Quarterly Holdings Report
for
Strategic Advisers® Income Opportunities Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general publicMay 31, 2021
SRQ-QTLY-0721
1.912886.110
Schedule of Investments May 31, 2021 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 41.4% | |||
Principal Amount(a) | Value | ||
Convertible Bonds - 0.1% | |||
COMMUNICATION SERVICES - 0.0% | |||
Media - 0.0% | |||
DISH Network Corp.: | |||
2.375% 3/15/24 | 2,959,000 | 2,862,833 | |
3.375% 8/15/26 | 540,000 | 557,280 | |
3,420,113 | |||
ENERGY - 0.1% | |||
Oil, Gas & Consumable Fuels - 0.1% | |||
Cheniere Energy, Inc. 4.25% 3/15/45 | 2,000,000 | 1,661,774 | |
Mesquite Energy, Inc.: | |||
15% 7/15/23 (b)(c) | 568,336 | 1,795,942 | |
15% 7/15/23 (b)(c) | 329,117 | 921,528 | |
4,379,244 | |||
TOTAL CONVERTIBLE BONDS | 7,799,357 | ||
Nonconvertible Bonds - 41.3% | |||
COMMUNICATION SERVICES - 7.2% | |||
Diversified Telecommunication Services - 2.2% | |||
Altice France SA: | |||
5.125% 1/15/29 (d) | 7,052,000 | 6,981,480 | |
5.125% 7/15/29 (d) | 8,975,000 | 8,898,354 | |
5.5% 1/15/28 (d) | 4,060,000 | 4,153,339 | |
7.375% 5/1/26 (d) | 5,076,000 | 5,278,634 | |
8.125% 2/1/27 (d) | 6,835,000 | 7,450,150 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (d) | 16,065,000 | 17,109,225 | |
7.5% 10/15/26 (d) | 5,160,000 | 5,418,000 | |
Cablevision Lightpath LLC: | |||
3.875% 9/15/27 (d) | 2,627,000 | 2,555,689 | |
5.625% 9/15/28 (d) | 1,960,000 | 1,973,230 | |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (d) | 1,515,000 | 1,566,131 | |
Consolidated Communications, Inc.: | |||
5% 10/1/28 (d) | 645,000 | 656,288 | |
6.5% 10/1/28 (d) | 995,000 | 1,075,844 | |
Embarq Corp. 7.995% 6/1/36 | 825,000 | 932,250 | |
Frontier Communications Corp.: | |||
5% 5/1/28 (d) | 5,405,000 | 5,540,125 | |
5.875% 10/15/27 (d) | 5,084,000 | 5,401,750 | |
6.75% 5/1/29 (d) | 2,590,000 | 2,708,052 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (d) | 2,870,000 | 2,758,788 | |
3.75% 7/15/29 (d) | 3,775,000 | 3,639,855 | |
4.25% 7/1/28 (d) | 1,915,000 | 1,919,117 | |
4.625% 9/15/27 (d) | 4,470,000 | 4,591,428 | |
5.375% 5/1/25 | 495,000 | 505,944 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (d) | 8,040,000 | 7,778,700 | |
5.125% 12/15/26 (d) | 4,965,000 | 5,143,430 | |
5.8% 3/15/22 | 1,643,000 | 1,694,245 | |
6.75% 12/1/23 | 800,000 | 881,560 | |
6.875% 1/15/28 | 613,000 | 681,963 | |
7.6% 9/15/39 | 5,075,000 | 5,760,125 | |
7.65% 3/15/42 | 1,587,000 | 1,773,473 | |
Sable International Finance Ltd. 5.75% 9/7/27 (d) | 3,255,000 | 3,429,794 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 11,102,000 | 13,889,268 | |
8.75% 3/15/32 | 7,034,000 | 10,427,905 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 1,817,000 | 2,007,785 | |
7.2% 7/18/36 | 1,278,000 | 1,583,525 | |
7.721% 6/4/38 | 275,000 | 360,030 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (d) | 2,600,000 | 2,737,800 | |
Virgin Media Finance PLC 5% 7/15/30 (d) | 335,000 | 333,590 | |
Windstream Escrow LLC 7.75% 8/15/28 (d) | 5,311,000 | 5,427,258 | |
Zayo Group Holdings, Inc.: | |||
4% 3/1/27 (d) | 2,705,000 | 2,644,138 | |
6.125% 3/1/28 (d) | 6,328,000 | 6,441,777 | |
164,110,039 | |||
Entertainment - 0.2% | |||
AMC Entertainment Holdings, Inc. 12% 6/15/26 pay-in-kind (d)(e) | 1,393,510 | 1,372,607 | |
National CineMedia LLC: | |||
5.75% 8/15/26 | 475,000 | 416,813 | |
5.875% 4/15/28 (d) | 400,000 | 381,500 | |
Netflix, Inc.: | |||
5.375% 11/15/29 (d) | 1,360,000 | 1,608,146 | |
5.875% 11/15/28 | 2,365,000 | 2,861,650 | |
6.375% 5/15/29 | 6,490,000 | 8,104,388 | |
14,745,104 | |||
Interactive Media & Services - 0.0% | |||
ANGI Homeservices, Inc. 3.875% 8/15/28 (d) | 305,000 | 299,663 | |
Media - 3.9% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (d) | 6,209,000 | 6,581,540 | |
Altice Financing SA: | |||
5% 1/15/28 (d) | 9,135,000 | 9,065,300 | |
7.5% 5/15/26 (d) | 3,535,000 | 3,675,295 | |
Altice France Holding SA: | |||
6% 2/15/28 (d) | 12,285,000 | 12,100,725 | |
10.5% 5/15/27 (d) | 2,750,000 | 3,074,500 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (d) | 10,825,000 | 10,803,350 | |
4.5% 8/15/30 (d) | 3,965,000 | 4,040,454 | |
4.5% 5/1/32 | 15,279,000 | 15,414,219 | |
4.5% 6/1/33 (d)(f) | 6,065,000 | 6,051,596 | |
4.75% 3/1/30 (d) | 2,831,000 | 2,936,065 | |
5% 2/1/28 (d) | 11,253,000 | 11,773,451 | |
5.125% 5/1/27 (d) | 3,150,000 | 3,291,750 | |
5.375% 6/1/29 (d) | 6,625,000 | 7,196,406 | |
5.5% 5/1/26 (d) | 4,760,000 | 4,920,412 | |
5.75% 2/15/26 (d) | 2,095,000 | 2,166,230 | |
5.875% 5/1/27 (d) | 630,000 | 649,845 | |
Clear Channel Outdoor Holdings, Inc.: | |||
7.5% 6/1/29 (d)(f) | 1,475,000 | 1,471,165 | |
7.75% 4/15/28 (d) | 2,650,000 | 2,714,793 | |
Clear Channel Worldwide Holdings, Inc. 5.125% 8/15/27 (d) | 3,855,000 | 3,892,394 | |
CSC Holdings LLC: | |||
3.375% 2/15/31 (d) | 1,020,000 | 951,150 | |
4.125% 12/1/30 (d) | 3,352,000 | 3,275,910 | |
4.625% 12/1/30 (d) | 15,117,000 | 14,646,861 | |
5% 11/15/31 (d) | 1,160,000 | 1,150,732 | |
5.25% 6/1/24 | 976,000 | 1,057,740 | |
5.5% 4/15/27 (d) | 3,510,000 | 3,685,500 | |
5.75% 1/15/30 (d) | 3,390,000 | 3,538,482 | |
6.5% 2/1/29 (d) | 2,635,000 | 2,882,585 | |
6.75% 11/15/21 | 2,000,000 | 2,047,000 | |
7.5% 4/1/28 (d) | 4,510,000 | 4,938,450 | |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | |||
5.375% 8/15/26 (d) | 7,155,000 | 5,294,628 | |
6.625% 8/15/27 (d) | 15,605,000 | 8,918,726 | |
DISH DBS Corp.: | |||
5% 3/15/23 | 926,000 | 961,883 | |
5.125% 6/1/29 (d) | 3,160,000 | 3,135,036 | |
5.875% 7/15/22 | 2,310,000 | 2,402,400 | |
5.875% 11/15/24 | 1,514,000 | 1,612,410 | |
7.375% 7/1/28 | 3,475,000 | 3,722,594 | |
7.75% 7/1/26 | 5,629,000 | 6,394,263 | |
Dolya Holdco 18 DAC 5% 7/15/28 (d) | 2,662,000 | 2,691,948 | |
Gray Television, Inc.: | |||
4.75% 10/15/30 (d) | 2,875,000 | 2,824,170 | |
5.875% 7/15/26 (d) | 1,855,000 | 1,915,937 | |
7% 5/15/27 (d) | 2,175,000 | 2,351,719 | |
iHeartCommunications, Inc.: | |||
5.25% 8/15/27 (d) | 1,490,000 | 1,542,150 | |
6.375% 5/1/26 | 335,000 | 357,847 | |
8.375% 5/1/27 | 10,895,000 | 11,650,024 | |
Lamar Media Corp. 3.625% 1/15/31 (d) | 625,000 | 601,513 | |
LCPR Senior Secured Financing DAC 6.75% 10/15/27 (d) | 345,000 | 370,496 | |
MDC Partners, Inc. 7.5% 5/1/24 (d)(g) | 4,615,000 | 4,695,763 | |
News Corp. 3.875% 5/15/29 (d) | 1,150,000 | 1,160,063 | |
Nexstar Broadcasting, Inc.: | |||
4.75% 11/1/28 (d) | 3,100,000 | 3,158,125 | |
5.625% 7/15/27 (d) | 2,118,000 | 2,239,785 | |
Outfront Media Capital LLC / Corp.: | |||
4.25% 1/15/29 (d) | 350,000 | 346,417 | |
5% 8/15/27 (d) | 100,000 | 103,674 | |
6.25% 6/15/25 (d) | 355,000 | 376,300 | |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | |||
4.5% 9/15/26 (d) | 5,922,000 | 5,981,220 | |
6.5% 9/15/28 (d) | 8,610,000 | 8,846,775 | |
Scripps Escrow II, Inc.: | |||
3.875% 1/15/29 (d) | 600,000 | 583,500 | |
5.375% 1/15/31 (d) | 1,160,000 | 1,161,450 | |
Scripps Escrow, Inc. 5.875% 7/15/27 (d) | 200,000 | 206,500 | |
Sinclair Television Group, Inc.: | |||
5.125% 2/15/27 (d) | 2,565,000 | 2,568,040 | |
5.5% 3/1/30 (d) | 1,130,000 | 1,130,260 | |
5.875% 3/15/26 (d) | 925,000 | 947,089 | |
Sirius XM Radio, Inc.: | |||
4.125% 7/1/30 (d) | 2,200,000 | 2,205,500 | |
4.625% 7/15/24 (d) | 1,010,000 | 1,035,250 | |
5% 8/1/27 (d) | 800,000 | 836,000 | |
5.375% 7/15/26 (d) | 2,125,000 | 2,191,683 | |
5.5% 7/1/29 (d) | 1,895,000 | 2,051,338 | |
Tegna, Inc.: | |||
4.625% 3/15/28 | 1,320,000 | 1,348,050 | |
5% 9/15/29 | 480,000 | 491,400 | |
Townsquare Media, Inc. 6.875% 2/1/26 (d) | 1,450,000 | 1,531,563 | |
Univision Communications, Inc.: | |||
4.5% 5/1/29 (d) | 4,445,000 | 4,498,429 | |
5.125% 2/15/25 (d) | 4,420,000 | 4,486,963 | |
6.625% 6/1/27 (d) | 5,615,000 | 6,071,219 | |
9.5% 5/1/25 (d) | 1,222,000 | 1,344,579 | |
Urban One, Inc. 7.375% 2/1/28 (d) | 895,000 | 947,841 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30 (d) | 2,450,000 | 2,443,875 | |
5.5% 8/15/26 (d) | 840,000 | 871,080 | |
5.5% 5/15/29 (d) | 1,110,000 | 1,187,700 | |
VTR Finance BV 6.375% 7/15/28 (d) | 660,000 | 695,640 | |
Ziggo Bond Co. BV: | |||
5.125% 2/28/30 (d) | 1,485,000 | 1,507,275 | |
6% 1/15/27 (d) | 2,145,000 | 2,245,021 | |
Ziggo BV: | |||
4.875% 1/15/30 (d) | 2,020,000 | 2,069,995 | |
5.5% 1/15/27 (d) | 2,978,000 | 3,085,953 | |
283,392,959 | |||
Wireless Telecommunication Services - 0.9% | |||
Digicel Group Holdings Ltd. 10% 4/1/24 pay-in-kind (g) | 2,155,957 | 2,107,448 | |
Digicel Group Ltd. 6.75% 3/1/23 (d) | 7,925,000 | 7,526,273 | |
Digicel International Finance Ltd. / Digicel International Holdings Ltd.: | |||
8% 12/31/26 (d) | 1,250,000 | 1,227,734 | |
8.75% 5/25/24(d) | 5,370,000 | 5,562,313 | |
8.75% 5/25/24 (d) | 5,075,000 | 5,257,383 | |
13% 12/31/25 pay-in-kind (d)(g) | 3,551,600 | 3,594,441 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (h) | 3,685,000 | 2,146,513 | |
8% 2/15/24 (d) | 200,000 | 206,836 | |
8.5% 10/15/24 (d)(h) | 7,200,000 | 4,267,440 | |
9.5% 9/30/22 (d) | 3,605,000 | 4,217,850 | |
Millicom International Cellular SA 4.5% 4/27/31 (d) | 200,000 | 208,610 | |
Sprint Communications, Inc. 11.5% 11/15/21 | 195,000 | 204,165 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 14,305,000 | 16,486,513 | |
7.625% 2/15/25 | 2,235,000 | 2,642,597 | |
7.625% 3/1/26 | 1,000,000 | 1,215,000 | |
7.875% 9/15/23 | 5,150,000 | 5,835,517 | |
T-Mobile U.S.A., Inc.: | |||
2.625% 2/15/29 | 1,175,000 | 1,133,875 | |
2.875% 2/15/31 | 1,100,000 | 1,060,774 | |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (d) | 1,165,000 | 1,108,206 | |
66,009,488 | |||
TOTAL COMMUNICATION SERVICES | 528,557,253 | ||
CONSUMER DISCRETIONARY - 7.2% | |||
Auto Components - 0.8% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (d) | 5,415,000 | 5,550,375 | |
Allison Transmission, Inc. 5.875% 6/1/29 (d) | 2,466,000 | 2,675,610 | |
American Axle & Manufacturing, Inc.: | |||
6.25% 4/1/25 | 850,000 | 879,674 | |
6.25% 3/15/26 | 1,000,000 | 1,031,900 | |
6.5% 4/1/27 | 3,630,000 | 3,849,279 | |
6.875% 7/1/28 | 550,000 | 596,750 | |
Cooper Standard Auto, Inc. 5.625% 11/15/26 (d) | 1,775,000 | 1,526,500 | |
Dana Financing Luxembourg SARL 5.75% 4/15/25 (d) | 1,615,000 | 1,661,431 | |
Dana, Inc.: | |||
4.25% 9/1/30 | 1,170,000 | 1,206,972 | |
5.375% 11/15/27 | 2,570,000 | 2,730,586 | |
5.625% 6/15/28 | 3,140,000 | 3,387,655 | |
Nesco Holdings II, Inc. 5.5% 4/15/29 (d) | 900,000 | 928,125 | |
Panther BF Aggregator 2 LP / Panther Finance Co., Inc.: | |||
6.25% 5/15/26 (d) | 125,000 | 133,463 | |
8.5% 5/15/27 (d) | 7,420,000 | 8,069,250 | |
Patrick Industries, Inc.: | |||
4.75% 5/1/29 (d) | 875,000 | 872,900 | |
7.5% 10/15/27 (d) | 700,000 | 758,625 | |
Real Hero Merger Sub 2 6.25% 2/1/29 (d) | 340,000 | 351,560 | |
Tenneco, Inc.: | |||
5% 7/15/26 | 2,300,000 | 2,285,625 | |
5.125% 4/15/29 (d) | 4,770,000 | 4,770,000 | |
5.375% 12/15/24 | 1,710,000 | 1,720,038 | |
7.875% 1/15/29 (d) | 2,905,000 | 3,249,707 | |
The Goodyear Tire & Rubber Co.: | |||
5% 7/15/29 (d) | 1,680,000 | 1,713,264 | |
5.25% 4/30/31 | 1,620,000 | 1,652,319 | |
5.25% 7/15/31 (d) | 1,680,000 | 1,715,952 | |
9.5% 5/31/25 | 490,000 | 549,422 | |
TI Automotive Finance PLC 3.75% 4/15/29 (d) | EUR | 400,000 | 491,259 |
54,358,241 | |||
Automobiles - 0.5% | |||
Ford Motor Co.: | |||
4.75% 1/15/43 | 5,613,000 | 5,662,394 | |
5.291% 12/8/46 | 6,800,000 | 7,222,280 | |
8.5% 4/21/23 | 715,000 | 798,119 | |
9% 4/22/25 | 9,520,000 | 11,631,250 | |
9.625% 4/22/30 | 4,060,000 | 5,652,819 | |
PM General Purchaser LLC 9.5% 10/1/28 (d) | 2,755,000 | 3,009,838 | |
Tesla, Inc. 5.3% 8/15/25 (d) | 3,250,000 | 3,368,398 | |
37,345,098 | |||
Diversified Consumer Services - 0.5% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (d) | 8,100,000 | 8,091,414 | |
Carriage Services, Inc. 4.25% 5/15/29 (d) | 850,000 | 848,938 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (d) | 6,250,000 | 6,546,875 | |
Laureate Education, Inc. 8.25% 5/1/25 (d) | 2,814,000 | 2,929,937 | |
Service Corp. International: | |||
3.375% 8/15/30 | 1,890,000 | 1,835,530 | |
4% 5/15/31 | 3,255,000 | 3,317,171 | |
5.125% 6/1/29 | 735,000 | 795,564 | |
Sotheby's 7.375% 10/15/27 (d) | 5,835,000 | 6,243,450 | |
StoneMor, Inc. 8.5% 5/15/29 (d) | 1,025,000 | 1,011,429 | |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (d) | 3,705,000 | 3,859,499 | |
35,479,807 | |||
Hotels, Restaurants & Leisure - 3.7% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
3.5% 2/15/29 (d) | 825,000 | 807,469 | |
4% 10/15/30 (d) | 10,224,000 | 9,904,500 | |
5.75% 4/15/25 (d) | 255,000 | 269,344 | |
Affinity Gaming LLC 6.875% 12/15/27 (d) | 3,405,000 | 3,616,757 | |
Aramark Services, Inc.: | |||
5% 2/1/28 (d) | 5,520,000 | 5,697,675 | |
6.375% 5/1/25 (d) | 2,760,000 | 2,932,500 | |
Bally's Corp. 6.75% 6/1/27 (d) | 5,750,000 | 6,114,723 | |
Boyd Gaming Corp.: | |||
4.75% 12/1/27 | 1,825,000 | 1,865,862 | |
4.75% 6/15/31 (d)(f) | 1,425,000 | 1,439,678 | |
6% 8/15/26 | 675,000 | 701,595 | |
6.375% 4/1/26 | 2,555,000 | 2,639,826 | |
8.625% 6/1/25 (d) | 1,534,000 | 1,687,400 | |
Brinker International, Inc.: | |||
3.875% 5/15/23 | 1,750,000 | 1,795,938 | |
5% 10/1/24 (d) | 2,315,000 | 2,419,175 | |
Caesars Entertainment, Inc.: | |||
6.25% 7/1/25 (d) | 5,364,000 | 5,653,227 | |
8.125% 7/1/27 (d) | 12,014,000 | 13,334,699 | |
Caesars Resort Collection LLC: | |||
5.25% 10/15/25 (d) | 8,500,000 | 8,570,635 | |
5.75% 7/1/25 (d) | 770,000 | 807,553 | |
Carnival Corp.: | |||
5.75% 3/1/27 (d) | 4,825,000 | 5,126,563 | |
6.65% 1/15/28 | 210,000 | 227,850 | |
7.625% 3/1/26 (d) | 8,190,000 | 8,968,050 | |
9.875% 8/1/27 (d) | 1,340,000 | 1,571,431 | |
11.5% 4/1/23 (d) | 1,065,000 | 1,218,094 | |
CCM Merger, Inc. 6.375% 5/1/26 (d) | 1,450,000 | 1,526,850 | |
Cedar Fair LP 5.25% 7/15/29 | 1,645,000 | 1,674,092 | |
Cedar Fair LP/Canada's Wonderland Co.: | |||
5.375% 4/15/27 | 1,130,000 | 1,159,380 | |
5.5% 5/1/25 (d) | 2,070,000 | 2,163,150 | |
6.5% 10/1/28 (d) | 75,000 | 79,688 | |
Churchill Downs, Inc. 4.75% 1/15/28 (d) | 875,000 | 900,174 | |
Dave & Buster's, Inc. 7.625% 11/1/25 (d) | 2,365,000 | 2,518,725 | |
Expedia, Inc.: | |||
4.625% 8/1/27 (d) | 240,000 | 271,684 | |
6.25% 5/1/25 (d) | 925,000 | 1,078,333 | |
Golden Entertainment, Inc. 7.625% 4/15/26 (d) | 5,246,000 | 5,593,548 | |
Golden Nugget, Inc. 6.75% 10/15/24 (d) | 5,610,000 | 5,662,061 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (d) | 4,975,000 | 4,868,411 | |
3.75% 5/1/29 (d) | 325,000 | 325,813 | |
4% 5/1/31 (d) | 2,955,000 | 2,980,088 | |
4.875% 1/15/30 | 1,732,000 | 1,843,021 | |
5.375% 5/1/25 (d) | 380,000 | 400,049 | |
5.75% 5/1/28 (d) | 1,520,000 | 1,635,900 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 2,425,000 | 2,526,074 | |
International Game Technology PLC: | |||
4.125% 4/15/26 (d) | 945,000 | 975,713 | |
5.25% 1/15/29 (d) | 3,550,000 | 3,776,313 | |
6.25% 1/15/27 (d) | 6,981,000 | 7,910,660 | |
6.5% 2/15/25 (d) | 500,000 | 553,935 | |
Jacobs Entertainment, Inc. 7.875% 2/1/24 (d) | 2,745,000 | 2,865,094 | |
LHMC Finco SARL 7.875% 12/20/23 (d) | 1,565,000 | 1,592,544 | |
Life Time, Inc.: | |||
5.75% 1/15/26 (d) | 2,020,000 | 2,082,494 | |
8% 4/15/26 (d) | 770,000 | 812,350 | |
Marriott International, Inc. 5.75% 5/1/25 | 645,000 | 748,239 | |
Marriott Ownership Resorts, Inc.: | |||
6.125% 9/15/25 (d) | 820,000 | 872,587 | |
6.5% 9/15/26 | 1,985,000 | 2,068,390 | |
MCE Finance Ltd.: | |||
5.375% 12/4/29 (d) | 1,455,000 | 1,552,485 | |
5.75% 7/21/28 (d) | 1,575,000 | 1,678,163 | |
Merlin Entertainments PLC 5.75% 6/15/26 (d) | 200,000 | 210,340 | |
MGM China Holdings Ltd.: | |||
4.75% 2/1/27 (d) | 1,015,000 | 1,044,498 | |
5.25% 6/18/25 (d) | 715,000 | 744,494 | |
5.375% 5/15/24 (d) | 670,000 | 687,504 | |
5.875% 5/15/26 (d) | 1,965,000 | 2,064,847 | |
MGM Resorts International: | |||
4.75% 10/15/28 | 4,798,000 | 5,061,890 | |
5.5% 4/15/27 | 2,259,000 | 2,450,744 | |
6% 3/15/23 | 905,000 | 965,658 | |
6.75% 5/1/25 | 6,325,000 | 6,780,653 | |
Midwest Gaming Borrower LLC / Midwest Gaming Financial Corp. 4.875% 5/1/29 (d) | 2,715,000 | 2,719,480 | |
Motion Bondco DAC 6.625% 11/15/27 (d) | 3,400,000 | 3,442,500 | |
NCL Corp. Ltd.: | |||
3.625% 12/15/24 (d) | 1,025,000 | 979,593 | |
5.875% 3/15/26 (d) | 2,830,000 | 2,950,275 | |
10.25% 2/1/26 (d) | 1,970,000 | 2,299,975 | |
NCL Finance Ltd. 6.125% 3/15/28 (d) | 1,285,000 | 1,339,613 | |
Peninsula Pacific Entertainment LLC 8.5% 11/15/27 (d) | 5,250,000 | 5,614,875 | |
Penn National Gaming, Inc. 5.625% 1/15/27 (d) | 3,150,000 | 3,269,291 | |
Royal Caribbean Cruises Ltd.: | |||
5.5% 4/1/28 (d) | 5,980,000 | 6,293,950 | |
9.125% 6/15/23 (d) | 710,000 | 785,402 | |
10.875% 6/1/23 (d) | 1,065,000 | 1,222,088 | |
11.5% 6/1/25 (d) | 4,270,000 | 4,942,525 | |
Scientific Games Corp.: | |||
5% 10/15/25 (d) | 2,200,000 | 2,266,000 | |
7% 5/15/28 (d) | 345,000 | 373,031 | |
7.25% 11/15/29 (d) | 1,995,000 | 2,209,463 | |
8.25% 3/15/26 (d) | 7,695,000 | 8,271,048 | |
8.625% 7/1/25 (d) | 4,515,000 | 4,923,156 | |
SeaWorld Parks & Entertainment, Inc. 9.5% 8/1/25 (d) | 2,685,000 | 2,898,645 | |
Six Flags Entertainment Corp. 4.875% 7/31/24 (d) | 630,000 | 634,725 | |
Six Flags Theme Park, Inc. 7% 7/1/25 (d) | 270,000 | 290,323 | |
Stars Group Holdings BV 7% 7/15/26 (d) | 2,040,000 | 2,122,130 | |
Station Casinos LLC: | |||
4.5% 2/15/28 (d) | 2,219,000 | 2,243,387 | |
5% 10/1/25 (d) | 1,715,000 | 1,749,300 | |
Studio City Finance Ltd. 5% 1/15/29 (d) | 2,135,000 | 2,167,559 | |
Travel+Leisure Co. 4.625% 3/1/30 (d) | 75,000 | 77,250 | |
Vail Resorts, Inc. 6.25% 5/15/25 (d) | 605,000 | 642,813 | |
Viking Cruises Ltd.: | |||
5.875% 9/15/27 (d) | 100,000 | 96,500 | |
7% 2/15/29 (d) | 1,355,000 | 1,386,409 | |
13% 5/15/25 (d) | 1,175,000 | 1,371,813 | |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (d) | 845,000 | 853,450 | |
Voc Escrow Ltd. 5% 2/15/28 (d) | 1,325,000 | 1,331,625 | |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (d) | 1,190,000 | 1,216,775 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (d) | 3,810,000 | 4,029,075 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (d) | 350,000 | 355,972 | |
5.125% 12/15/29 (d) | 1,275,000 | 1,315,242 | |
5.5% 1/15/26 (d) | 945,000 | 989,769 | |
5.5% 10/1/27 (d) | 2,495,000 | 2,607,275 | |
5.625% 8/26/28 (d) | 3,050,000 | 3,193,350 | |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | |||
5.125% 10/1/29 (d) | 2,130,000 | 2,206,403 | |
7.75% 4/15/25 (d) | 1,229,000 | 1,321,224 | |
Yum! Brands, Inc.: | |||
4.625% 1/31/32 | 2,405,000 | 2,513,297 | |
5.35% 11/1/43 | 1,755,000 | 1,812,038 | |
6.875% 11/15/37 | 2,560,000 | 3,142,400 | |
7.75% 4/1/25 (d) | 770,000 | 837,375 | |
269,385,569 | |||
Household Durables - 0.6% | |||
Apex Tool Group LLC / BC Mountain Finance, Inc. 9% 2/15/23 (d) | 810,000 | 808,988 | |
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | |||
6.625% 1/15/28 (d) | 2,000,000 | 2,140,000 | |
6.75% 8/1/25 (d) | 3,525,000 | 3,644,603 | |
Beazer Homes U.S.A., Inc.: | |||
5.875% 10/15/27 | 2,675,000 | 2,826,432 | |
7.25% 10/15/29 | 7,175,000 | 8,036,000 | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | |||
4.875% 2/15/30 (d) | 2,379,000 | 2,337,368 | |
5% 6/15/29 (d) | 2,080,000 | 2,085,200 | |
6.25% 9/15/27 (d) | 4,813,000 | 5,061,110 | |
CD&R Smokey Buyer, Inc. 6.75% 7/15/25 (d) | 170,000 | 181,050 | |
Century Communities, Inc.: | |||
5.875% 7/15/25 | 500,000 | 516,250 | |
6.75% 6/1/27 | 1,450,000 | 1,560,200 | |
KB Home: | |||
4% 6/15/31 (f) | 1,025,000 | 1,025,000 | |
4.8% 11/15/29 | 1,575,000 | 1,688,290 | |
6.875% 6/15/27 | 1,550,000 | 1,832,875 | |
M/I Homes, Inc.: | |||
4.95% 2/1/28 | 2,110,000 | 2,215,500 | |
5.625% 8/1/25 | 680,000 | 702,100 | |
Meritage Homes Corp.: | |||
5.125% 6/6/27 | 1,686,000 | 1,899,279 | |
6% 6/1/25 | 1,000,000 | 1,137,500 | |
New Home Co., Inc. 7.25% 10/15/25 (d) | 200,000 | 213,000 | |
Picasso Finance Sub, Inc. 6.125% 6/15/25 (d) | 468,000 | 493,740 | |
STL Holding Co. LLC 7.5% 2/15/26 (d) | 950,000 | 990,375 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.625% 3/1/24 (d) | 250,000 | 271,753 | |
5.875% 4/15/23 (d) | 910,000 | 971,425 | |
Tempur Sealy International, Inc. 4% 4/15/29 (d) | 850,000 | 851,709 | |
TopBuild Corp. 3.625% 3/15/29 (d) | 1,410,000 | 1,388,850 | |
TRI Pointe Homes, Inc.: | |||
5.25% 6/1/27 | 975,000 | 1,040,813 | |
5.7% 6/15/28 | 480,000 | 525,600 | |
46,445,010 | |||
Internet & Direct Marketing Retail - 0.2% | |||
Photo Holdings Merger Sub, Inc. 8.5% 10/1/26 (d) | 2,960,000 | 3,235,043 | |
Terrier Media Buyer, Inc. 8.875% 12/15/27 (d) | 10,899,000 | 11,661,930 | |
14,896,973 | |||
Leisure Products - 0.1% | |||
Mattel, Inc.: | |||
3.375% 4/1/26 (d) | 325,000 | 336,863 | |
3.75% 4/1/29 (d) | 2,585,000 | 2,646,316 | |
5.45% 11/1/41 | 1,124,000 | 1,271,525 | |
5.875% 12/15/27 (d) | 600,000 | 658,500 | |
6.2% 10/1/40 | 2,810,000 | 3,421,175 | |
Vista Outdoor, Inc. 4.5% 3/15/29 (d) | 1,425,000 | 1,417,875 | |
9,752,254 | |||
Multiline Retail - 0.0% | |||
LSF9 Atlantis Holdings LLC / Victra Finance Corp. 7.75% 2/15/26 (d) | 995,000 | 1,012,950 | |
Specialty Retail - 0.6% | |||
Academy Ltd. 6% 11/15/27 (d) | 469,000 | 498,313 | |
Adient U.S. LLC 9% 4/15/25 (d) | 4,605,000 | 5,090,413 | |
Caleres, Inc. 6.25% 8/15/23 | 1,500,000 | 1,503,750 | |
Jaguar Land Rover Automotive PLC 7.75% 10/15/25 (d) | 2,485,000 | 2,692,348 | |
L Brands, Inc.: | |||
5.25% 2/1/28 | 265,000 | 287,525 | |
6.625% 10/1/30 (d) | 2,185,000 | 2,497,455 | |
6.694% 1/15/27 | 1,030,000 | 1,184,500 | |
6.75% 7/1/36 | 1,340,000 | 1,592,751 | |
7.5% 6/15/29 | 745,000 | 856,750 | |
9.375% 7/1/25 (d) | 960,000 | 1,223,184 | |
LBM Acquisition LLC 6.25% 1/15/29 (d) | 405,000 | 414,113 | |
LCM Investments Holdings 4.875% 5/1/29 (d) | 2,355,000 | 2,418,491 | |
Lithia Motors, Inc. 3.875% 6/1/29 (d) | 1,345,000 | 1,381,799 | |
Metis Merger Sub LLC 6.5% 5/15/29 (d) | 4,460,000 | 4,392,342 | |
Park River Holdings, Inc. 5.625% 2/1/29 (d) | 3,800,000 | 3,638,500 | |
PetSmart, Inc. / PetSmart Finance Corp.: | |||
4.75% 2/15/28 (d) | 250,000 | 258,900 | |
7.75% 2/15/29 (d) | 3,500,000 | 3,853,264 | |
Rent-A-Center, Inc. 6.375% 2/15/29 (d) | 345,000 | 369,150 | |
Sally Holdings LLC: | |||
5.625% 12/1/25 | 4,123,000 | 4,251,019 | |
8.75% 4/30/25 (d) | 800,000 | 883,000 | |
Specialty Building Products Holdings LLC 6.375% 9/30/26 (d) | 1,140,000 | 1,185,600 | |
Staples, Inc.: | |||
7.5% 4/15/26 (d) | 3,015,000 | 3,127,158 | |
10.75% 4/15/27 (d) | 2,495,000 | 2,554,256 | |
46,154,581 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Levi Strauss & Co. 3.5% 3/1/31 (d) | 1,565,000 | 1,541,118 | |
The William Carter Co.: | |||
5.5% 5/15/25 (d) | 1,975,000 | 2,081,156 | |
5.625% 3/15/27 (d) | 2,405,000 | 2,519,238 | |
Wolverine World Wide, Inc.: | |||
5% 9/1/26 (d) | 2,275,000 | 2,326,188 | |
6.375% 5/15/25 (d) | 2,305,000 | 2,451,944 | |
10,919,644 | |||
TOTAL CONSUMER DISCRETIONARY | 525,750,127 | ||
CONSUMER STAPLES - 1.7% | |||
Beverages - 0.1% | |||
Primo Water Holdings, Inc. 4.375% 4/30/29 (d) | 3,475,000 | 3,476,546 | |
Triton Water Holdings, Inc. 6.25% 4/1/29 (d) | 2,545,000 | 2,551,872 | |
6,028,418 | |||
Food & Staples Retailing - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (d) | 11,990,000 | 11,498,410 | |
4.875% 2/15/30 (d) | 4,885,000 | 5,091,147 | |
5.875% 2/15/28 (d) | 3,210,000 | 3,410,625 | |
7.5% 3/15/26 (d) | 1,565,000 | 1,724,771 | |
C&S Group Enterprises LLC 5% 12/15/28 (d) | 5,360,000 | 5,117,192 | |
Iceland Bondco PLC 4.625% 3/15/25 (Reg. S) | GBP | 1,055,000 | 1,470,918 |
New Albertsons LP: | |||
7.45% 8/1/29 | 615,000 | 714,938 | |
8% 5/1/31 | 415,000 | 508,894 | |
Performance Food Group, Inc.: | |||
5.5% 10/15/27 (d) | 4,314,000 | 4,500,279 | |
6.875% 5/1/25 (d) | 1,399,000 | 1,491,684 | |
Sigma Holdco BV 7.875% 5/15/26 (d) | 905,000 | 916,313 | |
U.S. Foods, Inc. 4.75% 2/15/29 (d) | 2,585,000 | 2,578,538 | |
United Natural Foods, Inc. 6.75% 10/15/28 (d) | 890,000 | 953,350 | |
39,977,059 | |||
Food Products - 0.9% | |||
B&G Foods, Inc.: | |||
5.25% 4/1/25 | 620,000 | 637,050 | |
5.25% 9/15/27 | 3,455,000 | 3,567,288 | |
Chobani LLC/Finance Corp., Inc.: | |||
4.625% 11/15/28 (d) | 1,345,000 | 1,386,554 | |
7.5% 4/15/25 (d) | 5,580,000 | 5,806,102 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (d) | 3,050,000 | 3,335,938 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3.75% 12/1/31 (d) | 3,670,000 | 3,717,343 | |
5.5% 1/15/30 (d) | 2,775,000 | 3,052,528 | |
6.5% 4/15/29 (d) | 8,350,000 | 9,362,438 | |
Kraft Heinz Foods Co.: | |||
4.375% 6/1/46 | 2,875,000 | 3,083,000 | |
4.875% 10/1/49 | 2,035,000 | 2,338,628 | |
5% 7/15/35 | 625,000 | 737,909 | |
5% 6/4/42 | 825,000 | 958,457 | |
5.2% 7/15/45 | 650,000 | 767,549 | |
5.5% 6/1/50 | 1,975,000 | 2,458,407 | |
6.5% 2/9/40 | 400,000 | 533,004 | |
6.875% 1/26/39 | 690,000 | 947,136 | |
7.125% 8/1/39 (d) | 525,000 | 741,857 | |
Pilgrim's Pride Corp.: | |||
4.25% 4/15/31 (d) | 1,775,000 | 1,795,058 | |
5.875% 9/30/27 (d) | 5,915,000 | 6,292,081 | |
Post Holdings, Inc.: | |||
4.5% 9/15/31 (d) | 5,250,000 | 5,190,938 | |
4.625% 4/15/30 (d) | 4,004,000 | 4,026,863 | |
5.5% 12/15/29 (d) | 3,389,000 | 3,619,706 | |
5.625% 1/15/28 (d) | 1,480,000 | 1,563,546 | |
5.75% 3/1/27 (d) | 1,070,000 | 1,118,311 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 1,325,000 | 1,317,593 | |
68,355,284 | |||
Household Products - 0.1% | |||
Central Garden & Pet Co.: | |||
4.125% 10/15/30 | 47,000 | 47,940 | |
4.125% 4/30/31 (d) | 750,000 | 752,835 | |
Energizer Holdings, Inc. 4.375% 3/31/29 (d) | 500,000 | 493,740 | |
Spectrum Brands Holdings, Inc.: | |||
3.875% 3/15/31 (d) | 720,000 | 700,193 | |
5% 10/1/29 (d) | 1,055,000 | 1,113,025 | |
5.5% 7/15/30 (d) | 610,000 | 654,225 | |
3,761,958 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 3.75% 4/1/31 (d) | 2,857,000 | 2,742,720 | |
Tobacco - 0.1% | |||
Vector Group Ltd.: | |||
5.75% 2/1/29 (d) | 3,700,000 | 3,737,000 | |
10.5% 11/1/26 (d) | 325,000 | 344,500 | |
4,081,500 | |||
TOTAL CONSUMER STAPLES | 124,946,939 | ||
ENERGY - 6.1% | |||
Energy Equipment & Services - 0.3% | |||
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (d) | 865,000 | 916,900 | |
Exterran Energy Solutions LP 8.125% 5/1/25 | 1,185,000 | 1,071,110 | |
Nabors Industries Ltd.: | |||
7.25% 1/15/26 (d) | 1,950,000 | 1,696,500 | |
7.5% 1/15/28 (d) | 3,400,000 | 2,890,000 | |
Nabors Industries, Inc. 5.75% 2/1/25 | 3,500,000 | 2,905,000 | |
NuStar Logistics LP 5.75% 10/1/25 | 4,205,000 | 4,475,697 | |
Precision Drilling Corp.: | |||
5.25% 11/15/24 | 500,000 | 488,120 | |
7.125% 1/15/26 (d) | 1,000,000 | 1,011,820 | |
Transocean Guardian Ltd. 5.875% 1/15/24 (d) | 967,875 | 900,124 | |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (d) | 572,000 | 579,150 | |
Transocean Pontus Ltd. 6.125% 8/1/25 (d) | 1,098,375 | 1,090,137 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (d) | 665,000 | 646,713 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (d) | 729,000 | 721,710 | |
Transocean Sentry Ltd. 5.375% 5/15/23 (d) | 978,705 | 932,138 | |
Transocean, Inc.: | |||
7.5% 1/15/26 (d) | 1,676,000 | 1,315,660 | |
8% 2/1/27 (d) | 675,000 | 511,360 | |
11.5% 1/30/27 (d) | 500,000 | 496,875 | |
U.S.A. Compression Partners LP: | |||
6.875% 4/1/26 | 780,000 | 818,961 | |
6.875% 9/1/27 | 580,000 | 608,826 | |
24,076,801 | |||
Oil, Gas & Consumable Fuels - 5.8% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (d) | 2,640,000 | 2,828,100 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.375% 9/15/24 | 986,000 | 1,012,425 | |
5.375% 6/15/29 (d)(f) | 2,050,000 | 2,075,533 | |
5.75% 3/1/27 (d) | 3,300,000 | 3,399,726 | |
5.75% 1/15/28 (d) | 1,710,000 | 1,758,632 | |
7.875% 5/15/26 (d) | 125,000 | 138,576 | |
Antero Resources Corp.: | |||
5% 3/1/25 | 4,090,000 | 4,188,569 | |
5.375% 3/1/30 (d)(f) | 1,750,000 | 1,756,676 | |
5.625% 6/1/23 (Reg. S) | 808,000 | 808,000 | |
7.625% 2/1/29 (d) | 2,275,000 | 2,502,500 | |
8.375% 7/15/26 (d) | 1,775,000 | 2,000,239 | |
Apache Corp.: | |||
4.25% 1/15/30 | 890,000 | 896,675 | |
4.375% 10/15/28 | 600,000 | 615,498 | |
4.625% 11/15/25 | 770,000 | 817,147 | |
4.75% 4/15/43 | 725,000 | 716,989 | |
4.875% 11/15/27 | 885,000 | 929,250 | |
5.1% 9/1/40 | 3,770,000 | 3,890,527 | |
5.25% 2/1/42 | 125,000 | 129,738 | |
5.35% 7/1/49 | 200,000 | 205,058 | |
6% 1/15/37 | 55,000 | 61,779 | |
7.75% 12/15/29 | 625,000 | 731,250 | |
Ascent Resources - Utica LLC/ARU Finance Corp.: | |||
7% 11/1/26 (d) | 2,955,000 | 3,036,263 | |
8.25% 12/31/28 (d) | 1,400,000 | 1,522,500 | |
9% 11/1/27 (d) | 1,836,000 | 2,519,910 | |
California Resources Corp. 7.125% 2/1/26 (d) | 1,755,000 | 1,816,425 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.875% 3/31/25 | 300,000 | 344,674 | |
7% 6/30/24 | 295,000 | 339,000 | |
Cheniere Energy Partners LP: | |||
4% 3/1/31 (d) | 2,375,000 | 2,451,475 | |
4.5% 10/1/29 | 1,440,000 | 1,522,800 | |
5.625% 10/1/26 | 3,675,000 | 3,826,594 | |
Cheniere Energy, Inc. 4.625% 10/15/28 (d) | 9,401,000 | 9,871,050 | |
Chesapeake Energy Corp.: | |||
5.5% 2/1/26 (d) | 1,415,000 | 1,492,825 | |
5.875% 2/1/29 (d) | 1,515,000 | 1,633,488 | |
Citgo Holding, Inc. 9.25% 8/1/24 (d) | 7,335,000 | 7,518,375 | |
Citgo Petroleum Corp.: | |||
6.375% 6/15/26 (d) | 7,986,000 | 8,185,650 | |
7% 6/15/25 (d) | 11,298,000 | 11,749,920 | |
CNX Resources Corp.: | |||
6% 1/15/29 (d) | 480,000 | 512,400 | |
7.25% 3/14/27 (d) | 4,821,000 | 5,184,503 | |
Comstock Resources, Inc.: | |||
6.75% 3/1/29 (d) | 6,395,000 | 6,684,054 | |
7.5% 5/15/25 (d) | 518,000 | 536,130 | |
9.75% 8/15/26 | 2,160,000 | 2,345,112 | |
9.75% 8/15/26 | 1,220,000 | 1,327,238 | |
Continental Resources, Inc.: | |||
4.375% 1/15/28 | 1,240,000 | 1,345,400 | |
4.9% 6/1/44 | 1,895,000 | 2,055,525 | |
5.75% 1/15/31 (d) | 2,720,000 | 3,192,002 | |
Coronado Finance Pty Ltd. 10.75% 5/15/26 (d) | 1,025,000 | 1,041,656 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (d) | 8,449,000 | 8,702,470 | |
5.75% 4/1/25 | 6,823,000 | 6,991,528 | |
6% 2/1/29 (d) | 6,205,000 | 6,422,175 | |
CrownRock LP/CrownRock Finance, Inc.: | |||
5% 5/1/29 (d) | 1,000,000 | 1,028,570 | |
5.625% 10/15/25 (d) | 350,000 | 361,424 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (d) | 2,694,000 | 2,694,000 | |
5.75% 2/15/28 (d) | 4,972,000 | 4,984,430 | |
DCP Midstream Operating LP: | |||
4.75% 9/30/21 (d) | 300,000 | 300,750 | |
5.125% 5/15/29 | 2,840,000 | 3,061,236 | |
5.625% 7/15/27 | 3,375,000 | 3,712,500 | |
6.75% 9/15/37 (d) | 1,350,000 | 1,582,875 | |
8.125% 8/16/30 | 1,664,000 | 2,166,894 | |
Delek Logistics Partners LP 7.125% 6/1/28 (d) | 3,190,000 | 3,293,675 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (d) | 6,010,000 | 6,140,417 | |
8.5% 10/30/25 (d) | 5,464,000 | 5,764,520 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (d) | 4,685,000 | 4,837,263 | |
5.75% 1/30/28 (d) | 5,865,000 | 6,202,707 | |
6.625% 7/15/25 (d) | 828,000 | 877,804 | |
EnLink Midstream LLC 5.625% 1/15/28 (d) | 440,000 | 458,018 | |
EnLink Midstream Partners LP: | |||
4.4% 4/1/24 | 380,000 | 394,470 | |
5.05% 4/1/45 | 580,000 | 490,100 | |
5.45% 6/1/47 | 1,210,000 | 1,061,291 | |
5.6% 4/1/44 | 205,000 | 183,327 | |
EQM Midstream Partners LP: | |||
4.125% 12/1/26 | 475,000 | 478,563 | |
4.75% 1/15/31 (d) | 1,375,000 | 1,383,594 | |
5.5% 7/15/28 | 50,000 | 53,382 | |
6% 7/1/25 (d) | 1,590,000 | 1,721,175 | |
6.5% 7/1/27 (d) | 3,312,000 | 3,640,385 | |
EQT Corp.: | |||
3.9% 10/1/27 | 3,483,000 | 3,719,496 | |
5% 1/15/29 | 760,000 | 843,592 | |
7.625% 2/1/25 (g) | 1,300,000 | 1,518,270 | |
8.5% 2/1/30 | 1,597,000 | 2,076,100 | |
Global Partners LP/GLP Finance Corp.: | |||
6.875% 1/15/29 | 3,095,000 | 3,342,600 | |
7% 8/1/27 | 5,812,000 | 6,146,190 | |
Hess Corp.: | |||
7.3% 8/15/31 | 165,000 | 219,459 | |
7.875% 10/1/29 | 80,000 | 107,786 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (d) | 3,345,000 | 3,509,574 | |
5.625% 2/15/26 (d) | 2,920,000 | 3,027,047 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5.75% 10/1/25 (d) | 2,605,000 | 2,637,563 | |
5.75% 2/1/29 (d) | 1,120,000 | 1,149,848 | |
6% 2/1/31 (d) | 1,190,000 | 1,231,364 | |
6.25% 11/1/28 (d) | 3,738,000 | 3,924,900 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (d) | 2,875,000 | 2,946,875 | |
Independence Energy Finance LLC 7.25% 5/1/26 (d) | 1,630,000 | 1,651,353 | |
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (d) | 3,445,000 | 3,548,350 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (d) | 2,655,000 | 2,761,200 | |
6.5% 1/15/25 (d) | 1,750,000 | 1,809,063 | |
7.125% 2/1/27 (d) | 3,382,000 | 3,627,195 | |
Mesquite Energy, Inc. 7.25% 2/15/23 (c)(d)(h) | 3,242,000 | 0 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (d) | 1,100,000 | 1,069,288 | |
New Fortress Energy, Inc.: | |||
6.5% 9/30/26 (d) | 8,430,000 | 8,482,688 | |
6.75% 9/15/25 (d) | 8,649,000 | 8,777,870 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.5% 2/1/26 (d) | 13,145,000 | 13,678,621 | |
NGL Energy Partners LP/NGL Energy Finance Corp. 7.5% 11/1/23 | 2,985,000 | 2,906,644 | |
Occidental Petroleum Corp.: | |||
2.7% 2/15/23 | 690,000 | 693,450 | |
2.9% 8/15/24 | 4,745,000 | 4,733,138 | |
3% 2/15/27 | 1,315,000 | 1,242,675 | |
3.4% 4/15/26 | 680,000 | 663,000 | |
3.45% 7/15/24 | 525,000 | 526,313 | |
3.5% 6/15/25 | 1,000,000 | 1,001,100 | |
3.5% 8/15/29 | 2,760,000 | 2,587,500 | |
4.1% 2/15/47 | 500,000 | 401,250 | |
4.3% 8/15/39 | 330,000 | 282,150 | |
4.4% 4/15/46 | 400,000 | 343,528 | |
4.625% 6/15/45 | 225,000 | 198,209 | |
5.5% 12/1/25 | 100,000 | 107,500 | |
5.55% 3/15/26 | 1,755,000 | 1,873,463 | |
5.875% 9/1/25 | 225,000 | 243,799 | |
6.125% 1/1/31 | 2,285,000 | 2,534,408 | |
6.2% 3/15/40 | 320,000 | 337,600 | |
6.375% 9/1/28 | 680,000 | 756,214 | |
6.45% 9/15/36 | 2,530,000 | 2,849,843 | |
6.625% 9/1/30 | 3,240,000 | 3,712,781 | |
6.95% 7/1/24 | 756,000 | 839,160 | |
7.5% 5/1/31 | 3,850,000 | 4,579,229 | |
7.875% 9/15/31 | 610,000 | 741,479 | |
7.95% 6/15/39 | 1,225,000 | 1,476,125 | |
8% 7/15/25 | 2,660,000 | 3,128,453 | |
8.5% 7/15/27 | 1,640,000 | 1,991,436 | |
8.875% 7/15/30 | 7,400,000 | 9,486,060 | |
Ovintiv Exploration, Inc. 5.625% 7/1/24 | 930,000 | 1,034,575 | |
Ovintiv, Inc.: | |||
6.5% 8/15/34 | 1,160,000 | 1,533,741 | |
6.5% 2/1/38 | 550,000 | 720,024 | |
6.625% 8/15/37 | 250,000 | 328,000 | |
Parkland Corp. 4.5% 10/1/29 (d) | 1,075,000 | 1,091,125 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (d) | 6,575,000 | 6,739,375 | |
Range Resources Corp.: | |||
4.875% 5/15/25 | 2,400,000 | 2,442,000 | |
5% 3/15/23 | 2,129,000 | 2,190,209 | |
8.25% 1/15/29 (d) | 520,000 | 579,800 | |
9.25% 2/1/26 | 2,075,000 | 2,287,688 | |
Rockies Express Pipeline LLC: | |||
3.6% 5/15/25 (d) | 1,925,000 | 1,934,625 | |
4.8% 5/15/30 (d) | 100,000 | 99,750 | |
4.95% 7/15/29 (d) | 1,195,000 | 1,226,094 | |
6.875% 4/15/40 (d) | 835,000 | 898,669 | |
7.5% 7/15/38 (d) | 2,800,000 | 3,108,000 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 (d) | 3,360,000 | 3,338,294 | |
5.5% 2/15/26 | 2,383,000 | 2,455,443 | |
5.875% 3/15/28 | 265,000 | 278,250 | |
6% 4/15/27 | 2,535,000 | 2,649,075 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 9/15/24 (d) | 2,258,000 | 2,302,505 | |
5.5% 1/15/28 (d) | 2,393,000 | 2,410,948 | |
6% 3/1/27 (d) | 7,650,000 | 7,827,824 | |
6% 12/31/30 (d) | 5,885,000 | 6,002,700 | |
7.5% 10/1/25 (d) | 1,875,000 | 2,047,200 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4% 1/15/32 (d) | 5,140,000 | 5,096,773 | |
4.875% 2/1/31 (d) | 8,604,000 | 8,991,180 | |
5% 1/15/28 | 250,000 | 261,248 | |
5.375% 2/1/27 | 3,800,000 | 3,952,000 | |
5.5% 3/1/30 | 967,000 | 1,044,747 | |
5.875% 4/15/26 | 2,715,000 | 2,843,963 | |
6.5% 7/15/27 | 1,585,000 | 1,717,744 | |
6.875% 1/15/29 | 3,680,000 | 4,085,002 | |
Vine Energy Holdings LLC 6.75% 4/15/29 (d) | 2,430,000 | 2,460,375 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 400,000 | 415,000 | |
4.35% 2/1/25 | 2,535,000 | 2,642,738 | |
4.65% 7/1/26 | 380,000 | 405,186 | |
5.3% 2/1/30 | 5,650,000 | 6,229,125 | |
5.45% 4/1/44 | 75,000 | 77,561 | |
5.5% 8/15/48 | 1,025,000 | 1,060,721 | |
6.5% 2/1/50 | 1,350,000 | 1,501,875 | |
WPX Energy, Inc.: | |||
5.25% 10/15/27 | 813,000 | 870,073 | |
5.75% 6/1/26 | 2,159,000 | 2,252,269 | |
425,983,692 | |||
TOTAL ENERGY | 450,060,493 | ||
FINANCIALS - 2.0% | |||
Capital Markets - 0.1% | |||
AssuredPartners, Inc. 5.625% 1/15/29 (d) | 1,610,000 | 1,597,925 | |
Broadstreet Partners, Inc. 5.875% 4/15/29 (d) | 800,000 | 797,272 | |
Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance Corp. 3.875% 2/15/26 (d) | 1,130,000 | 1,167,722 | |
LPL Holdings, Inc. 4% 3/15/29 (d) | 4,600,000 | 4,571,250 | |
MidCap Financial Issuer Trust 6.5% 5/1/28 (d) | 2,110,000 | 2,207,134 | |
MSCI, Inc. 4% 11/15/29 (d) | 875,000 | 907,524 | |
11,248,827 | |||
Consumer Finance - 0.6% | |||
Ford Motor Credit Co. LLC: | |||
4% 11/13/30 | 1,000,000 | 1,019,940 | |
5.125% 6/16/25 | 3,370,000 | 3,688,044 | |
goeasy Ltd.: | |||
4.375% 5/1/26 (d) | 1,075,000 | 1,088,438 | |
5.375% 12/1/24 (d) | 700,000 | 723,625 | |
Navient Corp.: | |||
4.875% 3/15/28 | 1,680,000 | 1,663,200 | |
5% 3/15/27 | 3,230,000 | 3,286,525 | |
6.125% 3/25/24 | 2,435,000 | 2,605,450 | |
6.75% 6/25/25 | 1,255,000 | 1,378,931 | |
6.75% 6/15/26 | 700,000 | 770,875 | |
7.25% 1/25/22 | 220,000 | 227,975 | |
7.25% 9/25/23 | 1,215,000 | 1,331,944 | |
Onemain Finance Corp.: | |||
4% 9/15/30 | 875,000 | 846,738 | |
5.375% 11/15/29 | 2,865,000 | 3,047,644 | |
6.125% 3/15/24 | 1,395,000 | 1,503,113 | |
6.625% 1/15/28 | 3,701,000 | 4,199,895 | |
6.875% 3/15/25 | 3,671,000 | 4,148,230 | |
7.125% 3/15/26 | 5,714,000 | 6,649,668 | |
8.875% 6/1/25 | 2,895,000 | 3,188,119 | |
SLM Corp. 4.2% 10/29/25 | 700,000 | 742,000 | |
42,110,354 | |||
Diversified Financial Services - 0.6% | |||
Cabot Financial SA (Luxembourg): | |||
7.5% 10/1/23 (d) | GBP | 253,599 | 366,643 |
7.5% 10/1/23 (Reg. S) | GBP | 110,260 | 159,410 |
Cosan Luxembourg SA 7% 1/20/27 (d) | 1,315,000 | 1,398,667 | |
Fairstone Financial, Inc. 7.875% 7/15/24 (d) | 1,550,000 | 1,612,000 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.375% 2/1/29 (d) | 2,225,000 | 2,183,281 | |
5.25% 5/15/27 | 6,706,000 | 6,873,650 | |
5.25% 5/15/27 (d) | 3,555,000 | 3,643,875 | |
6.25% 5/15/26 | 7,760,000 | 8,203,251 | |
P&L Development LLC/PLD Finance Corp. 7.75% 11/15/25 (d) | 2,600,000 | 2,755,740 | |
Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. 4.625% 11/1/26 (d) | 365,000 | 381,243 | |
Venator Finance SARL/Venator Capital Management Ltd.: | |||
5.75% 7/15/25 (d) | 2,985,000 | 2,935,807 | |
9.5% 7/1/25 (d) | 825,000 | 926,063 | |
Verscend Escrow Corp. 9.75% 8/15/26 (d) | 8,360,000 | 8,861,600 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (d) | 2,587,000 | 2,505,380 | |
42,806,610 | |||
Insurance - 0.4% | |||
Acrisure LLC / Acrisure Finance, Inc.: | |||
4.25% 2/15/29 (d) | 1,045,000 | 1,020,537 | |
7% 11/15/25 (d) | 1,160,000 | 1,183,200 | |
10.125% 8/1/26 (d) | 2,485,000 | 2,795,625 | |
Alliant Holdings Intermediate LLC: | |||
4.25% 10/15/27 (d) | 354,000 | 353,597 | |
6.75% 10/15/27 (d) | 10,949,000 | 11,304,843 | |
AmWINS Group, Inc. 7.75% 7/1/26 (d) | 3,835,000 | 4,070,411 | |
Genworth Mortgage Holdings, Inc. 6.5% 8/15/25 (d) | 1,565,000 | 1,698,025 | |
GTCR AP Finance, Inc. 8% 5/15/27 (d) | 1,035,000 | 1,104,863 | |
HUB International Ltd. 7% 5/1/26 (d) | 3,825,000 | 3,970,350 | |
USI, Inc. 6.875% 5/1/25 (d) | 2,110,000 | 2,141,650 | |
29,643,101 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Starwood Property Trust, Inc. 5.5% 11/1/23 (d) | 1,425,000 | 1,490,906 | |
Thrifts & Mortgage Finance - 0.3% | |||
Freedom Mortgage Corp. 7.625% 5/1/26 (d) | 1,575,000 | 1,641,938 | |
Home Point Capital, Inc. 5% 2/1/26 (d) | 2,555,000 | 2,463,276 | |
LD Holdings Group LLC 6.125% 4/1/28 (d) | 925,000 | 913,438 | |
MGIC Investment Corp. 5.25% 8/15/28 | 355,000 | 375,519 | |
Nationstar Mortgage Holdings, Inc.: | |||
5.125% 12/15/30 (d) | 2,275,000 | 2,195,375 | |
5.5% 8/15/28 (d) | 3,030,000 | 2,999,700 | |
6% 1/15/27 (d) | 2,662,000 | 2,745,188 | |
Pennymac Financial Services, Inc.: | |||
4.25% 2/15/29 (d) | 2,725,000 | 2,643,250 | |
5.375% 10/15/25 (d) | 2,210,000 | 2,320,500 | |
Quicken Loans LLC 5.25% 1/15/28 (d) | 3,735,000 | 3,905,391 | |
22,203,575 | |||
TOTAL FINANCIALS | 149,503,373 | ||
HEALTH CARE - 3.1% | |||
Biotechnology - 0.0% | |||
Emergent BioSolutions, Inc. 3.875% 8/15/28 (d) | 47,000 | 46,187 | |
Health Care Equipment & Supplies - 0.1% | |||
AdaptHealth LLC: | |||
4.625% 8/1/29 (d) | 3,063,000 | 3,005,354 | |
6.125% 8/1/28 (d) | 785,000 | 825,231 | |
Avantor Funding, Inc. 4.625% 7/15/28 (d) | 4,500,000 | 4,683,645 | |
Hologic, Inc.: | |||
3.25% 2/15/29 (d) | 1,985,000 | 1,935,375 | |
4.625% 2/1/28 (d) | 185,000 | 192,313 | |
Teleflex, Inc. 4.25% 6/1/28 (d) | 295,000 | 304,219 | |
10,946,137 | |||
Health Care Providers & Services - 1.9% | |||
AMN Healthcare: | |||
4% 4/15/29 (d) | 2,522,000 | 2,522,000 | |
4.625% 10/1/27 (d) | 2,065,000 | 2,137,275 | |
Centene Corp.: | |||
3.375% 2/15/30 | 2,145,000 | 2,166,450 | |
4.25% 12/15/27 | 3,045,000 | 3,197,250 | |
4.625% 12/15/29 | 1,400,000 | 1,511,202 | |
Community Health Systems, Inc.: | |||
4.75% 2/15/31 (d) | 2,465,000 | 2,416,957 | |
5.625% 3/15/27 (d) | 2,670,000 | 2,796,825 | |
6% 1/15/29 (d) | 2,260,000 | 2,364,785 | |
6.125% 4/1/30 (d) | 1,985,000 | 1,976,564 | |
6.875% 4/15/29 (d) | 2,345,000 | 2,393,682 | |
8% 3/15/26 (d) | 3,080,000 | 3,296,740 | |
8% 12/15/27 (d) | 2,945,000 | 3,228,456 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31 (d) | 5,395,000 | 5,172,456 | |
4.625% 6/1/30 (d) | 12,045,000 | 12,284,575 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 4,075,000 | 4,187,878 | |
5.375% 2/1/25 | 977,000 | 1,093,019 | |
5.625% 9/1/28 | 275,000 | 319,688 | |
5.875% 2/15/26 | 875,000 | 999,688 | |
5.875% 2/1/29 | 2,030,000 | 2,382,713 | |
7.05% 12/1/27 | 515,000 | 620,575 | |
LifePoint Health, Inc.: | |||
4.375% 2/15/27 (d) | 624,000 | 621,660 | |
6.75% 4/15/25 (d) | 3,260,000 | 3,447,450 | |
MEDNAX, Inc. 6.25% 1/15/27 (d) | 2,525,000 | 2,672,899 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30 (d) | 955,000 | 972,906 | |
4.375% 6/15/28 (d) | 840,000 | 866,250 | |
Owens & Minor, Inc. 4.5% 3/31/29 (d) | 700,000 | 705,159 | |
Prime Healthcare Services 7.25% 11/1/25 (d) | 3,050,000 | 3,259,688 | |
Radiology Partners, Inc. 9.25% 2/1/28 (d) | 2,710,000 | 2,970,838 | |
Regionalcare Hospital Partners 9.75% 12/1/26 (d) | 7,413,000 | 7,987,508 | |
RegionalCare Hospital Partners Holdings, Inc. 5.375% 1/15/29 (d) | 875,000 | 852,031 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (d) | 4,255,000 | 4,393,288 | |
Sabra Health Care LP 5.125% 8/15/26 | 725,000 | 814,906 | |
Select Medical Corp. 6.25% 8/15/26 (d) | 770,000 | 811,873 | |
Surgery Center Holdings, Inc.: | |||
6.75% 7/1/25 (d) | 1,375,000 | 1,397,344 | |
10% 4/15/27 (d) | 1,175,000 | 1,283,688 | |
Tenet Healthcare Corp.: | |||
4.25% 6/1/29 (d)(f) | 6,075,000 | 6,072,752 | |
4.625% 7/15/24 | 3,372,000 | 3,420,557 | |
4.625% 6/15/28 (d) | 3,089,000 | 3,150,780 | |
4.875% 1/1/26 (d) | 2,020,000 | 2,085,650 | |
5.125% 11/1/27 (d) | 2,000,000 | 2,087,540 | |
6.125% 10/1/28 (d) | 17,515,000 | 18,330,323 | |
6.25% 2/1/27 (d) | 6,600,000 | 6,880,500 | |
6.875% 11/15/31 | 1,420,000 | 1,588,625 | |
7.5% 4/1/25 (d) | 2,150,000 | 2,305,053 | |
U.S. Renal Care, Inc. 10.625% 7/15/27 (d) | 820,000 | 853,522 | |
Vizient, Inc. 6.25% 5/15/27 (d) | 125,000 | 132,188 | |
137,033,756 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (d) | 1,425,000 | 1,492,118 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (d) | 800,000 | 797,000 | |
4.25% 5/1/28 (d) | 145,000 | 148,806 | |
945,806 | |||
Pharmaceuticals - 1.1% | |||
Bausch Health Companies, Inc.: | |||
4.875% 6/1/28 (d)(f) | 4,485,000 | 4,521,351 | |
5% 1/30/28 (d) | 6,420,000 | 6,018,750 | |
5% 2/15/29 (d) | 1,490,000 | 1,367,075 | |
5.25% 1/30/30 (d) | 3,792,000 | 3,493,380 | |
5.25% 2/15/31 (d) | 1,600,000 | 1,464,000 | |
6.25% 2/15/29 (d) | 11,853,000 | 11,586,308 | |
7% 3/15/24 (d) | 2,788,000 | 2,846,269 | |
7% 1/15/28 (d) | 7,025,000 | 7,197,183 | |
7.25% 5/30/29 (d) | 3,885,000 | 4,011,263 | |
9% 12/15/25 (d) | 2,500,000 | 2,677,250 | |
Catalent Pharma Solutions 3.125% 2/15/29 (d) | 675,000 | 649,553 | |
Endo Luxembourg Finance Co. I SARL / Endo U.S., Inc. 6.125% 4/1/29 (d) | 1,200,000 | 1,183,500 | |
Jazz Securities DAC 4.375% 1/15/29 (d) | 2,650,000 | 2,725,472 | |
Organon Finance 1 LLC: | |||
4.125% 4/30/28 (d) | 2,345,000 | 2,368,450 | |
5.125% 4/30/31 (d) | 5,375,000 | 5,515,449 | |
Teva Pharmaceutical Finance LLC 6.15% 2/1/36 | 995,000 | 1,061,864 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
6% 4/15/24 | 390,000 | 411,973 | |
6.75% 3/1/28 | 1,500,000 | 1,628,550 | |
7.125% 1/31/25 | 2,850,000 | 3,110,091 | |
Valeant Pharmaceuticals International, Inc.: | |||
8.5% 1/31/27 (d) | 10,489,000 | 11,236,341 | |
9.25% 4/1/26 (d) | 2,385,000 | 2,575,800 | |
77,649,872 | |||
TOTAL HEALTH CARE | 228,113,876 | ||
INDUSTRIALS - 4.5% | |||
Aerospace & Defense - 1.5% | |||
BBA U.S. Holdings, Inc.: | |||
4% 3/1/28 (d) | 3,000,000 | 3,007,500 | |
5.375% 5/1/26 (d) | 2,530,000 | 2,597,994 | |
Bombardier, Inc.: | |||
7.5% 12/1/24 (d) | 5,320,000 | 5,454,117 | |
7.5% 3/15/25 (d) | 17,605,000 | 17,737,038 | |
7.875% 4/15/27 (d) | 12,275,000 | 12,459,125 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (d) | 3,000,000 | 3,015,000 | |
5.375% 7/15/26 (d) | 1,925,000 | 1,983,905 | |
DAE Funding LLC 5% 8/1/24 (d) | 1,340,000 | 1,374,907 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 105,000 | 121,800 | |
6.75% 1/15/28 | 125,000 | 149,219 | |
Moog, Inc. 4.25% 12/15/27 (d) | 4,217,000 | 4,322,425 | |
Spirit Aerosystems, Inc. 7.5% 4/15/25 (d) | 2,325,000 | 2,487,750 | |
The Boeing Co.: | |||
5.15% 5/1/30 | 5,280,000 | 6,180,500 | |
5.805% 5/1/50 | 5,785,000 | 7,440,342 | |
5.93% 5/1/60 | 1,900,000 | 2,470,078 | |
TransDigm, Inc.: | |||
4.625% 1/15/29 (d) | 5,340,000 | 5,273,250 | |
5.5% 11/15/27 | 13,884,000 | 14,369,940 | |
6.25% 3/15/26 (d) | 7,060,000 | 7,441,805 | |
7.5% 3/15/27 | 3,295,000 | 3,514,447 | |
8% 12/15/25 (d) | 5,165,000 | 5,586,516 | |
106,987,658 | |||
Air Freight & Logistics - 0.1% | |||
XPO Logistics, Inc.: | |||
6.125% 9/1/23 (d) | 500,000 | 505,625 | |
6.25% 5/1/25 (d) | 3,310,000 | 3,539,449 | |
4,045,074 | |||
Airlines - 0.3% | |||
American Airlines, Inc. 11.75% 7/15/25 (d) | 2,805,000 | 3,522,884 | |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.: | |||
5.5% 4/20/26 (d) | 3,385,000 | 3,562,713 | |
5.75% 4/20/29 (d) | 5,795,000 | 6,216,470 | |
Delta Air Lines, Inc.: | |||
7% 5/1/25 (d) | 1,055,000 | 1,226,785 | |
7.375% 1/15/26 | 1,450,000 | 1,707,306 | |
Delta Air Lines, Inc. / SkyMiles IP Ltd.: | |||
4.5% 10/20/25 (d) | 240,000 | 259,140 | |
4.75% 10/20/28 (d) | 1,030,000 | 1,125,009 | |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (d) | 1,815,000 | 1,928,438 | |
Mileage Plus Holdings LLC 6.5% 6/20/27 (d) | 1,430,000 | 1,569,854 | |
United Airlines, Inc.: | |||
4.375% 4/15/26 (d) | 2,600,000 | 2,694,250 | |
4.625% 4/15/29 (d) | 2,095,000 | 2,164,439 | |
25,977,288 | |||
Building Products - 0.4% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (d) | 4,950,000 | 5,158,890 | |
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (d) | 1,500,000 | 1,601,250 | |
CP Atlas Buyer, Inc. 7% 12/1/28 (d) | 245,000 | 253,367 | |
Forterra Finance LLC/FRTA Finance Corp. 6.5% 7/15/25 (d) | 905,000 | 975,138 | |
Griffon Corp. 5.75% 3/1/28 | 3,400,000 | 3,587,000 | |
Gypsum Management & Supply, Inc. 4.625% 5/1/29 (d) | 450,000 | 452,813 | |
Jeld-Wen, Inc.: | |||
4.625% 12/15/25 (d) | 450,000 | 457,875 | |
4.875% 12/15/27 (d) | 1,276,000 | 1,317,470 | |
Masonite International Corp. 5.375% 2/1/28 (d) | 650,000 | 687,375 | |
New Enterprise Stone & Lime Co., Inc. 6.25% 3/15/26 (d) | 1,055,000 | 1,086,650 | |
PGT Innovations, Inc. 6.75% 8/1/26 (d) | 920,000 | 971,750 | |
Shea Homes Ltd. Partnership/Corp. 4.75% 2/15/28 (d) | 2,425,000 | 2,431,063 | |
Standard Industries, Inc.: | |||
3.375% 1/15/31 (d) | 950,000 | 901,156 | |
4.375% 7/15/30 (d) | 3,745,000 | 3,785,783 | |
4.75% 1/15/28 (d) | 2,856,000 | 2,968,469 | |
5% 2/15/27 (d) | 180,000 | 186,329 | |
26,822,378 | |||
Commercial Services & Supplies - 0.9% | |||
ACCO Brands Corp. 4.25% 3/15/29 (d) | 2,200,000 | 2,167,000 | |
ADT Corp. 4.875% 7/15/32 (d) | 47,000 | 48,528 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
6% 6/1/29 (d) | 3,230,000 | 3,275,608 | |
6.625% 7/15/26 (d) | 4,259,000 | 4,514,796 | |
9.75% 7/15/27 (d) | 3,310,000 | 3,649,275 | |
APX Group, Inc. 6.75% 2/15/27 (d) | 1,460,000 | 1,547,863 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28 (d) | 2,815,000 | 2,817,871 | |
4.625% 6/1/28 (d) | 3,860,000 | 3,837,612 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (d) | 5,369,000 | 5,489,803 | |
Celestial-Saturn Merger Sub, Inc. 4.5% 5/1/28 (d) | 1,250,000 | 1,233,050 | |
Core & Main Holdings LP 8.625% 9/15/24 pay-in-kind (d) | 2,625,000 | 2,672,880 | |
CoreCivic, Inc. 8.25% 4/15/26 | 550,000 | 536,580 | |
GFL Environmental, Inc. 8.5% 5/1/27 (d) | 865,000 | 947,175 | |
Intrado Corp. 8.5% 10/15/25 (d) | 6,135,000 | 6,088,988 | |
IPD BV 5.5% 12/1/25 (d) | EUR | 245,000 | 309,969 |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (d) | 3,390,000 | 3,390,000 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (d) | 3,635,000 | 3,762,225 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (d) | 225,000 | 231,188 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
4.5% 7/15/29 (d) | 2,595,000 | 2,598,763 | |
4.75% 7/15/31 (d) | 1,275,000 | 1,273,470 | |
5.625% 10/1/28 (d) | 4,599,000 | 4,863,443 | |
5.875% 10/1/30 (d) | 3,464,000 | 3,741,120 | |
PowerTeam Services LLC 9.033% 12/4/25 (d) | 2,385,000 | 2,629,463 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc.: | |||
3.375% 8/31/27 (d) | 47,000 | 45,108 | |
5.75% 4/15/26 (d) | 1,137,000 | 1,243,594 | |
6.25% 1/15/28 (d) | 1,845,000 | 1,908,653 | |
Stericycle, Inc. 3.875% 1/15/29 (d) | 1,815,000 | 1,810,463 | |
The Brink's Co.: | |||
4.625% 10/15/27 (d) | 850,000 | 871,250 | |
5.5% 7/15/25 (d) | 1,130,000 | 1,201,303 | |
68,707,041 | |||
Construction & Engineering - 0.2% | |||
Amsted Industries, Inc.: | |||
4.625% 5/15/30 (d) | 1,490,000 | 1,501,175 | |
5.625% 7/1/27 (d) | 1,605,000 | 1,687,474 | |
Cloud Crane LLC 10.125% 8/1/24 (d) | 4,720,000 | 4,897,000 | |
Great Lakes Dredge & Dock Corp. 5.25% 6/1/29 (d) | 700,000 | 713,125 | |
Pike Corp. 5.5% 9/1/28 (d) | 6,964,000 | 7,105,578 | |
SRS Distribution, Inc.: | |||
4.625% 7/1/28 (d)(f) | 895,000 | 903,234 | |
6.125% 7/1/29 (d)(f) | 355,000 | 362,100 | |
17,169,686 | |||
Electrical Equipment - 0.1% | |||
Sensata Technologies BV 4% 4/15/29 (d) | 2,180,000 | 2,183,924 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (d) | 2,575,000 | 2,780,858 | |
7.25% 6/15/28 (d) | 1,015,000 | 1,125,381 | |
6,090,163 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (d) | 1,015,000 | 992,163 | |
Machinery - 0.4% | |||
Colfax Corp. 6.375% 2/15/26 (d) | 409,000 | 430,158 | |
Hillenbrand, Inc.: | |||
3.75% 3/1/31 | 380,000 | 376,200 | |
5% 9/15/26 (g) | 25,000 | 27,625 | |
5.75% 6/15/25 | 155,000 | 166,148 | |
Meritor, Inc. 6.25% 6/1/25 (d) | 735,000 | 780,019 | |
Mueller Water Products, Inc. 4% 6/15/29 (d) | 2,090,000 | 2,131,800 | |
Navistar International Corp.: | |||
6.625% 11/1/25 (d) | 2,175,000 | 2,249,168 | |
9.5% 5/1/25 (d) | 4,215,000 | 4,556,837 | |
Terex Corp. 5% 5/15/29 (d) | 1,475,000 | 1,534,000 | |
Titan International, Inc. 7% 4/30/28 (d) | 850,000 | 885,870 | |
Vertical Holdco GmbH 7.625% 7/15/28 (d) | 3,285,000 | 3,535,843 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (d) | 10,415,000 | 10,831,600 | |
27,505,268 | |||
Professional Services - 0.2% | |||
ASGN, Inc. 4.625% 5/15/28 (d) | 660,000 | 686,400 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (d) | 2,275,000 | 2,276,519 | |
Dun & Bradstreet Corp.: | |||
6.875% 8/15/26 (d) | 4,339,000 | 4,626,459 | |
10.25% 2/15/27 (d) | 2,675,000 | 2,952,531 | |
Science Applications International Corp. 4.875% 4/1/28(d) | 2,320,000 | 2,410,619 | |
TriNet Group, Inc. 3.5% 3/1/29 (d) | 1,780,000 | 1,731,050 | |
14,683,578 | |||
Road & Rail - 0.1% | |||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | |||
4.75% 4/1/28 (d) | 1,475,000 | 1,519,250 | |
5.75% 7/15/27 (d) | 430,000 | 450,425 | |
5.75% 7/15/27 (d) | 1,125,000 | 1,178,438 | |
Uber Technologies, Inc.: | |||
7.5% 5/15/25 (d) | 540,000 | 582,930 | |
7.5% 9/15/27 (d) | 3,635,000 | 3,980,325 | |
Watco Companies LLC / Watco Finance Corp. 6.5% 6/15/27 (d) | 1,595,000 | 1,686,713 | |
9,398,081 | |||
Trading Companies & Distributors - 0.3% | |||
Alta Equipment Group, Inc. 5.625% 4/15/26 (d) | 1,000,000 | 1,027,500 | |
Fortress Transportation & Infrastructure Investors LLC 5.5% 5/1/28 (d) | 500,000 | 518,993 | |
Foundation Building Materials, Inc. 6% 3/1/29 (d) | 1,625,000 | 1,593,150 | |
H&E Equipment Services, Inc. 3.875% 12/15/28 (d) | 6,685,000 | 6,465,598 | |
United Rentals North America, Inc.: | |||
3.875% 2/15/31 | 4,200,000 | 4,221,000 | |
4% 7/15/30 | 3,350,000 | 3,412,746 | |
4.875% 1/15/28 | 4,310,000 | 4,552,653 | |
5.25% 1/15/30 | 2,400,000 | 2,619,156 | |
24,410,796 | |||
TOTAL INDUSTRIALS | 332,789,174 | ||
INFORMATION TECHNOLOGY - 2.1% | |||
Communications Equipment - 0.2% | |||
Commscope Technologies LLC 6% 6/15/25(d) | 1,040,000 | 1,061,112 | |
CommScope, Inc.: | |||
5.5% 3/1/24 (d) | 1,000,000 | 1,028,700 | |
6% 3/1/26 (d) | 2,823,000 | 2,965,562 | |
7.125% 7/1/28 (d) | 900,000 | 962,901 | |
8.25% 3/1/27 (d) | 530,000 | 565,775 | |
Hughes Satellite Systems Corp.: | |||
6.625% 8/1/26 | 3,210,000 | 3,559,088 | |
7.625% 6/15/21 | 75,000 | 75,165 | |
SSL Robotics LLC 9.75% 12/31/23 (d) | 1,581,000 | 1,745,029 | |
ViaSat, Inc.: | |||
5.625% 9/15/25 (d) | 2,625,000 | 2,682,750 | |
5.625% 4/15/27 (d) | 1,155,000 | 1,207,899 | |
6.5% 7/15/28 (d) | 355,000 | 375,945 | |
16,229,926 | |||
Electronic Equipment & Components - 0.1% | |||
Brightstar Escrow Corp. 9.75% 10/15/25 (d) | 2,085,000 | 2,262,225 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (d) | 1,400,000 | 1,366,750 | |
TTM Technologies, Inc. 4% 3/1/29 (d) | 4,840,000 | 4,785,550 | |
8,414,525 | |||
IT Services - 1.0% | |||
Acuris Finance U.S. 5% 5/1/28 (d) | 4,185,000 | 4,185,000 | |
Ahead DB Holdings LLC 6.625% 5/1/28 (d) | 300,000 | 303,750 | |
Alliance Data Systems Corp. 4.75% 12/15/24 (d) | 1,775,000 | 1,828,250 | |
Arches Buyer, Inc.: | |||
4.25% 6/1/28 (d) | 3,110,000 | 3,055,575 | |
6.125% 12/1/28 (d) | 3,910,000 | 3,997,975 | |
Banff Merger Sub, Inc. 9.75% 9/1/26 (d) | 9,062,000 | 9,594,393 | |
CDW LLC/CDW Finance Corp. 3.25% 2/15/29 | 1,605,000 | 1,629,878 | |
Everi Payments, Inc. 7.5% 12/15/25 (d) | 3,552,000 | 3,676,320 | |
Gartner, Inc.: | |||
3.75% 10/1/30 (d) | 1,620,000 | 1,626,156 | |
4.5% 7/1/28 (d) | 1,285,000 | 1,352,463 | |
GCI LLC 4.75% 10/15/28 (d) | 850,000 | 867,000 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | |||
3.5% 3/1/29 (d) | 1,075,000 | 1,036,064 | |
5.25% 12/1/27 (d) | 735,000 | 768,075 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | |||
6% 2/15/28 (d) | 390,000 | 385,932 | |
10.75% 6/1/28 (d) | 2,286,000 | 2,560,320 | |
Presidio Holdings, Inc.: | |||
4.875% 2/1/27 (d) | 660,000 | 678,150 | |
8.25% 2/1/28 (d) | 865,000 | 943,395 | |
Rackspace Hosting, Inc.: | |||
3.5% 2/15/28 (d) | 1,100,000 | 1,059,344 | |
5.375% 12/1/28 (d) | 14,495,000 | 14,626,905 | |
RP Crown Parent, LLC 7.375% 10/15/24 (d) | 600,000 | 611,310 | |
Sabre GLBL, Inc.: | |||
7.375% 9/1/25 (d) | 660,000 | 711,150 | |
9.25% 4/15/25 (d) | 820,000 | 959,400 | |
Tempo Acquisition LLC: | |||
5.75% 6/1/25 (d) | 1,505,000 | 1,589,656 | |
6.75% 6/1/25 (d) | 10,405,000 | 10,593,331 | |
Twilio, Inc. 3.875% 3/15/31 | 880,000 | 894,177 | |
69,533,969 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Microchip Technology, Inc. 4.25% 9/1/25 (d) | 4,873,000 | 5,119,023 | |
ON Semiconductor Corp. 3.875% 9/1/28 (d) | 885,000 | 898,275 | |
6,017,298 | |||
Software - 0.6% | |||
Ascend Learning LLC: | |||
6.875% 8/1/25 (d) | 3,910,000 | 3,983,313 | |
6.875% 8/1/25 (d) | 665,000 | 677,469 | |
Black Knight InfoServ LLC 3.625% 9/1/28 (d) | 6,880,000 | 6,768,200 | |
Boxer Parent Co., Inc.: | |||
6.5% 10/2/25 (d) | EUR | 210,000 | 272,534 |
7.125% 10/2/25 (d) | 3,605,000 | 3,866,723 | |
9.125% 3/1/26 (d) | 415,000 | 436,385 | |
BY Crown Parent LLC / BY Bond Finance, Inc. 4.25% 1/31/26 (d) | 3,325,000 | 3,474,160 | |
CDK Global, Inc. 5.25% 5/15/29 (d) | 1,595,000 | 1,720,782 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 1,295,000 | 1,270,719 | |
Fair Isaac Corp. 5.25% 5/15/26 (d) | 1,225,000 | 1,372,000 | |
ION Trading Technologies Ltd. 5.75% 5/15/28 (d) | 3,905,000 | 3,960,061 | |
LogMeIn, Inc. 5.5% 9/1/27 (d) | 650,000 | 669,448 | |
NortonLifeLock, Inc. 5% 4/15/25 (d) | 1,300,000 | 1,313,910 | |
Open Text Corp.: | |||
3.875% 2/15/28 (d) | 875,000 | 874,764 | |
5.875% 6/1/26 (d) | 1,000,000 | 1,028,790 | |
Open Text Holdings, Inc. 4.125% 2/15/30 (d) | 3,904,000 | 3,918,640 | |
Rocket Software, Inc. 6.5% 2/15/29 (d) | 975,000 | 948,188 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (d) | 3,615,000 | 3,709,930 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (d) | 1,380,000 | 1,461,558 | |
Veritas U.S., Inc./Veritas Bermuda Ltd.: | |||
7.5% 9/1/25 (d) | 1,285,000 | 1,329,975 | |
10.5% 2/1/24 (d) | 1,810,000 | 1,855,250 | |
44,912,799 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
NCR Corp.: | |||
5% 10/1/28 (d) | 675,000 | 693,563 | |
5.125% 4/15/29 (d) | 1,725,000 | 1,769,678 | |
5.25% 10/1/30 (d) | 2,755,000 | 2,857,458 | |
8.125% 4/15/25 (d) | 175,000 | 190,750 | |
5,511,449 | |||
TOTAL INFORMATION TECHNOLOGY | 150,619,966 | ||
MATERIALS - 3.8% | |||
Chemicals - 1.5% | |||
Avient Corp. 5.75% 5/15/25 (d) | 100,000 | 105,750 | |
Axalta Coating Systems LLC 3.375% 2/15/29 (d) | 1,095,000 | 1,056,675 | |
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (d) | 1,175,000 | 1,230,813 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 1,697,000 | 1,920,156 | |
5.15% 3/15/34 | 792,000 | 934,322 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 3.9339% 6/15/22 (d)(g)(i) | 2,025,000 | 2,000,007 | |
6.5% 5/15/26 (d) | 3,205,000 | 3,221,025 | |
6.875% 6/15/25 (d) | 715,000 | 719,269 | |
Cornerstone Chemical Co. 6.75% 8/15/24 (d) | 2,050,000 | 1,899,079 | |
CVR Partners LP 9.25% 6/15/23 (d) | 2,930,000 | 2,922,675 | |
Element Solutions, Inc. 3.875% 9/1/28 (d) | 47,000 | 47,136 | |
GrafTech Finance, Inc. 4.625% 12/15/28 (d) | 1,635,000 | 1,673,096 | |
Hexion, Inc. 7.875% 7/15/27 (d) | 1,550,000 | 1,670,319 | |
Ingevity Corp. 3.875% 11/1/28 (d) | 375,000 | 370,313 | |
Kraton Polymers LLC/Kraton Polymers Capital Corp. 5.25% 5/15/26 (d) | EUR | 360,000 | 450,526 |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.: | |||
5% 12/31/26 (d) | 3,450,000 | 3,506,063 | |
7% 12/31/27 (d) | 2,160,000 | 2,197,800 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 3,936,000 | 4,113,120 | |
5.25% 12/15/29 | 1,483,000 | 1,556,231 | |
5.65% 12/1/44 | 3,012,000 | 3,053,114 | |
Neon Holdings, Inc. 10.125% 4/1/26 (d) | 1,535,000 | 1,676,988 | |
Nouryon Holding BV 8% 10/1/26 (d) | 2,845,000 | 3,005,031 | |
NOVA Chemicals Corp.: | |||
4.25% 5/15/29 (d) | 1,340,000 | 1,343,430 | |
4.875% 6/1/24 (d) | 800,000 | 838,624 | |
5.25% 6/1/27 (d) | 4,100,000 | 4,387,000 | |
OCI NV 4.625% 10/15/25 (d) | 1,240,000 | 1,291,113 | |
Olin Corp.: | |||
5% 2/1/30 | 1,850,000 | 1,961,000 | |
5.625% 8/1/29 | 844,000 | 918,053 | |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (d) | 2,075,000 | 2,132,063 | |
SCIH Salt Holdings, Inc.: | |||
4.875% 5/1/28 (d) | 1,600,000 | 1,588,000 | |
6.625% 5/1/29 (d) | 1,570,000 | 1,558,225 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 7,852,000 | 8,442,470 | |
5.75% 11/15/28 (d) | 10,520,000 | 11,244,407 | |
7% 5/15/25 | 2,744,000 | 2,819,872 | |
The Scotts Miracle-Gro Co.: | |||
4% 4/1/31 (d) | 1,275,000 | 1,258,782 | |
4.5% 10/15/29 | 1,555,000 | 1,619,222 | |
TPC Group, Inc.: | |||
10.5% 8/1/24 (d) | 4,960,000 | 4,644,395 | |
10.875% 8/1/24 (d) | 911,763 | 957,351 | |
Tronox, Inc.: | |||
4.625% 3/15/29 (d) | 4,040,000 | 4,138,172 | |
6.5% 5/1/25 (d) | 5,100,000 | 5,425,125 | |
Univar Solutions U.S.A., Inc. 5.125% 12/1/27 (d) | 1,510,000 | 1,583,613 | |
Valvoline, Inc.: | |||
3.625% 6/15/31 (d) | 750,000 | 728,985 | |
4.25% 2/15/30 (d) | 5,754,000 | 5,869,080 | |
W. R. Grace & Co.-Conn. 4.875% 6/15/27 (d) | 2,891,000 | 3,042,778 | |
107,121,268 | |||
Construction Materials - 0.2% | |||
CEMEX S.A.B. de CV 5.45% 11/19/29 (d) | 200,000 | 219,163 | |
Smyrna Ready Mix LLC 6% 11/1/28 (d) | 850,000 | 885,683 | |
SRM Escrow Issuer LLC 6% 11/1/28 (d) | 3,100,000 | 3,230,138 | |
Summit Materials LLC/Summit Materials Finance Corp.: | |||
5.25% 1/15/29 (d) | 2,230,000 | 2,352,650 | |
6.5% 3/15/27 (d) | 2,375,000 | 2,505,625 | |
U.S. Concrete, Inc.: | |||
5.125% 3/1/29 (d) | 2,750,000 | 2,811,875 | |
6.375% 6/1/24 | 964,000 | 984,003 | |
White Cap Buyer LLC 6.875% 10/15/28 (d) | 1,420,000 | 1,494,550 | |
14,483,687 | |||
Containers & Packaging - 0.6% | |||
ARD Finance SA 6.5% 6/30/27 pay-in-kind (d)(g) | 3,805,000 | 3,971,659 | |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 4% 9/1/29 (d) | 5,335,000 | 5,254,975 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (d) | 605,000 | 619,369 | |
5.25% 4/30/25 (d) | 440,000 | 461,450 | |
5.25% 8/15/27 (d) | 3,034,000 | 3,060,548 | |
5.25% 8/15/27 (d) | 3,140,000 | 3,170,458 | |
6% 2/15/25 (d) | 623,000 | 641,815 | |
BWAY Holding Co.: | |||
7.25% 4/15/25 (d) | 1,720,000 | 1,692,050 | |
8.5% 4/15/24 (d) | 400,000 | 413,000 | |
Flex Acquisition Co., Inc.: | |||
6.875% 1/15/25 (d) | 3,884,000 | 3,911,809 | |
7.875% 7/15/26 (d) | 5,174,000 | 5,377,959 | |
Graham Packaging Co., Inc. 7.125% 8/15/28 (d) | 320,000 | 341,440 | |
Intelligent Packaging Holdco I 9% 1/15/26 pay-in-kind (d)(g) | 1,016,000 | 1,038,860 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (d) | 1,187,000 | 1,225,578 | |
Intertape Polymer Group, Inc. 4.375% 6/15/29 (d)(f) | 1,905,000 | 1,924,050 | |
Owens-Brockway Glass Container, Inc.: | |||
6.375% 8/15/25 (d) | 650,000 | 720,688 | |
6.625% 5/13/27 (d) | 1,775,000 | 1,928,094 | |
Pactiv LLC: | |||
7.95% 12/15/25 | 690,000 | 765,900 | |
8.375% 4/15/27 | 175,000 | 200,375 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (d) | 6,664,000 | 6,947,220 | |
8.5% 8/15/27 (d) | 3,547,000 | 3,811,642 | |
47,478,939 | |||
Metals & Mining - 1.5% | |||
Alcoa Nederland Holding BV: | |||
5.5% 12/15/27 (d) | 1,340,000 | 1,452,131 | |
6.125% 5/15/28 (d) | 940,000 | 1,023,425 | |
7% 9/30/26 (d) | 2,010,000 | 2,105,475 | |
Allegheny Technologies, Inc.: | |||
5.875% 12/1/27 | 8,275,000 | 8,761,156 | |
7.875% 8/15/23 | 440,000 | 485,289 | |
Arconic Rolled Products Corp.: | |||
6% 5/15/25 (d) | 525,000 | 560,600 | |
6.125% 2/15/28 (d) | 1,550,000 | 1,649,774 | |
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (d) | 4,845,000 | 5,244,713 | |
Cleveland-Cliffs, Inc. 9.875% 10/17/25 (d) | 453,000 | 530,035 | |
Compass Minerals International, Inc. 6.75% 12/1/27 (d) | 690,000 | 740,025 | |
Constellium NV: | |||
3.75% 4/15/29 (d) | 975,000 | 946,969 | |
5.625% 6/15/28 (d) | 500,000 | 530,000 | |
5.75% 5/15/24 (d) | 2,900,000 | 2,931,900 | |
5.875% 2/15/26 (d) | 1,500,000 | 1,539,990 | |
Eldorado Gold Corp. 9.5% 6/1/24 (d) | 2,864,000 | 3,117,464 | |
First Quantum Minerals Ltd.: | |||
6.5% 3/1/24 (d) | 2,185,000 | 2,235,528 | |
6.875% 3/1/26 (d) | 2,545,000 | 2,658,412 | |
6.875% 10/15/27 (d) | 4,470,000 | 4,877,888 | |
7.25% 4/1/23 (d) | 8,950,000 | 9,129,000 | |
7.5% 4/1/25 (d) | 1,081,000 | 1,121,065 | |
FMG Resources (August 2006) Pty Ltd.: | |||
4.375% 4/1/31 (d) | 2,180,000 | 2,277,664 | |
4.5% 9/15/27 (d) | 20,000 | 21,717 | |
5.125% 5/15/24 (d) | 1,260,000 | 1,374,055 | |
Freeport-McMoRan, Inc.: | |||
4.375% 8/1/28 | 1,175,000 | 1,240,207 | |
4.55% 11/14/24 | 2,500,000 | 2,709,725 | |
4.625% 8/1/30 | 1,195,000 | 1,311,513 | |
5% 9/1/27 | 570,000 | 601,350 | |
5.25% 9/1/29 | 585,000 | 650,315 | |
5.4% 11/14/34 | 2,215,000 | 2,625,473 | |
5.45% 3/15/43 | 2,840,000 | 3,429,300 | |
Hecla Mining Co. 7.25% 2/15/28 | 4,830,000 | 5,300,925 | |
HudBay Minerals, Inc.: | |||
4.5% 4/1/26 (d) | 2,205,000 | 2,182,950 | |
6.125% 4/1/29 (d) | 3,619,000 | 3,781,855 | |
IAMGOLD Corp. 5.75% 10/15/28 (d) | 2,550,000 | 2,666,344 | |
Joseph T. Ryerson & Son, Inc. 8.5% 8/1/28 (d) | 1,395,000 | 1,542,870 | |
Kaiser Aluminum Corp.: | |||
4.5% 6/1/31 (d) | 2,075,000 | 2,109,445 | |
4.625% 3/1/28 (d) | 4,239,000 | 4,330,562 | |
New Gold, Inc.: | |||
6.375% 5/15/25 (d) | 1,623,000 | 1,671,690 | |
7.5% 7/15/27 (d) | 4,195,000 | 4,572,550 | |
Novelis Corp.: | |||
4.75% 1/30/30 (d) | 2,785,000 | 2,924,250 | |
5.875% 9/30/26 (d) | 3,589,000 | 3,742,609 | |
TMS International Corp. 6.25% 4/15/29 (d) | 675,000 | 702,000 | |
United States Steel Corp. 6.875% 3/1/29 | 3,540,000 | 3,708,610 | |
107,118,818 | |||
Paper & Forest Products - 0.0% | |||
Mercer International, Inc.: | |||
5.125% 2/1/29 (d) | 870,000 | 896,100 | |
5.5% 1/15/26 | 160,000 | 164,400 | |
SPA Holdings 3 OY 4.875% 2/4/28 (d) | 2,065,000 | 2,077,906 | |
3,138,406 | |||
TOTAL MATERIALS | 279,341,118 | ||
REAL ESTATE - 1.9% | |||
Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,170,000 | 1,199,250 | |
ESH Hospitality, Inc.: | |||
4.625% 10/1/27 (d) | 1,025,000 | 1,083,938 | |
5.25% 5/1/25 (d) | 4,500,000 | 4,584,375 | |
MGM Growth Properties Operating Partnership LP: | |||
3.875% 2/15/29 (d) | 950,000 | 961,011 | |
4.5% 1/15/28 | 2,400,000 | 2,515,800 | |
4.625% 6/15/25 (d) | 140,000 | 148,400 | |
5.75% 2/1/27 | 660,000 | 730,745 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
3.5% 3/15/31 | 375,000 | 377,919 | |
4.625% 8/1/29 | 300,000 | 318,000 | |
5% 10/15/27 | 5,689,000 | 5,987,673 | |
Park Intermediate Holdings LLC: | |||
4.875% 5/15/29 (d) | 1,005,000 | 1,040,577 | |
5.875% 10/1/28 (d) | 2,265,000 | 2,417,888 | |
7.5% 6/1/25 (d) | 5,834,000 | 6,310,288 | |
RHP Hotel Properties LP/RHP Finance Corp.: | |||
4.5% 2/15/29 (d) | 650,000 | 646,750 | |
4.75% 10/15/27 | 480,000 | 487,565 | |
SBA Communications Corp.: | |||
3.125% 2/1/29 (d) | 950,000 | 912,000 | |
4.875% 9/1/24 | 1,425,000 | 1,454,398 | |
Senior Housing Properties Trust: | |||
4.375% 3/1/31 | 925,000 | 869,500 | |
4.75% 5/1/24 | 1,375,000 | 1,389,630 | |
4.75% 2/15/28 | 800,000 | 772,000 | |
9.75% 6/15/25 | 3,955,000 | 4,395,073 | |
Service Properties Trust: | |||
4.375% 2/15/30 | 475,000 | 427,500 | |
4.95% 2/15/27 | 1,100,000 | 1,053,250 | |
4.95% 10/1/29 | 1,015,000 | 946,488 | |
5.5% 12/15/27 | 945,000 | 972,560 | |
The GEO Group, Inc. 6% 4/15/26 | 650,000 | 390,757 | |
Uniti Group LP / Uniti Group Finance, Inc.: | |||
4.75% 4/15/28 (d) | 4,880,000 | 4,836,129 | |
6.5% 2/15/29 (d) | 11,855,000 | 11,736,450 | |
Uniti Group, Inc.: | |||
7.125% 12/15/24 (d) | 5,050,000 | 5,201,500 | |
7.875% 2/15/25 (d) | 15,830,000 | 16,957,888 | |
VICI Properties, Inc.: | |||
4.125% 8/15/30 (d) | 1,850,000 | 1,878,490 | |
4.25% 12/1/26 (d) | 575,000 | 591,531 | |
4.625% 12/1/29 (d) | 3,296,000 | 3,428,994 | |
XHR LP 4.875% 6/1/29 (d) | 505,000 | 513,232 | |
87,537,549 | |||
Real Estate Management & Development - 0.7% | |||
DTZ U.S. Borrower LLC 6.75% 5/15/28 (d) | 3,765,000 | 4,056,788 | |
Five Point Operation Co. LP 7.875% 11/15/25 (d) | 4,269,000 | 4,499,868 | |
Forestar Group, Inc.: | |||
3.85% 5/15/26 (d) | 1,850,000 | 1,861,563 | |
5% 3/1/28 (d) | 1,677,000 | 1,739,888 | |
Greystar Real Estate Partners 5.75% 12/1/25 (d) | 2,771,000 | 2,840,275 | |
Howard Hughes Corp.: | |||
4.125% 2/1/29 (d) | 3,540,000 | 3,517,450 | |
4.375% 2/1/31 (d) | 3,080,000 | 3,053,050 | |
5.375% 8/1/28 (d) | 3,990,000 | 4,201,969 | |
Hunt Companies, Inc. 5.25% 4/15/29 (d) | 4,075,000 | 3,920,884 | |
Mattamy Group Corp.: | |||
4.625% 3/1/30 (d) | 2,675,000 | 2,668,313 | |
5.25% 12/15/27 (d) | 2,050,000 | 2,137,125 | |
Realogy Group LLC/Realogy Co-Issuer Corp.: | |||
5.75% 1/15/29 (d) | 2,200,000 | 2,298,494 | |
7.625% 6/15/25 (d) | 255,000 | 276,356 | |
9.375% 4/1/27 (d) | 975,000 | 1,082,855 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30 (d) | 3,758,000 | 4,021,060 | |
5.75% 1/15/28 (d) | 4,020,000 | 4,447,125 | |
5.875% 6/15/27 (d) | 1,125,000 | 1,263,533 | |
6.625% 7/15/27 (d) | 2,498,000 | 2,685,350 | |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (d) | 280,000 | 290,416 | |
WeWork Companies, Inc. 7.875% 5/1/25 (d) | 1,630,000 | 1,642,225 | |
52,504,587 | |||
TOTAL REAL ESTATE | 140,042,136 | ||
UTILITIES - 1.7% | |||
Electric Utilities - 1.1% | |||
Clearway Energy Operating LLC: | |||
3.75% 2/15/31 (d) | 2,825,000 | 2,733,188 | |
4.75% 3/15/28 (d) | 290,000 | 299,788 | |
FirstEnergy Corp. 7.375% 11/15/31 | 600,000 | 799,128 | |
NextEra Energy Partners LP: | |||
4.25% 7/15/24 (d) | 1,020,000 | 1,080,690 | |
4.25% 9/15/24 (d) | 110,000 | 115,902 | |
4.5% 9/15/27 (d) | 1,025,000 | 1,114,790 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29 (d) | 3,805,000 | 3,669,865 | |
3.625% 2/15/31 (d) | 2,355,000 | 2,257,856 | |
5.25% 6/15/29 (d) | 3,972,000 | 4,170,600 | |
5.75% 1/15/28 | 325,000 | 344,468 | |
6.625% 1/15/27 | 5,890,000 | 6,112,583 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (d) | 1,243,668 | 1,330,724 | |
Pacific Gas & Electric Co. 4.55% 7/1/30 | 2,865,000 | 3,013,785 | |
Pattern Energy Operations LP 4.5% 8/15/28 (d) | 220,000 | 224,950 | |
PG&E Corp.: | |||
5% 7/1/28 | 8,141,000 | 8,100,295 | |
5.25% 7/1/30 | 13,675,000 | 13,828,844 | |
Vistra Operations Co. LLC: | |||
4.375% 5/1/29 (d) | 6,455,000 | 6,488,695 | |
5% 7/31/27 (d) | 8,408,000 | 8,586,670 | |
5.5% 9/1/26 (d) | 3,295,000 | 3,401,897 | |
5.625% 2/15/27 (d) | 13,377,000 | 13,878,638 | |
81,553,356 | |||
Gas Utilities - 0.2% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.5% 5/20/25 | 2,675,000 | 2,939,156 | |
5.625% 5/20/24 | 1,464,000 | 1,611,132 | |
5.75% 5/20/27 | 2,655,000 | 2,947,050 | |
5.875% 8/20/26 | 3,750,000 | 4,180,125 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp. 5.875% 3/1/27 | 3,415,000 | 3,560,138 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (d) | 1,530,000 | 1,556,102 | |
16,793,703 | |||
Independent Power and Renewable Electricity Producers - 0.4% | |||
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (d) | 625,000 | 628,125 | |
Calpine Corp.: | |||
4.5% 2/15/28 (d) | 2,017,000 | 2,039,691 | |
4.625% 2/1/29(d) | 425,000 | 414,375 | |
5% 2/1/31 (d) | 5,675,000 | 5,504,183 | |
5.125% 3/15/28 (d) | 14,513,000 | 14,621,848 | |
5.25% 6/1/26 (d) | 396,000 | 407,595 | |
TerraForm Global, Inc. 6.125% 3/1/26 (d) | 1,180,000 | 1,215,400 | |
TerraForm Power Operating LLC: | |||
4.75% 1/15/30 (d) | 55,000 | 56,225 | |
5% 1/31/28 (d) | 920,000 | 966,658 | |
25,854,100 | |||
Water Utilities - 0.0% | |||
Solaris Midstream Holdings LLC 7.625% 4/1/26 (d) | 825,000 | 863,156 | |
TOTAL UTILITIES | 125,064,315 | ||
TOTAL NONCONVERTIBLE BONDS | 3,034,788,770 | ||
TOTAL CORPORATE BONDS | |||
(Cost $2,961,383,291) | 3,042,588,127 | ||
Municipal Securities - 0.1% | |||
Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.: | |||
Series 2006 A, 5.25% 7/1/25 | $640,000 | $574,400 | |
Series 2011, 5.5% 7/1/31 | 450,000 | 395,438 | |
Series 2012 A, 5.25% 7/1/23 | 250,000 | 210,000 | |
Series 2014 A, 8% 7/1/35 | 3,610,000 | 2,906,050 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $4,010,981) | 4,085,888 | ||
Shares | Value | ||
Common Stocks - 0.3% | |||
COMMUNICATION SERVICES - 0.1% | |||
Media - 0.0% | |||
Liberty Broadband Corp. Class C (j) | 5,000 | $831,450 | |
Wireless Telecommunication Services - 0.1% | |||
T-Mobile U.S., Inc. | 16,000 | 2,263,200 | |
TOTAL COMMUNICATION SERVICES | 3,094,650 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Hotels, Restaurants & Leisure - 0.0% | |||
CEC Brands LLC warrants 12/30/25 (c)(j) | 18,027 | 0 | |
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.0% | |||
Jonah Energy Parent LLC (c) | 29,131 | 436,965 | |
Oil, Gas & Consumable Fuels - 0.1% | |||
Chesapeake Energy Corp. | 112,011 | 5,914,181 | |
Chesapeake Energy Corp. (b) | 644 | 32,303 | |
Extraction Oil & Gas, Inc. (j) | 40,857 | 2,006,896 | |
Mesquite Energy, Inc. (c) | 46,770 | 745,987 | |
8,699,367 | |||
TOTAL ENERGY | 9,136,332 | ||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
Constellium NV (j) | 90,000 | 1,607,400 | |
UTILITIES - 0.1% | |||
Gas Utilities - 0.1% | |||
Ferrellgas Partners LP Class B (j) | 23,547 | 4,591,665 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Vistra Corp. | 93,700 | 1,515,129 | |
Multi-Utilities - 0.0% | |||
Sempra Energy | 5,000 | 677,450 | |
TOTAL UTILITIES | 6,784,244 | ||
TOTAL COMMON STOCKS | |||
(Cost $14,784,944) | 20,622,626 | ||
Convertible Preferred Stocks - 0.2% | |||
HEALTH CARE - 0.1% | |||
Health Care Equipment & Supplies - 0.0% | |||
Danaher Corp. Series B, 5.00% | 1,525 | 2,169,923 | |
Life Sciences Tools & Services - 0.1% | |||
Avantor, Inc. Series A, 6.25% | 29,155 | 2,903,838 | |
TOTAL HEALTH CARE | 5,073,761 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
American Electric Power Co., Inc.: | |||
6.125% | 15,000 | 755,100 | |
6.125% | 58,350 | 2,909,331 | |
NextEra Energy, Inc. 5.279% | 58,200 | 2,793,600 | |
Southern Co. 6.75% | 33,100 | 1,714,911 | |
8,172,942 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $12,334,414) | 13,246,703 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 2.7% | |||
COMMUNICATION SERVICES - 0.4% | |||
Diversified Telecommunication Services - 0.1% | |||
Altice France SA Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 4.1548% 8/14/26 (g)(i)(k) | 1,678,593 | 1,675,655 | |
Iridium Satellite LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 11/4/26 (g)(i)(k) | 3,218,380 | 3,225,429 | |
4,901,084 | |||
Media - 0.0% | |||
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.35% 8/24/26 (g)(i)(k) | 620,000 | 443,883 | |
iHeartCommunications, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0925% 5/1/26 (g)(i)(k) | 740,625 | 732,449 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 5/1/26 (g)(i)(k) | 868,438 | 869,523 | |
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.25% 8/19/23 (g)(i)(k) | 1,439,074 | 1,434,584 | |
3,480,439 | |||
Wireless Telecommunication Services - 0.3% | |||
CCI Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/17/27 (g)(i)(k) | 1,005,000 | 1,006,256 | |
Crown Subsea Communications Holding, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 4/20/27 (g)(i)(k) | 1,608,082 | 1,610,768 | |
Intelsat Jackson Holdings SA: | |||
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8% 11/27/23 (g)(i)(k) | 5,965,000 | 6,052,805 | |
Tranche B-4, term loan 3 month U.S. LIBOR + 5.500% 8.75% 1/2/24 (g)(i)(k) | 3,131,000 | 3,183,569 | |
Tranche B-5, term loan 8.625% 1/2/24 (k) | 1,549,000 | 1,573,892 | |
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.5% 7/13/22 (g)(i)(k) | 1,145,082 | 1,150,807 | |
Xplornet Communications, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 4.8425% 6/10/27 (g)(i)(k) | 4,320,111 | 4,325,511 | |
18,903,608 | |||
TOTAL COMMUNICATION SERVICES | 27,285,131 | ||
CONSUMER DISCRETIONARY - 0.3% | |||
Auto Components - 0.0% | |||
Clarios Global LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3425% 4/30/26 (g)(i)(k) | 409,981 | 407,804 | |
Truck Hero, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 1/29/28 (g)(i)(k) | 875,000 | 875,000 | |
1,282,804 | |||
Automobiles - 0.0% | |||
Navistar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.43% 11/6/24 (g)(i)(k) | 992,308 | 991,891 | |
Hotels, Restaurants & Leisure - 0.2% | |||
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.75% 10/20/24 (g)(i)(k) | 4,236,416 | 4,204,642 | |
Golden Nugget LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.25% 10/4/23 (g)(i)(k) | 5,207,241 | 5,163,657 | |
Life Time, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.75% 12/15/24 (g)(i)(k) | 2,471,123 | 2,476,905 | |
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 2.8425% 8/14/24 (g)(i)(k) | 1,701,231 | 1,683,504 | |
13,528,708 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Bass Pro Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 3/5/28 (g)(i)(k) | 1,571,063 | 1,581,667 | |
Specialty Retail - 0.1% | |||
LBM Acquisition LLC Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.750% 12/18/27 (i)(k)(l) | 485,455 | 484,445 | |
3 month U.S. LIBOR + 3.750% 4.5% 12/18/27 (g)(i)(k) | 2,184,545 | 2,180,002 | |
Mavis Tire Express Services TopCo LP 1LN, term loan 3 month U.S. LIBOR + 4.000% 5/4/28 (i)(k)(l) | 1,235,000 | 1,236,988 | |
3,901,435 | |||
TOTAL CONSUMER DISCRETIONARY | 21,286,505 | ||
CONSUMER STAPLES - 0.0% | |||
Food & Staples Retailing - 0.0% | |||
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 4.2025% 2/6/25 (g)(i)(k) | 1,115,000 | 1,103,293 | |
Food Products - 0.0% | |||
BellRing Brands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/21/24 (g)(i)(k) | 907,998 | 914,000 | |
TOTAL CONSUMER STAPLES | 2,017,293 | ||
ENERGY - 0.2% | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Ascent Resources - Utica LLC/ARU Finance Corp. 2LN, term loan 3 month U.S. LIBOR + 9.000% 11/1/25 (i)(k)(l) | 3,503,000 | 3,870,815 | |
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/24/24 (g)(i)(k) | 5,966,170 | 5,893,085 | |
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8% 8/1/23 (g)(i)(k) | 370,301 | 366,413 | |
Citgo Petroleum Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.25% 3/28/24 (g)(i)(k) | 675,101 | 677,970 | |
EG America LLC Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 4.000% 4.2025% 2/6/25 (g)(i)(k) | 1,670,000 | 1,652,465 | |
3 month U.S. LIBOR + 4.250% 3/10/26 (i)(k)(l) | 867,000 | 863,749 | |
Mesquite Energy, Inc.: | |||
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% 12/31/49 (c)(h)(i)(k) | 864,602 | 0 | |
term loan 3 month U.S. LIBOR + 0.000% 0% 12/31/49 (c)(h)(i)(k) | 373,000 | 0 | |
Prairie ECI Acquiror LP 1LN, term loan 3 month U.S. LIBOR + 4.750% 3/11/26 (i)(k)(l) | 765,000 | 740,245 | |
Stonepeak Lonestar Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 4.7178% 10/19/26 (g)(i)(k) | 864,918 | 867,625 | |
14,932,367 | |||
FINANCIALS - 0.3% | |||
Diversified Financial Services - 0.0% | |||
Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4% 7/12/24 (g)(i)(k) | 969,974 | 968,413 | |
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.75% 6/7/23 (g)(i)(k) | 259,151 | 258,739 | |
1,227,152 | |||
Insurance - 0.3% | |||
Alliant Holdings Intermediate LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.25% 11/5/27 (g)(i)(k) | 2,595,000 | 2,596,946 | |
Asurion LLC: | |||
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 3.0925% 11/3/23 (g)(i)(k) | 514,701 | 513,306 | |
Tranche B3 2LN, term loan 3 month U.S. LIBOR + 5.250% 5.3425% 1/31/28 (g)(i)(k) | 7,288,677 | 7,364,625 | |
Tranche B8 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3425% 12/23/26 (g)(i)(k) | 2,299,238 | 2,287,029 | |
Tranche B9 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3425% 7/31/27 (g)(i)(k) | 2,225,000 | 2,213,875 | |
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.9257% 4/25/25 (g)(i)(k) | 4,969,694 | 4,919,500 | |
19,895,281 | |||
TOTAL FINANCIALS | 21,122,433 | ||
HEALTH CARE - 0.2% | |||
Health Care Equipment & Supplies - 0.0% | |||
Insulet Corp. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.250% 3.75% 5/4/28 (g)(i)(k) | 220,000 | 220,000 | |
Health Care Providers & Services - 0.2% | |||
ADMI Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/23/27 (i)(k)(l) | 1,340,000 | 1,329,736 | |
Gainwell Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 10/1/27 (g)(i)(k) | 7,765,000 | 7,768,883 | |
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8425% 11/16/25 (g)(i)(k) | 1,397,609 | 1,396,938 | |
U.S. Radiology Specialists, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.25% 12/15/27 (g)(i)(k) | 1,047,375 | 1,051,041 | |
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 5.125% 6/13/26 (g)(i)(k) | 402,955 | 400,521 | |
11,947,119 | |||
Pharmaceuticals - 0.0% | |||
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (g)(i)(k) | 560,000 | 562,302 | |
TOTAL HEALTH CARE | 12,729,421 | ||
INDUSTRIALS - 0.4% | |||
Air Freight & Logistics - 0.0% | |||
Dynasty Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.7025% 4/8/26 (g)(i)(k) | 1,487,449 | 1,439,777 | |
Airlines - 0.2% | |||
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 5.5% 3/24/28 (g)(i)(k) | 3,550,000 | 3,656,500 | |
JetBlue Airways Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 6/17/24 (g)(i)(k) | 460,000 | 469,968 | |
Mileage Plus Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.25% 7/2/27 (g)(i)(k) | 3,420,000 | 3,647,430 | |
SkyMiles IP Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 10/20/27 (g)(i)(k) | 2,060,000 | 2,157,623 | |
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/14/28 (g)(i)(k) | 5,535,000 | 5,583,431 | |
15,514,952 | |||
Commercial Services & Supplies - 0.1% | |||
Allied Universal Holdco LLC Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 4.25% 5/14/28 (g)(i)(k) | 970,000 | 972,066 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.25% 6/21/24 (g)(i)(k) | 1,434,125 | 1,401,341 | |
GFL Environmental, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.7016% 5/31/25 (g)(i)(k) | 403,842 | 404,573 | |
Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (g)(i)(k) | 5,915,281 | 5,751,665 | |
8,529,645 | |||
Construction & Engineering - 0.0% | |||
Landry's Finance Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 12.000% 13% 10/4/23 (g)(i)(k) | 35,863 | 39,808 | |
Machinery - 0.0% | |||
Apex Tool Group, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 8/21/24 (i)(k)(l) | 2,835,435 | 2,837,789 | |
Welbilt, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.5435% 10/23/25 (g)(i)(k) | 150,000 | 148,313 | |
2,986,102 | |||
Professional Services - 0.1% | |||
CoreLogic, Inc. 2LN, term loan 0% 4/13/29 (c)(g)(k) | 755,000 | 758,775 | |
Dun & Bradstreet Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 2/8/26 (i)(k)(l) | 2,733,739 | 2,724,472 | |
3,483,247 | |||
TOTAL INDUSTRIALS | 31,993,531 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
Communications Equipment - 0.0% | |||
Radiate Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.25% 9/10/26 (g)(i)(k) | 698,250 | 698,962 | |
Electronic Equipment & Components - 0.0% | |||
Tiger Merger Sub Co. 1LN, term loan 3 month U.S. LIBOR + 3.500% 7/1/25 (i)(k)(l) | 646,750 | 647,908 | |
IT Services - 0.3% | |||
Acuris Finance U.S., Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.5% 2/16/28 (g)(i)(k) | 694,010 | 696,613 | |
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.000% 3.0925% 10/31/26 (g)(i)(k) | 1,591,013 | 1,585,444 | |
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.95% 5/31/25 (g)(i)(k) | 4,112,570 | 3,344,054 | |
Northwest Fiber LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8605% 4/30/27 (g)(i)(k) | 1,735,000 | 1,734,271 | |
Peraton Corp.: | |||
2LN, term loan 0% 2/1/29 (c)(g)(k) | 550,000 | 558,250 | |
Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.750% 2/1/28 (i)(k)(l) | 1,010,705 | 1,011,686 | |
3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (g)(i)(k) | 4,949,121 | 4,953,922 | |
RP Crown Parent, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 10/12/23 (i)(k)(l) | 498,821 | 497,574 | |
Sabre GLBL, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/17/27 (g)(i)(k) | 882,788 | 887,201 | |
Tempo Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.75% 10/31/26 (g)(i)(k) | 2,721,291 | 2,725,264 | |
Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 4.6085% 8/27/25 (g)(i)(k) | 994,898 | 995,077 | |
18,989,356 | |||
Software - 0.4% | |||
Ascend Learning LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.75% 7/12/24 (g)(i)(k) | 1,044,750 | 1,046,056 | |
Boxer Parent Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 3.8425% 10/2/25 (g)(i)(k) | 175,491 | 174,512 | |
Epicor Software Corp. 2LN, term loan 3 month U.S. LIBOR + 7.750% 8.75% 7/31/28 (g)(i)(k) | 25,000 | 25,663 | |
Finastra U.S.A., Inc.: | |||
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.25% 6/13/25 (g)(i)(k) | 2,450,000 | 2,477,563 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.5% 6/13/24 (g)(i)(k) | 1,428,830 | 1,409,826 | |
Greeneden U.S. Holdings II LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 12/1/27 (g)(i)(k) | 1,421,438 | 1,423,470 | |
Informatica Corp. Tranche B 1LN, term loan: | |||
3 month U.S. LIBOR + 3.250% 2/14/27 (i)(k)(l) | 519,750 | 516,502 | |
7.125% 2/14/25 (k) | 475,000 | 484,500 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8425% 9/29/24 (g)(i)(k) | 4,478,865 | 4,479,984 | |
Rackspace Technology Global, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.5% 2/15/28 (g)(i)(k) | 1,550,000 | 1,542,405 | |
RealPage, Inc. 2LN, term loan 3 month U.S. LIBOR + 0.000% 2/17/29 (i)(k)(l) | 1,475,000 | 1,519,250 | |
Renaissance Holding Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 7.0925% 5/31/26 (g)(i)(k) | 690,000 | 688,848 | |
TIBCO Software, Inc.: | |||
2LN, term loan 3 month U.S. LIBOR + 7.750% 2/14/28 (i)(k)(l) | 2,000,000 | 2,024,000 | |
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 7/3/26 (i)(k)(l) | 3,873,170 | 3,851,055 | |
UKG, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4% 5/4/26 (g)(i)(k) | 6,525,009 | 6,533,165 | |
Ultimate Software Group, Inc. 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.5% 5/3/27 (g)(i)(k) | 3,755,000 | 3,846,547 | |
32,043,346 | |||
TOTAL INFORMATION TECHNOLOGY | 52,379,572 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 3.71% 7/1/26 (g)(i)(k) | 1,338,523 | 1,335,177 | |
PQ Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 2/7/27 (i)(k)(l) | 1,139,785 | 1,138,120 | |
Solenis International LP: | |||
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.000% 12/18/23 (i)(k)(l) | 3,027,912 | 3,024,612 | |
Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.500% 6/18/24 (i)(k)(l) | 3,340,000 | 3,328,310 | |
8,826,219 | |||
Construction Materials - 0.0% | |||
U.S. Concrete, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5/1/25 (i)(k)(l) | 548,622 | 543,135 | |
TOTAL MATERIALS | 9,369,354 | ||
REAL ESTATE - 0.0% | |||
Real Estate Management & Development - 0.0% | |||
Brookfield Retail Holdings VII Sub 3 LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 8/24/25 (i)(k)(l) | 987,341 | 952,784 | |
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.25% 8/1/25 (g)(i)(k) | 790,995 | 785,561 | |
ExGen Renewables IV, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.75% 12/15/27 (g)(i)(k) | 582,075 | 582,442 | |
Heritage Power LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6/28/26 (i)(k)(l) | 1,741,139 | 1,624,048 | |
2,992,051 | |||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $194,556,992) | 197,060,442 | ||
Shares | Value | ||
Fixed-Income Funds - 53.9% | |||
High Yield Fixed-Income Funds - 53.9% | |||
Artisan High Income Fund Investor Shares | 83,021,046 | 852,626,143 | |
BlackRock High Yield Bond Portfolio Class K | 113,664,840 | 891,132,240 | |
Eaton Vance Income Fund of Boston Class A | 50,122,416 | 279,683,081 | |
Fidelity Capital & Income Fund (m) | 67,437,483 | 760,694,806 | |
MainStay High Yield Corporate Bond Fund Class A | 105,201,132 | 594,386,394 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 98,976,764 | 588,911,745 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | |||
(Cost $3,711,362,014) | 3,967,434,409 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
DCP Midstream Partners LP 7.375% (g)(n) | 700,000 | 670,250 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Banco Do Brasil SA 9% (Reg. S) (g)(n) | 1,600,000 | 1,772,800 | |
Citigroup, Inc. 3.875% (g)(n) | 1,625,000 | 1,637,188 | |
Itau Unibanco Holding SA 6.125% (d)(g)(n) | 1,515,000 | 1,547,951 | |
4,957,939 | |||
INDUSTRIALS - 0.0% | |||
Industrial Conglomerates - 0.0% | |||
General Electric Co. 3.5139% (g)(i)(n) | 2,640,000 | 2,539,152 | |
UTILITIES - 0.0% | |||
Multi-Utilities - 0.0% | |||
NiSource, Inc. 5.65% (g)(n) | 795,000 | 832,763 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $8,180,251) | 9,000,104 | ||
U.S. Government and Government Agency Obligations - 0.0% | |||
U.S. Treasury Bills, yield at date of purchase 0.1% 11/4/21 (Cost $499,785)(o) | 500,000 | 499,957 | |
Shares | Value | ||
Money Market Funds - 1.1% | |||
Fidelity Cash Central Fund 0.06% (p) | 31,973,724 | 31,980,119 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (q) | 51,627,978 | 51,627,978 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $83,607,953) | 83,608,097 | ||
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $6,990,720,625) | 7,338,146,353 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2%(r)(s) | 16,051,913 | ||
NET ASSETS - 100% | $7,354,198,266 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 252 | Sept. 2021 | $33,248,250 | $37,849 | $37,849 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 173 | Sept. 2021 | 38,187,047 | 13,204 | 13,204 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 490 | Sept. 2021 | 60,687,266 | 55,526 | 55,526 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 79 | Sept. 2021 | 12,365,969 | 25,101 | 25,101 |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 111 | Sept. 2021 | 14,645,063 | 18,931 | 18,931 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 42 | Sept. 2021 | 7,780,500 | (50,240) | (50,240) |
TOTAL FUTURES CONTRACTS | $100,371 |
The notional amount of futures purchased as a percentage of Net Assets is 2.0%
The notional amount of futures sold as a percentage of Net Assets is 0.3%
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/(Depreciation) | ||
USD | 658,898 | EUR | 540,231 | Bank Of America NA | 6/1/21 | $113 |
USD | 2,022,055 | GBP | 1,450,285 | HSBC Bank USA | 7/23/21 | (36,222) |
EUR | 459,231 | USD | 560,956 | Bank Of America NA | 8/20/21 | (80) |
USD | 703,193 | EUR | 578,177 | Citibank NA | 8/20/21 | (2,956) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $(39,145) | |||||
Unrealized Appreciation | 113 | |||||
Unrealized Depreciation | (39,258) |
Swaps
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(3) | Value | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | |||||||||
Sell Protection | |||||||||
American Airlines Group, Inc. | NR | Dec. 2021 | Citibank, N.A. | 5% | Quarterly | $1,265,000 | $25,002 | $(3,826) | $21,176 |
American Airlines Group, Inc. | NR | Jun. 2023 | ICE | 5% | Quarterly | 349,000 | 13,405 | 0 | 13,405 |
CDX N.A. HY Series 35 5YR | NR | Dec. 2025 | ICE | 5% | Quarterly | 25,550,000 | 541,769 | 0 | 541,769 |
Royal Caribbean Cruises Ltd. | NR | Dec. 2023 | Citibank, N.A. | 5% | Quarterly | 860,000 | 59,539 | 20,570 | 80,109 |
TOTAL CREDIT DEFAULT SWAPS | $639,715 | $16,744 | $656,459 | ||||||
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Portfolio could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Currency Abbreviations
EUR – European Monetary Unit
GBP – British pound
Legend
(a) Amount is stated in United States dollars unless otherwise noted.
(b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $2,749,773 or 0.0% of net assets.
(c) Level 3 security
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,298,051,386 or 31.2% of net assets.
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(h) Non-income producing - Security is in default.
(i) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(j) Non-income producing
(k) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.
(l) The coupon rate will be determined upon settlement of the loan after period end.
(m) Affiliated Fund
(n) Security is perpetual in nature with no stated maturity date.
(o) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $300,974.
(p) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(q) The rate quoted is the annualized seven-day yield of the fund at period end.
(r) Includes $960,000 of cash collateral to cover margin requirements for futures contracts.
(s) Includes $2,130,000 of cash collateral to cover margin requirements for centrally cleared OTC swaps.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Chesapeake Energy Corp. | 2/10/21 | $6,099 |
Mesquite Energy, Inc. 15% 7/15/23 | 7/10/20 - 4/15/21 | $897,453 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $2,807 |
Total | $2,807 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Capital & Income Fund | $630,675,085 | $127,645,549 | $15,000,000 | $5,605,188 | $16,324 | $17,357,848 | $760,694,806 |
Total | $630,675,085 | $127,645,549 | $15,000,000 | $5,605,188 | $16,324 | $17,357,848 | $760,694,806 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
If an unaffiliated open-end mutual fund's net asset value is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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