,836 | |
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.36%), 10.71%, 01/31/28 | 1,117 | 1,035,953 |
Security | Par (000) | Value | |
IT Services (continued) | |||
Asurion LLC (continued) | |||
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.36%), 10.71%, 01/20/29 | USD | 1,066 | $ 980,389 |
2021 Term Loan B9, (1-mo. CME Term SOFR + 3.36%), 8.71%, 07/31/27 | 239 | 235,044 | |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.35%), 9.69%, 08/19/28 | 1,648 | 1,633,682 | |
Camelot U.S. Acquisition LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/31/31 | 3,248 | 3,252,238 | |
Central Parent, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 07/06/29 | 3,113 | 3,066,211 | |
Fortress Intermediate 3, Inc, Term Loan B, 06/27/31(d)(i) | 582 | 582,000 | |
Go Daddy Operating Co. LLC | |||
2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 11/09/29 | 1,470 | 1,471,271 | |
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 05/30/31 | 1,446 | 1,443,922 | |
Magenta Buyer LLC | |||
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.59%, 07/27/28 | 1,286 | 709,671 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.51%), 13.84%, 07/27/29 | 1,674 | 490,496 | |
Mitchell International, Inc. | |||
2024 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 06/17/31 | 2,257 | 2,234,430 | |
2024 2nd Lien Term Loan, 06/17/32(i) | 778 | 773,628 | |
Venga Finance SARL, 2021 USD Term Loan B, (3- mo. CME Term SOFR + 5.01%), 10.36%, 06/28/29 | 639 | 639,384 | |
18,837,155 | |||
Leisure Products — 0.1% | |||
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.10%), 9.44%, 12/01/28 | 458 | 449,814 | |
Machinery — 3.6% | |||
Columbus McKinnon Corp./New York, 2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/14/28 | 327 | 328,713 | |
Doosan Bobcat North America, Inc. | |||
2022 Term Loan B, (3-mo. CME Term SOFR + 2.35%), 7.68%, 04/20/29 | 262 | 262,321 | |
2024 Term Loan, 04/20/29(i) | 95 | 95,024 | |
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.85%), 7.18%, 12/13/26 | 325 | 324,798 | |
SPX Flow, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 04/05/29 | 1,632 | 1,641,241 | |
Titan Acquisition Ltd./Canada, 2024 Term Loan B, (6-mo. CME Term SOFR at 0.00% Floor + 5.00%), 10.33%, 02/15/29 | 6,355 | 6,365,239 | |
TK Elevator U.S. Newco, Inc., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.79%, 04/30/30 | 3,914 | 3,931,441 |
Security | Par (000) | Value | |
Machinery (continued) | |||
Vertiv Group Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 03/02/27 | USD | 2,496 | $ 2,500,412 |
Wec US Holdings Ltd., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/27/31 | 1,143 | 1,143,251 | |
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.46%, 10/04/28 | 111 | 111,447 | |
16,703,887 | |||
Media — 2.5% | |||
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.84%, 06/30/28 | 478 | 479,532 | |
Charter Communications Operating LLC, 2023 Term Loan B4, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.30%, 12/07/30 | 1,388 | 1,371,454 | |
Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.11%), 9.46%, 08/23/28 | 717 | 716,664 | |
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.60%), 8.93%, 12/17/26 | — (j) | 243 | |
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US at 0.00% Floor + 2.50%), 7.94%, 04/15/27 | 1,520 | 1,259,796 | |
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.11%), 10.46%, 08/02/27 | 959 | 959,861 | |
ECL Entertainment LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/31/30 | 1,062 | 1,064,635 | |
Gray Television, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 5.25%), 10.58%, 06/04/29 | 240 | 227,700 | |
NEP Group, Inc. | |||
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.71%, 08/19/26 | 163 | 153,279 | |
2023 Term Loan B, (1-mo. CME Term SOFR + 3.25%, 1.50% PIK), 10.21%, 08/19/26(g) | 1,902 | 1,791,942 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.71%, 09/25/26 | 2,522 | 2,036,733 | |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.85%), 9.19%, 04/21/29 | 564 | 380,718 | |
Ziggo Financing Partnership, USD Term Loan I, (1- mo. CME Term SOFR + 2.61%), 7.94%, 04/30/28 | 1,187 | 1,146,120 | |
11,588,677 | |||
Oil, Gas & Consumable Fuels — 2.5% | |||
Freeport LNG Investments LLLP, Term Loan B, (3- mo. CME Term SOFR + 3.50%), 9.09%, 12/21/28 | 3,634 | 3,627,563 | |
GIP Pilot Acquisition Partners LP, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.83%, 10/04/30 | 277 | 276,538 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR + 4.60%), 9.94%, 09/19/29 | 262 | 263,125 | |
Medallion Midland Acquisition LP, 2023 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 10/18/28 | 2,138 | 2,146,117 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Murphy USA, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.19%, 01/31/28 | USD | 629 | $ 630,159 |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.33%, 10/27/28 | 1,768 | 1,717,600 | |
Oryx Midstream Services Permian Basin LLC, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.44%, 10/05/28 | 3,046 | 3,044,224 | |
11,705,326 | |||
Paper & Forest Products — 0.5% | |||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 1.85%), 7.19%, 09/07/27 | 2,122 | 2,121,375 | |
Passenger Airlines — 1.9% | |||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR + 5.01%), 10.34%, 04/20/28 | 1,309 | 1,350,157 | |
Air Canada, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.85%, 03/21/31 | 830 | 830,177 | |
American Airlines, Inc. | |||
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.85%), 7.07%, 01/29/27 | 269 | 268,098 | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.77%, 06/04/29 | 1,620 | 1,615,950 | |
Series AA, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.19%, 02/15/28 | 1,268 | 1,263,690 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3- mo. CME Term SOFR + 5.25%), 10.74%, 06/21/27 | 1,935 | 1,972,811 | |
United Airlines, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 02/22/31 | 1,419 | 1,419,708 | |
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR + 3.10%), 8.44%, 12/11/26 | 76 | 76,432 | |
8,797,023 | |||
Personal Care Products — 0.0% | |||
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR + 2.11%), 7.46%, 07/03/28 | 47 | 46,705 | |
Pharmaceuticals — 2.2% | |||
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.84%, 05/04/28 | 1,189 | 1,194,504 | |
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR + 5.35%), 10.69%, 02/01/27 | 1,050 | 954,451 | |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.85%), 7.18%, 08/01/27 | 1,446 | 1,439,581 | |
Jazz Financing Lux S.a.r.l., 2024 1st Lien Term Loan B, 05/05/28(i) | 321 | 320,994 | |
Jazz Financing Lux SARL, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.46%, 05/05/28 | 2,150 | 2,150,234 | |
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 10/27/28 | 801 | 805,301 |
Security | Par (000) | Value | |
Pharmaceuticals (continued) | |||
Organon & Co., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/19/31 | USD | 955 | $ 955,355 |
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.69%, 04/20/29 | 928 | 923,277 | |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.10%), 8.43%, 11/18/27 | 1,215 | 1,208,997 | |
9,952,694 | |||
Professional Services — 4.5% | |||
CoreLogic, Inc. | |||
2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.61%), 11.96%, 06/04/29 | 1,095 | 1,068,112 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.96%, 06/02/28 | 3,322 | 3,267,734 | |
Dayforce, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 02/26/31(d) | 1,871 | 1,873,339 | |
Dun & Bradstreet Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.10%, 01/18/29 | 6,285 | 6,285,062 | |
Element Materials Technology Group U.S. Holdings, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR + 4.35%), 9.68%, 07/06/29 | 1,897 | 1,902,320 | |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.85%), 7.19%, 04/28/28 | 2,013 | 2,013,040 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.08%, 04/29/29 | 926 | 747,840 | |
Trans Union LLC | |||
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 12/01/28 | 1,835 | 1,833,689 | |
2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.19%, 06/24/31 | 1,827 | 1,823,920 | |
20,815,056 | |||
Real Estate Management & Development — 0.3% | |||
Cushman & Wakefield U.S. Borrower LLC | |||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.21%, 08/21/25 | 47 | 46,576 | |
2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 01/31/30(d) | 651 | 654,624 | |
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.34%, 01/31/30(d) | 528 | 527,843 | |
1,229,043 | |||
Semiconductors & Semiconductor Equipment — 0.6% | |||
Entegris, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.08%, 07/06/29 | 930 | 929,768 | |
MKS Instruments, Inc. | |||
2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 08/17/29 | 1,149 | 1,148,985 | |
2024 USD Term Loan B, 08/17/29(i) | 194 | 193,959 | |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.85%, 12/02/28 | 617 | 615,332 | |
2,888,044 |
Security | Par (000) | Value | |
Software — 12.3% | |||
Applied Systems, Inc., 2024 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 02/24/31 | USD | 3,474 | $ 3,497,620 |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.81%, 08/15/29 | 629 | 627,319 | |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR + 2.36%), 7.71%, 09/21/28 | 2,076 | 2,075,070 | |
Cloud Software Group, Inc. | |||
2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 03/21/31 | 1,173 | 1,175,381 | |
2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 03/30/29 | 5,364 | 5,356,048 | |
Cloudera, Inc. | |||
2021 Second Lien Term Loan, (1-mo. CME Term SOFR + 6.10%), 11.44%, 10/08/29 | 780 | 771,225 | |
2021 Term Loan, (1-mo. CME Term SOFR + 3.85%), 9.19%, 10/08/28(d) | 853 | 852,823 | |
Drake Software LLC, 2024 Term Loan B, 06/26/31(d)(i) | 579 | 573,210 | |
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 3.61%), 8.96%, 02/04/28 | 280 | 280,909 | |
Ellucian Holdings, Inc. | |||
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.10%), 13.44%, 10/09/28 | 1,750 | 1,751,928 | |
2024 Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.94%, 10/09/29 | 2,835 | 2,845,466 | |
Gen Digital, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 1.75%), 7.09%, 09/12/29 | 2,039 | 2,030,556 | |
Genesys Cloud Services Holdings II LLC | |||
First Lien Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 | 3,233 | 3,247,078 | |
Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 12/01/27 | 1,259 | 1,266,713 | |
Helios Software Holdings, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 07/18/30 | 1,289 | 1,291,117 | |
Informatica LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 10/27/28 | 3,023 | 3,029,367 | |
ION Trading Finance Ltd, 2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.35%, 04/01/28 | 495 | 494,264 | |
McAfee Corp., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 03/01/29 | 3,511 | 3,502,672 | |
MH Sub I LLC | |||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 6.25%), 9.59%, 02/23/29 | 1,008 | 1,001,270 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 05/03/28 | 2,710 | 2,705,286 | |
Modena Buyer LLC, Term Loan, 07/01/31(i) | 847 | 825,562 | |
Planview Parent, Inc., 2024 Term Loan, 12/17/27(i) | 239 | 238,400 | |
Proofpoint, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.34%, 08/31/28 | 3,323 | 3,324,022 |
Security | Par (000) | Value | |
Software (continued) | |||
RealPage, Inc. | |||
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 04/24/28 | USD | 3,282 | $ 3,186,302 |
2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.61%), 11.96%, 04/23/29 | 2,745 | 2,669,661 | |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 08/01/27 | 1,286 | 1,289,407 | |
SS&C Technologies, Inc., 2024 Term Loan B8, (1- mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/09/31 | 941 | 942,605 | |
UKG, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 02/10/31 | 3,493 | 3,504,545 | |
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR + 3.76%), 9.09%, 07/20/28 | 233 | 232,736 | |
VS Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 04/14/31 | 2,071 | 2,074,086 | |
56,662,648 | |||
Specialty Retail — 0.8% | |||
EG America LLC, 2021 Term Loan, (3-mo. SOFR OIS CMPD + 4.51%), 9.82%, 03/31/26(d) | 280 | 279,575 | |
LS Group OpCo Acquistion LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 04/23/31 | 565 | 564,745 | |
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/11/28 | 1,889 | 1,881,626 | |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 10/20/28 | 853 | 829,093 | |
3,555,039 | |||
Technology Hardware, Storage & Peripherals — 1.0% | |||
Tempo Acquisition LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 08/31/28 | 4,732 | 4,740,129 | |
Textiles, Apparel & Luxury Goods — 0.1% | |||
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 03/08/30 | 514 | 515,347 | |
Trading Companies & Distributors — 1.3% | |||
Core & Main LP | |||
2024 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 02/09/31 | 789 | 789,520 | |
2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 07/27/28 | 4,037 | 4,039,174 |
Security | Par (000) | Value | |
Trading Companies & Distributors (continued) | |||
TMK Hawk Parent Corp.(d) | |||
2024 PIK Term Loan, (3-mo. CME Term SOFR + 11.00%), 11.00%, 12/15/31 | USD | 53 | $ 44,382 |
2024 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.59%, 06/30/29 | 1,694 | 1,151,934 | |
6,025,010 | |||
Transportation Infrastructure — 0.2% | |||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR + 6.35%), 11.69%, 12/15/26 | 835 | 830,461 | |
Wireless Telecommunication Services — 0.5% | |||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 04/30/28 | 924 | 920,208 | |
SBA Senior Finance II LLC, 2024 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 01/25/31 | 1,527 | 1,528,526 | |
2,448,734 | |||
Total Floating Rate Loan Interests — 126.3% (Cost: $589,596,236) | 582,164,815 |
Shares | |||
Investment Companies | |||
Equity Funds — 0.2% | |||
Janus Henderson AAA CLO ETF | 15,000 | 763,200 | |
Fixed Income Funds — 3.1% | |||
Invesco Senior Loan ETF | 444,300 | 9,348,072 | |
iShares 0-5 Year High Yield Corporate Bond ETF(k) | 5,000 | 211,000 | |
iShares iBoxx $ High Yield Corporate Bond ETF(k) | 62,000 | 4,782,680 | |
14,341,752 | |||
Total Investment Companies — 3.3% (Cost: $15,063,637) | 15,104,952 |
Benefical Interest (000) | |||
Other Interests | |||
Capital Markets — 0.0% | |||
Millennium Lender Claim Trust(d)(l) | USD | 1,607 | — |
Industrial Conglomerates — 0.0% | |||
Millennium Corp. Claim(d)(l) | 1,508 | — | |
Total Other Interests — 0.0% (Cost: $ — ) | — |
Security | Shares | Value | |
Warrants | |||
Consumer Discretionary — 0.0% | |||
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)(c) | 1,895 | $ — | |
Oil, Gas & Consumable Fuels — 0.0% | |||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(c) | 999 | 17,817 | |
Total Warrants — 0.0% (Cost: $ — ) | 17,817 | ||
Total Investments — 134.9% (Cost: $635,491,549) | 621,803,074 | ||
Liabilities in Excess of Other Assets — (34.9)% | (160,916,867 ) | ||
Net Assets — 100.0% | $ 460,886,207 |
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Non-income producing security. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $607,255, representing 0.1% of its net assets as of period end, and an original cost of $822,715. |
(f) | Issuer filed for bankruptcy and/or is in default. |
(g) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(h) | Perpetual security with no stated maturity date. |
(i) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(j) | Rounds to less than 1,000. |
(k) | Affiliate of the Fund. |
(l) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares(a) | $ — | $ 36,703,190 | $ (36,703,190 ) | $ — | $ — | $ — | — | $ 7,328 | $ — |
iShares 0-5 Year High Yield Corporate Bond ETF | 211,100 | — | — | — | (100 ) | 211,000 | 5,000 | 5,980 | — |
iShares iBoxx $ High Yield Corporate Bond ETF | 2,708,650 | 2,435,364 | (385,757 ) | 6,297 | 18,126 | 4,782,680 | 62,000 | 85,424 | — |
$ 6,297 | $ 18,026 | $ 4,993,680 | $ 98,732 | $ — |
(a) | As of period end, the entity is no longer held. |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 439,263 | EUR | 408,013 | BNP Paribas SA | 09/18/24 | $ 672 |
USD | 285,189 | EUR | 264,987 | Toronto-Dominion Bank | 09/18/24 | 343 |
USD | 72,301 | GBP | 57,000 | Citibank N.A. | 09/18/24 | 207 |
USD | 234,604 | GBP | 185,000 | Goldman Sachs International | 09/18/24 | 612 |
USD | 253,764 | GBP | 200,000 | HSBC Bank PLC | 09/18/24 | 800 |
USD | 291,624 | GBP | 230,000 | JPMorgan Chase Bank N.A. | 09/18/24 | 715 |
USD | 228,300 | GBP | 180,000 | Standard Chartered Bank | 09/18/24 | 632 |
$ 3,981 |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CDX.NA.HY.39.V3 | 5.00 % | Quarterly | 12/20/27 | CCC+ | USD | 4,435 | $ 277,882 | $ (49,488 ) | $ 327,370 |
CDX.NA.HY.40.V2 | 5.00 | Quarterly | 06/20/28 | B- | USD | 4,440 | 285,498 | 98,194 | 187,304 |
$ 563,380 | $ 48,706 | $ 514,674 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Fund | Received by the Fund | ||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Barclays Bank PLC | N/A | 12/20/24 | USD | 9,000 | $ (587 ) | $ (2,666 ) | $ 2,079 |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation |
Centrally Cleared Swaps(a) | $ 98,194 | $ (49,488 ) | $ 514,674 | $ — |
OTC Swaps | — | (2,666 ) | 2,079 | — |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | $ — | $ — | $ — | $ 3,981 | $ — | $ — | $ 3,981 |
Swaps — centrally cleared Unrealized appreciation on centrally cleared swaps(a) | — | 514,674 | — | — | — | — | 514,674 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | — | — | — | 2,079 | — | 2,079 |
$ — | $ 514,674 | $ — | $ 3,981 | $ 2,079 | $ — | $ 520,734 | |
Liabilities — Derivative Financial Instruments | |||||||
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | $ — | $ — | $ — | $ — | $ 2,666 | $ — | $ 2,666 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Forward foreign currency exchange contracts | $ — | $ — | $ — | $ 25,492 | $ — | $ — | $ 25,492 |
Swaps | — | 219,559 | — | — | 145,240 | — | 364,799 |
$ — | $ 219,559 | $ — | $ 25,492 | $ 145,240 | $ — | $ 390,291 | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Forward foreign currency exchange contracts | $ — | $ — | $ — | $ 18,086 | $ — | $ — | $ 18,086 |
Swaps | — | 8,953 | — | — | (63,642 ) | — | (54,689 ) |
$ — | $ 8,953 | $ — | $ 18,086 | $ (63,642 ) | $ — | $ (36,603 ) |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $1,840,688 |
Average amounts sold — in USD | $— (a) |
Credit default swaps: | |
Average notional value — sell protection | $8,874,650 |
Total return swaps: | |
Average notional value | $6,500,000 |
(a) | Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Forward foreign currency exchange contracts | $ 3,981 | $ — |
Swaps — centrally cleared | — | 5,729 |
Swaps — OTC(a) | 2,079 | 2,666 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 6,060 | 8,395 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | (5,729 ) |
Total derivative assets and liabilities subject to an MNA | $ 6,060 | $ 2,666 |
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets(b)(c) |
Barclays Bank PLC | $ 2,079 | $ (2,079 ) | $ — | $ — | $ — |
BNP Paribas SA | 672 | — | — | — | 672 |
Citibank N.A. | 207 | — | — | — | 207 |
Goldman Sachs International | 612 | — | — | — | 612 |
HSBC Bank PLC | 800 | — | — | — | 800 |
JPMorgan Chase Bank N.A. | 715 | — | — | — | 715 |
Standard Chartered Bank | 632 | — | — | — | 632 |
Toronto-Dominion Bank | 343 | — | — | — | 343 |
$ 6,060 | $ (2,079 ) | $ — | $ — | $ 3,981 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Derivative Liabilities(b)(d) |
Barclays Bank PLC | $ 2,666 | $ (2,079 ) | $ — | $ — | $ 587 |
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 11,854,352 | $ — | $ 11,854,352 |
Common Stocks | ||||
Construction & Engineering | — | 35,941 | — | 35,941 |
Energy Equipment & Services | — | — | — | — |
Entertainment | — | — | 363,961 | 363,961 |
Financial Services | — | 361,300 | 720,540 | 1,081,840 |
Health Care Providers & Services | — | 243,294 | — | 243,294 |
Oil, Gas & Consumable Fuels | — | — | 3,098 | 3,098 |
Semiconductors & Semiconductor Equipment | 198 | — | — | 198 |
Trading Companies & Distributors | — | — | 205,926 | 205,926 |
Corporate Bonds | — | 7,827,145 | — | 7,827,145 |
Fixed Rate Loan Interests | — | 2,180,085 | 719,650 | 2,899,735 |
Floating Rate Loan Interests | — | 565,453,706 | 16,711,109 | 582,164,815 |
Investment Companies | 15,104,952 | — | — | 15,104,952 |
Other Interests | — | — | — | — |
Warrants | 17,817 | — | — | 17,817 |
Unfunded Floating Rate Loan Interests(a) | — | — | 1,212 | 1,212 |
$15,122,967 | $587,955,823 | $18,725,496 | $621,804,286 | |
Derivative Financial Instruments(b) | ||||
Assets | ||||
Credit Contracts | $ — | $ 514,674 | $ — | $ 514,674 |
Foreign Currency Exchange Contracts | — | 3,981 | — | 3,981 |
Interest Rate Contracts | — | 2,079 | — | 2,079 |
$— | $520,734 | $— | $520,734 |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Common Stocks | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Other Interests | Unfunded Floating Rate Loan Interests | Total | |
Assets | |||||||
Opening balance, as of December 31, 2023 | $ 470,246 | $ 43,313 | $ — | $ 18,152,176 | $ — (a) | $ 970 | $ 18,666,705 |
Transfers into Level 3(b) | — | — | — | 5,230,732 | — | — | 5,230,732 |
Transfers out of Level 3(c) | (178,020 ) | (43,313 ) | — | (6,920,691 ) | — | — | (7,142,024 ) |
Accrued discounts/premiums | — | — | 377 | 50,928 | — | — | 51,305 |
Net realized gain (loss) | — | — | — | (880,020 ) | — | — | (880,020 ) |
Net change in unrealized appreciation (depreciation)(d)(e) | (339,573 ) | — | (13,327 ) | 505,886 | — | 242 | 153,228 |
Purchases | 1,340,872 | — | 732,600 | 11,536,367 | — | — | 13,609,839 |
Sales | — | — | — | (10,964,269 ) | — | — | (10,964,269 ) |
Closing balance, as of June 30, 2024 | $ 1,293,525 | $ — | $ 719,650 | $ 16,711,109 | $ — (a) | $ 1,212 | $ 18,725,496 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(e) | $ (339,573 ) | $ — | $ (13,327 ) | $ (430,407 ) | $ — (a) | $ 242 | $ (783,065 ) |
(a) | Rounds to less than $1. |
(b) | As of December 31, 2023, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2024, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2023, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2024, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
Sterling COOFS Trust(a) | |||
Series 2004-1, Class A, 2.00%, 04/15/29 | $ | 436 | $ 4,357 |
Series 2004-2, Class Note, 2.08%, 03/30/30(b) | 214 | 2,143 | |
Total Asset-Backed Securities — 0.0% (Cost: $55,730) | 6,500 | ||
Non-Agency Mortgage-Backed Securities | |||
Commercial Mortgage-Backed Securities — 1.9% | |||
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1 mo. Term SOFR + 0.86%), 6.19%, 04/15/36(b)(c) | 241 | 238,030 | |
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1 mo. Term SOFR + 1.69%), 7.02%, 03/15/40(b)(c) | 500 | 499,064 | |
BX Trust, Series 2022-GPA, Class A, (1 mo. Term SOFR + 2.17%), 7.49%, 08/15/39(b)(c) | 739 | 739,304 | |
Citigroup Commercial Mortgage Trust, Series 2023, Class A, 6.01%, 10/12/40(b)(c) | 340 | 340,365 | |
CSAIL Commercial Mortgage Trust(c) | |||
Series 2018-C14, Class XA, 0.67%, 11/15/51 | 1,916 | 35,305 | |
Series 2019-C16, Class XA, 1.70%, 06/15/52 | 6,303 | 368,646 | |
CSRO Trust, Series 2023, Class A, 7.12%, 07/10/40 | 177 | 183,182 | |
GS Mortgage Securities Corp. Trust(b)(c) | |||
Series 2022-ECI, Class A, (1 mo. Term SOFR + 2.19%), 7.52%, 08/15/39 | 560 | 560,350 | |
Series 2023-FUN, Class A, (1 mo. Term SOFR + 2.09%), 7.42%, 03/15/28 | 280 | 280,350 | |
MIRA Trust, Series 2023, Class A, 6.75%, 06/10/38(b) | 569 | 585,885 | |
ORL Trust, Series 2023, Class A, (1 mo. Term SOFR + 2.35%), 7.68%, 10/19/36(b)(c) | 444 | 445,294 | |
Wells Fargo Commercial Mortgage Trust(c) | |||
Series 2018-AUS, Class A, 4.19%, 08/17/36(b) | 583 | 546,191 | |
Series 2018-C44, Class XA, 0.87%, 05/15/51 | 4,692 | 103,473 | |
4,925,439 | |||
Interest Only Collateralized Mortgage Obligations — 0.0% | |||
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 | 116 | 19,662 | |
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 01/25/37(a) | 17,590 | 2 | |
19,664 | |||
Principal Only Collateralized Mortgage Obligations(d) — 0.1% | |||
CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 4.00%, 09/25/23 | 1 | 1,035 | |
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 3.00%, 02/25/36 | 84 | 58,491 | |
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 5.00%, 11/25/35 | 45 | 24,107 | |
83,633 | |||
Total Non-Agency Mortgage-Backed Securities — 2.0% (Cost: $5,079,500) | 5,028,736 | ||
U.S. Government Sponsored Agency Securities | |||
Agency Obligations — 3.9% | |||
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(e) | 13,000 | 9,933,990 | |
Collateralized Mortgage Obligations — 67.0% | |||
Fannie Mae REMICS | |||
Series 2004-31, Class ZG, 7.50%, 05/25/34 | 1,653 | 1,751,755 |
Security | Par (000) | Value | |
Collateralized Mortgage Obligations (continued) | |||
Fannie Mae REMICS (continued) | |||
Series 2005-73, Class DS, (30-day Avg SOFR + 17.25%), 3.38%, 08/25/35(c) | $ | 29 | $ 27,437 |
Series 2010-134, Class DB, 4.50%, 12/25/40 | 5,497 | 5,373,284 | |
Series 2010-136, Class CY, 4.00%, 12/25/40 | 2,759 | 2,638,281 | |
Series 2010-47, Class JB, 5.00%, 05/25/30 | 1,536 | 1,529,648 | |
Series 2011-117, Class CP, 4.00%, 11/25/41 | 14,350 | 13,374,090 | |
Series 2011-8, Class ZA, 4.00%, 02/25/41 | 3,436 | 3,223,138 | |
Series 2011-99, Class CB, 4.50%, 10/25/41 | 26,850 | 26,237,908 | |
Series 2012-104, Class QD, 4.00%, 09/25/42 | 1,639 | 1,439,495 | |
Series 2013-81, Class YK, 4.00%, 08/25/43 | 7,000 | 6,277,337 | |
Series 2018-32, Class PS, (30-day Avg SOFR + 7.10%), 0.88%, 05/25/48(c) | 3,939 | 3,291,432 | |
Series 2018-50, Class EB, 4.00%, 07/25/48 | 2,001 | 1,893,101 | |
Series 2020-57, Class LI, 2.00%, 08/25/50 | 5,500 | 3,848,257 | |
Series 2023-56, Class FA, (30-day Avg SOFR + 1.40%), 6.74%, 11/25/53(c) | 260 | 261,227 | |
Series 2024-48, Class FC, (30-day Avg SOFR + 1.10%), 6.43%, 07/25/54(c) | 709 | 708,002 | |
Freddie Mac REMICS | |||
Series 2218, Class Z, 8.50%, 03/15/30 | 199 | 206,920 | |
Series 2731, Class ZA, 4.50%, 01/15/34 | 1,218 | 1,193,362 | |
Series 2927, Class BZ, 5.50%, 02/15/35 | 1,139 | 1,150,273 | |
Series 3745, Class LK, 4.00%, 10/15/40 | 3,500 | 3,286,255 | |
Series 3745, Class ZA, 4.00%, 10/15/40 | 1,233 | 1,144,318 | |
Series 3762, Class LN, 4.00%, 11/15/40 | 2,000 | 1,846,333 | |
Series 3780, Class ZA, 4.00%, 12/15/40 | 3,145 | 2,964,942 | |
Series 3856, Class PB, 5.00%, 05/15/41 | 5,993 | 6,010,111 | |
Series 3960, Class PL, 4.00%, 11/15/41 | 2,718 | 2,615,800 | |
Series 3963, Class JB, 4.50%, 11/15/41 | 467 | 456,462 | |
Series 4016, Class BX, 4.00%, 09/15/41 | 15,408 | 14,429,185 | |
Series 4269, Class PM, 4.00%, 08/15/41 | 8,884 | 8,016,233 | |
Series 4299, Class JY, 4.00%, 01/15/44 | 1,000 | 915,101 | |
Series 4384, Class LB, 3.50%, 08/15/43 | 3,398 | 3,217,784 | |
Series 4615, Class LB, 4.50%, 09/15/41 | 7,021 | 6,818,530 | |
Series 4748, Class BM, 3.50%, 11/15/47 | 3,351 | 2,780,742 | |
Series 4774, Class L, 4.50%, 03/15/48 | 4,751 | 4,508,388 | |
Series 4830, Class AV, 4.00%, 10/15/33 | 1,069 | 967,597 | |
Series 5249, Class LB, 4.00%, 08/25/52 | 6,295 | 5,564,165 | |
Freddie Mac Seasoned Credit Risk Transfer Trust | |||
Series 2018-2, Class MA, 3.50%, 11/25/57 | 465 | 437,893 | |
Series 2018-4, Class MA, 3.50%, 03/25/58 | 2,709 | 2,525,629 | |
Series 2019-1, Class MA, 3.50%, 07/25/58 | 851 | 795,268 | |
Series 2019-2, Class MA, 3.50%, 08/25/58 | 346 | 321,410 | |
Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.13%, 01/25/28(c) | 37 | 37,187 | |
Ginnie Mae | |||
Series 2011-88, Class PY, 4.00%, 06/20/41 | 6,943 | 6,535,590 | |
Series 2012-16, Class HJ, 4.00%, 09/20/40 | 4,845 | 4,616,110 | |
Series 2015-96, Class ZM, 4.00%, 07/20/45 | 8,962 | 8,106,566 | |
Series 2018-91, Class ZL, 4.00%, 07/20/48 | 6,510 | 5,432,835 | |
Ginnie Mae Mortgage-Backed Securities, Series 2022- 63, Class ZM, 3.50%, 10/20/50 | 4,492 | 3,420,655 | |
172,196,036 | |||
Commercial Mortgage-Backed Securities(c) — 0.5% | |||
Freddie Mac Multifamily Structured Pass Through Certificates | |||
Series K094, Class X1, 1.01%, 06/25/29 | 1,393 | 50,491 | |
Series K104, Class X1, 1.24%, 01/25/30 | 1,341 | 66,817 | |
Series K105, Class X1, 1.64%, 01/25/30 | 1,813 | 123,979 | |
Series K107, Class X1, 1.71%, 01/25/30 | 1,214 | 87,735 | |
Series K109, Class X1, 1.69%, 04/25/30 | 932 | 67,857 |
Security | Par (000) | Value | |
Commercial Mortgage-Backed Securities (continued) | |||
Freddie Mac Multifamily Structured Pass Through Certificates (continued) | |||
Series K110, Class X1, 1.81%, 04/25/30 | $ | 391 | $ 29,672 |
Series K113, Class X1, 1.48%, 06/25/30 | 1,588 | 103,748 | |
Series K115, Class X1, 1.42%, 06/25/30 | 1,941 | 122,477 | |
Series K120, Class X1, 1.13%, 10/25/30 | 3,865 | 193,820 | |
Series K122, Class X1, 0.97%, 11/25/30 | 1,658 | 72,099 | |
Ginnie Mae | |||
Series 2013-63, Class IO, 0.78%, 09/16/51 | 3,102 | 78,709 | |
Series 2014-169, Class IO, 0.60%, 10/16/56 | 12,005 | 269,561 | |
1,266,965 | |||
Interest Only Collateralized Mortgage Obligations — 12.5% | |||
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 | 22 | 905 | |
Fannie Mae REMICS | |||
Series 2006-36, Class PS, (30-day Avg SOFR + 6.49%), 1.15%, 05/25/36(c) | 1,906 | 151,466 | |
Series 2011-134, Class ST, (30-day Avg SOFR + 5.89%), 0.55%, 12/25/41(c) | 11,208 | 1,182,722 | |
Series 2013-10, Class PI, 3.00%, 02/25/43 | 3,417 | 389,141 | |
Series 2013-45, Class EI, 4.00%, 04/25/43 | 1,265 | 108,663 | |
Series 2015-66, Class AS, (30-day Avg SOFR + 6.14%), 0.80%, 09/25/45(c) | 8,987 | 622,551 | |
Series 2020-12, Class JI, 4.50%, 03/25/50 | 6,735 | 1,447,620 | |
Series 2021-23, Class CI, 3.50%, 07/25/46 | 17,036 | 3,133,969 | |
Series 2021-26, Class AI, 3.50%, 05/25/50 | 24,654 | 4,640,893 | |
Freddie Mac REMICS | |||
Series 3744, Class CI, 3.00%, 06/25/51 | 17,885 | 2,459,048 | |
Series 3744, Class PI, 4.00%, 06/15/39 | 641 | 16,627 | |
Series 3923, Class SD, (30-day Avg SOFR + 5.89%), 0.55%, 09/15/41(c) | 14,319 | 1,281,198 | |
Series 3954, Class SL, (30-day Avg SOFR + 5.89%), 0.55%, 11/15/41(c) | 8,492 | 813,242 | |
Series 4026, Class IO, 4.50%, 04/15/32 | 480 | 33,837 | |
Series 4119, Class SC, (30-day Avg SOFR + 6.04%), 0.70%, 10/15/42(c) | 199 | 19,441 | |
Series 4706, Class IG, 4.00%, 07/15/47 | 12,468 | 2,470,523 | |
Series 5013, Class JI, 4.00%, 09/25/50 | 17,789 | 3,800,990 | |
Series 5083, Class IN, 4.50%, 07/25/32 | 10,468 | 908,823 | |
Series 5138, Class IP, 3.00%, 04/25/51 | 16,701 | 2,854,979 | |
Ginnie Mae | |||
Series 2009-116, Class KS, (1 mo. Term SOFR + 6.36%), 1.03%, 12/16/39(c) | 319 | 23,253 | |
Series 2011-52, Class MJ, (1 mo. Term SOFR + 6.54%), 1.20%, 04/20/41(c) | 2,190 | 111,889 | |
Series 2012-97, Class JS, (1 mo. Term SOFR + 6.14%), 0.81%, 08/16/42(c) | 3,204 | 100,471 | |
Series 2017-101, Class SL, (1 mo. Term SOFR + 6.09%), 0.75%, 07/20/47(c) | 7,802 | 846,056 | |
Series 2022-10, Class IT, 3.50%, 01/20/52 | 11,186 | 1,693,262 | |
Series 2022-60, Class IH, 2.50%, 02/20/51 | 22,174 | 2,954,762 | |
Vendee Mortgage Trust, Series 1999-2, Class 1IO, 0.00%, 05/15/29(c) | 4,536 | 5 | |
32,066,336 | |||
Mortgage-Backed Securities — 61.1% | |||
Fannie Mae Mortgage-Backed Securities, 4.00%, 02/01/56 - 01/01/57(f) | 28,875 | 26,709,492 | |
Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39 | 3,785 | 3,803,552 | |
Ginnie Mae Mortgage-Backed Securities | |||
8.00%, 05/15/26 - 06/15/27(f) | 4 | 4,997 |
Security | Par (000) | Value | |
Mortgage-Backed Securities (continued) | |||
Ginnie Mae Mortgage-Backed Securities (continued) | |||
5.00%, 10/20/39 | $ | 888 | $ 886,059 |
Uniform Mortgage-Backed Securities | |||
5.50%, 02/01/33 - 10/01/39(f) | 2,858 | 2,867,029 | |
5.00%, 06/01/33 - 07/15/54(f)(g) | 26,512 | 25,832,570 | |
6.50%, 10/01/38 - 10/01/39 | 997 | 1,032,544 | |
2.50%, 07/15/39(g) | 180 | 162,506 | |
4.50%, 10/01/39 - 07/15/54(f)(g) | 32,251 | 30,483,655 | |
4.00%, 01/01/41 - 10/01/52(f) | 33,285 | 30,793,273 | |
3.00%, 07/15/54(g) | 36,600 | 31,130,016 | |
3.50%, 07/15/54(g) | 3,664 | 3,242,640 | |
156,948,333 | |||
Principal Only Collateralized Mortgage Obligations(d) — 2.0% | |||
Fannie Mae Interest Strip | |||
Series 337, Class 1, 5.00%, 07/25/33 | 1,562 | 1,311,273 | |
Series 397, Class 1, 5.00%, 09/25/39 | 1,965 | 1,507,379 | |
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 7.00%, 02/25/29 | 12 | 11,639 | |
Fannie Mae REMICS | |||
Series 2002-13, Class PR, 4.00%, 03/25/32 | 15 | 13,963 | |
Series 2011-90, Class AO, 4.00%, 09/25/41 | 3,262 | 2,453,623 | |
5,297,877 | |||
Total U.S. Government Sponsored Agency Securities — 147.0% (Cost: $417,273,009) | 377,709,537 | ||
Total Long-Term Investments — 149.0% (Cost: $422,408,239) | 382,744,773 | ||
Short-Term Securities | |||
Borrowed Bond Agreement — 0.3% | |||
BNP Paribas SA, 5.34%, 07/01/24 (Purchased 06/28/2024 to be repurchased at $714,218, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $702,759, respectively) | 714 | 714,114 |
Shares | |||
Money Market Funds — 1.4% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(h)(i) | 3,745,915 | 3,745,915 | |
Total Short-Term Securities — 1.7% (Cost: $4,460,029) | 4,460,029 | ||
Total Investments Before Borrowed Bonds — 150.7% (Cost: $426,868,268) | 387,204,802 |
Security | Par (000) | Value | |
Borrowed Bonds | |||
U.S. Governments Obligations — (0.3)% | |||
U.S. Treasury Bonds, 2.75%, 11/15/42(j) | $ | (917 ) | $ (702,759 ) |
Total Borrowed Bonds — (0.3)% (Proceeds: $(842,347)) | (702,759 ) | ||
Total Investments, Net of Borrowed Bonds — 150.4% (Cost: $426,025,921) | 386,502,043 | ||
Liabilities in Excess of Other Assets — (50.4)% | (129,548,257 ) | ||
Net Assets — 100.0% | $ 256,953,786 |
(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(d) | Rates are discount rates or a range of discount rates as of period end. |
(e) | Zero-coupon bond. |
(f) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(g) | Represents or includes a TBA transaction. |
(h) | Affiliate of the Fund. |
(i) | Annualized 7-day yield as of period end. |
(j) | All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 7,494,937 | $ — | $ (3,749,022 )(a) | $ — | $ — | $ 3,745,915 | 3,745,915 | $ 101,878 | $ — |
(a) | Represents net amount purchased (sold). |
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements |
BNP Paribas SA | 5.45 % | 06/12/24 | 07/15/24 | $ 5,262,999 | $ 5,277,341 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 5,550,028 | 5,565,152 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 5,410,294 | 5,425,037 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 1,789,780 | 1,794,657 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 5,344,473 | 5,359,036 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 92,118 | 92,369 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 7,208 | 7,228 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 45,671 | 45,795 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 900 | 903 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 178,334 | 178,820 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 153,255 | 153,673 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 1,283,498 | 1,286,995 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 786,487 | 788,630 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements |
BNP Paribas SA | 5.45 % | 06/12/24 | 07/15/24 | $ 26,741 | $ 26,813 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 107,443 | 107,735 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 1,808 | 1,813 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 237,193 | 237,840 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 362,098 | 363,084 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 207,916 | 208,482 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 8,768 | 8,792 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 286,795 | 287,577 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 262,243 | 262,957 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 811,101 | 813,311 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 8,082 | 8,104 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 8,124,224 | 8,146,362 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 227,143 | 227,762 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 14,048,206 | 14,088,510 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 3,327,160 | 3,336,227 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 858,845 | 861,185 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 1,151,937 | 1,155,076 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 5,578,338 | 5,593,539 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 5,680,802 | 5,696,283 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 5,347,325 | 5,361,896 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 6,298 | 6,315 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 52,921 | 53,066 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 1,723 | 1,728 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
BNP Paribas SA | 5.45 | 06/12/24 | 07/15/24 | 10,154 | 10,182 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Cantor Fitzgerald & Co. | 5.46 | 06/12/24 | 07/15/24 | 111,526 | 111,831 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Cantor Fitzgerald & Co. | 5.46 | 06/12/24 | 07/15/24 | 430,563 | 431,739 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Cantor Fitzgerald & Co. | 5.46 | 06/12/24 | 07/15/24 | 1,852,803 | 1,857,861 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Cantor Fitzgerald & Co. | 5.46 | 06/12/24 | 07/15/24 | 791,421 | 793,582 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
$ 75,826,622 | $ 76,035,288 |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
10-Year U.S. Treasury Note | 292 | 09/19/24 | $ 32,074 | $ 244,316 |
5-Year U.S. Treasury Note | 21 | 09/30/24 | 2,237 | (3,295 ) |
241,021 | ||||
Short Contracts | ||||
10-Year U.S. Ultra Long Treasury Note | 157 | 09/19/24 | 17,785 | (137,635 ) |
U.S. Long Bond | 134 | 09/19/24 | 15,795 | (62,150 ) |
2-Year U.S. Treasury Note | 102 | 09/30/24 | 20,830 | (36,527 ) |
(236,312 ) | ||||
$ 4,709 |
Paid by the Fund | Received by the Fund | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||
Rate | Frequency | Rate | Frequency | |||||||
1-Day SOFR, 5.33% | Quarterly | 0.17% | Quarterly | N/A | 10/21/25 | USD | 137 | $ (9,463 ) | $ (9 ) | $ (9,454 ) |
0.18% | Quarterly | 1-Day FEDL, 5.33% | Quarterly | N/A | 10/21/25 | USD | 137 | 9,417 | 8 | 9,409 |
$ (46 ) | $ (1 ) | $ (45 ) |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation |
Centrally Cleared Swaps(a) | $ 8 | $ (9 ) | $ 9,409 | $ (9,454 ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Futures contracts Unrealized appreciation on futures contracts(a) | $ — | $ — | $ — | $ — | $ 244,316 | $ — | $ 244,316 |
Swaps — centrally cleared Unrealized appreciation on centrally cleared swaps(a) | — | — | — | — | 9,409 | — | 9,409 |
$ — | $ — | $ — | $ — | $ 253,725 | $ — | $ 253,725 | |
Liabilities — Derivative Financial Instruments | |||||||
Futures contracts Unrealized depreciation on futures contracts(a) | $ — | $ — | $ — | $ — | $ 239,607 | $ — | $ 239,607 |
Swaps — centrally cleared Unrealized depreciation on centrally cleared swaps(a) | — | — | — | — | 9,454 | — | 9,454 |
$ — | $ — | $ — | $ — | $ 249,061 | $ — | $ 249,061 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ — | $ — | $ (347,351 ) | $ — | $ (347,351 ) |
Swaps | — | — | — | — | 22 | — | 22 |
$ — | $ — | $ — | $ — | $ (347,329 ) | $ — | $ (347,329 ) | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Futures contracts | $ — | $ — | $ — | $ — | $ 1,393,600 | $ — | $ 1,393,600 |
Swaps | — | — | — | — | 83 | — | 83 |
$ — | $ — | $ — | $ — | $ 1,393,683 | $ — | $ 1,393,683 |
Futures contracts: | |
Average notional value of contracts — long | $34,040,782 |
Average notional value of contracts — short | $56,716,305 |
Interest rate swaps: | |
Average notional value — pays fixed rate | $136,615 |
Average notional value — receives fixed rate | $136,615 |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ — | $ 6,500 | $ 6,500 |
Non-Agency Mortgage-Backed Securities | — | 5,028,734 | 2 | 5,028,736 |
U.S. Government Sponsored Agency Securities | — | 377,709,537 | — | 377,709,537 |
Short-Term Securities | ||||
Borrowed Bond Agreement | — | 714,114 | — | 714,114 |
Money Market Funds | 3,745,915 | — | — | 3,745,915 |
Liabilities | ||||
Investments | ||||
Borrowed Bonds | — | (702,759 ) | — | (702,759 ) |
$3,745,915 | $382,749,626 | $6,502 | $386,502,043 | |
Derivative Financial Instruments(a) | ||||
Assets | ||||
Interest Rate Contracts | $ 244,316 | $ 9,409 | $ — | $ 253,725 |
Liabilities | ||||
Interest Rate Contracts | (239,607 ) | (9,454 ) | — | (249,061 ) |
$4,709 | $(45 ) | $— | $4,664 |
(a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
AIMCO CLO(a)(b) | |||
Series 2017-AA, Class CR, (3-mo. CME Term SOFR + 2.36%), 7.69%, 04/20/34 | USD | 1,000 | $ 1,000,088 |
Series 2018-BA, Class CRR, (3-mo. CME Term SOFR + 2.40%), 7.73%, 04/16/37 | 500 | 501,191 | |
Anchorage Capital CLO Ltd., Series 2015-7A, Class DR3, (3-mo. CME Term SOFR + 3.80%), 9.13%, 04/28/37(a)(b) | 1,000 | 999,885 | |
Apidos CLO XL Ltd., Series 2022-40A, Class E, (3- mo. CME Term SOFR + 7.69%), 13.02%, 07/15/35(a)(b) | 500 | 502,510 | |
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3-mo. CME Term SOFR + 1.16%), 6.49%, 07/18/29(a)(b) | 193 | 192,859 | |
Ares LXVIII CLO Ltd., Series 2023-68A, Class E, (3-mo. CME Term SOFR + 8.55%), 13.87%, 04/25/35(a)(b) | 620 | 647,621 | |
Argent Securities Trust, Series 2006-W5, Class A1, (1 mo. Term SOFR + 0.41%), 5.76%, 06/25/36(a)(c) | 3,900 | 2,479,994 | |
Bain Capital Credit CLO Ltd.(a)(b) | |||
Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.56%), 8.89%, 07/19/34 | 300 | 295,190 | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.68%, 07/24/34 | 250 | 246,188 | |
Ballyrock CLO Ltd.(a)(b) | |||
Series 2020-14A, Class D, (3-mo. CME Term SOFR + 7.26%), 12.59%, 01/20/34 | 250 | 251,727 | |
Series 2020-14AR, Class DR, 07/20/37(d) | 250 | 250,000 | |
Barings CLO Ltd.(a)(b) | |||
Series 2017-1A, Class D, (3-mo. CME Term SOFR + 3.86%), 9.19%, 07/18/29 | 250 | 251,318 | |
Series 2018-2A, Class A2, (3-mo. CME Term SOFR + 1.81%), 7.14%, 04/15/30 | 700 | 701,744 | |
Benefit Street Partners CLO VIII Ltd., Series 2015- 8A, Class A2R, (3-mo. CME Term SOFR + 1.71%), 7.04%, 01/20/31(a)(b) | 700 | 702,073 | |
Benefit Street Partners CLO XIV Ltd., Series 2018- 14A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.04%, 04/20/31(a)(b) | 500 | 501,469 | |
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.64%, 07/15/34(a)(b) | 250 | 250,588 | |
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 04/15/34(a)(b) | 500 | 492,576 | |
Bryant Park Funding Ltd., Series 2024-22A, Class C, (3-mo. CME Term SOFR + 2.60%), 7.91%, 04/15/37(a)(b) | 800 | 810,690 | |
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3- mo. CME Term SOFR + 2.26%), 7.59%, 04/20/32(a)(b) | 250 | 250,200 | |
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. CME Term SOFR + 6.70%), 12.03%, 07/20/32(a)(b) | 500 | 493,636 | |
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3-mo. CME Term SOFR + 1.91%), 7.23%, 07/17/34(a)(b) | 250 | 250,409 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/15/33(a)(b) | USD | 500 | $ 499,543 |
Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.12%, 04/20/35(a)(b) | 450 | 449,967 | |
CIFC Funding Ltd.(a)(b) | |||
Series 2013-4A, Class DRR, (3-mo. CME Term SOFR + 3.06%), 8.39%, 04/27/31 | 250 | 250,077 | |
Series 2017-1A, Class CRR, (3-mo. CME Term SOFR + 2.45%), 7.73%, 04/21/37 | 550 | 556,536 | |
Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.69%, 04/20/32 | 500 | 501,718 | |
Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.67%, 10/22/35 | 250 | 253,358 | |
Series 2022-7A, Class E, (3-mo. CME Term SOFR + 8.94%), 14.26%, 10/22/35 | 500 | 517,531 | |
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 7.28%, 10/25/36 | 319 | 175,871 | |
Clear Creek CLO, Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.54%, 10/20/30(a)(b) | 250 | 250,079 | |
CWABS Trust, Series 2006-26, Class 1A, (1 mo. Term SOFR + 0.25%), 5.60%, 06/25/37(a) | 473 | 436,173 | |
Dryden CLO Ltd.(a)(b) | |||
Series 2018-64A, Class D, (3-mo. CME Term SOFR + 2.91%), 8.24%, 04/18/31 | 250 | 249,450 | |
Series 2022-106A, Class E, (3-mo. CME Term SOFR + 8.87%), 14.20%, 10/15/35 | 500 | 516,148 | |
Elmwood CLO 14 Ltd., Series 2022-1A, Class E, (3-mo. CME Term SOFR + 6.35%), 11.67%, 04/20/35(a)(b) | 585 | 586,905 | |
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34(a)(b) | 250 | 250,981 | |
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.59%, 10/20/34(a)(b) | 436 | 436,973 | |
Generate CLO Ltd.(a)(b) | |||
Series 4A, Class ER, (3-mo. CME Term SOFR + 7.01%), 12.34%, 04/20/32 | 1,000 | 1,004,510 | |
Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.09%, 01/22/35 | 750 | 753,518 | |
Golub Capital Partners CLO Ltd., Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.15%, 07/20/34(a)(b) | 250 | 250,583 | |
Madison Park Funding LXIII Ltd., Series 2023-63A, Class E, (3-mo. CME Term SOFR + 8.57%), 13.89%, 04/21/35(a)(b) | 400 | 418,551 | |
Madison Park Funding XLV Ltd., Series 2020-45A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 07/15/34(a)(b) | 300 | 301,126 | |
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. CME Term SOFR + 3.86%), 9.19%, 07/21/30(a)(b) | 500 | 502,712 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3-mo. CME Term SOFR + 1.20%), 6.53%, 10/21/30(a)(b) | 479 | 479,696 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Madison Park Funding XXIX Ltd.(a)(b) | |||
Series 2018-29A, Class D, (3-mo. CME Term SOFR + 3.26%), 8.59%, 10/18/30 | USD | 510 | $ 512,939 |
Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.29%, 10/18/30 | 250 | 250,502 | |
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class BR2, (3-mo. CME Term SOFR + 1.95%), 7.27%, 04/15/37(a)(b) | 875 | 879,609 | |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 07/17/34(a)(b) | 250 | 250,720 | |
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.09%, 07/15/34(a)(b) | 790 | 793,404 | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2019-32A, Class ER, (3-mo. CME Term SOFR + 6.36%), 11.69%, 01/20/32(a)(b) | 425 | 425,878 | |
Neuberger Berman Loan Advisers NBLA CLO Ltd., Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 11.07%, 10/24/35(a)(b) | 500 | 508,418 | |
OCP CLO Ltd.(a)(b) | |||
Series 2017-14A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.09%, 11/20/30 | 300 | 300,598 | |
Series 2019-16A, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.71%, 04/10/33 | 250 | 250,331 | |
Series 2026-11R, Class CR2, (3-mo. CME Term SOFR + 2.35%), 7.67%, 04/26/36 | 800 | 805,265 | |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.64%, 07/15/34(a)(b) | 250 | 245,016 | |
Octagon Investment Partners 31 Ltd., Series 2017- 1A, Class E, (3-mo. CME Term SOFR + 6.56%), 11.89%, 07/20/30(a)(b) | 500 | 495,759 | |
Octagon Investment Partners XV Ltd., Series 2013- 1A, Class A1RR, (3-mo. CME Term SOFR + 1.23%), 6.56%, 07/19/30(a)(b) | 1,234 | 1,235,454 | |
Octagon Investment Partners XVII Ltd., Series 2013- 1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 6.99%, 01/25/31(a)(b) | 250 | 250,260 | |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 10/25/34(a)(b) | 250 | 251,859 | |
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3-mo. CME Term SOFR + 3.41%), 8.73%, 10/17/29(a)(b) | 250 | 250,129 | |
OZLM XXI Ltd., Series 2017-21A, Class D, (3-mo. CME Term SOFR + 5.80%), 11.13%, 01/20/31(a)(b) | 250 | 247,619 | |
Rad CLO Ltd., Series 2022-17A, Class E, (3-mo. CME Term SOFR + 8.30%), 13.62%, 10/20/35(a)(b) | 250 | 258,589 | |
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.04%, 01/15/34(a)(b) | 300 | 300,695 | |
Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.69%, 01/20/35(a)(b) | 250 | 250,663 | |
Regatta XXV Funding Ltd., Series 2025, Class E, (3-mo. CME Term SOFR + 8.41%), 13.74%, 07/15/36(a)(b) | 500 | 524,987 | |
Regional Management Issuance Trust, Series 2021-3, Class A, 3.88%, 10/17/33(e) | 980 | 884,450 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.44%, 10/15/29(a)(b) | USD | 500 | $ 499,807 |
RRX Ltd., Series 2021-5A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.39%, 07/15/34(a)(b) | 250 | 252,084 | |
Service Experts Issuer LLC, Series 2024-1A, Class A, 6.39%, 11/20/35(b) | 229 | 230,347 | |
Sterling COOFS Trust(b)(e) | |||
Series 2004-1, Class A, 2.00%, 04/15/29 | 607 | 6,068 | |
Series 2004-2, Class Note, 2.08%, 03/30/30 | 581 | 5,811 | |
Subway Funding LLC, Series 2024-1A, Class A2I, 6.03%, 07/30/54(b) | 295 | 297,623 | |
Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.18%, 04/23/35(a)(b) | 300 | 300,245 | |
TCI-Flatiron CLO Ltd., Series 18-1A, Class BR, (3- mo. CME Term SOFR + 1.66%), 6.99%, 01/29/32(a)(b) | 600 | 600,000 | |
Trimaran CAVU Ltd.(a)(b) | |||
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.71%), 9.04%, 04/23/32 | 250 | 251,125 | |
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.84%, 10/25/34 | 500 | 499,969 | |
Unique Pub Finance Co. PLC, Series 02-1, Class A4, 5.66%, 06/30/27(f) | GBP | 28 | 34,781 |
Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/32(a)(b) | USD | 500 | 499,766 |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/24/34(a)(b) | 500 | 501,526 | |
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.94%, 10/15/34(a)(b) | 250 | 250,769 | |
Total Asset-Backed Securities — 7.2% (Cost: $35,981,955) | 36,117,027 |
Shares | |||
Common Stocks | |||
Construction & Engineering — 0.0% | |||
McDermott International Ltd.(g) | 47,837 | 13,872 | |
Energy Equipment & Services — 0.0% | |||
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(e)(g)(h) | 2,869 | — | |
Entertainment — 0.0% | |||
Learfield Communications LLC, (Acquired 09/06/23, Cost: $36,292)(e)(g)(h) | 2,888 | 154,508 | |
Financial Services(g) — 0.1% | |||
NMG Parent LLC | 1,330 | 133,000 | |
Travelport Finance Luxembourg SARL(e) | 90 | 242,878 | |
375,878 | |||
Health Care Providers & Services — 0.0% | |||
Envision Healthcare Corp., (Acquired 11/03/23, Cost: $382,692)(g)(h) | 12,321 | 126,290 | |
Household Products — 0.0% | |||
Berkline Benchcraft Equity LLC(e)(g) | 3,155 | — |
Security | Shares | Value | |
Industrial Conglomerates — 0.0% | |||
Ameriforge Group, Inc.(e)(g) | 801 | $ 8 | |
Oil, Gas & Consumable Fuels — 0.0% | |||
Kcad Holdings I Ltd.(e)(g) | 546,753,936 | 5,468 | |
Trading Companies & Distributors — 0.0% | |||
TMK Hawk Parent Corp.(e)(g) | 10,062 | 88,045 | |
Total Common Stocks — 0.1% (Cost: $7,713,317) | 764,069 |
Par (000) | |||
Corporate Bonds | |||
Advertising Agencies(b)(c) — 0.2% | |||
Neptune Bidco U.S., Inc., 9.29%, 04/15/29 | USD | 684 | 656,486 |
Stagwell Global LLC, 5.63%, 08/15/29 | 101 | 93,285 | |
749,771 | |||
Aerospace & Defense — 2.8% | |||
AAR Escrow Issuer LLC, 6.75%, 03/15/29(b)(c) | 274 | 279,311 | |
Boeing Co., 6.53%, 05/01/34(b)(c) | 730 | 747,447 | |
Bombardier, Inc.(b) | |||
7.88%, 04/15/27(c) | 104 | 104,265 | |
6.00%, 02/15/28(c) | 539 | 532,800 | |
7.50%, 02/01/29 | 9 | 9,326 | |
8.75%, 11/15/30(c) | 463 | 500,403 | |
7.25%, 07/01/31(c) | 149 | 152,981 | |
7.00%, 06/01/32 | 254 | 257,528 | |
7.45%, 05/01/34 | 100 | 112,324 | |
Embraer Netherlands Finance BV, 7.00%, 07/28/30(b)(c) | 387 | 403,810 | |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(c) | 423 | 418,770 | |
Northrop Grumman Corp., 3.85%, 04/15/45(c) | 600 | 467,473 | |
Spirit AeroSystems, Inc.(b)(c) | |||
9.38%, 11/30/29 | 481 | 517,862 | |
9.75%, 11/15/30 | 418 | 461,102 | |
TransDigm, Inc.(b)(c) | |||
6.75%, 08/15/28 | 2,045 | 2,069,998 | |
6.38%, 03/01/29 | 2,554 | 2,566,880 | |
7.13%, 12/01/31 | 829 | 854,183 | |
6.63%, 03/01/32 | 2,579 | 2,604,943 | |
Triumph Group, Inc., 9.00%, 03/15/28(b)(c) | 958 | 1,004,214 | |
14,065,620 | |||
Air Freight & Logistics — 0.0% | |||
Rand Parent LLC, 8.50%, 02/15/30(b) | 27 | 27,335 | |
Automobile Components — 1.2% | |||
Aptiv PLC, 4.40%, 10/01/46(c) | 240 | 187,275 | |
Champions Financing, Inc., 8.75%, 02/15/29(b)(c) | 344 | 352,763 | |
Clarios Global LP, 6.75%, 05/15/25(b)(c) | 528 | 527,840 | |
Clarios Global LP/Clarios U.S. Finance Co. | |||
4.38%, 05/15/26(f) | EUR | 200 | 213,119 |
8.50%, 05/15/27(b)(c) | USD | 2,599 | 2,613,661 |
6.75%, 05/15/28(b)(c) | 839 | 849,113 | |
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(f) | EUR | 100 | 116,587 |
Forvia SE, 3.75%, 06/15/28(f) | 100 | 103,080 | |
Garrett Motion Holdings, Inc./Garrett LX I SARL, 7.75%, 05/31/32(b)(c) | USD | 486 | 492,523 |
Security | Par (000) | Value | |
Automobile Components (continued) | |||
Goodyear Tire & Rubber Co. | |||
5.00%, 07/15/29(c) | USD | 104 | $ 96,802 |
5.63%, 04/30/33 | 109 | 98,527 | |
Phinia, Inc., 6.75%, 04/15/29(b) | 151 | 153,241 | |
Schaeffler AG, 4.75%, 08/14/29(f) | EUR | 100 | 107,791 |
Tenneco, Inc., 8.00%, 11/17/28(b) | USD | 125 | 113,793 |
ZF Finance GmbH, 2.00%, 05/06/27(f) | EUR | 100 | 99,930 |
6,126,045 | |||
Automobiles — 0.7% | |||
Asbury Automotive Group, Inc. | |||
4.50%, 03/01/28 | USD | 146 | 138,330 |
4.75%, 03/01/30 | 124 | 114,905 | |
5.00%, 02/15/32(b) | 130 | 117,781 | |
Aston Martin Capital Holdings Ltd. | |||
10.00%, 03/31/29(b) | 200 | 197,062 | |
10.38%, 03/31/29(f) | GBP | 100 | 125,462 |
Carvana Co.(b)(i) | |||
(13.00% PIK), 13.00%, 06/01/30 | USD | 213 | 233,164 |
(14.00% PIK), 14.00%, 06/01/31 | 636 | 715,748 | |
Cougar JV Subsidiary LLC, 8.00%, 05/15/32(b) | 217 | 224,394 | |
Ford Motor Credit Co. LLC | |||
5.13%, 06/16/25 | 200 | 198,489 | |
7.20%, 06/10/30(c) | 200 | 210,383 | |
General Motors Financial Co., Inc., 6.00%, 01/09/28(c) | 1,000 | 1,016,394 | |
TML Holdings Pte. Ltd., 4.35%, 06/09/26(f) | 200 | 192,687 | |
Wabash National Corp., 4.50%, 10/15/28(b)(c) | 220 | 197,961 | |
3,682,760 | |||
Banks — 1.3% | |||
Alpha Bank SA, (1-year EUR Swap + 2.43%), 5.00%, 05/12/30(a)(f) | EUR | 100 | 107,365 |
Banca Monte dei Paschi di Siena SpA, (3-mo. EURIBOR + 2.05%), 4.75%, 03/15/29(a)(f) | 100 | 107,277 | |
Banco BPM SpA, (5-year EUR Swap + 3.17%), 2.88%, 06/29/31(a)(f) | 100 | 102,544 | |
Banco Espirito Santo SA(f) | |||
4.75%, 01/15/18(a) | 100 | 29,987 | |
4.00%, 01/21/19 | 100 | 29,987 | |
Bangkok Bank PCL/Hong Kong, (5-year CMT + 4.73%), 5.00%(a)(f)(j) | USD | 501 | 487,222 |
Barclays Bank PLC, 1.00%, 02/16/29(c)(k) | 359 | 372,182 | |
BNP Paribas SA, (5-year CMT + 3.73%), 8.00%(a)(b)(j) | 2,000 | 2,007,456 | |
Credit Suisse AG/New York, 5.00%, 07/09/27(c) | 1,200 | 1,190,120 | |
Deutsche Bank AG/New York, (1-day SOFR + 3.18%), 6.72%, 01/18/29(a)(c) | 1,100 | 1,135,180 | |
Freedom Mortgage Corp., 12.25%, 10/01/30(b) | 103 | 110,800 | |
HSBC Holdings PLC, 4.38%, 11/23/26(c) | 395 | 384,921 | |
Intesa Sanpaolo SpA, 5.71%, 01/15/26(b)(c) | 200 | 198,099 | |
National Bank of Greece SA, (5-year EURIBOR ICE Swap + 3.15%), 5.88%, 06/28/35(a)(f) | EUR | 100 | 108,060 |
6,371,200 | |||
Beverages — 0.1% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(c) | USD | 800 | 737,568 |
Biotechnology — 0.0% | |||
Cidron Aida Finco SARL, 5.00%, 04/01/28(f) | EUR | 100 | 98,992 |
Broadline Retail(b) — 0.3% | |||
Ken Garff Automotive LLC, 4.88%, 09/15/28 | USD | 122 | 113,072 |
Security | Par (000) | Value | |
Broadline Retail (continued) | |||
LCM Investments Holdings II LLC(c) | |||
4.88%, 05/01/29 | USD | 349 | $ 326,221 |
8.25%, 08/01/31 | 365 | 380,870 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(c) | 123 | 121,516 | |
Rakuten Group, Inc. | |||
11.25%, 02/15/27 | 214 | 228,554 | |
9.75%, 04/15/29(c) | 361 | 372,101 | |
1,542,334 | |||
Building Materials — 1.5% | |||
Builders FirstSource, Inc., 6.38%, 03/01/34(b) | 195 | 193,052 | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b)(c) | 241 | 236,275 | |
EMRLD Borrower LP/Emerald Co-Issuer, Inc. | |||
6.38%, 12/15/30(b) | EUR | 160 | 177,778 |
6.38%, 12/15/30(f) | 100 | 111,111 | |
6.63%, 12/15/30(b)(c) | USD | 2,900 | 2,922,626 |
07/15/31(b)(d) | 212 | 214,650 | |
Jeld-Wen, Inc., 4.63%, 12/15/25(b)(c) | 220 | 216,094 | |
Masterbrand, Inc., 7.00%, 07/15/32(b) | 142 | 143,605 | |
New Enterprise Stone & Lime Co., Inc.(b) | |||
5.25%, 07/15/28 | 81 | 76,474 | |
9.75%, 07/15/28 | 215 | 218,581 | |
Smyrna Ready Mix Concrete LLC(b)(c) | |||
6.00%, 11/01/28 | 523 | 510,953 | |
8.88%, 11/15/31 | 730 | 774,476 | |
Standard Industries, Inc.(b) | |||
5.00%, 02/15/27 | 209 | 203,161 | |
4.75%, 01/15/28 | 2 | 1,903 | |
4.38%, 07/15/30(c) | 673 | 608,067 | |
3.38%, 01/15/31(c) | 353 | 297,413 | |
Summit Materials LLC/Summit Materials Finance Corp.(b) | |||
5.25%, 01/15/29 | 92 | 88,616 | |
7.25%, 01/15/31(c) | 466 | 482,615 | |
7,477,450 | |||
Building Products(b) — 0.5% | |||
Beacon Roofing Supply, Inc. | |||
4.13%, 05/15/29 | 95 | 86,543 | |
6.50%, 08/01/30(c) | 249 | 251,243 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29 | 83 | 73,658 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 87 | 85,480 | |
White Cap Buyer LLC, 6.88%, 10/15/28(c) | 1,726 | 1,665,402 | |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(c)(i) | 368 | 368,008 | |
2,530,334 | |||
Capital Markets — 0.8% | |||
Apollo Debt Solutions BDC, 6.90%, 04/13/29(b)(c) | 215 | 216,072 | |
Ares Capital Corp.(c) | |||
5.88%, 03/01/29 | 115 | 113,344 | |
5.95%, 07/15/29 | 275 | 270,342 | |
Aretec Group, Inc., 10.00%, 08/15/30(b) | 90 | 97,883 | |
Blackstone Private Credit Fund | |||
3.25%, 03/15/27 | 75 | 69,240 | |
5.95%, 07/16/29(b) | 136 | 133,193 | |
6.25%, 01/25/31(b)(c) | 161 | 160,075 | |
Blue Owl Capital Corp., 3.40%, 07/15/26 | 15 | 14,134 | |
Blue Owl Capital Corp. II, 8.45%, 11/15/26(b)(c) | 150 | 154,761 | |
Blue Owl Credit Income Corp. | |||
7.75%, 09/16/27(c) | 302 | 310,306 |
Security | Par (000) | Value | |
Capital Markets (continued) | |||
Blue Owl Credit Income Corp. (continued) | |||
6.60%, 09/15/29(b) | USD | 90 | $ 88,780 |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(c) | 214 | 202,973 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | |||
6.25%, 05/15/26(c) | 418 | 414,700 | |
5.25%, 05/15/27(c) | 849 | 796,891 | |
9.75%, 01/15/29(b)(c) | 298 | 308,727 | |
4.38%, 02/01/29(c) | 211 | 180,414 | |
9.00%, 06/15/30(b) | 197 | 196,006 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(b)(c) | 168 | 177,578 | |
State Street Corp., Series I, (5-year CMT + 2.61%), 6.70%(a)(j) | 269 | 270,603 | |
4,176,022 | |||
Chemicals — 1.6% | |||
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31(b)(c) | 273 | 283,495 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b)(c) | 447 | 399,923 | |
Chemours Co. | |||
5.38%, 05/15/27 | 235 | 223,067 | |
5.75%, 11/15/28(b) | 155 | 143,103 | |
4.63%, 11/15/29(b) | 236 | 203,196 | |
Element Solutions, Inc., 3.88%, 09/01/28(b)(c) | 1,508 | 1,385,867 | |
HB Fuller Co., 4.25%, 10/15/28 | 110 | 103,678 | |
Herens Holdco SARL, 4.75%, 05/15/28(b)(c) | 412 | 357,385 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)(c) | 352 | 354,788 | |
INEOS Finance PLC, 6.38%, 04/15/29(f) | EUR | 100 | 110,174 |
INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29(f) | 100 | 113,387 | |
Ingevity Corp., 3.88%, 11/01/28(b) | USD | 84 | 76,213 |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(i) | 286 | 233,572 | |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b)(c) | 133 | 125,878 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | 169 | 160,400 | |
Olympus Water U.S. Holding Corp. | |||
9.63%, 11/15/28(f) | EUR | 100 | 114,739 |
9.75%, 11/15/28(b)(c) | USD | 738 | 780,782 |
7.25%, 06/15/31(b)(c) | 596 | 592,430 | |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b)(c) | 460 | 416,582 | |
WR Grace Holdings LLC(b)(c) | |||
4.88%, 06/15/27 | 122 | 117,648 | |
5.63%, 08/15/29 | 1,306 | 1,203,734 | |
7.38%, 03/01/31 | 216 | 218,908 | |
7,718,949 | |||
Commercial Services & Supplies — 4.4% | |||
ADT Security Corp.(b) | |||
4.13%, 08/01/29 | 27 | 25,748 | |
4.88%, 07/15/32 | 148 | 135,909 | |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) | 200 | 197,426 | |
Allied Universal Holdco LLC, 7.88%, 02/15/31(b)(c) | 1,120 | 1,122,914 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(c) | |||
6.63%, 07/15/26 | 57 | 56,828 | |
9.75%, 07/15/27 | 171 | 169,956 | |
6.00%, 06/01/29 | 1,356 | 1,187,022 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL | |||
4.63%, 06/01/28(b)(c) | 1,963 | 1,789,153 | |
4.88%, 06/01/28(f) | GBP | 100 | 113,611 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
APi Group DE, Inc.(b) | |||
4.13%, 07/15/29 | USD | 132 | $ 120,120 |
4.75%, 10/15/29 | 100 | 93,303 | |
APX Group, Inc., 5.75%, 07/15/29(b)(c) | 268 | 257,127 | |
Block, Inc.(c) | |||
2.75%, 06/01/26 | 736 | 695,224 | |
3.50%, 06/01/31 | 104 | 89,716 | |
6.50%, 05/15/32(b) | 1,872 | 1,897,066 | |
Boels Topholding BV, 5.75%, 05/15/30(f) | EUR | 100 | 108,487 |
Boost Newco Borrower LLC, 7.50%, 01/15/31(b)(c) | USD | 1,000 | 1,042,652 |
Brink’ s Co.(b) | |||
6.50%, 06/15/29 | 157 | 158,646 | |
6.75%, 06/15/32 | 237 | 238,740 | |
Equifax, Inc., 2.60%, 12/15/25 | 59 | 56,515 | |
Fortress Transportation and Infrastructure Investors LLC(b)(c) | |||
5.50%, 05/01/28 | 724 | 701,951 | |
7.88%, 12/01/30 | 772 | 807,612 | |
7.00%, 05/01/31 | 993 | 1,014,506 | |
7.00%, 06/15/32 | 633 | 641,955 | |
Garda World Security Corp.(b) | |||
4.63%, 02/15/27(c) | 326 | 311,513 | |
9.50%, 11/01/27 | 121 | 121,560 | |
7.75%, 02/15/28(c) | 617 | 628,407 | |
6.00%, 06/01/29 | 108 | 98,531 | |
Global Payments, Inc., 1.50%, 03/01/31(b)(c)(k) | 541 | 495,286 | |
Herc Holdings, Inc.(b) | |||
5.50%, 07/15/27(c) | 625 | 615,219 | |
6.63%, 06/15/29 | 276 | 279,870 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(b) | 91 | 90,193 | |
Loxam SAS, 6.38%, 05/31/29(f) | EUR | 100 | 110,332 |
Mavis Tire Express Services Topco Corp., 6.50%, 05/15/29(b)(c) | USD | 125 | 116,536 |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b)(c) | 153 | 141,713 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b)(c) | |||
5.75%, 04/15/26 | 518 | 514,064 | |
6.25%, 01/15/28 | 232 | 228,618 | |
Q-Park Holding I BV, 02/15/30(d)(f) | EUR | 100 | 106,827 |
Service Corp. International(c) | |||
5.13%, 06/01/29 | USD | 238 | 231,257 |
3.38%, 08/15/30 | 263 | 228,888 | |
4.00%, 05/15/31 | 370 | 329,513 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b)(c) | 505 | 488,971 | |
Shift4 Payments, Inc., 0.00%, 12/15/25(k)(l) | 174 | 200,062 | |
Sotheby’ s, 7.38%, 10/15/27(b)(c) | 1,046 | 873,468 | |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(c) | 653 | 485,948 | |
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26(b)(c) | 435 | 425,335 | |
United Rentals North America, Inc., 6.13%, 03/15/34(b) | 176 | 175,358 | |
Verisure Holding AB, 9.25%, 10/15/27(f) | EUR | 100 | 113,253 |
Wand NewCo 3, Inc., 7.63%, 01/30/32(b)(c) | USD | 610 | 630,003 |
Williams Scotsman, Inc.(b) | |||
6.13%, 06/15/25(c) | 183 | 182,693 | |
4.63%, 08/15/28 | 121 | 114,415 | |
6.63%, 06/15/29 | 194 | 195,535 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
Williams Scotsman, Inc.(b) (continued) | |||
7.38%, 10/01/31(c) | USD | 376 | $ 386,945 |
Worldline SA/France, 0.00%, 07/30/26(f)(k)(l) | EUR | 111 | 110,157 |
21,752,657 | |||
Communications Equipment(b) — 0.0% | |||
CommScope, Inc., 4.75%, 09/01/29 | USD | 77 | 53,308 |
Viavi Solutions, Inc., 3.75%, 10/01/29(c) | 116 | 97,969 | |
151,277 | |||
Construction & Engineering(b) — 0.5% | |||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29 | 200 | 205,250 | |
Arcosa, Inc., 4.38%, 04/15/29(c) | 374 | 347,306 | |
Brand Industrial Services, Inc., 10.38%, 08/01/30(c) | 1,576 | 1,703,174 | |
Dycom Industries, Inc., 4.50%, 04/15/29 | 119 | 111,361 | |
Pike Corp., 8.63%, 01/31/31 | 89 | 94,279 | |
2,461,370 | |||
Construction Materials(b) — 0.2% | |||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 | 174 | 167,905 | |
Gates Corp., 6.88%, 07/01/29 | 297 | 302,180 | |
Resideo Funding, Inc., 4.00%, 09/01/29 | 59 | 52,001 | |
Velocity Vehicle Group LLC, 8.00%, 06/01/29 | 130 | 133,711 | |
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26 | 662 | 231,700 | |
887,497 | |||
Consumer Finance — 0.6% | |||
Bread Financial Holdings, Inc., 9.75%, 03/15/29(b) | 139 | 146,022 | |
Capital One Financial Corp., (1-day SOFR + 2.60%), 5.82%, 02/01/34(a)(c) | 440 | 435,485 | |
JPMorgan Chase Financial Co. LLC, 0.50%, 06/15/27(c)(k) | 300 | 318,450 | |
Navient Corp. | |||
5.50%, 03/15/29(c) | 211 | 192,647 | |
9.38%, 07/25/30 | 200 | 210,295 | |
OneMain Finance Corp. | |||
3.50%, 01/15/27(c) | 304 | 284,832 | |
6.63%, 01/15/28(c) | 240 | 240,851 | |
9.00%, 01/15/29(c) | 314 | 331,277 | |
5.38%, 11/15/29 | 75 | 70,339 | |
7.88%, 03/15/30(c) | 387 | 399,019 | |
4.00%, 09/15/30 | 179 | 153,625 | |
7.50%, 05/15/31 | 108 | 109,282 | |
2,892,124 | |||
Consumer Staples Distribution & Retail — 0.9% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) | |||
3.25%, 03/15/26(c) | 530 | 509,118 | |
7.50%, 03/15/26 | 107 | 108,506 | |
4.63%, 01/15/27(c) | 477 | 460,743 | |
5.88%, 02/15/28 | 298 | 294,540 | |
6.50%, 02/15/28 | 99 | 99,469 | |
3.50%, 03/15/29 | 142 | 127,735 | |
4.88%, 02/15/30(c) | 170 | 160,650 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(b)(c) | 414 | 401,167 | |
Lamb Weston Holdings, Inc.(b)(c) | |||
4.88%, 05/15/28 | 257 | 248,894 | |
4.13%, 01/31/30 | 312 | 283,328 | |
4.38%, 01/31/32 | 390 | 347,829 | |
Performance Food Group, Inc., 4.25%, 08/01/29(b)(c) | 306 | 278,585 | |
Post Holdings, Inc.(b) | |||
4.63%, 04/15/30(c) | 118 | 108,432 | |
4.50%, 09/15/31 | 32 | 28,683 |
Security | Par (000) | Value | |
Consumer Staples Distribution & Retail (continued) | |||
Post Holdings, Inc.(b) (continued) | |||
6.25%, 02/15/32(c) | USD | 272 | $ 272,353 |
U.S. Foods, Inc.(b) | |||
6.88%, 09/15/28 | 142 | 145,183 | |
4.75%, 02/15/29(c) | 335 | 317,741 | |
4.63%, 06/01/30 | 39 | 36,234 | |
7.25%, 01/15/32(c) | 234 | 242,843 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | 89 | 80,346 | |
Walgreens Boots Alliance, Inc., 3.20%, 04/15/30(c) | 30 | 25,114 | |
4,577,493 | |||
Containers & Packaging — 1.9% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) | |||
6.00%, 06/15/27(c) | 400 | 393,049 | |
3.25%, 09/01/28 | 200 | 175,720 | |
4.00%, 09/01/29(c) | 1,600 | 1,354,009 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |||
2.13%, 08/15/26(f) | EUR | 200 | 177,566 |
4.13%, 08/15/26(b) | USD | 602 | 522,516 |
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b)(c) | 211 | 202,385 | |
Clydesdale Acquisition Holdings, Inc.(b)(c) | |||
6.63%, 04/15/29 | 340 | 334,164 | |
8.75%, 04/15/30 | 741 | 725,183 | |
Crown Americas LLC, 5.25%, 04/01/30 | 23 | 22,249 | |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | 196 | 188,855 | |
Graham Packaging Co., Inc., 7.13%, 08/15/28(b) | 60 | 56,680 | |
Graphic Packaging International LLC, 3.50%, 03/15/28(b) | 9 | 8,298 | |
LABL, Inc.(b) | |||
6.75%, 07/15/26 | 70 | 69,126 | |
5.88%, 11/01/28 | 235 | 214,286 | |
9.50%, 11/01/28(c) | 439 | 442,458 | |
Mauser Packaging Solutions Holding Co.(b) | |||
7.88%, 04/15/27(c) | 3,702 | 3,776,008 | |
9.25%, 04/15/27 | 61 | 61,039 | |
OI European Group BV | |||
6.25%, 05/15/28(b) | EUR | 115 | 127,316 |
5.25%, 06/01/29(f) | 100 | 107,469 | |
Owens-Brockway Glass Container, Inc.(b) | |||
6.63%, 05/13/27 | USD | 39 | 38,920 |
7.25%, 05/15/31(c) | 171 | 170,703 | |
Sealed Air Corp.(b) | |||
5.00%, 04/15/29 | 59 | 56,151 | |
6.50%, 07/15/32 | 188 | 186,945 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) | 83 | 82,800 | |
Trident TPI Holdings, Inc., 12.75%, 12/31/28(b) | 22 | 24,029 | |
9,517,924 | |||
Diversified Consumer Services(b) — 0.2% | |||
Match Group Holdings II LLC | |||
4.63%, 06/01/28 | 157 | 146,908 | |
5.63%, 02/15/29 | 177 | 170,016 | |
4.13%, 08/01/30 | 198 | 175,187 |
Security | Par (000) | Value | |
Diversified Consumer Services (continued) | |||
Match Group Holdings II LLC (continued) | |||
3.63%, 10/01/31(c) | USD | 153 | $ 129,595 |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(c) | 442 | 382,213 | |
1,003,919 | |||
Diversified REITs — 0.8% | |||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) | 108 | 94,623 | |
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 06/15/27(b)(c) | 205 | 213,126 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b)(c) | 257 | 234,754 | |
SBA Communications Corp. | |||
3.13%, 02/01/29(c) | 812 | 723,936 | |
3.88%, 02/15/27 | 62 | 59,088 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC(b) | |||
10.50%, 02/15/28(c) | 1,501 | 1,469,903 | |
10.50%, 02/15/28 | 292 | 285,950 | |
Ventas Realty LP, 4.13%, 01/15/26(c) | 650 | 635,106 | |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b) | 75 | 74,019 | |
3,790,505 | |||
Diversified Telecommunication Services — 4.3% | |||
Altice Financing SA(b)(c) | |||
9.63%, 07/15/27 | 554 | 507,627 | |
5.75%, 08/15/29 | 724 | 525,665 | |
Altice France SA/France(b) | |||
5.50%, 01/15/28 | 381 | 260,942 | |
5.13%, 07/15/29 | 1,102 | 724,676 | |
AT&T, Inc., 4.30%, 02/15/30(c) | 1,350 | 1,293,350 | |
Cablevision Lightpath LLC(b) | |||
3.88%, 09/15/27 | 200 | 176,830 | |
5.63%, 09/15/28(c) | 400 | 322,529 | |
Cellnex Telecom SA, Series CLNX, 2.13%, 08/11/30(f)(k) | EUR | 100 | 106,777 |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)(c) | USD | 600 | 579,091 |
Frontier Communications Holdings LLC(b)(c) | |||
5.88%, 10/15/27 | 314 | 306,561 | |
5.00%, 05/01/28 | 753 | 709,397 | |
8.75%, 05/15/30 | 1,336 | 1,376,671 | |
8.63%, 03/15/31 | 371 | 382,177 | |
GCI LLC, 4.75%, 10/15/28(b) | 107 | 97,667 | |
Iliad Holding SASU(b)(c) | |||
6.50%, 10/15/26 | 687 | 683,957 | |
7.00%, 10/15/28 | 343 | 340,129 | |
8.50%, 04/15/31 | 905 | 916,347 | |
iliad SA(f) | |||
5.38%, 06/14/27 | EUR | 100 | 108,873 |
5.63%, 02/15/30 | 100 | 109,594 | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29(f) | 100 | 103,882 | |
Kenbourne Invest SA, 6.88%, 11/26/24(b) | USD | 275 | 116,875 |
Level 3 Financing, Inc.(b)(c) | |||
10.50%, 04/15/29 | 1,106 | 1,103,235 | |
4.88%, 06/15/29 | 533 | 303,747 | |
11.00%, 11/15/29 | 1,322 | 1,352,758 | |
10.50%, 05/15/30 | 1,244 | 1,232,075 | |
Lorca Telecom Bondco SA, 5.75%, 04/30/29(f) | EUR | 100 | 109,639 |
Security | Par (000) | Value | |
Diversified Telecommunication Services (continued) | |||
Lumen Technologies, Inc.(b) | |||
4.13%, 04/15/29 | USD | 201 | $ 130,679 |
4.13%, 04/15/30 | 201 | 125,661 | |
Network i2i Ltd., (5-year CMT + 4.27%), 5.65%(a)(f)(j) | 300 | 296,850 | |
Rogers Communications, Inc., 5.00%, 03/15/44(c) | 545 | 487,092 | |
Sable International Finance Ltd., 5.75%, 09/07/27(b)(c) | 200 | 192,688 | |
SoftBank Group Corp., 3.88%, 07/06/32(f) | EUR | 200 | 191,700 |
Telecom Italia Capital SA(b) | |||
6.00%, 09/30/34 | USD | 242 | 229,025 |
7.20%, 07/18/36(c) | 358 | 368,955 | |
Verizon Communications, Inc., 3.70%, 03/22/61(c) | 1,000 | 705,580 | |
Vmed O2 U.K. Financing I PLC | |||
4.00%, 01/31/29(f) | GBP | 100 | 109,281 |
4.50%, 07/15/31(f) | 100 | 104,257 | |
4.75%, 07/15/31(b)(c) | USD | 597 | 503,495 |
7.75%, 04/15/32(b) | 200 | 195,088 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 08/15/28(b)(c) | 329 | 309,933 | |
Zayo Group Holdings, Inc.(b)(c) | |||
4.00%, 03/01/27 | 3,893 | 3,113,488 | |
6.13%, 03/01/28 | 525 | 351,516 | |
21,266,359 | |||
Electric Utilities — 1.1% | |||
Black Hills Corp., 3.15%, 01/15/27(c) | 305 | 289,267 | |
Clearway Energy Operating LLC(b)(c) | |||
4.75%, 03/15/28 | 279 | 266,591 | |
3.75%, 01/15/32 | 307 | 261,014 | |
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(j) | 31 | 30,199 | |
Enel Finance International NV, 3.63%, 05/25/27(b)(c) | 900 | 859,537 | |
FirstEnergy Corp., 4.00%, 05/01/26(c)(k) | 638 | 630,982 | |
Mong Duong Finance Holdings BV, 5.13%, 05/07/29(f) | 211 | 200,740 | |
NextEra Energy Operating Partners LP(b) | |||
4.25%, 07/15/24 | 170 | 169,732 | |
4.25%, 09/15/24 | 9 | 8,899 | |
3.88%, 10/15/26 | 66 | 62,762 | |
7.25%, 01/15/29 | 167 | 171,254 | |
NRG Energy, Inc.(c) | |||
6.63%, 01/15/27 | 720 | 718,564 | |
7.00%, 03/15/33(b) | 101 | 106,616 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(c) | 302 | 279,536 | |
PG&E Corp., 4.25%, 12/01/27(b)(c)(k) | 225 | 226,913 | |
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(f) | 156 | 157,187 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | 134 | 142,874 | |
Texas Competitive Electric Holdings, Series M, 5.03%, 11/10/17(a)(e)(g)(m) | 780 | — | |
TransAlta Corp., 7.75%, 11/15/29 | 50 | 52,176 | |
Vistra Corp., (5-year CMT + 6.93%), 8.00%(a)(b)(j) | 181 | 182,539 | |
Vistra Operations Co. LLC(b)(c) | |||
7.75%, 10/15/31 | 366 | 381,149 | |
6.88%, 04/15/32 | 386 | 391,856 | |
6.95%, 10/15/33 | 115 | 123,083 | |
5,713,470 | |||
Electrical Equipment — 0.2% | |||
Nexans SA, 4.25%, 03/11/30(f) | EUR | 100 | 105,915 |
Security | Par (000) | Value | |
Electrical Equipment (continued) | |||
WESCO Distribution, Inc.(b) | |||
7.25%, 06/15/28(c) | USD | 516 | $ 525,256 |
6.38%, 03/15/29 | 178 | 178,643 | |
6.63%, 03/15/32 | 224 | 226,358 | |
1,036,172 | |||
Electronic Equipment, Instruments & Components(b) — 0.4% | |||
Coherent Corp., 5.00%, 12/15/29(c) | 374 | 353,944 | |
EquipmentShare.com, Inc., 8.63%, 05/15/32 | 93 | 96,434 | |
Imola Merger Corp., 4.75%, 05/15/29(c) | 419 | 391,699 | |
Sensata Technologies BV, 4.00%, 04/15/29 | 168 | 154,241 | |
Sensata Technologies, Inc. | |||
4.38%, 02/15/30(c) | 630 | 578,593 | |
3.75%, 02/15/31 | 54 | 47,066 | |
6.63%, 07/15/32(c) | 427 | 430,054 | |
Zebra Technologies Corp., 6.50%, 06/01/32 | 117 | 118,317 | |
2,170,348 | |||
Energy Equipment & Services — 0.6% | |||
Archrock Partners LP/Archrock Partners Finance Corp.(b)(c) | |||
6.88%, 04/01/27 | 252 | 253,004 | |
6.25%, 04/01/28 | 729 | 721,989 | |
Halliburton Co., 3.80%, 11/15/25(c) | 3 | 2,936 | |
Kodiak Gas Services LLC, 7.25%, 02/15/29(b)(c) | 519 | 532,014 | |
Oceaneering International, Inc., 6.00%, 02/01/28 | 71 | 70,188 | |
USA Compression Partners LP/USA Compression Finance Corp.(c) | |||
6.88%, 09/01/27 | 392 | 392,735 | |
7.13%, 03/15/29(b) | 420 | 423,195 | |
Weatherford International Ltd., 8.63%, 04/30/30(b)(c) | 362 | 375,118 | |
2,771,179 | |||
Entertainment(b) — 0.2% | |||
Boyne USA, Inc., 4.75%, 05/15/29(c) | 363 | 338,715 | |
Live Nation Entertainment, Inc. | |||
4.88%, 11/01/24 | 31 | 30,871 | |
4.75%, 10/15/27(c) | 240 | 229,998 | |
3.75%, 01/15/28(c) | 196 | 182,061 | |
Odeon Finco PLC, 12.75%, 11/01/27 | 200 | 209,625 | |
Playtika Holding Corp., 4.25%, 03/15/29 | 78 | 68,442 | |
1,059,712 | |||
Environmental, Maintenance & Security Service — 1.2% | |||
Clean Harbors, Inc.(b) | |||
4.88%, 07/15/27(c) | 188 | 181,972 | |
5.13%, 07/15/29(c) | 129 | 123,914 | |
6.38%, 02/01/31 | 66 | 66,172 | |
Covanta Holding Corp. | |||
4.88%, 12/01/29(b)(c) | 142 | 129,607 | |
5.00%, 09/01/30 | 70 | 63,267 | |
GFL Environmental, Inc.(b) | |||
3.75%, 08/01/25(c) | 312 | 309,197 | |
5.13%, 12/15/26(c) | 174 | 172,319 | |
4.00%, 08/01/28(c) | 431 | 400,575 | |
3.50%, 09/01/28 | 198 | 182,530 | |
4.75%, 06/15/29(c) | 378 | 356,743 | |
4.38%, 08/15/29(c) | 405 | 373,234 | |
6.75%, 01/15/31(c) | 476 | 485,608 | |
Madison IAQ LLC, 5.88%, 06/30/29(b)(c) | 899 | 836,429 | |
Paprec Holding SA, 7.25%, 11/17/29(f) | EUR | 100 | 112,452 |
Security | Par (000) | Value | |
Environmental, Maintenance & Security Service (continued) | |||
Republic Services, Inc., 3.38%, 11/15/27(c) | USD | 750 | $ 711,322 |
Waste Pro USA, Inc., 5.50%, 02/15/26(b)(c) | 1,297 | 1,279,110 | |
5,784,451 | |||
Financial Services — 1.6% | |||
Blue Owl Credit Income Corp., 6.65%, 03/15/31(c) | 270 | 263,884 | |
Enact Holdings, Inc., 6.25%, 05/28/29(c) | 133 | 133,039 | |
Freedom Mortgage Holdings LLC(b) | |||
9.25%, 02/01/29(c) | 389 | 388,749 | |
9.13%, 05/15/31 | 270 | 262,737 | |
GGAM Finance Ltd.(b) | |||
7.75%, 05/15/26 | 45 | 45,919 | |
8.00%, 02/15/27(c) | 325 | 335,700 | |
8.00%, 06/15/28 | 150 | 157,987 | |
6.88%, 04/15/29 | 260 | 264,550 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(i) | 240 | 231,445 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc., 07/01/34(b)(d) | 146 | 142,927 | |
HPS Corporate Lending Fund, 6.75%, 01/30/29(b)(c) | 180 | 181,323 | |
Intrum AB, 3.00%, 09/15/27(f) | EUR | 100 | 68,973 |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(b)(c) | USD | 325 | 299,803 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | |||
4.25%, 02/01/27 | 170 | 161,010 | |
4.75%, 06/15/29 | 67 | 61,892 | |
07/15/31(d) | 225 | 226,969 | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(b) | 232 | 205,997 | |
Macquarie Airfinance Holdings Ltd.(b) | |||
6.40%, 03/26/29 | 60 | 61,015 | |
8.13%, 03/30/29(c) | 262 | 276,985 | |
6.50%, 03/26/31(c) | 150 | 154,247 | |
Nationstar Mortgage Holdings, Inc.(b) | |||
5.00%, 02/01/26(c) | 1,456 | 1,425,079 | |
6.00%, 01/15/27 | 45 | 44,520 | |
5.13%, 12/15/30(c) | 219 | 200,821 | |
5.75%, 11/15/31 | 147 | 138,168 | |
7.13%, 02/01/32(c) | 754 | 758,406 | |
PennyMac Financial Services, Inc.(b) | |||
7.88%, 12/15/29(c) | 280 | 288,731 | |
7.13%, 11/15/30 | 277 | 276,146 | |
ProGroup AG, 5.38%, 04/15/31(f) | EUR | 100 | 106,324 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(b) | |||
2.88%, 10/15/26(c) | USD | 872 | 814,349 |
3.88%, 03/01/31(c) | 170 | 148,152 | |
4.00%, 10/15/33 | 81 | 68,258 | |
8,194,105 | |||
Food Products — 0.7% | |||
Aramark International Finance SARL, 3.13%, 04/01/25(f) | EUR | 138 | 146,129 |
Aramark Services, Inc., 5.00%, 02/01/28(b)(c) | USD | 476 | 460,351 |
B&G Foods, Inc., 09/15/28(b)(d) | 89 | 90,444 | |
Bellis Acquisition Co. PLC, 8.13%, 05/14/30(f) | GBP | 138 | 174,228 |
Chobani LLC/Chobani Finance Corp., Inc.(b)(c) | |||
4.63%, 11/15/28 | USD | 608 | 574,200 |
7.63%, 07/01/29 | 1,160 | 1,194,691 | |
Darling Global Finance BV, 3.63%, 05/15/26(f) | EUR | 120 | 127,039 |
Darling Ingredients, Inc., 6.00%, 06/15/30(b)(c) | USD | 434 | 426,738 |
Security | Par (000) | Value | |
Food Products (continued) | |||
Fiesta Purchaser, Inc., 7.88%, 03/01/31(b) | USD | 147 | $ 151,893 |
Lion/Polaris Lux 4 SA, 07/01/29(a)(d)(f) | EUR | 100 | 107,095 |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) | USD | 129 | 113,437 |
3,566,245 | |||
Gas Utilities(b) — 0.1% | |||
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(c) | 298 | 305,883 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | 91 | 81,949 | |
387,832 | |||
Ground Transportation — 1.0% | |||
Brightline East LLC, 11.00%, 01/31/30(b)(c) | 220 | 200,610 | |
Genesee & Wyoming, Inc., 6.25%, 04/15/32(b)(c) | 432 | 430,381 | |
GN Bondco LLC, 9.50%, 10/15/31(b)(c) | 189 | 176,163 | |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b)(c) | 1,288 | 1,269,787 | |
Uber Technologies, Inc. | |||
0.00%, 12/15/25(k)(l) | 156 | 167,232 | |
8.00%, 11/01/26(b)(c) | 114 | 114,989 | |
7.50%, 09/15/27(b)(c) | 255 | 260,003 | |
6.25%, 01/15/28(b)(c) | 272 | 272,320 | |
4.50%, 08/15/29(b)(c) | 886 | 844,172 | |
Series 2028, 0.88%, 12/01/28(b)(c)(k) | 595 | 707,455 | |
Union Pacific Corp., 3.20%, 05/20/41(c) | 600 | 453,306 | |
4,896,418 | |||
Health Care Equipment & Supplies — 1.1% | |||
Avantor Funding, Inc. | |||
2.63%, 11/01/25(f) | EUR | 100 | 104,695 |
4.63%, 07/15/28(b)(c) | USD | 675 | 642,329 |
3.88%, 11/01/29(b) | 209 | 190,057 | |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b)(c) | 1,251 | 1,280,711 | |
Medline Borrower LP(b)(c) | |||
3.88%, 04/01/29 | 688 | 633,586 | |
5.25%, 10/01/29 | 1,503 | 1,434,353 | |
Medline Borrower LP/Medline Co-Issuer, Inc., 6.25%, 04/01/29(b)(c) | 585 | 591,621 | |
Neogen Food Safety Corp., 8.63%, 07/20/30(b) | 199 | 214,839 | |
Sotera Health Holdings LLC, 7.38%, 06/01/31(b) | 196 | 196,291 | |
Teleflex, Inc., 4.25%, 06/01/28(b)(c) | 331 | 311,925 | |
5,600,407 | |||
Health Care Providers & Services — 2.8% | |||
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b) | 10 | 9,781 | |
AHP Health Partners, Inc., 5.75%, 07/15/29(b)(c) | 345 | 327,507 | |
Catalent Pharma Solutions, Inc.(b) | |||
5.00%, 07/15/27(c) | 627 | 614,809 | |
3.13%, 02/15/29(c) | 389 | 372,305 | |
3.50%, 04/01/30 | 154 | 147,422 | |
Charles River Laboratories International, Inc., 4.00%, 03/15/31(b) | 42 | 37,460 | |
CHS/Community Health Systems, Inc.(b)(c) | |||
5.63%, 03/15/27 | 667 | 621,115 | |
6.00%, 01/15/29 | 631 | 556,862 | |
5.25%, 05/15/30 | 750 | 618,369 | |
4.75%, 02/15/31 | 453 | 356,163 | |
10.88%, 01/15/32 | 571 | 594,289 | |
Concentra Escrow Issuer Corp., 07/15/32(b)(d) | 250 | 253,290 | |
Elevance Health, Inc., 3.65%, 12/01/27(c) | 1,000 | 955,845 |
Security | Par (000) | Value | |
Health Care Providers & Services (continued) | |||
Encompass Health Corp.(c) | |||
4.75%, 02/01/30 | USD | 299 | $ 279,773 |
4.63%, 04/01/31 | 237 | 217,500 | |
Ephios Subco 3 SARL, 7.88%, 01/31/31(f) | EUR | 100 | 113,866 |
Fortrea Holdings, Inc., 7.50%, 07/01/30(b)(c) | USD | 196 | 194,743 |
HCA, Inc., 5.50%, 06/15/47(c) | 650 | 600,909 | |
HealthEquity, Inc., 4.50%, 10/01/29(b)(c) | 782 | 730,920 | |
IQVIA, Inc.(b) | |||
5.00%, 10/15/26(c) | 263 | 258,049 | |
5.00%, 05/15/27(c) | 200 | 195,141 | |
6.50%, 05/15/30 | 211 | 214,173 | |
LifePoint Health, Inc.(b)(c) | |||
9.88%, 08/15/30 | 333 | 355,119 | |
11.00%, 10/15/30 | 497 | 547,579 | |
10.00%, 06/01/32 | 272 | 278,096 | |
Molina Healthcare, Inc.(b) | |||
4.38%, 06/15/28 | 46 | 43,297 | |
3.88%, 11/15/30 | 80 | 71,120 | |
3.88%, 05/15/32(c) | 141 | 122,176 | |
Star Parent, Inc., 9.00%, 10/01/30(b)(c) | 886 | 930,208 | |
Surgery Center Holdings, Inc., 7.25%, 04/15/32(b)(c) | 625 | 631,334 | |
Tenet Healthcare Corp.(c) | |||
6.13%, 06/15/30 | 250 | 248,312 | |
6.75%, 05/15/31 | 896 | 909,451 | |
U.S. Acute Care Solutions LLC, 9.75%, 05/15/29(b)(c) | 252 | 248,167 | |
UnitedHealth Group, Inc., 3.75%, 07/15/25(c) | 1,470 | 1,448,153 | |
14,103,303 | |||
Health Care REITs — 0.4% | |||
Healthpeak OP LLC, 2.88%, 01/15/31(c) | 1,000 | 862,910 | |
MPT Operating Partnership LP/MPT Finance Corp. | |||
2.50%, 03/24/26 | GBP | 339 | 367,271 |
5.25%, 08/01/26 | USD | 20 | 18,175 |
5.00%, 10/15/27 | 44 | 36,340 | |
4.63%, 08/01/29(c) | 185 | 134,275 | |
3.50%, 03/15/31(c) | 880 | 573,422 | |
1,992,393 | |||
Health Care Technology — 0.4% | |||
AthenaHealth Group, Inc., 6.50%, 02/15/30(b)(c) | 2,163 | 1,991,472 | |
Hotel & Resort REITs — 0.8% | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 7.00%, 02/01/30(b) | 224 | 226,671 | |
RHP Hotel Properties LP/RHP Finance Corp.(c) | |||
4.75%, 10/15/27 | 679 | 653,726 | |
7.25%, 07/15/28(b) | 327 | 338,143 | |
4.50%, 02/15/29(b) | 302 | 283,218 | |
6.50%, 04/01/32(b) | 784 | 784,057 | |
Service Properties Trust(c) | |||
8.63%, 11/15/31(b) | 1,184 | 1,234,100 | |
8.88%, 06/15/32 | 455 | 424,394 | |
3,944,309 | |||
Hotels, Restaurants & Leisure — 5.8% | |||
Boyd Gaming Corp. | |||
4.75%, 12/01/27 | 62 | 59,673 | |
4.75%, 06/15/31(b)(c) | 205 | 185,793 | |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) | |||
3.88%, 01/15/28(c) | 208 | 194,812 | |
4.38%, 01/15/28(c) | 134 | 126,385 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) (continued) | |||
4.00%, 10/15/30 | USD | 212 | $ 186,624 |
Caesars Entertainment, Inc.(b)(c) | |||
8.13%, 07/01/27 | 1,604 | 1,636,613 | |
4.63%, 10/15/29 | 154 | 141,183 | |
7.00%, 02/15/30 | 1,619 | 1,654,102 | |
6.50%, 02/15/32 | 676 | 679,315 | |
Carnival Corp.(b) | |||
7.63%, 03/01/26(c) | 152 | 153,503 | |
5.75%, 03/01/27(c) | 806 | 796,266 | |
4.00%, 08/01/28(c) | 357 | 335,022 | |
6.00%, 05/01/29(c) | 884 | 873,233 | |
7.00%, 08/15/29 | 114 | 118,171 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b)(c) | 2,621 | 2,837,452 | |
Churchill Downs, Inc.(b) | |||
5.50%, 04/01/27(c) | 577 | 567,713 | |
4.75%, 01/15/28 | 137 | 130,855 | |
5.75%, 04/01/30(c) | 929 | 902,370 | |
6.75%, 05/01/31(c) | 389 | 391,106 | |
Cirsa Finance International SARL, (3-mo. EURIBOR + 4.50%), 8.37%, 07/31/28(a)(f) | EUR | 100 | 108,166 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b)(c) | |||
4.63%, 01/15/29 | USD | 570 | 519,077 |
6.75%, 01/15/30 | 136 | 119,429 | |
Flutter Treasury Designated Activity Co., 6.38%, 04/29/29(b) | 224 | 225,418 | |
Hilton Domestic Operating Co., Inc. | |||
3.75%, 05/01/29(b)(c) | 111 | 101,783 | |
4.88%, 01/15/30(c) | 537 | 515,399 | |
4.00%, 05/01/31(b)(c) | 189 | 169,175 | |
3.63%, 02/15/32(b) | 4 | 3,462 | |
6.13%, 04/01/32(b)(c) | 202 | 202,980 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 6.63%, 01/15/32(b) | 232 | 233,086 | |
Life Time, Inc.(b)(c) | |||
5.75%, 01/15/26 | 340 | 338,502 | |
8.00%, 04/15/26 | 257 | 260,023 | |
Light & Wonder International, Inc.(b) | |||
7.00%, 05/15/28 | 174 | 174,899 | |
7.25%, 11/15/29 | 51 | 52,087 | |
7.50%, 09/01/31 | 207 | 213,877 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b)(c) | 119 | 122,339 | |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b)(c) | 220 | 217,240 | |
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.00%), 7.79%, 12/15/30(a)(f) | EUR | 100 | 108,436 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b)(c) | USD | 269 | 253,283 |
Melco Resorts Finance Ltd. | |||
4.88%, 06/06/25(b)(c) | 400 | 392,000 | |
5.38%, 12/04/29(b)(c) | 390 | 350,218 | |
5.38%, 12/04/29(f) | 250 | 224,499 | |
7.63%, 04/17/32(b)(c) | 261 | 259,042 | |
Merlin Entertainments Group U.S. Holdings, Inc., 7.38%, 02/15/31(b)(c) | 298 | 303,620 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b)(c) | 600 | 591,123 | |
MGM China Holdings Ltd. | |||
5.88%, 05/15/26(f) | 250 | 247,109 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
MGM China Holdings Ltd. (continued) | |||
4.75%, 02/01/27(b)(c) | USD | 200 | $ 190,600 |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | 146 | 135,998 | |
NCL Corp. Ltd.(b) | |||
5.88%, 03/15/26(c) | 281 | 277,803 | |
8.38%, 02/01/28(c) | 132 | 137,932 | |
8.13%, 01/15/29 | 121 | 126,778 | |
7.75%, 02/15/29 | 77 | 80,057 | |
NCL Finance Ltd., 6.13%, 03/15/28(b)(c) | 261 | 257,746 | |
Ontario Gaming GTA LP, 8.00%, 08/01/30(b) | 161 | 165,226 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | |||
5.63%, 09/01/29 | 116 | 83,421 | |
5.88%, 09/01/31 | 116 | 78,890 | |
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(b) | 141 | 152,285 | |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(b) | 122 | 118,028 | |
Royal Caribbean Cruises Ltd.(b) | |||
4.25%, 07/01/26 | 72 | 69,681 | |
5.38%, 07/15/27(c) | 134 | 131,939 | |
5.50%, 04/01/28(c) | 118 | 116,495 | |
9.25%, 01/15/29(c) | 190 | 202,837 | |
7.25%, 01/15/30(c) | 195 | 201,906 | |
6.25%, 03/15/32(c) | 334 | 336,806 | |
Sabre GLBL, Inc.(b) | |||
8.63%, 06/01/27(c) | 618 | 569,342 | |
11.25%, 12/15/27 | 26 | 25,274 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30(b)(c) | 232 | 226,157 | |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(c) | 911 | 927,500 | |
Six Flags Entertainment Corp./Six Flags Theme Parks, Inc., 6.63%, 05/01/32(b)(c) | 829 | 842,460 | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(n) | 101 | 101,317 | |
Station Casinos LLC(b) | |||
4.63%, 12/01/31(c) | 277 | 246,891 | |
6.63%, 03/15/32 | 193 | 192,052 | |
TUI AG, 5.88%, 03/15/29(f) | EUR | 100 | 108,701 |
Vail Resorts, Inc., 6.50%, 05/15/32(b)(c) | USD | 364 | 368,353 |
Viking Cruises Ltd.(b) | |||
5.88%, 09/15/27(c) | 236 | 233,558 | |
7.00%, 02/15/29 | 51 | 51,272 | |
9.13%, 07/15/31(c) | 729 | 789,554 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | 162 | 158,364 | |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) | 158 | 147,295 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) | 2 | 1,951 | |
Wynn Macau Ltd. | |||
5.50%, 01/15/26(f) | 347 | 339,742 | |
5.50%, 01/15/26(b) | 200 | 195,816 | |
5.63%, 08/26/28(b)(c) | 600 | 561,600 | |
5.13%, 12/15/29(b)(c) | 410 | 370,409 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)(c) | |||
5.13%, 10/01/29 | 773 | 735,172 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)(c) (continued) | |||
7.13%, 02/15/31 | USD | 492 | $ 510,166 |
Yum! Brands, Inc., 4.75%, 01/15/30(b) | 167 | 159,061 | |
29,002,898 | |||
Household Durables — 0.5% | |||
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | |||
4.63%, 08/01/29 | 100 | 90,095 | |
4.63%, 04/01/30 | 145 | 129,595 | |
Beazer Homes USA, Inc., 7.50%, 03/15/31(b) | 88 | 87,816 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) | |||
5.00%, 06/15/29 | 208 | 189,977 | |
4.88%, 02/15/30(c) | 364 | 325,590 | |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b)(c) | 193 | 191,775 | |
Dream Finders Homes, Inc., 8.25%, 08/15/28(b) | 115 | 117,750 | |
Empire Communities Corp., 9.75%, 05/01/29(b) | 78 | 79,365 | |
LGI Homes, Inc., 8.75%, 12/15/28(b) | 89 | 92,703 | |
Mattamy Group Corp., 4.63%, 03/01/30(b)(c) | 199 | 183,949 | |
Meritage Homes Corp., 1.75%, 05/15/28(b)(k) | 26 | 25,818 | |
New Home Co., Inc., 9.25%, 10/01/29(b) | 224 | 224,547 | |
Scotts Miracle-Gro Co. | |||
4.50%, 10/15/29 | 104 | 95,062 | |
4.38%, 02/01/32 | 41 | 35,321 | |
STL Holding Co. LLC, 8.75%, 02/15/29(b) | 120 | 125,244 | |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) | 250 | 134,666 | |
Taylor Morrison Communities, Inc., 5.13%, 08/01/30(b) | 54 | 51,710 | |
Tempur Sealy International, Inc.(b) | |||
4.00%, 04/15/29 | 204 | 183,971 | |
3.88%, 10/15/31 | 48 | 40,123 | |
2,405,077 | |||
Household Products — 0.1% | |||
Berkline Benchcraft LLC, 4.50%, 05/03/12(e) | 200 | — | |
Central Garden & Pet Co. | |||
5.13%, 02/01/28 | 15 | 14,589 | |
4.13%, 10/15/30(c) | 194 | 172,898 | |
Kronos Acquisition Holdings, Inc., 06/30/31(b)(d) | 59 | 59,059 | |
Spectrum Brands, Inc.(b) | |||
3.38%, 06/01/29(k) | 190 | 182,970 | |
3.88%, 03/15/31 | 15 | 12,536 | |
442,052 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
Calpine Corp.(b) | |||
5.25%, 06/01/26 | 221 | 218,553 | |
5.13%, 03/15/28(c) | 1,060 | 1,019,454 | |
4.63%, 02/01/29(c) | 106 | 98,346 | |
5.00%, 02/01/31 | 91 | 84,930 | |
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(f) | 200 | 195,188 | |
NextEra Energy Partners LP(b)(k) | |||
0.00%, 11/15/25(l) | 301 | 271,803 | |
2.50%, 06/15/26 | 199 | 181,588 | |
2,069,862 | |||
Industrial Conglomerates — 0.0% | |||
Amsted Industries, Inc., 5.63%, 07/01/27(b) | 80 | 78,675 |
Security | Par (000) | Value | |
Insurance — 4.7% | |||
Acrisure LLC/Acrisure Finance, Inc., 7.50%, 11/06/30(b) | USD | 269 | $ 269,186 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(c) | |||
4.25%, 10/15/27 | 1,317 | 1,233,151 | |
6.75%, 10/15/27 | 2,327 | 2,295,259 | |
6.75%, 04/15/28 | 529 | 529,840 | |
5.88%, 11/01/29 | 973 | 910,481 | |
7.00%, 01/15/31 | 970 | 979,918 | |
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(c) | 360 | 359,535 | |
AmWINS Group, Inc.(b) | |||
6.38%, 02/15/29 | 138 | 138,376 | |
4.88%, 06/30/29(c) | 197 | 183,262 | |
Ardonagh Finco Ltd. | |||
6.88%, 02/15/31(f) | EUR | 200 | 208,480 |
7.75%, 02/15/31(b)(c) | USD | 695 | 687,052 |
Ardonagh Group Finance Ltd., 8.88%, 02/15/32(b)(c) | 621 | 606,537 | |
AssuredPartners, Inc., 7.50%, 02/15/32(b)(c) | 382 | 383,441 | |
Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, 7.13%, 05/15/31(b) | 78 | 78,906 | |
FWD Group Holdings Ltd., 8.40%, 04/05/29(f) | 220 | 224,813 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC(b)(c) | |||
7.25%, 02/15/31 | 1,710 | 1,697,217 | |
8.13%, 02/15/32 | 748 | 743,134 | |
HUB International Ltd.(b)(c) | |||
7.25%, 06/15/30 | 3,388 | 3,473,144 | |
7.38%, 01/31/32 | 4,009 | 4,065,455 | |
Jones Deslauriers Insurance Management, Inc.(b)(c) | |||
8.50%, 03/15/30 | 543 | 566,280 | |
10.50%, 12/15/30 | 256 | 274,906 | |
Panther Escrow Issuer LLC, 7.13%, 06/01/31(b)(c) | 2,844 | 2,876,518 | |
Ryan Specialty LLC, 4.38%, 02/01/30(b) | 125 | 115,770 | |
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34(f) | EUR | 100 | 105,451 |
USI, Inc./New York, 7.50%, 01/15/32(b)(c) | USD | 465 | 472,274 |
23,478,386 | |||
Interactive Media & Services — 0.1% | |||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b)(c) | 403 | 357,903 | |
IT Services — 0.8% | |||
CA Magnum Holdings, 5.38%, 10/31/26(b)(c) | 382 | 365,407 | |
Camelot Finance SA, 4.50%, 11/01/26(b)(c) | 562 | 543,292 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29(b)(c) | 582 | 590,931 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(c) | 578 | 575,144 | |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(f) | EUR | 100 | 110,417 |
Fortress Intermediate 3, Inc., 7.50%, 06/01/31(b)(c) | USD | 583 | 597,313 |
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b) | |||
5.25%, 12/01/27 | 15 | 14,687 | |
3.50%, 03/01/29 | 204 | 184,224 | |
Insight Enterprises, Inc., 6.63%, 05/15/32(b) | 159 | 161,459 | |
KBR, Inc., 4.75%, 09/30/28(b) | 235 | 218,550 |
Security | Par (000) | Value | |
IT Services (continued) | |||
Science Applications International Corp., 4.88%, 04/01/28(b)(c) | USD | 289 | $ 275,798 |
Twilio, Inc. | |||
3.63%, 03/15/29 | 142 | 127,727 | |
3.88%, 03/15/31(c) | 319 | 280,555 | |
4,045,504 | |||
Leisure Products — 0.1% | |||
Acushnet Co., 7.38%, 10/15/28(b) | 34 | 35,233 | |
Amer Sports Co., 6.75%, 02/16/31(b)(c) | 295 | 293,112 | |
Mattel, Inc., 6.20%, 10/01/40 | 74 | 72,941 | |
401,286 | |||
Machinery — 1.3% | |||
ATS Corp., 4.13%, 12/15/28(b) | 108 | 98,419 | |
Chart Industries, Inc.(b) | |||
7.50%, 01/01/30(c) | 675 | 697,522 | |
9.50%, 01/01/31 | 79 | 85,594 | |
Esab Corp., 6.25%, 04/15/29(b)(c) | 266 | 267,595 | |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | 145 | 106,875 | |
Husky Injection Molding Systems Ltd./Titan Co- Borrower LLC, 9.00%, 02/15/29(b)(c) | 771 | 798,381 | |
IMA Industria Macchine Automatiche SpA, (3-mo. EURIBOR + 3.75%), 7.65%, 04/15/29(a)(f) | EUR | 100 | 107,888 |
OT Merger Corp., 7.88%, 10/15/29(b) | USD | 115 | 51,750 |
Terex Corp., 5.00%, 05/15/29(b)(c) | 333 | 315,982 | |
TK Elevator Holdco GmbH | |||
6.63%, 07/15/28(f) | EUR | 129 | 132,697 |
7.63%, 07/15/28(b)(c) | USD | 600 | 595,423 |
TK Elevator Midco GmbH, 4.38%, 07/15/27(f) | EUR | 311 | 321,025 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(c) | USD | 2,033 | 1,970,620 |
Vertiv Group Corp., 4.13%, 11/15/28(b)(c) | 992 | 926,401 | |
6,476,172 | |||
Marine Transportation — 0.0% | |||
Danaos Corp., 8.50%, 03/01/28(b) | 100 | 102,695 | |
Media — 4.7% | |||
Cable One, Inc. | |||
0.00%, 03/15/26(k)(l) | 88 | 77,000 | |
1.13%, 03/15/28(c)(k) | 684 | 507,719 | |
4.00%, 11/15/30(b) | 23 | 17,166 | |
CCO Holdings LLC/CCO Holdings Capital Corp.(b) | |||
5.13%, 05/01/27(c) | 565 | 542,482 | |
5.38%, 06/01/29 | 57 | 51,857 | |
6.38%, 09/01/29(c) | 1,422 | 1,351,653 | |
4.75%, 03/01/30(c) | 246 | 213,067 | |
4.25%, 02/01/31(c) | 707 | 577,224 | |
7.38%, 03/01/31(c) | 1,773 | 1,748,187 | |
4.75%, 02/01/32(c) | 168 | 137,587 | |
4.25%, 01/15/34(c) | 346 | 262,634 | |
Charter Communications Operating LLC/Charter Communications Operating Capital(c) | |||
4.91%, 07/23/25 | 559 | 553,570 | |
5.38%, 05/01/47 | 425 | 339,535 | |
Clear Channel Outdoor Holdings, Inc.(b)(c) | |||
5.13%, 08/15/27 | 653 | 623,605 | |
7.75%, 04/15/28 | 330 | 288,751 | |
9.00%, 09/15/28 | 1,891 | 1,979,794 | |
7.50%, 06/01/29 | 671 | 560,701 |
Security | Par (000) | Value | |
Media (continued) | |||
Clear Channel Outdoor Holdings, Inc.(b)(c) (continued) | |||
7.88%, 04/01/30 | USD | 657 | $ 661,301 |
CMG Media Corp., 8.88%, 12/15/27(b)(c) | 315 | 179,656 | |
CSC Holdings LLC(b)(c) | |||
5.50%, 04/15/27 | 200 | 162,228 | |
11.25%, 05/15/28 | 600 | 522,531 | |
11.75%, 01/31/29 | 1,200 | 1,023,425 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)(c) | 783 | 736,479 | |
Discovery Communications LLC, 3.45%, 03/15/25(c) | 170 | 167,166 | |
DISH DBS Corp.(b) | |||
5.25%, 12/01/26 | 1,090 | 859,784 | |
5.75%, 12/01/28 | 71 | 49,225 | |
DISH Network Corp., 11.75%, 11/15/27(b) | 916 | 898,138 | |
Gray Television, Inc.(b)(c) | |||
7.00%, 05/15/27 | 299 | 275,290 | |
10.50%, 07/15/29 | 413 | 415,222 | |
Interpublic Group of Cos., Inc., 5.40%, 10/01/48(c) | 200 | 184,776 | |
Lamar Media Corp., 4.00%, 02/15/30 | 40 | 36,264 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b)(c) | 560 | 524,459 | |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | 177 | 169,920 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | |||
5.00%, 08/15/27(c) | 511 | 494,658 | |
4.25%, 01/15/29(c) | 268 | 244,368 | |
4.63%, 03/15/30 | 107 | 96,347 | |
7.38%, 02/15/31(c) | 295 | 307,009 | |
Pinewood Finco PLC, 6.00%, 03/27/30(f) | GBP | 100 | 124,198 |
Radiate Holdco LLC/Radiate Finance, Inc.(b) | |||
4.50%, 09/15/26 | USD | 644 | 490,721 |
6.50%, 09/15/28 | 688 | 340,977 | |
Sirius XM Radio, Inc.(b) | |||
3.13%, 09/01/26(c) | 535 | 503,348 | |
5.00%, 08/01/27(c) | 860 | 823,210 | |
4.00%, 07/15/28 | 97 | 87,625 | |
Sunrise FinCo I BV, 4.88%, 07/15/31(b)(c) | 449 | 407,699 | |
Tele Columbus AG, (10.00% PIK), 10.00%, 01/01/29(f)(i) | EUR | 100 | 79,518 |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | USD | 200 | 189,461 |
Univision Communications, Inc.(b)(c) | |||
6.63%, 06/01/27 | 376 | 359,960 | |
8.00%, 08/15/28 | 722 | 704,115 | |
8.50%, 07/31/31 | 455 | 441,960 | |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b)(c) | 754 | 670,913 | |
VZ Secured Financing BV, 3.50%, 01/15/32(f) | EUR | 100 | 93,570 |
Ziggo Bond Co. BV, 5.13%, 02/28/30(b) | USD | 225 | 191,175 |
Ziggo BV, 4.88%, 01/15/30(b)(c) | 200 | 177,802 | |
23,527,030 | |||
Metals & Mining — 2.3% | |||
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24(f) | 250 | 249,358 | |
Advanced Drainage Systems, Inc.(b)(c) | |||
5.00%, 09/30/27 | 255 | 249,305 | |
6.38%, 06/15/30 | 412 | 413,489 | |
Arsenal AIC Parent LLC(b) | |||
8.00%, 10/01/30 | 186 | 195,188 |
Security | Par (000) | Value | |
Metals & Mining (continued) | |||
Arsenal AIC Parent LLC(b) (continued) | |||
11.50%, 10/01/31(c) | USD | 846 | $ 946,692 |
ATI, Inc. | |||
5.88%, 12/01/27(c) | 127 | 125,310 | |
4.88%, 10/01/29 | 101 | 94,412 | |
7.25%, 08/15/30(c) | 486 | 501,677 | |
5.13%, 10/01/31(c) | 273 | 252,342 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(c) | 1,059 | 1,061,357 | |
Carpenter Technology Corp., 7.63%, 03/15/30(c) | 367 | 377,835 | |
Constellium SE | |||
4.25%, 02/15/26(f) | EUR | 100 | 106,452 |
5.88%, 02/15/26(b)(c) | USD | 588 | 584,925 |
5.63%, 06/15/28(b)(c) | 500 | 489,360 | |
3.75%, 04/15/29(b)(c) | 756 | 685,410 | |
First Quantum Minerals Ltd., 9.38%, 03/01/29(b)(c) | 450 | 470,812 | |
Kaiser Aluminum Corp.(b)(c) | |||
4.63%, 03/01/28 | 243 | 227,366 | |
4.50%, 06/01/31 | 613 | 542,838 | |
New Gold, Inc., 7.50%, 07/15/27(b)(c) | 631 | 635,027 | |
Novelis Corp.(b)(c) | |||
3.25%, 11/15/26 | 868 | 816,792 | |
4.75%, 01/30/30 | 988 | 916,572 | |
3.88%, 08/15/31 | 1,030 | 891,757 | |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(f) | EUR | 200 | 201,339 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | USD | 122 | 112,269 |
Samarco Mineracao SA, (9.00% PIK), 9.00%, 06/30/31(f)(i) | 27 | 24,859 | |
Vallourec SACA, 7.50%, 04/15/32(b)(c) | 317 | 328,258 | |
Vedanta Resources Finance II PLC, 13.88%, 01/21/27(f) | 94 | 92,561 | |
11,593,562 | |||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |||
Starwood Property Trust, Inc., 7.25%, 04/01/29(b) | 171 | 172,833 | |
Office REITs — 0.1% | |||
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50(c) | 450 | 333,909 | |
Oil, Gas & Consumable Fuels — 9.2% | |||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)(c) | 604 | 610,603 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | |||
5.75%, 01/15/28 | 59 | 58,002 | |
5.38%, 06/15/29 | 206 | 199,688 | |
6.63%, 02/01/32(c) | 291 | 293,618 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | |||
9.00%, 11/01/27(c) | 372 | 460,620 | |
8.25%, 12/31/28(c) | 804 | 823,696 | |
5.88%, 06/30/29 | 134 | 130,954 | |
Baytex Energy Corp., 8.50%, 04/30/30(b) | 193 | 201,839 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp.(b) | |||
7.00%, 07/15/29 | 224 | 228,119 | |
7.25%, 07/15/32 | 180 | 185,067 | |
Borr IHC Ltd./Borr Finance LLC(b) | |||
10.00%, 11/15/28(c) | 259 | 269,336 | |
10.38%, 11/15/30 | 195 | 203,186 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Buckeye Partners LP | |||
4.13%, 03/01/25(b)(c) | USD | 262 | $ 258,456 |
6.88%, 07/01/29(b) | 97 | 97,362 | |
5.85%, 11/15/43 | 145 | 124,437 | |
5.60%, 10/15/44 | 86 | 67,770 | |
Chesapeake Energy Corp., 5.88%, 02/01/29(b) | 41 | 40,588 | |
CITGO Petroleum Corp., 8.38%, 01/15/29(b) | 509 | 524,633 | |
Civitas Resources, Inc.(b)(c) | |||
8.38%, 07/01/28 | 551 | 577,354 | |
8.63%, 11/01/30 | 283 | 303,438 | |
8.75%, 07/01/31 | 725 | 776,439 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | 96 | 86,512 | |
CNX Resources Corp., 7.38%, 01/15/31(b) | 97 | 99,174 | |
Comstock Resources, Inc.(b) | |||
6.75%, 03/01/29(c) | 509 | 493,282 | |
6.75%, 03/01/29 | 137 | 131,715 | |
5.88%, 01/15/30(c) | 595 | 553,659 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)(c) | 1,617 | 1,532,796 | |
Crescent Energy Finance LLC(b)(c) | |||
7.63%, 04/01/32 | 420 | 428,060 | |
7.38%, 01/15/33 | 383 | 383,826 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 221 | 231,976 | |
DT Midstream, Inc.(b)(c) | |||
4.13%, 06/15/29 | 328 | 303,021 | |
4.38%, 06/15/31 | 418 | 380,724 | |
Ecopetrol SA, 8.88%, 01/13/33 | 122 | 125,965 | |
Enbridge, Inc.(a) | |||
(3-mo. CME Term SOFR + 3.90%), 6.25%, 03/01/78(c) | 1,565 | 1,500,660 | |
(5-year CMT + 4.43%), 8.50%, 01/15/84 | 194 | 209,138 | |
Encino Acquisition Partners Holdings LLC, 8.75%, 05/01/31(b) | 227 | 236,691 | |
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b)(c) | 386 | 389,627 | |
Energean Israel Finance Ltd., 8.50%, 09/30/33(b)(f) | 38 | 36,046 | |
Energy Transfer LP | |||
3.90%, 07/15/26(c) | 235 | 227,553 | |
(5-year CMT + 4.02%), 8.00%, 05/15/54(a)(c) | 573 | 599,353 | |
Series H, (5-year CMT + 5.69%), 6.50%(a)(j) | 456 | 449,776 | |
EQM Midstream Partners LP(b) | |||
6.00%, 07/01/25 | 94 | 94,019 | |
4.50%, 01/15/29 | 21 | 19,818 | |
6.38%, 04/01/29(c) | 343 | 346,467 | |
7.50%, 06/01/30 | 84 | 89,644 | |
4.75%, 01/15/31(c) | 506 | 473,133 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) | 69 | 73,055 | |
Genesis Energy LP/Genesis Energy Finance Corp.(c) | |||
7.75%, 02/01/28 | 182 | 183,932 | |
8.25%, 01/15/29 | 327 | 337,575 | |
8.88%, 04/15/30 | 213 | 224,059 | |
7.88%, 05/15/32 | 367 | 370,498 | |
Harvest Midstream I LP, 7.50%, 05/15/32(b) | 218 | 221,345 | |
Hess Corp., 4.30%, 04/01/27 | 50 | 48,752 | |
Hess Midstream Operations LP, 6.50%, 06/01/29(b) | 257 | 260,537 | |
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | |||
6.25%, 11/01/28 | 145 | 143,208 | |
5.75%, 02/01/29 | 212 | 205,146 | |
6.00%, 04/15/30 | 21 | 20,285 | |
8.38%, 11/01/33(c) | 618 | 658,638 | |
6.88%, 05/15/34(c) | 338 | 334,345 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Howard Midstream Energy Partners LLC(b)(c) | |||
8.88%, 07/15/28 | USD | 263 | $ 278,288 |
7.38%, 07/15/32 | 314 | 318,884 | |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(f) | 200 | 195,875 | |
Impulsora Pipeline LLC, 6.05%, 01/01/43(e) | 1,305 | 1,099,543 | |
ITT Holdings LLC, 6.50%, 08/01/29(b)(c) | 343 | 310,760 | |
Kinetik Holdings LP(b) | |||
6.63%, 12/15/28 | 58 | 58,926 | |
5.88%, 06/15/30(c) | 220 | 216,790 | |
Leviathan Bond Ltd., 6.75%, 06/30/30(b)(f) | 15 | 13,579 | |
Matador Resources Co.(b)(c) | |||
6.88%, 04/15/28 | 276 | 280,150 | |
6.50%, 04/15/32 | 303 | 303,022 | |
Medco Bell Pte. Ltd., 6.38%, 01/30/27(f) | 250 | 245,703 | |
MPLX LP, 4.25%, 12/01/27(c) | 185 | 179,010 | |
Murphy Oil Corp., 5.88%, 12/01/42 | 29 | 25,717 | |
Nabors Industries Ltd., 7.50%, 01/15/28(b)(c) | 234 | 223,284 | |
Nabors Industries, Inc.(b) | |||
7.38%, 05/15/27 | 117 | 119,011 | |
9.13%, 01/31/30(c) | 187 | 193,720 | |
New Fortress Energy, Inc.(b)(c) | |||
6.75%, 09/15/25 | 308 | 298,989 | |
8.75%, 03/15/29 | 678 | 618,924 | |
NGL Energy Operating LLC/NGL Energy Finance Corp.(b)(c) | |||
8.13%, 02/15/29 | 512 | 521,682 | |
8.38%, 02/15/32 | 1,035 | 1,050,934 | |
Noble Finance II LLC, 8.00%, 04/15/30(b)(c) | 310 | 322,622 | |
Northern Oil & Gas, Inc. | |||
8.13%, 03/01/28(b)(c) | 1,139 | 1,151,854 | |
3.63%, 04/15/29(k) | 152 | 174,952 | |
8.75%, 06/15/31(b)(c) | 314 | 329,475 | |
Northriver Midstream Finance LP, 07/15/32(b)(d) | 172 | 172,301 | |
NuStar Logistics LP, 6.00%, 06/01/26 | 163 | 162,747 | |
Patterson-UTI Energy, Inc., 7.15%, 10/01/33(c) | 100 | 105,921 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30(b) | 222 | 227,267 | |
Permian Resources Operating LLC(b)(c) | |||
8.00%, 04/15/27 | 272 | 278,104 | |
5.88%, 07/01/29 | 411 | 404,707 | |
9.88%, 07/15/31 | 309 | 342,034 | |
7.00%, 01/15/32 | 329 | 337,971 | |
Petroleos Mexicanos | |||
4.25%, 01/15/25 | 37 | 36,519 | |
6.50%, 03/13/27 | 85 | 80,954 | |
8.75%, 06/02/29 | 130 | 127,430 | |
5.95%, 01/28/31(c) | 158 | 126,992 | |
6.70%, 02/16/32 | 48 | 40,160 | |
Prairie Acquiror LP, 9.00%, 08/01/29(b) | 192 | 197,883 | |
Precision Drilling Corp., 6.88%, 01/15/29(b) | 12 | 11,871 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b)(c) | 331 | 309,833 | |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | 51 | 48,011 | |
Saturn Oil & Gas, Inc., 9.63%, 06/15/29(b) | 201 | 202,879 | |
Seadrill Finance Ltd., 8.38%, 08/01/30(b) | 200 | 209,036 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28(b)(c) | 389 | 402,215 | |
SM Energy Co. | |||
6.75%, 09/15/26(c) | 202 | 202,067 | |
6.50%, 07/15/28 | 38 | 37,673 | |
Southwestern Energy Co. | |||
5.70%, 01/23/25 | 18 | 17,944 | |
5.38%, 02/01/29(c) | 252 | 244,946 | |
4.75%, 02/01/32 | 5 | 4,600 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Sunoco LP/Sunoco Finance Corp., 5.88%, 03/15/28 | USD | 124 | $ 123,460 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) | |||
6.00%, 03/01/27 | 41 | 40,409 | |
5.50%, 01/15/28 | 108 | 103,328 | |
7.38%, 02/15/29(c) | 471 | 473,302 | |
6.00%, 12/31/30 | 3 | 2,795 | |
6.00%, 09/01/31 | 131 | 122,426 | |
Talos Production, Inc.(b) | |||
9.00%, 02/01/29 | 184 | 193,116 | |
9.38%, 02/01/31 | 154 | 162,595 | |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(c) | 280 | 268,388 | |
Transocean Aquila Ltd., 8.00%, 09/30/28(b) | 129 | 131,008 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b)(c) | 175 | 180,615 | |
Transocean, Inc.(b)(c) | |||
8.00%, 02/01/27 | 339 | 337,825 | |
8.25%, 05/15/29 | 670 | 671,661 | |
8.75%, 02/15/30 | 875 | 918,433 | |
8.50%, 05/15/31 | 852 | 852,366 | |
Valaris Ltd., 8.38%, 04/30/30(b)(c) | 825 | 854,075 | |
Venture Global Calcasieu Pass LLC(b) | |||
3.88%, 08/15/29(c) | 802 | 730,413 | |
4.13%, 08/15/31 | 9 | 8,076 | |
3.88%, 11/01/33(c) | 636 | 541,940 | |
Venture Global LNG, Inc.(b)(c) | |||
8.13%, 06/01/28 | 526 | 541,894 | |
9.50%, 02/01/29 | 2,209 | 2,419,068 | |
8.38%, 06/01/31 | 1,395 | 1,446,937 | |
9.88%, 02/01/32 | 1,474 | 1,604,338 | |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | 159 | 156,270 | |
Vital Energy, Inc.(c) | |||
9.75%, 10/15/30 | 327 | 357,048 | |
7.88%, 04/15/32(b) | 589 | 598,772 | |
45,643,532 | |||
Passenger Airlines — 0.6% | |||
Air Canada, 3.88%, 08/15/26(b)(c) | 464 | 441,353 | |
Air France-KLM, 4.63%, 05/23/29(f) | EUR | 100 | 105,468 |
American Airlines, Inc., 8.50%, 05/15/29(b)(c) | USD | 438 | 455,068 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(b)(c) | 595 | 579,126 | |
Finnair OYJ, 4.75%, 05/24/29(f) | EUR | 100 | 105,390 |
United Airlines, Inc.(b)(c) | |||
4.38%, 04/15/26 | USD | 454 | 438,567 |
4.63%, 04/15/29 | 690 | 642,604 | |
2,767,576 | |||
Personal Care Products — 0.0% | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, 07/15/30(b)(c) | 212 | 215,137 | |
Pharmaceuticals — 1.1% | |||
1375209 BC Ltd., 9.00%, 01/30/28(b) | 271 | 260,587 | |
AbbVie, Inc., 4.25%, 11/14/28(c) | 1,000 | 976,066 | |
Bausch Health Cos., Inc., 11.00%, 09/30/28(b) | 538 | 478,820 | |
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(f) | EUR | 100 | 101,534 |
CVS Health Corp., 3.75%, 04/01/30(c) | USD | 1,000 | 920,275 |
Endo Finance Holdings, Inc., 8.50%, 04/15/31(b)(c) | 310 | 319,913 | |
Grifols SA, 2.25%, 11/15/27(f) | EUR | 163 | 156,236 |
Jazz Securities DAC, 4.38%, 01/15/29(b)(c) | USD | 200 | 185,672 |
Security | Par (000) | Value | |
Pharmaceuticals (continued) | |||
Option Care Health, Inc., 4.38%, 10/31/29(b)(c) | USD | 245 | $ 224,888 |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b)(c) | |||
4.13%, 04/30/28 | 428 | 397,482 | |
7.88%, 05/15/34 | 200 | 205,501 | |
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29 | EUR | 100 | 118,501 |
Teva Pharmaceutical Finance Netherlands III BV | |||
3.15%, 10/01/26(c) | USD | 570 | 535,800 |
4.75%, 05/09/27(c) | 400 | 385,750 | |
7.88%, 09/15/29 | 200 | 214,937 | |
8.13%, 09/15/31(c) | 200 | 221,812 | |
5,703,774 | |||
Professional Services(b)(c) — 0.3% | |||
CoreLogic, Inc., 4.50%, 05/01/28 | 962 | 872,917 | |
Dun & Bradstreet Corp., 5.00%, 12/15/29 | 654 | 607,454 | |
1,480,371 | |||
Real Estate Management & Development — 0.2% | |||
Agps Bondco PLC(f) | |||
5.50%, 11/13/26 | EUR | 100 | 34,913 |
5.00%, 01/14/29 | 100 | 34,806 | |
Anywhere Real Estate Group LLC/Anywhere Co- Issuer Corp. | |||
7.00%, 04/15/30(b) | USD | 236 | 192,862 |
Series AI, 7.00%, 04/15/30(c) | 271 | 221,758 | |
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31(b) | 181 | 190,420 | |
Fantasia Holdings Group Co. Ltd.(f) | |||
11.75%, 04/17/22 | 400 | 4,000 | |
11.88%, 06/01/23 | 200 | 2,700 | |
9.25%, 07/28/23 | 200 | 2,300 | |
9.88%, 10/19/23 | 200 | 2,300 | |
Howard Hughes Corp.(b) | |||
4.13%, 02/01/29 | 149 | 133,248 | |
4.38%, 02/01/31 | 100 | 86,105 | |
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29(b) | 8 | 4,924 | |
910,336 | |||
Retail REITs — 0.0% | |||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | 160 | 148,906 | |
Semiconductors & Semiconductor Equipment — 1.0% | |||
ams-OSRAM AG, 10.50%, 03/30/29(f) | EUR | 100 | 112,048 |
Broadcom, Inc., 4.11%, 09/15/28(c) | USD | 1,594 | 1,537,901 |
Entegris, Inc., 4.75%, 04/15/29(b)(c) | 1,057 | 1,011,293 | |
Foundry JV Holdco LLC(b)(c) | |||
6.25%, 01/25/35 | 250 | 255,301 | |
6.40%, 01/25/38 | 205 | 211,293 | |
MKS Instruments, Inc., 1.25%, 06/01/30(b)(k) | 245 | 260,848 | |
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25 | 33 | 32,227 | |
QUALCOMM, Inc., 1.65%, 05/20/32(c) | 1,779 | 1,401,243 | |
Synaptics, Inc., 4.00%, 06/15/29(b) | 172 | 155,852 | |
4,978,006 | |||
Software — 4.0% | |||
ACI Worldwide, Inc., 5.75%, 08/15/26(b)(c) | 444 | 441,567 | |
Boxer Parent Co., Inc. | |||
6.50%, 10/02/25(f) | EUR | 100 | 107,095 |
Security | Par (000) | Value | |
Software (continued) | |||
Boxer Parent Co., Inc. (continued) | |||
7.13%, 10/02/25(b)(c) | USD | 398 | $ 398,301 |
9.13%, 03/01/26(b)(c) | 803 | 803,624 | |
Capstone Borrower, Inc., 8.00%, 06/15/30(b)(c) | 488 | 503,957 | |
Clarivate Science Holdings Corp.(b)(c) | |||
3.88%, 07/01/28 | 929 | 862,834 | |
4.88%, 07/01/29 | 897 | 832,472 | |
Cloud Software Group, Inc.(b)(c) | |||
6.50%, 03/31/29 | 3,393 | 3,258,348 | |
9.00%, 09/30/29 | 2,029 | 1,968,577 | |
8.25%, 06/30/32 | 1,923 | 1,960,010 | |
Dye & Durham Ltd., 8.63%, 04/15/29(b) | 116 | 117,673 | |
Elastic NV, 4.13%, 07/15/29(b)(c) | 376 | 343,312 | |
Fair Isaac Corp., 4.00%, 06/15/28(b)(c) | 450 | 420,930 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL | |||
4.63%, 05/01/28(b)(c) | 200 | 178,581 | |
7.88%, 05/01/29(f) | EUR | 100 | 107,205 |
8.75%, 05/01/29(b) | USD | 217 | 220,952 |
McAfee Corp., 7.38%, 02/15/30(b)(c) | 664 | 613,438 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b)(c) | 512 | 496,260 | |
Oracle Corp., 3.60%, 04/01/50(c) | 785 | 549,401 | |
SS&C Technologies, Inc.(b)(c) | |||
5.50%, 09/30/27 | 1,094 | 1,077,268 | |
6.50%, 06/01/32 | 708 | 714,157 | |
UKG, Inc., 6.88%, 02/01/31(b)(c) | 3,326 | 3,367,675 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)(c) | 676 | 613,819 | |
19,957,456 | |||
Specialized REITs(b) — 0.1% | |||
Iron Mountain, Inc. | |||
7.00%, 02/15/29(c) | 702 | 714,349 | |
5.63%, 07/15/32 | 19 | 18,042 | |
732,391 | |||
Specialty Retail(b) — 0.3% | |||
eG Global Finance PLC, 12.00%, 11/30/28(c) | 298 | 317,274 | |
PetSmart, Inc./PetSmart Finance Corp.(c) | |||
4.75%, 02/15/28 | 343 | 318,604 | |
7.75%, 02/15/29 | 587 | 571,661 | |
Staples, Inc., 10.75%, 09/01/29 | 220 | 209,072 | |
1,416,611 | |||
Technology Hardware, Storage & Peripherals — 0.3% | |||
NCR Atleos Corp., 9.50%, 04/01/29(b)(c) | 250 | 270,185 | |
Seagate HDD Cayman | |||
8.25%, 12/15/29(c) | 449 | 481,553 | |
8.50%, 07/15/31 | 474 | 510,509 | |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b) | 47 | 46,936 | |
1,309,183 | |||
Textiles, Apparel & Luxury Goods(b) — 0.1% | |||
Crocs, Inc., 4.25%, 03/15/29 | 25 | 22,787 | |
Hanesbrands, Inc. | |||
4.88%, 05/15/26(c) | 176 | 172,181 | |
9.00%, 02/15/31 | 15 | 15,716 | |
Kontoor Brands, Inc., 4.13%, 11/15/29 | 98 | 88,715 | |
Levi Strauss & Co., 3.50%, 03/01/31 | 16 | 13,841 | |
313,240 |
Security | Par (000) | Value | |
Trading Companies & Distributors — 0.1% | |||
GYP Holdings III Corp., 4.63%, 05/01/29(b)(c) | USD | 371 | $ 343,337 |
Transportation Infrastructure(f) — 0.1% | |||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 | 200 | 187,313 | |
Heathrow Finance PLC, 4.13%, 09/01/29(o) | GBP | 100 | 114,596 |
301,909 | |||
Water Utilities — 0.2% | |||
American Water Capital Corp., 4.45%, 06/01/32(c) | USD | 900 | 856,468 |
Wireless Telecommunication Services — 0.0% | |||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(i) | 157 | 22,360 | |
Total Corporate Bonds — 75.9% (Cost: $385,088,783) | 378,405,758 | ||
Fixed Rate Loan Interests | |||
Commercial Services & Supplies — 0.1% | |||
AVSC Holding Corp., 2020 Term Loan B3, (10.00% PIK), 15.00%, 10/15/26(i) | 429 | 442,733 | |
Health Care Technology — 0.1% | |||
Cotiviti, Inc., 2024 Fixed Term Loan B, 7.63%, 05/01/31 | 595 | 591,531 | |
Media — 0.1% | |||
Morgan Stanley & Co. International PLC, 2024 CCIBV Fixed Term Loan, 15.00%(e) | 525 | 510,563 | |
Total Fixed Rate Loan Interests — 0.3% (Cost: $1,527,660) | 1,544,827 | ||
Floating Rate Loan Interests(a) | |||
Aerospace & Defense — 2.2% | |||
Barnes Group, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 09/03/30 | 559 | 559,763 | |
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 10/31/30 | 598 | 600,434 | |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.26%, 08/03/29 | 660 | 638,728 | |
Cubic Corp. | |||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 1,966 | 1,429,957 | |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 396 | 288,136 | |
Dynasty Acquisition Co., Inc., 2024 Term Loan B1, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 2,097 | 2,103,027 | |
Ovation Parent, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 04/21/31 | 503 | 505,515 | |
Peraton Corp. | |||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR + 7.85%), 13.18%, 02/01/29 | 453 | 454,075 | |
Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/01/28 | 1,355 | 1,354,744 |
Security | Par (000) | Value | |
Aerospace & Defense (continued) | |||
Setanta Aircraft Leasing DAC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.08%, 11/05/28 | USD | 296 | $ 296,977 |
Standard Aero Ltd., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 808 | 810,873 | |
TransDigm, Inc. | |||
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 7.84%, 02/28/31 | 1,618 | 1,621,562 | |
2024 Term Loan K, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 03/22/30 | 178 | 177,804 | |
10,841,595 | |||
Air Freight & Logistics — 0.0% | |||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.58%, 03/17/30 | 159 | 159,080 | |
Automobile Components — 0.6% | |||
Champions Financing, Inc., 2024 Term Loan B, (3- mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 02/23/29 | 1,262 | 1,266,732 | |
Clarios Global LP | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 05/06/30 | 1,298 | 1,299,570 | |
2024 USD Term Loan B, 05/06/30(p) | 57 | 57,071 | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.10%), 10.43%, 11/17/28 | 574 | 549,812 | |
3,173,185 | |||
Automobiles — 0.3% | |||
Dealer Tire Financial LLC | |||
2024 Term Loan B, 07/02/31(e)(p) | 745 | 743,124 | |
2024 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 12/14/27 | 817 | 814,755 | |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/08/28 | 96 | 88,350 | |
1,646,229 | |||
Banks — 0.3% | |||
Ascensus Holdings, Inc., Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 08/02/28 | 1,606 | 1,603,939 | |
Beverages — 0.6% | |||
Naked Juice LLC | |||
2nd Lien Term Loan, (3-mo. CME Term SOFR + 6.10%), 11.43%, 01/24/30 | 911 | 726,593 | |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 01/24/29 | 2,316 | 2,144,319 | |
2,870,912 | |||
Broadline Retail — 0.6% | |||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 11/24/28 | 538 | 535,622 | |
StubHub Holdco Sub LLC, 2024 Extended Term Loan B, (1-mo. CME Term SOFR + 4.75%), 10.09%, 03/15/30 | 2,325 | 2,321,042 | |
Woof Holdings, Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.01%), 9.35%, 12/21/27 | 156 | 128,779 | |
2,985,443 |
Security | Par (000) | Value | |
Building Materials — 1.4% | |||
ACProducts Holdings, Inc., 2021 Term Loan B, (3- mo. CME Term SOFR + 4.51%), 9.85%, 05/17/28 | USD | 682 | $ 576,017 |
Chariot Buyer LLC | |||
2024 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/03/28 | 336 | 336,857 | |
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.69%, 11/03/28 | 1,566 | 1,564,379 | |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 3.35%), 8.68%, 04/12/28 | 75 | 72,913 | |
Emrld Borrower LP, 2024 Term Loan B, 06/18/31(p) | 712 | 711,110 | |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.58%, 04/29/29 | 1,002 | 1,001,292 | |
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/02/29(e) | 279 | 279,673 | |
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 09/22/28 | 655 | 655,739 | |
Summit Materials LLC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.80%, 01/12/29 | 372 | 374,325 | |
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.35%), 8.68%, 12/31/26 | 1,444 | 1,443,496 | |
7,015,801 | |||
Building Products — 1.3% | |||
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 05/13/29 | 121 | 121,930 | |
Beacon Roofing Supply, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 05/19/28 | 865 | 867,259 | |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 11/23/27 | 719 | 700,395 | |
CP Iris Holdco I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 10/02/28 | 419 | 417,377 | |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 2.60%), 7.94%, 04/28/29 | 355 | 354,823 | |
Emerald Debt Merger Sub LLC, Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 05/31/30 | 1,022 | 1,021,528 | |
Foundation Building Materials, Inc., 2024 Term Loan B2, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 01/29/31 | 880 | 874,870 | |
Gulfside Supply, Inc., Term Loan B, 06/17/31(e)(p) | 288 | 289,440 | |
Peer Holding III BV, 2024 USD Term Loan B5, 06/20/31(p) | 398 | 398,167 | |
White Cap Buyer LLC | |||
2024 Term Loan B, 10/19/29(p) | 411 | 411,538 | |
Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.59%, 10/19/27 | 768 | 768,432 | |
6,225,759 | |||
Capital Markets — 1.0% | |||
Aretec Group, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/09/30 | 332 | 333,016 |
Security | Par (000) | Value | |
Capital Markets (continued) | |||
Azalea Topco, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/30/31 | USD | 343 | $ 342,571 |
Castlelake Aviation One DAC | |||
2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 10/22/27 | 319 | 319,539 | |
Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 10/22/26 | 1,025 | 1,025,615 | |
Focus Financial Partners LLC | |||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 06/30/28 | 977 | 975,134 | |
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 06/30/28 | 688 | 686,419 | |
Learning Care Group U.S. No. 2, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 08/11/28 | 110 | 111,067 | |
Osaic Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/17/28 | 1,149 | 1,152,157 | |
4,945,518 | |||
Chemicals — 2.6% | |||
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 3.60%), 8.94%, 09/30/28 | 579 | 576,642 | |
Aruba Investments Holdings LLC, 2020 USD Term Loan, (1-mo. CME Term SOFR + 4.10%), 9.44%, 11/24/27 | 330 | 326,939 | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.85%), 10.07%, 08/27/26 | 274 | 273,720 | |
Axalta Coating Systems U.S. Holdings, Inc., 2024 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 12/20/29 | 722 | 722,425 | |
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 08/18/28 | 601 | 598,448 | |
Derby Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/01/30 | 1,143 | 1,147,776 | |
Ecovyst Catalyst Technologies LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.60%, 06/12/31 | 657 | 655,869 | |
Element Solutions, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 12/18/30 | 1,013 | 1,013,788 | |
HB Fuller Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 02/15/30 | 316 | 315,466 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 4.03%), 9.36%, 07/03/28 | 570 | 551,546 | |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.35%), 8.60%, 02/18/30 | 296 | 293,769 | |
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 10/15/28(e) | 964 | 944,526 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.84%, 03/29/28(e) | 1,286 | 1,282,774 | |
NIC Acquisition Corp, Term Loan, (3-mo. CME Term SOFR + 4.01%), 9.35%, 12/29/27 | 206 | 171,440 |
Security | Par (000) | Value | |
Chemicals (continued) | |||
Nouryon USA LLC, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/03/28 | USD | 668 | $ 669,463 |
Olympus Water U.S. Holding Corp., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.85%, 06/20/31 | 443 | 443,109 | |
OQ Chemicals Corp., 2017 USD Term Loan B2, (3- mo. CME Term SOFR at 0.00% Floor + 3.70%), 8.91%, 10/14/24 | 822 | 757,966 | |
Potters Borrower LP, 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.08%, 12/14/27 | 258 | 258,887 | |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 03/16/27 | 424 | 423,954 | |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-week CME Term SOFR at 0.75% Floor + 3.50%), 8.58%, 08/02/30 | 863 | 862,710 | |
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.59%, 09/22/28 | 809 | 811,808 | |
13,103,025 | |||
Commercial Services & Supplies — 2.9% | |||
Action Environmental Group, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.33%, 10/24/30(e) | 312 | 313,766 | |
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.51%), 10.84%, 08/17/26 | 909 | 910,635 | |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 02/04/28 | 1,052 | 1,052,009 | |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 05/12/28 | 2,384 | 2,372,312 | |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.34%, 02/15/29 | 321 | 322,510 | |
AVSC Holding Corp., 2020 Term Loan B1, (1-mo. CME Term SOFR + 3.35%, 0.25% PIK), 9.19%, 03/03/25(i) | 645 | 638,967 | |
Boost Newco Borrower LLC, USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 01/31/31 | 1,673 | 1,672,766 | |
Garda World Security Corp., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.59%, 02/01/29 | 236 | 237,581 | |
Grant Thornton LLP/Chicago, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.60%, 06/02/31 | 184 | 184,462 | |
JFL-Tiger Acquisition Co., Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 10/17/30 | 287 | 287,518 | |
Mavis Tire Express Services Topco Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 05/04/28 | 1,444 | 1,445,672 | |
MX Holdings U.S., Inc., 2023 USD Term Loan B1D, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.21%, 07/31/28 | 104 | 104,340 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.84%, 12/15/28 | 526 | 346,467 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
Prime Security Services Borrower LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.58%, 10/13/30 | USD | 447 | $ 446,451 |
Ryan LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/14/30 | 47 | 47,011 | |
Sotheby’ s, 2021 Term Loan B, (3-mo. CME Term SOFR + 4.76%), 10.09%, 01/15/27 | 1,318 | 1,205,996 | |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.10%), 9.44%, 11/02/27 | 964 | 927,001 | |
Vestis Corp., Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.58%, 02/22/31 | 502 | 499,073 | |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.59%, 07/30/28 | 523 | 522,870 | |
Wand NewCo 3, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 01/30/31 | 1,048 | 1,054,361 | |
14,591,768 | |||
Communications Equipment — 0.3% | |||
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 10/24/30 | 833 | 835,498 | |
Viasat, Inc. | |||
2023 Term Loan, (1-mo. CME Term SOFR + 4.61%), 9.94%, 05/30/30 | 299 | 265,931 | |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/02/29 | 612 | 545,799 | |
1,647,228 | |||
Construction & Engineering — 1.3% | |||
AECOM, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.88%), 7.22%, 04/17/31 | 640 | 643,334 | |
Apple Bidco LLC | |||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.21%, 09/22/28 | 641 | 641,397 | |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 09/22/28 | 355 | 355,099 | |
Brand Industrial Services, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 08/01/30 | 2,144 | 2,150,472 | |
Brown Group Holding LLC(p) | |||
2022 Incremental Term Loan B2, 07/02/29 | 427 | 426,386 | |
Term Loan B, 06/07/28 | 624 | 622,885 | |
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.94%, 12/16/27 | 253 | 252,635 | |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.46%, 01/21/28 | 424 | 424,674 | |
Propulsion BC Newco LLC, Term Loan, 09/14/29(p) | 118 | 118,270 | |
USIC Holdings, Inc., 2021 Term Loan, (3-mo. CME Term SOFR + 3.61%), 9.08%, 05/12/28 | 696 | 671,582 | |
6,306,734 | |||
Construction Materials — 0.5% | |||
American Builders & Contractors Supply Co., Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/31/31 | 759 | 760,040 | |
Gates Corp., 2024 Term Loan B5, 06/04/31(p) | 722 | 722,448 |
Security | Par (000) | Value | |
Construction Materials (continued) | |||
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 03/08/29 | USD | 388 | $ 370,277 |
Quikrete Holdings, Inc. | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 04/14/31 | 400 | 400,622 | |
2024 Term Loan B1, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 03/19/29 | 312 | 311,826 | |
2,565,213 | |||
Consumer Finance(p) — 0.0% | |||
Edelman Financial Engines Center LLC | |||
2021 Term Loan B, 04/07/28 | 106 | 105,417 | |
2024 Term Loan B, 04/07/28 | 105 | 105,417 | |
210,834 | |||
Consumer Staples Distribution & Retail — 0.2% | |||
U.S. Foods, Inc. | |||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.11%), 7.46%, 09/13/26 | 579 | 579,557 | |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 11/22/28 | 276 | 277,617 | |
857,174 | |||
Containers & Packaging — 0.8% | |||
Charter Next Generation, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 | 1,878 | 1,879,895 | |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.44%, 10/29/28 | 599 | 590,293 | |
Mauser Packaging Solutions Holding Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/15/27 | 651 | 651,541 | |
Pregis TopCo LLC, 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 07/31/26 | 256 | 255,554 | |
Reynolds Consumer Products LLC, Term Loan, (1- mo. CME Term SOFR + 1.85%), 7.19%, 02/04/27 | 117 | 117,485 | |
Trident TPI Holdings, Inc., 2024 Term Loan B6, (3- mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 09/15/28 | 624 | 624,602 | |
4,119,370 | |||
Distributors — 0.2% | |||
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.01%), 9.34%, 10/28/27 | 832 | 759,772 | |
Diversified Consumer Services — 0.6% | |||
Ascend Learning LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.60%), 8.94%, 12/11/28 | 330 | 329,654 | |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.36%), 7.71%, 11/24/28 | 852 | 851,772 | |
KUEHG Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 06/12/30 | 677 | 679,012 |
Security | Par (000) | Value | |
Diversified Consumer Services (continued) | |||
Spring Education Group, Inc., Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 10/04/30 | USD | 796 | $ 798,441 |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR + 5.11%), 10.46%, 09/01/25 | 567 | 491,564 | |
3,150,443 | |||
Diversified Telecommunication Services — 1.5% | |||
Altice Financing SA, USD 2017 1st Lien Term Loan, (3-mo. LIBOR US at 0.00% Floor + 2.75%), 8.34%, 01/31/26(e) | 517 | 475,231 | |
Altice France SA/France, 2023 USD Term Loan B14, (3-mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.83%, 08/15/28 | 1,176 | 860,548 | |
Connect Finco SARL | |||
2024 Extended Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 09/27/29 | 639 | 601,628 | |
2024 Non-Extended Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 12/11/26 | 623 | 613,817 | |
Iridium Satellite LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.25%), 7.59%, 09/20/30 | 372 | 371,291 | |
Level 3 Financing Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/29 | 366 | 357,389 | |
2024 Extended Term Loan B2, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/30 | 368 | 358,111 | |
Lumen Technologies, Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR + 2.46%), 7.81%, 04/15/29 | 414 | 284,214 | |
2024 Extended Term Loan B2, (1-mo. CME Term SOFR + 2.46%), 7.81%, 04/15/30 | 423 | 282,385 | |
2024 Term Loan A, 06/01/28(p) | 49 | 40,385 | |
ORBCOMM, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.36%), 9.78%, 09/01/28 | 381 | 328,436 | |
Sunrise Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.11%), 8.44%, 01/31/29 | 341 | 339,194 | |
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.36%), 8.69%, 01/31/29 | 607 | 578,926 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.46%, 03/09/27 | 2,372 | 2,058,430 | |
7,549,985 | |||
Electric Utilities — 0.2% | |||
Hamilton Projects Acquiror LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 05/22/31 | 153 | 153,820 | |
NRG Energy, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 04/16/31 | 696 | 695,907 | |
849,727 | |||
Electrical Equipment — 0.2% | |||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.01%), 10.35%, 06/23/28 | 1,057 | 1,058,262 |
Security | Par (000) | Value | |
Electronic Equipment, Instruments & Components — 0.5% | |||
Celestica Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 06/20/31(e) | USD | 230 | $ 229,713 |
Coherent Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 07/02/29 | 564 | 563,349 | |
Roper Industrial Products Investment Co., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 8.58%, 11/22/29 | 1,463 | 1,462,913 | |
2,255,975 | |||
Energy Equipment & Services — 0.0% | |||
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 06/30/27 | 16 | 7,494 | |
Entertainment — 2.4% | |||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.44%, 04/22/26 | 658 | 622,111 | |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 2.35%), 7.68%, 05/24/29 | 45 | 45,581 | |
Creative Artists Agency LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 11/27/28 | 1,573 | 1,578,553 | |
Delta 2 Lux SARL, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.58%, 01/15/30 | 1,174 | 1,175,714 | |
Live Nation Entertainment, Inc., Term Loan B4, (1- mo. CME Term SOFR + 1.85%), 7.19%, 10/19/26 | 1,704 | 1,699,959 | |
Motion Finco SARL, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 11/12/29 | 644 | 644,219 | |
OVG Business Services LLC, 2024 Term Loan B, 06/25/31(p) | 368 | 368,236 | |
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.86%), 8.21%, 03/13/28 | 885 | 884,522 | |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.93%), 8.09%, 01/23/25 | 883 | 881,900 | |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.34%, 04/29/26 | 788 | 789,290 | |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.21%, 05/18/25 | 1,692 | 1,693,578 | |
WMG Acquisition Corp., 2024 Term Loan I, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/24/31 | 1,622 | 1,622,473 | |
12,006,136 | |||
Environmental, Maintenance & Security Service — 1.1% | |||
Clean Harbors, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 1.86%), 7.21%, 10/08/28 | 658 | 660,711 | |
Covanta Holding Corp. | |||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 11/30/28 | 477 | 476,611 | |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 11/30/28 | 37 | 36,430 | |
Filtration Group Corp., 2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.96%, 10/21/28 | 1,578 | 1,584,997 |
Security | Par (000) | Value | |
Environmental, Maintenance & Security Service (continued) | |||
GFL Environmental, Inc. | |||
2023 First Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/31/27 | USD | 342 | $ 342,485 |
2024 Term Loan B, 06/27/31(e)(p) | 387 | 387,000 | |
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR + 2.75%), 8.09%, 06/21/28 | 1,813 | 1,812,777 | |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.35%), 8.69%, 03/09/28 | 488 | 263,797 | |
5,564,808 | |||
Financial Services — 2.0% | |||
ABG Intermediate Holdings 2 LLC, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.93%, 12/21/28 | 620 | 619,751 | |
Belron Finance U.S. LLC | |||
2018 Term Loan B, (3-mo. CME Term SOFR + 2.51%), 7.84%, 11/13/25 | 176 | 176,235 | |
2019 USD Term Loan B3, (3-mo. CME Term SOFR + 2.51%), 7.84%, 10/30/26 | 569 | 569,454 | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 2.35%), 7.68%, 04/18/29 | 219 | 218,623 | |
2023 USD Term Loan, (3-mo. CME Term SOFR + 2.26%), 7.51%, 04/13/28 | 1,640 | 1,639,906 | |
Cogeco Financing 2 LP, 2023 Incremental Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 09/01/28 | 447 | 431,666 | |
CPI Holdco B LLC, Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/17/31 | 543 | 542,153 | |
Deerfield Dakota Holding LLC | |||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.08%, 04/09/27 | 2,759 | 2,755,677 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR + 7.01%), 12.35%, 04/07/28 | 792 | 790,020 | |
Hyperion Refinance SARL, 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/15/31 | 731 | 732,154 | |
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 12/17/27 | 386 | 384,996 | |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.69%, 03/24/25 | 762 | 760,308 | |
Oxea Holding Drei GmbH, 2024 Tranche B Term Loan, (3-mo. CME Term SOFR at 3.00% Floor + 8.00%), 13.34%, 06/22/25 | 168 | 154,893 | |
9,775,836 | |||
Food Products — 1.9% | |||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.86%), 9.21%, 10/01/25 | 740 | 700,429 | |
Aramark Services, Inc. | |||
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 04/06/28 | 383 | 383,348 | |
2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 06/22/30 | 969 | 969,099 | |
B&G Foods, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 10/10/26 | 123 | 122,725 |
Security | Par (000) | Value | |
Food Products (continued) | |||
Chobani LLC | |||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 10/25/27 | USD | 2,209 | $ 2,214,188 |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 10/25/27 | 547 | 549,302 | |
Froneri U.S., Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.35%), 7.69%, 01/29/27 | 1,962 | 1,959,857 | |
H-Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.95%), 9.30%, 05/23/25 | 232 | 168,653 | |
Nomad Foods U.S. LLC, Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.81%, 11/12/29 | 582 | 581,828 | |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.85%, 03/31/28 | 509 | 508,978 | |
UTZ Quality Foods LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/20/28 | 1,119 | 1,121,358 | |
9,279,765 | |||
Ground Transportation — 0.7% | |||
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 4.85%), 10.18%, 04/06/28 | 269 | 269,450 | |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.21%, 08/06/27 | 476 | 470,362 | |
Genesee & Wyoming, Inc., 2024 Term Loan B, (3- mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 04/10/31 | 963 | 961,671 | |
Hertz Corp. | |||
2021 Term Loan B, (3-mo. CME Term SOFR + 3.51%), 8.86%, 06/30/28 | 243 | 218,915 | |
2021 Term Loan C, (3-mo. CME Term SOFR + 3.51%), 8.86%, 06/30/28 | 47 | 42,424 | |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, 08/04/25 | 358 | 250,547 | |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 03/03/30 | 1,048 | 1,052,152 | |
3,265,521 | |||
Health Care Equipment & Supplies — 1.7% | |||
Avantor Funding, Inc., 2024 Term Loan, (1-mo. CME Term SOFR + 2.10%), 7.44%, 11/08/27 | 719 | 721,653 | |
Bausch & Lomb Corp. | |||
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 09/29/28 | 457 | 455,126 | |
Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 05/10/27 | 1,299 | 1,284,305 | |
Insulet Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 05/04/28 | 279 | 279,941 | |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.33%, 10/19/27 | 1,004 | 991,643 |
Security | Par (000) | Value | |
Health Care Equipment & Supplies (continued) | |||
Medline Borrower LP | |||
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 10/23/28 | USD | 2,564 | $ 2,567,301 |
2024 USD Add-on Term Loan B, 10/23/28(p) | 911 | 911,000 | |
Sotera Health Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/30/31 | 1,187 | 1,183,047 | |
8,394,016 | |||
Health Care Providers & Services — 2.0% | |||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR + 2.11%), 7.46%, 02/22/28 | 1,022 | 1,020,520 | |
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.69%, 09/29/28 | 458 | 458,630 | |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 11/08/27 | 1,132 | 1,133,439 | |
Concentra Health Services, Inc., Term Loan B, 06/26/31(e)(p) | 86 | 86,215 | |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 11/01/28 | 1,334 | 1,332,377 | |
EyeCare Partners LLC | |||
2024 Second Out Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.61%), 10.04%, 11/30/28 | 1,019 | 620,642 | |
2024 Superpriority New Money 1st Out Term Loan A, (3-mo. CME Term SOFR at 0.00% Floor + 5.75%), 11.08%, 08/31/28 | 299 | 299,326 | |
2024 Third Out Term Loan C, (3-mo. CME Term SOFR at 0.00% Floor + 6.75%), 12.08%, 11/30/28(e) | 13 | 2,243 | |
Fortrea Holdings, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 07/01/30 | 56 | 56,240 | |
ICON Luxembourg SARL | |||
2024 LUX Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 07/03/28 | 260 | 260,662 | |
2024 US Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.33%, 07/03/28 | 66 | 65,965 | |
IQVIA, Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 01/02/31 | 650 | 651,866 | |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.44%, 11/01/29 | 247 | 167,548 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1- mo. CME Term SOFR + 3.36%), 8.71%, 11/15/28 | 1,491 | 1,493,855 | |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 11/01/28 | 483 | 362,726 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 09/27/30 | 669 | 667,650 | |
Surgery Center Holdings, Inc., 2024 Term Loan B, 12/19/30(p) | 643 | 643,240 |
Security | Par (000) | Value | |
Health Care Providers & Services (continued) | |||
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.69%, 05/16/29 | USD | 124 | $ 124,882 |
WCG Intermediate Corp., 2024 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.84%, 01/08/27 | 490 | 489,433 | |
9,937,459 | |||
Health Care Technology — 1.5% | |||
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 02/15/29 | 1,656 | 1,649,223 | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | 987 | 980,362 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR + 4.10%), 9.43%, 10/01/27 | 1,496 | 1,446,750 | |
PointClickCare Technologies, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.33%, 12/29/27 | 402 | 403,507 | |
Polaris Newco LLC, USD Term Loan B, (3-mo. CME Term SOFR + 4.26%), 9.59%, 06/02/28 | 2,566 | 2,563,318 | |
Waystar Technologies, Inc., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 10/22/29 | 286 | 285,747 | |
7,328,907 | |||
Hotel & Resort REITs — 0.1% | |||
RHP Hotel Properties LP, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 05/18/30 | 249 | 249,070 | |
Hotels, Restaurants & Leisure — 4.7% | |||
1011778 B.C. Unlimited Liability Company, 2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 09/20/30 | 1,146 | 1,141,424 | |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 02/02/26 | 1,030 | 1,004,170 | |
Alterra Mountain Co. | |||
2024 Add-on Term Loan B, 05/31/30(p) | 108 | 108,473 | |
2024 Term Loan B5, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 05/31/30 | 501 | 503,412 | |
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.84%, 10/02/28 | 618 | 586,212 | |
Caesars Entertainment, Inc. | |||
2024 Term Loan B1, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.10%, 02/06/31 | 1,430 | 1,428,656 | |
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.10%, 02/06/30 | 585 | 584,540 | |
Carnival Corp., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.09%, 08/08/27 | 502 | 503,999 | |
Cedar Fair LP, 2024 Term Loan B, 05/01/31(p) | 244 | 243,087 | |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.10%), 7.44%, 03/17/28 | 749 | 749,607 | |
City Football Group Ltd., 2024 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.59%, 07/21/28 | 1,220 | 1,205,781 | |
Fertitta Entertainment LLC, 2022 Term Loan B, (1- mo. CME Term SOFR + 3.75%), 9.08%, 01/27/29 | 2,537 | 2,538,884 | |
Flutter Financing BV, Term Loan B, (3-mo. CME Term SOFR + 2.25%), 7.58%, 11/25/30 | 1,900 | 1,898,277 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Four Seasons Hotels Ltd., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 11/30/29 | USD | 1,794 | $ 1,799,465 |
Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.10%, 11/08/30 | 1,350 | 1,351,295 | |
IRB Holding Corp., 2024 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 8.19%, 12/15/27 | 1,396 | 1,394,285 | |
Light & Wonder International, Inc. | |||
2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.07%, 04/14/29 | 621 | 620,997 | |
2024 Term Loan B2, 04/14/29(p) | 41 | 40,971 | |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.85%), 8.19%, 05/03/29 | 789 | 788,908 | |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.09%, 01/05/29 | 223 | 223,204 | |
Sabre GLBL, Inc. | |||
2021 Term Loan B1, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 141 | 126,517 | |
2021 Term Loan B2, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 221 | 198,276 | |
Scientific Games Holdings LP, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.31%, 04/04/29 | 301 | 300,247 | |
SeaWorld Parks & Entertainment, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 08/25/28 | 241 | 240,391 | |
Station Casinos LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 03/14/31 | 1,410 | 1,407,833 | |
Whatabrands LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.09%, 08/03/28 | 1,670 | 1,669,816 | |
Wyndham Hotels & Resorts, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 05/24/30 | 687 | 686,814 | |
23,345,541 | |||
Household Durables — 1.0% | |||
AI Aqua Merger Sub, Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/31/28 | 901 | 901,675 | |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.84%, 02/26/29 | 1,385 | 1,371,790 | |
Serta Simmons Bedding LLC, 2023 New Term Loan, (3-mo. CME Term SOFR + 7.61%), 12.95%, 06/29/28 | 199 | 158,459 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.11%), 9.46%, 10/06/28 | 1,306 | 1,114,821 | |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR + 3.36%), 8.71%, 10/30/27 | 1,807 | 1,675,356 | |
5,222,101 |
Security | Par (000) | Value | |
Independent Power and Renewable Electricity Producers — 0.3% | |||
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 07/31/30 | USD | 608 | $ 605,728 |
Calpine Corp., Term Loan B9, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/31/31 | 329 | 327,766 | |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR + 2.76%), 8.11%, 12/15/27 | 610 | 611,035 | |
1,544,529 | |||
Industrial Conglomerates — 0.0% | |||
Stitch Aquisition Corporation, 2024 Term Loan, 07/28/28 | 267 | 106,645 | |
Insurance — 3.8% | |||
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/06/30 | 3,676 | 3,683,443 | |
AmWINS Group, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.36%), 7.59%, 02/19/28 | 1,475 | 1,473,387 | |
Amynta Agency Borrower, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.10%, 02/28/28 | 1,345 | 1,346,418 | |
AssuredPartners, Inc., 2024 Incremental Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/14/31 | 2,219 | 2,223,899 | |
Baldwin Insurance Group Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/26/31(e) | 363 | 362,800 | |
HUB International Ltd., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.57%, 06/20/30 | 2,136 | 2,139,878 | |
Jones Deslauriers Insurance Management, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 03/15/30 | 586 | 585,240 | |
Ryan Specialty LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.09%, 09/01/27 | 640 | 642,596 | |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 02/24/28 | 2,095 | 2,094,981 | |
Truist Insurance Holdings LLC | |||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/06/31 | 1,678 | 1,679,493 | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 05/06/32 | 431 | 438,723 | |
USI, Inc. | |||
2024 Term Loan (2029), (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 11/22/29 | 1,524 | 1,522,584 | |
2024 Term Loan (2030), (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 09/27/30 | 534 | 533,747 | |
18,727,189 |
Security | Par (000) | Value | |
Interactive Media & Services — 0.0% | |||
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR + 4.15%), 9.48%, 02/16/28 | USD | 206 | $ 206,434 |
GoodRx, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.19%, 10/10/25 | — (q) | 1 | |
206,435 | |||
IT Services — 2.1% | |||
Asurion LLC | |||
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.36%), 8.71%, 12/23/26 | 834 | 825,901 | |
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.36%), 10.71%, 01/31/28 | 364 | 337,668 | |
2021 Second Lien Term Loan B4, (1-mo. CME Term SOFR + 5.36%), 10.71%, 01/20/29 | 538 | 494,793 | |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.35%), 9.69%, 08/19/28 | 666 | 660,697 | |
Camelot U.S. Acquisition LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/31/31 | 1,651 | 1,653,509 | |
Central Parent, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 07/06/29 | 1,766 | 1,738,931 | |
Epicor Software Corp., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/23/31 | 283 | 284,406 | |
Fortress Intermediate 3, Inc, Term Loan B, 06/27/31(e)(p) | 312 | 312,000 | |
Go Daddy Operating Co. LLC | |||
2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 11/09/29 | 543 | 543,095 | |
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 05/30/31 | 1,163 | 1,161,834 | |
Magenta Buyer LLC | |||
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.59%, 07/27/28 | 523 | 288,606 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.51%), 13.84%, 07/27/29 | 896 | 262,505 | |
Mitchell International, Inc. | |||
2024 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 06/17/31 | 1,199 | 1,187,010 | |
2024 2nd Lien Term Loan, 06/17/32(p) | 286 | 284,393 | |
Venga Finance SARL, 2021 USD Term Loan B, (3- mo. CME Term SOFR + 5.01%), 10.36%, 06/28/29 | 414 | 414,305 | |
10,449,653 | |||
Leisure Products — 0.1% | |||
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.10%), 9.44%, 12/01/28 | 279 | 274,327 | |
Machinery — 1.8% | |||
Columbus McKinnon Corp./New York, 2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/14/28 | 129 | 130,116 |
Security | Par (000) | Value | |
Machinery (continued) | |||
Doosan Bobcat North America, Inc. | |||
2022 Term Loan B, (3-mo. CME Term SOFR + 2.35%), 7.68%, 04/20/29 | USD | 143 | $ 143,186 |
2024 Term Loan, 04/20/29(p) | 67 | 67,017 | |
Generac Power Systems, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.85%), 7.18%, 12/13/26 | 155 | 154,904 | |
SPX Flow, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 04/05/29 | 1,002 | 1,006,973 | |
Titan Acquisition Ltd./Canada, 2024 Term Loan B, (6-mo. CME Term SOFR at 0.00% Floor + 5.00%), 10.33%, 02/15/29 | 3,001 | 3,006,176 | |
TK Elevator U.S. Newco, Inc., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.79%, 04/30/30 | 2,072 | 2,081,338 | |
Vertiv Group Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 03/02/27 | 1,250 | 1,252,057 | |
Wec US Holdings Ltd., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/27/31 | 647 | 647,142 | |
Zurn LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.46%, 10/04/28 | 389 | 391,300 | |
8,880,209 | |||
Media — 1.2% | |||
A L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.84%, 06/30/28 | 203 | 203,617 | |
Charter Communications Operating LLC, 2023 Term Loan B4, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.30%, 12/07/30 | 643 | 634,557 | |
Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.11%), 9.46%, 08/23/28 | 347 | 347,410 | |
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US at 0.00% Floor + 2.50%), 7.94%, 04/15/27 | 723 | 598,818 | |
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.11%), 10.46%, 08/02/27 | 487 | 487,515 | |
ECL Entertainment LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/31/30 | 381 | 381,712 | |
Gray Television, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 5.25%), 10.58%, 06/04/29 | 175 | 166,031 | |
NEP Group, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.25%, 1.50% PIK), 10.21%, 08/19/26(i) | 1,043 | 982,416 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.71%, 09/25/26 | 1,598 | 1,291,058 | |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.85%), 9.19%, 04/21/29 | 278 | 187,956 | |
Ziggo Financing Partnership, USD Term Loan I, (1- mo. CME Term SOFR + 2.61%), 7.94%, 04/30/28 | 510 | 492,436 | |
5,773,526 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels — 1.1% | |||
Freeport LNG Investments LLLP, Term Loan B, (3- mo. CME Term SOFR + 3.50%), 9.09%, 12/21/28 | USD | 1,758 | $ 1,755,497 |
GIP Pilot Acquisition Partners LP, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.83%, 10/04/30 | 137 | 136,891 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR + 4.60%), 9.94%, 09/19/29 | 101 | 101,505 | |
Medallion Midland Acquisition LP, 2023 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 10/18/28 | 1,055 | 1,059,076 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.33%, 10/27/28 | 951 | 923,458 | |
Oryx Midstream Services Permian Basin LLC, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.44%, 10/05/28 | 1,464 | 1,463,091 | |
5,439,518 | |||
Paper & Forest Products — 0.2% | |||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 1.85%), 7.19%, 09/07/27 | 1,034 | 1,033,221 | |
Passenger Airlines — 1.2% | |||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR + 5.01%), 10.34%, 04/20/28 | 1,202 | 1,240,104 | |
Air Canada, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.85%, 03/21/31 | 516 | 515,867 | |
American Airlines, Inc. | |||
Series AA, 2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.85%), 7.07%, 01/29/27 | 1,555 | 1,548,579 | |
2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.77%, 06/04/29 | 213 | 212,468 | |
Series AA, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.19%, 02/15/28 | 657 | 654,512 | |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3- mo. CME Term SOFR + 5.25%), 10.74%, 06/21/27 | 925 | 942,586 | |
United Airlines, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 02/22/31 | 736 | 736,810 | |
WestJet Airlines Ltd., Term Loan B, (1-mo. CME Term SOFR + 3.10%), 8.44%, 12/11/26 | 44 | 44,138 | |
5,895,064 | |||
Pharmaceuticals — 1.2% | |||
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.84%, 05/04/28 | 661 | 663,790 | |
Bausch Health Americas, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR + 5.35%), 10.69%, 02/01/27 | 548 | 497,933 | |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 1.85%), 7.18%, 08/01/27 | 1,076 | 1,071,584 | |
Jazz Financing Lux S.a.r.l., 2024 1st Lien Term Loan B, 05/05/28(p) | 621 | 620,988 | |
Jazz Financing Lux SARL, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.46%, 05/05/28 | 1,060 | 1,059,780 |
Security | Par (000) | Value | |
Pharmaceuticals (continued) | |||
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 10/27/28 | USD | 658 | $ 661,681 |
Organon & Co., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/19/31 | 482 | 482,653 | |
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.69%, 04/20/29 | 466 | 464,107 | |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.10%), 8.43%, 11/18/27 | 619 | 615,782 | |
6,138,298 | |||
Professional Services — 2.3% | |||
CoreLogic, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.96%, 06/02/28 | 1,759 | 1,729,868 | |
Dayforce, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.50%), 7.84%, 02/26/31(e) | 1,006 | 1,007,258 | |
Dun & Bradstreet Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.10%, 01/18/29 | 4,658 | 4,658,354 | |
Element Materials Technology Group U.S. Holdings, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR + 4.35%), 9.68%, 07/06/29 | 966 | 968,743 | |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.85%), 7.19%, 04/28/28 | 933 | 932,905 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.08%, 04/29/29 | 453 | 365,858 | |
Trans Union LLC | |||
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.34%, 12/01/28 | 1,060 | 1,059,002 | |
2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.19%, 06/24/31 | 741 | 740,011 | |
11,461,999 | |||
Real Estate Management & Development — 0.1% | |||
Cushman & Wakefield U.S. Borrower LLC | |||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.21%, 08/21/25 | 24 | 23,797 | |
2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 01/31/30(e) | 299 | 300,746 | |
2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.34%, 01/31/30(e) | 271 | 270,512 | |
595,055 | |||
Semiconductors & Semiconductor Equipment — 0.3% | |||
Entegris, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.08%, 07/06/29 | 500 | 499,875 | |
MKS Instruments, Inc. | |||
2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 08/17/29 | 763 | 763,189 | |
2024 USD Term Loan B, 08/17/29(p) | 152 | 151,968 | |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.85%, 12/02/28 | 249 | 248,462 | |
1,663,494 | |||
Software — 5.7% | |||
Applied Systems, Inc., 2024 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 02/24/31 | 1,511 | 1,520,888 |
Security | Par (000) | Value | |
Software (continued) | |||
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.81%, 08/15/29 | USD | 312 | $ 311,538 |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR + 2.36%), 7.71%, 09/21/28 | 1,259 | 1,258,423 | |
Cloud Software Group, Inc. | |||
2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 03/21/31 | 599 | 600,216 | |
2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 03/30/29 | 3,494 | 3,488,763 | |
Cloudera, Inc. | |||
2021 Second Lien Term Loan, (1-mo. CME Term SOFR + 6.10%), 11.44%, 10/08/29 | 457 | 451,859 | |
2021 Term Loan, (1-mo. CME Term SOFR + 3.85%), 9.19%, 10/08/28(e) | 374 | 374,419 | |
Drake Software LLC, 2024 Term Loan B, 06/26/31(e)(p) | 301 | 297,990 | |
E2open LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 3.61%), 8.96%, 02/04/28 | 111 | 111,193 | |
Ellucian Holdings, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.94%, 10/09/29 | 1,508 | 1,513,547 | |
Gen Digital, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 1.75%), 7.09%, 09/12/29 | 1,182 | 1,177,016 | |
Genesys Cloud Services Holdings II LLC | |||
First Lien Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 | 1,671 | 1,678,689 | |
Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 12/01/27 | 633 | 637,371 | |
Helios Software Holdings, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 07/18/30 | 552 | 552,626 | |
Informatica LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 10/27/28 | 1,215 | 1,217,211 | |
ION Trading Finance Ltd, 2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.35%, 04/01/28 | 220 | 219,499 | |
McAfee Corp., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 03/01/29 | 1,780 | 1,776,264 | |
MH Sub I LLC | |||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 6.25%), 9.59%, 02/23/29 | 436 | 433,297 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 05/03/28 | 1,008 | 1,006,210 | |
Modena Buyer LLC, Term Loan, 07/01/31(p) | 444 | 432,762 | |
Planview Parent, Inc., 2024 Term Loan, 12/17/27(p) | 146 | 145,429 | |
Proofpoint, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.34%, 08/31/28 | 2,404 | 2,405,049 | |
RealPage, Inc. | |||
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 04/24/28 | 1,884 | 1,829,554 | |
2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.61%), 11.96%, 04/23/29 | 420 | 408,450 | |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.33%, 08/01/27 | 640 | 641,198 |
Security | Par (000) | Value | |
Software (continued) | |||
SS&C Technologies, Inc., 2024 Term Loan B8, (1- mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/09/31 | USD | 682 | $ 682,644 |
UKG, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 02/10/31 | 1,859 | 1,865,163 | |
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR + 3.76%), 9.09%, 07/20/28 | 133 | 132,492 | |
VS Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 04/14/31 | 1,340 | 1,341,335 | |
28,511,095 | |||
Specialty Retail — 0.4% | |||
EG America LLC, 2021 Term Loan, (3-mo. SOFR OIS CMPD + 4.51%), 9.82%, 03/31/26(e) | 115 | 114,947 | |
LS Group OpCo Acquistion LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.00%), 8.34%, 04/23/31 | 266 | 265,879 | |
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/11/28 | 850 | 846,134 | |
Restoration Hardware, Inc. | |||
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 10/20/28 | 359 | 348,569 | |
Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.96%, 10/20/28 | 310 | 298,046 | |
1,873,575 | |||
Technology Hardware, Storage & Peripherals — 0.5% | |||
Tempo Acquisition LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 08/31/28 | 2,249 | 2,253,456 | |
Textiles, Apparel & Luxury Goods — 0.0% | |||
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 03/08/30 | 232 | 232,022 | |
Trading Companies & Distributors — 0.5% | |||
Core & Main LP | |||
2024 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.25%), 7.59%, 02/09/31 | 379 | 379,289 | |
2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 07/27/28 | 1,782 | 1,783,347 | |
TMK Hawk Parent Corp.(e) | |||
2024 PIK Term Loan, (3-mo. CME Term SOFR + 11.00%), 11.00%, 12/15/31 | 23 | 18,976 | |
2024 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.25%), 10.59%, 06/30/29 | 724 | 492,513 | |
2,674,125 | |||
Transportation Infrastructure — 0.1% | |||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR + 6.35%), 11.69%, 12/15/26 | 621 | 618,099 |
Security | Par (000) | Value | |
Wireless Telecommunication Services — 0.2% | |||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 04/30/28 | USD | 365 | $ 363,369 |
SBA Senior Finance II LLC, 2024 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.35%, 01/25/31 | 808 | 808,993 | |
1,172,362 | |||
Total Floating Rate Loan Interests — 62.3% (Cost: $313,289,110) | 310,393,521 | ||
Foreign Agency Obligations | |||
Bahrain — 0.1% | |||
Bahrain Government International Bond, 6.75%, 09/20/29(f) | 200 | 202,875 | |
Chile — 0.0% | |||
Chile Government International Bond, 4.34%, 03/07/42(c) | 200 | 172,646 | |
Colombia — 0.1% | |||
Colombia Government International Bond, 8.00%, 04/20/33(c) | 200 | 207,300 | |
Dominican Republic — 0.1% | |||
Dominican Republic International Bond(b) | |||
4.50%, 01/30/30 | 200 | 182,250 | |
7.05%, 02/03/31 | 150 | 154,406 | |
4.88%, 09/23/32 | 150 | 134,531 | |
471,187 | |||
Egypt — 0.0% | |||
Egypt Government International Bond, 7.50%, 02/16/61(b) | 200 | 133,688 | |
Guatemala — 0.0% | |||
Guatemala Government Bond, 4.65%, 10/07/41(b) | 200 | 156,625 | |
Hungary — 0.0% | |||
Hungary Government International Bond, 5.38%, 09/12/33(f) | EUR | 39 | 43,233 |
Ivory Coast — 0.1% | |||
Ivory Coast Government International Bond, 6.38%, 03/03/28(f) | USD | 200 | 193,250 |
Morocco — 0.0% | |||
Morocco Government International Bond, 2.38%, 12/15/27(b) | 200 | 177,800 | |
Nigeria — 0.0% | |||
Nigeria Government International Bond, 8.38%, 03/24/29(b) | 200 | 187,500 | |
Oman — 0.1% | |||
Oman Government International Bond, 6.50%, 03/08/47(f) | 308 | 307,230 | |
Romania — 0.1% | |||
Romanian Government International Bond | |||
5.25%, 11/25/27(b) | 62 | 60,884 | |
2.50%, 02/08/30(f) | EUR | 138 | 129,179 |
2.12%, 07/16/31(f) | 156 | 134,542 | |
324,605 |
Security | Par (000) | Value | |
South Africa — 0.0% | |||
Republic of South Africa Government International Bond, 5.00%, 10/12/46 | USD | 230 | $ 161,288 |
Ukraine — 0.0% | |||
Ukraine Government International Bond(g)(m) | |||
9.75%, 11/01/28(f) | 236 | 74,694 | |
7.25%, 03/15/33(b) | 200 | 56,900 | |
131,594 | |||
Total Foreign Agency Obligations — 0.6% (Cost: $3,248,810) | 2,870,821 |
Shares | |||
Investment Companies | |||
Fixed Income Funds — 1.3% | |||
Invesco Senior Loan ETF | 309,501 | 6,511,901 | |
Total Investment Companies — 1.3% (Cost: $6,465,338) | 6,511,901 |
Par (000) | |||
Non-Agency Mortgage-Backed Securities | |||
Collateralized Mortgage Obligations — 2.2% | |||
Alternative Loan Trust | |||
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | USD | 974 | 531,412 |
Series 2006-J8, Class A5, 6.00%, 02/25/37 | 1,754 | 735,763 | |
Series 2007-19, Class 1A1, 6.00%, 08/25/37 | 541 | 257,207 | |
CHL Mortgage Pass-Through Trust | |||
Series 2005-17, Class 1A6, 5.50%, 09/25/35 | 72 | 67,609 | |
Series 2006-17, Class A2, 6.00%, 12/25/36 | 612 | 243,985 | |
Series 2007-HY5, Class 3A1, 5.06%, 09/25/37(a) | 232 | 200,741 | |
COLT Mortgage Loan Trust(b) | |||
Series 2022-7, Class A1, 5.16%, 04/25/67 | 1,886 | 1,854,112 | |
Series 2022-9, Class A1, 6.79%, 12/25/67 | 240 | 240,597 | |
Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, 06/25/66(a)(b) | 194 | 158,326 | |
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67(a)(b) | 1,374 | 1,332,172 | |
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.93%, 10/25/35(a) | 302 | 158,890 | |
JP Morgan Mortgage Trust, Series 2022-DSC1, Class A1, 4.75%, 01/25/63(a)(b) | 362 | 343,330 | |
OBX Trust(b) | |||
Series 2022-NQM9, Class A1A, 6.45%, 09/25/62 | 85 | 85,099 | |
Series 2023-NQM6, Class A1, 6.52%, 07/25/63 | 984 | 987,844 | |
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57(b) | 550 | 520,065 | |
Verus Securitization Trust(b) | |||
Series 2022-3, Class A1, 4.13%, 02/25/67 | 1,267 | 1,180,018 | |
Series 2022-7, Class A1, 5.15%, 07/25/67 | 1,535 | 1,516,655 | |
Series 2022-INV2, Class A1, 6.79%, 10/25/67 | 371 | 372,782 | |
10,786,607 | |||
Commercial Mortgage-Backed Securities(b) — 1.4% | |||
BLP Commercial Mortgage Trust, Series 2024-INDS, Class D, (1 mo. Term SOFR + 2.59%), 7.92%, 03/15/41(a) | 400 | 396,500 |
Security | Par (000) | Value | |
Commercial Mortgage-Backed Securities (continued) | |||
BX Commercial Mortgage Trust(a) | |||
Series 2021-CIP, Class A, (1 mo. Term SOFR + 1.04%), 6.36%, 12/15/38 | USD | 1,000 | $ 988,756 |
Series 2021-XL2, Class A, (1 mo. Term SOFR + 0.80%), 6.13%, 10/15/38 | 345 | 341,253 | |
Series 2024-MF, Class C, (1 mo. Term SOFR + 1.94%), 7.27%, 02/15/39 | 510 | 503,625 | |
Series 2024-XL4, Class C, (1 mo. Term SOFR + 2.19%), 7.52%, 02/15/39 | 98 | 98,066 | |
BX Trust(a) | |||
Series 2022 VAMF, Class A, (1 mo. Term SOFR + 0.85%), 6.18%, 01/15/39 | 1,200 | 1,183,507 | |
Series 2024-BIO, Class C, (1 mo. Term SOFR + 2.64%), 7.97%, 02/15/41 | 240 | 238,952 | |
Series 2024-CNYN, Class C, (1 mo. Term SOFR + 1.94%), 7.27%, 04/15/29 | 795 | 790,885 | |
Series 2024-PAT, Class B, (1 mo. Term SOFR + 3.04%), 8.37%, 03/15/41 | 170 | 169,787 | |
Century Plaza Towers, Series 2019-CPT, Class C, 3.10%, 11/13/39(a) | 250 | 197,046 | |
DC Trust, Series 2024-HLTN, Class C, 7.29%, 04/13/28(a) | 220 | 221,145 | |
JW Commercial Mortgage Trust, Series 2024-MRCO, Class C, (1 mo. Term SOFR + 2.39%), 7.71%, 06/15/39(a) | 800 | 795,997 | |
MCR Mortgage Trust, Series 2024-TWA, Class E, 8.73%, 06/12/39 | 800 | 797,011 | |
Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class D, 07/15/43(d) | 250 | 247,499 | |
6,970,029 | |||
Total Non-Agency Mortgage-Backed Securities — 3.6% (Cost: $18,854,506) | 17,756,636 |
Benefical Interest (000) | |||
Other Interests | |||
Capital Markets — 0.0% | |||
Millennium Lender Claim Trust(e)(r) | USD | 918 | — |
Industrial Conglomerates — 0.0% | |||
Millennium Corp. Claim(e)(r) | 861 | — | |
Total Other Interests — 0.0% (Cost: $ — ) | — |
Par (000) | |||
Preferred Securities | |||
Capital Trusts — 6.0%(a) | |||
Automobiles(j) — 0.1% | |||
General Motors Financial Co., Inc., Series C, 5.70%(c) | USD | 365 | 342,633 |
Volkswagen International Finance NV, 3.88%(f) | EUR | 100 | 99,679 |
442,312 |
Security | Par (000) | Value | |
Banks — 5.0% | |||
AIB Group PLC, 5.25%(f)(j) | EUR | 200 | $ 213,387 |
Bank of America Corp., Series X, 6.25%(c)(j) | USD | 1,929 | 1,920,999 |
Barclays PLC(j) | |||
4.38%(c) | 2,455 | 2,061,473 | |
8.00% | 210 | 213,221 | |
9.63% | 805 | 872,694 | |
BNP Paribas SA, 4.63%(b)(c)(j) | 2,425 | 1,941,876 | |
Chong Hing Bank Ltd., 5.70%(f)(j) | 250 | 249,531 | |
Citigroup, Inc., Series AA, 7.63%(c)(j) | 326 | 339,425 | |
HSBC Holdings PLC(c)(j) | |||
6.00% | 415 | 400,723 | |
6.38% | 500 | 498,501 | |
ING Groep NV, 3.88%(c)(j) | 1,750 | 1,478,208 | |
JPMorgan Chase & Co. | |||
Series FF, 5.00%(c)(j) | 2,000 | 1,994,280 | |
Series U, 6.54%, 01/15/87 | 325 | 298,177 | |
Krung Thai Bank PCL/Cayman Islands, 4.40%(f)(j) | 202 | 192,026 | |
Lloyds Banking Group PLC(j) | |||
8.00%(c) | 2,265 | 2,315,290 | |
6.75% | 450 | 448,314 | |
7.50%(c) | 1,250 | 1,249,548 | |
NatWest Group PLC(j) | |||
8.13% | 735 | 742,604 | |
6.00%(c) | 1,185 | 1,159,211 | |
Nordea Bank Abp, 3.75%(b)(c)(j) | 560 | 466,898 | |
PNC Financial Services Group, Inc.(c)(j) | |||
Series V, 6.20% | 290 | 288,872 | |
Series W, 6.25% | 289 | 281,622 | |
Rizal Commercial Banking Corp., 6.50%(f)(j) | 200 | 197,625 | |
Societe Generale SA, 5.38%(b)(j) | 4,250 | 3,424,038 | |
UBS Group AG(b)(j) | |||
Series NC10, 9.25%(c) | 640 | 716,731 | |
Series NC5, 9.25% | 460 | 494,915 | |
Wells Fargo & Co., 7.63%(c)(j) | 439 | 467,493 | |
Woori Bank, 4.25%(f)(j) | 250 | 247,812 | |
25,175,494 | |||
Construction & Engineering — 0.0% | |||
Abertis Infraestructuras Finance BV, 3.25%(f)(j) | EUR | 100 | 104,150 |
Consumer Finance — 0.2% | |||
Charles Schwab Corp., Series H, 4.00%(c)(j) | USD | 1,000 | 854,014 |
Diversified Telecommunication Services(f) — 0.1% | |||
British Telecommunications PLC, 8.38%, 12/20/83 | GBP | 100 | 134,340 |
Telefonica Europe BV, 6.14%(j) | EUR | 200 | 224,349 |
Vodafone Group PLC, 2.63%, 08/27/80 | 100 | 102,952 | |
461,641 | |||
Electric Utilities — 0.6% | |||
Edison International, Series B, 5.00%(j) | USD | 258 | 245,410 |
EDP - Energias de Portugal SA, 5.94%, 04/23/83(f) | EUR | 100 | 111,510 |
Electricite de France SA, 3.00%(f)(j) | 200 | 196,523 | |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(c) | USD | 1,750 | 1,670,266 |
NRG Energy, Inc., 10.25%(b)(c)(j) | 475 | 519,512 | |
Vistra Corp., 7.00%(b)(j) | 209 | 207,184 | |
2,950,405 | |||
29,988,016 |
Security | Shares | Value | |
Preferred Stocks — 0.6% | |||
Capital Markets(a)(j) — 0.6% | |||
Morgan Stanley | |||
Series F, 6.88% | 55,000 | $ 1,379,950 | |
Series K, 5.85% | 53,253 | 1,322,804 | |
2,702,754 | |||
Wireless Telecommunication Services — 0.0% | |||
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $136,755)(g)(h) | 139,661 | 701 | |
2,703,455 | |||
Total Preferred Securities — 6.6% (Cost: $34,498,612) | 32,691,471 |
Par (000) | |||
U.S. Government Sponsored Agency Securities | |||
Commercial Mortgage-Backed Securities — 0.0% | |||
Freddie Mac Multifamily Structured Pass Through Certificates, Series K042, Class X1, 1.14%, 12/25/24(a) | USD | 30,706 | 52,204 |
Mortgage-Backed Securities(s) — 3.9% | |||
Uniform Mortgage-Backed Securities | |||
3.50%, 07/15/54 | 9,000 | 7,965,000 | |
4.00%, 07/15/54 | 4,140 | 3,787,938 | |
5.00%, 07/15/54 | 3,500 | 3,382,422 | |
5.50%, 07/15/54 | 4,600 | 4,536,570 | |
19,671,930 | |||
Total U.S. Government Sponsored Agency Securities — 3.9% (Cost: $19,717,771) | 19,724,134 | ||
U.S. Treasury Obligations | |||
U.S. Treasury Notes, 4.88%, 05/31/26(c) | 57,000 | 57,115,781 | |
Total U.S. Treasury Obligations — 11.5% (Cost: $57,136,583) | 57,115,781 |
Shares | |||
Warrants | |||
Consumer Discretionary — 0.0% | |||
Service King (Carnelian Point), (Exercisable 01/14/23, 1 Share for 1 Warrant, Expires 06/30/27, Strike Price USD 10.00)(g) | 1,315 | — | |
Oil, Gas & Consumable Fuels — 0.0% | |||
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(g) | 345 | 6,153 | |
Total Warrants — 0.0% (Cost: $ — ) | 6,153 | ||
Total Long-Term Investments — 173.3% (Cost: $883,522,445) | 863,902,099 |
Security | Shares | Value | |
Short-Term Securities | |||
Money Market Funds — 0.1% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(t)(u) | 502,236 | $ 502,236 | |
Total Short-Term Securities — 0.1% (Cost: $502,236) | 502,236 | ||
Total Investments — 173.4% (Cost: $884,024,681) | 864,404,335 | ||
Liabilities in Excess of Other Assets — (73.4)% | (366,010,623 ) | ||
Net Assets — 100.0% | $ 498,393,712 |
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(d) | When-issued security. |
(e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(f) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(g) | Non-income producing security. |
(h) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $281,499, representing 0.1% of its net assets as of period end, and an original cost of $555,739. |
(i) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(j) | Perpetual security with no stated maturity date. |
(k) | Convertible security. |
(l) | Zero-coupon bond. |
(m) | Issuer filed for bankruptcy and/or is in default. |
(n) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(o) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(p) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(q) | Rounds to less than 1,000. |
(r) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(s) | Represents or includes a TBA transaction. |
(t) | Affiliate of the Fund. |
(u) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 5,762,133 | $ — | $ (5,259,897 )(a) | $ — | $ — | $ 502,236 | 502,236 | $ 76,877 | $ — |
(a) | Represents net amount purchased (sold). |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
HSBC Securities (USA), Inc. | 5.50 %(b) | 12/08/23 | Open | $ 903,750 | $ 931,779 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 12/08/23 | Open | 803,750 | 828,677 | Corporate Bonds | Open/Demand |
Barclays Bank PLC | 5.50 (b) | 01/29/24 | Open | 816,750 | 835,842 | Corporate Bonds | Open/Demand |
Barclays Bank PLC | 5.50 (b) | 01/29/24 | Open | 459,750 | 470,497 | Corporate Bonds | Open/Demand |
Barclays Bank PLC | 5.55 (b) | 01/29/24 | Open | 466,875 | 477,887 | Capital Trusts | Open/Demand |
Barclays Bank PLC | 5.55 (b) | 01/29/24 | Open | 1,887,500 | 1,932,021 | Capital Trusts | Open/Demand |
Barclays Bank PLC | 5.55 (b) | 01/29/24 | Open | 1,281,875 | 1,312,111 | Capital Trusts | Open/Demand |
Barclays Bank PLC | 5.55 (b) | 01/29/24 | Open | 415,100 | 424,891 | Capital Trusts | Open/Demand |
Barclays Capital, Inc. | 5.55 (b) | 01/29/24 | Open | 396,384 | 405,733 | Corporate Bonds | Open/Demand |
Barclays Capital, Inc. | 5.55 (b) | 01/29/24 | Open | 297,763 | 304,786 | Capital Trusts | Open/Demand |
Barclays Capital, Inc. | 5.55 (b) | 01/29/24 | Open | 609,626 | 624,006 | Corporate Bonds | Open/Demand |
Barclays Capital, Inc. | 5.70 (b) | 01/29/24 | Open | 307,033 | 314,470 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.55 (b) | 01/29/24 | Open | 550,462 | 563,447 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.59 (b) | 01/29/24 | Open | 290,460 | 297,361 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.50 (b) | 02/08/24 | Open | 666,250 | 680,806 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.52 (b) | 02/08/24 | Open | 177,900 | 181,801 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.52 (b) | 02/08/24 | Open | 324,594 | 331,711 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.57 (b) | 02/08/24 | Open | 319,881 | 326,959 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.59 (b) | 02/08/24 | Open | 290,000 | 296,439 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.59 (b) | 02/08/24 | Open | 300,300 | 306,968 | Corporate Bonds | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.61 (b) | 02/08/24 | Open | 924,157 | 944,752 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 02/08/24 | Open | 1,210,729 | 1,236,939 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 03/08/24 | Open | 100,328 | 102,091 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 03/15/24 | Open | 704,880 | 716,496 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 03/25/24 | Open | 528,889 | 536,941 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 03/27/24 | Open | 687,187 | 697,143 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/03/24 | Open | 444,690 | 450,658 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.35 (b) | 04/03/24 | Open | 408,360 | 413,700 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/03/24 | Open | 153,425 | 155,480 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/08/24 | Open | 2,641,365 | 2,676,187 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.00 (b) | 04/12/24 | Open | 182,466 | 184,417 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 118,952 | 120,313 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 204,997 | 207,342 | Foreign Agency Obligations | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 185,071 | 187,188 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 04/12/24 | Open | 1,103,406 | 1,116,198 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 922,500 | 933,313 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 161,263 | 163,153 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 189,750 | 191,974 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
Nomura Securities International, Inc. | 5.48 %(b) | 04/12/24 | Open | $ 121,253 | $ 122,674 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 115,091 | 116,440 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 193,060 | 195,323 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 86,229 | 87,239 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 264,615 | 267,717 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 172,250 | 174,269 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 240,443 | 243,261 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 266,760 | 269,887 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 197,415 | 199,729 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 338,782 | 342,753 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.50 (b) | 04/12/24 | Open | 574,687 | 581,448 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.50 (b) | 04/12/24 | Open | 157,680 | 159,535 | Foreign Agency Obligations | Open/Demand |
Nomura Securities International, Inc. | 5.57 (b) | 04/12/24 | Open | 171,270 | 173,310 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.57 (b) | 04/12/24 | Open | 1,318,684 | 1,334,394 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.62 (b) | 04/12/24 | Open | 1,332,375 | 1,348,391 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.62 (b) | 04/12/24 | Open | 552,200 | 558,838 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.62 (b) | 04/12/24 | Open | 260,100 | 263,227 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.65 (b) | 04/12/24 | Open | 111,325 | 112,670 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.65 (b) | 04/12/24 | Open | 279,311 | 282,687 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 503,291 | 509,395 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 438,840 | 444,162 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 238,566 | 241,459 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 302,198 | 305,862 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 264,860 | 268,072 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 263,175 | 266,367 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/12/24 | Open | 915,368 | 926,861 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.50 (b) | 04/18/24 | Open | 357,837 | 361,882 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/18/24 | Open | 384,187 | 388,657 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/18/24 | Open | 351,260 | 355,347 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/18/24 | Open | 393,660 | 398,240 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/18/24 | Open | 362,400 | 366,616 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.72 (b) | 04/18/24 | Open | 565,069 | 571,713 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.72 (b) | 04/18/24 | Open | 719,629 | 728,090 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 451,806 | 456,543 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 122,850 | 124,138 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 104,040 | 105,131 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 315,219 | 318,524 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/22/24 | Open | 137,700 | 139,191 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/22/24 | Open | 194,955 | 197,066 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/23/24 | Open | 312,694 | 316,080 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/23/24 | Open | 297,121 | 300,339 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/23/24 | Open | 327,568 | 331,115 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/26/24 | Open | 278,760 | 281,653 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.30 (b) | 04/29/24 | Open | 476,690 | 481,041 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.30 (b) | 04/29/24 | Open | 903,482 | 911,729 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.32 (b) | 04/29/24 | Open | 912,925 | 921,289 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.35 (b) | 04/29/24 | Open | 1,434,240 | 1,446,961 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.39 (b) | 04/29/24 | Open | 323,380 | 326,382 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.42 (b) | 04/29/24 | Open | 408,100 | 411,909 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.44 (b) | 04/29/24 | Open | 264,465 | 266,943 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 743,750 | 750,731 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 190,250 | 192,036 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 187,429 | 189,189 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 631,969 | 637,900 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.47 (b) | 04/29/24 | Open | 465,470 | 469,855 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.47 (b) | 04/29/24 | Open | 527,425 | 532,394 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.48 (b) | 04/29/24 | Open | 214,988 | 217,017 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.48 (b) | 04/29/24 | Open | 457,121 | 461,435 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 276,986 | 279,605 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 93,958 | 94,846 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 742,140 | 749,157 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 1,006,696 | 1,016,215 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BNP Paribas SA | 5.49 %(b) | 04/29/24 | Open | $ 233,870 | $ 236,081 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 281,350 | 284,010 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 380,292 | 383,888 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 946,250 | 955,197 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 353,635 | 356,979 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 765,789 | 773,029 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 152,618 | 154,061 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 2,683,249 | 2,708,619 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 173,700 | 175,342 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 99,219 | 100,157 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.50 (b) | 04/29/24 | Open | 1,223,437 | 1,235,026 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.51 (b) | 04/29/24 | Open | 266,075 | 268,600 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 107,398 | 108,422 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 197,780 | 199,667 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 162,750 | 164,303 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 88,908 | 89,756 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 1,789,147 | 1,806,218 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 162,435 | 163,985 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.56 (b) | 04/29/24 | Open | 499,456 | 504,239 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.64 (b) | 04/29/24 | Open | 192,780 | 194,608 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 195,525 | 197,428 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 291,619 | 294,456 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 281,356 | 284,094 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 100,595 | 101,574 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 249,498 | 251,925 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 306,848 | 309,833 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.65 (b) | 04/29/24 | Open | 141,295 | 142,670 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.68 (b) | 04/29/24 | Open | 358,497 | 362,004 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.68 (b) | 04/29/24 | Open | 358,800 | 362,310 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.70 (b) | 04/29/24 | Open | 1,170,312 | 1,181,801 | Capital Trusts | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 04/29/24 | Open | 278,113 | 280,863 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.40 (b) | 04/30/24 | Open | 534,284 | 539,172 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.40 (b) | 04/30/24 | Open | 440,744 | 444,777 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.40 (b) | 04/30/24 | Open | 1,407,206 | 1,420,082 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 231,900 | 234,045 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 190,133 | 191,892 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 303,194 | 305,999 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 230,145 | 232,274 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 04/30/24 | Open | 198,263 | 200,127 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/30/24 | Open | 207,113 | 209,131 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/30/24 | Open | 208,911 | 210,948 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 04/30/24 | Open | 236,717 | 239,025 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/02/24 | Open | 87,968 | 88,772 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.40 (b) | 05/06/24 | Open | 1,294,256 | 1,305,128 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/06/24 | Open | 454,972 | 458,851 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 173,206 | 174,659 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 461,887 | 465,762 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 298,980 | 301,488 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 494,339 | 498,485 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.50 (b) | 05/06/24 | Open | 1,143,000 | 1,152,604 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.51 (b) | 05/06/24 | Open | 256,550 | 258,710 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.51 (b) | 05/06/24 | Open | 304,500 | 307,063 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.63 (b) | 05/06/24 | Open | 390,525 | 393,884 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.64 (b) | 05/06/24 | Open | 1,270,490 | 1,281,437 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 106,163 | 107,079 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 358,610 | 361,705 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 367,966 | 371,143 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 296,700 | 299,261 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 736,074 | 742,428 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 242,146 | 244,236 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 616,455 | 621,776 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 316,030 | 318,758 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
TD Securities (USA) LLC | 5.65 %(b) | 05/06/24 | Open | $ 290,140 | $ 292,644 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 353,190 | 356,239 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 270,407 | 272,741 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 254,813 | 257,012 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 221,367 | 223,278 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 281,815 | 284,248 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 743,687 | 750,107 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 231,368 | 233,365 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 319,848 | 322,608 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 1,116,500 | 1,126,138 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 299,907 | 302,496 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 559,638 | 564,469 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 677,700 | 683,550 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 294,648 | 297,191 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 755,824 | 762,348 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/06/24 | Open | 184,663 | 186,256 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/06/24 | Open | 316,278 | 319,012 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 274,631 | 277,014 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 994,894 | 1,003,527 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 253,640 | 255,841 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 274,050 | 276,428 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 199,969 | 201,704 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 367,148 | 370,334 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 316,625 | 319,373 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 227,115 | 229,086 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 258,930 | 261,177 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 298,373 | 300,962 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/06/24 | Open | 282,748 | 285,202 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.70 (b) | 05/06/24 | Open | 537,320 | 541,999 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.70 (b) | 05/06/24 | Open | 360,230 | 363,367 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.71 (b) | 05/06/24 | Open | 344,755 | 347,763 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/08/24 | Open | 295,278 | 297,780 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/10/24 | Open | 102,515 | 103,328 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 05/13/24 | Open | 1,166,040 | 1,174,690 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/13/24 | Open | 157,961 | 159,142 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 110,113 | 110,937 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 197,056 | 198,531 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 206,669 | 208,216 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 174,930 | 176,240 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 155,969 | 157,136 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 116,150 | 117,020 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 174,825 | 176,134 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.57 (b) | 05/13/24 | Open | 258,500 | 260,460 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 05/13/24 | Open | 1,441,392 | 1,452,516 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.69 (b) | 05/13/24 | Open | 305,468 | 307,833 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.69 (b) | 05/13/24 | Open | 344,062 | 346,727 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/13/24 | Open | 130,050 | 131,055 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.70 (b) | 05/17/24 | Open | 213,188 | 214,706 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/17/24 | Open | 473,360 | 476,703 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/17/24 | Open | 844,048 | 850,020 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/17/24 | Open | 3,233,100 | 3,255,974 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.72 (b) | 05/17/24 | Open | 231,880 | 233,538 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.25 (b) | 05/20/24 | Open | 343,362 | 345,415 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.35 (b) | 05/20/24 | Open | 546,815 | 550,147 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/20/24 | Open | 304,470 | 306,360 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 505,750 | 508,947 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 338,870 | 341,012 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 490,100 | 493,198 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 511,339 | 514,571 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 310,538 | 312,500 | Capital Trusts | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 429,637 | 432,353 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 466,620 | 469,569 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
Nomura Securities International, Inc. | 5.32 %(b) | 05/20/24 | Open | $ 800,985 | $ 805,838 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 255,054 | 256,599 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 99,738 | 100,343 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 167,365 | 168,379 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 257,764 | 259,326 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/20/24 | Open | 494,042 | 497,126 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.63 (b) | 05/20/24 | Open | 383,467 | 385,926 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.65 (b) | 05/20/24 | Open | 175,576 | 176,706 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 05/20/24 | Open | 722,822 | 727,490 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 05/20/24 | Open | 1,642,763 | 1,653,371 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.70 (b) | 05/20/24 | Open | 781,492 | 786,566 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.80 (b) | 05/20/24 | Open | 459,113 | 462,146 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.42 (b) | 05/22/24 | Open | 690,762 | 694,818 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 1,126,540 | 1,133,240 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 118,169 | 118,872 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 458,662 | 461,390 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 124,960 | 125,703 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/22/24 | Open | 865,970 | 871,243 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.50 (b) | 05/22/24 | Open | 256,073 | 257,638 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/22/24 | Open | 1,795,601 | 1,806,874 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.48 (b) | 05/23/24 | Open | 176,500 | 177,548 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/23/24 | Open | 447,764 | 450,427 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 05/23/24 | Open | 197,725 | 198,935 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 05/23/24 | Open | 2,657,160 | 2,673,424 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/23/24 | Open | 224,940 | 226,268 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/23/24 | Open | 677,492 | 681,566 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/23/24 | Open | 861,761 | 866,943 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 05/23/24 | Open | 592,187 | 595,697 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/23/24 | Open | 121,189 | 121,908 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 4.65 (b) | 05/23/24 | Open | 950,595 | 955,261 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.15 (b) | 05/23/24 | Open | 793,492 | 797,806 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 360,437 | 362,530 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 158,100 | 159,018 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 331,650 | 333,575 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 403,462 | 405,805 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 820,125 | 824,886 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 274,500 | 276,094 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.53 (b) | 05/23/24 | Open | 216,494 | 217,757 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.53 (b) | 05/23/24 | Open | 604,500 | 608,029 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.53 (b) | 05/23/24 | Open | 2,756 | 2,772 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.53 (b) | 05/23/24 | Open | 343,469 | 345,474 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.53 (b) | 05/23/24 | Open | 321,750 | 323,628 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.63 (b) | 05/23/24 | Open | 244,770 | 246,225 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.63 (b) | 05/23/24 | Open | 403,925 | 406,325 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.63 (b) | 05/23/24 | Open | 643,792 | 647,618 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.63 (b) | 05/23/24 | Open | 420,375 | 422,873 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 247,836 | 249,314 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 124,230 | 124,971 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 387,397 | 389,708 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 218,125 | 219,426 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 198,211 | 199,393 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 178,369 | 179,433 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 308,500 | 310,340 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 357,420 | 359,552 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 474,810 | 477,642 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 398,750 | 401,128 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 229,440 | 230,808 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 227,166 | 228,521 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 1,034,357 | 1,040,526 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 110,250 | 110,908 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 100,781 | 101,382 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 424,200 | 426,730 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
RBC Capital Markets, LLC | 5.65 %(b) | 05/23/24 | Open | $ 203,125 | $ 204,336 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/23/24 | Open | 77,865 | 78,329 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 1,932,525 | 1,944,354 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 228,863 | 230,263 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 367,010 | 369,256 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 1,607,520 | 1,617,359 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 516,162 | 519,322 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 494,490 | 497,517 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 449,450 | 452,201 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 746,001 | 750,567 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/23/24 | Open | 496,632 | 499,672 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/23/24 | Open | 140,991 | 141,856 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/23/24 | Open | 256,729 | 258,303 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/24/24 | Open | 115,570 | 116,240 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 05/24/24 | Open | 254,588 | 256,025 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 05/24/24 | Open | 526,159 | 529,308 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 05/24/24 | Open | 147,815 | 148,697 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/24/24 | Open | 922,712 | 928,215 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/24/24 | Open | 190,125 | 191,258 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/24/24 | Open | 233,730 | 235,124 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 05/24/24 | Open | 160,298 | 161,259 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.67 (b) | 05/28/24 | Open | 337,302 | 339,108 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.64 (b) | 05/29/24 | Open | 825,649 | 829,917 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.42 (b) | 05/30/24 | Open | 238,750 | 239,900 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/30/24 | Open | 1,052,372 | 1,057,508 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.52 (b) | 05/30/24 | Open | 174,750 | 175,607 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.52 (b) | 05/30/24 | Open | 253,193 | 254,435 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.52 (b) | 05/30/24 | Open | 174,350 | 175,205 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 05/30/24 | Open | 1,387,250 | 1,394,242 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/30/24 | Open | 281,960 | 283,379 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 05/31/24 | Open | 446,081 | 448,175 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.47 (b) | 05/31/24 | Open | 775,715 | 779,369 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.64 (b) | 05/31/24 | Open | 205,943 | 206,943 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/31/24 | Open | 495,360 | 497,629 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 05/31/24 | Open | 367,737 | 369,470 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/31/24 | Open | 1,487,946 | 1,495,186 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/03/24 | Open | 391,300 | 393,023 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/03/24 | Open | 451,052 | 453,037 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/03/24 | Open | 314,862 | 316,248 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/03/24 | Open | 373,926 | 375,572 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 06/04/24 | Open | 211,680 | 212,552 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 06/04/24 | Open | 459,436 | 461,349 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.53 (b) | 06/04/24 | Open | 624,680 | 627,271 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 06/04/24 | Open | 436,955 | 438,807 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/04/24 | Open | 321,263 | 322,624 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/05/24 | Open | 288,640 | 289,818 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 06/06/24 | Open | 102,875 | 103,268 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 06/06/24 | Open | 147,938 | 148,503 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 06/06/24 | Open | 127,348 | 127,834 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 06/06/24 | Open | 124,140 | 124,627 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 06/06/24 | Open | 161,922 | 162,557 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 06/07/24 | Open | 1,329,320 | 1,334,185 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.60 (b) | 06/07/24 | Open | 144,638 | 145,177 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 06/07/24 | Open | 286,781 | 287,861 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 06/07/24 | Open | 1,435,365 | 1,440,484 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 06/07/24 | Open | 481,950 | 483,691 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 06/07/24 | Open | 122,101 | 122,542 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.65 (b) | 06/07/24 | Open | 320,875 | 322,084 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 06/07/24 | Open | 202,635 | 203,398 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.63 (b) | 06/07/24 | Open | 790,969 | 793,938 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 456,960 | 458,681 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 463,410 | 465,156 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
TD Securities (USA) LLC | 5.65 %(b) | 06/07/24 | Open | $ 601,816 | $ 604,083 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 281,646 | 282,707 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 1,847,305 | 1,854,263 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 3,253,740 | 3,265,996 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 268,920 | 269,933 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 334,767 | 336,028 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 191,675 | 192,397 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 2,529,367 | 2,538,895 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/07/24 | Open | 337,579 | 338,853 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/07/24 | Open | 179,280 | 179,956 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 06/07/24 | Open | 747,870 | 750,702 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.65 (b) | 06/10/24 | Open | 362,268 | 363,462 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/10/24 | Open | 405,519 | 406,855 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/10/24 | Open | 388,036 | 389,315 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/10/24 | Open | 330,674 | 331,764 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.74 (b) | 06/10/24 | Open | 531,030 | 532,808 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 06/11/24 | Open | 2,101,990 | 2,108,611 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.53 (b) | 06/11/24 | Open | 225,600 | 226,293 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/11/24 | Open | 297,660 | 298,594 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 06/12/24 | Open | 207,475 | 208,069 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 06/12/24 | Open | 277,860 | 278,655 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/12/24 | Open | 1,415,590 | 1,419,819 | Corporate Bonds | Open/Demand |
Barclays Bank PLC | 5.49 | 06/13/24 | 08/01/24 | 866,250 | 868,628 | Corporate Bonds | 31 - 90 Days |
Barclays Bank PLC | 5.60 | 06/13/24 | 08/01/24 | 2,352,687 | 2,359,274 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 2.00 | 06/13/24 | 08/01/24 | 24,488 | 24,512 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 4.00 | 06/13/24 | 08/01/24 | 195,514 | 195,905 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.45 | 06/13/24 | 08/01/24 | 261,184 | 261,895 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.45 | 06/13/24 | 08/01/24 | 711,088 | 713,026 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.49 | 06/13/24 | 08/01/24 | 1,447,625 | 1,451,599 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.49 | 06/13/24 | 08/01/24 | 891,537 | 893,985 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/13/24 | 08/01/24 | 49,733 | 49,871 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/13/24 | 08/01/24 | 187,275 | 187,795 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/13/24 | 08/01/24 | 159,896 | 160,340 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/13/24 | 08/01/24 | 1,609,594 | 1,614,060 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.60 | 06/13/24 | 08/01/24 | 444,231 | 445,475 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 703,587 | 705,575 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 1,028,307 | 1,031,212 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 808,165 | 810,448 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 421,490 | 422,681 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 416,810 | 417,987 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 553,007 | 554,569 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 318,980 | 319,881 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 378,637 | 379,707 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 602,343 | 604,044 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 967,400 | 970,133 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 314,885 | 315,775 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 1,114,350 | 1,117,498 | Capital Trusts | 31 - 90 Days |
Merrill Lynch International | 5.60 | 06/14/24 | 07/17/24 | 266,480 | 267,060 | Foreign Agency Obligations | Up to 30 Days |
Merrill Lynch International | 5.70 | 06/14/24 | 07/17/24 | 229,398 | 229,906 | Capital Trusts | Up to 30 Days |
Barclays Capital, Inc. | 5.65 | 06/14/24 | 08/01/24 | 528,840 | 530,251 | Corporate Bonds | 31 - 90 Days |
TD Securities (USA) LLC | 5.66 (b) | 06/14/24 | Open | 138,883 | 139,254 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.72 (b) | 06/14/24 | Open | 277,742 | 278,493 | Corporate Bonds | Open/Demand |
BofA Securities, Inc. | 5.15 | 06/17/24 | 07/17/24 | 888,180 | 889,959 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.15 | 06/17/24 | 07/17/24 | 460,252 | 461,174 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.15 | 06/17/24 | 07/17/24 | 632,385 | 633,652 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.20 | 06/17/24 | 07/17/24 | 172,800 | 173,149 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.25 | 06/17/24 | 07/17/24 | 265,073 | 265,614 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.25 | 06/17/24 | 07/17/24 | 73,840 | 73,991 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.30 | 06/17/24 | 07/17/24 | 1,734,420 | 1,737,995 | Capital Trusts | Up to 30 Days |
BofA Securities, Inc. | 5.30 | 06/17/24 | 07/17/24 | 241,413 | 241,910 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 260,733 | 261,275 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 381,761 | 382,556 | Corporate Bonds | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BofA Securities, Inc. | 5.35 % | 06/17/24 | 07/17/24 | $ 504,247 | $ 505,297 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 200,248 | 200,664 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 485,587 | 486,598 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 599,625 | 600,873 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 1,271,170 | 1,273,815 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 519,675 | 520,756 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 242,269 | 242,773 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 1,170,037 | 1,172,495 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 1,519,507 | 1,522,698 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 259,994 | 260,540 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 705,185 | 706,666 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 190,255 | 190,654 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 169,050 | 169,405 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 305,078 | 305,718 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 198,581 | 198,998 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 547,085 | 548,234 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 176,320 | 176,690 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 356,250 | 356,998 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 386,802 | 387,615 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 350,455 | 351,191 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 266,663 | 267,223 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 2,468,407 | 2,473,591 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 100,130 | 100,340 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 135,568 | 135,852 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 486,844 | 487,866 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 246,975 | 247,494 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 273,480 | 274,054 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 374,653 | 374,653 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 1,128,431 | 1,130,823 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 277,550 | 278,138 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 234,390 | 234,887 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 939,220 | 941,211 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 242,809 | 243,323 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 529,107 | 530,228 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 577,866 | 579,091 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 160,836 | 161,177 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 606,300 | 607,585 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 347,755 | 348,492 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 115,125 | 115,369 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 222,866 | 223,339 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 394,095 | 394,930 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 297,490 | 298,121 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 571,252 | 572,463 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 827,206 | 828,959 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 112,838 | 113,077 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 106,453 | 106,678 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 152,475 | 152,798 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 287,636 | 288,246 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 212,008 | 212,457 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 225,825 | 226,304 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 203,823 | 204,254 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 196,645 | 197,062 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 255,592 | 256,134 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 377,345 | 378,145 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 975,485 | 977,552 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 187,076 | 187,473 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 393,727 | 393,727 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 996,250 | 998,381 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 295,960 | 296,593 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 173,443 | 173,813 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 100,854 | 101,069 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 643,106 | 644,482 | Corporate Bonds | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BofA Securities, Inc. | 5.50 % | 06/17/24 | 07/17/24 | $ 342,360 | $ 343,092 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 253,289 | 253,831 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 439,516 | 440,456 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 95,140 | 95,343 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 408,212 | 409,086 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 655,720 | 657,123 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 184,875 | 185,270 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 322,875 | 323,566 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 470,250 | 471,256 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 624,996 | 626,333 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 127,305 | 127,577 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 477,300 | 478,321 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 519,557 | 520,669 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 470,137 | 471,143 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 744,800 | 746,393 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 123,750 | 124,015 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 154,025 | 154,354 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 253,646 | 254,189 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 1,843,435 | 1,847,378 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 213,053 | 213,508 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 555,594 | 556,782 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 297,703 | 298,339 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.53 | 06/17/24 | 07/17/24 | 274,065 | 274,654 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.55 | 06/17/24 | 07/17/24 | 1,052,854 | 1,055,126 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.55 | 06/17/24 | 07/17/24 | 585,000 | 586,263 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.55 | 06/17/24 | 07/17/24 | 851,620 | 853,458 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.55 | 06/17/24 | 07/17/24 | 211,283 | 211,739 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.59 | 06/17/24 | 07/17/24 | 336,400 | 337,131 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 187,831 | 188,240 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 518,548 | 519,678 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 349,005 | 349,765 | Capital Trusts | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 237,850 | 238,368 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 471,875 | 472,903 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 472,270 | 473,298 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 283,195 | 283,812 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 461,846 | 462,852 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 116,545 | 116,799 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 308,000 | 308,671 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 190,654 | 191,069 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 79,300 | 79,473 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 482,662 | 483,714 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 260,063 | 260,629 | Capital Trusts | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 331,987 | 332,710 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 402,325 | 403,201 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 568,654 | 569,892 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 135,371 | 135,666 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 812,295 | 814,064 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 512,129 | 513,244 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 679,800 | 681,280 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 393,102 | 393,958 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 384,250 | 385,087 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 1,511,495 | 1,514,787 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 435,079 | 436,026 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 593,880 | 595,173 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 259,148 | 259,712 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 117,309 | 117,565 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 311,410 | 312,088 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 243,350 | 243,880 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 317,003 | 317,693 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 931,777 | 933,807 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 292,163 | 292,799 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 456,475 | 457,469 | Corporate Bonds | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BofA Securities, Inc. | 5.60 % | 06/17/24 | 07/17/24 | $ 2,238,797 | $ 2,243,673 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 396,000 | 396,870 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 642,350 | 643,761 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 1,155,770 | 1,158,309 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 139,435 | 139,742 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 763,682 | 765,360 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 229,075 | 229,578 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 552,287 | 553,501 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/17/24 | 07/17/24 | 553,380 | 554,596 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.70 | 06/17/24 | 07/17/24 | 147,160 | 147,486 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.70 | 06/17/24 | 07/17/24 | 140,046 | 140,357 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.70 | 06/17/24 | 07/17/24 | 150,289 | 150,622 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.70 | 06/17/24 | 07/17/24 | 106,654 | 106,891 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.80 | 06/17/24 | 07/17/24 | 601,427 | 602,784 | Capital Trusts | Up to 30 Days |
Merrill Lynch International | 5.55 | 06/17/24 | 07/17/24 | 193,862 | 194,281 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.55 | 06/17/24 | 07/17/24 | 183,334 | 183,729 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.65 | 06/17/24 | 07/17/24 | 293,138 | 293,782 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.65 | 06/17/24 | 07/17/24 | 364,683 | 365,484 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.70 | 06/17/24 | 07/17/24 | 530,741 | 531,918 | Corporate Bonds | Up to 30 Days |
J.P. Morgan Securities LLC | 5.60 | 06/17/24 | 08/07/24 | 161,965 | 162,293 | Foreign Agency Obligations | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.30 | 06/18/24 | 08/07/24 | 480,469 | 481,388 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.35 | 06/18/24 | 08/07/24 | 219,038 | 219,461 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.40 | 06/18/24 | 08/07/24 | 239,671 | 240,139 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 394,452 | 395,229 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 461,057 | 461,965 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 157,848 | 158,158 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 181,898 | 182,255 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 357,787 | 358,492 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 360,904 | 361,614 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 519,265 | 520,287 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 272,580 | 273,116 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 98,469 | 98,663 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 184,059 | 184,421 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 182,558 | 182,917 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 377,097 | 377,840 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 174,330 | 174,673 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 176,677 | 177,025 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 177,410 | 177,759 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 192,975 | 193,358 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 295,640 | 296,227 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 169,601 | 169,938 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 305,246 | 305,852 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 332,520 | 333,180 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 195,278 | 195,665 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 134,790 | 135,058 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 228,313 | 228,766 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 142,190 | 142,472 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 200,030 | 200,427 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 165,360 | 165,688 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 175,985 | 176,335 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 546,682 | 547,768 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 310,807 | 311,424 | Corporate Bonds | 31 - 90 Days |
TD Securities (USA) LLC | 5.50 (b) | 06/18/24 | Open | 933,750 | 935,605 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.50 (b) | 06/18/24 | Open | 438,750 | 439,621 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/18/24 | Open | 588,139 | 589,341 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/18/24 | Open | 352,839 | 353,560 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/18/24 | Open | 297,981 | 298,590 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.37 (b) | 06/21/24 | Open | 57,356,250 | 57,441,234 | U.S. Treasury Obligations | Open/Demand |
BofA Securities, Inc. | 5.60 | 06/25/24 | 07/17/24 | 133,166 | 133,291 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.65 | 06/25/24 | 07/17/24 | 687,422 | 687,422 | Corporate Bonds | Up to 30 Days |
Barclays Capital, Inc. | 5.65 | 06/25/24 | 08/01/24 | 1,100,880 | 1,101,917 | Corporate Bonds | 31 - 90 Days |
Nomura Securities International, Inc. | 5.69 (b) | 06/25/24 | Open | 546,498 | 547,016 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
RBC Capital Markets, LLC | 5.50 %(b) | 06/25/24 | Open | $ 72,150 | $ 72,216 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.65 (b) | 06/25/24 | Open | 493,176 | 493,640 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/25/24 | Open | 617,310 | 617,891 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/25/24 | Open | 552,094 | 552,615 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/25/24 | Open | 548,320 | 548,837 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 06/25/24 | Open | 662,865 | 663,493 | Corporate Bonds | Open/Demand |
Merrill Lynch International | 5.60 | 06/26/24 | 07/17/24 | 479,975 | 480,348 | Corporate Bonds | Up to 30 Days |
RBC Capital Markets, LLC | 5.65 (b) | 06/26/24 | Open | 140,800 | 140,800 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 06/27/24 | Open | 178,863 | 178,971 | Corporate Bonds | Open/Demand |
BofA Securities, Inc. | 4.50 | 06/28/24 | 07/17/24 | 207,805 | 207,883 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/28/24 | 07/17/24 | 522,560 | 522,800 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/28/24 | 07/17/24 | 1,981,737 | 1,982,662 | Corporate Bonds | Up to 30 Days |
Barclays Capital, Inc. | 4.50 | 06/28/24 | 08/01/24 | 653,410 | 653,655 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/28/24 | 08/01/24 | 322,481 | 322,630 | Corporate Bonds | 31 - 90 Days |
BNP Paribas SA | 5.68 (b) | 06/28/24 | Open | 419,430 | 419,629 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.69 (b) | 06/28/24 | Open | 378,789 | 378,968 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/28/24 | Open | 304,188 | 304,331 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/28/24 | Open | 294,375 | 294,514 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/28/24 | Open | 384,090 | 384,271 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.68 (b) | 06/28/24 | Open | 135,788 | 135,788 | Corporate Bonds | Open/Demand |
$ 347,360,430 | $ 349,243,265 |
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
10-Year U.S. Ultra Long Treasury Note | 54 | 09/19/24 | $ 6,117 | $ 47,160 |
2-Year U.S. Treasury Note | 665 | 09/30/24 | 135,805 | 266,375 |
313,535 | ||||
Short Contracts | ||||
10-Year U.S. Treasury Note | 311 | 09/19/24 | 34,161 | (251,623 ) |
U.S. Long Bond | 70 | 09/19/24 | 8,251 | (32,467 ) |
Ultra U.S. Treasury Bond | 17 | 09/19/24 | 2,118 | (7,987 ) |
5-Year U.S. Treasury Note | 120 | 09/30/24 | 12,782 | (78,627 ) |
(370,704 ) | ||||
$ (57,169 ) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
EUR | 24,000 | USD | 25,699 | State Street Bank and Trust Co. | 07/03/24 | $ 5 |
USD | 44,695 | EUR | 41,279 | Morgan Stanley & Co. International PLC | 07/17/24 | 456 |
USD | 272,336 | EUR | 251,524 | Morgan Stanley & Co. International PLC | 07/17/24 | 2,779 |
USD | 8,591,196 | EUR | 7,980,000 | BNP Paribas SA | 09/18/24 | 13,139 |
USD | 320,917 | GBP | 253,000 | Citibank N.A. | 09/18/24 | 917 |
USD | 400,829 | GBP | 316,000 | Citibank N.A. | 09/18/24 | 1,145 |
USD | 266,452 | GBP | 210,000 | HSBC Bank PLC | 09/18/24 | 840 |
USD | 329,893 | GBP | 260,000 | HSBC Bank PLC | 09/18/24 | 1,040 |
USD | 304,303 | GBP | 240,000 | JPMorgan Chase Bank N.A. | 09/18/24 | 746 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 386,719 | GBP | 305,000 | JPMorgan Chase Bank N.A. | 09/18/24 | $ 949 |
USD | 234,641 | GBP | 185,000 | Standard Chartered Bank | 09/18/24 | 649 |
USD | 298,058 | GBP | 235,000 | Standard Chartered Bank | 09/18/24 | 825 |
23,490 | ||||||
USD | 25,794 | EUR | 24,000 | State Street Bank and Trust Co. | 09/18/24 | (5 ) |
$ 23,485 |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CDX.NA.IG.41.V1 | 1.00 % | Quarterly | 12/20/28 | USD | 24,430 | $ (522,676 ) | $ (336,379 ) | $ (186,297 ) |
CDX.NA.HY.42.V1 | 5.00 | Quarterly | 06/20/29 | USD | 4,567 | (292,366 ) | (276,149 ) | (16,217 ) |
$ (815,042 ) | $ (612,528 ) | $ (202,514 ) |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Virgin Media Finance PLC | 5.00 % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B- | EUR | 10 | $ 540 | $ 487 | $ 53 |
CMA CGM SA | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | N/R | EUR | 30 | 3,588 | 4,605 | (1,017 ) |
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | N/R | EUR | 7 | (222 ) | (1,166 ) | 944 |
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | N/R | EUR | 4 | (134 ) | (683 ) | 549 |
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | N/R | EUR | 12 | (375 ) | (1,920 ) | 1,545 |
Adler Real Estate AG | 5.00 | Quarterly | Citibank N.A. | 12/20/27 | N/R | EUR | 4 | (109 ) | (572 ) | 463 |
Adler Real Estate AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/27 | N/R | EUR | 7 | (228 ) | (1,208 ) | 980 |
Adler Real Estate AG | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/27 | N/R | EUR | 5 | (165 ) | (859 ) | 694 |
Faurecia SE | 5.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BB | EUR | 20 | 2,216 | 2,640 | (424 ) |
Ziggo Bond Company B.V. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | B- | EUR | 11 | 580 | 871 | (291 ) |
CMBX.NA.15 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 11/15/64 | N/R | USD | 2,318 | (401,160 ) | (427,525 ) | 26,365 |
$ (395,469 ) | $ (425,330 ) | $ 29,861 |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Reference | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Morgan Stanley & Co. International PLC | N/A | 09/20/24 | USD | 6,500 | $ 86,574 | $ (959 ) | $ 87,533 |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Barclays Bank PLC | N/A | 12/20/24 | USD | 1,176 | (77 ) | (348 ) | 271 |
Paid by the Fund | Received by the Fund | ||||||||||
Rate | Frequency | Reference | Frequency | Counterparty | Effective Date | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Morgan Stanley & Co. International PLC | N/A | 12/20/24 | USD | 4,824 | $ (5,386 ) | $ (1,429 ) | $ (3,957 ) |
1-Day SOFR, 5.33% | Quarterly | Markit iBoxx USD Liquid Leveraged Loan Index | At Termination | Morgan Stanley & Co. International PLC | N/A | 03/20/25 | USD | 1,500 | (1,280 ) | (1,774 ) | 494 |
$ 79,831 | $ (4,510 ) | $ 84,341 |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation |
Centrally Cleared Swaps(a) | $ — | $ (612,528 ) | $ — | $ (202,514 ) |
OTC Swaps | 8,603 | (438,443 ) | 119,891 | (5,689 ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Futures contracts Unrealized appreciation on futures contracts(a) | $ — | $ — | $ — | $ — | $ 313,535 | $ — | $ 313,535 |
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 23,490 | — | — | 23,490 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | 40,196 | — | — | 88,298 | — | 128,494 |
$ — | $ 40,196 | $ — | $ 23,490 | $ 401,833 | $ — | $ 465,519 | |
Liabilities — Derivative Financial Instruments | |||||||
Futures contracts Unrealized depreciation on futures contracts(a) | $ — | $ — | $ — | $ — | $ 370,704 | $ — | $ 370,704 |
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 5 | — | — | 5 |
Swaps — centrally cleared Unrealized depreciation on centrally cleared swaps(a) | — | 202,514 | — | — | — | — | 202,514 |
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | — | 435,665 | — | — | 8,467 | — | 444,132 |
$ — | $ 638,179 | $ — | $ 5 | $ 379,171 | $ — | $ 1,017,355 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ — | $ — | $ (1,275,696 ) | $ — | $ (1,275,696 ) |
Forward foreign currency exchange contracts | — | — | — | 254,139 | — | — | 254,139 |
Options purchased(a) | — | — | — | — | (422 ) | — | (422 ) |
Options written | — | — | — | — | 203 | — | 203 |
Swaps | — | (389,554 ) | — | — | 32,769 | — | (356,785 ) |
$ — | $ (389,554 ) | $ — | $ 254,139 | $ (1,243,146 ) | $ — | $ (1,378,561 ) | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Futures contracts | $ — | $ — | $ — | $ — | $ 290,585 | $ — | $ 290,585 |
Forward foreign currency exchange contracts | — | — | — | 110,482 | — | — | 110,482 |
Swaps | — | 216,645 | — | — | 1,753 | — | 218,398 |
$ — | $ 216,645 | $ — | $ 110,482 | $ 292,338 | $ — | $ 619,465 |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Futures contracts: | |
Average notional value of contracts — long | $129,097,360 |
Average notional value of contracts — short | $54,584,141 |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $11,068,445 |
Average amounts sold — in USD | $12,850 |
Options: | |
Average value of option contracts purchased | $141 |
Average value of option contracts written | $16 |
Credit default swaps: | |
Average notional value — buy protection | $30,930,734 |
Average notional value — sell protection | $2,437,197 |
Total return swaps: | |
Average notional value | $12,750,000 |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Futures contracts | $ 289,031 | $ 56,202 |
Forward foreign currency exchange contracts | 23,490 | 5 |
Swaps — centrally cleared | 4,069 | — |
Swaps — OTC(a) | 128,494 | 444,132 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 445,084 | 500,339 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (293,100 ) | (56,202 ) |
Total derivative assets and liabilities subject to an MNA | $ 151,984 | $ 444,137 |
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets(b)(c) |
Bank of America N.A. | $ 1,815 | $ (1,457 ) | $ — | $ — | $ 358 |
Barclays Bank PLC | 5,005 | (3,375 ) | — | — | 1,630 |
BNP Paribas SA | 13,139 | — | — | — | 13,139 |
Citibank N.A. | 2,525 | (572 ) | — | — | 1,953 |
HSBC Bank PLC | 1,880 | — | — | — | 1,880 |
JPMorgan Chase Bank N.A. | 3,215 | (1,208 ) | — | — | 2,007 |
Morgan Stanley & Co. International PLC | 122,926 | (122,926 ) | — | — | — |
Standard Chartered Bank | 1,474 | — | — | — | 1,474 |
State Street Bank and Trust Co. | 5 | (5 ) | — | — | — |
$ 151,984 | $ (129,543 ) | $ — | $ — | $ 22,441 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged | Cash Collateral Pledged(d) | Net Amount of Derivative Liabilities |
Bank of America N.A. | $ 1,457 | $ (1,457 ) | $ — | $ — | $ — |
Barclays Bank PLC | 3,375 | (3,375 ) | — | — | — |
Citibank N.A. | 572 | (572 ) | — | — | — |
JPMorgan Chase Bank N.A. | 1,208 | (1,208 ) | — | — | — |
Morgan Stanley & Co. International PLC | 437,520 | (122,926 ) | — | (314,594 ) | — |
State Street Bank and Trust Co. | 5 | (5 ) | — | — | — |
$ 444,137 | $ (129,543 ) | $ — | $ (314,594 ) | $ — |
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 35,220,698 | $ 896,329 | $ 36,117,027 |
Common Stocks | — | 273,162 | 490,907 | 764,069 |
Corporate Bonds | ||||
Advertising Agencies | — | 749,771 | — | 749,771 |
Aerospace & Defense | — | 14,065,620 | — | 14,065,620 |
Air Freight & Logistics | — | 27,335 | — | 27,335 |
Automobile Components | — | 6,126,045 | — | 6,126,045 |
Automobiles | — | 3,682,760 | — | 3,682,760 |
Banks | — | 6,371,200 | — | 6,371,200 |
Beverages | — | 737,568 | — | 737,568 |
Biotechnology | — | 98,992 | — | 98,992 |
Broadline Retail | — | 1,542,334 | — | 1,542,334 |
Building Materials | — | 7,477,450 | — | 7,477,450 |
Building Products | — | 2,530,334 | — | 2,530,334 |
Level 1 | Level 2 | Level 3 | Total | |
Corporate Bonds (continued) | ||||
Capital Markets | $ — | $ 4,176,022 | $ — | $ 4,176,022 |
Chemicals | — | 7,718,949 | — | 7,718,949 |
Commercial Services & Supplies | 110,157 | 21,642,500 | — | 21,752,657 |
Communications Equipment | — | 151,277 | — | 151,277 |
Construction & Engineering | — | 2,461,370 | — | 2,461,370 |
Construction Materials | — | 887,497 | — | 887,497 |
Consumer Finance | — | 2,892,124 | — | 2,892,124 |
Consumer Staples Distribution & Retail | — | 4,577,493 | — | 4,577,493 |
Containers & Packaging | — | 9,517,924 | — | 9,517,924 |
Diversified Consumer Services | — | 1,003,919 | — | 1,003,919 |
Diversified REITs | — | 3,790,505 | — | 3,790,505 |
Diversified Telecommunication Services | 106,777 | 21,159,582 | — | 21,266,359 |
Electric Utilities | — | 5,713,470 | — | 5,713,470 |
Electrical Equipment | — | 1,036,172 | — | 1,036,172 |
Electronic Equipment, Instruments & Components | — | 2,170,348 | — | 2,170,348 |
Energy Equipment & Services | — | 2,771,179 | — | 2,771,179 |
Entertainment | — | 1,059,712 | — | 1,059,712 |
Environmental, Maintenance & Security Service | — | 5,784,451 | — | 5,784,451 |
Financial Services | — | 8,194,105 | — | 8,194,105 |
Food Products | — | 3,566,245 | — | 3,566,245 |
Gas Utilities | — | 387,832 | — | 387,832 |
Ground Transportation | — | 4,896,418 | — | 4,896,418 |
Health Care Equipment & Supplies | — | 5,600,407 | — | 5,600,407 |
Health Care Providers & Services | — | 14,103,303 | — | 14,103,303 |
Health Care REITs | — | 1,992,393 | — | 1,992,393 |
Health Care Technology | — | 1,991,472 | — | 1,991,472 |
Hotel & Resort REITs | — | 3,944,309 | — | 3,944,309 |
Hotels, Restaurants & Leisure | — | 29,002,898 | — | 29,002,898 |
Household Durables | — | 2,405,077 | — | 2,405,077 |
Household Products | — | 442,052 | — | 442,052 |
Independent Power and Renewable Electricity Producers | — | 2,069,862 | — | 2,069,862 |
Industrial Conglomerates | — | 78,675 | — | 78,675 |
Insurance | — | 23,478,386 | — | 23,478,386 |
Interactive Media & Services | — | 357,903 | — | 357,903 |
IT Services | — | 4,045,504 | — | 4,045,504 |
Leisure Products | — | 401,286 | — | 401,286 |
Machinery | — | 6,476,172 | — | 6,476,172 |
Marine Transportation | — | 102,695 | — | 102,695 |
Media | — | 23,527,030 | — | 23,527,030 |
Metals & Mining | — | 11,593,562 | — | 11,593,562 |
Mortgage Real Estate Investment Trusts (REITs) | — | 172,833 | — | 172,833 |
Office REITs | — | 333,909 | — | 333,909 |
Oil, Gas & Consumable Fuels | — | 44,543,989 | 1,099,543 | 45,643,532 |
Passenger Airlines | — | 2,767,576 | — | 2,767,576 |
Personal Care Products | — | 215,137 | — | 215,137 |
Pharmaceuticals | — | 5,703,774 | — | 5,703,774 |
Professional Services | — | 1,480,371 | — | 1,480,371 |
Real Estate Management & Development | — | 910,336 | — | 910,336 |
Retail REITs | — | 148,906 | — | 148,906 |
Semiconductors & Semiconductor Equipment | — | 4,978,006 | — | 4,978,006 |
Software | — | 19,957,456 | — | 19,957,456 |
Specialized REITs | — | 732,391 | — | 732,391 |
Specialty Retail | — | 1,416,611 | — | 1,416,611 |
Technology Hardware, Storage & Peripherals | — | 1,309,183 | — | 1,309,183 |
Textiles, Apparel & Luxury Goods | — | 313,240 | — | 313,240 |
Trading Companies & Distributors | — | 343,337 | — | 343,337 |
Transportation Infrastructure | — | 301,909 | — | 301,909 |
Water Utilities | — | 856,468 | — | 856,468 |
Wireless Telecommunication Services | — | 22,360 | — | 22,360 |
Fixed Rate Loan Interests | — | 1,034,264 | 510,563 | 1,544,827 |
Floating Rate Loan Interests | — | 301,807,655 | 8,585,866 | 310,393,521 |
Foreign Agency Obligations | — | 2,870,821 | — | 2,870,821 |
Investment Companies | 6,511,901 | — | — | 6,511,901 |
Level 1 | Level 2 | Level 3 | Total | |
Non-Agency Mortgage-Backed Securities | $ — | $ 17,756,636 | $ — | $ 17,756,636 |
Other Interests | — | — | — | — |
Preferred Securities | ||||
Capital Trusts | — | 29,988,016 | — | 29,988,016 |
Preferred Stocks | 2,702,754 | — | — | 2,702,754 |
U.S. Government Sponsored Agency Securities | — | 19,724,134 | — | 19,724,134 |
U.S. Treasury Obligations | — | 57,115,781 | — | 57,115,781 |
Warrants | 6,153 | — | — | 6,153 |
Short-Term Securities | ||||
Money Market Funds | 502,236 | — | — | 502,236 |
Unfunded Floating Rate Loan Interests(a) | — | 120 | 587 | 707 |
$9,939,978 | $842,880,568 | $11,583,795 | 864,404,341 | |
Investments Valued at NAV(b) | 701 | |||
$ 864,405,042 | ||||
Derivative Financial Instruments(c) | ||||
Assets | ||||
Credit Contracts | $ — | $ 31,593 | $ — | $ 31,593 |
Foreign Currency Exchange Contracts | — | 23,490 | — | 23,490 |
Interest Rate Contracts | 313,535 | 88,298 | — | 401,833 |
Liabilities | ||||
Credit Contracts | — | (204,246 ) | — | (204,246 ) |
Foreign Currency Exchange Contracts | — | (5 ) | — | (5 ) |
Interest Rate Contracts | (370,704 ) | (3,957 ) | — | (374,661 ) |
$(57,169 ) | $(64,827 ) | $— | $(121,996 ) |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Fund were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Asset-Backed Securities | Common Stocks | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Other Interests | Unfunded Floating Rate Loan Interests | Total | |
Assets | ||||||||
Opening balance, as of December 31, 2023 | $ 878,506 | $ 220,616 | $ 1,153,042 | $ — | $ 8,429,727 | $ — (a) | $ 470 | $ 10,682,361 |
Transfers into Level 3(b) | — | 8 | — | — | 2,125,220 | — | — | 2,125,228 |
Transfers out of Level 3(c) | — | (92,408 ) | (25,891 ) | — | (3,476,804 ) | — | — | (3,595,103 ) |
Accrued discounts/premiums | (5,858 ) | — | — | 268 | 18,452 | — | — | 12,862 |
Net realized gain (loss) | — | — | — | — | (371,991 ) | — | — | (371,991 ) |
Net change in unrealized appreciation (depreciation)(d)(e) | 23,681 | (108,829 ) | (6,503 ) | (9,455 ) | 224,352 | — | 117 | 123,363 |
Purchases | — | 471,520 | — | 519,750 | 6,486,949 | — | — | 7,478,219 |
Sales | — | — | (21,105 ) | — | (4,850,039 ) | — | — | (4,871,144 ) |
Closing balance, as of June 30, 2024 | $ 896,329 | $ 490,907 | $ 1,099,543 | $ 510,563 | $ 8,585,866 | $ — (a) | $ 587 | $ 11,583,795 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(e) | $ 23,681 | $ (108,829 ) | $ (6,503 ) | (9,455 ) | $ (174,884 ) | $ — | $ 117 | $ (275,873 ) |
(a) | Rounds to less than $1. |
(b) | As of December 31, 2023, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2024, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2023, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2024, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
Security | Par (000) | Value | |
Asset-Backed Securities | |||
AGL CLO Ltd., Series 2022-17A, Class A, (3-mo. CME Term SOFR + 1.33%), 6.65%, 01/21/35(a)(b) | USD | 1,800 | $ 1,802,338 |
AGL Core CLO Ltd., Series 2019-2A, Class A1R, (3- mo. CME Term SOFR + 1.46%), 6.79%, 07/20/37(a)(b) | 1,626 | 1,631,685 | |
AIMCO CLO, Series 2018-BA, Class CRR, (3-mo. CME Term SOFR + 2.40%), 7.73%, 04/16/37(a)(b) | 500 | 501,191 | |
Anchorage Capital CLO Ltd.(a)(b) | |||
Series 2015-7A, Class AR3, (3-mo. CME Term SOFR + 1.56%), 6.89%, 04/28/37 | 919 | 919,734 | |
Series 2015-7A, Class DR3, (3-mo. CME Term SOFR + 3.80%), 9.13%, 04/28/37 | 250 | 249,971 | |
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3- mo. CME Term SOFR + 1.16%), 6.49%, 07/18/29(a)(b) | 197 | 197,144 | |
Apidos CLO XXVII, Series 2017-27A, Class A1R, (3- mo. CME Term SOFR + 1.19%), 6.51%, 07/17/30(a)(b) | 137 | 136,666 | |
Ares LXVIII CLO Ltd., Series 2023-68A, Class E, (3- mo. CME Term SOFR + 8.55%), 13.87%, 04/25/35(a)(b) | 380 | 396,929 | |
Ares XL CLO Ltd., Series 2016-40A, Class A1RR, (3- mo. CME Term SOFR + 1.13%), 6.46%, 01/15/29(a)(b) | 338 | 338,855 | |
ARES XLVII CLO Ltd., Series 2018-47A, Class A1, (3-mo. CME Term SOFR + 1.18%), 6.51%, 04/15/30(a)(b) | 154 | 153,938 | |
Argent Securities Trust, Series 2006-W5, Class A1, (1 mo. Term SOFR + 0.41%), 5.76%, 06/25/36(a) | 3,900 | 2,479,994 | |
Atrium XV(a)(b) | |||
Series 15A, Class D, (3-mo. CME Term SOFR + 3.26%), 8.59%, 01/23/31 | 550 | 550,503 | |
Series 15A, Class D1R, 07/16/37(c) | 550 | 550,000 | |
Bain Capital Credit CLO Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.56%), 8.89%, 07/19/34(a)(b) | 250 | 245,992 | |
Ballyrock CLO Ltd.(a)(b) | |||
Series 2020-14A, Class D, (3-mo. CME Term SOFR + 7.26%), 12.59%, 01/20/34 | 250 | 251,727 | |
Series 2020-14AR, Class DR, 07/20/37(c) | 250 | 250,000 | |
Series 2022-21A, Class D, (3-mo. CME Term SOFR + 8.76%), 14.08%, 10/20/35 | 500 | 518,038 | |
Barings CLO Ltd.(a)(b) | |||
Series 2018-2A, Class A2, (3-mo. CME Term SOFR + 1.81%), 7.14%, 04/15/30 | 800 | 801,993 | |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.74%, 07/15/34 | 250 | 250,641 | |
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A, (1 mo. Term SOFR + 0.39%), 5.74%, 11/25/36(a) | 758 | 741,616 | |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A2R, (3-mo. CME Term SOFR + 1.71%), 7.04%, 01/20/31(a)(b) | 800 | 802,370 | |
Benefit Street Partners CLO XIV Ltd., Series 2018-14A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.04%, 04/20/31(a)(b) | 500 | 501,469 | |
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.64%, 07/15/34(a)(b) | 250 | 250,588 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.77%, 10/22/30(a)(b) | USD | 224 | $ 224,825 |
BlueMountain Fuji U.S. CLO II Ltd., Series 2017-2A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.59%, 10/20/30(a)(b) | 2,547 | 2,548,109 | |
Bryant Park Funding Ltd., Series 2024-22A, Class C, (3-mo. CME Term SOFR + 2.60%), 7.91%, 04/15/37(a)(b) | 1,000 | 1,013,363 | |
Buckhorn Park CLO Ltd., Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.71%, 07/18/34(a)(b) | 2,500 | 2,500,004 | |
Carlyle Global Market Strategies CLO Ltd., Series 2015- 1A, Class AR3, (3-mo. CME Term SOFR + 1.24%), 6.57%, 07/20/31(a)(b) | 1,341 | 1,341,169 | |
Carlyle U.S. CLO Ltd.(a)(b) | |||
Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.39%, 01/20/31 | 250 | 251,079 | |
Series 2020-2A, Class CR, (3-mo. CME Term SOFR + 3.46%), 8.79%, 01/25/35 | 250 | 250,802 | |
Carrington Mortgage Loan Trust(a) | |||
Series 2006-FRE2, Class A2, (1 mo. Term SOFR + 0.23%), 5.58%, 10/25/36 | 2,701 | 2,111,937 | |
Series 2006-FRE2, Class A5, (1 mo. Term SOFR + 0.19%), 5.54%, 03/25/35 | 5,567 | 4,352,760 | |
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. CME Term SOFR + 6.70%), 12.03%, 07/20/32(a)(b) | 500 | 493,636 | |
CBAM Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.51%), 6.84%, 07/20/30(a)(b) | 588 | 588,367 | |
C-BASS Trust, Series 2006-CB7, Class A4, (1 mo. Term SOFR + 0.43%), 5.78%, 10/25/36(a) | 3,981 | 2,554,964 | |
Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.12%, 04/20/35(a)(b) | 400 | 399,970 | |
CIFC Funding Ltd.(a)(b) | |||
Series 2013-4A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 6.65%, 04/27/31 | 210 | 210,136 | |
Series 2014-5A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.78%, 10/17/31 | 520 | 519,572 | |
Series 2016-1A, Class BRR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/21/31 | 750 | 749,928 | |
Series 2017-1A, Class CRR, (3-mo. CME Term SOFR + 2.45%), 7.73%, 04/21/37 | 700 | 708,318 | |
Series 2017-4A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.53%, 10/24/30 | 317 | 317,205 | |
Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.69%, 07/15/36 | 500 | 501,266 | |
Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.67%, 10/22/35 | 250 | 253,358 | |
Series 2022-7A, Class E, (3-mo. CME Term SOFR + 8.94%), 14.26%, 10/22/35 | 500 | 517,531 | |
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 7.28%, 10/25/36 | 319 | 175,871 | |
Clear Creek CLO, Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.54%, 10/20/30(a)(b) | 250 | 250,079 | |
CWABS Trust, Series 2006-26, Class 1A, (1 mo. Term SOFR + 0.25%), 5.60%, 06/25/37(a) | 473 | 436,173 | |
CWHEQ Revolving Home Equity Loan Trust, Series 2006-I, Class 1A, (1 mo. Term SOFR + 0.25%), 5.58%, 01/15/37(a) | 349 | 319,604 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Deer Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.77%, 10/20/30(a)(b) | USD | 188 | $ 188,292 |
Dryden CLO Ltd., Series 2022-106A, Class E, (3-mo. CME Term SOFR + 8.87%), 14.20%, 10/15/35(a)(b) | 500 | 516,148 | |
Dryden Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.69%, 01/15/31(a)(b) | 225 | 225,257 | |
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3-mo. CME Term SOFR + 1.16%), 6.49%, 04/15/29(a)(b) | 332 | 331,907 | |
Elmwood CLO 14 Ltd., Series 2022-1A, Class E, (3-mo. CME Term SOFR + 6.35%), 11.67%, 04/20/35(a)(b) | 415 | 416,351 | |
Elmwood CLO 22 Ltd, Series 2023-1A, Class E, (3-mo. CME Term SOFR + 7.65%), 12.97%, 04/17/36(a)(b) | 500 | 516,338 | |
FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/19/39(b) | 3,800 | 3,634,035 | |
Flatiron CLO Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.53%, 04/17/31(a)(b) | 944 | 944,384 | |
Fremont Home Loan Trust(a) | |||
Series 2006-A, Class 2A3, (1 mo. Term SOFR + 0.43%), 5.78%, 05/25/36 | 4,008 | 2,444,788 | |
Series 2006-D, Class 2A3, (1 mo. Term SOFR + 0.26%), 5.61%, 11/25/36 | 6,030 | 2,062,497 | |
Galaxy CLO Ltd., Series 2023-31A, Class E, (3-mo. CME Term SOFR + 8.43%), 13.76%, 04/15/36(a)(b) | 300 | 313,042 | |
Galaxy XXI CLO Ltd., Series 2015-21A, Class ER, (3- mo. CME Term SOFR + 5.51%), 10.84%, 04/20/31(a)(b) | 500 | 498,778 | |
Galaxy XXVII CLO Ltd., Series 2018-28A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.69%, 07/15/31(a)(b) | 367 | 367,507 | |
Generate CLO Ltd.(a)(b) | |||
Series 2A, Class DR, (3-mo. CME Term SOFR + 2.86%), 8.19%, 01/22/31 | 600 | 599,983 | |
Series 2A, Class ER, (3-mo. CME Term SOFR + 5.91%), 11.24%, 01/22/31 | 250 | 250,169 | |
Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.78%, 10/15/30(a)(b) | 258 | 258,495 | |
GoldenTree Loan Management U.S. CLO Ltd.(a)(b) | |||
Series 2018-3A, Class D, (3-mo. CME Term SOFR + 3.11%), 8.44%, 04/20/30 | 250 | 250,631 | |
Series 2019-5A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.14%, 10/20/32 | 250 | 250,430 | |
Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.69%, 07/20/34 | 1,000 | 1,002,496 | |
Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, (1 mo. Term SOFR + 0.28%), 5.63%, 04/25/37(a) | 3,170 | 2,170,047 | |
HPS Loan Management Ltd., Series 8A-2016, Class ER, (3-mo. CME Term SOFR + 5.76%), 11.09%, 07/20/30(a)(b) | 1,000 | 998,878 | |
LCM XXIV Ltd., Series 24A, Class AR, (3-mo. CME Term SOFR + 1.24%), 6.57%, 03/20/30(a)(b) | 99 | 98,830 | |
Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3, (1 mo. Term SOFR + 0.43%), 5.78%, 08/25/36(a) | 4,838 | 1,885,618 | |
Madison Park Funding LIX Ltd., Series 2021-59A, Class A1R, (3-mo. CME Term SOFR + 1.50%), 6.83%, 04/18/37(a)(b) | 1,450 | 1,451,237 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Madison Park Funding LXIII Ltd., Series 2023-63A, Class E, (3-mo. CME Term SOFR + 8.57%), 13.89%, 04/21/35(a)(b) | USD | 350 | $ 366,232 |
Madison Park Funding XLVIII Ltd., Series 2021-48A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.84%, 04/19/33(a)(b) | 500 | 501,432 | |
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. CME Term SOFR + 3.86%), 9.19%, 07/21/30(a)(b) | 500 | 502,712 | |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class DR, (3-mo. CME Term SOFR + 3.21%), 8.54%, 10/21/30(a)(b) | 250 | 249,992 | |
Madison Park Funding XXIX Ltd.(a)(b) | |||
Series 2018-29A, Class D, (3-mo. CME Term SOFR + 3.26%), 8.59%, 10/18/30 | 565 | 568,256 | |
Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.29%, 10/18/30 | 500 | 501,005 | |
Madison Park Funding XXX Ltd., Series 2018-30A, Class A, (3-mo. CME Term SOFR + 1.01%), 6.34%, 04/15/29(a)(b) | 184 | 184,033 | |
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class BR2, (3-mo. CME Term SOFR + 1.95%), 7.27%, 04/15/37(a)(b) | 875 | 879,609 | |
MASTR Asset-Backed Securities Trust, Series 2006- HE2, Class A3, (1 mo. Term SOFR + 0.41%), 5.76%, 06/25/36(a) | 6,839 | 2,421,208 | |
Neuberger Berman CLO XV, Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.51%, 10/15/29(a)(b) | 406 | 406,603 | |
Neuberger Berman CLO XX Ltd.(a)(b) | |||
Series 2015-20A, Class ARR, (3-mo. CME Term SOFR + 1.42%), 6.75%, 07/15/34 | 1,785 | 1,789,014 | |
Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.09%, 07/15/34 | 710 | 713,059 | |
Neuberger Berman Loan Advisers CLO Ltd.(a)(b) | |||
Series 2017-26A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.51%, 10/18/30 | 217 | 217,580 | |
Series 2020-37A, Class CR, (3-mo. CME Term SOFR + 2.06%), 7.39%, 07/20/31 | 400 | 399,757 | |
Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.24%, 01/20/36 | 250 | 251,044 | |
Neuberger Berman Loan Advisers NBLA CLO Ltd.(a)(b) | |||
Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 11.07%, 10/24/35 | 550 | 559,259 | |
Series 2022-52A, Class E, (3-mo. CME Term SOFR + 8.81%), 14.13%, 10/24/35 | 250 | 258,669 | |
OCP CLO Ltd.(a)(b) | |||
Series 2015-9A, Class A1R2, (3-mo. CME Term SOFR + 1.25%), 6.58%, 01/15/33 | 550 | 550,385 | |
Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%), 6.55%, 07/15/30 | 520 | 520,298 | |
Series 2017-14A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.09%, 11/20/30 | 400 | 400,798 | |
Series 2019-17A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.63%, 07/20/32 | 500 | 501,048 | |
Series 2026-11R, Class CR2, (3-mo. CME Term SOFR + 2.35%), 7.67%, 04/26/36 | 950 | 956,252 | |
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class E, (3-mo. CME Term SOFR + 6.56%), 11.89%, 07/20/30(a)(b) | 500 | 495,759 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Octagon Investment Partners 32 Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 6.54%, 07/15/29(a)(b) | USD | 167 | $ 167,047 |
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class AARR, (3-mo. CME Term SOFR + 1.21%), 6.54%, 07/15/29(a)(b) | 168 | 168,454 | |
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, (3-mo. CME Term SOFR + 1.23%), 6.56%, 07/19/30(a)(b) | 1,909 | 1,909,964 | |
Octagon Investment Partners XVII Ltd., Series 2013- 1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 6.99%, 01/25/31(a)(b) | 250 | 250,260 | |
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class AAR3, (3-mo. CME Term SOFR + 1.26%), 6.58%, 02/14/31(a)(b) | 478 | 478,164 | |
Octagon Investment Partners XXII Ltd., Series 2014- 1A, Class DRR, (3-mo. CME Term SOFR + 3.01%), 8.34%, 01/22/30(a)(b) | 500 | 500,108 | |
OHA Credit Partners VII Ltd., Series 2012-7A, Class AR3, (3-mo. CME Term SOFR + 1.33%), 6.66%, 02/20/34(a)(b) | 1,000 | 1,003,615 | |
OZLM VIII Ltd., Series 2014-8A, Class A1R3, (3-mo. CME Term SOFR + 1.24%), 6.56%, 10/17/29(a)(b) | 333 | 333,120 | |
OZLM XXI Ltd., Series 2017-21A, Class D, (3-mo. CME Term SOFR + 5.80%), 11.13%, 01/20/31(a)(b) | 250 | 247,619 | |
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/17/31(a)(b) | 267 | 267,617 | |
Palmer Square Loan Funding Ltd.(a)(b) | |||
Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.16%), 6.49%, 04/20/29 | 56 | 56,331 | |
Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.39%, 07/20/29 | 508 | 508,011 | |
Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.05%), 6.38%, 04/15/30 | 143 | 143,059 | |
Rad CLO Ltd.(a)(b) | |||
Series 2019-6A, Class E, (3-mo. CME Term SOFR + 7.79%), 13.12%, 01/20/33 | 500 | 500,733 | |
Series 2022-17A, Class E, (3-mo. CME Term SOFR + 8.30%), 13.62%, 10/20/35 | 250 | 258,589 | |
Regatta XI Funding Ltd., Series 2018-1A, Class A, (3- mo. CME Term SOFR + 1.33%), 6.65%, 07/17/31(a)(b) | 195 | 195,326 | |
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.71%), 7.04%, 01/15/34(a)(b) | 850 | 851,970 | |
Regatta XXV Funding Ltd., Series 2025, Class E, (3- mo. CME Term SOFR + 8.41%), 13.74%, 07/15/36(a)(b) | 500 | 524,987 | |
Regional Management Issuance Trust, Series 2021-3, Class A, 3.88%, 10/17/33(d) | 1,110 | 1,001,775 | |
Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2, 7.00%, 09/25/37 | 3,517 | 1,418,122 | |
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.44%, 10/15/29(a)(b) | 500 | 499,807 | |
RR Ltd., Series 2021-16A, Class A1, (3-mo. CME Term SOFR + 1.37%), 6.70%, 07/15/36(a)(b) | 1,000 | 1,000,616 | |
Saxon Asset Securities Trust, Series 2007-3, Class 2A3, (1 mo. Term SOFR + 0.51%), 5.86%, 09/25/47(a) | 3,193 | 2,953,463 | |
Scholar Funding Trust, Series 2013-A, Class R, 0.00%, 01/30/45(d) | — (e) | 476,649 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
Service Experts Issuer LLC, Series 2024-1A, Class A, 6.39%, 11/20/35(b) | USD | 229 | $ 230,347 |
Signal Peak CLO Ltd., Series 2017-4A, Class XR, (3- mo. CME Term SOFR + 1.21%), 6.54%, 10/26/34(a)(b) | 900 | 900,140 | |
SMB Private Education Loan Trust, Series 2021-A, Class B, 2.31%, 01/15/53(b) | 221 | 207,381 | |
Sofi Personal Loan Term | |||
Series 2023-1, Class A, 6.00%, 11/12/30(b) | 290 | 291,247 | |
Series 2024-1, Class A, 6.06%, 02/12/31(b) | 747 | 749,271 | |
Series 2024-1, Class R1, 0.00%, 02/12/31 | 10 | 456,981 | |
Southwick Park CLO LLC, Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 6.65%, 07/20/32(a)(b) | 250 | 250,200 | |
Stratus Static CLO Ltd., Series 2022-3A, Class DR, (3-mo. CME Term SOFR + 3.60%), 8.92%, 10/20/31(a)(b) | 500 | 499,961 | |
Subway Funding LLC, Series 2024-1A, Class A2I, 6.03%, 07/30/54(b) | 295 | 297,623 | |
Symphony CLO XV Ltd., Series 2014-15A, Class AR3, (3-mo. CME Term SOFR + 1.34%), 6.66%, 01/17/32(a)(b) | 481 | 481,244 | |
Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.18%, 04/23/35(a)(b) | 600 | 600,491 | |
TCI-Flatiron CLO Ltd.(a)(b) | |||
Series 18-1A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.99%, 01/29/32 | 645 | 645,000 | |
Series 2016-1A, Class AR3, (3-mo. CME Term SOFR + 1.10%), 6.42%, 01/17/32 | 886 | 886,133 | |
TCI-Symphony CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.52%, 07/15/30(a)(b) | 1,863 | 1,863,885 | |
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 01/20/31(a)(b) | 250 | 250,216 | |
TICP CLO VIII Ltd., Series 2017-8A, Class A2R, (3-mo. CME Term SOFR + 1.96%), 7.29%, 10/20/34(a)(b) | 250 | 250,504 | |
Trestles CLO IV Ltd., Series 2021-4A, Class B1, (3-mo. CME Term SOFR + 1.96%), 7.29%, 07/21/34(a)(b) | 1,000 | 1,004,728 | |
Trestles CLO Ltd.(a)(b) | |||
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 3.16%), 8.49%, 04/25/32 | 250 | 250,352 | |
Series 2017-1A, Class D1RR, 07/25/37(c) | 250 | 250,000 | |
Trimaran CAVU Ltd.(a)(b) | |||
Series 2021-1A, Class E, (3-mo. CME Term SOFR + 6.76%), 12.09%, 04/23/32 | 375 | 375,454 | |
Series 2022-1, Class E, (3-mo. CME Term SOFR + 9.08%), 14.40%, 10/22/35 | 500 | 513,483 | |
Series 2022-2A, Class D, (3-mo. CME Term SOFR + 6.12%), 11.44%, 01/20/36 | 1,100 | 1,123,966 | |
Series 2022-2A, Class E, (3-mo. CME Term SOFR + 8.81%), 14.13%, 01/20/36 | 500 | 520,540 | |
Series 2023-1, Class E, (3-mo. CME Term SOFR + 8.94%), 14.26%, 07/20/36 | 500 | 521,753 | |
Unique Pub Finance Co. PLC, Series 02, Class N, 6.46%, 03/30/32(f) | GBP | 31 | 40,591 |
Voya CLO Ltd.(a)(b) | |||
Series 2017-3A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.63%, 04/20/34 | USD | 1,955 | 1,955,513 |
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.41%), 8.74%, 07/15/34 | 250 | 250,132 | |
Voya Ltd., Series 2012-4A, Class A1R3, (3-mo. CME Term SOFR + 1.26%), 6.59%, 10/15/30(a)(b) | 283 | 282,777 |
Security | Par (000) | Value | |
Asset-Backed Securities (continued) | |||
WaMu Asset-Backed Certificates WaMu Trust, Series 2007-HE3, Class 2A3, (1 mo. Term SOFR + 0.35%), 5.70%, 05/25/37(a) | USD | 5,431 | $ 4,770,331 |
Whetstone Park CLO Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.19%, 01/20/35(a)(b) | 275 | 275,035 | |
Total Asset-Backed Securities — 19.8% (Cost: $114,862,099) | 110,694,235 |
Shares | |||
Common Stocks | |||
Aerospace & Defense — 0.5% | |||
RTX Corp. | 25,650 | 2,575,003 | |
Total Common Stocks — 0.5% (Cost: $1,747,890) | 2,575,003 |
Par (000) | |||
Corporate Bonds | |||
Advertising Agencies(b) — 0.1% | |||
Neptune Bidco U.S., Inc., 9.29%, 04/15/29 | USD | 744 | 714,072 |
Stagwell Global LLC, 5.63%, 08/15/29(g) | 129 | 119,147 | |
833,219 | |||
Aerospace & Defense — 3.6% | |||
AAR Escrow Issuer LLC, 6.75%, 03/15/29(b) | 360 | 366,978 | |
Boeing Co., 6.53%, 05/01/34(b)(g) | 1,055 | 1,080,214 | |
Bombardier, Inc.(b) | |||
7.88%, 04/15/27 | 71 | 71,181 | |
6.00%, 02/15/28(g) | 683 | 675,143 | |
7.50%, 02/01/29 | 14 | 14,507 | |
8.75%, 11/15/30(g) | 607 | 656,035 | |
7.25%, 07/01/31 | 196 | 201,237 | |
7.00%, 06/01/32 | 336 | 340,667 | |
7.45%, 05/01/34 | 286 | 321,247 | |
Embraer Netherlands Finance BV, 7.00%, 07/28/30(b) | 734 | 765,883 | |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(g) | 864 | 855,360 | |
Lockheed Martin Corp., 4.09%, 09/15/52(g) | 451 | 361,161 | |
Northrop Grumman Corp., 3.85%, 04/15/45(g) | 680 | 529,803 | |
RTX Corp., 3.75%, 11/01/46(g) | 700 | 523,771 | |
Spirit AeroSystems, Inc.(b) | |||
9.38%, 11/30/29 | 621 | 668,592 | |
9.75%, 11/15/30 | 531 | 585,755 | |
TransDigm, Inc.(b)(g) | |||
6.75%, 08/15/28 | 2,710 | 2,743,127 | |
6.38%, 03/01/29 | 3,368 | 3,384,985 | |
7.13%, 12/01/31 | 1,074 | 1,106,625 | |
6.63%, 03/01/32 | 3,402 | 3,436,222 | |
Triumph Group, Inc., 9.00%, 03/15/28(b)(g) | 1,244 | 1,304,010 | |
19,992,503 | |||
Air Freight & Logistics — 0.2% | |||
FedEx Corp.(g) | |||
3.90%, 02/01/35 | 500 | 444,995 |
Security | Par (000) | Value | |
Air Freight & Logistics (continued) | |||
FedEx Corp.(g) (continued) | |||
4.75%, 11/15/45 | USD | 500 | $ 431,054 |
Rand Parent LLC, 8.50%, 02/15/30(b) | 36 | 36,447 | |
912,496 | |||
Automobile Components — 1.5% | |||
Aptiv PLC, 4.40%, 10/01/46(g) | 280 | 218,487 | |
Champions Financing, Inc., 8.75%, 02/15/29(b)(g) | 452 | 463,514 | |
Clarios Global LP, 6.75%, 05/15/25(b) | 140 | 139,958 | |
Clarios Global LP/Clarios U.S. Finance Co. | |||
4.38%, 05/15/26(f) | EUR | 423 | 450,747 |
6.25%, 05/15/26(b)(g) | USD | 350 | 349,651 |
8.50%, 05/15/27(b)(g) | 3,576 | 3,596,172 | |
6.75%, 05/15/28(b)(g) | 1,058 | 1,070,752 | |
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(f) | EUR | 100 | 116,587 |
Forvia SE, 3.75%, 06/15/28(f) | 100 | 103,080 | |
Garrett Motion Holdings, Inc./Garrett LX I SARL, 7.75%, 05/31/32(b) | USD | 641 | 649,604 |
Goodyear Tire & Rubber Co. | |||
5.00%, 07/15/29(g) | 132 | 122,865 | |
5.63%, 04/30/33 | 137 | 123,837 | |
IHO Verwaltungs GmbH, (3.88% PIK), 3.88%, 05/15/27(f)(h) | EUR | 100 | 105,079 |
Mahle GmbH, 6.50%, 05/02/31(f) | 100 | 108,996 | |
Phinia, Inc., 6.75%, 04/15/29(b) | USD | 199 | 201,953 |
Schaeffler AG, 4.75%, 08/14/29(f) | EUR | 100 | 107,791 |
Tenneco, Inc., 8.00%, 11/17/28(b) | USD | 197 | 179,338 |
ZF Europe Finance BV, 6.13%, 03/13/29(f) | EUR | 100 | 113,152 |
ZF Finance GmbH, 2.00%, 05/06/27(f) | 100 | 99,930 | |
8,321,493 | |||
Automobiles — 1.1% | |||
Asbury Automotive Group, Inc. | |||
4.50%, 03/01/28 | USD | 22 | 20,844 |
5.00%, 02/15/32(b) | 168 | 152,209 | |
Aston Martin Capital Holdings Ltd. | |||
10.00%, 03/31/29(b) | 200 | 197,062 | |
10.38%, 03/31/29(f) | GBP | 100 | 125,462 |
Carvana Co.(b)(h) | |||
(13.00% PIK), 13.00%, 06/01/30 | USD | 304 | 332,778 |
(14.00% PIK), 14.00%, 06/01/31 | 861 | 968,577 | |
Cougar JV Subsidiary LLC, 8.00%, 05/15/32(b) | 286 | 295,745 | |
Ford Motor Credit Co. LLC | |||
4.39%, 01/08/26 | 1,250 | 1,223,351 | |
7.20%, 06/10/30(g) | 200 | 210,383 | |
General Motors Co., 6.25%, 10/02/43(g) | 2,194 | 2,184,845 | |
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(f) | EUR | 100 | 105,223 |
TML Holdings Pte. Ltd., 4.35%, 06/09/26(f) | USD | 200 | 192,688 |
Wabash National Corp., 4.50%, 10/15/28(b)(g) | 281 | 252,850 | |
6,262,017 | |||
Banks — 1.5% | |||
Alpha Bank SA, (1-year EUR Swap + 2.43%), 5.00%, 05/12/30(a)(f) | EUR | 100 | 107,365 |
Banca Monte dei Paschi di Siena SpA, (3-mo. EURIBOR + 2.05%), 4.75%, 03/15/29(a)(f) | 100 | 107,277 | |
Banco BPM SpA, (5-year EUR Swap + 3.17%), 2.88%, 06/29/31(a)(f) | 100 | 102,543 | |
Banco de Credito Social Cooperativo SA, (1-year EURIBOR ICE Swap + 4.27%), 7.50%, 09/14/29(a)(f) | 100 | 118,605 | |
Banco Santander SA, 6.92%, 08/08/33(g) | USD | 400 | 417,592 |
Bangkok Bank PCL/Hong Kong | |||
5.50%, 09/21/33(b)(g) | 271 | 268,837 |
Security | Par (000) | Value | |
Banks (continued) | |||
Bangkok Bank PCL/Hong Kong (continued) | |||
(5-year CMT + 4.73%), 5.00%(a)(f)(i) | USD | 505 | $ 491,112 |
Barclays Bank PLC, 1.00%, 02/16/29(g)(j) | 476 | 493,479 | |
BNP Paribas SA, (5-year CMT + 3.73%), 8.00%(a)(b)(i) | 1,000 | 1,003,728 | |
Commerzbank AG, (5-year EUR Swap + 6.36%), 6.13%(a)(f)(i) | EUR | 200 | 212,182 |
Credit Suisse AG/New York, 5.00%, 07/09/27(g) | USD | 900 | 892,590 |
Deutsche Bank AG/New York, (1-day SOFR + 3.18%), 6.72%, 01/18/29(a)(g) | 815 | 841,066 | |
Freedom Mortgage Corp., 12.25%, 10/01/30(b) | 133 | 143,072 | |
HSBC Holdings PLC, 4.38%, 11/23/26(g) | 370 | 360,559 | |
Intesa Sanpaolo SpA, 5.71%, 01/15/26(b) | 200 | 198,099 | |
JPMorgan Chase & Co., (3-mo. CME Term SOFR + 1.21%), 3.51%, 01/23/29(a)(g) | 2,250 | 2,127,741 | |
National Bank of Greece SA, (5-year EURIBOR ICE Swap + 3.15%), 5.88%, 06/28/35(a)(f) | EUR | 100 | 108,060 |
Standard Chartered PLC, (5-year USD ICE Swap + 1.97%), 4.87%, 03/15/33(a)(b)(g) | USD | 500 | 478,030 |
8,471,937 | |||
Beverages — 0.4% | |||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(g) | 2,160 | 1,991,433 | |
Biotechnology — 0.2% | |||
Amgen, Inc., 2.80%, 08/15/41(g) | 250 | 175,734 | |
Cidron Aida Finco SARL, 5.00%, 04/01/28(f) | EUR | 100 | 98,992 |
Gilead Sciences, Inc., 4.75%, 03/01/46(g) | USD | 700 | 623,896 |
898,622 | |||
Broadline Retail — 0.3% | |||
Dufry One BV, 4.75%, 04/18/31(f) | EUR | 100 | 106,292 |
LCM Investments Holdings II LLC(b) | |||
4.88%, 05/01/29 | USD | 55 | 51,410 |
8.25%, 08/01/31(g) | 477 | 497,739 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | 155 | 153,131 | |
Rakuten Group, Inc.(b) | |||
11.25%, 02/15/27 | 283 | 302,246 | |
9.75%, 04/15/29 | 474 | 488,576 | |
1,599,394 | |||
Building Materials — 1.6% | |||
Builders FirstSource, Inc., 6.38%, 03/01/34(b) | 258 | 255,423 | |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b)(g) | 295 | 289,217 | |
EMRLD Borrower LP/Emerald Co-Issuer, Inc. | |||
6.38%, 12/15/30(b) | EUR | 205 | 227,778 |
6.38%, 12/15/30(f) | 100 | 111,111 | |
6.63%, 12/15/30(b)(g) | USD | 3,738 | 3,767,164 |
07/15/31(b)(c) | 299 | 302,737 | |
Jeld-Wen, Inc., 4.63%, 12/15/25(b) | 285 | 279,940 | |
Masterbrand, Inc., 7.00%, 07/15/32(b) | 188 | 190,125 | |
New Enterprise Stone & Lime Co., Inc.(b) | |||
5.25%, 07/15/28(g) | 103 | 97,245 | |
9.75%, 07/15/28 | 61 | 62,016 | |
Smyrna Ready Mix Concrete LLC(b) | |||
6.00%, 11/01/28(g) | 692 | 676,060 | |
8.88%, 11/15/31 | 939 | 996,209 | |
Standard Industries, Inc. | |||
2.25%, 11/21/26(f) | EUR | 131 | 132,501 |
5.00%, 02/15/27(b) | USD | 94 | 91,374 |
4.75%, 01/15/28(b) | 6 | 5,709 | |
4.38%, 07/15/30(b)(g) | 1,068 | 964,956 |
Security | Par (000) | Value | |
Building Materials (continued) | |||
Standard Industries, Inc. (continued) | |||
3.38%, 01/15/31(b) | USD | 125 | $ 105,316 |
Summit Materials LLC/Summit Materials Finance Corp.(b) | |||
5.25%, 01/15/29 | 40 | 38,529 | |
7.25%, 01/15/31(g) | 612 | 633,820 | |
9,227,230 | |||
Building Products — 0.6% | |||
Beacon Roofing Supply, Inc.(b) | |||
4.13%, 05/15/29 | 122 | 111,139 | |
6.50%, 08/01/30(g) | 325 | 327,928 | |
Foundation Building Materials, Inc., 6.00%, 03/01/29(b) | 104 | 92,294 | |
Lowe’s Cos., Inc., 4.65%, 04/15/42(g) | 400 | 349,081 | |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26(b) | 111 | 109,061 | |
White Cap Buyer LLC, 6.88%, 10/15/28(b)(g) | 1,869 | 1,803,381 | |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(b)(g)(h) | 498 | 498,011 | |
3,290,895 | |||
Capital Markets — 1.0% | |||
Apollo Debt Solutions BDC, 6.90%, 04/13/29(b)(g) | 315 | 316,570 | |
Ares Capital Corp.(g) | |||
5.88%, 03/01/29 | 185 | 182,336 | |
5.95%, 07/15/29 | 430 | 422,716 | |
Aretec Group, Inc., 10.00%, 08/15/30(b) | 130 | 141,387 | |
Blackstone Private Credit Fund | |||
3.25%, 03/15/27 | 97 | 89,550 | |
5.95%, 07/16/29(b) | 181 | 177,265 | |
6.25%, 01/25/31(b)(g) | 214 | 212,771 | |
Blue Owl Capital Corp. | |||
3.75%, 07/22/25(g) | 238 | 232,013 | |
3.40%, 07/15/26 | 21 | 19,787 | |
Blue Owl Capital Corp. II, 8.45%, 11/15/26(b)(g) | 196 | 202,222 | |
Blue Owl Credit Income Corp. | |||
7.75%, 09/16/27(g) | 395 | 405,864 | |
6.60%, 09/15/29(b) | 145 | 143,035 | |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(g) | 273 | 258,933 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | |||
6.25%, 05/15/26 | 563 | 558,555 | |
5.25%, 05/15/27(g) | 1,071 | 1,005,265 | |
9.75%, 01/15/29(b) | 391 | 405,075 | |
4.38%, 02/01/29(g) | 272 | 232,571 | |
9.00%, 06/15/30(b) | 260 | 258,688 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(b)(g) | 218 | 230,428 | |
State Street Corp., Series I, (5-year CMT + 2.61%), 6.70%(a)(i) | 355 | 357,116 | |
5,852,147 | |||
Chemicals — 1.9% | |||
Axalta Coating Systems Dutch Holding B BV, 7.25%, 02/15/31(b) | 358 | 371,763 | |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b)(g) | 245 | 219,197 | |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) | 600 | 583,395 | |
Braskem Idesa SAPI, 6.99%, 02/20/32(b) | 305 | 232,105 | |
Chemours Co. | |||
5.38%, 05/15/27 | 310 | 294,258 | |
5.75%, 11/15/28(b) | 182 | 168,031 | |
4.63%, 11/15/29(b) | 309 | 266,049 | |
Element Solutions, Inc., 3.88%, 09/01/28(b)(g) | 2,001 | 1,838,939 |
Security | Par (000) | Value | |
Chemicals (continued) | |||
HB Fuller Co., 4.25%, 10/15/28 | USD | 141 | $ 132,896 |
Herens Holdco SARL, 4.75%, 05/15/28(b) | 471 | 408,564 | |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)(g) | 423 | 426,350 | |
INEOS Finance PLC, 6.38%, 04/15/29(f) | EUR | 100 | 110,174 |
INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29(f) | 102 | 115,655 | |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(h) | USD | 366 | 299,405 |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) | 170 | 160,897 | |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) | 218 | 206,906 | |
Olympus Water U.S. Holding Corp. | |||
9.63%, 11/15/28(f) | EUR | 100 | 114,739 |
9.75%, 11/15/28(b)(g) | USD | 1,098 | 1,161,652 |
7.25%, 06/15/31(b) | 788 | 783,280 | |
Sherwin-Williams Co., 4.50%, 06/01/47(g) | 310 | 261,407 | |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) | 586 | 530,689 | |
WR Grace Holdings LLC(b) | |||
4.88%, 06/15/27 | 177 | 170,687 | |
5.63%, 08/15/29(g) | 1,638 | 1,509,737 | |
7.38%, 03/01/31 | 445 | 450,991 | |
10,817,766 | |||
Commercial Services & Supplies — 5.1% | |||
ADT Security Corp.(b) | |||
4.13%, 08/01/29 | 35 | 31,454 | |
4.88%, 07/15/32 | 173 | 158,866 | |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) | 222 | 219,142 | |
Allied Universal Holdco LLC, 7.88%, 02/15/31(b) | 1,477 | 1,480,843 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(g) | |||
6.63%, 07/15/26 | 87 | 86,737 | |
9.75%, 07/15/27 | 229 | 227,602 | |
6.00%, 06/01/29 | 1,655 | 1,448,763 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL | |||
4.63%, 06/01/28(b)(g) | 1,566 | 1,426,688 | |
4.63%, 06/01/28(b) | 900 | 820,876 | |
4.88%, 06/01/28(f) | GBP | 100 | 113,611 |
APi Group DE, Inc.(b) | |||
4.13%, 07/15/29 | USD | 168 | 152,880 |
4.75%, 10/15/29 | 128 | 119,428 | |
APX Group, Inc., 5.75%, 07/15/29(b)(g) | 342 | 328,125 | |
Block, Inc. | |||
2.75%, 06/01/26 | 966 | 912,481 | |
3.50%, 06/01/31(g) | 207 | 178,570 | |
6.50%, 05/15/32(b)(g) | 2,980 | 3,019,902 | |
Boels Topholding BV, 5.75%, 05/15/30(f) | EUR | 100 | 108,487 |
Boost Newco Borrower LLC, 7.50%, 01/15/31(b)(g) | USD | 1,806 | 1,883,030 |
Brink’s Co.(b) | |||
6.50%, 06/15/29 | 208 | 210,181 | |
6.75%, 06/15/32 | 313 | 315,297 | |
DP World Salaam, (5-year CMT + 5.75%), 6.00%(a)(f)(i) | 200 | 198,688 | |
Fortress Transportation and Infrastructure Investors LLC(b) | |||
5.50%, 05/01/28(g) | 972 | 942,399 | |
7.88%, 12/01/30 | 994 | 1,039,852 | |
7.00%, 05/01/31 | 1,307 | 1,335,307 | |
7.00%, 06/15/32 | 836 | 847,826 | |
Garda World Security Corp.(b) | |||
4.63%, 02/15/27 | 437 | 417,580 | |
9.50%, 11/01/27 | 139 | 139,643 |
Security | Par (000) | Value | |
Commercial Services & Supplies (continued) | |||
Garda World Security Corp.(b) (continued) | |||
7.75%, 02/15/28(g) | USD | 781 | $ 795,438 |
6.00%, 06/01/29 | 143 | 130,463 | |
Global Payments, Inc., 1.50%, 03/01/31(b)(g)(j) | 717 | 656,413 | |
Grand Canyon University, 5.13%, 10/01/28 | 249 | 224,551 | |
Herc Holdings, Inc.(b) | |||
5.50%, 07/15/27(g) | 778 | 765,825 | |
6.63%, 06/15/29 | 365 | 370,118 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(b) | 114 | 112,989 | |
Loxam SAS, 6.38%, 05/31/29(f) | EUR | 100 | 110,332 |
Mavis Tire Express Services Topco Corp., 6.50%, 05/15/29(b)(g) | USD | 158 | 147,301 |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | 192 | 177,836 | |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) | |||
5.75%, 04/15/26 | 444 | 440,627 | |
6.25%, 01/15/28(g) | 268 | 264,093 | |
Q-Park Holding I BV, 02/15/30(c)(f) | EUR | 100 | 106,827 |
Service Corp. International(g) | |||
5.13%, 06/01/29 | USD | 107 | 103,969 |
4.00%, 05/15/31 | 503 | 447,960 | |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 759 | 734,908 | |
Shift4 Payments, Inc., 0.00%, 12/15/25(j)(k) | 219 | 251,802 | |
Sotheby’s, 7.38%, 10/15/27(b)(g) | 1,730 | 1,444,646 | |
Sotheby’ s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(g) | 690 | 513,482 | |
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26(b)(g) | 520 | 508,446 | |
United Rentals North America, Inc. | |||
5.50%, 05/15/27 | 173 | 171,668 | |
6.13%, 03/15/34(b) | 231 | 230,157 | |
Verisure Holding AB, 9.25%, 10/15/27(f) | EUR | 100 | 113,253 |
Wand NewCo 3, Inc., 7.63%, 01/30/32(b) | USD | 802 | 828,299 |
Williams Scotsman, Inc.(b) | |||
6.63%, 06/15/29 | 257 | 259,034 | |
7.38%, 10/01/31 | 412 | 423,993 | |
28,498,688 | |||
Communications Equipment — 0.0% | |||
CommScope, Inc., 4.75%, 09/01/29(b)(g) | 131 | 90,693 | |
Construction & Engineering(b) — 0.5% | |||
Arcosa, Inc., 4.38%, 04/15/29 | 477 | 442,954 | |
Brand Industrial Services, Inc., 10.38%, 08/01/30(g) | 1,928 | 2,083,578 | |
Pike Corp., 8.63%, 01/31/31 | 117 | 123,940 | |
2,650,472 | |||
Construction Materials(b) — 0.2% | |||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 | 231 | 222,908 | |
Gates Corp., 6.88%, 07/01/29 | 395 | 401,889 | |
Resideo Funding, Inc., 4.00%, 09/01/29 | 77 | 67,865 | |
Velocity Vehicle Group LLC, 8.00%, 06/01/29 | 171 | 175,882 | |
868,544 | |||
Consumer Finance — 0.6% | |||
Bread Financial Holdings, Inc., 9.75%, 03/15/29(b) | 182 | 191,194 | |
JPMorgan Chase Financial Co. LLC, 0.50%, 06/15/27(j) | 396 | 420,354 | |
Navient Corp. | |||
5.50%, 03/15/29(g) | 268 | 244,689 | |
9.38%, 07/25/30 | 241 | 253,405 | |
OneMain Finance Corp. | |||
3.50%, 01/15/27(g) | 389 | 364,472 | |
6.63%, 01/15/28(g) | 285 | 286,011 | |
9.00%, 01/15/29(g) | 411 | 433,614 |
Security | Par (000) | Value | |
Consumer Finance (continued) | |||
OneMain Finance Corp. (continued) | |||
5.38%, 11/15/29 | USD | 93 | $ 87,221 |
7.88%, 03/15/30(g) | 508 | 523,776 | |
4.00%, 09/15/30 | 231 | 198,254 | |
7.50%, 05/15/31 | 142 | 143,686 | |
Raymond James Financial, Inc., 4.95%, 07/15/46(g) | 400 | 359,991 | |
3,506,667 | |||
Consumer Staples Distribution & Retail — 1.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) | |||
3.25%, 03/15/26 | 65 | 62,439 | |
7.50%, 03/15/26 | 127 | 128,787 | |
4.63%, 01/15/27 | 1,035 | 999,725 | |
5.88%, 02/15/28 | 348 | 343,959 | |
6.50%, 02/15/28 | 128 | 128,607 | |
3.50%, 03/15/29 | 309 | 277,959 | |
4.88%, 02/15/30(g) | 261 | 246,645 | |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(b) | 534 | 517,447 | |
BRF GmbH, 4.35%, 09/29/26(f) | 200 | 191,380 | |
Lamb Weston Holdings, Inc.(b)(g) | |||
4.13%, 01/31/30 | 368 | 334,182 | |
4.38%, 01/31/32 | 474 | 422,746 | |
Performance Food Group, Inc., 4.25%, 08/01/29(b)(g) | 383 | 348,687 | |
Post Holdings, Inc.(b) | |||
4.63%, 04/15/30(g) | 397 | 364,810 | |
4.50%, 09/15/31 | 42 | 37,647 | |
6.25%, 02/15/32 | 359 | 359,466 | |
Premier Foods Finance PLC, 3.50%, 10/15/26(f) | GBP | 100 | 121,773 |
U.S. Foods, Inc.(b) | |||
6.88%, 09/15/28 | USD | 185 | 189,147 |
4.75%, 02/15/29(g) | 427 | 405,001 | |
4.63%, 06/01/30 | 51 | 47,382 | |
7.25%, 01/15/32(g) | 306 | 317,564 | |
United Natural Foods, Inc., 6.75%, 10/15/28(b) | 118 | 106,526 | |
Walgreens Boots Alliance, Inc., 3.20%, 04/15/30(g) | 40 | 33,485 | |
5,985,364 | |||
Containers & Packaging — 2.3% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) | |||
6.00%, 06/15/27 | 736 | 723,210 | |
3.25%, 09/01/28 | 200 | 175,720 | |
4.00%, 09/01/29(g) | 2,000 | 1,692,511 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |||
2.13%, 08/15/26(f) | EUR | 243 | 215,742 |
4.13%, 08/15/26(b) | USD | 1,124 | 975,594 |
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b)(g) | 211 | 202,385 | |
Clydesdale Acquisition Holdings, Inc.(b)(g) | |||
6.63%, 04/15/29 | 706 | 693,881 | |
8.75%, 04/15/30 | 1,004 | 982,570 | |
Crown Americas LLC, 5.25%, 04/01/30 | 31 | 29,988 | |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | 74 | 71,303 | |
Graphic Packaging International LLC, 2.63%, 02/01/29(f) | EUR | 195 | 193,739 |
LABL, Inc.(b) | |||
6.75%, 07/15/26 | USD | 92 | 90,851 |
5.88%, 11/01/28 | 299 | 272,645 | |
9.50%, 11/01/28 | 567 | 571,467 | |
Mauser Packaging Solutions Holding Co.(b) | |||
7.88%, 04/15/27(g) | 4,708 | 4,802,119 |
Security | Par (000) | Value | |
Containers & Packaging (continued) | |||
Mauser Packaging Solutions Holding Co.(b) (continued) | |||
9.25%, 04/15/27 | USD | 80 | $ 80,051 |
OI European Group BV | |||
6.25%, 05/15/28(b) | EUR | 150 | 166,064 |
5.25%, 06/01/29(f) | 100 | 107,469 | |
Owens-Brockway Glass Container, Inc.(b) | |||
6.63%, 05/13/27 | USD | 51 | 50,896 |
7.25%, 05/15/31(g) | 221 | 220,616 | |
Sealed Air Corp.(b) | |||
5.00%, 04/15/29 | 77 | 73,282 | |
6.50%, 07/15/32 | 248 | 246,608 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b)(g) | 110 | 109,735 | |
Trident TPI Holdings, Inc., 12.75%, 12/31/28(b) | 16 | 17,475 | |
12,765,921 | |||
Diversified Consumer Services(b) — 0.2% | |||
Match Group Holdings II LLC | |||
5.63%, 02/15/29(g) | 209 | 200,753 | |
4.13%, 08/01/30 | 262 | 231,813 | |
3.63%, 10/01/31(g) | 564 | 477,723 | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 | 372 | 321,682 | |
1,231,971 | |||
Diversified REITs — 0.8% | |||
HAT Holdings I LLC/HAT Holdings II LLC, 8.00%, 06/15/27(b)(g) | 268 | 278,623 | |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) | 353 | 322,444 | |
Iron Mountain U.K. PLC, 3.88%, 11/15/25(f) | GBP | 100 | 123,393 |
SBA Communications Corp. | |||
3.13%, 02/01/29(g) | USD | 1,435 | 1,279,371 |
3.88%, 02/15/27 | 73 | 69,571 | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC(b) | |||
10.50%, 02/15/28(g) | 1,953 | 1,912,538 | |
10.50%, 02/15/28 | 385 | 377,024 | |
4,362,964 | |||
Diversified Telecommunication Services — 4.8% | |||
Altice Financing SA(b) | |||
9.63%, 07/15/27 | 667 | 611,168 | |
5.75%, 08/15/29(g) | 1,398 | 1,015,028 | |
Altice France SA/France(b) | |||
5.50%, 01/15/28 | 357 | 244,505 | |
5.13%, 01/15/29 | 200 | 130,499 | |
5.13%, 07/15/29 | 1,976 | 1,299,420 | |
AT&T, Inc.(g) | |||
4.65%, 06/01/44 | 111 | 94,853 | |
4.75%, 05/15/46 | 2,545 | 2,201,101 | |
Cablevision Lightpath LLC(b) | |||
3.88%, 09/15/27 | 418 | 369,576 | |
5.63%, 09/15/28 | 401 | 323,335 | |
Cellnex Telecom SA, Series CLNX, 2.13%, 08/11/30(f)(j) | EUR | 100 | 106,777 |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)(g) | USD | 800 | 772,121 |
Frontier Communications Holdings LLC(b) | |||
5.88%, 10/15/27 | 405 | 395,405 | |
5.00%, 05/01/28(g) | 1,139 | 1,073,046 | |
8.75%, 05/15/30(g) | 1,794 | 1,848,614 | |
8.63%, 03/15/31 | 331 | 340,972 | |
GCI LLC, 4.75%, 10/15/28(b) | 136 | 124,138 |
Security | Par (000) | Value | |
Diversified Telecommunication Services (continued) | |||
Iliad Holding SASU(b) | |||
6.50%, 10/15/26(g) | USD | 831 | $ 827,319 |
7.00%, 10/15/28(g) | 238 | 236,008 | |
8.50%, 04/15/31 | 1,050 | 1,063,165 | |
iliad SA(f) | |||
5.38%, 06/14/27 | EUR | 100 | 108,873 |
5.63%, 02/15/30 | 100 | 109,594 | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29(f) | 117 | 121,542 | |
Kenbourne Invest SA, 6.88%, 11/26/24(b) | USD | 243 | 103,275 |
Level 3 Financing, Inc.(b) | |||
10.50%, 04/15/29(g) | 1,471 | 1,467,322 | |
4.88%, 06/15/29 | 690 | 393,576 | |
11.00%, 11/15/29(g) | 1,462 | 1,495,984 | |
10.50%, 05/15/30(g) | 1,605 | 1,589,615 | |
Lorca Telecom Bondco SA, 5.75%, 04/30/29(f) | EUR | 100 | 109,639 |
Lumen Technologies, Inc.(b) | |||
4.13%, 04/15/29 | USD | 260 | 168,806 |
4.13%, 04/15/30 | 260 | 162,323 | |
Network i2i Ltd., (5-year CMT + 4.27%), 5.65%(a)(f)(i) | 250 | 247,375 | |
Sable International Finance Ltd., 5.75%, 09/07/27(b)(g) | 200 | 192,687 | |
SoftBank Group Corp.(f) | |||
4.50%, 04/20/25 | EUR | 100 | 106,961 |
3.38%, 07/06/29 | 100 | 98,527 | |
3.88%, 07/06/32 | 100 | 95,850 | |
Telecom Italia Capital SA(b) | |||
6.00%, 09/30/34(g) | USD | 897 | 848,907 |
7.20%, 07/18/36 | 358 | 368,955 | |
Telecom Italia SpA/Milano, 2.75%, 04/15/25(f) | EUR | 100 | 105,596 |
Verizon Communications, Inc.(g) | |||
4.50%, 08/10/33 | USD | 500 | 470,056 |
3.70%, 03/22/61 | 1,250 | 881,975 | |
VF Ukraine PAT via VFU Funding PLC, 6.20%, 02/11/25(f) | 208 | 184,080 | |
Vmed O2 U.K. Financing I PLC | |||
4.00%, 01/31/29(f) | GBP | 100 | 109,281 |
4.50%, 07/15/31(f) | 100 | 104,257 | |
4.75%, 07/15/31(b)(g) | USD | 562 | 473,977 |
7.75%, 04/15/32(b) | 252 | 245,811 | |
Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 08/15/28(b) | 284 | 267,541 | |
Zayo Group Holdings, Inc.(b)(g) | |||
4.00%, 03/01/27 | 3,499 | 2,798,380 | |
6.13%, 03/01/28 | 703 | 470,697 | |
26,978,512 | |||
Electric Utilities — 1.4% | |||
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(f) | 215 | 186,384 | |
Clearway Energy Operating LLC, 4.75%, 03/15/28(b) | 53 | 50,643 | |
Duke Energy Corp., 4.80%, 12/15/45(g) | 1,500 | 1,294,736 | |
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(i) | 40 | 38,966 | |
Enel Finance International NV, 3.63%, 05/25/27(b)(g) | 1,250 | 1,193,802 | |
Mong Duong Finance Holdings BV, 5.13%, 05/07/29(f) | 211 | 200,740 | |
NextEra Energy Operating Partners LP(b) | |||
4.25%, 07/15/24 | 205 | 204,677 | |
4.25%, 09/15/24 | 11 | 10,876 | |
3.88%, 10/15/26 | 86 | 81,780 | |
7.25%, 01/15/29 | 219 | 224,578 |
Security | Par (000) | Value | |
Electric Utilities (continued) | |||
NRG Energy, Inc. | |||
6.63%, 01/15/27 | USD | 958 | $ 956,089 |
7.00%, 03/15/33(b)(g) | 134 | 141,451 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) | 407 | 376,726 | |
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(f) | 157 | 157,187 | |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) | 174 | 185,523 | |
TransAlta Corp., 7.75%, 11/15/29 | 63 | 65,742 | |
Virginia Electric and Power Co., Series A, 6.00%, 05/15/37(g) | 750 | 772,920 | |
Vistra Corp., (5-year CMT + 6.93%), 8.00%(a)(b)(i) | 240 | 242,040 | |
Vistra Operations Co. LLC(b) | |||
7.75%, 10/15/31 | 480 | 499,868 | |
6.88%, 04/15/32 | 507 | 514,692 | |
6.95%, 10/15/33(g) | 164 | 175,527 | |
7,574,947 | |||
Electrical Equipment — 0.2% | |||
Nexans SA, 4.25%, 03/11/30(f) | EUR | 100 | 105,914 |
WESCO Distribution, Inc.(b) | |||
7.25%, 06/15/28(g) | USD | 414 | 421,427 |
6.38%, 03/15/29 | 234 | 234,845 | |
6.63%, 03/15/32 | 296 | 299,116 | |
1,061,302 | |||
Electronic Equipment, Instruments & Components — 0.8% | |||
Coherent Corp., 5.00%, 12/15/29(b)(g) | 610 | 577,289 | |
Corning, Inc., 4.38%, 11/15/57(g) | 1,915 | 1,501,988 | |
EquipmentShare.com, Inc., 8.63%, 05/15/32(b) | 122 | 126,504 | |
Imola Merger Corp., 4.75%, 05/15/29(b)(g) | 582 | 544,078 | |
Sensata Technologies, Inc.(b) | |||
4.38%, 02/15/30 | 1,066 | 979,016 | |
3.75%, 02/15/31 | 26 | 22,662 | |
6.63%, 07/15/32 | 500 | 503,576 | |
Zebra Technologies Corp., 6.50%, 06/01/32(b) | 154 | 155,734 | |
4,410,847 | |||
Energy Equipment & Services — 0.7% | |||
Archrock Partners LP/Archrock Partners Finance Corp.(b) | |||
6.88%, 04/01/27 | 312 | 313,243 | |
6.25%, 04/01/28(g) | 1,088 | 1,077,537 | |
Kodiak Gas Services LLC, 7.25%, 02/15/29(b)(g) | 685 | 702,177 | |
Oceaneering International, Inc., 6.00%, 02/01/28 | 92 | 90,948 | |
USA Compression Partners LP/USA Compression Finance Corp. | |||
6.88%, 09/01/27 | 637 | 638,194 | |
7.13%, 03/15/29(b)(g) | 553 | 557,207 | |
Weatherford International Ltd., 8.63%, 04/30/30(b)(g) | 472 | 489,104 | |
3,868,410 | |||
Entertainment — 0.4% | |||
Boyne USA, Inc., 4.75%, 05/15/29(b)(g) | 465 | 433,891 | |
CPUK Finance Ltd., 4.50%, 08/28/27(f) | GBP | 100 | 117,852 |
Inter Media and Communication SpA, 6.75%, 02/09/27(f) | EUR | 100 | 105,489 |
Live Nation Entertainment, Inc.(b) | |||
4.75%, 10/15/27(g) | USD | 555 | 531,871 |
3.75%, 01/15/28 | 253 | 235,007 | |
Motion Bondco DAC, 6.63%, 11/15/27(b) | 200 | 193,715 |
Security | Par (000) | Value | |
Entertainment (continued) | |||
Odeon Finco PLC, 12.75%, 11/01/27(b) | USD | 400 | $ 419,249 |
Playtika Holding Corp., 4.25%, 03/15/29(b) | 101 | 88,623 | |
2,125,697 | |||
Environmental, Maintenance & Security Service — 1.1% | |||
Clean Harbors, Inc.(b) | |||
4.88%, 07/15/27 | 215 | 208,106 | |
5.13%, 07/15/29 | 149 | 143,125 | |
6.38%, 02/01/31 | 87 | 87,227 | |
Covanta Holding Corp. | |||
4.88%, 12/01/29(b)(g) | 181 | 165,204 | |
5.00%, 09/01/30 | 91 | 82,247 | |
GFL Environmental, Inc.(b) | |||
3.75%, 08/01/25(g) | 402 | 398,389 | |
4.00%, 08/01/28 | 567 | 526,975 | |
3.50%, 09/01/28 | 259 | 238,764 | |
4.75%, 06/15/29(g) | 483 | 455,838 | |
4.38%, 08/15/29(g) | 519 | 478,292 | |
6.75%, 01/15/31 | 621 | 633,534 | |
Madison IAQ LLC(b) | |||
4.13%, 06/30/28 | 320 | 298,441 | |
5.88%, 06/30/29(g) | 689 | 641,045 | |
Paprec Holding SA, 7.25%, 11/17/29(f) | EUR | 100 | 112,452 |
Waste Pro USA, Inc., 5.50%, 02/15/26(b)(g) | USD | 1,690 | 1,666,690 |
6,136,329 | |||
Financial Services — 2.0% | |||
Berkshire Hathaway Finance Corp., 4.40%, 05/15/42(g) | 250 | 226,502 | |
Blue Owl Credit Income Corp., 6.65%, 03/15/31 | 430 | 420,260 | |
Enact Holdings, Inc., 6.25%, 05/28/29(g) | 176 | 176,052 | |
Freedom Mortgage Holdings LLC(b) | |||
9.25%, 02/01/29 | 511 | 510,670 | |
9.13%, 05/15/31 | 359 | 349,343 | |
GGAM Finance Ltd.(b) | |||
7.75%, 05/15/26 | 58 | 59,184 | |
8.00%, 02/15/27 | 425 | 438,992 | |
8.00%, 06/15/28 | 177 | 186,425 | |
6.88%, 04/15/29 | 341 | 346,967 | |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(h) | 295 | 284,854 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc., 07/01/34(b)(c) | 195 | 190,896 | |
HPS Corporate Lending Fund, 6.75%, 01/30/29(b)(g) | 285 | 287,095 | |
Intrum AB, 3.00%, 09/15/27(f) | EUR | 100 | 68,973 |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28(b)(g) | USD | 415 | 382,825 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | |||
4.25%, 02/01/27 | 220 | 208,366 | |
4.75%, 06/15/29 | 85 | 78,519 | |
07/15/31(c) | 297 | 299,599 | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(b) | 303 | 269,040 | |
Macquarie Airfinance Holdings Ltd.(b) | |||
6.40%, 03/26/29 | 85 | 86,438 | |
8.13%, 03/30/29(g) | 327 | 345,703 | |
6.50%, 03/26/31(g) | 220 | 226,229 | |
Nationstar Mortgage Holdings, Inc.(b) | |||
5.00%, 02/01/26(g) | 1,902 | 1,861,607 | |
6.00%, 01/15/27(g) | 101 | 99,923 | |
5.13%, 12/15/30(g) | 269 | 246,671 | |
5.75%, 11/15/31 | 170 | 159,786 | |
7.13%, 02/01/32(g) | 995 | 1,000,814 |
Security | Par (000) | Value | |
Financial Services (continued) | |||
PennyMac Financial Services, Inc.(b) | |||
7.88%, 12/15/29 | USD | 367 | $ 378,444 |
7.13%, 11/15/30 | 366 | 364,872 | |
ProGroup AG, 5.13%, 04/15/29(f) | EUR | 100 | 107,376 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(b) | |||
2.88%, 10/15/26(g) | USD | 1,123 | 1,048,755 |
3.88%, 03/01/31(g) | 201 | 175,168 | |
4.00%, 10/15/33 | 104 | 87,640 | |
10,973,988 | |||
Food Products — 1.0% | |||
Aramark International Finance SARL, 3.13%, 04/01/25(f) | EUR | 200 | 211,780 |
Aramark Services, Inc., 5.00%, 02/01/28(b)(g) | USD | 1,207 | 1,167,317 |
B&G Foods, Inc., 09/15/28(b)(c) | 118 | 119,915 | |
Bellis Acquisition Co. PLC, 8.13%, 05/14/30(f) | GBP | 104 | 131,302 |
Chobani LLC/Chobani Finance Corp., Inc.(b) | |||
4.63%, 11/15/28 | USD | 1,233 | 1,164,456 |
7.63%, 07/01/29(g) | 1,528 | 1,573,696 | |
Darling Global Finance BV, 3.63%, 05/15/26(f) | EUR | 156 | 165,151 |
Darling Ingredients, Inc., 6.00%, 06/15/30(b)(g) | USD | 557 | 547,680 |
Fiesta Purchaser, Inc., 7.88%, 03/01/31(b) | 194 | 200,458 | |
Lion/Polaris Lux 4 SA, 07/01/29(a)(c)(f) | EUR | 100 | 107,095 |
5,388,850 | |||
Gas Utilities(b) — 0.1% | |||
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28 | USD | 387 | 397,238 |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | 117 | 105,363 | |
502,601 | |||
Ground Transportation — 1.1% | |||
Brightline East LLC, 11.00%, 01/31/30(b)(g) | 289 | 263,529 | |
Burlington Northern Santa Fe LLC, 4.38%, 09/01/42(g) | 500 | 434,785 | |
Genesee & Wyoming, Inc., 6.25%, 04/15/32(b) | 568 | 565,872 | |
GN Bondco LLC, 9.50%, 10/15/31(b)(g) | 245 | 228,359 | |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b)(g) | 1,717 | 1,693,050 | |
Uber Technologies, Inc. | |||
0.00%, 12/15/25(g)(j)(k) | 215 | 230,480 | |
8.00%, 11/01/26(b)(g) | 363 | 366,148 | |
7.50%, 09/15/27(b)(g) | 545 | 555,692 | |
6.25%, 01/15/28(b) | 196 | 196,230 | |
4.50%, 08/15/29(b)(g) | 760 | 724,120 | |
Series 2028, 0.88%, 12/01/28(b)(j) | 771 | 916,719 | |
Union Pacific Corp., 3.20%, 05/20/41 | 275 | 207,766 | |
6,382,750 | |||
Health Care Equipment & Supplies — 1.2% | |||
Avantor Funding, Inc. | |||
2.63%, 11/01/25(f) | EUR | 300 | 314,085 |
4.63%, 07/15/28(b)(g) | USD | 1,050 | 999,179 |
3.88%, 11/01/29(b) | 31 | 28,190 | |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(b)(g) | 1,581 | 1,618,549 | |
Medline Borrower LP(b) | |||
3.88%, 04/01/29 | 888 | 817,768 | |
5.25%, 10/01/29(g) | 1,866 | 1,780,774 | |
Medline Borrower LP/Medline Co-Issuer, Inc., 6.25%, 04/01/29(b) | 770 | 778,715 | |
Neogen Food Safety Corp., 8.63%, 07/20/30(b) | 254 | 274,216 | |
Sotera Health Holdings LLC, 7.38%, 06/01/31(b) | 259 | 259,384 | |
6,870,860 |
Security | Par (000) | Value | |
Health Care Providers & Services — 2.8% | |||
AHP Health Partners, Inc., 5.75%, 07/15/29(b) | USD | 442 | $ 419,589 |
Catalent Pharma Solutions, Inc.(b) | |||
5.00%, 07/15/27(g) | 683 | 669,720 | |
3.13%, 02/15/29 | 313 | 299,567 | |
3.50%, 04/01/30 | 453 | 433,651 | |
Charles River Laboratories International, Inc., 4.00%, 03/15/31(b) | 55 | 49,054 | |
CHS/Community Health Systems, Inc.(b) | |||
5.63%, 03/15/27(g) | 774 | 720,754 | |
6.00%, 01/15/29(g) | 769 | 678,648 | |
5.25%, 05/15/30(g) | 1,146 | 944,868 | |
4.75%, 02/15/31(g) | 696 | 547,216 | |
10.88%, 01/15/32 | 753 | 783,712 | |
Concentra Escrow Issuer Corp., 07/15/32(b)(c) | 330 | 334,343 | |
Encompass Health Corp. | |||
4.75%, 02/01/30(g) | 380 | 355,565 | |
4.63%, 04/01/31 | 303 | 278,069 | |
Ephios Subco 3 SARL, 7.88%, 01/31/31(f) | EUR | 100 | 113,866 |
Fortrea Holdings, Inc., 7.50%, 07/01/30(b)(g) | USD | 254 | 252,371 |
HealthEquity, Inc., 4.50%, 10/01/29(b) | 988 | 923,464 | |
IQVIA, Inc.(b) | |||
5.00%, 10/15/26(g) | 348 | 341,448 | |
6.50%, 05/15/30 | 274 | 278,121 | |
LifePoint Health, Inc.(b) | |||
9.88%, 08/15/30(g) | 445 | 474,559 | |
11.00%, 10/15/30(g) | 653 | 719,454 | |
10.00%, 06/01/32 | 359 | 367,046 | |
Molina Healthcare, Inc.(b) | |||
4.38%, 06/15/28 | 59 | 55,533 | |
3.88%, 11/15/30 | 321 | 285,371 | |
3.88%, 05/15/32(g) | 213 | 184,564 | |
Northwell Healthcare, Inc., 4.26%, 11/01/47(g) | 686 | 555,150 | |
Star Parent, Inc., 9.00%, 10/01/30(b)(g) | 1,325 | 1,391,113 | |
Surgery Center Holdings, Inc., 7.25%, 04/15/32(b)(g) | 826 | 834,372 | |
Tenet Healthcare Corp. | |||
6.13%, 06/15/30 | 320 | 317,839 | |
6.75%, 05/15/31(g) | 1,097 | 1,113,469 | |
U.S. Acute Care Solutions LLC, 9.75%, 05/15/29(b)(g) | 333 | 327,935 | |
UnitedHealth Group, Inc., 4.38%, 03/15/42(g) | 750 | 656,658 | |
15,707,089 | |||
Health Care REITs — 0.3% | |||
MPT Operating Partnership LP/MPT Finance Corp. | |||
2.50%, 03/24/26 | GBP | 382 | 413,857 |
5.25%, 08/01/26 | USD | 72 | 65,429 |
5.00%, 10/15/27 | 58 | 47,903 | |
4.63%, 08/01/29(g) | 208 | 150,969 | |
3.50%, 03/15/31 | 1,185 | 772,165 | |
1,450,323 | |||
Health Care Technology — 0.5% | |||
AthenaHealth Group, Inc., 6.50%, 02/15/30(b)(g) | 2,808 | 2,585,323 | |
Hotel & Resort REITs — 0.7% | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 7.00%, 02/01/30(b) | 295 | 298,518 | |
RHP Hotel Properties LP/RHP Finance Corp. | |||
4.75%, 10/15/27 | 17 | 16,367 | |
7.25%, 07/15/28(b) | 356 | 368,131 | |
4.50%, 02/15/29(b) | 142 | 133,169 |
Security | Par (000) | Value | |
Hotel & Resort REITs (continued) | |||
RHP Hotel Properties LP/RHP Finance Corp. (continued) | |||
6.50%, 04/01/32(b) | USD | 1,034 | $ 1,034,075 |
Service Properties Trust | |||
8.63%, 11/15/31(b)(g) | 1,536 | 1,600,994 | |
8.88%, 06/15/32 | 604 | 563,372 | |
4,014,626 | |||
Hotels, Restaurants & Leisure — 6.4% | |||
Bertrand Franchise Finance SAS, (3-mo. EURIBOR + 3.75%), 7.49%, 07/18/30(a)(f) | EUR | 100 | 107,566 |
Boyd Gaming Corp., 4.75%, 06/15/31(b)(g) | USD | 269 | 243,796 |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) | |||
3.88%, 01/15/28 | 69 | 64,625 | |
4.38%, 01/15/28(g) | 157 | 148,078 | |
4.00%, 10/15/30 | 771 | 678,711 | |
Caesars Entertainment, Inc.(b)(g) | |||
8.13%, 07/01/27 | 1,337 | 1,364,184 | |
4.63%, 10/15/29 | 184 | 168,686 | |
7.00%, 02/15/30 | 2,112 | 2,157,790 | |
6.50%, 02/15/32 | 892 | 896,374 | |
Carnival Corp.(b) | |||
7.63%, 03/01/26 | 197 | 198,947 | |
5.75%, 03/01/27 | 1,024 | 1,011,633 | |
4.00%, 08/01/28(g) | 449 | 421,358 | |
6.00%, 05/01/29(g) | 1,119 | 1,105,370 | |
7.00%, 08/15/29 | 148 | 153,415 | |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b)(g) | 3,535 | 3,826,934 | |
Churchill Downs, Inc.(b) | |||
5.50%, 04/01/27(g) | 527 | 518,518 | |
4.75%, 01/15/28 | 618 | 590,279 | |
5.75%, 04/01/30 | 1,073 | 1,042,242 | |
6.75%, 05/01/31(g) | 504 | 506,729 | |
Cirsa Finance International SARL, (3-mo. EURIBOR + 4.50%), 8.37%, 07/31/28(a)(f) | EUR | 100 | 108,166 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) | |||
4.63%, 01/15/29 | USD | 412 | 375,192 |
6.75%, 01/15/30(g) | 172 | 151,043 | |
Flutter Treasury Designated Activity Co., 6.38%, 04/29/29(b) | 224 | 225,418 | |
Hilton Domestic Operating Co., Inc. | |||
3.75%, 05/01/29(b)(g) | 139 | 127,457 | |
4.88%, 01/15/30(g) | 450 | 431,899 | |
4.00%, 05/01/31(b)(g) | 302 | 270,322 | |
3.63%, 02/15/32(b) | 3 | 2,596 | |
6.13%, 04/01/32(b)(g) | 266 | 267,290 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 6.63%, 01/15/32(b) | 305 | 306,428 | |
Life Time, Inc.(b) | |||
5.75%, 01/15/26 | 435 | 433,083 | |
8.00%, 04/15/26(g) | 336 | 339,952 | |
Light & Wonder International, Inc.(b) | |||
7.00%, 05/15/28 | 190 | 190,982 | |
7.25%, 11/15/29 | 213 | 217,538 | |
7.50%, 09/01/31 | 272 | 281,036 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) | 147 | 151,125 | |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b) | 275 | 271,550 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.00%), 7.79%, 12/15/30(a)(f) | EUR | 100 | $ 108,436 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) | USD | 353 | 332,375 |
Melco Resorts Finance Ltd. | |||
4.88%, 06/06/25(b) | 400 | 392,000 | |
5.75%, 07/21/28(b) | 200 | 187,000 | |
5.38%, 12/04/29(b) | 390 | 350,218 | |
5.38%, 12/04/29(f) | 250 | 224,499 | |
7.63%, 04/17/32(b) | 344 | 341,420 | |
Merlin Entertainments Group U.S. Holdings, Inc., 7.38%, 02/15/31(b) | 392 | 399,393 | |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | 600 | 591,123 | |
MGM China Holdings Ltd. | |||
5.88%, 05/15/26(f) | 250 | 247,109 | |
4.75%, 02/01/27(b) | 200 | 190,600 | |
7.13%, 06/26/31(b) | 200 | 201,020 | |
NCL Corp. Ltd.(b) | |||
5.88%, 03/15/26(g) | 360 | 355,904 | |
8.38%, 02/01/28 | 173 | 180,775 | |
8.13%, 01/15/29 | 159 | 166,593 | |
7.75%, 02/15/29 | 80 | 83,176 | |
NCL Finance Ltd., 6.13%, 03/15/28(b)(g) | 333 | 328,849 | |
Ontario Gaming GTA LP, 8.00%, 08/01/30(b) | 366 | 375,608 | |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) | |||
5.63%, 09/01/29 | 148 | 106,434 | |
5.88%, 09/01/31 | 148 | 100,652 | |
Raising Cane’s Restaurants LLC, 9.38%, 05/01/29(b) | 185 | 199,807 | |
Royal Caribbean Cruises Ltd.(b) | |||
4.25%, 07/01/26 | 92 | 89,037 | |
5.38%, 07/15/27(g) | 173 | 170,340 | |
5.50%, 04/01/28 | 152 | 150,061 | |
9.25%, 01/15/29(g) | 247 | 263,688 | |
7.25%, 01/15/30 | 279 | 288,881 | |
6.25%, 03/15/32(g) | 440 | 443,696 | |
Sabre GLBL, Inc.(b) | |||
8.63%, 06/01/27(g) | 744 | 685,422 | |
11.25%, 12/15/27 | 34 | 33,051 | |
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, 03/01/30(b) | 280 | 272,949 | |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(g) | 1,141 | 1,161,666 | |
Six Flags Entertainment Corp./Six Flags Theme Parks, Inc., 6.63%, 05/01/32(b)(g) | 1,100 | 1,117,860 | |
Station Casinos LLC(b) | |||
4.63%, 12/01/31 | 354 | 315,521 | |
6.63%, 03/15/32 | 254 | 252,752 | |
TUI AG, 5.88%, 03/15/29(f) | EUR | 100 | 108,701 |
Vail Resorts, Inc., 6.50%, 05/15/32(b)(g) | USD | 479 | 484,728 |
Viking Cruises Ltd.(b) | |||
5.88%, 09/15/27(g) | 308 | 304,813 | |
7.00%, 02/15/29 | 66 | 66,352 | |
9.13%, 07/15/31 | 931 | 1,008,333 | |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | 206 | 201,377 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) | 2 | 1,951 | |
Wynn Macau Ltd. | |||
5.50%, 01/15/26(b) | 200 | 195,817 | |
5.50%, 01/15/26(f) | 200 | 195,817 | |
5.63%, 08/26/28(b) | 963 | 901,368 | |
5.13%, 12/15/29(b) | 610 | 551,097 |
Security | Par (000) | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)(g) | |||
5.13%, 10/01/29 | USD | 1,011 | $ 961,526 |
7.13%, 02/15/31 | 617 | 639,782 | |
Yum! Brands, Inc., 4.75%, 01/15/30(b) | 219 | 208,589 | |
35,894,478 | |||
Household Durables — 0.4% | |||
Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 04/01/30(b) | 185 | 165,346 | |
Beazer Homes USA, Inc., 7.50%, 03/15/31(b) | 116 | 115,758 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) | |||
5.00%, 06/15/29 | 266 | 242,951 | |
4.88%, 02/15/30 | 476 | 425,771 | |
Dream Finders Homes, Inc., 8.25%, 08/15/28(b) | 151 | 154,611 | |
Empire Communities Corp., 9.75%, 05/01/29(b) | 103 | 104,803 | |
LG Electronics, Inc., 5.63%, 04/24/27(b)(g) | 200 | 200,625 | |
LGI Homes, Inc., 8.75%, 12/15/28(b) | 116 | 120,826 | |
Meritage Homes Corp., 1.75%, 05/15/28(b)(j) | 35 | 34,755 | |
New Home Co., Inc., 9.25%, 10/01/29(b) | 296 | 296,722 | |
Scotts Miracle-Gro Co. | |||
4.50%, 10/15/29 | 115 | 105,117 | |
4.38%, 02/01/32 | 32 | 27,567 | |
STL Holding Co. LLC, 8.75%, 02/15/29(b) | 158 | 164,905 | |
Taylor Morrison Communities, Inc., 5.13%, 08/01/30(b) | 75 | 71,820 | |
Tempur Sealy International, Inc., 3.88%, 10/15/31(b) | 66 | 55,169 | |
2,286,746 | |||
Household Products — 0.1% | |||
Central Garden & Pet Co. | |||
5.13%, 02/01/28 | 20 | 19,452 | |
4.13%, 10/15/30(g) | 244 | 217,459 | |
Kronos Acquisition Holdings, Inc., 06/30/31(b)(c) | 78 | 78,078 | |
Spectrum Brands, Inc.(b) | |||
3.38%, 06/01/29(j) | 251 | 241,713 | |
3.88%, 03/15/31 | 19 | 15,879 | |
572,581 | |||
Independent Power and Renewable Electricity Producers(b) — 0.3% | |||
Calpine Corp. | |||
5.25%, 06/01/26 | 195 | 192,841 | |
5.13%, 03/15/28(g) | 1,281 | 1,232,000 | |
5.00%, 02/01/31 | 120 | 111,995 | |
SCC Power PLC, (4.00% Cash and 4.00% PIK), 8.00%, 12/31/28(h) | 176 | 68,854 | |
1,605,690 | |||
Industrial Conglomerates — 0.0% | |||
Amsted Industries, Inc., 5.63%, 07/01/27(b) | 84 | 82,609 | |
Insurance — 5.5% | |||
Acrisure LLC/Acrisure Finance, Inc., 7.50%, 11/06/30(b) | 355 | 355,246 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co- Issuer(b) | |||
4.25%, 10/15/27(g) | 2,168 | 2,029,970 | |
6.75%, 10/15/27(g) | 2,087 | 2,058,532 | |
6.75%, 04/15/28(g) | 491 | 491,779 | |
5.88%, 11/01/29(g) | 1,707 | 1,597,319 | |
7.00%, 01/15/31 | 1,276 | 1,289,046 | |
AmWINS Group, Inc.(b) | |||
6.38%, 02/15/29 | 182 | 182,496 | |
4.88%, 06/30/29 | 232 | 215,822 | |
Ardonagh Finco Ltd. | |||
6.88%, 02/15/31(f) | EUR | 200 | 208,480 |
Security | Par (000) | Value | |
Insurance (continued) | |||
Ardonagh Finco Ltd. (continued) | |||
7.75%, 02/15/31(b) | USD | 915 | $ 904,536 |
Ardonagh Group Finance Ltd., 8.88%, 02/15/32(b) | 819 | 799,926 | |
AssuredPartners, Inc., 7.50%, 02/15/32(b) | 504 | 505,901 | |
AXA SA, (5-year EURIBOR ICE Swap + 3.84%), 6.38%(a)(f)(i) | EUR | 100 | 109,394 |
Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, 7.13%, 05/15/31(b) | USD | 103 | 104,197 |
FWD Group Holdings Ltd., 8.40%, 04/05/29(f) | 230 | 235,031 | |
Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC(b) | |||
7.25%, 02/15/31(g) | 2,253 | 2,236,158 | |
8.13%, 02/15/32 | 1,048 | 1,041,183 | |
HUB International Ltd.(b)(g) | |||
7.25%, 06/15/30 | 4,488 | 4,600,788 | |
7.38%, 01/31/32 | 5,280 | 5,354,353 | |
Jones Deslauriers Insurance Management, Inc.(b) | |||
8.50%, 03/15/30 | 711 | 741,482 | |
10.50%, 12/15/30 | 335 | 359,740 | |
Panther Escrow Issuer LLC, 7.13%, 06/01/31(b)(g) | 3,748 | 3,790,855 | |
Ryan Specialty LLC, 4.38%, 02/01/30(b) | 163 | 150,964 | |
Teachers Insurance & Annuity Association of America, 4.27%, 05/15/47(b)(g) | 700 | 556,875 | |
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34(f) | EUR | 100 | 105,451 |
USI, Inc./New York, 7.50%, 01/15/32(b)(g) | USD | 611 | 620,559 |
30,646,083 | |||
Interactive Media & Services — 0.1% | |||
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | 514 | 456,482 | |
IT Services — 0.9% | |||
CA Magnum Holdings, 5.38%, 10/31/26(b) | 488 | 466,803 | |
Camelot Finance SA, 4.50%, 11/01/26(b) | 519 | 501,724 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 06/15/29(b)(g) | 589 | 598,038 | |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(g) | 711 | 707,487 | |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(f) | EUR | 100 | 110,417 |
Fortress Intermediate 3, Inc., 7.50%, 06/01/31(b)(g) | USD | 770 | 788,903 |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, 12/01/27(b) | 9 | 8,812 | |
Insight Enterprises, Inc., 6.63%, 05/15/32(b) | 210 | 213,247 | |
KBR, Inc., 4.75%, 09/30/28(b) | 306 | 284,580 | |
Science Applications International Corp., 4.88%, 04/01/28(b) | 377 | 359,779 | |
Twilio, Inc. | |||
3.63%, 03/15/29 | 206 | 185,295 | |
3.88%, 03/15/31 | 630 | 554,075 | |
4,779,160 | |||
Leisure Products — 0.1% | |||
Acushnet Co., 7.38%, 10/15/28(b) | 44 | 45,596 | |
Amer Sports Co., 6.75%, 02/16/31(b)(g) | 389 | 386,511 | |
Mattel, Inc., 6.20%, 10/01/40 | 99 | 97,583 | |
529,690 | |||
Machinery — 1.4% | |||
Chart Industries, Inc.(b) | |||
7.50%, 01/01/30(g) | 876 | 905,229 | |
9.50%, 01/01/31 | 102 | 110,513 | |
Esab Corp., 6.25%, 04/15/29(b) | 350 | 352,099 |
Security | Par (000) | Value | |
Machinery (continued) | |||
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) | USD | 170 | $ 125,301 |
Husky Injection Molding Systems Ltd./Titan Co- Borrower LLC, 9.00%, 02/15/29(b) | 1,016 | 1,052,082 | |
IMA Industria Macchine Automatiche SpA, (3-mo. EURIBOR + 3.75%), 7.65%, 04/15/29(a)(f) | EUR | 100 | 107,888 |
OT Merger Corp., 7.88%, 10/15/29(b) | USD | 147 | 66,150 |
Terex Corp., 5.00%, 05/15/29(b) | 421 | 399,485 | |
TK Elevator Holdco GmbH | |||
6.63%, 07/15/28(f) | EUR | 167 | 172,599 |
7.63%, 07/15/28(b) | USD | 752 | 746,264 |
TK Elevator Midco GmbH, 4.38%, 07/15/27(f) | EUR | 372 | 383,992 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(g) | USD | 2,566 | 2,487,265 |
Vertiv Group Corp., 4.13%, 11/15/28(b)(g) | 847 | 790,989 | |
7,699,856 | |||
Marine Transportation — 0.0% | |||
Danaos Corp., 8.50%, 03/01/28(b) | 100 | 102,695 | |
Media — 5.2% | |||
Banijay Entertainment SASU, 8.13%, 05/01/29(b) | 200 | 204,540 | |
Cable One, Inc. | |||
0.00%, 03/15/26(j)(k) | 114 | 99,750 | |
1.13%, 03/15/28(j) | 1,006 | 746,733 | |
4.00%, 11/15/30(b) | 24 | 17,912 | |
CCO Holdings LLC/CCO Holdings Capital Corp.(b) | |||
5.13%, 05/01/27(g) | 711 | 682,664 | |
5.38%, 06/01/29 | 76 | 69,142 | |
6.38%, 09/01/29(g) | 1,472 | 1,399,179 | |
4.75%, 03/01/30(g) | 315 | 272,830 | |
4.25%, 02/01/31(g) | 941 | 768,271 | |
7.38%, 03/01/31(g) | 2,710 | 2,672,074 | |
4.75%, 02/01/32 | 209 | 171,165 | |
4.25%, 01/15/34(g) | 578 | 438,735 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, 10/23/45(g) | 3,000 | 2,740,141 | |
Clear Channel Outdoor Holdings, Inc.(b)(g) | |||
5.13%, 08/15/27 | 586 | 559,621 | |
7.75%, 04/15/28 | 319 | 279,126 | |
9.00%, 09/15/28 | 2,037 | 2,132,649 | |
7.50%, 06/01/29 | 862 | 720,305 | |
7.88%, 04/01/30 | 865 | 870,662 | |
CMG Media Corp., 8.88%, 12/15/27(b) | 409 | 233,268 | |
CSC Holdings LLC(b)(g) | |||
11.25%, 05/15/28 | 1,200 | 1,045,063 | |
11.75%, 01/31/29 | 1,200 | 1,023,425 | |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)(g) | 1,274 | 1,198,307 | |
DISH DBS Corp.(b) | |||
5.25%, 12/01/26 | 1,285 | 1,013,598 | |
5.75%, 12/01/28 | 65 | 45,065 | |
DISH Network Corp., 11.75%, 11/15/27(b) | 1,243 | 1,218,761 | |
Gray Television, Inc.(b) | |||
7.00%, 05/15/27(g) | 383 | 352,630 | |
10.50%, 07/15/29 | 537 | 539,889 | |
Lamar Media Corp., 4.00%, 02/15/30 | 53 | 48,050 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) | 580 | 543,190 | |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | 209 | 200,640 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | |||
5.00%, 08/15/27(g) | 982 | 950,594 |
Security | Par (000) | Value | |
Media (continued) | |||
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) (continued) | |||
4.25%, 01/15/29(g) | USD | 326 | $ 297,253 |
4.63%, 03/15/30 | 122 | 109,854 | |
7.38%, 02/15/31 | 387 | 402,754 | |
Pinewood Finco PLC, 6.00%, 03/27/30(f) | GBP | 100 | 124,198 |
Radiate Holdco LLC/Radiate Finance, Inc.(b) | |||
4.50%, 09/15/26 | USD | 421 | 320,798 |
6.50%, 09/15/28 | 352 | 174,453 | |
Sirius XM Radio, Inc.(b) | |||
3.13%, 09/01/26 | 58 | 54,569 | |
5.00%, 08/01/27 | 951 | 910,317 | |
4.00%, 07/15/28 | 96 | 86,722 | |
Sunrise FinCo I BV, 4.88%, 07/15/31(b)(g) | 794 | 720,964 | |
Tele Columbus AG, (10.00% PIK), 10.00%, 01/01/29(f)(h) | EUR | 100 | 79,518 |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | USD | 400 | 378,921 |
Univision Communications, Inc.(b) | |||
6.63%, 06/01/27(g) | 322 | 308,264 | |
8.00%, 08/15/28(g) | 959 | 935,244 | |
8.50%, 07/31/31 | 600 | 582,804 | |
VZ Secured Financing BV, 3.50%, 01/15/32(f) | EUR | 100 | 93,570 |
Ziggo Bond Co. BV, 5.13%, 02/28/30(b) | USD | 295 | 250,651 |
Ziggo BV, 4.88%, 01/15/30(b)(g) | 217 | 192,915 | |
29,281,748 | |||
Metals & Mining — 3.2% | |||
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24(f) | 250 | 249,357 | |
Advanced Drainage Systems, Inc.(b) | |||
5.00%, 09/30/27 | 306 | 299,166 | |
6.38%, 06/15/30 | 522 | 523,887 | |
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30(g) | 200 | 175,062 | |
Arsenal AIC Parent LLC(b) | |||
8.00%, 10/01/30 | 312 | 327,412 | |
11.50%, 10/01/31(g) | 1,113 | 1,245,471 | |
ATI, Inc. | |||
5.88%, 12/01/27(g) | 157 | 154,910 | |
4.88%, 10/01/29 | 129 | 120,586 | |
7.25%, 08/15/30(g) | 634 | 654,451 | |
5.13%, 10/01/31 | 350 | 323,516 | |
BHP Billiton Finance USA Ltd., 4.13%, 02/24/42(g) | 250 | 211,554 | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(g) | 1,674 | 1,677,726 | |
Carpenter Technology Corp., 7.63%, 03/15/30(g) | 463 | 476,669 | |
Constellium SE | |||
4.25%, 02/15/26(f) | EUR | 100 | 106,452 |
5.88%, 02/15/26(b) | USD | 1,193 | 1,186,761 |
5.63%, 06/15/28(b) | 250 | 244,680 | |
3.75%, 04/15/29(b)(g) | 2,013 | 1,825,040 | |
First Quantum Minerals Ltd., 9.38%, 03/01/29(b) | 794 | 830,722 | |
Kaiser Aluminum Corp.(b)(g) | |||
4.63%, 03/01/28 | 351 | 328,418 | |
4.50%, 06/01/31 | 1,094 | 968,784 | |
Metinvest BV, 7.65%, 10/01/27(f) | 200 | 138,158 | |
New Gold, Inc., 7.50%, 07/15/27(b) | 961 | 967,133 | |
Novelis Corp.(b)(g) | |||
3.25%, 11/15/26 | 1,113 | 1,047,338 | |
4.75%, 01/30/30 | 1,100 | 1,020,475 | |
3.88%, 08/15/31 | 1,372 | 1,187,854 | |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(f) | EUR | 300 | 302,008 |
Rio Tinto Finance USA PLC, 4.75%, 03/22/42(g) | USD | 400 | 369,313 |
Security | Par (000) | Value | |
Metals & Mining (continued) | |||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) | USD | 155 | $ 142,637 |
Samarco Mineracao SA, (9.00% PIK), 9.00%, 06/30/31(f)(h) | 74 | 68,842 | |
Vale Overseas Ltd., 6.40%, 06/28/54 | 55 | 54,434 | |
Vallourec SACA, 7.50%, 04/15/32(b) | 417 | 431,809 | |
Vedanta Resources Finance II PLC, 13.88%, 01/21/27(f) | 94 | 92,561 | |
17,753,186 | |||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |||
Starwood Property Trust, Inc., 7.25%, 04/01/29(b) | 226 | 228,423 | |
Oil, Gas & Consumable Fuels — 11.2% | |||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) | 865 | 874,456 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | |||
5.75%, 01/15/28 | 75 | 73,731 | |
5.38%, 06/15/29 | 263 | 254,941 | |
6.63%, 02/01/32 | 383 | 386,446 | |
Apache Corp., 4.75%, 04/15/43(g) | 800 | 640,005 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | |||
9.00%, 11/01/27 | 510 | 631,495 | |
8.25%, 12/31/28(g) | 1,043 | 1,068,550 | |
Baytex Energy Corp., 8.50%, 04/30/30(b) | 232 | 242,626 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp.(b) | |||
7.00%, 07/15/29 | 296 | 301,443 | |
7.25%, 07/15/32 | 238 | 244,699 | |
Borr IHC Ltd./Borr Finance LLC(b) | |||
10.00%, 11/15/28(g) | 207 | 215,269 | |
10.38%, 11/15/30 | 249 | 260,078 | |
Buckeye Partners LP | |||
4.13%, 03/01/25(b) | 232 | 228,862 | |
6.88%, 07/01/29(b) | 129 | 129,482 | |
5.85%, 11/15/43 | 182 | 156,189 | |
5.60%, 10/15/44 | 117 | 92,199 | |
Chesapeake Energy Corp., 5.88%, 02/01/29(b) | 53 | 52,467 | |
CITGO Petroleum Corp., 8.38%, 01/15/29(b) | 666 | 686,455 | |
Civitas Resources, Inc.(b)(g) | |||
8.38%, 07/01/28 | 711 | 745,006 | |
8.63%, 11/01/30 | 370 | 396,721 | |
8.75%, 07/01/31 | 910 | 974,565 | |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) | 124 | 111,744 | |
CNX Resources Corp., 7.38%, 01/15/31(b) | 127 | 129,847 | |
Comstock Resources, Inc.(b) | |||
6.75%, 03/01/29(g) | 498 | 482,621 | |
6.75%, 03/01/29 | 180 | 173,056 | |
5.88%, 01/15/30 | 1,195 | 1,111,971 | |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)(g) | 2,219 | 2,103,448 | |
Crescent Energy Finance LLC(b) | |||
7.63%, 04/01/32(g) | 551 | 561,574 | |
7.38%, 01/15/33 | 507 | 508,093 | |
Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, 10/01/30(b) | 290 | 304,403 | |
DT Midstream, Inc.(b)(g) | |||
4.13%, 06/15/29 | 415 | 383,396 | |
4.38%, 06/15/31 | 527 | 480,004 | |
Ecopetrol SA, 8.38%, 01/19/36 | 90 | 88,335 | |
Empresa Nacional del Petroleo, 6.15%, 05/10/33(b) | 200 | 199,600 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Enbridge, Inc.(a) | |||
(3-mo. CME Term SOFR + 3.90%), 6.25%, 03/01/78(g) | USD | 1,865 | $ 1,788,327 |
(5-year CMT + 4.43%), 8.50%, 01/15/84 | 257 | 277,054 | |
Series 20-A, (5-year CMT + 5.31%), 5.75%, 07/15/80(g) | 690 | 651,120 | |
Encino Acquisition Partners Holdings LLC, 8.75%, 05/01/31(b) | 299 | 311,765 | |
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b) | 567 | 572,328 | |
Energean Israel Finance Ltd., 8.50%, 09/30/33(b)(f) | 161 | 151,976 | |
Energy Transfer LP | |||
6.13%, 12/15/45(g) | 500 | 490,205 | |
5.30%, 04/15/47(g) | 350 | 309,140 | |
(5-year CMT + 4.02%), 8.00%, 05/15/54(a)(g) | 829 | 867,127 | |
Series H, (5-year CMT + 5.69%), 6.50%(a)(i) | 581 | 573,070 | |
Enterprise Products Operating LLC, (3-mo. CME Term SOFR + 2.83%), 5.38%, 02/15/78(a) | 420 | 392,284 | |
EQM Midstream Partners LP(b) | |||
4.50%, 01/15/29 | 34 | 32,086 | |
6.38%, 04/01/29 | 452 | 456,568 | |
7.50%, 06/01/30 | 108 | 115,256 | |
4.75%, 01/15/31(g) | 804 | 751,776 | |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) | 74 | 78,349 | |
Genesis Energy LP/Genesis Energy Finance Corp. | |||
7.75%, 02/01/28(g) | 227 | 229,410 | |
8.25%, 01/15/29 | 431 | 444,938 | |
8.88%, 04/15/30(g) | 262 | 275,603 | |
7.88%, 05/15/32 | 484 | 488,613 | |
Harvest Midstream I LP, 7.50%, 05/15/32(b) | 287 | 291,404 | |
Hess Corp., 4.30%, 04/01/27(g) | 750 | 731,278 | |
Hess Midstream Operations LP, 6.50%, 06/01/29(b) | 339 | 343,665 | |
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | |||
6.25%, 11/01/28 | 188 | 185,677 | |
5.75%, 02/01/29 | 281 | 271,915 | |
6.00%, 04/15/30 | 28 | 27,047 | |
8.38%, 11/01/33 | 792 | 844,080 | |
6.88%, 05/15/34 | 446 | 441,177 | |
Howard Midstream Energy Partners LLC(b) | |||
8.88%, 07/15/28 | 343 | 362,938 | |
7.38%, 07/15/32 | 415 | 421,455 | |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(f) | 200 | 195,875 | |
Impulsora Pipeline LLC, 6.05%, 01/01/43(a)(d) | 1,480 | 1,246,149 | |
ITT Holdings LLC, 6.50%, 08/01/29(b)(g) | 437 | 395,925 | |
Kinetik Holdings LP(b) | |||
6.63%, 12/15/28 | 76 | 77,213 | |
5.88%, 06/15/30(g) | 285 | 280,842 | |
Matador Resources Co.(b) | |||
6.88%, 04/15/28(g) | 332 | 336,992 | |
6.50%, 04/15/32 | 399 | 399,030 | |
Medco Bell Pte. Ltd., 6.38%, 01/30/27(f) | 250 | 245,703 | |
MPLX LP, 4.25%, 12/01/27(g) | 235 | 227,391 | |
Murphy Oil Corp., 5.88%, 12/01/42 | 35 | 31,038 | |
Nabors Industries Ltd., 7.50%, 01/15/28(b)(g) | 305 | 291,032 | |
Nabors Industries, Inc.(b) | |||
7.38%, 05/15/27 | 160 | 162,751 | |
9.13%, 01/31/30 | 246 | 254,840 | |
New Fortress Energy, Inc.(b)(g) | |||
6.75%, 09/15/25 | 157 | 152,407 | |
8.75%, 03/15/29 | 740 | 675,522 | |
NGL Energy Operating LLC/NGL Energy Finance Corp.(b) | |||
8.13%, 02/15/29(g) | 675 | 687,765 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
NGL Energy Operating LLC/NGL Energy Finance Corp.(b) (continued) | |||
8.38%, 02/15/32 | USD | 1,365 | $ 1,386,014 |
Noble Finance II LLC, 8.00%, 04/15/30(b) | 402 | 418,368 | |
Northern Oil & Gas, Inc. | |||
8.13%, 03/01/28(b)(g) | 1,528 | 1,545,244 | |
3.63%, 04/15/29(j) | 201 | 231,351 | |
8.75%, 06/15/31(b) | 408 | 428,108 | |
Northriver Midstream Finance LP, 07/15/32(b)(c) | 227 | 227,397 | |
NuStar Logistics LP, 6.00%, 06/01/26 | 182 | 181,718 | |
Patterson-UTI Energy, Inc., 7.15%, 10/01/33(g) | 135 | 142,993 | |
PBF Holding Co. LLC/PBF Finance Corp., 7.88%, 09/15/30(b) | 271 | 277,430 | |
Permian Resources Operating LLC(b) | |||
8.00%, 04/15/27(g) | 352 | 359,899 | |
5.88%, 07/01/29(g) | 528 | 519,915 | |
9.88%, 07/15/31 | 402 | 444,976 | |
7.00%, 01/15/32(g) | 431 | 442,752 | |
Petroleos Mexicanos | |||
8.75%, 06/02/29 | 146 | 143,139 | |
5.95%, 01/28/31(g) | 183 | 147,086 | |
6.70%, 02/16/32 | 44 | 36,813 | |
Pluspetrol Camisea SA/Pluspetrol Lote 56 SA, 07/03/36(b)(c) | 60 | 59,861 | |
Prairie Acquiror LP, 9.00%, 08/01/29(b) | 253 | 260,752 | |
Precision Drilling Corp., 6.88%, 01/15/29(b) | 16 | 15,828 | |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) | 263 | 246,182 | |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) | 66 | 62,132 | |
Saturn Oil & Gas, Inc., 9.63%, 06/15/29(b) | 266 | 268,487 | |
Seadrill Finance Ltd., 8.38%, 08/01/30(b) | 200 | 209,036 | |
Shell International Finance BV, 4.38%, 05/11/45(g) | 450 | 383,598 | |
Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.88%, 11/01/28(b) | 510 | 527,325 | |
SM Energy Co. | |||
6.75%, 09/15/26(g) | 221 | 221,073 | |
6.50%, 07/15/28 | 54 | 53,536 | |
Southwestern Energy Co. | |||
5.38%, 02/01/29 | 260 | 252,722 | |
4.75%, 02/01/32 | 6 | 5,520 | |
Suncor Energy, Inc., 6.50%, 06/15/38(g) | 800 | 837,782 | |
Sunoco LP/Sunoco Finance Corp., 5.88%, 03/15/28 | 147 | 146,360 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) | |||
6.00%, 03/01/27 | 53 | 52,237 | |
5.50%, 01/15/28 | 126 | 120,549 | |
7.38%, 02/15/29 | 621 | 624,035 | |
6.00%, 12/31/30 | 13 | 12,112 | |
6.00%, 09/01/31 | 168 | 157,004 | |
Talos Production, Inc.(b) | |||
9.00%, 02/01/29 | 242 | 253,990 | |
9.38%, 02/01/31 | 202 | 213,274 | |
Transocean Aquila Ltd., 8.00%, 09/30/28(b) | 169 | 171,630 | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b) | 228 | 235,316 | |
Transocean, Inc.(b) | |||
8.00%, 02/01/27 | 426 | 424,524 | |
8.25%, 05/15/29 | 882 | 884,187 | |
8.75%, 02/15/30(g) | 1,148 | 1,205,680 | |
8.50%, 05/15/31 | 1,122 | 1,122,481 | |
Valaris Ltd., 8.38%, 04/30/30(b) | 1,072 | 1,109,781 | |
Venture Global Calcasieu Pass LLC(b) | |||
3.88%, 08/15/29 | 1,025 | 933,508 | |
4.13%, 08/15/31 | 157 | 140,886 | |
3.88%, 11/01/33 | 822 | 700,432 |
Security | Par (000) | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Venture Global LNG, Inc.(b) | |||
8.13%, 06/01/28 | USD | 674 | $ 694,366 |
9.50%, 02/01/29(g) | 2,895 | 3,170,304 | |
8.38%, 06/01/31(g) | 1,809 | 1,876,351 | |
9.88%, 02/01/32(g) | 1,932 | 2,102,837 | |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) | 204 | 200,497 | |
Vital Energy, Inc.(g) | |||
9.75%, 10/15/30 | 427 | 466,237 | |
7.88%, 04/15/32(b) | 775 | 787,857 | |
YPF SA, 9.50%, 01/17/31(b) | 105 | 106,680 | |
62,382,035 | |||
Passenger Airlines — 0.7% | |||
Air Canada, 3.88%, 08/15/26(b) | 582 | 553,594 | |
Air France-KLM, 4.63%, 05/23/29(f) | EUR | 100 | 105,468 |
American Airlines, Inc., 8.50%, 05/15/29(b)(g) | USD | 574 | 596,367 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(b) | 973 | 947,002 | |
Finnair OYJ, 4.75%, 05/24/29(f) | EUR | 100 | 105,390 |
United Airlines, Inc.(b)(g) | |||
4.38%, 04/15/26 | USD | 580 | 560,284 |
4.63%, 04/15/29 | 1,136 | 1,057,969 | |
3,926,074 | |||
Personal Care Products — 0.0% | |||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, 07/15/30(b)(g) | 275 | 279,070 | |
Pharmaceuticals — 1.5% | |||
1375209 BC Ltd., 9.00%, 01/30/28(b) | 332 | 319,243 | |
AbbVie, Inc.(g) | |||
4.75%, 03/15/45 | 500 | 453,839 | |
4.45%, 05/14/46 | 1,000 | 867,998 | |
Bausch Health Cos., Inc., 11.00%, 09/30/28(b) | 124 | 110,360 | |
Becton Dickinson & Co., 4.69%, 12/15/44(g) | 600 | 528,624 | |
Cheplapharm Arzneimittel GmbH, 3.50%, 02/11/27(f) | EUR | 100 | 102,468 |
CVS Health Corp., 5.05%, 03/25/48(g) | USD | 1,110 | 956,384 |
Endo Finance Holdings, Inc., 8.50%, 04/15/31(b)(g) | 408 | 421,047 | |
Grifols SA, 2.25%, 11/15/27(f) | EUR | 214 | 205,119 |
Jazz Securities DAC, 4.38%, 01/15/29(b)(g) | USD | 200 | 185,672 |
Option Care Health, Inc., 4.38%, 10/31/29(b)(g) | 314 | 288,224 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b)(g) | |||
4.13%, 04/30/28 | 800 | 742,957 | |
7.88%, 05/15/34 | 280 | 287,701 | |
Rossini SARL, 6.75%, 10/30/25(f) | EUR | 166 | 178,013 |
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29 | 100 | 118,501 | |
Teva Pharmaceutical Finance Netherlands III BV | |||
7.13%, 01/31/25 | USD | 200 | 200,625 |
3.15%, 10/01/26(g) | 740 | 695,600 | |
4.75%, 05/09/27 | 200 | 192,875 | |
6.75%, 03/01/28 | 200 | 204,270 | |
7.88%, 09/15/29 | 200 | 214,937 | |
8.13%, 09/15/31(g) | 200 | 221,812 | |
Utah Acquisition Sub, Inc., 3.95%, 06/15/26(g) | 650 | 630,235 | |
8,126,504 | |||
Professional Services(b)(g) — 0.3% | |||
CoreLogic, Inc., 4.50%, 05/01/28 | 1,225 | 1,111,563 | |
Dun & Bradstreet Corp., 5.00%, 12/15/29 | 826 | 767,213 | |
1,878,776 |
Security | Par (000) | Value | |
Real Estate Management & Development — 0.2% | |||
Agps Bondco PLC, 5.50%, 11/13/26(f) | EUR | 200 | $ 69,826 |
Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp. | |||
7.00%, 04/15/30(b) | USD | 317 | 258,839 |
Series AI, 7.00%, 04/15/30 | 348 | 284,557 | |
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31(b) | 372 | 391,361 | |
Fantasia Holdings Group Co. Ltd.(f) | |||
11.75%, 04/17/22 | 430 | 4,300 | |
12.25%, 10/18/22 | 200 | 2,700 | |
11.88%, 06/01/23 | 200 | 2,700 | |
9.25%, 07/28/23 | 400 | 4,600 | |
1,018,883 | |||
Retail REITs — 0.0% | |||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) | 204 | 189,855 | |
Semiconductors & Semiconductor Equipment — 0.7% | |||
ams-OSRAM AG, 10.50%, 03/30/29(f) | EUR | 100 | 112,048 |
Broadcom, Inc., 4.15%, 04/15/32(b)(g) | USD | 1,000 | 922,631 |
Entegris, Inc., 4.75%, 04/15/29(b)(g) | 1,159 | 1,108,882 | |
Foundry JV Holdco LLC(b)(g) | |||
6.25%, 01/25/35 | 590 | 602,509 | |
6.40%, 01/25/38 | 325 | 334,977 | |
QUALCOMM, Inc., 4.65%, 05/20/35(g) | 400 | 389,179 | |
Synaptics, Inc., 4.00%, 06/15/29(b) | 216 | 195,721 | |
3,665,947 | |||
Software — 4.3% | |||
Boxer Parent Co., Inc. | |||
6.50%, 10/02/25(f) | EUR | 100 | 107,095 |
7.13%, 10/02/25(b)(g) | USD | 761 | 761,575 |
9.13%, 03/01/26(b) | 735 | 735,571 | |
Capstone Borrower, Inc., 8.00%, 06/15/30(b) | 637 | 657,829 | |
Clarivate Science Holdings Corp.(b)(g) | |||
3.88%, 07/01/28 | 1,664 | 1,545,485 | |
4.88%, 07/01/29 | 1,125 | 1,044,070 | |
Cloud Software Group, Inc.(b)(g) | |||
6.50%, 03/31/29 | 4,147 | 3,982,425 | |
9.00%, 09/30/29 | 2,086 | 2,023,880 | |
8.25%, 06/30/32 | 2,528 | 2,576,654 | |
Dye & Durham Ltd., 8.63%, 04/15/29(b) | 152 | 154,192 | |
Elastic NV, 4.13%, 07/15/29(b) | 481 | 439,183 | |
Fair Isaac Corp., 4.00%, 06/15/28(b) | 112 | 104,765 | |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL | |||
4.63%, 05/01/28(b) | 200 | 178,581 | |
7.88%, 05/01/29(f) | EUR | 100 | 107,205 |
8.75%, 05/01/29(b) | USD | 217 | 220,952 |
ION Trading Technologies SARL, 9.50%, 05/30/29(b) | 200 | 203,710 | |
McAfee Corp., 7.38%, 02/15/30(b)(g) | 851 | 786,199 | |
MicroStrategy, Inc., 6.13%, 06/15/28(b)(g) | 638 | 618,387 | |
Oracle Corp., 3.60%, 04/01/50(g) | 250 | 174,968 | |
SS&C Technologies, Inc.(b) | |||
5.50%, 09/30/27(g) | 1,509 | 1,485,921 | |
6.50%, 06/01/32 | 933 | 941,114 | |
UKG, Inc., 6.88%, 02/01/31(b)(g) | 3,828 | 3,875,965 | |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)(g) | 1,599 | 1,451,917 | |
24,177,643 |
Security | Par (000) | Value | |
Specialized REITs — 0.3% | |||
American Tower Corp., 2.30%, 09/15/31(g) | USD | 1,000 | $ 815,861 |
Iron Mountain, Inc.(b) | |||
7.00%, 02/15/29(g) | 889 | 904,639 | |
5.63%, 07/15/32 | 89 | 84,511 | |
1,805,011 | |||
Specialty Retail(b) — 0.3% | |||
eG Global Finance PLC, 12.00%, 11/30/28 | 391 | 416,289 | |
PetSmart, Inc./PetSmart Finance Corp. | |||
4.75%, 02/15/28 | 436 | 404,990 | |
7.75%, 02/15/29(g) | 895 | 871,612 | |
Staples, Inc., 10.75%, 09/01/29 | 292 | 277,496 | |
1,970,387 | |||
Technology Hardware, Storage & Peripherals — 0.3% | |||
NCR Atleos Corp., 9.50%, 04/01/29(b) | 327 | 353,402 | |
Seagate HDD Cayman | |||
8.25%, 12/15/29(g) | 582 | 624,195 | |
8.50%, 07/15/31 | 615 | 662,370 | |
1,639,967 | |||
Textiles, Apparel & Luxury Goods(b) — 0.0% | |||
Hanesbrands, Inc. | |||
4.88%, 05/15/26(g) | 228 | 223,053 | |
9.00%, 02/15/31 | 20 | 20,955 | |
Levi Strauss & Co., 3.50%, 03/01/31 | 21 | 18,166 | |
262,174 | |||
Tobacco(g) — 0.4% | |||
Altria Group, Inc., 4.50%, 05/02/43 | 750 | 613,940 | |
Philip Morris International, Inc., 4.38%, 11/15/41 | 900 | 756,966 | |
Reynolds American, Inc., 5.85%, 08/15/45 | 715 | 659,467 | |
2,030,373 | |||
Trading Companies & Distributors — 0.1% | |||
GYP Holdings III Corp., 4.63%, 05/01/29(b) | 472 | 436,806 | |
Transportation Infrastructure — 0.1% | |||
Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61(b)(g) | 320 | 236,000 | |
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(f) | 200 | 187,313 | |
Heathrow Finance PLC, 4.13%, 09/01/29(f)(l) | GBP | 100 | 114,596 |
537,909 | |||
Wireless Telecommunication Services — 0.0% | |||
Cellnex Finance Co. SA, 2.00%, 09/15/32(f) | EUR | 100 | 92,017 |
Total Corporate Bonds — 87.9% (Cost: $499,984,909) | 490,803,748 | ||
Fixed Rate Loan Interests | |||
Health Care Technology — 0.6% | |||
Cotiviti, Inc., 2024 Fixed Term Loan B, 7.63%, 05/01/31 | USD | 3,462 | 3,440,013 |
Media — 0.2% | |||
Morgan Stanley & Co. International PLC, 2024 CCIBV Fixed Term Loan, 15.00%(d)(i) | 1,323 | 1,286,618 | |
Total Fixed Rate Loan Interests — 0.8% (Cost: $4,775,254) | 4,726,631 |
Security | Par (000) | Value | |
Floating Rate Loan Interests(a) | |||
Aerospace & Defense — 0.3% | |||
Bleriot U.S. Bidco, Inc., 2023 Term Loan B, 10/31/30(m) | USD | 146 | $ 147,216 |
Cubic Corp. | |||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 173 | 125,775 | |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.86%, 05/25/28 | 47 | 34,057 | |
Dynasty Acquisition Co., Inc., 2024 Term Loan B1, (1- mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 114 | 114,086 | |
Ovation Parent, Inc., 2024 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 04/21/31 | 170 | 170,850 | |
Peraton Corp. | |||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR + 7.85%), 13.18%, 02/01/29 | 744 | 745,837 | |
Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/01/28 | 311 | 310,614 | |
Standard Aero Ltd., 2024 Term Loan B2, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 08/24/28 | 44 | 43,988 | |
1,692,423 | |||
Air Freight & Logistics — 0.0% | |||
Clue Opco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.50%), 9.83%, 12/19/30 | 249 | 231,516 | |
Automobile Components — 0.1% | |||
Champions Financing, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 02/23/29 | 316 | 317,185 | |
Tenneco, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.10%), 10.43%, 11/17/28 | 170 | 163,219 | |
480,404 | |||
Banks(m) — 0.0% | |||
Chrysaor Bidco SARL | |||
USD Delayed Draw Term Loan, 05/14/31 | 6 | 6,424 | |
USD Term Loan B, 05/14/31 | 87 | 86,859 | |
93,283 | |||
Broadline Retail — 0.1% | |||
StubHub Holdco Sub LLC, 2024 Extended Term Loan B, (1-mo. CME Term SOFR + 4.75%), 10.09%, 03/15/30 | 758 | 756,389 | |
Building Materials — 0.1% | |||
Chariot Buyer LLC, 2024 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 11/03/28 | 204 | 203,913 | |
Cornerstone Building Brands, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 05/02/31 | 99 | 98,176 | |
Emrld Borrower LP, 2024 Term Loan B, 06/18/31(m) | 160 | 159,800 | |
461,889 | |||
Building Products — 0.1% | |||
Foundation Building Materials, Inc., 2024 Term Loan B2, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 01/29/31 | 114 | 113,335 | |
Gulfside Supply, Inc., Term Loan B, 06/17/31(d)(m) | 74 | 74,000 |
Security | Par (000) | Value | |
Building Products (continued) | |||
White Cap Buyer LLC | |||
2024 Term Loan B, 10/19/29(m) | USD | 185 | $ 185,242 |
Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.59%, 10/19/27 | 94 | 94,332 | |
466,909 | |||
Capital Markets — 0.0% | |||
Azalea Topco, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.84%, 04/30/31 | 166 | 165,793 | |
Chemicals — 0.3% | |||
Aruba Investments Holdings LLC, 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.85%), 13.19%, 11/24/28 | 118 | 111,851 | |
Chemours Co., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 08/18/28 | 252 | 250,526 | |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.68%, 10/04/29 | 659 | 657,938 | |
Herens U.S. Holdco Corp., USD Term Loan B, (3-mo. CME Term SOFR + 4.03%), 9.36%, 07/03/28 | 177 | 171,339 | |
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.84%, 03/29/28(d) | 470 | 468,968 | |
Nouryon USA LLC | |||
2024 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/03/28(d) | 17 | 17,043 | |
2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/03/28 | 52 | 52,065 | |
Olympus Water U.S. Holding Corp., 2024 USD Term Loan B, 06/20/31(m) | 2 | 2,001 | |
1,731,731 | |||
Commercial Services & Supplies — 0.4% | |||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.19%, 05/12/28 | 466 | 463,809 | |
APi Group DE, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 01/03/29 | 57 | 56,934 | |
AVSC Holding Corp., 2018 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.36%), 12.71%, 09/01/25 | 311 | 304,806 | |
Grant Thornton LLP/Chicago, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.60%, 06/02/31 | 380 | 380,954 | |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.84%, 12/15/28 | 261 | 171,751 | |
TruGreen LP, 2020 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.76%), 14.09%, 11/02/28 | 44 | 33,929 | |
Wand NewCo 3, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.09%, 01/30/31 | 1,030 | 1,036,252 | |
2,448,435 |
Security | Par (000) | Value | |
Communications Equipment — 0.0% | |||
Viasat, Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.61%), 9.94%, 05/30/30 | USD | 252 | $ 224,152 |
Construction & Engineering — 0.3% | |||
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 09/22/28 | 65 | 65,514 | |
Brand Industrial Services, Inc., 2024 Term Loan B, (3- mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 08/01/30 | 1,174 | 1,176,878 | |
Brown Group Holding LLC, 2022 Incremental Term Loan B2, 07/02/29(m) | 85 | 84,894 | |
Chromalloy Corp., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.06%, 03/27/31 | 401 | 401,501 | |
1,728,787 | |||
Construction Materials — 0.1% | |||
Gates Corp., 2024 Term Loan B5, 06/04/31(m) | 252 | 252,156 | |
Consumer Staples Distribution & Retail — 0.0% | |||
BCPE Empire Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 12/11/28 | 162 | 161,514 | |
Containers & Packaging — 0.1% | |||
Mauser Packaging Solutions Holding Co., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 04/15/27 | 188 | 188,102 | |
Trident TPI Holdings, Inc., 2024 Term Loan B6, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.30%, 09/15/28 | 164 | 164,530 | |
352,632 | |||
Diversified Consumer Services — 0.1% | |||
Ascend Learning LLC | |||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 5.85%), 11.19%, 12/10/29 | 157 | 153,153 | |
2021 Term Loan, (1-mo. CME Term SOFR + 3.60%), 8.94%, 12/11/28 | 202 | 201,867 | |
OMNIA Partners LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.57%, 07/25/30 | 76 | 75,665 | |
PG Investment Co. 59 SARL, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 03/26/31 | 271 | 272,469 | |
703,154 | |||
Diversified Telecommunication Services — 0.3% | |||
Digicel International Finance Ltd., 2024 Term Loan, (3-mo. CME Term SOFR + 6.75%), 12.07%, 05/25/27 | 728 | 702,799 | |
Frontier Communications Corp., 2024 Term Loan B, 07/01/31(d)(m) | 99 | 98,752 | |
Frontier Communications Holdings LLC, 2021 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.21%, 10/08/27 | 219 | 218,506 | |
Level 3 Financing Inc. | |||
2024 Extended Term Loan B1, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/29 | 78 | 75,979 |
Security | Par (000) | Value | |
Diversified Telecommunication Services (continued) | |||
Level 3 Financing Inc. (continued) | |||
2024 Extended Term Loan B2, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/30 | USD | 78 | $ 76,132 |
Lumen Technologies, Inc., 2024 Term Loan A, 06/01/28(m) | 89 | 73,693 | |
Windstream Services LLC, 2020 Exit Term Loan B, (1-mo. CME Term SOFR + 6.35%), 11.69%, 09/21/27 | 166 | 165,285 | |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.11%), 8.46%, 03/09/27 | 24 | 20,898 | |
1,432,044 | |||
Electronic Equipment, Instruments & Components — 0.0% | |||
Roper Industrial Products Investment Co., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 8.58%, 11/22/29 | 124 | 124,594 | |
Energy Equipment & Services — 0.0% | |||
Lealand Finance Co. BV, 2020 Make Whole Term Loan, (1-mo. CME Term SOFR + 3.11%), 8.46%, 06/30/27 | 17 | 8,173 | |
Entertainment — 0.1% | |||
Motion Finco SARL, 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 11/12/29 | 239 | 239,338 | |
OVG Business Services LLC, 2024 Term Loan B, 06/25/31(m) | 119 | 118,629 | |
357,967 | |||
Environmental, Maintenance & Security Service — 0.0% | |||
GFL Environmental, Inc., 2024 Term Loan B, 06/27/31(d)(m) | 150 | 150,000 | |
Financial Services — 0.1% | |||
CPI Holdco B LLC, Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/17/31 | 269 | 268,581 | |
Deerfield Dakota Holding LLC | |||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.08%, 04/09/27 | 33 | 32,792 | |
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR + 7.01%), 12.35%, 04/07/28 | 274 | 273,315 | |
574,688 | |||
Food Products — 0.1% | |||
Chobani LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 10/25/27 | 306 | 306,611 | |
Ground Transportation — 0.1% | |||
Genesee & Wyoming, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.33%, 04/10/31 | 591 | 590,184 | |
Health Care Equipment & Supplies — 0.3% | |||
Bausch & Lomb Corp. | |||
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 09/29/28 | 265 | 264,171 | |
Term Loan, (1-mo. CME Term SOFR + 3.35%), 8.69%, 05/10/27 | 664 | 655,908 |
Security | Par (000) | Value | |
Health Care Equipment & Supplies (continued) | |||
Medline Borrower LP, 2024 USD Add-on Term Loan B, 10/23/28(m) | USD | 665 | $ 665,000 |
Sotera Health Holdings LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.59%, 05/30/31 | 249 | 248,171 | |
1,833,250 | |||
Health Care Providers & Services — 0.4% | |||
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 11/08/27 | 268 | 268,102 | |
Concentra Health Services, Inc., Term Loan B, 06/26/31(d)(m) | 56 | 56,140 | |
Ensemble RCM LLC, 2024 Term Loan B, 08/01/29(m) | 248 | 246,981 | |
LifePoint Health, Inc. | |||
2024 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.33%, 05/17/31 | 255 | 255,240 | |
2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.06%, 11/16/28 | 137 | 137,408 | |
Phoenix Newco, Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.36%), 8.71%, 11/15/28 | 122 | 122,565 | |
Quorum Health Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 8.35%), 13.65%, 04/29/25 | 305 | 226,007 | |
Star Parent, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 3.75%), 9.08%, 09/27/30 | 492 | 490,746 | |
Surgery Center Holdings, Inc., 2024 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.83%, 12/19/30 | 130 | 130,530 | |
1,933,719 | |||
Health Care Technology — 0.6% | |||
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 02/15/29 | 2,201 | 2,191,275 | |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR + 4.10%), 9.43%, 10/01/27 | 599 | 579,108 | |
Polaris Newco LLC, USD Term Loan B, (3-mo. CME Term SOFR + 4.26%), 9.59%, 06/02/28 | 360 | 360,199 | |
3,130,582 | |||
Hotels, Restaurants & Leisure — 0.2% | |||
1011778 B.C. Unlimited Liability Company, 2024 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 1.75%), 7.09%, 09/20/30 | 290 | 288,959 | |
Cedar Fair LP, 2024 Term Loan B, 05/01/31(m) | 174 | 173,457 | |
City Football Group Ltd., 2024 Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.59%, 07/21/28 | 267 | 265,815 | |
Entain PLC, 2024 USD Term Loan B3, (6-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.01%, 10/31/29 | 252 | 252,000 | |
Sabre GLBL, Inc. | |||
2021 Term Loan B1, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 60 | 54,128 | |
2021 Term Loan B2, (1-mo. CME Term SOFR + 3.61%), 8.96%, 12/17/27 | 95 | 85,308 | |
1,119,667 | |||
Household Durables — 0.1% | |||
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.84%, 02/26/29 | 272 | 269,027 | |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1- mo. CME Term SOFR + 4.11%), 9.46%, 10/06/28 | 525 | 448,217 | |
717,244 |
Security | Par (000) | Value | |
Insurance — 0.5% | |||
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/06/30 | USD | 66 | $ 65,940 |
AssuredPartners, Inc., 2024 Incremental Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 02/14/31 | 431 | 431,786 | |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, 02/24/28(m) | 110 | 109,979 | |
Truist Insurance Holdings LLC | |||
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/06/31 | 689 | 689,613 | |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.08%, 05/06/32 | 1,665 | 1,694,837 | |
2,992,155 | |||
IT Services — 0.3% | |||
Central Parent, Inc., 2024 Term Loan B, 07/06/29(m) | 149 | 147,067 | |
Fortress Intermediate 3, Inc, Term Loan B, 06/27/31(d)(m) | 880 | 880,000 | |
Mitchell International, Inc., 2024 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 06/17/31 | 362 | 358,380 | |
Project Alpha Intermediate Holding, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.07%, 10/28/30 | 260 | 260,519 | |
1,645,966 | |||
Machinery — 0.5% | |||
SPX Flow, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.84%, 04/05/29 | 375 | 376,579 | |
Titan Acquisition Ltd./Canada, 2024 Term Loan B, (6- mo. CME Term SOFR at 0.00% Floor + 5.00%), 10.33%, 02/15/29 | 1,211 | 1,212,800 | |
TK Elevator U.S. Newco, Inc., USD Term Loan B, (3- mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.79%, 04/30/30 | 1,111 | 1,116,184 | |
Wec US Holdings Ltd., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.09%, 01/27/31 | 170 | 170,037 | |
2,875,600 | |||
Media — 0.3% | |||
Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.11%), 9.46%, 08/23/28 | 726 | 725,655 | |
CSC Holdings LLC | |||
2019 Term Loan B5, (1-mo. LIBOR US at 0.00% Floor + 2.50%), 7.94%, 04/15/27 | 256 | 212,071 | |
2022 Term Loan B6, (1-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.83%, 01/18/28 | 404 | 387,451 | |
Gray Television, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 5.25%), 10.58%, 06/04/29 | 183 | 173,621 | |
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.71%, 09/25/26 | 327 | 264,499 | |
Univision Communications, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.96%, 01/23/29 | 49 | 48,040 | |
1,811,337 |
Security | Par (000) | Value | |
Metals & Mining — 0.0% | |||
STS Operating, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.10%), 9.44%, 03/25/31 | USD | 179 | $ 179,589 |
Oil, Gas & Consumable Fuels — 0.3% | |||
Ecopetrol SA, 2023 Term Loan, (6-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.00%, 09/06/30(d) | 150 | 153,705 | |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.09%, 12/21/28 | 134 | 133,967 | |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR + 4.60%), 9.94%, 09/19/29 | 142 | 141,887 | |
New Fortress Energy, Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.33%, 10/27/28 | 885 | 859,828 | |
NGL Energy Operating LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.84%, 02/02/31 | 227 | 227,958 | |
1,517,345 | |||
Passenger Airlines — 0.1% | |||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. CME Term SOFR + 5.01%), 10.34%, 04/20/28 | 433 | 446,876 | |
Personal Care Products — 0.1% | |||
KDC/ONE Development Corp., Inc., 2024 USD Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 4.50%), 9.84%, 08/15/28 | 251 | 251,737 | |
Pharmaceuticals — 0.2% | |||
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1- mo. CME Term SOFR at 0.00% Floor + 5.50%), 10.84%, 05/04/28 | 87 | 87,749 | |
Bausch Health Americas, Inc., 2022 Term Loan B, 02/01/27(m) | 570 | 592,332 | |
Endo Finance Holdings, Inc., 2024 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 04/23/31 | 574 | 572,927 | |
Organon & Co., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 05/19/31 | 102 | 101,506 | |
1,354,514 | |||
Professional Services — 0.1% | |||
CoreLogic, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.96%, 06/02/28 | 164 | 161,201 | |
Galaxy U.S. Opco, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.08%, 04/29/29 | 168 | 136,011 | |
297,212 | |||
Real Estate Management & Development — 0.0% | |||
Cushman & Wakefield U.S. Borrower LLC, 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.09%, 01/31/30(d) | 104 | 104,611 | |
Software — 1.1% | |||
Applied Systems, Inc., 2024 2nd Lien Term Loan, (3- mo. CME Term SOFR at 0.00% Floor + 5.25%), 10.58%, 02/23/32 | 251 | 259,158 | |
Boxer Parent Co., Inc., 2023 USD Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.25%), 9.34%, 12/29/28 | 427 | 427,042 | |
Cast & Crew Payroll LLC, 2021 Incremental Term Loan, 12/29/28(m) | 200 | 199,982 | |
Cloud Software Group, Inc. | |||
2022 USD Term Loan B, 03/30/29(m) | — (e) | 1 |
Security | Par (000) | Value | |
Software (continued) | |||
Cloud Software Group, Inc. (continued) | |||
2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 03/21/31 | USD | 491 | $ 491,997 |
2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 03/30/29 | 235 | 234,672 | |
Cloudera, Inc., 2021 Second Lien Term Loan, (1-mo. CME Term SOFR + 6.10%), 0.00%, 10/08/29 | 441 | 436,609 | |
Delta Topco, Inc. | |||
2024 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 5.25%), 10.60%, 11/30/29 | 78 | 78,936 | |
2024 Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 3.50%), 8.85%, 11/30/29 | 387 | 386,679 | |
Ellucian Holdings, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.94%, 10/09/29 | 346 | 347,270 | |
Genesys Cloud Services Holdings II LLC, Term Loan B, (1-mo. CME Term SOFR + 3.86%), 9.21%, 12/01/27 | 255 | 256,956 | |
McAfee Corp., 2024 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 03/01/29 | 189 | 188,474 | |
MH Sub I LLC | |||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 6.25%), 9.59%, 02/23/29 | 66 | 65,556 | |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 05/03/28 | 959 | 957,430 | |
Modena Buyer LLC, Term Loan, 07/01/31(m) | 454 | 442,509 | |
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 11.33%, 12/18/28 | 199 | 192,145 | |
Proofpoint, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.34%, 08/31/28 | 195 | 195,085 | |
SS&C Technologies, Inc., 2024 Term Loan B8, (1-mo. CME Term SOFR at 0.00% Floor + 2.00%), 7.34%, 05/09/31 | 457 | 457,411 | |
UKG, Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 02/10/31 | 449 | 450,459 | |
VS Buyer LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 04/14/31 | 148 | 148,182 | |
6,216,553 | |||
Specialty Retail — 0.1% | |||
PetSmart LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.19%, 02/11/28 | 327 | 325,679 | |
Total Floating Rate Loan Interests — 7.9% (Cost: $44,062,333) | 44,249,064 | ||
Foreign Agency Obligations | |||
Bahrain — 0.0% | |||
Bahrain Government International Bond, 5.45%, 09/16/32(f) | 200 | 183,500 | |
Chile — 0.0% | |||
Chile Government International Bond, 4.34%, 03/07/42(g) | 200 | 172,646 | |
Colombia — 0.1% | |||
Colombia Government International Bond | |||
4.50%, 01/28/26 | 200 | 195,500 | |
3.88%, 03/22/26 | EUR | 100 | 105,500 |
8.00%, 04/20/33(g) | USD | 200 | 207,300 |
508,300 |
Security | Par (000) | Value | |
Dominican Republic — 0.1% | |||
Dominican Republic International Bond | |||
6.88%, 01/29/26(f) | USD | 107 | $ 108,204 |
5.95%, 01/25/27(f) | 176 | 174,944 | |
4.50%, 01/30/30(b) | 200 | 182,250 | |
7.05%, 02/03/31(b) | 150 | 154,406 | |
619,804 | |||
Egypt — 0.0% | |||
Egypt Government International Bond, 7.50%, 02/16/61(b) | 200 | 133,688 | |
Guatemala — 0.1% | |||
Guatemala Government Bond(b) | |||
5.38%, 04/24/32 | 200 | 189,687 | |
6.60%, 06/13/36 | 200 | 200,375 | |
4.65%, 10/07/41 | 200 | 156,625 | |
546,687 | |||
Hungary — 0.1% | |||
Hungary Government International Bond, 5.38%, 09/12/33(f) | EUR | 114 | 126,373 |
Magyar Export-Import Bank Zrt, 6.00%, 05/16/29(f) | 121 | 136,267 | |
262,640 | |||
Indonesia — 0.0% | |||
Perusahaan Penerbit SBSN Indonesia III, 4.40%, 06/06/27(b)(g) | USD | 200 | 195,798 |
Ivory Coast — 0.1% | |||
Ivory Coast Government International Bond, 6.38%, 03/03/28(f) | 365 | 352,681 | |
Mexico — 0.1% | |||
Mexico Government International Bond | |||
3.75%, 01/11/28(g) | 300 | 283,688 | |
6.35%, 02/09/35 | 200 | 201,100 | |
484,788 | |||
Morocco — 0.0% | |||
Morocco Government International Bond, 5.95%, 03/08/28(b) | 200 | 200,500 | |
Nigeria — 0.0% | |||
Nigeria Government International Bond, 8.38%, 03/24/29(b) | 200 | 187,500 | |
Oman — 0.1% | |||
Oman Government International Bond, 6.75%, 01/17/48(f) | 309 | 314,697 | |
Panama — 0.1% | |||
Panama Government International Bond, 6.40%, 02/14/35(g) | 337 | 319,476 | |
Peru — 0.1% | |||
Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25(f) | 379 | 373,467 | |
Peruvian Government International Bond(g) | |||
2.78%, 01/23/31 | 117 | 100,210 | |
1.86%, 12/01/32 | 356 | 269,670 | |
743,347 | |||
Poland — 0.1% | |||
Republic of Poland Government International Bond | |||
4.88%, 10/04/33(g) | 138 | 134,576 | |
5.50%, 04/04/53 | 71 | 69,494 | |
204,070 |
Security | Par (000) | Value | |
Romania — 0.1% | |||
Romanian Government International Bond | |||
5.25%, 11/25/27(b)(g) | USD | 168 | $ 164,976 |
2.50%, 02/08/30(f) | EUR | 150 | 140,412 |
2.12%, 07/16/31(f) | 168 | 144,891 | |
450,279 | |||
Saudi Arabia — 0.1% | |||
Saudi Government International Bond, 4.50%, 04/17/30(f) | USD | 362 | 350,574 |
Senegal — 0.0% | |||
Senegal Government International Bond, 6.25%, 05/23/33(f) | 231 | 193,174 | |
South Africa — 0.1% | |||
Republic of South Africa Government International Bond | |||
5.88%, 04/20/32(g) | 390 | 361,238 | |
5.00%, 10/12/46 | 200 | 140,250 | |
501,488 | |||
Ukraine — 0.0% | |||
Ukraine Government International Bond(n)(o) | |||
7.75%, 11/13/26(f) | 107 | 32,528 | |
7.25%, 03/15/33(b) | 371 | 105,550 | |
138,078 | |||
Uzbekistan — 0.0% | |||
Republic of Uzbekistan International Bond, 5.38%, 05/29/27(b) | EUR | 100 | 106,794 |
Total Foreign Agency Obligations — 1.3% (Cost: $7,612,569) | 7,170,509 | ||
Municipal Bonds | |||
Illinois — 0.1% | |||
State of Illinois, GO, 5.10%, 06/01/33 | USD | 753 | 739,129 |
Massachusetts — 0.1% | |||
Massachusetts Educational Financing Authority, Refunding RB, Series A, 6.35%, 07/01/49 | 680 | 687,618 | |
New York — 0.2% | |||
New York City Municipal Water Finance Authority, Refunding RB, BAB, 6.01%, 06/15/42 | 1,000 | 1,039,952 | |
Texas — 0.2% | |||
Port of Beaumont Navigation District, Refunding ARB, Series B, 10.00%, 07/01/26(b) | 850 | 852,272 | |
Total Municipal Bonds — 0.6% (Cost: $3,330,818) | 3,318,971 | ||
Non-Agency Mortgage-Backed Securities | |||
Collateralized Mortgage Obligations — 13.9% | |||
Ajax Mortgage Loan Trust, Series 2017-D, Class B, 0.00%, 12/25/57(a)(b) | 12 | 3,965 | |
Alternative Loan Trust | |||
Series 2006-J8, Class A5, 6.00%, 02/25/37 | 1,754 | 735,763 | |
Series 2007-19, Class 1A1, 6.00%, 08/25/37 | 541 | 257,207 | |
Bravo Residential Funding Trust(b) | |||
Series 2021-NQM1, Class A1, 0.94%, 02/25/49(a) | 544 | 482,923 | |
Series 2023-NQM3, Class A1, 4.85%, 09/25/62 | 375 | 365,129 | |
Series 2023-NQM4, Class A1, 6.44%, 05/25/63 | 1,262 | 1,269,129 |
Security | Par (000) | Value | |
Collateralized Mortgage Obligations (continued) | |||
Chase Home Lending Mortgage Trust, Series 2019- ATR1, Class A12, 6.50%, 04/25/49(a)(b) | USD | 361 | $ 355,168 |
CHL Mortgage Pass-Through Trust | |||
Series 2007-J2, Class 2A1, (1 mo. Term SOFR + 0.76%), 6.00%, 07/25/37(a) | 2,585 | 658,387 | |
Series 2007-J2, Class 2A8, 6.00%, 07/25/37 | 1,428 | 479,242 | |
CIM Trust(b) | |||
Series 2023-I1, Class A1, 6.03%, 04/25/58 | 1,156 | 1,143,256 | |
Series 2023-I2, Class A1, 6.64%, 12/25/67 | 1,144 | 1,143,566 | |
Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 4.55%, 11/25/36(a) | 396 | 368,365 | |
COLT Mortgage Loan Trust(b) | |||
Series 2020-2, Class M1, 5.25%, 03/25/65(a) | 2,550 | 2,478,449 | |
Series 2020-3, Class M1, 3.36%, 04/27/65(a) | 2,850 | 2,605,645 | |
Series 2022-1, Class A1, 4.55%, 04/25/67(a) | 1,271 | 1,259,620 | |
Series 2022-7, Class A1, 5.16%, 04/25/67 | 2,074 | 2,039,523 | |
Series 2022-9, Class A1, 6.79%, 12/25/67 | 280 | 280,697 | |
Series 2023-2, Class A1, 6.60%, 07/25/68 | 1,255 | 1,261,263 | |
Countrywide Alternative Loan Trust | |||
Series 2005-9CB, Class 1A3, (1 mo. Term SOFR + 0.56%), 5.50%, 05/25/35(a) | 1,102 | 946,510 | |
Series 2006-40T1, Class 2A5, (1 mo. Term SOFR + 0.51%), 5.86%, 12/25/36(a) | 2,273 | 481,273 | |
Series 2006-7CB, Class 2A1, 6.50%, 05/25/36 | 1,380 | 614,556 | |
Series 2006-J7, Class 2A1, (1-mo. LIBOR US + 1.50%), 6.94%, 11/20/46(a) | 2,482 | 1,851,586 | |
Series 2006-OA14, Class 3A1, (12-mo. MTA + 0.85%), 6.00%, 11/25/46(a) | 4,066 | 3,552,648 | |
Series 2006-OA16, Class A2, (1 mo. Term SOFR + 0.49%), 5.84%, 10/25/46(a) | 2,589 | 2,297,984 | |
Series 2006-OA18, Class A1, (1 mo. Term SOFR + 0.35%), 5.70%, 12/25/46(a) | 1,375 | 1,158,471 | |
Series 2006-OA6, Class 1A1A, (1 mo. Term SOFR + 0.53%), 5.88%, 07/25/46(a) | 2,969 | 2,595,752 | |
Series 2006-OA8, Class 1A1, (1 mo. Term SOFR + 0.49%), 5.84%, 07/25/46(a) | 1,013 | 848,969 | |
Series 2007-12T1, Class A22, 5.75%, 06/25/37 | 3,218 | 1,411,081 | |
Series 2007-12T1, Class A5, 6.00%, 06/25/37 | 1,562 | 712,512 | |
Series 2007-22, Class 2A16, 6.50%, 09/25/37 | 6,898 | 2,578,144 | |
Series 2007-23CB, Class A1, 6.00%, 09/25/37 | 3,949 | 1,920,167 | |
Series 2007-4CB, Class 1A3, (1 mo. Term SOFR + 0.46%), 5.75%, 04/25/37(a) | 1,487 | 1,104,444 | |
Series 2007-OA2, Class 1A1, (12-mo. MTA + 0.84%), 5.99%, 03/25/47(a) | 1,552 | 1,278,237 | |
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, (1 mo. Term SOFR + 0.51%), 5.86%, 04/25/46(a) | 3,463 | 3,160,611 | |
Credit Suisse Mortgage Capital Certificates Trust, Series 2022-NQM5, Class A1, 5.17%, 05/25/67(a)(b) | 2,573 | 2,545,539 | |
CSMC Trust(a)(b) | |||
Series 2011-4R, Class 1A2, (1 mo. Term SOFR + 1.61%), 6.93%, 09/27/37 | 810 | 644,363 | |
Series 2021-NQM2, Class M1, 2.28%, 02/25/66 | 1,500 | 1,080,694 | |
Ellington Financial Mortgage Trust(a)(b) | |||
Series 2020-1, Class M1, 5.24%, 05/25/65 | 500 | 490,212 | |
Series 2021-2, Class A1, 0.93%, 06/25/66 | 188 | 153,669 | |
Flagstar Mortgage Trust, Series 2021-4, Class A1, 2.50%, 06/01/51(a)(b) | 2,023 | 1,601,120 | |
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67(a)(b) | 926 | 897,952 | |
Homeward Opportunities Fund Trust, Series 2022-1, Class A1, 5.08%, 07/25/67(b) | 978 | 966,456 |
Security | Par (000) | Value | |
Collateralized Mortgage Obligations (continued) | |||
JP Morgan Mortgage Trust(a)(b) | |||
Series 2022-DSC1, Class A1, 4.75%, 01/25/63 | USD | 495 | $ 470,315 |
Series 2023-DSC1, Class A1, 4.63%, 07/25/63 | 313 | 298,152 | |
MFA Trust(b) | |||
Series 2021-NQM1, Class M1, 2.31%, 04/25/65(a) | 2,000 | 1,555,140 | |
Series 2023-NQM3, Class A1, 6.62%, 07/25/68 | 1,548 | 1,556,677 | |
Mill City Mortgage Trust, Series 2023-NQM2, Class A1, 6.24%, 12/25/67(b) | 1,559 | 1,553,874 | |
Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 3.74%, 05/26/37(b) | 3,295 | 3,378,768 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 05/25/36(a) | 6,508 | 1,151,054 | |
OBX Trust(b) | |||
Series 2022-NQM9, Class A1A, 6.45%, 09/25/62 | 518 | 518,353 | |
Series 2023-NQM1, Class A1, 6.12%, 11/25/62(a) | 414 | 413,763 | |
Series 2023-NQM5, Class A1A, 6.57%, 06/25/63 | 1,328 | 1,337,530 | |
Series 2023-NQM6, Class A1, 6.52%, 07/25/63 | 1,353 | 1,358,282 | |
PRKCM Trust, Series 2023-AFC2, Class A1, 6.48%, 06/25/58(b) | 1,329 | 1,329,792 | |
Residential Asset Securitization Trust, Series 2006-A8, Class 2A5, (1 mo. Term SOFR + 0.71%), 6.06%, 08/25/36(a) | 6,284 | 1,372,822 | |
SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62(b) | 641 | 632,152 | |
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57(b) | 646 | 610,657 | |
STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65(a)(b) | 1,750 | 1,387,724 | |
Starwood Mortgage Residential Trust, Series 2020-3, Class M1, 3.54%, 04/25/65(a)(b) | 1,057 | 911,391 | |
Verus Securitization Trust(b) | |||
Series 2022-3, Class A1, 4.13%, 02/25/67 | 430 | 400,491 | |
Series 2022-7, Class A1, 5.15%, 07/25/67 | 1,689 | 1,668,320 | |
Series 2022-INV2, Class A1, 6.79%, 10/25/67 | 430 | 431,930 | |
Series 2023-1, Class A1, 5.85%, 12/25/67 | 275 | 272,855 | |
Series 2023-5, Class A1, 6.48%, 06/25/68 | 1,149 | 1,150,669 | |
Visio Trust, Series 2023-2, Class A1, 6.60%, 10/25/58(b) | 1,537 | 1,539,534 | |
77,380,492 | |||
Commercial Mortgage-Backed Securities — 4.4% | |||
Bayview Commercial Asset Trust, Series 2007-2A, Class A1, (1 mo. Term SOFR + 0.52%), 5.86%, 07/25/37(a)(b) | 1,143 | 1,058,208 | |
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1 mo. Term SOFR + 0.86%), 6.19%, 04/15/36(a)(b) | 463 | 457,017 | |
BLP Commercial Mortgage Trust, Series 2024-INDS, Class D, (1 mo. Term SOFR + 2.59%), 7.92%, 03/15/41(a)(b) | 400 | 396,500 | |
BX Commercial Mortgage Trust(a)(b) | |||
Series 2021-CIP, Class A, (1 mo. Term SOFR + 1.04%), 6.36%, 12/15/38 | 600 | 593,253 | |
Series 2021-SOAR, Class A, (1 mo. Term SOFR + 0.78%), 6.11%, 06/15/38 | 1,447 | 1,430,384 | |
Series 2022-LP2, Class A, (1 mo. Term SOFR + 1.01%), 6.34%, 02/15/39 | 1,320 | 1,305,669 | |
Series 2024-MF, Class C, (1 mo. Term SOFR + 1.94%), 7.27%, 02/15/39 | 510 | 503,625 | |
BX Trust(a)(b) | |||
Series 2021-LBA, Class AJV, (1 mo. Term SOFR + 0.91%), 6.24%, 02/15/36 | 1,650 | 1,628,859 |
Security | Par (000) | Value | |
Commercial Mortgage-Backed Securities (continued) | |||
BX Trust(a)(b) (continued) | |||
Series 2022, Class B, (1 mo. Term SOFR + 2.66%), 7.99%, 08/15/41 | USD | 274 | $ 274,122 |
Series 2022-GPA, Class A, (1 mo. Term SOFR + 2.17%), 7.49%, 08/15/39 | 641 | 640,730 | |
Series 2023-DELC, Class A, (1 mo. Term SOFR + 2.69%), 8.02%, 05/15/38 | 140 | 140,350 | |
Series 2024-BIO, Class C, (1 mo. Term SOFR + 2.64%), 7.97%, 02/15/41 | 240 | 238,952 | |
Series 2024-CNYN, Class C, (1 mo. Term SOFR + 1.94%), 7.27%, 04/15/29 | 795 | 790,885 | |
Series 2024-PAT, Class B, (1 mo. Term SOFR + 3.04%), 8.37%, 03/15/41 | 170 | 169,787 | |
CENT Trust, Series 2023-CITY, Class A, (1 mo. Term SOFR + 2.62%), 7.95%, 09/15/38(a)(b) | 1,081 | 1,086,432 | |
Century Plaza Towers, Series 2019-CPT, Class C, 3.10%, 11/13/39(a)(b) | 250 | 197,046 | |
Cold Storage Trust(a)(b) | |||
Series 2020-ICE5, Class A, (1 mo. Term SOFR + 1.01%), 6.34%, 11/15/37 | 101 | 100,868 | |
Series 2020-ICE5, Class F, (1 mo. Term SOFR + 3.61%), 8.93%, 11/15/37 | 280 | 279,842 | |
CSMC BHAR, Series 2021-BHAR, Class C, (1 mo. Term SOFR + 2.11%), 7.44%, 11/15/38(a)(b) | 270 | 267,981 | |
CSMC Trust, Series 2020-NET, Class A, 2.26%, 08/15/37(b) | 441 | 416,705 | |
DC Trust, Series 2024-HLTN, Class C, 7.29%, 04/13/28(a)(b) | 220 | 221,145 | |
Extended Stay America Trust(a)(b) | |||
Series 2021-ESH, Class D, (1 mo. Term SOFR + 2.36%), 7.69%, 07/15/38 | 1,298 | 1,297,337 | |
Series 2021-ESH, Class F, (1 mo. Term SOFR + 3.81%), 9.14%, 07/15/38 | 823 | 820,282 | |
GS Mortgage Securities Corp. II, Series 2023-SHIP, Class E, 7.68%, 09/10/38(a)(b) | 275 | 272,801 | |
GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class B, (1 mo. Term SOFR + 2.79%), 8.12%, 03/15/28(a)(b) | 550 | 550,687 | |
Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35(b) | 1,000 | 955,129 | |
JP Morgan Chase Commercial Mortgage Securities Trust(a)(b) | |||
Series 2016-NINE, Class B, 2.95%, 09/06/38 | 275 | 253,199 | |
Series 2022-ACB, Class A, (30-day Avg SOFR + 1.40%), 6.73%, 03/15/39 | 1,600 | 1,580,014 | |
JW Commercial Mortgage Trust, Series 2024-MRCO, Class C, (1 mo. Term SOFR + 2.39%), 7.71%, 06/15/39(a)(b) | 800 | 795,997 | |
KSL Commercial Mortgage Trust, Series 2023-HT, Class D, (1 mo. Term SOFR + 4.29%), 9.62%, 12/15/36(a)(b) | 1,100 | 1,100,000 | |
MCR Mortgage Trust, Series 2024-TWA, Class E, 8.73%, 06/12/39(b) | 800 | 797,011 | |
MED Trust(a)(b) | |||
Series 2021, Class A, (1 mo. Term SOFR + 1.06%), 6.39%, 11/15/38 | 1,065 | 1,062,561 | |
Series 2021, Class E, (1 mo. Term SOFR + 3.26%), 8.59%, 11/15/38 | 390 | 389,884 | |
MF1 Trust, Series 2021-W10, Class A, (1 mo. Term SOFR + 1.07%), 6.40%, 12/15/34(a)(b) | 520 | 515,502 |
Security | Par (000) | Value | |
Commercial Mortgage-Backed Securities (continued) | |||
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. Term SOFR + 2.19%), 7.51%, 05/15/37(a)(b) | USD | 500 | $ 502,500 |
Wells Fargo Commercial Mortgage Trust | |||
Series 2016-LC25, Class A4, 3.64%, 12/15/59 | 1,600 | 1,526,546 | |
Series 2024-BPRC, Class D, 07/15/43(c) | 250 | 247,499 | |
24,865,309 | |||
Total Non-Agency Mortgage-Backed Securities — 18.3% (Cost: $118,896,780) | 102,245,801 | ||
Preferred Securities | |||
Capital Trusts — 5.6%(a) | |||
Automobiles(i) — 0.1% | |||
General Motors Financial Co., Inc., Series C, 5.70% | 395 | 370,794 | |
Volkswagen International Finance NV, 3.88%(f) | EUR | 100 | 99,679 |
470,473 | |||
Banks — 4.7% | |||
AIB Group PLC, 5.25%(f)(i) | 200 | 213,387 | |
Bank of America Corp., Series X, 6.25%(g)(i) | USD | 2,925 | 2,912,867 |
Bank of New York Mellon Corp., Series I, 3.75%(g)(i) | 2,845 | 2,625,331 | |
Barclays PLC(i) | |||
4.38%(g) | 2,835 | 2,380,561 | |
8.00% | 275 | 279,218 | |
9.63% | 1,105 | 1,197,922 | |
BNP Paribas SA, 4.63%(b)(i) | 1,025 | 820,793 | |
Chong Hing Bank Ltd., 5.70%(f)(i) | 250 | 249,531 | |
Citigroup, Inc., Series AA, 7.63%(i) | 425 | 442,501 | |
HSBC Holdings PLC(i) | |||
4.70% | 465 | 396,348 | |
4.60% | 200 | 171,412 | |
6.00%(g) | 695 | 671,091 | |
JPMorgan Chase & Co., Series U, 6.54%, 01/15/87(g) | 358 | 328,453 | |
Lloyds Banking Group PLC(i) | |||
8.00%(g) | 2,595 | 2,652,617 | |
6.75% | 515 | 513,071 | |
NatWest Group PLC(i) | |||
8.13% | 595 | 601,155 | |
6.00% | 1,185 | 1,159,211 | |
Nordea Bank Abp, 3.75%(b)(i) | 560 | 466,898 | |
PNC Financial Services Group, Inc.(i) | |||
Series V, 6.20% | 377 | 375,533 | |
Series W, 6.25%(g) | 380 | 370,299 | |
Rizal Commercial Banking Corp., 6.50%(f)(i) | 200 | 197,625 | |
Societe Generale SA(b)(i) | |||
5.38% | 2,250 | 1,812,726 | |
6.75%(g) | 3,000 | 2,682,993 | |
UBS Group AG(b)(i) | |||
Series NC10, 9.25% | 760 | 851,118 | |
Series NC5, 9.25% | 616 | 662,756 | |
Wells Fargo & Co., 7.63%(g)(i) | 571 | 608,061 | |
Woori Bank, 4.25%(f)(i) | 250 | 247,812 | |
25,891,290 | |||
Construction & Engineering — 0.0% | |||
Abertis Infraestructuras Finance BV, 3.25%(f)(i) | EUR | 100 | 104,150 |
Security | Par (000) | Value | |
Diversified Telecommunication Services(f) — 0.1% | |||
British Telecommunications PLC, 8.38%, 12/20/83 | GBP | 100 | $ 134,340 |
Telefonica Europe BV, 6.14%(i) | EUR | 200 | 224,350 |
Vodafone Group PLC | |||
2.63%, 08/27/80 | 100 | 102,952 | |
6.50%, 08/30/84 | 100 | 114,993 | |
576,635 | |||
Electric Utilities — 0.7% | |||
Edison International, Series B, 5.00%(i) | USD | 328 | 311,994 |
EDP - Energias de Portugal SA, 5.94%, 04/23/83(f) | EUR | 100 | 111,510 |
Electricite de France SA, 3.00%(f)(i) | 200 | 196,523 | |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(g) | USD | 2,500 | 2,386,094 |
NRG Energy, Inc., 10.25%(b)(i) | 625 | 683,569 | |
Vistra Corp., 7.00%(b)(i) | 267 | 264,680 | |
3,954,370 | |||
Oil, Gas & Consumable Fuels — 0.0% | |||
Repsol International Finance BV, 4.25%(f)(i) | EUR | 100 | 105,302 |
Pharmaceuticals — 0.0% | |||
Bayer AG, 4.50%, 03/25/82(f) | 100 | 103,007 | |
Real Estate Management & Development — 0.0% | |||
Heimstaden Bostad AB, 2.63%(f)(i) | 100 | 66,131 | |
31,271,358 |
Shares | |||
Preferred Stocks — 0.7%(a)(i) | |||
Capital Markets — 0.7% | |||
Morgan Stanley | |||
Series F, 6.88% | 100,000 | 2,509,000 | |
Series K, 5.85% | 60,125 | 1,493,505 | |
4,002,505 | |||
Total Preferred Securities — 6.3% (Cost: $36,255,825) | 35,273,863 |
Par (000) | |||
U.S. Government Sponsored Agency Securities | |||
Collateralized Mortgage Obligations — 0.9% | |||
Fannie Mae REMICS, Series 2023-56, Class FA, (30- day Avg SOFR + 1.40%), 6.74%, 11/25/53(a) | USD | 4,331 | 4,355,511 |
Ginnie Mae, Series 2017-136, Class GB, 3.00%, 03/20/47 | 538 | 487,501 | |
4,843,012 | |||
Mortgage-Backed Securities — 12.7% | |||
Uniform Mortgage-Backed Securities | |||
1.50%, 05/01/31 - 06/01/36 | 6,927 | 5,956,399 | |
2.00%, 08/01/31 | 1,940 | 1,790,739 | |
4.00%, 05/01/52 - 07/15/54(g)(p) | 30,154 | 27,975,473 | |
4.50%, 05/01/53(g) | 4,966 | 4,688,372 | |
6.50%, 01/01/54(g) | 5,234 | 5,349,321 | |
3.00%, 07/15/54(p) | 4,200 | 3,572,297 |
Security | Par (000) | Value | |
Mortgage-Backed Securities (continued) | |||
Uniform Mortgage-Backed Securities (continued) | |||
5.00%, 07/15/54(p) | USD | 11,000 | $ 10,630,469 |
5.50%, 07/15/54(p) | 11,020 | 10,868,045 | |
70,831,115 | |||
Total U.S. Government Sponsored Agency Securities — 13.6% (Cost: $75,963,027) | 75,674,127 |
Shares | |||
Warrants | |||
Entertainment — 0.0% | |||
Aviron Capital LLC, (Expires 12/16/31)(d)(o) | 10 | — | |
Total Warrants — 0.0% (Cost: $ — ) | — | ||
Total Long-Term Investments — 157.0% (Cost: $907,491,504) | 876,731,952 | ||
Short-Term Securities | |||
Money Market Funds — 0.7% | |||
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(q)(r) | 4,040,981 | 4,040,981 | |
Total Short-Term Securities — 0.7% (Cost: $4,040,981) | 4,040,981 | ||
Total Investments — 157.7% (Cost: $911,532,485) | 880,772,933 | ||
Liabilities in Excess of Other Assets — (57.7)% | (322,398,384 ) | ||
Net Assets — 100.0% | $ 558,374,549 |
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | When-issued security. |
(d) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) | Rounds to less than 1,000. |
(f) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(g) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(h) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(i) | Perpetual security with no stated maturity date. |
(j) | Convertible security. |
(k) | Zero-coupon bond. |
(l) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(m) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(n) | Issuer filed for bankruptcy and/or is in default. |
(o) | Non-income producing security. |
(p) | Represents or includes a TBA transaction. |
(q) | Affiliate of the Fund. |
(r) | Annualized 7-day yield as of period end. |
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | $ 10,305,527 | $ — | $ (6,264,546 )(a) | $ — | $ — | $ 4,040,981 | 4,040,981 | $ 201,120 | $ — |
(a) | Represents net amount purchased (sold). |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
HSBC Securities (USA), Inc. | 5.50 %(b) | 12/08/23 | Open | $ 452,500 | $ 466,596 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 12/08/23 | Open | 210,478 | 217,034 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 12/08/23 | Open | 156,860 | 161,724 | Foreign Agency Obligations | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 12/08/23 | Open | 187,105 | 192,908 | Foreign Agency Obligations | Open/Demand |
Barclays Bank PLC | 5.50 (b) | 01/29/24 | Open | 2,297,337 | 2,351,038 | Capital Trusts | Open/Demand |
Barclays Bank PLC | 5.50 (b) | 01/29/24 | Open | 1,636,537 | 1,674,792 | Corporate Bonds | Open/Demand |
Barclays Bank PLC | 5.50 (b) | 01/29/24 | Open | 697,500 | 713,804 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
Credit Agricole Corporate and Investment Bank | 5.52 %(b) | 01/29/24 | Open | $ 93,161 | $ 95,347 | Foreign Agency Obligations | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.50 (b) | 02/08/24 | Open | 338,923 | 346,327 | Foreign Agency Obligations | Open/Demand |
Credit Agricole Corporate and Investment Bank | 5.50 (b) | 02/08/24 | Open | 814,062 | 831,847 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 02/08/24 | Open | 1,661,476 | 1,698,105 | Corporate Bonds | Open/Demand |
Societe Generale | 5.47 (b) | 02/08/24 | Open | 783,750 | 800,779 | Corporate Bonds | Open/Demand |
Societe Generale | 5.47 (b) | 02/08/24 | Open | 1,142,175 | 1,166,992 | Corporate Bonds | Open/Demand |
Societe Generale | 5.47 (b) | 02/08/24 | Open | 171,875 | 175,610 | Corporate Bonds | Open/Demand |
Societe Generale | 5.47 (b) | 02/08/24 | Open | 600,000 | 613,037 | Corporate Bonds | Open/Demand |
Societe Generale | 5.47 (b) | 02/08/24 | Open | 93,379 | 95,408 | Corporate Bonds | Open/Demand |
Societe Generale | 5.47 (b) | 02/08/24 | Open | 3,320,000 | 3,392,137 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/03/24 | Open | 580,110 | 587,895 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/03/24 | Open | 235,553 | 238,708 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.67 (b) | 04/09/24 | Open | 3,495,010 | 3,540,148 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 04/11/24 | Open | 1,675,837 | 1,697,142 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 204,997 | 207,342 | Foreign Agency Obligations | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 162,822 | 164,685 | Foreign Agency Obligations | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 185,071 | 187,188 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.35 (b) | 04/12/24 | Open | 137,774 | 139,350 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.40 (b) | 04/12/24 | Open | 1,232,448 | 1,246,683 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 04/12/24 | Open | 1,480,250 | 1,497,410 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.45 (b) | 04/12/24 | Open | 922,500 | 933,254 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 242,363 | 245,203 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 306,772 | 310,368 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 446,970 | 452,209 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 202,825 | 205,202 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 172,250 | 174,269 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 173,861 | 175,899 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 110,134 | 111,425 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 252,788 | 255,750 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 117,640 | 119,019 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 314,640 | 318,328 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 250,190 | 253,123 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 637,751 | 645,226 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 432,889 | 437,963 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/12/24 | Open | 336,300 | 340,242 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 04/12/24 | Open | 342,760 | 346,917 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 593,687 | 599,912 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 375,586 | 379,524 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 131,580 | 132,960 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 383,994 | 388,020 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.47 (b) | 04/22/24 | Open | 92,958 | 93,932 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 04/25/24 | Open | 88,916 | 89,823 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.30 (b) | 04/29/24 | Open | 503,700 | 508,298 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.35 (b) | 04/29/24 | Open | 2,249,300 | 2,269,250 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.39 (b) | 04/29/24 | Open | 387,600 | 391,198 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.39 (b) | 04/29/24 | Open | 271,534 | 274,054 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.44 (b) | 04/29/24 | Open | 345,274 | 348,509 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 331,946 | 335,062 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 243,658 | 245,945 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 820,155 | 827,853 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 867,500 | 875,642 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 487,830 | 492,409 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 04/29/24 | Open | 535,312 | 540,337 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.47 (b) | 04/29/24 | Open | 542,025 | 547,131 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.47 (b) | 04/29/24 | Open | 1,200,465 | 1,211,774 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.47 (b) | 04/29/24 | Open | 615,880 | 621,682 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.48 (b) | 04/29/24 | Open | 342,203 | 345,432 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.48 (b) | 04/29/24 | Open | 281,138 | 283,791 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 305,760 | 308,651 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BNP Paribas SA | 5.49 %(b) | 04/29/24 | Open | $ 237,690 | $ 239,937 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 992,107 | 1,001,488 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 3,618,956 | 3,653,173 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 125,413 | 126,598 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 856,537 | 864,636 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 1,708,927 | 1,725,085 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 488,071 | 492,686 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 243,865 | 246,171 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 862,500 | 870,655 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 04/29/24 | Open | 316,111 | 319,100 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.50 (b) | 04/29/24 | Open | 488,456 | 493,083 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.54 (b) | 04/29/24 | Open | 2,712,937 | 2,738,822 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.55 (b) | 04/29/24 | Open | 213,119 | 215,156 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.40 (b) | 04/30/24 | Open | 686,367 | 692,648 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.40 (b) | 04/30/24 | Open | 547,976 | 552,990 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.40 (b) | 04/30/24 | Open | 1,824,829 | 1,841,526 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 275,381 | 277,929 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 250,373 | 252,689 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.46 (b) | 04/30/24 | Open | 279,953 | 282,543 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 04/30/24 | Open | 212,258 | 214,254 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.47 (b) | 05/01/24 | Open | 371,365 | 374,751 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/02/24 | Open | 110,158 | 111,165 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.45 (b) | 05/03/24 | Open | 190,750 | 192,454 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/06/24 | Open | 596,242 | 601,325 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 479,375 | 483,396 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 349,525 | 352,457 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 436,250 | 439,909 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 222,813 | 224,681 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 294,875 | 297,348 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 857,250 | 864,440 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/06/24 | Open | 222,530 | 224,396 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.50 (b) | 05/06/24 | Open | 521,360 | 525,741 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.50 (b) | 05/06/24 | Open | 391,050 | 394,336 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/09/24 | Open | 589,000 | 593,726 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/10/24 | Open | 136,010 | 137,089 | Corporate Bonds | Open/Demand |
U.S. Bancorp Investments, Inc. | 5.31 (b) | 05/10/24 | Open | 396,000 | 399,037 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.42 (b) | 05/13/24 | Open | 814,230 | 820,237 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/13/24 | Open | 204,149 | 205,674 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 226,993 | 228,692 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 302,794 | 305,060 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 404,200 | 407,226 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 177,138 | 178,464 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 312,406 | 314,745 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 207,313 | 208,864 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 276,806 | 278,878 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 165,640 | 166,880 | Corporate Bonds | Open/Demand |
HSBC Securities (USA), Inc. | 5.50 (b) | 05/13/24 | Open | 402,804 | 405,819 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.25 (b) | 05/20/24 | Open | 701,335 | 705,528 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.35 (b) | 05/20/24 | Open | 1,456,003 | 1,464,874 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.35 (b) | 05/20/24 | Open | 342,720 | 344,808 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/20/24 | Open | 280,438 | 282,178 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/20/24 | Open | 537,639 | 540,976 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/20/24 | Open | 199,665 | 200,904 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/20/24 | Open | 262,418 | 264,046 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 399,263 | 401,786 | Capital Trusts | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 219,121 | 220,506 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 1,327,775 | 1,336,168 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 577,150 | 580,798 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 621,060 | 624,986 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 297,716 | 299,598 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 837,540 | 842,834 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 1,052,700 | 1,059,354 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
Goldman Sachs & Co. LLC | 5.55 %(b) | 05/20/24 | Open | $ 647,254 | $ 651,345 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/20/24 | Open | 557,831 | 561,357 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 176,138 | 177,205 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 147,445 | 148,338 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 306,425 | 308,282 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 206,019 | 207,268 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 310,179 | 312,059 | Foreign Agency Obligations | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 130,849 | 131,642 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 562,575 | 565,984 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 257,052 | 258,610 | Foreign Agency Obligations | Open/Demand |
Nomura Securities International, Inc. | 5.32 (b) | 05/20/24 | Open | 214,800 | 216,101 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/20/24 | Open | 777,601 | 782,454 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.55 (b) | 05/20/24 | Open | 327,120 | 329,188 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/20/24 | Open | 137,025 | 137,903 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.49 (b) | 05/20/24 | Open | 192,325 | 193,557 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/20/24 | Open | 1,360,675 | 1,369,660 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/20/24 | Open | 161,494 | 162,561 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/20/24 | Open | 584,000 | 587,856 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/20/24 | Open | 1,880,740 | 1,893,159 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 05/21/24 | Open | 1,340,606 | 1,349,247 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.42 (b) | 05/22/24 | Open | 998,294 | 1,004,155 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 132,860 | 133,650 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 883,560 | 888,815 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 596,362 | 599,909 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/22/24 | Open | 159,280 | 160,227 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.45 (b) | 05/22/24 | Open | 71,340 | 71,772 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/22/24 | Open | 1,519,230 | 1,528,480 | Corporate Bonds | Open/Demand |
Societe Generale | 5.64 (b) | 05/22/24 | Open | 1,451,287 | 1,460,382 | Corporate Bonds | Open/Demand |
Societe Generale | 5.64 (b) | 05/22/24 | Open | 1,379,020 | 1,387,662 | Corporate Bonds | Open/Demand |
Societe Generale | 5.64 (b) | 05/22/24 | Open | 1,565,287 | 1,575,097 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 05/22/24 | Open | 2,360,520 | 2,375,339 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.44 (b) | 05/23/24 | Open | 506,050 | 509,032 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/23/24 | Open | 422,353 | 424,864 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 05/23/24 | Open | 1,362,217 | 1,370,408 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 05/23/24 | Open | 157,135 | 158,067 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 05/23/24 | Open | 2,645,637 | 2,661,888 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 4.65 (b) | 05/23/24 | Open | 1,023,937 | 1,028,963 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.15 (b) | 05/23/24 | Open | 1,031,179 | 1,036,784 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 344,500 | 346,500 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 496,125 | 499,005 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 592,375 | 595,814 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 713,250 | 717,391 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 623,437 | 627,057 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 721,875 | 726,066 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 337,625 | 339,585 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 1,243,125 | 1,250,342 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 510,000 | 512,961 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 166,875 | 167,844 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 220,019 | 221,296 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 350,000 | 352,032 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 482,300 | 485,100 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 332,000 | 333,927 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 598,812 | 602,289 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 253,425 | 254,896 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 640,819 | 644,539 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 529,375 | 532,448 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 418,750 | 421,181 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 412,500 | 414,895 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 364,500 | 366,616 | Corporate Bonds | Open/Demand |
RBC Capital Markets, LLC | 5.50 (b) | 05/23/24 | Open | 808,000 | 812,691 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 05/24/24 | Open | 142,870 | 143,698 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.42 (b) | 05/30/24 | Open | 563,450 | 566,165 | Corporate Bonds | Open/Demand |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BNP Paribas SA | 5.49 %(b) | 05/30/24 | Open | $ 1,389,095 | $ 1,395,874 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.52 (b) | 05/30/24 | Open | 244,650 | 245,850 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.52 (b) | 05/30/24 | Open | 229,033 | 230,156 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.64 (b) | 05/31/24 | Open | 297,473 | 298,917 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.65 (b) | 05/31/24 | Open | 3,488,265 | 3,505,236 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 06/04/24 | Open | 279,720 | 280,872 | Corporate Bonds | Open/Demand |
Goldman Sachs & Co. LLC | 5.55 (b) | 06/04/24 | Open | 419,624 | 421,370 | Corporate Bonds | Open/Demand |
Societe Generale | 5.49 (b) | 06/06/24 | Open | 315,040 | 316,241 | Capital Trusts | Open/Demand |
Societe Generale | 5.49 (b) | 06/06/24 | Open | 168,520 | 169,162 | Corporate Bonds | Open/Demand |
Societe Generale | 5.49 (b) | 06/06/24 | Open | 226,229 | 227,092 | Corporate Bonds | Open/Demand |
Societe Generale | 5.64 (b) | 06/06/24 | Open | 159,319 | 159,943 | Corporate Bonds | Open/Demand |
Societe Generale | 5.64 (b) | 06/06/24 | Open | 282,327 | 283,433 | Capital Trusts | Open/Demand |
BNP Paribas SA | 5.45 (b) | 06/07/24 | Open | 1,218,080 | 1,222,506 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.49 (b) | 06/07/24 | Open | 1,785,030 | 1,791,563 | Corporate Bonds | Open/Demand |
BNP Paribas SA | 5.52 (b) | 06/07/24 | Open | 708,400 | 711,007 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 06/07/24 | Open | 652,800 | 655,159 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.65 (b) | 06/07/24 | Open | 4,284,345 | 4,300,483 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.67 (b) | 06/11/24 | Open | 2,771,290 | 2,780,020 | Corporate Bonds | Open/Demand |
Cantor Fitzgerald & Co. | 5.46 | 06/12/24 | 07/15/24 | 4,594,794 | 4,607,338 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Cantor Fitzgerald & Co. | 5.46 | 06/12/24 | 07/15/24 | 25,003,618 | 25,071,878 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Daiwa Capital Markets America, Inc | 5.46 | 06/12/24 | 07/15/24 | 313,033 | 313,888 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Daiwa Capital Markets America, Inc | 5.46 | 06/12/24 | 07/15/24 | 5,207,938 | 5,222,155 | U.S. Government Sponsored Agency Securities | Up to 30 Days |
Nomura Securities International, Inc. | 5.42 (b) | 06/12/24 | Open | 325,205 | 326,135 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.42 (b) | 06/12/24 | Open | 362,060 | 363,096 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/12/24 | Open | 2,205,665 | 2,212,254 | Corporate Bonds | Open/Demand |
Barclays Bank PLC | 5.45 | 06/13/24 | 08/01/24 | 1,919,938 | 1,925,169 | Corporate Bonds | 31 - 90 Days |
Barclays Bank PLC | 5.45 | 06/13/24 | 08/01/24 | 456,515 | 457,759 | Corporate Bonds | 31 - 90 Days |
Barclays Bank PLC | 5.45 | 06/13/24 | 08/01/24 | 402,500 | 403,597 | Corporate Bonds | 31 - 90 Days |
Barclays Bank PLC | 5.45 | 06/13/24 | 08/01/24 | 203,621 | 204,176 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 2.00 | 06/13/24 | 08/01/24 | 32,650 | 32,683 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 4.00 | 06/13/24 | 08/01/24 | 254,837 | 255,347 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 4.50 | 06/13/24 | 08/01/24 | 200,594 | 201,045 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.24 | 06/13/24 | 08/01/24 | 211,596 | 212,150 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.40 | 06/13/24 | 08/01/24 | 126,560 | 126,902 | Foreign Agency Obligations | 31 - 90 Days |
Barclays Capital, Inc. | 5.45 | 06/13/24 | 08/01/24 | 274,125 | 274,872 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.45 | 06/13/24 | 08/01/24 | 416,147 | 417,281 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/13/24 | 08/01/24 | 2,340,210 | 2,346,704 | Capital Trusts | 31 - 90 Days |
Barclays Capital, Inc. | 5.55 | 06/13/24 | 08/01/24 | 950,380 | 953,017 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 870,610 | 873,069 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 1,654,740 | 1,659,415 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.65 | 06/13/24 | 08/01/24 | 925,099 | 927,712 | Corporate Bonds | 31 - 90 Days |
Barclays Capital, Inc. | 5.00 (b) | 06/14/24 | Open | 583,675 | 585,053 | Corporate Bonds | Open/Demand |
BofA Securities, Inc. | 5.10 | 06/17/24 | 07/17/24 | 153,093 | 153,396 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.15 | 06/17/24 | 07/17/24 | 1,084,025 | 1,086,196 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.15 | 06/17/24 | 07/17/24 | 581,297 | 582,462 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.15 | 06/17/24 | 07/17/24 | 793,125 | 794,713 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.20 | 06/17/24 | 07/17/24 | 399,600 | 400,408 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.25 | 06/17/24 | 07/17/24 | 93,720 | 93,911 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.25 | 06/17/24 | 07/17/24 | 432,338 | 433,220 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.30 | 06/17/24 | 07/17/24 | 1,951,222 | 1,955,244 | Capital Trusts | Up to 30 Days |
BofA Securities, Inc. | 5.30 | 06/17/24 | 07/17/24 | 317,730 | 318,385 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 510,750 | 511,813 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 692,900 | 694,342 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 775,937 | 777,552 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 685,725 | 687,152 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 341,568 | 342,278 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 337,534 | 338,236 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 1,059,572 | 1,061,777 | Corporate Bonds | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BofA Securities, Inc. | 5.35 % | 06/17/24 | 07/17/24 | $ 551,000 | $ 552,146 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 1,563,281 | 1,566,534 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 799,460 | 801,123 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 719,115 | 720,611 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.35 | 06/17/24 | 07/17/24 | 663,887 | 665,269 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 590,762 | 592,003 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 292,645 | 293,260 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 874,500 | 876,336 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 359,340 | 360,095 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 757,312 | 758,903 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 364,125 | 364,890 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 167,213 | 167,564 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 871,720 | 873,551 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 570,000 | 571,197 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 174,760 | 175,127 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 216,660 | 217,115 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 300,375 | 301,006 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 316,193 | 316,857 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 755,861 | 757,449 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 367,500 | 368,272 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 2,832,157 | 2,838,105 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 759,990 | 761,586 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 248,734 | 249,257 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 128,844 | 129,114 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 285,831 | 286,432 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 203,680 | 204,108 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.40 | 06/17/24 | 07/17/24 | 485,631 | 485,631 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 797,404 | 799,094 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 2,147,377 | 2,151,929 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 284,173 | 284,775 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 554,377 | 555,552 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 710,347 | 711,853 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 590,224 | 591,475 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 302,003 | 302,643 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 133,414 | 133,697 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 250,943 | 251,474 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 426,336 | 427,240 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 336,709 | 337,422 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 297,783 | 298,415 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 571,252 | 572,463 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 152,733 | 153,056 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 194,513 | 194,925 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 748,710 | 750,297 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 1,134,315 | 1,136,719 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 1,211,775 | 1,214,343 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 1,251,971 | 1,254,625 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 586,417 | 587,660 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 413,220 | 414,096 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 728,796 | 730,341 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 654,910 | 656,298 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 362,876 | 363,645 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 365,238 | 366,012 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 209,831 | 210,276 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 494,705 | 495,754 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 1,076,716 | 1,078,998 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 127,190 | 127,460 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 228,994 | 229,479 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 456,870 | 457,838 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.45 | 06/17/24 | 07/17/24 | 510,848 | 510,848 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.49 | 06/17/24 | 07/17/24 | 2,262,500 | 2,267,330 | Capital Trusts | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 576,150 | 577,382 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 96,615 | 96,822 | Corporate Bonds | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
BofA Securities, Inc. | 5.50 % | 06/17/24 | 07/17/24 | $ 2,160,069 | $ 2,164,689 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 848,750 | 850,565 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 77,976 | 78,143 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 421,080 | 421,981 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 3,631,045 | 3,638,811 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 84,150 | 84,330 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 158,355 | 158,694 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 2,052,160 | 2,056,549 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 670,131 | 671,565 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 513,697 | 514,796 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 235,625 | 236,129 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 324,120 | 324,813 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 131,134 | 131,414 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 628,460 | 629,805 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 379,765 | 380,577 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 1,217,280 | 1,219,884 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 979,200 | 981,294 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 512,250 | 513,346 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 76,886 | 77,051 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 111,470 | 111,708 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 792,000 | 793,694 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 425,119 | 426,028 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 116,769 | 117,019 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 122,763 | 123,025 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 820,534 | 822,289 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 830,035 | 831,810 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 811,174 | 812,909 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 579,281 | 580,520 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 318,562 | 319,244 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 324,919 | 325,614 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 142,504 | 142,809 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 266,664 | 267,234 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 726,656 | 728,210 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.50 | 06/17/24 | 07/17/24 | 130,207 | 130,485 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.53 | 06/17/24 | 07/17/24 | 2,055,937 | 2,060,359 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.53 | 06/17/24 | 07/17/24 | 187,566 | 187,969 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.55 | 06/17/24 | 07/17/24 | 1,061,656 | 1,063,948 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.55 | 06/17/24 | 07/17/24 | 270,683 | 271,267 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 200,717 | 201,154 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 245,555 | 246,090 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 307,753 | 308,423 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 2,463,750 | 2,469,115 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 615,724 | 617,065 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 478,128 | 479,169 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 600,625 | 601,933 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 1,972,840 | 1,977,136 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 2,526,637 | 2,532,140 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 1,001,385 | 1,003,566 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 1,448,370 | 1,451,524 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 686,250 | 687,745 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 1,759,074 | 1,762,905 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 1,949,437 | 1,953,683 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 368,196 | 368,998 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 357,043 | 357,820 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 925,242 | 927,257 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/17/24 | 07/17/24 | 2,965,620 | 2,972,078 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.30 | 06/17/24 | 07/17/24 | 318,705 | 319,362 | Foreign Agency Obligations | Up to 30 Days |
Merrill Lynch International | 5.60 | 06/17/24 | 07/17/24 | 183,334 | 183,733 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.60 | 06/17/24 | 07/17/24 | 202,879 | 203,321 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.60 | 06/17/24 | 07/17/24 | 265,446 | 266,024 | Foreign Agency Obligations | Up to 30 Days |
Merrill Lynch International | 5.60 | 06/17/24 | 07/17/24 | 192,938 | 193,358 | Corporate Bonds | Up to 30 Days |
Merrill Lynch International | 5.60 | 06/17/24 | 07/17/24 | 905,520 | 907,492 | Corporate Bonds | Up to 30 Days |
Counterparty | Interest Rate | Trade Date | Maturity Date(a) | Face Value | Face Value Including Accrued Interest | Type of Non-Cash Underlying Collateral | Remaining Contractual Maturity of the Agreements(a) |
Merrill Lynch International | 5.65 % | 06/17/24 | 07/17/24 | $ 1,922,166 | $ 1,926,390 | Corporate Bonds | Up to 30 Days |
J.P. Morgan Securities LLC | 5.60 | 06/17/24 | 08/07/24 | 295,335 | 295,933 | Foreign Agency Obligations | 31 - 90 Days |
J.P. Morgan Securities LLC | 4.25 | 06/18/24 | 08/07/24 | 248,579 | 248,960 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.30 | 06/18/24 | 08/07/24 | 634,987 | 636,203 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.35 | 06/18/24 | 08/07/24 | 211,736 | 212,145 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.40 | 06/18/24 | 08/07/24 | 174,688 | 175,028 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 608,005 | 609,202 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 230,578 | 231,032 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 302,669 | 303,264 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 130,150 | 130,406 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 233,930 | 234,390 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 241,929 | 242,405 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 570,245 | 571,367 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 474,259 | 475,192 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 1,115,625 | 1,117,821 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 517,611 | 518,630 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 169,680 | 170,014 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 360,360 | 361,069 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 239,460 | 239,931 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 224,990 | 225,433 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.45 | 06/18/24 | 08/07/24 | 478,140 | 479,081 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 232,243 | 232,704 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 474,863 | 475,806 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 251,875 | 252,375 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 428,690 | 429,541 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 400,685 | 401,481 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 146,247 | 146,538 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 299,700 | 300,295 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 208,618 | 209,032 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 214,500 | 214,926 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 692,309 | 693,684 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 291,538 | 292,117 | Corporate Bonds | 31 - 90 Days |
J.P. Morgan Securities LLC | 5.50 | 06/18/24 | 08/07/24 | 383,040 | 383,801 | Corporate Bonds | 31 - 90 Days |
TD Securities (USA) LLC | 5.50 (b) | 06/18/24 | Open | 1,469,762 | 1,472,682 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/18/24 | Open | 1,983,430 | 1,987,484 | Corporate Bonds | Open/Demand |
TD Securities (USA) LLC | 5.66 (b) | 06/18/24 | Open | 2,117,550 | 2,121,878 | Corporate Bonds | Open/Demand |
BofA Securities, Inc. | 5.40 | 06/21/24 | 07/17/24 | 181,187 | 181,459 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/25/24 | 07/17/24 | 178,334 | 178,500 | Corporate Bonds | Up to 30 Days |
BofA Securities, Inc. | 5.60 | 06/25/24 | 07/17/24 | 1,241,085 | 1,242,243 | Corporate Bonds | Up to 30 Days |
Goldman Sachs & Co. LLC | 5.45 (b) | 06/25/24 | Open | 143,606 | 143,737 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.55 (b) | 06/25/24 | Open | 1,086,827 | 1,087,833 | Corporate Bonds | Open/Demand |
Nomura Securities International, Inc. | 5.48 (b) | 06/27/24 | Open | 234,703 | 234,845 | Corporate Bonds | Open/Demand |
BofA Securities, Inc. | 4.50 | 06/28/24 | 07/17/24 | 266,185 | 266,285 | Corporate Bonds | Up to 30 Days |
Barclays Capital, Inc. | 4.50 | 06/28/24 | 08/01/24 | 867,895 | 868,220 | Corporate Bonds | 31 - 90 Days |
$ 305,182,818 | $ 306,804,004 |
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts | ||||
2-Year U.S. Treasury Note | 1,678 | 09/30/24 | $ 342,679 | $ 373,792 |
Short Contracts | ||||
10-Year U.S. Treasury Note | 537 | 09/19/24 | 58,986 | (459,411 ) |
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) |
Short Contracts (continued) | ||||
10-Year U.S. Ultra Long Treasury Note | 214 | 09/19/24 | $ 24,242 | $ (158,133 ) |
U.S. Long Bond | 312 | 09/19/24 | 36,777 | (132,524 ) |
Ultra U.S. Treasury Bond | 106 | 09/19/24 | 13,204 | (49,803 ) |
5-Year U.S. Treasury Note | 72 | 09/30/24 | 7,669 | (7,626 ) |
(807,497 ) | ||||
$ (433,705 ) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
USD | 108,551 | EUR | 100,000 | Deutsche Bank AG | 07/17/24 | $ 1,381 |
USD | 105,068 | EUR | 97,038 | Morgan Stanley & Co. International PLC | 07/17/24 | 1,072 |
USD | 130,520 | EUR | 120,545 | Morgan Stanley & Co. International PLC | 07/17/24 | 1,332 |
USD | 130,642 | EUR | 120,658 | Morgan Stanley & Co. International PLC | 07/17/24 | 1,333 |
USD | 495,083 | EUR | 457,247 | Morgan Stanley & Co. International PLC | 07/17/24 | 5,051 |
USD | 11,876,952 | EUR | 11,032,000 | BNP Paribas SA | 09/18/24 | 18,164 |
USD | 924,696 | GBP | 729,000 | Citibank N.A. | 09/18/24 | 2,643 |
USD | 488,153 | GBP | 385,000 | JPMorgan Chase Bank N.A. | 09/18/24 | 1,197 |
USD | 374,157 | GBP | 295,000 | Standard Chartered Bank | 09/18/24 | 1,035 |
33,208 | ||||||
EUR | 130,607 | USD | 140,420 | Standard Chartered Bank | 07/17/24 | (449 ) |
$ 32,759 |
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CDX.NA.IG.41.V1 | 1.00 % | Quarterly | 12/20/28 | USD | 27,020 | $ (578,089 ) | $ (371,697 ) | $ (206,392 ) |
CDX.NA.HY.42.V1 | 5.00 | Quarterly | 06/20/29 | USD | 5,007 | (320,535 ) | (302,682 ) | (17,853 ) |
$ (898,624 ) | $ (674,379 ) | $ (224,245 ) |
Reference Obligations/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
CMBX.NA.7 | 3.00 % | Monthly | Deutsche Bank AG | 01/17/47 | USD | 11,717 | $ 2,097,319 | $ 759,873 | $ 1,337,446 |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Virgin Media Finance PLC | 5.00 % | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B- | EUR | 20 | $ 1,080 | $ 972 | $ 108 |
CMA CGM SA | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 06/20/27 | N/R | EUR | 38 | 4,485 | 5,755 | (1,270 ) |
Adler Real Estate AG | 5.00 | Quarterly | Bank of America N.A. | 12/20/27 | N/R | EUR | 9 | (278 ) | (1,458 ) | 1,180 |
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | N/R | EUR | 5 | (167 ) | (854 ) | 687 |
Adler Real Estate AG | 5.00 | Quarterly | Barclays Bank PLC | 12/20/27 | N/R | EUR | 15 | (469 ) | (2,400 ) | 1,931 |
Reference Obligation/Index | Financing Rate Received by the Fund | Payment Frequency | Counterparty | Termination Date | Credit Rating(a) | Notional Amount (000)(b) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |
Adler Real Estate AG | 5.00 % | Quarterly | Citibank N.A. | 12/20/27 | N/R | EUR | 4 | $ (136 ) | $ (714 ) | $ 578 |
Adler Real Estate AG | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/27 | N/R | EUR | 9 | (285 ) | (1,509 ) | 1,224 |
Adler Real Estate AG | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/27 | N/R | EUR | 7 | (207 ) | (1,074 ) | 867 |
Faurecia SE | 5.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BB | EUR | 27 | 2,991 | 3,563 | (572 ) |
Ziggo Bond Company B.V. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | B- | EUR | 15 | 780 | 1,172 | (392 ) |
CMBX.NA.7 | 3.00 | Monthly | Barclays Bank PLC | 01/17/47 | D | USD | 5 | (838,927 ) | (212,936 ) | (625,991 ) |
CMBX.NA.7 | 3.00 | Monthly | Barclays Bank PLC | 01/17/47 | D | USD | 2 | (419,464 ) | (106,345 ) | (313,119 ) |
CMBX.NA.7 | 3.00 | Monthly | Barclays Bank PLC | 01/17/47 | D | USD | 5 | (838,926 ) | (105,273 ) | (733,653 ) |
CMBX.NA.15 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 11/15/64 | N/R | USD | 2,972 | (514,342 ) | (548,146 ) | 33,804 |
$ (2,603,865 ) | $ (969,247 ) | $ (1,634,618 ) |
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation |
Centrally Cleared Swaps(a) | $ — | $ (674,379 ) | $ — | $ (224,245 ) |
OTC Swaps | 771,335 | (980,709 ) | 1,377,825 | (1,674,997 ) |
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Assets — Derivative Financial Instruments | |||||||
Futures contracts Unrealized appreciation on futures contracts(a) | $ — | $ — | $ — | $ — | $ 373,792 | $ — | $ 373,792 |
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 33,208 | — | — | 33,208 |
Swaps — OTC Unrealized appreciation on OTC swaps; Swap premiums paid | — | 2,149,160 | — | — | — | — | 2,149,160 |
$ — | $ 2,149,160 | $ — | $ 33,208 | $ 373,792 | $ — | $ 2,556,160 | |
Liabilities — Derivative Financial Instruments | |||||||
Futures contracts Unrealized depreciation on futures contracts(a) | $ — | $ — | $ — | $ — | $ 807,497 | $ — | $ 807,497 |
Forward foreign currency exchange contracts Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 449 | — | — | 449 |
Swaps — centrally cleared Unrealized depreciation on centrally cleared swaps(a) | — | 224,245 | — | — | — | — | 224,245 |
Swaps — OTC Unrealized depreciation on OTC swaps; Swap premiums received | — | 2,655,706 | — | — | — | — | 2,655,706 |
$ — | $ 2,879,951 | $ — | $ 449 | $ 807,497 | $ — | $ 3,687,897 |
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |
Net Realized Gain (Loss) from: | |||||||
Futures contracts | $ — | $ — | $ — | $ — | $ (2,464,139 ) | $ — | $ (2,464,139 ) |
Forward foreign currency exchange contracts | — | — | — | 353,218 | — | — | 353,218 |
Options purchased(a) | — | — | — | — | (632 ) | — | (632 ) |
Options written | — | — | — | — | 305 | — | 305 |
Swaps | — | (520,772 ) | — | — | — | — | (520,772 ) |
$ — | $ (520,772 ) | $ — | $ 353,218 | $ (2,464,466 ) | $ — | $ (2,632,020 ) | |
Net Change in Unrealized Appreciation (Depreciation) on: | |||||||
Futures contracts | $ — | $ — | $ — | $ — | $ 3,655,143 | $ — | $ 3,655,143 |
Forward foreign currency exchange contracts | — | — | — | 162,381 | — | — | 162,381 |
Swaps | — | 360,308 | — | — | — | — | 360,308 |
$ — | $ 360,308 | $ — | $ 162,381 | $ 3,655,143 | $ — | $ 4,177,832 |
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Futures contracts: | |
Average notional value of contracts — long | $253,565,945 |
Average notional value of contracts — short | $144,094,461 |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | $13,937,137 |
Average amounts sold — in USD | $70,210 |
Options: | |
Average value of option contracts purchased | $211 |
Average value of option contracts written | $23 |
Credit default swaps: | |
Average notional value — buy protection | $46,115,183 |
Average notional value — sell protection | $15,056,334 |
Assets | Liabilities | |
Derivative Financial Instruments | ||
Futures contracts | $ 1,094,563 | $ 39,407 |
Forward foreign currency exchange contracts | 33,208 | 449 |
Swaps — centrally cleared | 4,877 | — |
Swaps — OTC(a) | 2,149,160 | 2,655,706 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 3,281,808 | 2,695,562 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (1,099,440 ) | (39,407 ) |
Total derivative assets and liabilities subject to an MNA | $ 2,182,368 | $ 2,656,155 |
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities. |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received(b) | Net Amount of Derivative Assets(c)(d) |
Bank of America N.A. | $ 2,352 | $ (1,850 ) | $ — | $ — | $ 502 |
Counterparty | Derivative Assets Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Received | Cash Collateral Received(b) | Net Amount of Derivative Assets(c)(d) |
Barclays Bank PLC | $ 6,181 | $ (6,181 ) | $ — | $ — | $ — |
BNP Paribas SA | 18,164 | — | — | — | 18,164 |
Citibank N.A. | 3,221 | (714 ) | — | — | 2,507 |
Deutsche Bank AG | 2,098,700 | — | — | (2,080,000 ) | 18,700 |
JPMorgan Chase Bank N.A. | 3,501 | (1,509 ) | — | — | 1,992 |
Morgan Stanley & Co. International PLC | 49,214 | (49,214 ) | — | — | — |
Standard Chartered Bank | 1,035 | (449 ) | — | — | 586 |
$ 2,182,368 | $ (59,917 ) | $ — | $ (2,080,000 ) | $ 42,451 |
Counterparty | Derivative Liabilities Subject to an MNA by Counterparty | Derivatives Available for Offset(a) | Non-Cash Collateral Pledged | Cash Collateral Pledged(b) | Net Amount of Derivative Liabilities(c)(e) |
Bank of America N.A. | $ 1,850 | $ (1,850 ) | $ — | $ — | $ — |
Barclays Bank PLC | 2,101,143 | (6,181 ) | — | (1,970,000 ) | 124,962 |
Citibank N.A. | 714 | (714 ) | — | — | — |
JPMorgan Chase Bank N.A. | 1,509 | (1,509 ) | — | — | — |
Morgan Stanley & Co. International PLC | 550,490 | (49,214 ) | — | (501,276 ) | — |
Standard Chartered Bank | 449 | (449 ) | — | — | — |
$ 2,656,155 | $ (59,917 ) | $ — | $ (2,471,276 ) | $ 124,962 |
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
(c) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(d) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. |
Level 1 | Level 2 | Level 3 | Total | |
Assets | ||||
Investments | ||||
Long-Term Investments | ||||
Asset-Backed Securities | $ — | $ 109,215,811 | $ 1,478,424 | $ 110,694,235 |
Common Stocks | 2,575,003 | — | — | 2,575,003 |
Corporate Bonds | ||||
Advertising Agencies | — | 833,219 | — | 833,219 |
Aerospace & Defense | — | 19,992,503 | — | 19,992,503 |
Air Freight & Logistics | — | 912,496 | — | 912,496 |
Automobile Components | — | 8,321,493 | — | 8,321,493 |
Automobiles | — | 6,262,017 | — | 6,262,017 |
Banks | — | 8,471,937 | — | 8,471,937 |
Beverages | — | 1,991,433 | — | 1,991,433 |
Biotechnology | — | 898,622 | — | 898,622 |
Broadline Retail | — | 1,599,394 | — | 1,599,394 |
Building Materials | — | 9,227,230 | — | 9,227,230 |
Building Products | — | 3,290,895 | — | 3,290,895 |
Capital Markets | — | 5,852,147 | — | 5,852,147 |
Chemicals | — | 10,817,766 | — | 10,817,766 |
Commercial Services & Supplies | — | 28,498,688 | — | 28,498,688 |
Communications Equipment | — | 90,693 | — | 90,693 |
Level 1 | Level 2 | Level 3 | Total | |
Corporate Bonds (continued) | ||||
Construction & Engineering | $ — | $ 2,650,472 | $ — | $ 2,650,472 |
Construction Materials | — | 868,544 | — | 868,544 |
Consumer Finance | — | 3,506,667 | — | 3,506,667 |
Consumer Staples Distribution & Retail | — | 5,985,364 | — | 5,985,364 |
Containers & Packaging | — | 12,765,921 | — | 12,765,921 |
Diversified Consumer Services | — | 1,231,971 | — | 1,231,971 |
Diversified REITs | — | 4,362,964 | — | 4,362,964 |
Diversified Telecommunication Services | 106,777 | 26,871,735 | — | 26,978,512 |
Electric Utilities | — | 7,574,947 | — | 7,574,947 |
Electrical Equipment | — | 1,061,302 | — | 1,061,302 |
Electronic Equipment, Instruments & Components | — | 4,410,847 | — | 4,410,847 |
Energy Equipment & Services | — | 3,868,410 | — | 3,868,410 |
Entertainment | — | 2,125,697 | — | 2,125,697 |
Environmental, Maintenance & Security Service | — | 6,136,329 | — | 6,136,329 |
Financial Services | — | 10,973,988 | — | 10,973,988 |
Food Products | — | 5,388,850 | — | 5,388,850 |
Gas Utilities | — | 502,601 | — | 502,601 |
Ground Transportation | — | 6,382,750 | — | 6,382,750 |
Health Care Equipment & Supplies | — | 6,870,860 | — | 6,870,860 |
Health Care Providers & Services | — | 15,707,089 | — | 15,707,089 |
Health Care REITs | — | 1,450,323 | — | 1,450,323 |
Health Care Technology | — | 2,585,323 | — | 2,585,323 |
Hotel & Resort REITs | — | 4,014,626 | — | 4,014,626 |
Hotels, Restaurants & Leisure | — | 35,894,478 | — | 35,894,478 |
Household Durables | — | 2,286,746 | — | 2,286,746 |
Household Products | — | 572,581 | — | 572,581 |
Independent Power and Renewable Electricity Producers | — | 1,605,690 | — | 1,605,690 |
Industrial Conglomerates | — | 82,609 | — | 82,609 |
Insurance | — | 30,646,083 | — | 30,646,083 |
Interactive Media & Services | — | 456,482 | — | 456,482 |
IT Services | — | 4,779,160 | — | 4,779,160 |
Leisure Products | — | 529,690 | — | 529,690 |
Machinery | — | 7,699,856 | — | 7,699,856 |
Marine Transportation | — | 102,695 | — | 102,695 |
Media | — | 29,281,748 | — | 29,281,748 |
Metals & Mining | — | 17,753,186 | — | 17,753,186 |
Mortgage Real Estate Investment Trusts (REITs) | — | 228,423 | — | 228,423 |
Oil, Gas & Consumable Fuels | — | 61,135,886 | 1,246,149 | 62,382,035 |
Passenger Airlines | — | 3,926,074 | — | 3,926,074 |
Personal Care Products | — | 279,070 | — | 279,070 |
Pharmaceuticals | — | 8,126,504 | — | 8,126,504 |
Professional Services | — | 1,878,776 | — | 1,878,776 |
Real Estate Management & Development | — | 1,018,883 | — | 1,018,883 |
Retail REITs | — | 189,855 | — | 189,855 |
Semiconductors & Semiconductor Equipment | — | 3,665,947 | — | 3,665,947 |
Software | — | 24,177,643 | — | 24,177,643 |
Specialized REITs | — | 1,805,011 | — | 1,805,011 |
Specialty Retail | — | 1,970,387 | — | 1,970,387 |
Technology Hardware, Storage & Peripherals | — | 1,639,967 | — | 1,639,967 |
Textiles, Apparel & Luxury Goods | — | 262,174 | — | 262,174 |
Tobacco | — | 2,030,373 | — | 2,030,373 |
Trading Companies & Distributors | — | 436,806 | — | 436,806 |
Transportation Infrastructure | — | 537,909 | — | 537,909 |
Wireless Telecommunication Services | — | 92,017 | — | 92,017 |
Fixed Rate Loan Interests | — | 3,440,013 | 1,286,618 | 4,726,631 |
Floating Rate Loan Interests | — | 42,245,845 | 2,003,219 | 44,249,064 |
Foreign Agency Obligations | — | 7,170,509 | — | 7,170,509 |
Municipal Bonds | — | 3,318,971 | — | 3,318,971 |
Non-Agency Mortgage-Backed Securities | — | 102,245,801 | — | 102,245,801 |
Preferred Securities | ||||
Capital Trusts | — | 31,271,358 | — | 31,271,358 |
Preferred Stocks | 4,002,505 | — | — | 4,002,505 |
Level 1 | Level 2 | Level 3 | Total | |
U.S. Government Sponsored Agency Securities | $ — | $ 75,674,127 | $ — | $ 75,674,127 |
Warrants | — | — | — | — |
Short-Term Securities | ||||
Money Market Funds | 4,040,981 | — | — | 4,040,981 |
Unfunded Floating Rate Loan Interests(a) | — | 105 | — | 105 |
$10,725,266 | $864,033,362 | $6,014,410 | $880,773,038 | |
Derivative Financial Instruments(b) | ||||
Assets | ||||
Credit Contracts | $ — | $ 1,377,825 | $ — | $ 1,377,825 |
Foreign Currency Exchange Contracts | — | 33,208 | — | 33,208 |
Interest Rate Contracts | 373,792 | — | — | 373,792 |
Liabilities | ||||
Credit Contracts | — | (1,899,242 ) | — | (1,899,242 ) |
Foreign Currency Exchange Contracts | — | (449 ) | — | (449 ) |
Interest Rate Contracts | (807,497 ) | — | — | (807,497 ) |
$(433,705 ) | $(488,658 ) | $— | $(922,363 ) |
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Asset-Backed Securities | Corporate Bonds | Fixed Rate Loan Interests | Floating Rate Loan Interests | Warrants | Total | |
Assets | ||||||
Opening balance, as of December 31, 2023 | $ 2,044,502 | $ 1,277,438 | $ — | $ 473,081 | $ — (a) | $ 3,795,021 |
Transfers into Level 3 | — | — | — | 414,005 | — | 414,005 |
Transfers out of Level 3 | (401,500 ) | — | — | (368,990 ) | — | (770,490 ) |
Accrued discounts/premiums | — | — | 674 | 1,016 | — | 1,690 |
Net realized gain (loss) | — | — | — | 2,449 | — | 2,449 |
Net change in unrealized appreciation (depreciation)(b)(c) | 89,815 | (7,370 ) | (23,826 ) | 16,470 | — | 75,089 |
Purchases | — | — | 1,309,770 | 1,571,422 | — | 2,881,192 |
Sales | (254,393 ) | (23,919 ) | — | (106,234 ) | — | (384,546 ) |
Closing balance, as of June 30, 2024 | $ 1,478,424 | $ 1,246,149 | $ 1,286,618 | $ 2,003,219 | $ — (a) | $ 6,014,410 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | $ 89,815 | $ (7,370 ) | $ (23,826 ) | $ 18,717 | $ — (a) | $ 77,336 |
(a) | Rounds to less than $1. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
DSU | FRA | BKT | BLW | |
ASSETS | ||||
Investments, at value — unaffiliated(a) | $ 653,432,959 | $ 616,809,394 | $ 383,458,887 | $ 863,902,099 |
Investments, at value — affiliated(b) | 3,146,351 | 4,993,680 | 3,745,915 | 502,236 |
Cash pledged: | ||||
Collateral — reverse repurchase agreements | — | — | — | 195,000 |
Collateral — OTC derivatives | — | — | — | 460,000 |
Futures contracts | — | — | 762,000 | 1,100,470 |
Centrally cleared swaps | 263,000 | 605,000 | 1,000 | 524,000 |
Foreign currency, at value(c) | 245,616 | 1,306,365 | — | 229,851 |
Receivables: | ||||
Investments sold | 11,293,006 | 12,791,704 | 1,957,311 | 8,733,380 |
Reverse repurchase agreements | — | — | — | 529,514 |
Swaps | 2,366 | — | — | 1,774 |
Capital shares sold | 189,270 | — | — | — |
Dividends — unaffiliated | — | — | — | 43,366 |
Dividends — affiliated | 6,072 | 1,670 | 18,821 | 6,507 |
Interest — unaffiliated | 6,114,829 | 4,672,930 | 1,797,667 | 10,986,946 |
Variation margin on futures contracts | — | — | 310,313 | 289,031 |
Variation margin on centrally cleared swaps | — | — | 27 | 4,069 |
Swap premiums paid | 2,842 | — | — | 8,603 |
Unrealized appreciation on: | ||||
Forward foreign currency exchange contracts | 10,213 | 3,981 | — | 23,490 |
OTC swaps | 274,339 | 2,079 | — | 119,891 |
Unfunded floating rate loan interests | 1,087 | 1,212 | — | 707 |
Deferred offering costs | 233,728 | — | 147,435 | 106,024 |
Prepaid expenses | 10,114 | 7,975 | 4,930 | 8,100 |
Total assets | 675,225,792 | 641,195,990 | 392,204,306 | 887,775,058 |
LIABILITIES | ||||
Bank overdraft | 3,956,322 | 2,122,363 | 13,555 | 88,236 |
Cash received: | ||||
Collateral — reverse repurchase agreements | — | — | 619 | 66 |
Collateral — TBA commitments | — | — | 438,000 | — |
Borrowed bonds, at value(d) | — | — | 702,759 | — |
Reverse repurchase agreements, at value | — | — | 76,035,288 | 349,243,265 |
Payables: | ||||
Investments purchased | 27,991,675 | 30,749,129 | 57,345,040 | 38,253,140 |
Reverse repurchase agreements | — | — | — | 393,727 |
Accounting services fees | 32,934 | 31,797 | 27,441 | 35,776 |
Administration fees | — | — | 31,758 | — |
Bank borrowings | 135,000,000 | 146,000,000 | — | — |
Custodian fees | 14,054 | 9,494 | 9,062 | 24,590 |
Income dividend distributions | — | 152,644 | 54,150 | — |
Interest expense and fees | 741,024 | 786,588 | 1,198 | — |
Investment advisory fees | 288,668 | 370,598 | 137,343 | 361,292 |
Directors’ and Officer’s fees | 286,590 | — | 144,768 | 347,379 |
Other accrued expenses | 9,255 | 9,110 | 1,573 | 7,456 |
Principal payups | — | — | 138,307 | 56,418 |
Professional fees | 55,582 | 50,951 | 22,172 | 41,806 |
Transfer agent fees | 31,692 | 18,714 | 25,291 | 27,856 |
Variation margin on futures contracts | — | — | 122,196 | 56,202 |
Variation margin on centrally cleared swaps | 3,121 | 5,729 | — | — |
Swap premiums received | 105,342 | 2,666 | — | 438,443 |
DSU | FRA | BKT | BLW | |
Unrealized depreciation on: | ||||
Forward foreign currency exchange contracts | 2 | — | — | 5 |
OTC swaps | 499 | — | — | 5,689 |
Total liabilities | 168,516,760 | 180,309,783 | 135,250,520 | 389,381,346 |
Commitments and contingent liabilities | ||||
NET ASSETS | $ 506,709,032 | $ 460,886,207 | $ 256,953,786 | $ 498,393,712 |
NET ASSETS CONSIST OF | ||||
Paid-in capital(e)(f)(g) | $ 655,646,636 | $ 536,340,608 | $ 428,585,995 | $ 613,355,565 |
Accumulated loss | (148,937,604) | (75,454,401) | (171,632,209) | (114,961,853) |
NET ASSETS | $ 506,709,032 | $ 460,886,207 | $ 256,953,786 | $ 498,393,712 |
Net asset value | $ 10.74 | $ 13.08 | $ 12.06 | $ 13.95 |
(a) Investments, at cost—unaffiliated | $684,239,663 | $630,614,427 | $423,122,353 | $883,522,445 |
(b) Investments, at cost—affiliated | $3,146,351 | $4,877,122 | $3,745,915 | $502,236 |
(c) Foreign currency, at cost | $245,900 | $1,306,415 | $— | $246,785 |
(d) Proceeds received from borrowed bonds | $— | $— | $842,347 | $— |
(e) Shares outstanding | 47,184,330 | 35,232,197 | 21,307,672 | 35,735,063 |
(f) Shares authorized | 400 million | 200 million | 200 million | Unlimited |
(g) Par value | $0.10 | $0.10 | $0.010 | $0.001 |
BIT | |
ASSETS | |
Investments, at value — unaffiliated(a) | $ 876,731,952 |
Investments, at value — affiliated(b) | 4,040,981 |
Cash | 1,507,847 |
Cash pledged: | |
Collateral — OTC derivatives | 2,690,000 |
Futures contracts | 3,669,400 |
Centrally cleared swaps | 577,000 |
Foreign currency, at value(c) | 474,285 |
Receivables: | |
Investments sold | 8,916,911 |
Reverse repurchase agreements | 996,479 |
Capital shares sold | 216,758 |
Dividends — unaffiliated | 65,429 |
Dividends — affiliated | 25,287 |
Interest — unaffiliated | 11,994,084 |
Variation margin on futures contracts | 1,094,563 |
Variation margin on centrally cleared swaps | 4,877 |
Swap premiums paid | 771,335 |
Unrealized appreciation on: | |
Forward foreign currency exchange contracts | 33,208 |
OTC swaps | 1,377,825 |
Unfunded floating rate loan interests | 105 |
Deferred offering costs | 114,888 |
Prepaid expenses | 8,635 |
Total assets | 915,311,849 |
LIABILITIES | |
Cash received: | |
Collateral — reverse repurchase agreements | 31,000 |
Collateral — OTC derivatives | 2,080,000 |
Reverse repurchase agreements, at value | 306,804,004 |
Payables: | |
Investments purchased | 38,412,026 |
Reverse repurchase agreements | 5,641,268 |
Accounting services fees | 40,411 |
Custodian fees | 23,479 |
Investment advisory fees | 566,763 |
Directors’ and Officer’s fees | 150,416 |
Other accrued expenses | 26,143 |
Principal payups | 283,476 |
Professional fees | 150,167 |
Transfer agent fees | 32,585 |
Variation margin on futures contracts | 39,407 |
Swap premiums received | 980,709 |
BIT | |
Unrealized depreciation on: | |
Forward foreign currency exchange contracts | 449 |
OTC swaps | 1,674,997 |
Total liabilities | 356,937,300 |
Commitments and contingent liabilities | |
NET ASSETS | $ 558,374,549 |
NET ASSETS CONSIST OF | |
Paid-in capital(d)(e)(f) | $ 645,118,447 |
Accumulated loss | (86,743,898) |
NET ASSETS | $ 558,374,549 |
Net asset value | $ 14.44 |
(a) Investments, at cost—unaffiliated | $907,491,504 |
(b) Investments, at cost—affiliated | $4,040,981 |
(c) Foreign currency, at cost | $488,471 |
(d) Shares outstanding | 38,675,785 |
(e) Shares authorized | Unlimited |
(f) Par value | $0.001 |
DSU | FRA | BKT | BLW | |
INVESTMENT INCOME | ||||
Dividends — unaffiliated | $260,090 | $248,740 | $— | $355,982 |
Dividends — affiliated | 53,562 | 98,732 | 101,878 | 76,877 |
Interest — unaffiliated | 28,198,541 | 26,972,767 | 7,776,505 | 30,598,401 |
Other income — unaffiliated | 379,739 | 389,579 | — | 417,017 |
Foreign taxes withheld | — | — | — | (1,485 ) |
Total investment income | 28,891,932 | 27,709,818 | 7,878,383 | 31,446,792 |
EXPENSES | ||||
Investment advisory | 1,752,825 | 2,244,356 | 841,151 | 2,162,968 |
Professional | 67,903 | 90,671 | 29,330 | 73,593 |
Accounting services | 48,847 | 46,955 | 29,008 | 54,181 |
Transfer agent | 39,476 | 25,345 | 34,280 | 33,607 |
Directors and Officer | 37,948 | 14,916 | 19,472 | 41,964 |
Custodian | 20,298 | 13,832 | 10,700 | 35,261 |
Registration | 8,007 | 6,052 | 3,839 | 6,135 |
Printing and postage | 5,730 | 6,072 | 7,835 | 14,893 |
Administration | — | — | 194,112 | — |
Miscellaneous | 18,128 | 19,213 | 32,229 | 22,113 |
Total expenses excluding interest expense and fees | 1,999,162 | 2,467,412 | 1,201,956 | 2,444,715 |
Interest expense and fees — unaffiliated | 4,293,959 | 4,309,610 | 2,833,123 | 8,127,920 |
Total expenses | 6,293,121 | 6,777,022 | 4,035,079 | 10,572,635 |
Less: | ||||
Fees waived and/or reimbursed by the Manager | (2,535 ) | (13,753 ) | (1,505 ) | (1,141 ) |
Total expenses after fees waived and/or reimbursed | 6,290,586 | 6,763,269 | 4,033,574 | 10,571,494 |
Net investment income | 22,601,346 | 20,946,549 | 3,844,809 | 20,875,298 |
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated | (2,883,398 ) | (2,718,866 ) | (8,558,299 ) | (1,829,773 ) |
Investments — affiliated | 17,193 | 6,297 | — | — |
Forward foreign currency exchange contracts | 151,807 | 25,492 | — | 254,139 |
Foreign currency transactions | (3,926 ) | (6,690 ) | — | (33,682 ) |
Futures contracts | — | — | (347,351 ) | (1,275,696 ) |
Options written | 72 | — | — | 203 |
Swaps | (89,777 ) | 364,799 | 22 | (356,785 ) |
(2,808,029 ) | (2,328,968 ) | (8,905,628 ) | (3,241,594 ) | |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated | 734,956 | 1,129,111 | 529,461 | (805,980 ) |
Investments — affiliated | (22,050 ) | 18,026 | — | — |
Borrowed bonds | — | — | 38,757 | — |
Forward foreign currency exchange contracts | 58,505 | 18,086 | — | 110,482 |
Foreign currency translations | (2,869 ) | 1,275 | — | (31,882 ) |
Futures contracts | — | — | 1,393,600 | 290,585 |
Swaps | 208,730 | (54,689 ) | 83 | 218,398 |
Unfunded floating rate loan interests | 217 | 242 | — | 237 |
977,489 | 1,112,051 | 1,961,901 | (218,160 ) | |
Net realized and unrealized loss | (1,830,540 ) | (1,216,917 ) | (6,943,727 ) | (3,459,754 ) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $20,770,806 | $19,729,632 | $(3,098,918 ) | $17,415,544 |
BIT | |
INVESTMENT INCOME | |
Dividends — unaffiliated | $22,554 |
Dividends — affiliated | 201,120 |
Interest — unaffiliated | 29,691,714 |
Other income — unaffiliated | 319,674 |
Foreign taxes withheld | (1,484 ) |
Total investment income | 30,233,578 |
EXPENSES | |
Investment advisory | 3,380,753 |
Professional | 70,262 |
Accounting services | 59,164 |
Custodian | 34,992 |
Directors and Officer | 26,923 |
Transfer agent | 26,418 |
Printing and postage | 7,047 |
Registration | 6,487 |
Miscellaneous | 14,853 |
Total expenses excluding interest expense | 3,626,899 |
Interest expense — unaffiliated | 8,091,050 |
Total expenses | 11,717,949 |
Less: | |
Fees waived and/or reimbursed by the Manager | (2,951 ) |
Total expenses after fees waived and/or reimbursed | 11,714,998 |
Net investment income | 18,518,580 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) from: | |
Investments — unaffiliated | (4,538,776 ) |
Forward foreign currency exchange contracts | 353,218 |
Foreign currency transactions | (59,301 ) |
Futures contracts | (2,464,139 ) |
Options written | 305 |
Swaps | (520,772 ) |
(7,229,465 ) | |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated | 399,442 |
Forward foreign currency exchange contracts | 162,381 |
Foreign currency translations | (18,053 ) |
Futures contracts | 3,655,143 |
Swaps | 360,308 |
Unfunded floating rate loan interests | 5 |
4,559,226 | |
Net realized and unrealized loss | (2,670,239 ) |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $15,848,341 |
DSU | FRA | |||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | |
INCREASE (DECREASE) IN NET ASSETS | ||||
OPERATIONS | ||||
Net investment income | $22,601,346 | $46,112,132 | $20,946,549 | $43,607,565 |
Net realized loss | (2,808,029 ) | (8,827,090 ) | (2,328,968 ) | (3,879,473 ) |
Net change in unrealized appreciation (depreciation) | 977,489 | 32,322,510 | 1,112,051 | 22,981,359 |
Net increase in net assets resulting from operations | 20,770,806 | 69,607,552 | 19,729,632 | 62,709,451 |
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||
From net investment income | (27,660,423 )(b) | (45,919,775 ) | (26,178,932 )(b) | (44,066,728 ) |
Return of capital | — | (2,854,653 ) | — | (2,494,734 ) |
Decrease in net assets resulting from distributions to shareholders | (27,660,423 ) | (48,774,428 ) | (26,178,932 ) | (46,561,462 ) |
CAPITAL SHARE TRANSACTIONS | ||||
Net proceeds from the issuance of shares | 5,649,860 | — | — | — |
Reinvestment of distributions | 550,512 | — | — | — |
Net increase in net assets derived from capital share transactions | 6,200,372 | — | — | — |
NET ASSETS | ||||
Total increase (decrease) in net assets | (689,245 ) | 20,833,124 | (6,449,300 ) | 16,147,989 |
Beginning of period | 507,398,277 | 486,565,153 | 467,335,507 | 451,187,518 |
End of period | $506,709,032 | $507,398,277 | $460,886,207 | $467,335,507 |
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
BKT | BLW | |||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | |
INCREASE (DECREASE) IN NET ASSETS | ||||
OPERATIONS | ||||
Net investment income | $3,844,809 | $6,769,703 | $20,875,298 | $39,521,697 |
Net realized loss | (8,905,628 ) | (14,553,512 ) | (3,241,594 ) | (24,227,242 ) |
Net change in unrealized appreciation (depreciation) | 1,961,901 | 22,584,140 | (218,160 ) | 48,977,568 |
Net increase (decrease) in net assets resulting from operations | (3,098,918 ) | 14,800,331 | 17,415,544 | 64,272,023 |
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||
From net investment income | (11,276,019 )(b) | (8,218,384 ) | (23,124,478 )(b) | (37,992,549 ) |
Return of capital | — | (14,333,355 ) | — | (5,096,654 ) |
Decrease in net assets resulting from distributions to shareholders | (11,276,019 ) | (22,551,739 ) | (23,124,478 ) | (43,089,203 ) |
CAPITAL SHARE TRANSACTIONS | ||||
Reinvestment of distributions | — | 45,446 | 332,623 | — |
NET ASSETS | ||||
Total increase (decrease) in net assets | (14,374,937 ) | (7,705,962 ) | (5,376,311 ) | 21,182,820 |
Beginning of period | 271,328,723 | 279,034,685 | 503,770,023 | 482,587,203 |
End of period | $256,953,786 | $271,328,723 | $498,393,712 | $503,770,023 |
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
BIT | |||
Six Months Ended 06/30/24 (unaudited) | Period from 11/01/23 to 12/31/23 | Year Ended 10/31/23 | |
INCREASE (DECREASE) IN NET ASSETS | |||
OPERATIONS | |||
Net investment income | $18,518,580 | $6,010,909 | $34,411,747 |
Net realized gain (loss) | (7,229,465 ) | 335,709 | (26,840,864 ) |
Net change in unrealized appreciation | 4,559,226 | 39,901,429 | 15,163,019 |
Net increase in net assets resulting from operations | 15,848,341 | 46,248,047 | 22,733,902 |
DISTRIBUTIONS TO SHAREHOLDERS(a) | |||
From net investment income | (28,174,000 )(b) | (6,321,510 ) | (33,743,136 ) |
Return of capital | — | (3,029,601 ) | (22,251,175 ) |
Decrease in net assets resulting from distributions to shareholders | (28,174,000 ) | (9,351,111 ) | (55,994,311 ) |
CAPITAL SHARE TRANSACTIONS | |||
Net proceeds from the issuance of shares | 11,055,842 | — | — |
Reinvestment of distributions | 1,470,998 | 455,242 | 1,529,354 |
Net increase in net assets derived from capital share transactions | 12,526,840 | 455,242 | 1,529,354 |
NET ASSETS | |||
Total increase (decrease) in net assets | 201,181 | 37,352,178 | (31,731,055 ) |
Beginning of period | 558,173,368 | 520,821,190 | 552,552,245 |
End of period | $558,374,549 | $558,173,368 | $520,821,190 |
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
DSU | FRA | BKT | BLW | |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | ||||
Net increase (decrease) in net assets resulting from operations | $20,770,806 | $19,729,632 | $(3,098,918 ) | $17,415,544 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | ||||
Proceeds from sales of long-term investments and principal paydowns/payups | 162,635,936 | 133,059,175 | 456,947,361 | 373,334,529 |
Purchases of long-term investments | (149,814,782 ) | (130,683,140 ) | (421,175,083 ) | (445,449,972 ) |
Net proceeds from sales (purchases) of short-term securities | (2,818,525 ) | 14,054 | 3,779,970 | 4,929,710 |
Amortization of premium and accretion of discount on investments and other fees | (863,854 ) | (559,359 ) | 2,513,735 | (1,197,740 ) |
Paid-in-kind income | (6,893 ) | 30,596 | — | — |
Premiums paid on closing options written | (95 ) | — | — | (191 ) |
Premiums received from options written | 167 | — | — | — |
Net realized loss on investments and options written | 2,866,216 | 2,712,569 | 8,550,639 | 1,829,570 |
Net unrealized (appreciation) depreciation on investments, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests | (986,506 ) | (1,101,823 ) | (568,218 ) | 708,486 |
(Increase) Decrease in Assets | ||||
Receivables | ||||
Dividends — affiliated | (4,259 ) | (1,652 ) | 42,113 | 14,269 |
Dividends — unaffiliated | — | — | — | (263 ) |
From custodian | 780,236 | — | — | — |
Interest — unaffiliated | 99,014 | 782,057 | 2,009,844 | (258,212 ) |
Swaps | (2,366 ) | — | — | (1,774 ) |
Variation margin on futures contracts | — | — | (269,907 ) | (163,914 ) |
Variation margin on centrally cleared swaps | — | — | (27 ) | 3,581 |
Swap premiums paid | (355 ) | — | — | (2,405 ) |
Prepaid expenses | (5,354 ) | (3,550 ) | (3,251 ) | (3,564 ) |
Deferred offering costs. | 4,323 | 21,186 | (6,526 ) | 4,226 |
Increase (Decrease) in Liabilities | ||||
Cash received | ||||
Collateral — reverse repurchase agreements | — | — | (3,047,381 ) | (3,615,468 ) |
Collateral — TBA commitments | — | — | 388,000 | — |
Payables | ||||
Accounting services fees | (808 ) | (761 ) | 4,154 | (1,144 ) |
Administration fees | — | — | (2,247 ) | — |
Custodian fees | (57 ) | 504 | (1,686 ) | 1,182 |
Interest expense and fees | (85,026 ) | (15,720 ) | (112,599 ) | 577,559 |
Investment advisory fees | (14,621 ) | (15,229 ) | (9,113 ) | 3,412 |
Directors’ and Officer’s fees | (43,866 ) | (7,831 ) | (35,380 ) | (59,444 ) |
Other accrued expenses | (29,648 ) | (5,339 ) | (13,204 ) | (35,225 ) |
Professional fees | (25,374 ) | (34,401 ) | (44,590 ) | (40,011 ) |
Transfer agent fees | 14,470 | 7,411 | 9,552 | 12,130 |
Variation margin on futures contracts | — | — | 100,083 | 47,470 |
Variation margin on centrally cleared swaps | 1,980 | 2,902 | (16 ) | — |
Swap premiums received | 75,983 | (26,048 ) | — | (38,558 ) |
Net cash provided by (used for) operating activities | 32,546,742 | 23,905,233 | 45,957,305 | (51,986,217 ) |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | ||||
Cash dividends paid to shareholders | (27,109,911 ) | (26,026,288 ) | (11,221,869 ) | (22,791,855 ) |
Payments for offering costs | — | — | — | (6,226 ) |
Payments for bank borrowings | (100,000,000 ) | (100,000,000 ) | — | — |
Proceeds from bank borrowings | 86,000,000 | 102,000,000 | — | — |
Increase in bank overdraft | 3,324,479 | 1,368,506 | 13,555 | 88,236 |
Proceeds from issuance of capital shares | 5,460,590 | — | — | — |
Net borrowing of reverse repurchase agreements | — | — | (34,870,991 ) | 72,294,519 |
Net cash provided by (used for) for financing activities | (32,324,842 ) | (22,657,782 ) | (46,079,305 ) | 49,584,674 |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | ||||
Cash impact from foreign exchange fluctuations | (284 ) | (56 ) | — | (27,445 ) |
DSU | FRA | BKT | BLW | |
CASH AND FOREIGN CURRENCY | ||||
Net increase (decrease) in restricted and unrestricted cash and foreign currency | $221,616 | $1,247,395 | $(122,000 ) | $(2,428,988 ) |
Restricted and unrestricted cash and foreign currency at beginning of period | 287,000 | 663,970 | 885,000 | 4,938,309 |
Restricted and unrestricted cash and foreign currency at end of period | $508,616 | $1,911,365 | $763,000 | $2,509,321 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | ||||
Cash paid during the period for interest expense | $4,378,985 | $4,325,330 | $2,945,722 | $7,550,361 |
NON-CASH FINANCING ACTIVITIES | ||||
Reinvestment of distributions | $550,512 | $— | $— | $332,623 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES | ||||
Cash pledged | ||||
Collateral — reverse repurchase agreements | $— | $— | $— | $195,000 |
Collateral — OTC derivatives | — | — | — | 460,000 |
Futures contracts | — | — | 762,000 | 1,100,470 |
Centrally cleared swaps | 263,000 | 605,000 | 1,000 | 524,000 |
Foreign currency at value | 245,616 | 1,306,365 | — | 229,851 |
$508,616 | $1,911,365 | $763,000 | $2,509,321 |
BIT | |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | |
Net increase in net assets resulting from operations | $15,848,341 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities: | |
Proceeds from sales of long-term investments and principal paydowns/payups | 640,435,559 |
Purchases of long-term investments | (667,379,499 ) |
Net proceeds from sales of short-term securities | 6,402,255 |
Amortization of premium and accretion of discount on investments and other fees | (2,534,671 ) |
Premiums paid on closing options written | (286 ) |
Net realized loss on investments and options written | 4,540,502 |
Net unrealized appreciation on investments, swaps, foreign currency translations and unfunded floating rate loan interests | (707,157 ) |
(Increase) Decrease in Assets | |
Receivables | |
Dividends — affiliated | 17,145 |
Dividends — unaffiliated | 4,396 |
Interest — unaffiliated | (737,790 ) |
Variation margin on futures contracts | (771,984 ) |
Variation margin on centrally cleared swaps | 4,274 |
Swap premiums paid | 201,049 |
Prepaid expenses | (3,700 ) |
Deferred offering costs. | 62,846 |
Increase (Decrease) in Liabilities | |
Cash received | |
Collateral — reverse repurchase agreements | (3,326,468 ) |
Collateral — OTC derivatives | (880,000 ) |
Collateral — TBA commitments | (558,000 ) |
Payables | |
Accounting services fees | 374 |
Custodian fees | 328 |
Interest expense | 424,646 |
Investment advisory fees | (4,817 ) |
Directors’ and Officer’s fees | (16,513 ) |
Other accrued expenses | (71,390 ) |
Professional fees | 7,285 |
Transfer agent fees | (9,108 ) |
Variation margin on futures contracts | 34,300 |
Swap premiums received | (165,233 ) |
Net cash used for operating activities | (9,183,316 ) |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | |
Cash dividends paid to shareholders | (26,703,002 ) |
Payments for offering costs | (63,076 ) |
Proceeds from issuance of capital shares | 10,839,084 |
Net borrowing of reverse repurchase agreements | 26,447,721 |
Net cash provided by financing activities | 10,520,727 |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | |
Cash impact from foreign exchange fluctuations | (12,960 ) |
CASH AND FOREIGN CURRENCY | |
Net increase in restricted and unrestricted cash and foreign currency | 1,324,451 |
Restricted and unrestricted cash and foreign currency at beginning of period | 7,594,081 |
Restricted and unrestricted cash and foreign currency at end of period | $8,918,532 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | |
Cash paid during the period for interest expense | $7,666,404 |
NON-CASH FINANCING ACTIVITIES | |
Reinvestment of distributions | $1,470,998 |
BIT | |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENT OF ASSETS AND LIABILITIES | |
Cash | $1,507,847 |
Cash pledged | |
Collateral — OTC derivatives | 2,690,000 |
Futures contracts | 3,669,400 |
Centrally cleared swaps | 577,000 |
Foreign currency at value | 474,285 |
$8,918,532 |
DSU | |||||||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Period from 03/01/19 to 12/31/19 | Year Ended 02/28/19 | |
Net asset value, beginning of period | $10.89 | $10.44 | $11.56 | $11.55 | $12.25 | $12.16 | $12.62 |
Net investment income(a) | 0.48 | 0.99 | 0.72 | 0.61 | 0.63 | 0.64 | 0.79 |
Net realized and unrealized gain (loss) | (0.04 ) | 0.51 | (1.14 ) | 0.13 | (0.50 ) | 0.21 | (0.43 ) |
Net increase (decrease) from investment operations | 0.44 | 1.50 | (0.42 ) | 0.74 | 0.13 | 0.85 | 0.36 |
Distributions(b) | |||||||
From net investment income | (0.59 )(c) | (0.99 ) | (0.68 ) | (0.62 ) | (0.61 ) | (0.73 ) | (0.82 ) |
Return of capital | — | (0.06 ) | (0.02 ) | (0.11 ) | (0.22 ) | (0.03 ) | — |
Total distributions | (0.59 ) | (1.05 ) | (0.70 ) | (0.73 ) | (0.83 ) | (0.76 ) | (0.82 ) |
Net asset value, end of period | $10.74 | $10.89 | $10.44 | $11.56 | $11.55 | $12.25 | $12.16 |
Market price, end of period | $10.84 | $10.79 | $9.20 | $11.70 | $10.45 | $11.20 | $10.78 |
Total Return(d) | |||||||
Based on net asset value | 4.16 %(e) | 15.74 % | (2.97 )% | 6.67 % | 2.57 % | 8.03 %(e) | 3.86 % |
Based on market price | 6.10 %(e) | 30.14 % | (15.51 )% | 19.33 % | 1.50 % | 11.42 %(e) | 1.30 % |
Ratios to Average Net Assets(f) | |||||||
Total expenses | 2.51 %(g) | 2.47 % | 1.90 % | 1.34 % | 1.48 % | 2.21 %(g)(h) | 2.23 % |
Total expenses after fees waived and/or reimbursed | 2.50 %(g) | 2.47 % | 1.90 % | 1.34 % | 1.47 % | 2.21 %(g)(h) | 2.23 % |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 0.80 %(g) | 0.79 % | 0.84 % | 0.92 % | 0.91 % | 0.92 %(g) | 0.96 % |
Net investment income | 9.00 %(g) | 9.25 % | 6.65 % | 5.21 % | 5.65 % | 6.25 %(g) | 6.40 % |
Supplemental Data | |||||||
Net assets, end of period (000) | $506,709 | $507,398 | $486,565 | $538,681 | $537,959 | $605,240 | $641,220 |
Borrowings outstanding, end of period (000) | $135,000 | $149,000 | $164,000 | $248,000 | $229,000 | $262,000 | $278,000 |
Asset coverage, end of period per $1,000 of bank borrowings(i) | $4,753 | $4,405 | $3,967 | $3,172 | $3,349 | $3,310 | $3,308 |
Portfolio turnover rate | 26 % | 30 % | 18 % | 47 % | 67 % | 53 % | 62 % |
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) | Not annualized. |
(f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) | Annualized. |
(h) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
(i) | Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. |
FRA | |||||||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended 08/31/19 | |
Net asset value, beginning of period | $13.26 | $12.81 | $13.85 | $13.81 | $14.55 | $14.49 | $14.92 |
Net investment income(a) | 0.59 | 1.24 | 0.84 | 0.67 | 0.69 | 0.25 | 0.84 |
Net realized and unrealized gain (loss) | (0.03 ) | 0.53 | (1.11 ) | 0.17 | (0.51 ) | 0.19 | (0.40 ) |
Net increase (decrease) from investment operations | 0.56 | 1.77 | (0.27 ) | 0.84 | 0.18 | 0.44 | 0.44 |
Distributions(b) | |||||||
From net investment income | (0.74 )(c) | (1.25 ) | (0.77 ) | (0.67 ) | (0.70 ) | (0.38 ) | (0.87 ) |
Return of capital | — | (0.07 ) | — | (0.13 ) | (0.22 ) | — | — |
Total distributions | (0.74 ) | (1.32 ) | (0.77 ) | (0.80 ) | (0.92 ) | (0.38 ) | (0.87 ) |
Net asset value, end of period | $13.08 | $13.26 | $12.81 | $13.85 | $13.81 | $14.55 | $14.49 |
Market price, end of period | $12.94 | $12.66 | $11.26 | $13.43 | $12.11 | $13.44 | $12.46 |
Total Return(d) | |||||||
Based on net asset value | 4.44 %(e) | 15.35 % | (1.34 )% | 6.48 % | 2.76 % | 3.41 %(e) | 3.94 % |
Based on market price | 8.22 %(e) | 25.29 % | (10.57 )% | 17.74 % | (2.45 )% | 11.08 %(e) | (3.37 )% |
Ratios to Average Net Assets(f) | |||||||
Total expenses | 2.93 %(g) | 2.88 % | 2.17 % | 1.55 % | 1.69 % | 2.20 %(g)(h) | 2.45 % |
Total expenses after fees waived and/or reimbursed | 2.93 %(g) | 2.87 % | 2.17 % | 1.54 % | 1.67 % | 2.20 %(g)(h) | 2.45 % |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees | 1.06 %(g) | 1.04 % | 1.15 % | 1.14 % | 1.13 % | 1.19 %(g) | 1.16 % |
Net investment income | 9.07 %(g) | 9.45 % | 6.36 % | 4.76 % | 5.15 % | 5.26 %(g) | 5.74 % |
Supplemental Data | |||||||
Net assets, end of period (000) | $460,886 | $467,336 | $451,188 | $487,833 | $488,051 | $522,545 | $526,447 |
Borrowings outstanding, end of period (000) | $146,000 | $144,000 | $147,000 | $223,000 | $208,000 | $214,000 | $204,000 |
Asset coverage, end of period per $1,000 of bank borrowings(i) | $4,157 | $4,245 | $4,069 | $3,188 | $3,346 | $3,442 | $3,582 |
Portfolio turnover rate | 23 % | 25 % | 14 % | 49 % | 65 % | 16 % | 53 % |
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) | Not annualized. |
(f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) | Annualized. |
(h) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
(i) | Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000. |
BKT | ||||||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Year Ended 12/31/22(a) | Year Ended 12/31/21(a) | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | |
Net asset value, beginning of period | $12.73 | $13.10 | $16.94 | $18.54 | $18.89 | $18.75 |
Net investment income(b) | 0.18 | 0.32 | 0.43 | 0.70 | 0.86 | 0.75 |
Net realized and unrealized gain (loss) | (0.32 ) | 0.37 | (3.24 ) | (1.06 ) | 0.02 | 0.63 |
Net increase (decrease) from investment operations | (0.14 ) | 0.69 | (2.81 ) | (0.36 ) | 0.88 | 1.38 |
Distributions(c) | ||||||
From net investment income | (0.53 )(d) | (0.39 ) | (0.49 ) | (0.89 ) | (1.01 ) | (0.89 ) |
Return of capital | — | (0.67 ) | (0.54 ) | (0.35 ) | (0.22 ) | (0.35 ) |
Total distributions | (0.53 ) | (1.06 ) | (1.03 ) | (1.24 ) | (1.23 ) | (1.24 ) |
Net asset value, end of period | $12.06 | $12.73 | $13.10 | $16.94 | $18.54 | $18.89 |
Market price, end of period | $11.93 | $12.18 | $12.34 | $16.95 | $18.21 | $18.15 |
Total Return(e) | ||||||
Based on net asset value | (0.95 )%(f) | 6.03 % | (16.67 )% | (2.01 )% | 4.92 % | 7.91 % |
Based on market price | 2.41 %(f) | 7.69 % | (21.50 )% | (0.23 )% | 7.31 % | 14.83 % |
Ratios to Average Net Assets(g) | ||||||
Total expenses | 3.12 %(h) | 3.23 % | 1.65 % | 0.94 % | 1.18 % | 2.06 % |
Total expenses after fees waived and/or reimbursed | 3.12 %(h) | 3.23 % | 1.64 % | 0.94 % | 1.18 % | 2.06 % |
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.93 %(h) | 0.92 % | 0.95 % | 0.90 % | 0.89 % | 0.94 % |
Net investment income | 2.97 %(h) | 2.50 % | 2.94 % | 3.91 % | 4.55 % | 3.95 % |
Supplemental Data | ||||||
Net assets, end of period (000) | $256,954 | $271,329 | $279,035 | $360,752 | $394,195 | $401,715 |
Borrowings outstanding, end of period (000) | $76,035 | $111,020 | $115,764 | $115,184 | $156,936 | $175,655 |
Portfolio turnover rate(i) | 110 % | 221 % | 237 % | 248 % | 69 % | 255 % |
(a) | Per share operating performance amounts have been adjusted to reflect a 1-for-3 reverse stock split prior to the open of trading on the NYSE on October 18, 2022 for common stockholders of record as of the close of business on October 17, 2022. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Not annualized. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Year Ended 12/31/19 | |
Portfolio turnover rate (excluding MDRs) | 51 % | 106 % | 122 % | 119 % | 31 % | 136 % |
BLW | |||||||
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended 08/31/19 | |
Net asset value, beginning of period | $14.11 | $13.51 | $16.44 | $16.93 | $17.05 | $17.03 | $16.71 |
Net investment income(a) | 0.58 | 1.11 | 0.97 | 1.00 | 0.98 | 0.31 | 0.94 |
Net realized and unrealized gain (loss) | (0.09 ) | 0.70 | (2.82 ) | (0.31 ) | 0.08 | 0.18 | 0.33 |
Net increase (decrease) from investment operations | 0.49 | 1.81 | (1.85 ) | 0.69 | 1.06 | 0.49 | 1.27 |
Distributions(b) | |||||||
From net investment income | (0.65 )(c) | (1.07 ) | (0.92 ) | (1.02 ) | (1.03 ) | (0.47 ) | (0.95 ) |
Return of capital | — | (0.14 ) | (0.16 ) | (0.16 ) | (0.15 ) | — | — |
Total distributions | (0.65 ) | (1.21 ) | (1.08 ) | (1.18 ) | (1.18 ) | (0.47 ) | (0.95 ) |
Net asset value, end of period | $13.95 | $14.11 | $13.51 | $16.44 | $16.93 | $17.05 | $17.03 |
Market price, end of period | $13.96 | $13.98 | $13.07 | $16.85 | $15.92 | $16.39 | $15.44 |
Total Return(d) | |||||||
Based on net asset value | 3.57 %(e) | 14.41 % | (10.96 )% | 4.18 %(f) | 7.58 % | 3.11 %(e) | 8.77 % |
Based on market price | 4.61 %(e) | 17.17 % | (15.96 )% | 13.55 % | 5.24 % | 9.32 %(e) | 9.41 % |
Ratios to Average Net Assets(g) | |||||||
Total expenses | 4.26 %(h) | 3.64 % | 2.04 % | 1.18 % | 1.39 % | 1.64 %(h)(i) | 1.81 % |
Total expenses after fees waived and/or reimbursed | 4.26 %(h) | 3.64 % | 2.04 % | 1.18 % | 1.39 % | 1.64 %(h)(i) | 1.81 % |
Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.98 %(h) | 0.94 % | 0.96 % | 0.92 % | 0.90 % | 0.89 %(h) | 0.84 % |
Net investment income | 8.40 %(h) | 8.10 % | 6.70 % | 5.90 % | 6.07 % | 5.32 %(h) | 5.69 % |
Supplemental Data | |||||||
Net assets, end of period (000) | $498,394 | $503,770 | $482,587 | $587,146 | $603,933 | $611,068 | $610,251 |
Borrowings outstanding, end of period (000) | $349,243 | $276,235 | $275,639 | $312,356 | $275,105 | $213,399 | $202,539 |
Portfolio turnover rate(j) | 46 % | 106 % | 77 % | 66 % | 65 % | 14 % | 50 % |
(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) | Not annualized. |
(f) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) | Annualized. |
(i) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%. |
(j) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/24 (unaudited) | Year Ended 12/31/23 | Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended 08/31/19 | |
Portfolio turnover rate (excluding MDRs) | 35 % | 70 % | 58 % | 52 % | 58 % | 14 % | 50 % |
BIT | |||||||
Six Months Ended 06/30/24 (unaudited) | Period from 11/01/23 to 12/31/23 | Year Ended 10/31/23 | Year Ended 10/31/22 | Year Ended 10/31/21 | Year Ended 10/31/20(a) | Year Ended 10/31/19(a) | |
Net asset value, beginning of period | $14.76 | $13.78 | $14.66 | $17.98 | $17.66 | $17.28 | $18.79 |
Net investment income(b) | 0.49 | 0.16 | 0.91 | 1.03 | 1.13 | 1.08 | 1.18 |
Net realized and unrealized gain (loss) | (0.07 ) | 1.07 | (0.31 ) | (2.87 ) | 0.67 | 0.78 | (1.28 ) |
Net increase (decrease) from investment operations | 0.42 | 1.23 | 0.60 | (1.84 ) | 1.80 | 1.86 | (0.10 ) |
Distributions(c) | |||||||
From net investment income | (0.74 )(d) | (0.17 ) | (0.89 ) | (1.07 ) | (1.11 ) | (0.99 ) | (1.14 ) |
Return of capital | — | (0.08 ) | (0.59 ) | (0.41 ) | (0.37 ) | (0.49 ) | (0.27 ) |
Total distributions | (0.74 ) | (0.25 ) | (1.48 ) | (1.48 ) | (1.48 ) | (1.48 ) | (1.41 ) |
Net asset value, end of period | $14.44 | $14.76 | $13.78 | $14.66 | $17.98 | $17.66 | $17.28 (e) |
Market price, end of period | $14.58 | $15.00 | $14.09 | $14.43 | $18.90 | $15.65 | $17.15 |
Total Return(f) | |||||||
Based on net asset value | 2.89 %(g) | 8.95 %(g) | 4.08 % | (10.47 )%(h) | 10.55 % | 12.68 %(i) | 0.00 %(e)(j) |
Based on market price | 2.23 %(g) | 8.29 %(g) | 8.12 % | (16.16 )% | 31.13 % | 0.61 % | 14.76 % |
Ratios to Average Net Assets(k) | |||||||
Total expenses | 4.27 %(l) | 4.29 %(l)(m) | 3.92 % | 1.99 % | 1.70 % | 2.36 % | 2.89 % |
Total expenses after fees waived and/or reimbursed | 4.27 %(l) | 4.29 %(l)(m) | 3.92 % | 1.99 % | 1.70 % | 2.19 %(n) | 2.89 % |
Total expenses after fees waived and/or reimbursed and excluding interest expense | 1.32 %(l) | 1.34 %(l)(m) | 1.32 % | 1.34 % | 1.42 % | 1.39 % | 1.35 % |
Net investment income | 6.75 %(l) | 6.64 %(l) | 6.26 % | 6.39 % | 6.14 % | 6.51 % | 6.43 % |
Supplemental Data | |||||||
Net assets, end of period (000) | $558,375 | $558,173 | $520,821 | $552,552 | $676,391 | $662,853 | $648,617 |
Borrowings outstanding, end of period (000) | $306,804 | $284,576 | $285,633 | $288,231 | $386,820 | $353,128 | $373,345 |
Portfolio turnover rate(o) | 74 % | 28 % | 151 % | 112 % | 75 % | 101 % | 32 % |
(a) | Consolidated Financial Highlights. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) | For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the NAV per share and total return performance based on NAVpresented herein are different than the information previously published on October 31, 2019. |
(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(g) | Not annualized. |
(h) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(i) | Includes payments received from an affiliate and unaffiliated third parties, which impacted the Fund’s total return. Excluding the payments, the Fund’s total return would have been 1.38%. |
(j) | Amount is greater than (0.005)%. |
(k) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(l) | Annualized. |
(m) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, total expenses, total expenses after fees waived and/or reimbursed, total expenses after fees waived and/or reimbursed and excluding interest expense would have been 4.35%, 4.35% and 1.40%, respectively. |
(n) | Includes reimbursement of professional fees by unaffiliated third parties, which impacted the Fund’s expense ratio. Excluding the payment, the Fund’s total expense ratio would have been 2.36%. |
(o) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/24 (unaudited) | Period from 11/01/23 to 12/31/23 | Year Ended 10/31/23 | Year Ended 10/31/22 | Year Ended 10/31/21 | Year Ended 10/31/20(a) | Year Ended 10/31/19(a) | |
Portfolio turnover rate (excluding MDRs) | 51 % | 17 % | 91 % | 77 % | 58 % | 72 % | 32 % |
Fund Name | Herein Referred To As | Organized | Diversification Classification |
BlackRock Debt Strategies Fund, Inc. | DSU | Maryland | Diversified |
BlackRock Floating Rate Income Strategies Fund, Inc. | FRA | Maryland | Diversified |
BlackRock Income Trust, Inc. | BKT | Maryland | Diversified |
BlackRock Limited Duration Income Trust | BLW | Delaware | Diversified |
BlackRock Multi-Sector Income Trust | BIT | Delaware | Diversified |
Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services | ||
Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
(ii) | recapitalizations and other transactions across the capital structure; and | |
(iii) | market multiples of comparable issuers. | |
Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
(ii) | quoted prices for similar investments or assets in active markets; and | |
(iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |
Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
(ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; | |
(iii) | relevant news and other public sources; and | |
(iv) | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Fund Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) |
DSU | Action Environmental Group, Inc. | $86,990 | $ 86,337 | $87,425 | $ 1,087 |
$ 1,087 | |||||
FRA | Action Environmental Group, Inc. | $96,989 | $ 96,261 | $97,474 | $ 1,212 |
$ 1,212 | |||||
BLW | Action Environmental Group, Inc. | $46,995 | $ 46,642 | $47,229 | 587 |
Epicor Software Corp. | 33,249 | 33,249 | 33,369 | 120 | |
$ 707 | |||||
BIT | Groundworks, LLC | $25,981 | $ 25,852 | $25,957 | $ 105 |
$ 105 |
Fund Name | Average Amount Outstanding | Weighted Average Interest Rate |
BKT | $ 106,850,840 | 5.30 % |
BLW | 292,732,528 | 5.59 |
BIT | 299,430,042 | 5.43 |
BKT | ||||||||||
Counterparty | Borrowed Bonds Agreements(a) | Reverse Repurchase Agreements | Borrowed Bonds at Value including Accrued Interest(b) | Net Amount before Collateral | Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest(c) | Cash Collateral Pledged | Net Collateral (Received)/ Pledged(c) | Net Exposure Due (to)/ from Counterparty(d) |
BNP Paribas SA | $ 714,114 | $ (72,840,275 ) | $ (703,957 ) | $ (72,830,118 ) | $ — | $ — | $ 72,840,275 | $ — | $ 72,840,275 | $ 10,157 |
Cantor Fitzgerald & Co. | — | (3,195,013 ) | — | (3,195,013 ) | — | — | 3,195,013 | — | 3,195,013 | — |
$ 714,114 | $ (76,035,288 ) | $ (703,957 ) | $ (76,025,131 ) | $ — | $ — | $ 76,035,288 | $ — | $ 76,035,288 | $ 10,157 |
(a) | Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities. |
(b) | Includes accrued interest on borrowed bonds in the amount of $1,198 which is included in interest expense payable in the Statements of Assets and Liabilities. |
(c) | Net collateral, including accrued interest, if any, with a value of $80,138,911 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, to the individual counterparty is not shown for financial reporting purposes. |
(d) | Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
Fund Name/Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest(a) | Cash Collateral Pledged/Received(a) | Net Amount |
BLW | ||||
Barclays Bank PLC | $ (8,681,151 ) | $ 8,681,151 | $ — | $ — |
Barclays Capital, Inc. | (17,905,421 ) | 17,905,421 | — | — |
BNP Paribas SA | (42,050,268 ) | 42,050,268 | — | — |
BofA Securities, Inc. | (71,480,762 ) | 71,480,762 | — | — |
Credit Agricole Corporate and Investment Bank | (3,930,244 ) | 3,930,244 | — | — |
Goldman Sachs & Co. LLC | (8,360,964 ) | 8,360,964 | — | — |
HSBC Securities (USA), Inc. | (2,904,670 ) | 2,904,670 | — | — |
J.P. Morgan Securities LLC | (8,589,853 ) | 8,589,853 | — | — |
Merrill Lynch International | (2,546,508 ) | 2,546,508 | — | — |
Nomura Securities International, Inc. | (92,680,734 ) | 92,680,734 | — | — |
RBC Capital Markets, LLC | (15,339,626 ) | 15,339,626 | — | — |
TD Securities (USA) LLC | (74,773,064 ) | 74,773,064 | — | — |
$ (349,243,265 ) | $ 349,243,265 | $ — | $ — |
(a) | Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities. |
Fund Name/Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest(a) | Cash Collateral Pledged/Received(a) | Net Amount(b) |
BIT | ||||
Barclays Bank PLC | $ (7,730,335 ) | $ 7,730,335 | $ — | $ — |
Barclays Capital, Inc. | (9,733,470 ) | 9,733,470 | — | — |
BNP Paribas SA | (43,718,605 ) | 43,718,605 | — | — |
BofA Securities, Inc. | (95,813,727 ) | 95,813,727 | — | — |
Fund Name/Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest(a) | Cash Collateral Pledged/Received(a) | Net Amount(b) |
Cantor Fitzgerald & Co. | $ (29,679,216 ) | $ 29,679,216 | $ — | $ — |
Credit Agricole Corporate and Investment Bank | (1,273,521 ) | 1,273,521 | — | — |
Daiwa Capital Markets America, Inc | (5,536,043 ) | 5,536,043 | — | — |
Goldman Sachs & Co. LLC | (14,895,418 ) | 14,895,418 | — | — |
HSBC Securities (USA), Inc. | (3,532,890 ) | 3,532,890 | — | — |
J.P. Morgan Securities LLC | (11,509,806 ) | 11,509,806 | — | — |
Merrill Lynch International | (3,999,680 ) | 3,999,680 | — | — |
Nomura Securities International, Inc. | (24,523,913 ) | 24,523,913 | — | — |
RBC Capital Markets, LLC | (13,290,222 ) | 13,290,222 | — | — |
Societe Generale | (11,822,975 ) | 11,079,990 | — | (742,985 ) |
TD Securities (USA) LLC | (29,345,146 ) | 29,345,146 | — | — |
U.S. Bancorp Investments, Inc. | (399,037 ) | 391,297 | — | (7,740 ) |
$ (306,804,004 ) | $ 306,053,279 | $ — | $ (750,725 ) |
(a) | Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund’s Statement of Assets and Liabilities. |
(b) | Net amount represents the net amount payable due to the counterparty in the event of default. |
DSU | FRA | |
Investment advisory fees | 0.55 % | 0.75 % |
Fund Name | Fees Waived and/or Reimbursed by the Manager |
DSU | $ 519 |
FRA | 129 |
BKT | 1,505 |
BLW | 1,141 |
BIT | 2,951 |
Fund Name | Fees Waived and/or Reimbursed by the Manager |
DSU | $ 2,016 |
FRA | 13,624 |
U.S. Government Securities | Other Securities | |||
Fund Name | Purchases | Sales | Purchases | Sales |
DSU | $ — | $ — | $ 168,918,882 | $ 170,740,367 |
FRA | — | — | 151,912,304 | 141,859,065 |
BKT | 436,614,775 | 458,230,558 | — | 674,114 |
BLW | 243,992,442 | 181,097,575 | 211,104,074 | 193,827,122 |
BIT | 455,637,819 | 470,010,232 | 207,934,016 | 170,953,279 |
Fund Name | Purchases | Sales |
BKT | $ 233,037,936 | $ 232,813,813 |
BLW | 91,447,551 | 91,421,096 |
BIT | 193,108,604 | 193,041,191 |
Fund Name | Non-Expiring Capital Loss Carryforwards | Qualified Late-Year Ordinary Losses |
DSU | $ (109,774,003 ) | $ (239,307 ) |
FRA | (54,285,641 ) | (95,028 ) |
BKT | (117,001,909 ) | — |
BLW | (88,266,996 ) | (205,725 ) |
BIT | (55,296,907 ) | — |
Fund Name | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
DSU | $ 687,782,692 | $ 5,947,433 | $ (36,570,865 ) | $ (30,623,432 ) |
FRA | 635,768,832 | 4,521,457 | (17,966,481 ) | (13,445,024 ) |
BKT | 426,868,268 | 6,839,935 | (46,359,149 ) | (39,519,214 ) |
BLW | 884,962,920 | 10,429,648 | (31,110,229 ) | (20,680,581 ) |
BIT | 898,258,012 | 32,069,707 | (50,477,149 ) | (18,407,442 ) |
Fund Name | Commitment Amounts |
DSU | $ 276,000,000 |
FRA | 255,000,000 |
Fund Name | Maximum Amount Borrowed | Average Amount Outstanding | Daily Weighted Average Interest Rate |
DSU | $ 149,000,000 | $ 135,708,791 | 6.22 % |
FRA | 152,000,000 | 137,131,868 | 6.22 |
Six Months Ended | Year Ended | |
Fund Name | 06/30/24 | 12/31/23 |
DSU | 50,893 | — |
BKT | — | 3,394 |
BLW | 23,810 | — |
BIT | 100,398 | 31,420 |
Fund Name | Declaration Date | Record Date | Payable/ Paid Date | Dividend Per Common Share | |
DSU | 07/01/24 | 07/15/24 | 07/31/24 | $ 0.098730 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.098730 | ||
FRA | 07/01/24 | 07/15/24 | 07/31/24 | 0.123840 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.123840 | ||
BKT | 07/01/24 | 07/15/24 | 07/31/24 | 0.088200 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.088200 | ||
BLW | 07/01/24 | 07/15/24 | 07/31/24 | 0.113200 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.113200 | ||
BIT | 07/01/24 | 07/15/24 | 07/31/24 | 0.123700 | |
08/01/24 | 08/15/24 | 08/30/24 | 0.123700 |
Wilmington, DE 19809
Edinburgh, EH3 8BL
United Kingdom
079912 Singapore
Boston, MA 02114
Canton, MA 02021
Boston, MA 02116
New York, NY 10019
Wilmington, DE 19809
Currency Abbreviation | |
EUR | Euro |
GBP | British Pound |
USD | United States Dollar |
Portfolio Abbreviation | |
ARB | Airport Revenue Bonds |
BAB | Build America Bond |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
CR | Custodian Receipt |
DAC | Designated Activity Company |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FEDL | Fed Funds Effective Rate |
GO | General Obligation Bonds |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTA | Month Treasury Average |
PIK | Payment-in-Kind |
PO | Principal Only |
RB | Revenue Bond |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SCA | Societe en Commandite par Actions |
SG | Syncora Guarantee |
SOFR | Secured Overnight Financing Rate |
STRIP | Separate Trading of Registered Interest & Principal |
![](https://capedge.com/proxy/N-CSRS/0001193125-24-213402/g878620imgc602afc22.jpg)
![](https://capedge.com/proxy/N-CSRS/0001193125-24-213402/g878620img75302d8e1.jpg)
(b) Not Applicable
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrant – Not Applicable to this semi-annual report |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Financial Statements and Financial Highlights for Open-End Management Investment Companies – Not Applicable |
Item 8 – | Changes in and Disagreements with Accountants for Open-End Management Investment Companies – Not Applicable |
Item 9 – | Proxy Disclosures for Open-End Management Investment Companies – Not Applicable |
Item 10 – | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies – Not Applicable |
Item 11 – | Statement Regarding Basis for Approval of Investment Advisory Contract – The registrant’s statement regarding the basis for approval of the investment advisory contract is included as part of the Report to Stockholders filed under Item 1(a) of this Form. |
Item 12 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 13 – | Portfolio Managers of Closed-End Management Investment Companies |
(a) Not Applicable to this semi-annual report
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 14 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report. |
Item 15 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
Item 16 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 17 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 18 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
Item 19 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
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.
BlackRock Floating Rate Income Strategies Fund, Inc.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: August 22, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: August 22, 2024
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: August 22, 2024