UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-22473
Virtus Stone Harbor Emerging Markets Income Fund
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Kathryn Santoro, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866) 270-7788
Date of fiscal year end: November 30
Date of reporting period: May 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
Virtus Global Multi-Sector Income Fund |
Virtus Stone Harbor Emerging Markets Income Fund |
Virtus Total Return Fund Inc. |
www.Virtus.com. Section 19(a) notices are posted on the website at:
1 | |
Manager’s Discussion of Fund Performance: | |
2 | |
5 | |
9 | |
15 | |
17 | |
Schedules of Investments | |
21 | |
41 | |
51 | |
75 | |
77 | |
79 | |
82 | |
86 | |
90 | |
114 |
President, Chief Executive Officer, and Trustee/Director
Virtus Closed-End Funds
July 2024
Corporate Bonds and Notes | 43% | |
Financials | 14% | |
Energy | 10 | |
Utilities | 4 | |
All other Corporate Bonds and Notes | 15 | |
Foreign Government Securities | 22 | |
Leveraged Loans | 12 | |
Mortgage-Backed Securities | 10 | |
Asset-Backed Securities | 9 | |
U.S. Government Securities | 3 | |
Preferred Stocks | 1 | |
Total | 100% |
Foreign Government Securities | 61% | |
Corporate Bonds and Notes | 33 | |
Exploration & Production | 20% | |
Financial & Lease | 4 | |
Electric | 4 | |
Refining | 2 | |
All other Corporate Bonds and Notes | 3 | |
Short-Term Investment | 3 | |
Credit Linked Notes | 3 | |
Total | 100% |
Common Stocks | 74% | |
Utilities | 35% | |
Industrials | 22 | |
Energy | 10 | |
All Other Common Stocks | 7 | |
Corporate Bonds and Notes | 10 | |
Financials | 3 | |
Energy | 2 | |
Industrials | 1 | |
All Other Corporate Bonds and Notes | 4 | |
Mortgage-Backed Securities | 5 | |
Leveraged Loans | 4 | |
Asset-Backed Securities | 4 | |
Foreign Government Securities | 2 | |
U.S. Government Securities | 1 | |
Total | 100% |
United States | 56% |
Mexico | 5 |
Indonesia | 3 |
Turkey | 3 |
Canada | 2 |
Saudi Arabia | 2 |
Colombia | 2 |
Other | 27 |
Total | 100% |
Mexico | 19% |
Argentina | 8 |
Egypt | 6 |
Iraq | 5 |
Colombia | 5 |
Angola | 5 |
Ecuador | 5 |
Other | 47 |
Total | 100% |
United States | 64% |
Spain | 9 |
Australia | 5 |
United Kingdom | 5 |
Canada | 4 |
Netherlands | 3 |
France | 3 |
Other | 7 |
Total | 100% |
Par Value(1) | Value | ||
U.S. Government Securities—3.9% | |||
U.S. Treasury Bonds | |||
4.750%, 11/15/53 | $ 1,305 | $ 1,329 | |
4.250%, 2/15/54 | 2,215 | 2,078 | |
4.625%, 5/15/54 | 345 | 345 | |
Total U.S. Government Securities (Identified Cost $3,817) | 3,752 | ||
Foreign Government Securities—31.3% | |||
Arab Republic of Egypt | |||
144A 7.500%, 1/31/27(2) | 255 | 250 | |
144A 7.600%, 3/1/29(2) | 67 | 62 | |
144A 5.875%, 2/16/31(2) | 145 | 117 | |
144A 8.500%, 1/31/47(2) | 715 | 557 | |
Benin Government International Bond 144A 7.960%, 2/13/38(2) | 30 | 28 | |
Bolivarian Republic of Venezuela RegS 7.650%, 4/21/25(3)(4) | 1,380 | 219 | |
Brazil Notas do Tesouro Nacional Series F 10.000%, 1/1/29 | 2,680 BRL | 484 | |
Costa Rica Government 144A 6.550%, 4/3/34(2) | 925 | 946 | |
Dominican Republic | |||
144A 4.875%, 9/23/32(2) | 875 | 780 | |
144A 6.850%, 1/27/45(2) | 305 | 300 | |
Federative Republic of Brazil | |||
6.000%, 10/20/33 | 855 | 826 | |
4.750%, 1/14/50(5) | 365 | 263 | |
Finance Department Government of Sharjah | |||
144A 6.500%, 11/23/32(2) | 300 | 309 | |
144A 4.000%, 7/28/50(2) | 1,075 | 687 |
Par Value(1) | Value | ||
Foreign Government Securities—continued | |||
Hungary Government International Bond 144A 6.250%, 9/22/32(2)(5) | $ 650 | $ 665 | |
Islamic Republic of Pakistan | |||
144A 6.875%, 12/5/27(2) | 630 | 551 | |
144A 7.375%, 4/8/31(2) | 455 | 372 | |
Kingdom of Jordan 144A 5.850%, 7/7/30(2) | 1,450 | 1,334 | |
Kingdom of Morocco | |||
144A 3.000%, 12/15/32(2) | 200 | 160 | |
144A 5.500%, 12/11/42(2) | 590 | 513 | |
Oman Government International Bond 144A 7.375%, 10/28/32(2) | 595 | 655 | |
Republic of Angola 144A 8.750%, 4/14/32(2) | 665 | 594 | |
Republic of Argentina 3.500%, 7/9/41(6) | 1,828 | 747 | |
Republic of Armenia 144A 3.600%, 2/2/31(2) | 400 | 326 | |
Republic of Chile 3.500%, 1/31/34(5) | 160 | 138 | |
Republic of Colombia | |||
3.250%, 4/22/32(5) | 690 | 525 | |
4.125%, 5/15/51 | 475 | 281 | |
Republic of Ecuador 144A 6.000%, 7/31/30(2)(6) | 632 | 423 | |
Republic of El Salvador 144A 7.650%, 6/15/35(2) | 860 | 615 | |
Republic of Gabon 144A 6.950%, 6/16/25(2) | 100 | 94 | |
Republic of Ghana | |||
144A 8.125%, 3/26/32(2)(3) | 315 | 162 | |
RegS 8.125%, 3/26/32(3)(4) | 251 | 129 | |
Republic of Indonesia 2.850%, 2/14/30(5) | 1,540 | 1,357 |
Par Value(1) | Value | ||
Foreign Government Securities—continued | |||
Republic of Ivory Coast | |||
144A 6.375%, 3/3/28(2) | $ 385 | $ 375 | |
144A 6.125%, 6/15/33(2) | 435 | 387 | |
144A 8.250%, 1/30/37(2) | 310 | 301 | |
Republic of Kenya 144A 8.000%, 5/22/32(2) | 510 | 465 | |
Republic of Nigeria 144A 7.375%, 9/28/33(2) | 625 | 521 | |
Republic of Panama | |||
7.500%, 3/1/31 | 13 | 13 | |
8.000%, 3/1/38(5) | 481 | 504 | |
Republic of Philippines 3.700%, 3/1/41(5) | 1,010 | 802 | |
Republic of Poland 4.875%, 10/4/33(5) | 525 | 506 | |
Republic of Serbia 144A 6.500%, 9/26/33(2) | 435 | 435 | |
Republic of South Africa 5.650%, 9/27/47 | 360 | 259 | |
Republic of Turkiye | |||
7.625%, 4/26/29 | 1,175 | 1,199 | |
9.125%, 7/13/30 | 1,185 | 1,285 | |
7.625%, 5/15/34 | 465 | 466 | |
4.875%, 4/16/43 | 935 | 656 | |
Romania Government International Bond 144A 7.125%, 1/17/33(2) | 325 | 341 | |
Saudi International Bond | |||
144A 3.625%, 3/4/28(2)(5) | 900 | 853 | |
144A 4.875%, 7/18/33(2)(5) | 585 | 569 | |
144A 4.500%, 10/26/46(2)(5) | 1,655 | 1,386 | |
State of Israel 2.750%, 7/3/30(5) | 480 | 403 | |
State of Qatar | |||
144A 3.750%, 4/16/30(2)(5) | 450 | 423 |
Par Value(1) | Value | ||
Foreign Government Securities—continued | |||
144A 4.400%, 4/16/50(2)(5) | $ 365 | $ 311 | |
Ukraine Government | |||
144A 7.750%, 9/1/26(2)(3) | 300 | 91 | |
RegS 7.750%, 9/1/26(3)(4) | 350 | 106 | |
United Mexican States | |||
2.659%, 5/24/31(5) | 310 | 256 | |
6.350%, 2/9/35(5) | 430 | 434 | |
6.338%, 5/4/53(5) | 427 | 408 | |
6.400%, 5/7/54(5) | 750 | 720 | |
Total Foreign Government Securities (Identified Cost $32,710) | 29,944 | ||
Mortgage-Backed Securities—14.1% | |||
Agency—4.2% | |||
Federal National Mortgage Association | |||
Pool #FS4438 5.000%, 11/1/52 | 869 | 837 | |
Pool #MA4785 5.000%, 10/1/52 | 439 | 423 | |
Pool #MA4805 4.500%, 11/1/52 | 779 | 729 | |
Pool #MA4980 6.000%, 4/1/53 | 1,415 | 1,419 | |
Pool #MA5072 5.500%, 7/1/53 | 667 | 656 | |
4,064 | |||
Non-Agency—9.9% | |||
A&D Mortgage Trust 2023-NQM3, A1 144A 6.733%, 7/25/68(2)(5)(6) | 135 | 136 | |
Ajax Mortgage Loan Trust 2022-B, A1 144A 3.500%, 3/27/62(2)(6) | 549 | 512 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
Arroyo Mortgage Trust 2019-1, A1 144A 3.805%, 1/25/49(2)(5)(6) | $ 70 | $ 66 | |
Benchmark Mortgage Trust 2023-B38, A2 5.626%, 4/15/56(5) | 165 | 163 | |
BPR Trust 2022-OANA, A (1 month Term SOFR + 1.898%, Cap N/A, Floor 1.898%) 144A 7.215%, 4/15/37(2)(6) | 270 | 271 | |
BX Trust 2019-OC11, D 144A 3.944%, 12/9/41(2)(6) | 630 | 552 | |
Chase Mortgage Finance Corp. | |||
2016-SH1, M2 144A 3.750%, 4/25/45(2)(5)(6) | 76 | 68 | |
2016-SH2, M2 144A 3.750%, 12/25/45(2)(5)(6) | 196 | 174 | |
CIM Trust 2022-R2, A1 144A 3.750%, 12/25/61(2)(6) | 309 | 283 | |
COLT Mortgage Loan Trust | |||
2022-4, A1 144A 4.301%, 3/25/67(2)(5)(6) | 141 | 135 | |
2022-5, A1 144A 4.550%, 4/25/67(2)(6) | 414 | 407 | |
COMM Mortgage Trust 2013-300P, A1 144A 4.353%, 8/10/30(2) | 400 | 372 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(2)(5)(6) | 31 | 29 | |
Extended Stay America Trust 2021-ESH, C (1 month Term SOFR + 1.814%, Cap N/A, Floor 1.700%) 144A 7.131%, 7/15/38(2)(6) | 260 | 260 | |
FirstKey Homes Trust 2020-SFR2, B 144A 1.567%, 10/19/37(2) | 475 | 447 | |
Homes Trust 2023-NQM2, A1 144A 6.456%, 2/25/68(2)(6) | 452 | 452 | |
INTOWN Mortgage Trust 2022-STAY, A (1 month Term SOFR + 2.489%, Cap N/A, Floor 2.489%) 144A 7.806%, 8/15/39(2)(6) | 435 | 437 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
JPMorgan Chase Mortgage Trust 2014-5, B2 144A 2.729%, 10/25/29(2)(5)(6) | $ 163 | $ 146 | |
MFA Trust 2022-INV2, A1 144A 4.950%, 7/25/57(2)(6) | 487 | 475 | |
Mill City Mortgage Loan Trust 2017-3, B1 144A 3.250%, 1/25/61(2)(6) | 337 | 282 | |
MIRA Trust 2023-MILE, A 144A 6.755%, 6/10/38(2) | 170 | 175 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22, AS 3.561%, 4/15/48(5) | 220 | 214 | |
New Residential Mortgage Loan Trust | |||
2016-3A, B1 144A 4.000%, 9/25/56(2)(5)(6) | 153 | 141 | |
2016-4A, B1A 144A 4.500%, 11/25/56(2)(6) | 453 | 431 | |
ORL Trust 2023-GLKS, A (1 month Term SOFR + 2.350%, Cap N/A, Floor 2.350%) 144A 7.667%, 10/19/36(2)(6) | 375 | 376 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 3.487%, 6/25/26(2)(5)(6) | 95 | 95 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(2)(5)(6) | 73 | 61 | |
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(2)(5)(6) | 47 | 38 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 4.024%, 7/25/56(2)(6) | 260 | 243 | |
2017-1, M1 144A 3.750%, 10/25/56(2)(6) | 265 | 252 | |
2017-4, A2 144A 3.000%, 6/25/57(2)(5)(6) | 171 | 155 | |
2018-6, A2 144A 3.750%, 3/25/58(2)(5)(6) | 215 | 191 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(2) | 150 | 139 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
VCAT LLC 2021-NPL3, A1 144A 4.743%, 5/25/51(2)(6) | $ 139 | $ 135 | |
Verus Securitization Trust | |||
2022-4, A1 144A 4.474%, 4/25/67(2)(6) | 281 | 273 | |
2022-6, A1 144A 4.910%, 6/25/67(2)(5)(6) | 194 | 190 | |
2022-6, A3 144A 4.910%, 6/25/67(2)(6) | 424 | 410 | |
2023-8, A1 144A 6.259%, 12/25/68(2)(6) | 290 | 290 | |
9,476 | |||
Total Mortgage-Backed Securities (Identified Cost $14,015) | 13,540 | ||
Asset-Backed Securities—13.4% | |||
Automobiles—4.9% | |||
Arivo Acceptance Auto Loan Receivables Trust 2024-1A, B 144A 6.870%, 6/17/30(2) | 396 | 395 | |
Avis Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(2) | 320 | 318 | |
Credit Acceptance Auto Loan Trust 2024-1A, A 144A 5.680%, 3/15/34(2) | 270 | 270 | |
DT Auto Owner Trust 2023-1A, D 144A 6.440%, 11/15/28(2) | 450 | 452 | |
GLS Auto Receivables Issuer Trust | |||
2020-3A, D 144A 2.270%, 5/15/26(2) | 123 | 122 | |
2020-3A, E 144A 4.310%, 7/15/27(2) | 550 | 545 | |
2023-1A, B 144A 6.190%, 6/15/27(2) | 439 | 439 | |
LAD Auto Receivables Trust | |||
2021-1A, D 144A 3.990%, 11/15/29(2) | 470 | 453 |
Par Value(1) | Value | ||
Automobiles—continued | |||
2023-2A, D 144A 6.300%, 2/15/31(2) | $ 365 | $ 364 | |
OneMain Direct Auto Receivables Trust 2022-1A, C 144A 5.310%, 6/14/29(2) | 320 | 314 | |
Tesla Auto Lease Trust 2023-A, B 144A 6.410%, 7/20/27(2) | 363 | 365 | |
U.S. Bank N.A. 2023-1, B 144A 6.789%, 8/25/32(2) | 290 | 291 | |
Veros Auto Receivables Trust 2024-1, C 144A 7.570%, 12/15/28(2) | 350 | 350 | |
4,678 | |||
Consumer Loans—0.7% | |||
Affirm Asset Securitization Trust 2023-B, A 144A 6.820%, 9/15/28(2) | 350 | 354 | |
Marlette Funding Trust 2023-2A, B 144A 6.540%, 6/15/33(2) | 363 | 364 | |
718 | |||
Credit Card—0.5% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(2) | 480 | 468 | |
Other—7.3% | |||
Adams Outdoor Advertising LP 2023-1, A2 144A 6.967%, 7/15/53(2) | 365 | 376 | |
Aqua Finance Trust 2017-A, A 144A 3.720%, 11/15/35(2) | 2 | 2 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(2) | 462 | 427 | |
Auxilior Term Funding LLC 2023-1A, D 144A 7.270%, 12/16/30(2) | 240 | 241 |
Par Value(1) | Value | ||
Other—continued | |||
BXG Receivables Note Trust 2023-A, A 144A 5.770%, 11/15/38(2) | $ 348 | $ 345 | |
Commercial Equipment Finance LLC 2024-1A, A 144A 5.970%, 7/16/29(2) | 414 | 413 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 5.750%, 4/25/51(2) | 473 | 398 | |
Hardee’s Funding LLC 2024-1A, A2 144A 7.253%, 3/20/54(2) | 400 | 398 | |
Jersey Mike’s Funding LLC 2019-1A, A2 144A 4.433%, 2/15/50(2) | 348 | 332 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(2) | 126 | 124 | |
MetroNet Infrastructure Issuer LLC 2024-1A, A2 144A 6.230%, 4/20/54(2) | 310 | 311 | |
MVW LLC 2024-1A, A 144A 5.320%, 2/20/43(2) | 404 | 402 | |
Octane Receivables Trust 2023-3A, C 144A 6.740%, 8/20/29(2) | 425 | 431 | |
Oportun Funding XIV LLC 2021-A, B 144A 1.760%, 3/8/28(2) | 186 | 181 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(2) | 510 | 500 | |
Progress Residential Trust 2021-SFR6, D 144A 2.225%, 7/17/38(2) | 190 | 174 | |
Purchasing Power Funding LLC 2024-A, B 144A 6.430%, 8/15/28(2) | 420 | 419 | |
Reach ABS Trust 2024-1A, B 144A 6.290%, 2/18/31(2) | 425 | 424 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(2) | 281 | 268 |
Par Value(1) | Value | ||
Other—continued | |||
VFI ABS LLC 2022-1A, B 144A 3.040%, 7/24/28(2) | $ 585 | $ 574 | |
Zaxby’s Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(2) | 256 | 225 | |
6,965 | |||
Total Asset-Backed Securities (Identified Cost $13,005) | 12,829 | ||
Corporate Bonds and Notes—62.0% | |||
Communication Services—3.7% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(2) | 185 | 58 | |
Altice France S.A. | |||
144A 5.125%, 7/15/29(2) | 125 | 84 | |
144A 5.500%, 10/15/29(2) | 185 | 124 | |
CMG Media Corp. 144A 8.875%, 12/15/27(2) | 225 | 113 | |
CSC Holdings LLC | |||
144A 7.500%, 4/1/28(2) | 295 | 165 | |
144A 11.750%, 1/31/29(2) | 200 | 159 | |
CT Trust 144A 5.125%, 2/3/32(2) | 550 | 478 | |
DISH DBS Corp. | |||
5.875%, 11/15/24 | 180 | 171 | |
7.750%, 7/1/26 | 170 | 108 | |
Gray Television, Inc. 144A 7.000%, 5/15/27(2)(5) | 330 | 291 | |
Grupo Televisa SAB 4.625%, 1/30/26 | 525 | 512 | |
Level 3 Financing, Inc. 144A 3.625%, 1/15/29(2) | 365 | 120 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(2) | 250 | 127 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(2) | 275 | 73 | |
Sprint Capital Corp. 8.750%, 3/15/32(5) | 235 | 281 | |
Telecomunicaciones Digitales S.A. 144A 4.500%, 1/30/30(2)(5) | 725 | 636 |
Par Value(1) | Value | ||
Communication Services—continued | |||
Telesat Canada 144A 6.500%, 10/15/27(2)(5) | $ 180 | $ 52 | |
3,552 | |||
Consumer Discretionary—2.7% | |||
Amer Sports Co. 144A 6.750%, 2/16/31(2)(5) | 20 | 20 | |
Ashtead Capital, Inc. 144A 2.450%, 8/12/31(2)(5) | 570 | 459 | |
Ashton Woods USA LLC 144A 4.625%, 4/1/30(2)(5) | 160 | 142 | |
Clarios Global LP 144A 8.500%, 5/15/27(2)(5) | 245 | 247 | |
Ford Motor Credit Co. LLC 7.350%, 3/6/30(5) | 200 | 211 | |
Meritage Homes Corp. 144A 3.875%, 4/15/29(2)(5) | 183 | 167 | |
Newell Brands, Inc. 6.625%, 9/15/29(5) | 227 | 222 | |
Nissan Motor Acceptance Co. LLC 144A 7.050%, 9/15/28(2)(5) | 145 | 150 | |
Ontario Gaming GTA LP 144A 8.000%, 8/1/30(2)(5) | 175 | 179 | |
PetSmart, Inc. 144A 7.750%, 2/15/29(2)(5) | 85 | 81 | |
Prime Security Services Borrower LLC 144A 6.250%, 1/15/28(2)(5) | 215 | 211 | |
Royal Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(2)(5) | 12 | 13 | |
Tapestry, Inc. 7.850%, 11/27/33(5) | 220 | 232 | |
Wand NewCo 3, Inc. 144A 7.625%, 1/30/32(2)(5) | 10 | 10 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(2)(5) | 255 | 234 | |
2,578 | |||
Consumer Staples—2.0% | |||
BAT Capital Corp. 7.750%, 10/19/32(5) | 330 | 373 |
Par Value(1) | Value | ||
Consumer Staples—continued | |||
Central American Bottling Corp. 144A 5.250%, 4/27/29(2) | $ 370 | $ 346 | |
Herbalife Nutrition Ltd. 144A 7.875%, 9/1/25(2)(5) | 80 | 78 | |
Minerva Luxembourg S.A. 144A 8.875%, 9/13/33(2)(5) | 710 | 741 | |
Pilgrim’s Pride Corp. 6.250%, 7/1/33(5) | 160 | 162 | |
Post Holdings, Inc. 144A 6.250%, 2/15/32(2)(5) | 105 | 104 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(2)(5) | 125 | 115 | |
1,919 | |||
Energy—14.8% | |||
Alliance Resource Operating Partners LP 144A 8.625%, 6/15/29(2) | 150 | 153 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(2)(5) | 255 | 261 | |
Blue Racer Midstream LLC 144A 7.250%, 7/15/32(2)(5) | 35 | 36 | |
BP Capital Markets plc 4.875% (5)(7) | 375 | 354 | |
Civitas Resources, Inc. 144A 8.750%, 7/1/31(2)(5) | 180 | 192 | |
Columbia Pipelines Operating Co. LLC | |||
144A 6.036%, 11/15/33(2)(5) | 215 | 219 | |
144A 6.714%, 8/15/63(2)(5) | 40 | 42 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(2)(5) | 382 | 397 | |
CrownRock LP 144A 5.625%, 10/15/25(2)(5) | 255 | 254 | |
CVR Energy, Inc. 144A 8.500%, 1/15/29(2)(5) | 215 | 216 | |
Ecopetrol S.A. | |||
4.625%, 11/2/31(5) | 695 | 563 | |
8.875%, 1/13/33(5) | 585 | 599 |
Par Value(1) | Value | ||
Energy—continued | |||
Encino Acquisition Partners Holdings LLC 144A 8.750%, 5/1/31(2)(5) | $ 20 | $ 21 | |
Energy Transfer LP Series H 6.500% (7) | 245 | 240 | |
EQM Midstream Partners LP 144A 6.375%, 4/1/29(2)(5) | 55 | 55 | |
Fermaca Enterprises S de RL de C.V. 144A 6.375%, 3/30/38(2) | 687 | 676 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(2)(5) | 175 | 144 | |
Genesis Energy LP 8.875%, 4/15/30(5) | 205 | 214 | |
Greensaif Pipelines Bidco S.a.r.l. 144A 6.129%, 2/23/38(2)(5) | 235 | 235 | |
Helix Energy Solutions Group, Inc. 144A 9.750%, 3/1/29(2)(5) | 185 | 195 | |
International Petroleum Corp. 144A, RegS 7.250%, 2/1/27(2)(4)(5) | 500 | 487 | |
KazMunayGas National Co. JSC | |||
144A 5.375%, 4/24/30(2) | 310 | 300 | |
144A 5.750%, 4/19/47(2) | 640 | 545 | |
144A 6.375%, 10/24/48(2) | 350 | 322 | |
RegS 6.375%, 10/24/48(4) | 230 | 212 | |
Kinder Morgan, Inc. 7.750%, 1/15/32(5) | 195 | 219 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(2)(5) | 120 | 118 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(2) | 135 | 8 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(2)(5) | 195 | 195 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(2)(5) | 255 | 252 | |
Occidental Petroleum Corp. 6.125%, 1/1/31(5) | 70 | 71 |
Par Value(1) | Value | ||
Energy—continued | |||
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (2)(7)(8) | $ 154 | $ 10 | |
Pertamina Persero PT | |||
144A 2.300%, 2/9/31(2)(5) | 1,075 | 883 | |
RegS 6.450%, 5/30/44(4)(5) | 815 | 846 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(2)(3) | 1,820 | 215 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 625 | 590 | |
5.950%, 1/28/31 | 395 | 320 | |
6.500%, 6/2/41 | 350 | 242 | |
7.690%, 1/23/50(5) | 30 | 22 | |
6.375%, 1/23/45 | 730 | 479 | |
6.350%, 2/12/48 | 520 | 335 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(2)(5) | 630 | 576 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(4) | 825 | 842 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(2)(5) | 250 | 244 | |
Transocean, Inc. | |||
144A 8.250%, 5/15/29(2)(5) | 35 | 35 | |
144A 8.750%, 2/15/30(2)(5) | 203 | 211 | |
144A 8.500%, 5/15/31(2)(5) | 55 | 55 | |
Venture Global LNG, Inc. 144A 9.875%, 2/1/32(2)(5) | 270 | 290 | |
Western Midstream Operating LP 5.250%, 2/1/50(5) | 160 | 139 | |
14,129 | |||
Financials—19.3% | |||
Acrisure LLC | |||
144A 8.250%, 2/1/29(2) | 90 | 90 | |
144A 6.000%, 8/1/29(2)(5) | 145 | 132 | |
AerCap Ireland Capital DAC 3.300%, 1/30/32(5) | 170 | 145 | |
Allianz SE 144A 6.350%, 9/6/53(2)(5) | 200 | 207 |
Par Value(1) | Value | ||
Financials—continued | |||
Allstate Corp. (The) Series B (3 month Term SOFR + 3.200%) 8.522%, 8/15/53(5)(6) | $ 391 | $ 392 | |
Altice Financing S.A. 144A 5.000%, 1/15/28(2)(5) | 355 | 280 | |
American Express Co. 5.625%, 7/28/34(5) | 160 | 159 | |
Apollo Debt Solutions BDC 144A 6.900%, 4/13/29(2)(5) | 170 | 171 | |
Aston Martin Capital Holdings Ltd. 144A 10.000%, 3/31/29(2) | 215 | 208 | |
Baldwin Insurance Group Holdings LLC 144A 7.125%, 5/15/31(2)(5) | 20 | 20 | |
Banco de Credito del Peru S.A. | |||
144A 3.125%, 7/1/30(2)(5) | 500 | 478 | |
RegS 3.125%, 7/1/30(4)(5) | 124 | 119 | |
Banco de Credito e Inversiones S.A. | |||
144A 8.750%(2)(5)(7) | 350 | 366 | |
144A 3.500%, 10/12/27(2)(5) | 990 | 928 | |
Banco Mercantil del Norte S.A. 144A 6.625% (2)(7) | 780 | 701 | |
Banco Nacional de Comercio Exterior SNC 144A 4.375%, 10/14/25(2)(5) | 510 | 500 | |
Bancolombia S.A. 4.625%, 12/18/29 | 300 | 292 | |
Bank of America Corp. | |||
5.015%, 7/22/33(5) | 295 | 287 | |
2.482%, 9/21/36(5) | 395 | 316 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (5)(7) | 140 | 137 | |
Barclays plc 7.437%, 11/2/33(5) | 295 | 324 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(2)(5) | 700 | 646 | |
Blackstone Private Credit Fund 2.625%, 12/15/26(5) | 155 | 142 | |
Block, Inc. 144A 6.500%, 5/15/32(2)(5) | 110 | 111 |
Par Value(1) | Value | ||
Financials—continued | |||
Blue Owl Credit Income Corp. 4.700%, 2/8/27(5) | $ 174 | $ 166 | |
BNSF Funding Trust I 6.613%, 12/15/55(5) | 210 | 208 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(2)(5) | 160 | 146 | |
Brookfield Finance, Inc. 6.350%, 1/5/34(5) | 345 | 361 | |
Capital One Financial Corp. 2.359%, 7/29/32(5) | 145 | 113 | |
Charles Schwab Corp. (The) Series H 4.000% (7) | 360 | 300 | |
Citigroup, Inc. | |||
6.270%, 11/17/33(5) | 270 | 283 | |
6.174%, 5/25/34(5) | 134 | 136 | |
Citizens Bank N.A. 2.250%, 4/28/25(5) | 35 | 34 | |
Citizens Financial Group, Inc. 5.841%, 1/23/30(5) | 19 | 19 | |
Corebridge Financial, Inc. 6.875%, 12/15/52(5) | 337 | 339 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(2)(5) | 585 | 553 | |
Export-Import Bank Korea 5.125%, 1/11/33 | 670 | 670 | |
Fifth Third Bancorp 4.337%, 4/25/33(5) | 245 | 223 | |
Foundry JV Holdco LLC 144A 6.250%, 1/25/35(2)(5) | 275 | 280 | |
Gaci First Investment Co. RegS 4.875%, 2/14/35(4)(5) | 560 | 527 | |
GGAM Finance Ltd. 144A 6.875%, 4/15/29(2)(5) | 150 | 151 | |
Global Atlantic Fin Co. 144A 7.950%, 6/15/33(2)(5) | 137 | 151 | |
Goldman Sachs Group, Inc. (The) | |||
3.102%, 2/24/33(5) | 175 | 149 | |
6.450%, 5/1/36(5) | 135 | 144 | |
Grifols S.A. 144A 4.750%, 10/15/28(2)(5) | 175 | 152 | |
HUB International Ltd. 144A 7.375%, 1/31/32(2)(5) | 35 | 35 |
Par Value(1) | Value | ||
Financials—continued | |||
Huntington Bancshares, Inc. 2.550%, 2/4/30(5) | $ 280 | $ 238 | |
ION Trading Technologies S.a.r.l. 144A 9.500%, 5/30/29(2)(5) | 105 | 106 | |
JPMorgan Chase & Co. | |||
5.350%, 6/1/34 | 135 | 134 | |
6.254%, 10/23/34(5) | 200 | 211 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(2)(5) | 400 | 370 | |
Lincoln National Corp. (3 month Term SOFR + 2.302%) 7.626%, 4/20/67(5)(6) | 214 | 166 | |
Medline Borrower LP 144A 6.250%, 4/1/29(2)(5) | 45 | 45 | |
Melco Resorts Finance Ltd. 144A 7.625%, 4/17/32(2) | 565 | 560 | |
MetLife, Inc. Series G 3.850% (7) | 220 | 212 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(2)(5) | 370 | 345 | |
Morgan Stanley | |||
6.342%, 10/18/33(5) | 225 | 238 | |
5.948%, 1/19/38(5) | 174 | 173 | |
MSCI, Inc. 144A 3.625%, 9/1/30(2)(5) | 261 | 232 | |
National Rural Utilities Cooperative Finance Corp. (3 month Term SOFR + 3.172%) 8.501%, 4/30/43(5)(6) | 165 | 165 | |
Nationstar Mortgage Holdings, Inc. 144A 5.750%, 11/15/31(2)(5) | 225 | 208 | |
NatWest Group plc 6.475%, 6/1/34 | 200 | 204 | |
Nippon Life Insurance Co. 144A 6.250%, 9/13/53(2)(5) | 200 | 206 | |
Panther Escrow Issuer LLC 144A 7.125%, 6/1/31(2)(5) | 20 | 20 | |
Prudential Financial, Inc. 6.750%, 3/1/53(5) | 220 | 225 |
Par Value(1) | Value | ||
Financials—continued | |||
Societe Generale S.A. 144A 6.066%, 1/19/35(2)(5) | $ 370 | $ 370 | |
State Street Corp. Series I 6.700% (5)(7) | 170 | 172 | |
Synchrony Financial | |||
4.875%, 6/13/25(5) | 65 | 64 | |
3.700%, 8/4/26(5) | 93 | 88 | |
Toronto-Dominion Bank (The) 8.125%, 10/31/82(5) | 435 | 451 | |
UBS Group AG | |||
144A 9.250%(2)(5)(7) | 35 | 39 | |
144A 4.988%, 8/5/33(2)(5) | 310 | 296 | |
Vistra Operations Co. LLC 144A 6.875%, 4/15/32(2)(5) | 120 | 121 | |
Wells Fargo & Co. | |||
5.389%, 4/24/34(5) | 145 | 143 | |
Series BB 3.900%(7) | 400 | 378 | |
18,471 | |||
Health Care—2.0% | |||
Catalent Pharma Solutions, Inc. 144A 3.500%, 4/1/30(2)(5) | 255 | 242 | |
DENTSPLY SIRONA, Inc. 3.250%, 6/1/30 | 335 | 292 | |
Endo Finance Holdings, Inc. 144A 8.500%, 4/15/31(2) | 20 | 21 | |
HCA, Inc. 5.500%, 6/1/33 | 290 | 287 | |
LifePoint Health, Inc. | |||
144A 9.875%, 8/15/30(2)(5) | 360 | 385 | |
144A 10.000%, 6/1/32(2) | 85 | 85 | |
ModivCare, Inc. 144A 5.875%, 11/15/25(2)(5) | 50 | 50 | |
Organon & Co. 144A 7.875%, 5/15/34(2)(5) | 15 | 15 | |
Teva Pharmaceutical Finance Netherlands III B.V. 5.125%, 5/9/29 | 280 | 267 |
Par Value(1) | Value | ||
Health Care—continued | |||
Universal Health Services, Inc. 2.650%, 1/15/32(5) | $ 315 | $ 256 | |
1,900 | |||
Industrials—5.1% | |||
Adani Ports & Special Economic Zone Ltd. 144A 4.375%, 7/3/29(2)(5) | 781 | 684 | |
Alaska Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 2/15/29(2)(5) | 323 | 314 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(2)(5) | 301 | 292 | |
Boeing Co. (The) | |||
3.750%, 2/1/50 | 215 | 140 | |
5.930%, 5/1/60(5) | 160 | 141 | |
British Airways Pass-Through Trust 2021-1, A 144A 2.900%, 9/15/36(2)(5) | 364 | 313 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(2)(5) | 481 | 408 | |
Fortress Transportation & Infrastructure Investors LLC 144A 7.000%, 5/1/31(2)(5) | 140 | 142 | |
GFL Environmental, Inc. 144A 6.750%, 1/15/31(2)(5) | 15 | 15 | |
Global Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(2)(5) | 265 | 259 | |
Hertz Corp. (The) | |||
144A 4.625%, 12/1/26(2) | 80 | 62 | |
144A 5.000%, 12/1/29(2) | 180 | 119 | |
Icahn Enterprises LP 6.250%, 5/15/26(5) | 235 | 229 | |
LBM Acquisition LLC 144A 6.250%, 1/15/29(2)(5) | 250 | 226 | |
Regal Rexnord Corp. 6.400%, 4/15/33(5) | 371 | 382 | |
Sempra Global 144A 3.250%, 1/15/32(2)(5) | 405 | 333 |
Par Value(1) | Value | ||
Industrials—continued | |||
TransDigm, Inc. 144A 6.625%, 3/1/32(2)(5) | $ 235 | $ 236 | |
United Airlines Pass-Through Trust 2023-1, A 5.800%, 7/15/37 | 240 | 241 | |
Veralto Corp. 144A 5.450%, 9/18/33(2)(5) | 210 | 208 | |
VistaJet Malta Finance plc 144A 9.500%, 6/1/28(2) | 155 | 141 | |
4,885 | |||
Information Technology—1.2% | |||
Booz Allen Hamilton, Inc. | |||
144A 3.875%, 9/1/28(2)(5) | 195 | 183 | |
144A 4.000%, 7/1/29(2)(5) | 145 | 135 | |
CommScope Technologies LLC 144A 6.000%, 6/15/25(2)(5) | 225 | 185 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(2)(5) | 35 | 34 | |
144A 6.500%, 10/15/28(2)(5) | 55 | 51 | |
Helios Software Holdings, Inc. 144A 8.750%, 5/1/29(2)(5) | 85 | 86 | |
Insight Enterprises, Inc. 144A 6.625%, 5/15/32(2)(5) | 20 | 20 | |
Rocket Software, Inc. 144A 9.000%, 11/28/28(2)(5) | 100 | 101 | |
Viasat, Inc. 144A 5.625%, 9/15/25(2)(5) | 345 | 335 | |
1,130 | |||
Materials—3.5% | |||
ASP Unifrax Holdings, Inc. 144A 5.250%, 9/30/28(2) | 455 | 229 | |
Bayport Polymers LLC 144A 5.140%, 4/14/32(2)(5) | 370 | 341 | |
Berry Global, Inc. 144A 5.650%, 1/15/34(2)(5) | 125 | 122 |
Par Value(1) | Value | ||
Materials—continued | |||
Corp. Nacional del Cobre de Chile 144A 5.950%, 1/8/34(2)(5) | $ 235 | $ 233 | |
Graham Packaging Co., Inc. 144A 7.125%, 8/15/28(2)(5) | 320 | 302 | |
Illuminate Buyer LLC 144A 9.000%, 7/1/28(2)(5) | 220 | 220 | |
INEOS Quattro Finance 2 plc 144A 9.625%, 3/15/29(2)(5) | 200 | 211 | |
LSB Industries, Inc. 144A 6.250%, 10/15/28(2)(5) | 260 | 250 | |
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(2)(5) | 215 | 214 | |
OCP S.A. | |||
144A 3.750%, 6/23/31(2) | 200 | 169 | |
144A 6.750%, 5/2/34(2) | 600 | 606 | |
Taseko Mines Ltd. 144A 8.250%, 5/1/30(2)(5) | 85 | 87 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(2)(5) | 259 | 259 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(2)(5) | 172 | 158 | |
3,401 | |||
Real Estate—2.1% | |||
EPR Properties | |||
4.750%, 12/15/26(5) | 260 | 251 | |
3.600%, 11/15/31(5) | 95 | 79 | |
GLP Capital LP | |||
3.250%, 1/15/32(5) | 132 | 110 | |
6.750%, 12/1/33 | 135 | 140 | |
Office Properties Income Trust 4.500%, 2/1/25 | 575 | 440 | |
Ontario Teachers’ Cadillac Fairview Properties Trust 144A 2.500%, 10/15/31(2)(5) | 285 | 231 | |
Safehold GL Holdings LLC 6.100%, 4/1/34(5) | 210 | 208 |
Par Value(1) | Value | ||
Real Estate—continued | |||
Service Properties Trust 4.500%, 3/15/25 | $ 290 | $ 287 | |
VICI Properties LP | |||
5.125%, 5/15/32(5) | 185 | 175 | |
144A 4.625%, 6/15/25(2)(5) | 70 | 69 | |
1,990 | |||
Utilities—5.6% | |||
AES Corp. (The) 7.600%, 1/15/55(5) | 135 | 136 | |
CMS Energy Corp. 4.750%, 6/1/50 | 460 | 423 | |
Dominion Energy, Inc. Series A 6.875%, 2/1/55(5) | 245 | 253 | |
Electricite de France S.A. | |||
144A 6.250%, 5/23/33(2)(5) | 200 | 208 | |
144A 6.900%, 5/23/53(2)(5) | 365 | 391 | |
Enel Finance International N.V. 144A 7.500%, 10/14/32(2)(5) | 400 | 444 | |
Entergy Corp. 7.125%, 12/1/54(5) | 210 | 209 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(2) | 640 | 637 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(2)(5) | 90 | 88 | |
144A 5.875%, 4/1/29(2)(5) | 170 | 160 | |
KeySpan Gas East Corp. 144A 5.994%, 3/6/33(2)(5) | 255 | 255 | |
NGL Energy Operating LLC | |||
144A 8.125%, 2/15/29(2)(5) | 30 | 31 | |
144A 8.375%, 2/15/32(2)(5) | 50 | 51 | |
NRG Energy, Inc. 144A 7.000%, 3/15/33(2)(5) | 320 | 338 | |
PacifiCorp 5.800%, 1/15/55(5) | 230 | 219 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(2)(5) | 950 | 912 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51(5) | 490 | 456 |
Par Value(1) | Value | ||
Utilities—continued | |||
Vistra Corp. 144A 8.000% (2)(5)(7) | $ 125 | $ 127 | |
5,338 | |||
Total Corporate Bonds and Notes (Identified Cost $63,619) | 59,293 | ||
Leveraged Loans—17.0% | |||
Aerospace—0.8% | |||
Amentum Government Services Holdings LLC (1 month Term SOFR + 4.000%) 9.321%, 2/15/29(6) | 128 | 128 | |
Brown Group Holding LLC (1 month Term SOFR + 2.850%) 8.179%, 6/7/28(6) | 161 | 162 | |
Dynasty Acquisition Co., Inc. | |||
2024, Tranche B-1 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) | 132 | 133 | |
2024, Tranche B-2 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) | 51 | 51 | |
Mileage Plus Holdings LLC (3 month Term SOFR + 5.400%) 10.733%, 6/21/27(6) | 159 | 163 | |
Peraton Corp. Tranche B, First Lien (1 month Term SOFR + 3.850%) 9.179%, 2/1/28(6) | 146 | 146 | |
783 | |||
Chemicals—0.4% | |||
LSF11 A5 Holdco LLC (1 month Term SOFR + 4.350%) 9.679%, 10/15/28(6) | 149 | 149 | |
Lummus Technology Hodings V LLC 2024, Tranche B (1 month Term SOFR + 3.614%) 8.944%, 12/31/29(6) | 55 | 55 |
Par Value(1) | Value | ||
Chemicals—continued | |||
Starfruit Finco B.V. Tranche B (3 month Term SOFR + 3.500%) 8.826%, 4/3/28(6) | $ 60 | $ 60 | |
Windsor Holdings III LLC 2024, Tranche B (1 month Term SOFR + 4.000%) 9.320%, 8/1/30(6) | 124 | 126 | |
390 | |||
Consumer Durables—0.1% | |||
Gloves Buyer, Inc. First Lien (1 month Term SOFR + 4.114%) 0.000%, 12/29/27(6)(9) | 105 | 105 | |
Consumer Non-Durables—0.6% | |||
DS Parent, Inc. Tranche B (3 month Term SOFR + 5.500%) 10.802%, 1/31/31(6) | 170 | 170 | |
Kronos Acquisition Holdings, Inc. Tranche B-1 (3 month Term SOFR + 4.012%) 9.314%, 12/22/26(6) | 148 | 147 | |
Osmosis Buyer Ltd. 2023, Tranche B (1 month Term SOFR + 4.250%) 9.571% - 9.579%, 7/31/28(6) | 138 | 139 | |
Simply Good Foods USA, Inc. Tranche B (1 month Term SOFR + 2.600%) 0.000%, 3/17/27(6)(9) | 70 | 70 | |
526 | |||
Energy—0.6% | |||
Hamilton Projects Acquiror LLC First Lien (1 month Term SOFR + 3.750%) 0.000%, 5/22/31(6)(9) | 30 | 30 | |
Medallion Midland Acquisition LLC First Lien (3 month Term SOFR + 3.500%) 8.830%, 10/18/28(6) | 156 | 156 |
Par Value(1) | Value | ||
Energy—continued | |||
Oryx Midstream Services Permian Basin LLC 2024 (1 month Term SOFR + 3.114%) 8.436%, 10/5/28(6) | $ 138 | $ 139 | |
Traverse Midstream Partners LLC Tranche B (3 month Term SOFR + 3.500%) 8.829%, 2/16/28(6) | 145 | 146 | |
Whitewater DBR Holdco LLC (3 month Term SOFR + 2.750%) 8.052%, 2/17/31(6) | 95 | 95 | |
566 | |||
Financials—0.5% | |||
Acrisure LLC 2023, Tranche B (1 month Term SOFR + 4.500%) 9.829%, 11/6/30(6) | 100 | 100 | |
AssuredPartners, Inc. 2024 (1 month Term SOFR + 3.500%) 8.829%, 2/14/31(6) | 55 | 55 | |
Asurion LLC Tranche B-9 (1 month Term SOFR + 3.364%) 8.694%, 7/31/27(6) | 134 | 132 | |
Blackhawk Network Holdings, Inc. Tranche B (1 month Term SOFR + 5.000%) 10.329%, 3/12/29(6) | 72 | 72 | |
Truist Insurance Holdings LLC (2 month Term SOFR + 3.250%) 8.586%, 5/6/31(6) | 105 | 106 | |
465 | |||
Food / Tobacco—1.2% | |||
Del Monte Foods, Inc. (3 month Term SOFR + 4.400%) 9.736%, 5/16/29(6) | 143 | 111 | |
Fiesta Purchaser, Inc. (1 month Term SOFR + 4.000%) 9.329%, 2/12/31(6) | 75 | 76 | |
Naked Juice LLC (3 month Term SOFR + 3.350%) 8.659%, 1/24/29(6) | 232 | 221 |
Par Value(1) | Value | ||
Food / Tobacco—continued | |||
Pegasus Bidco B.V. 2024 (3 month Term SOFR + 3.750%) 9.072%, 7/12/29(6) | $ 119 | $ 119 | |
Sigma Holdco B.V. Tranche B-7 (6 month Term SOFR + 4.910%) 10.337%, 1/3/28(6) | 278 | 279 | |
Triton Water Holdings, Inc. First Lien (3 month Term SOFR + 3.512%) 8.814%, 3/31/28(6) | 290 | 289 | |
1,095 | |||
Forest Prod / Containers—0.5% | |||
Klockner Pentaplast of America, Inc. Tranche B (3 month Term SOFR + 4.975%) 10.267%, 2/12/26(6) | 224 | 204 | |
Mauser Packaging Solutions Holding Co. (1 month Term SOFR + 3.500%) 8.813%, 4/15/27(6) | 20 | 20 | |
TricorBraun, Inc. (1 month Term SOFR + 3.364%) 8.694%, 3/3/28(6) | 211 | 210 | |
434 | |||
Gaming / Leisure—0.9% | |||
Alterra Mountain Co. Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/31/30(6)(9) | 5 | 5 | |
ECL Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 9.329%, 8/31/30(6) | 154 | 155 | |
Entain plc Tranche B-3 (1 month Term SOFR + 2.750%) 0.000%, 10/31/29(6)(9) | 140 | 140 | |
Motion Finco LLC Tranche B-3 (3 month Term SOFR + 3.762%) 9.071%, 11/12/29(6) | 85 | 85 |
Par Value(1) | Value | ||
Gaming / Leisure—continued | |||
Ontario Gaming GTA Ltd. Partnership Tranche B (3 month Term SOFR + 4.250%) 9.559%, 8/1/30(6) | $ 100 | $ 100 | |
Playa Hotels & Resorts B.V. (1 month Term SOFR + 3.250%) 8.572%, 1/5/29(6) | 145 | 146 | |
Scientific Games Holdings LP (2-3 month Term SOFR + 3.250%) 8.556%, 4/4/29(6) | 214 | 215 | |
846 | |||
Health Care—2.0% | |||
Bausch & Lomb Corp. (1 month Term SOFR + 4.000%) 9.329%, 9/29/28(6) | 99 | 99 | |
CHG Healthcare Services, Inc. First Lien (1 month Term SOFR + 3.364%) 8.694%, 9/29/28(6) | 106 | 107 | |
Cotiviti, Inc. (3 month Term SOFR + 3.250%) 8.563%, 5/1/31(6) | 135 | 135 | |
Endo Finance Holdings, Inc. Tranche B (3 month Term SOFR + 4.500%) 9.826%, 4/9/31(6) | 25 | 25 | |
Gainwell Acquisition Corp. Tranche B (3 month Term SOFR + 4.100%) 9.409%, 10/1/27(6) | 147 | 142 | |
Hunter Holdco 3 Ltd. First Lien (3 month Term SOFR + 4.350%) 9.659%, 8/19/28(6) | 114 | 114 | |
IVC Acquisition Ltd. Tranche B-9 (3 month Term SOFR + 5.500%) 10.809%, 12/12/28(6) | 95 | 95 |
Par Value(1) | Value | ||
Health Care—continued | |||
Lannett Co., Inc. First Lien (1 month Term SOFR + 2.000%) 2.000%, 6/16/30(6)(10) | $ 10 | $ 2 | |
LifePoint Health, Inc. 2024 (3 month Term SOFR + 4.000%) 9.329%, 5/17/31(6) | 25 | 25 | |
Medline Borrower LP Tranche B (1 month Term SOFR + 2.750%) 8.079%, 10/23/28(6) | 147 | 148 | |
Phoenix Guarantor, Inc. Tranche B-4 (1 month Term SOFR + 3.250%) 8.579%, 2/21/31(6) | 134 | 134 | |
Radiology Partners, Inc. Tranche C (3 month Term SOFR + 3.762%) 9.088%, 1/31/29(6) | 215 | 205 | |
Radnet Management, Inc. Tranche B (3 month Term SOFR + 2.500%) 7.827%, 4/23/31(6) | 40 | 40 | |
Star Parent, Inc. Tranche B (3 month Term SOFR + 4.000%) 9.309%, 9/27/30(6) | 170 | 170 | |
Upstream Newco, Inc. 2021 (1-3 month Term SOFR + 4.512%) 9.694% - 9.841%, 11/20/26(6) | 186 | 172 | |
Viant Medical Holdings, Inc. First Lien (1 month Term SOFR + 3.864%) 9.194%, 7/2/25(6) | 252 | 252 | |
Waystar Technologies, Inc. (1 month Term SOFR + 4.000%) 9.329%, 10/22/29(6) | 50 | 50 | |
1,915 | |||
Par Value(1) | Value | ||
Housing—0.6% | |||
Chariot Buyer LLC First Lien (1 month Term SOFR + 3.750%) 9.079%, 11/3/28(6) | $ 120 | $ 120 | |
Cornerstone Building Brands, Inc. Tranche C (1 month Term SOFR + 4.500%) 9.817%, 5/2/31(6) | 80 | 80 | |
Hunter Douglas Holding B.V. Tranche B-1 (3 month Term SOFR + 3.500%) 8.836%, 2/26/29(6) | 149 | 148 | |
LBM Acquisition LLC Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/30/31(6)(9) | 165 | 164 | |
MI Windows & Doors LLC 2024 (1 month Term SOFR + 3.500%) 8.829%, 3/28/31(6) | 20 | 20 | |
532 | |||
Information Technology—3.1% | |||
Ahead DB Holdings LLC 2024 (3 month Term SOFR + 4.250%) 9.559%, 2/1/31(6) | 50 | 50 | |
Applied Systems, Inc. | |||
2024, First Lien (3 month Term SOFR + 3.500%) 8.809%, 2/24/31(6) | 134 | 135 | |
2024, Second Lien (3 month Term SOFR + 5.250%) 10.559%, 2/23/32(6) | 15 | 16 | |
BMC Software 2028 (1 month Term SOFR + 4.000%) 9.329%, 12/29/28(6) | 45 | 45 | |
Boost Newco Borrower LLC Tranche B (3 month Term SOFR + 3.000%) 8.309%, 1/31/31(6) | 85 | 85 | |
Central Parent LLC 2024 (3 month Term SOFR + 3.250%) 8.577%, 7/6/29(6) | 143 | 144 | |
ConnectWise LLC (3 month Term SOFR + 3.762%) 9.064%, 9/29/28(6) | 82 | 83 |
Par Value(1) | Value | ||
Information Technology—continued | |||
Delivery Hero SE Tranche B (3 month Term SOFR + 5.000%) 10.324%, 12/12/29(6) | $ 217 | $ 219 | |
Endurance International Group Holdings, Inc. (1 month Term SOFR + 3.614%) 8.935%, 2/10/28(6) | 210 | 196 | |
Epicor Software Corp. | |||
Tranche C (1 month Term SOFR + 3.364%) 8.680%, 7/30/27(6) | 92 | 92 | |
Tranche E (1 month Term SOFR + 3.250%) 0.000%, 5/23/31(6)(9) | 9 | 9 | |
Fortress Intermediate 3, Inc. (1 month Term SOFR + 3.750%) 0.000%, 5/9/31(6)(9) | 85 | 85 | |
Indicor Tranche B (3 month Term SOFR + 4.000%) 9.302%, 11/22/29(6) | 193 | 194 | |
Infinite Bidco LLC First Lien (3 month Term SOFR + 4.012%) 9.341%, 3/2/28(6) | 224 | 218 | |
ION Trading Finance Ltd. 2024 (3 month Term SOFR + 4.000%) 0.000%, 4/1/28(6)(9) | 170 | 170 | |
Mosel Bidco SE Tranche B (3 month Term SOFR + 4.750%) 10.059%, 9/16/30(6) | 92 | 93 | |
NCR Atleos LLC Tranche B (1-3 month Term SOFR + 4.850%) 10.179% - 10.180%, 3/27/29(6) | 150 | 151 | |
Polaris Newco LLC First Lien (3 month Term SOFR + 4.262%) 9.591%, 6/2/28(6) | 154 | 154 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month Term SOFR + 3.364%) 8.694%, 3/10/28(6) | 193 | 193 | |
Proofpoint, Inc. 2024 (1 month Term SOFR + 3.000%) 8.325%, 8/31/28(6) | 40 | 40 |
Par Value(1) | Value | ||
Information Technology—continued | |||
RealPage, Inc. First Lien (1 month Term SOFR + 3.114%) 8.444%, 4/24/28(6) | $ 145 | $ 143 | |
Rocket Software, Inc. (1 month Term SOFR + 4.750%) 10.079%, 11/28/28(6) | 150 | 151 | |
Sophia LP 2024, Tranche B (1 month Term SOFR + 3.600%) 8.929%, 10/9/29(6) | 172 | 173 | |
UKG, Inc. Tranche B (1 month Term SOFR + 3.250%) 8.570%, 2/10/31(6) | 145 | 146 | |
2,985 | |||
Manufacturing—0.6% | |||
Chart Industries, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.673%, 3/15/30(6) | 132 | 133 | |
CPM Holdings, Inc. (1 month Term SOFR + 4.500%) 9.813%, 9/28/28(6) | 166 | 165 | |
Filtration Group Corp. 2021 (1 month Term SOFR + 3.614%) 8.944%, 10/21/28(6) | 219 | 220 | |
Star U.S. Bidco LLC (1 month Term SOFR + 4.350%) 9.679%, 3/17/27(6) | 86 | 87 | |
605 | |||
Media / Telecom - Broadcasting—0.2% | |||
Terrier Media Buyer, Inc. 2021, Tranche B (3 month Term SOFR + 3.600%) 8.909%, 12/17/26(6) | 149 | 117 |
Par Value(1) | Value | ||
Media / Telecom - Broadcasting—continued | |||
Univision Communications, Inc. 2024, First Lien (1 month Term SOFR + 3.614%) 0.000%, 1/1/40(6)(9) | $ 100 | $ 100 | |
217 | |||
Media / Telecom - Cable/Wireless Video—0.6% | |||
CSC Holdings LLC 2022 (1 month Term SOFR + 4.500%) 9.817%, 1/18/28(6) | 219 | 211 | |
DIRECTV Financing LLC 2024, Tranche B (1 month Term SOFR + 5.364%) 10.694%, 8/2/29(6) | 228 | 228 | |
Eagle Broadband Investments LLC (3 month Term SOFR + 3.262%) 8.571%, 11/12/27(6) | 144 | 142 | |
581 | |||
Media / Telecom - Diversified Media—0.7% | |||
Century DE Buyer LLC (3 month Term SOFR + 4.000%) 9.329%, 10/30/30(6) | 108 | 107 | |
McGraw-Hill Education, Inc. (1 month Term SOFR + 4.864%) 10.194%, 7/28/28(6) | 169 | 169 | |
MH Sub I LLC 2023 (1 month Term SOFR + 4.250%) 9.579%, 5/3/28(6) | 195 | 195 |
Par Value(1) | Value | ||
Media / Telecom - Diversified Media—continued | |||
Neptune Bidco U.S., Inc. Tranche B (3 month Term SOFR + 5.100%) 10.406%, 4/11/29(6) | $ 173 | $ 166 | |
637 | |||
Media / Telecom - Telecommunications—0.2% | |||
Numericable U.S. LLC | |||
Tranche B-11 (3 month LIBOR + 2.750%) 8.341%, 7/31/25(6) | 214 | 185 | |
Tranche B-12 (3 month LIBOR + 3.688%) 9.278%, 1/31/26(6) | 20 | 17 | |
202 | |||
Media / Telecom - Wireless Communications—0.1% | |||
Viasat, Inc. (1 month Term SOFR + 4.500%) 0.000%, 3/2/29(6)(9) | 140 | 128 | |
Retail—0.4% | |||
CNT Holdings I Corp. First Lien (3 month Term SOFR + 3.500%) 8.829%, 11/8/27(6) | 149 | 150 | |
EG America LLC Tranche C (3 month Term SOFR + 5.928%) 11.289%, 2/7/28(6) | 145 | 142 | |
PetsMart LLC (1 month Term SOFR + 3.850%) 9.179%, 2/11/28(6) | 126 | 125 | |
417 | |||
Service—2.2% | |||
Ascend Learning LLC (1 month Term SOFR + 3.600%) 8.929%, 12/11/28(6) | 153 | 153 |
Par Value(1) | Value | ||
Service—continued | |||
BIFM U.S. Finance LLC (1 month Term SOFR + 4.250%) 9.579%, 5/31/28(6) | $ 75 | $ 75 | |
BrightView Landscapes LLC Tranche B (1 month Term SOFR + 2.500%) 7.836%, 4/20/29(6) | 180 | 181 | |
Crisis Prevention Institute, Inc. (3 month Term SOFR + 4.750%) 10.043%, 4/9/31(6) | 80 | 80 | |
DG Investment Intermediate Holdings 2, Inc. 2022 (1 month Term SOFR + 4.750%) 10.079%, 3/31/28(6) | 164 | 164 | |
DXP Enterprises, Inc. (3 month Term SOFR + 4.850%) 10.164%, 10/11/30(6) | 109 | 110 | |
Garda World Security Corp. (3 month Term SOFR + 4.250%) 9.583%, 2/1/29(6) | 155 | 156 | |
Grant Thornton Advisors LLC Tranche B (3 month Term SOFR + 3.250%) 0.000%, 6/2/31(6)(9) | 70 | 71 | |
Kuehg Corp. Tranche B (3 month Term SOFR + 4.500%) 9.823%, 6/12/30(6) | 224 | 225 | |
Omnia Partners LLC (1 month LIBOR + 0.000%) 0.000%, 7/25/30(6)(9) | 75 | 75 | |
Planet U.S. Buyer LLC (3 month Term SOFR + 3.500%) 8.823%, 2/7/31(6) | 60 | 60 | |
Spin Holdco, Inc. (3 month Term SOFR + 4.262%) 9.585%, 3/4/28(6) | 244 | 210 | |
The Hertz Corp. 2023 (1 month Term SOFR + 8.750%) 9.071%, 6/30/28(6) | 163 | 149 |
Par Value(1) | Value | ||
Service—continued | |||
TMF Sapphire Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.000%) 9.306%, 5/3/28(6) | $ 70 | $ 70 | |
Trugreen Ltd. Partnership First Lien (1 month Term SOFR + 4.100%) 9.429%, 11/2/27(6) | 149 | 140 | |
WIN Waste Innovations Holdings, Inc. (1 month Term SOFR + 2.864%) 8.194%, 3/24/28(6) | 154 | 144 | |
2,063 | |||
Transportation - Automotive—0.5% | |||
American Axle & Manufacturing, Inc. Tranche B (1 month Term SOFR + 3.000%) 8.320%, 12/12/29(6) | 94 | 94 | |
First Brands Group LLC 2022 (3 month Term SOFR + 5.262%) 10.591%, 3/30/27(6) | 255 | 253 | |
PAI Holdco, Inc. Tranche B (3 month Term SOFR + 4.012%) 9.341%, 10/28/27(6) | 136 | 123 | |
Wand NewCo 3, Inc. (1 month Term SOFR + 3.750%) 9.079%, 1/30/31(6) | 35 | 35 | |
505 | |||
Utilities—0.2% | |||
Generation Bridge Northeast LLC Tranche B (1 month Term SOFR + 3.500%) 8.829%, 8/22/29(6) | 93 | 94 | |
Waterbridge NDB Operating LLC (3 month Term SOFR + 4.500%) 9.826%, 5/7/29(6) | 130 | 131 | |
225 | |||
Total Leveraged Loans (Identified Cost $16,232) | 16,222 |
Shares | Value | ||
Preferred Stocks—0.8% | |||
Financials—0.8% | |||
Capital Farm Credit ACA Series 1 144A, 5.000%(2) | 275 (11) | $ 263 | |
MetLife, Inc. Series D, 5.875% | 213 (11) | 212 | |
Truist Financial Corp. Series Q, 5.100% | 315 (11) | 292 | |
767 | |||
Total Preferred Stocks (Identified Cost $805) | 767 | ||
Common Stocks—0.1% | |||
Consumer Discretionary—0.1% | |||
MYT Holding LLC Class B(10)(12) | 29,850 | 1 | |
NMG Parent LLC(10)(12) | 618 | 62 | |
63 | |||
Health Care—0.0% | |||
Lannett Co., Inc.(10)(12) | 1,663 | — | |
Total Common Stocks (Identified Cost $275) | 63 | ||
Total Long-Term Investments—142.6% (Identified Cost $144,478) | 136,410 | ||
TOTAL INVESTMENTS—142.6% (Identified Cost $144,478) | $136,410 | ||
Other assets and liabilities, net—(42.6)% | (40,780 ) | ||
NET ASSETS—100.0% | $ 95,630 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BDC | Business Development Companies |
DAC | Designated Activity Company |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
MSCI | Morgan Stanley Capital International |
SOFR | Secured Overnight Financing Rate |
Foreign Currencies: | |
BRL | Brazilian Real |
Footnote Legend: | |
(1) | Par Value disclosed in foreign currency is reported in thousands. |
(2) | 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 May 31, 2024, these securities amounted to a value of $75,015 or 78.4% of net assets. |
(3) | Security in default; no interest payments are being received. |
(4) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | All or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $52,240. |
(6) | Variable rate security. Rate disclosed is as of May 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(7) | No contractual maturity date. |
(8) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(9) | This loan will settle after May 31, 2024, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(10) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(11) | Value shown as par value. |
(12) | Non-income producing. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
Epicor Software Corp. 2024 (1 month Term SOFR + 3.250%) 4.000%, 5/23/31 | $1 | $1 | $1 | $— (1) |
(1) | Amount is less than $500 (not in thousands). |
Total Value at May 31, 2024 | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||
Assets: | |||||
Debt Instruments: | |||||
U.S. Government Securities | $ 3,752 | $ 3,752 | $— | ||
Foreign Government Securities | 29,944 | 29,944 | — | ||
Mortgage-Backed Securities | 13,540 | 13,540 | — | ||
Asset-Backed Securities | 12,829 | 12,829 | — | ||
Corporate Bonds and Notes | 59,293 | 59,293 | — | ||
Leveraged Loans | 16,222 | 16,220 | 2 | ||
Equity Securities: | |||||
Preferred Stocks | 767 | 767 | — | ||
Common Stocks | 63 | — | 63 (1) | ||
Total Investments | $136,410 | $136,345 | $65 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value(1) | Value | ||
Foreign Government Securities—76.2% | |||
Angola —6.2% | |||
Republic of Angola | |||
144A 9.500%, 11/12/25(2)(3) | $ 3,860 | $ 3,937 | |
144A 8.250%, 5/9/28(2) | 808 | 762 | |
144A 8.750%, 4/14/32(2) | 182 | 163 | |
144A 9.375%, 5/8/48(2) | 112 | 95 | |
RegS 8.250%, 5/9/28(3)(4) | 1,850 | 1,744 | |
Republic of Angola Via Avenir Issuer II Ireland DAC RegS 6.927%, 2/19/27(4)(5) | 1,775 | 1,702 | |
8,403 | |||
Argentina—10.5% | |||
Provincia De Buenos Aires RegS 6.375%, 9/1/37(4)(6) | 4,389 | 1,931 | |
Republic of Argentina | |||
1.000%, 7/9/29 | 13,947 | 8,124 | |
0.750%, 7/9/30(6) | 7,510 | 4,274 | |
14,329 | |||
Brazil—4.0% | |||
Brazil Notas do Tesouro Nacional | |||
Series F 10.000%, 1/1/31 | 12,300 BRL | 2,162 | |
Series F 10.000%, 1/1/33 | 18,800 BRL | 3,251 | |
5,413 | |||
Colombia—3.3% | |||
Republic of Colombia 4.500%, 3/15/29(3) | 1,336 | 1,208 | |
Titulos De Tesoreria | |||
7.000%, 6/30/32 | 7,900,000 COP | 1,640 |
Par Value(1) | Value | ||
Colombia—continued | |||
7.250%, 10/18/34 | 8,275,000 COP | $ 1,656 | |
4,504 | |||
Ecuador—5.8% | |||
Republic of Ecuador | |||
144A 6.000%, 7/31/30(2)(6) | $ 5,914 | 3,957 | |
RegS 6.000%, 7/31/30(4)(6) | 5,789 | 3,873 | |
7,830 | |||
Egypt—7.4% | |||
Arab Republic of Egypt | |||
144A 3.875%, 2/16/26(2)(3) | 2,741 | 2,556 | |
144A 4.750%, 4/16/26(2) | 7,000 EUR | 7,226 | |
144A 6.375%, 4/11/31(2) | 246 EUR | 220 | |
10,002 | |||
El Salvador—4.5% | |||
Republic of El Salvador | |||
RegS 5.875%, 1/30/25(3)(4) | 2,368 | 2,318 | |
RegS 6.375%, 1/18/27(3)(4) | 1,298 | 1,140 | |
RegS 8.625%, 2/28/29(4) | 683 | 595 | |
RegS 8.250%, 4/10/32(4) | 1,909 | 1,480 | |
RegS 7.650%, 6/15/35(4) | 855 | 611 | |
6,144 | |||
Ethiopia—0.4% | |||
Federal Republic of Ethiopia 144A 6.625%, 12/11/24(2)(7) | 785 | 553 |
Par Value(1) | Value | ||
Gabon—4.7% | |||
Republic of Gabon | |||
144A 6.950%, 6/16/25(2)(3) | $ 3,481 | $ 3,281 | |
144A 7.000%, 11/24/31(2)(3) | 1,800 | 1,433 | |
RegS 6.950%, 6/16/25(3)(4) | 1,800 | 1,697 | |
6,411 | |||
Indonesia—3.4% | |||
Indonesia Government Bond | |||
8.375%, 3/15/34 | 27,400,000 IDR | 1,853 | |
8.375%, 4/15/39 | 40,300,000 IDR | 2,790 | |
4,643 | |||
Iraq—3.0% | |||
Republic of Iraq RegS 5.800%, 1/15/28(4) | 4,250 | 4,032 | |
Ivory Coast—0.8% | |||
Republic of Ivory Coast | |||
RegS 5.250%, 3/22/30(4) | 553 EUR | 550 | |
RegS 5.875%, 10/17/31(4) | 565 EUR | 558 | |
1,108 | |||
Kenya—1.1% | |||
Republic of Kenya 144A 7.000%, 5/22/27(2)(3) | 1,475 | 1,423 | |
Lebanon—0.0% | |||
Lebanese Republic RegS 6.400%, 5/26/23(4)(7) | 848 | 58 | |
Mexico—3.9% | |||
Mex Bonos Desarr | |||
7.750%, 11/23/34 | 58,000 MXN | 2,967 | |
7.750%, 11/13/42 | 48,800 MXN | 2,358 | |
5,325 | |||
Par Value(1) | Value | ||
Mozambique—1.3% | |||
Republic of Mozambique 144A 9.000%, 9/15/31(2)(3)(6) | $ 2,168 | $ 1,778 | |
Nigeria—3.5% | |||
Republic of Nigeria | |||
144A 6.500%, 11/28/27(2)(3) | 1,493 | 1,394 | |
144A 6.125%, 9/28/28(2) | 543 | 482 | |
144A 7.875%, 2/16/32(2) | 3,220 | 2,841 | |
4,717 | |||
Pakistan—2.0% | |||
Islamic Republic of Pakistan 144A 6.000%, 4/8/26(2)(3) | 3,023 | 2,735 | |
Papua New Guinea —1.0% | |||
Papua New Guinea Government International Bond RegS 8.375%, 10/4/28(3)(4) | 1,464 | 1,390 | |
South Africa—3.0% | |||
Republic of South Africa | |||
6.250%, 3/31/36 | 16,700 ZAR | 557 | |
6.500%, 2/28/41 | 38,600 ZAR | 1,183 | |
8.750%, 1/31/44 | 25,700 ZAR | 967 | |
8.750%, 2/28/48 | 36,800 ZAR | 1,372 | |
4,079 | |||
Sri Lanka—0.2% | |||
Republic of Sri Lanka 144A 7.850%, 3/14/29(2)(7) | 560 | 326 | |
Tunisia—1.0% | |||
Tunisian Republic | |||
144A 5.750%, 1/30/25(2)(3) | 860 | 809 |
Par Value(1) | Value | ||
Tunisia—continued | |||
144A 6.375%, 7/15/26(2) | 608 EUR | $ 557 | |
1,366 | |||
Turkey—1.0% | |||
Republic of Turkiye 9.875%, 1/15/28 | $ 1,297 | 1,423 | |
Ukraine—0.4% | |||
Ukraine Government Bond 144A 7.750%, 9/1/28(2)(7) | 1,775 | 520 | |
Venezuela—2.0% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(7) | 2,000 | 370 | |
RegS 12.750%, 8/23/22(4)(7) | 125 | 23 | |
RegS 7.650%, 4/21/25(4)(7) | 4,000 | 636 | |
RegS 9.250%, 5/7/28(4)(7) | 3,000 | 510 | |
RegS 11.950%, 8/5/31(4)(7) | 3,349 | 623 | |
RegS 7.000%, 3/31/38(4)(7) | 4,000 | 604 | |
2,766 | |||
Zambia—1.8% | |||
Republic of Zambia | |||
144A 5.375%, 9/20/24(2)(7) | 209 | 143 | |
144A 8.970%, 7/30/27(2)(7) | 1,459 | 1,112 | |
RegS 8.970%, 7/30/27(4)(7) | 1,525 | 1,162 | |
2,417 | |||
Total Foreign Government Securities (Identified Cost $103,035) | 103,695 | ||
Par Value(1) | Value | ||
Corporate Bonds and Notes—40.3% | |||
Brazil—0.6% | |||
MC Brazil Downstream Trading S.a.r.l. 144A 7.250%, 6/30/31(2)(3) | $ 880 | $ 792 | |
Colombia—2.9% | |||
Empresas Publicas de Medellin ESP RegS 7.625%, 9/10/24(4) | 2,700,000 COP | 687 | |
Gran Tierra Energy, Inc. 144A 9.500%, 10/15/29(2)(3) | 3,445 | 3,276 | |
3,963 | |||
Ghana—3.0% | |||
Tullow Oil plc RegS 7.000%, 3/1/25(3)(4) | 4,208 | 4,067 | |
India—0.9% | |||
Adani Green Energy Ltd. RegS 4.375%, 9/8/24(4) | 1,275 | 1,263 | |
Indonesia—1.0% | |||
Theta Capital Pte Ltd. RegS 6.750%, 10/31/26(4) | 1,500 | 1,403 | |
Kazakhstan—1.4% | |||
Development Bank of Kazakhstan JSC | |||
144A 10.950%, 5/6/26(2) | 506,000 KZT | 1,064 | |
144A 13.000%, 4/15/27(2) | 270,000 KZT | 597 | |
QazaqGaz NC JSC 144A 4.375%, 9/26/27(2) | 275 | 259 | |
1,920 | |||
Par Value(1) | Value | ||
Mexico—19.4% | |||
Banco Mercantil del Norte S.A. | |||
144A 5.875%(2)(3)(8) | $ 1,268 | $ 1,192 | |
RegS 6.750%(4)(8) | 1,536 | 1,528 | |
Petroleos Mexicanos | |||
5.950%, 1/28/31 | 1,124 | 910 | |
RegS 7.190%, 9/12/24(4) | 43,400 MXN | 2,507 | |
RegS 6.700%, 2/16/32(4) | 293 | 244 | |
Series 14-2 7.470%, 11/12/26 | 25,240 MXN | 1,310 | |
6.375%, 1/23/45(3) | 10,500 | 6,891 | |
Poinsettia Finance Ltd. RegS 6.625%, 6/17/31(4) | 10,734 | 9,352 | |
Sixsigma Networks Mexico S.A. de C.V. 144A 7.500%, 5/2/25(2)(3) | 2,609 | 2,467 | |
26,401 | |||
Nigeria—0.5% | |||
IHS Holding Ltd. 144A 6.250%, 11/29/28(2) | 683 | 610 | |
Peru—1.9% | |||
Petroleos del Peru S.A. | |||
RegS 4.750%, 6/19/32(3)(4) | 2,625 | 1,886 | |
RegS 5.625%, 6/19/47(4) | 1,225 | 729 | |
2,615 | |||
South Africa—1.4% | |||
Eskom Holdings SOC Ltd. 144A 8.450%, 8/10/28(2)(3) | 1,840 | 1,831 |
Par Value(1) | Value | ||
Turkey—1.2% | |||
Aydem Yenilenebilir Enerji AS 144A 7.750%, 2/2/27(2)(3) | $ 1,067 | $ 1,033 | |
Yapi ve Kredi Bankasi AS 144A 9.250%, 1/17/34(2) | 638 | 658 | |
1,691 | |||
Ukraine—0.5% | |||
VF Ukraine PAT via VFU Funding plc 144A 6.200%, 2/11/25(2)(5) | 825 | 701 | |
Uzbekistan—1.5% | |||
Uzauto Motors AJ 144A 4.850%, 5/4/26(2)(3) | 2,166 | 2,031 | |
Venezuela—3.2% | |||
Petroleos de Venezuela S.A. | |||
RegS 9.000%, 11/17/21(4)(7) | 13,249 | 1,649 | |
RegS 12.750%, 2/17/22(4)(7) | 3,450 | 504 | |
RegS 6.000%, 5/16/24(4)(7) | 7,395 | 873 | |
RegS 9.750%, 5/17/35(4)(7) | 1,000 | 136 | |
RegS 5.500%, 4/12/37(4)(7) | 10,000 | 1,180 | |
4,342 | |||
Vietnam—0.9% | |||
Mong Duong Finance Holdings B.V. 144A 5.125%, 5/7/29(2) | 1,265 | 1,197 | |
Total Corporate Bonds and Notes (Identified Cost $54,965) | 54,827 |
Shares | Value | ||
Purchased Options—0.1% | |||
(See open purchased options schedule) | |||
Total Purchased Options (Premiums paid $153) | $ 159 |
Par Value(1) | ||
Credit Linked Notes—3.7% | ||
Iraq—3.7% | ||
Republic of Iraq | ||
(Counterparty: BOA) 2.536%, 1/1/28(6)(9) | 178,982 JPY | 1,058 |
(Counterparty: BOA) 3.304%, 1/1/28(6)(9) | 393,558 JPY | 2,321 |
(Counterparty: BOA) 3.399%, 1/6/28(6)(9) | 294,393 JPY | 1,738 |
Total Credit Linked Notes (Identified Cost $7,349) | 5,117 | |
Total Long-Term Investments—120.3% (Identified Cost $165,502) | 163,798 |
Shares | ||
Short-Term Investment—3.8% | ||
Money Market Mutual Fund—3.8% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.190%)(10) | 5,152,347 | 5,152 |
Total Short-Term Investment (Identified Cost $5,152) | 5,152 | |
TOTAL INVESTMENTS—124.1% (Identified Cost $170,654) | $ 168,950 | |
Other assets and liabilities, net—(24.1)% | (32,863) | |
NET ASSETS—100.0% | $ 136,087 |
Abbreviations: | |
CDS | Credit Default Swap |
DAC | Designated Activity Company |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Par Value disclosed in foreign currency is reported in thousands. |
(2) | 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 May 31, 2024, these securities amounted to a value of $56,011 or 41.2% of net assets. |
(3) | All or a portion is segregated as collateral for reverse repurchase agreements. On May 31, 2024, securities valued at $47,483 were pledged as collateral for reverse repurchase agreements. |
(4) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(5) | This Note was issued for the sole purpose of funding a leveraged loan between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower. |
(6) | Variable rate security. Rate disclosed is as of May 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(7) | Security in default; no interest payments are being received. |
(8) | No contractual maturity date. |
(9) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties: | |
BCLY | Barclays |
BOA | Bank of America |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CNH | Chinese Yuan Offshore |
COP | Colombian Peso |
EUR | Euro |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KZT | Kazakhstani Tenge |
MXN | Mexican Peso |
USD | United States Dollar |
ZAR | South African Rand |
Reverse Repurchase Agreements as of May 31, 2024 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 5.65% | 02/01/24 | $ (684) |
JPM | 5.75 | 02/01/24 | (1,612) |
JPM | 5.75 | 02/01/24 | (338) |
JPM | 5.80 | 01/11/24 | (928) |
JPM | 5.80 | 02/01/24 | (463) |
JPM | 5.85 | 02/01/24 | (1,015) |
JPM | 5.85 | 02/01/24 | (1,465) |
JPM | 5.85 | 04/18/24 | (1,149) |
JPM | 5.88 | 05/23/24 | (2,960) |
JPM | 5.88 | 05/28/24 | (1,164) |
JPM | 5.90 | 01/17/24 | (1,568) |
JPM | 5.90 | 01/17/24 | (1,104) |
JPM | 5.90 | 01/17/24 | (1,292) |
JPM | 5.90 | 02/01/24 | (1,046) |
JPM | 5.90 | 02/01/24 | (2,232) |
JPM | 5.90 | 02/01/24 | (978) |
JPM | 5.90 | 04/18/24 | (1,511) |
JPM | 5.95 | 02/01/24 | (1,498) |
JPM | 5.95 | 04/18/24 | (1,102) |
JPM | 5.95 | 04/18/24 | (1,217) |
JPM | 5.95 | 04/18/24 | (613) |
JPM | 5.95 | 04/25/24 | (831) |
JPM | 6.00 | 01/30/24 | (462) |
JPM | 6.00 | 01/30/24 | (1,359) |
JPM | 6.00 | 02/01/24 | (1,754) |
JPM | 6.00 | 02/01/24 | (599) |
JPM | 6.05 | 01/30/24 | (707) |
JPM | 6.05 | 02/01/24 | (1,430) |
JPM | 6.05 | 04/23/24 | (1,452) |
Reverse Repurchase Agreements as of May 31, 2024 were as follows: | |||
Counterparty | Interest Rate | Acquisition Date* | Amount |
JPM | 6.05% | 05/20/24 | $ (942) |
JPM | 6.10 | 02/01/24 | (893) |
JPM | 6.10 | 04/18/24 | (1,502) |
Total | $(37,870) |
Footnote Legend: | |
* | All agreements can be terminated by either party on demand at value plus accrued interest. |
Open purchased option contracts as of May 31, 2024 were as follows: | ||||||
Description of Options | Counterparty | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | ||||||
Call USD 1,216 versus Put CNH 8,964 | GS | 1,216,268 | $ 8,964 | $ 7.37 | 05/14/25 | $ 11 |
Call USD 3,450 versus Put MXN 66,585 | GS | 3,450,000 | 66,585 | 19.30 | 05/20/25 | 79 |
Call USD 2,041 versus Put CNH 15,042 | GS | 2,041,000 | 15,042 | 7.37 | 05/29/25 | 19 |
Put Option(2) | ||||||
Put AUD 5,124 versus Call USD 3,228 | GS | 5,124,000 | 3,228 | 0.63 | 05/30/25 | 50 |
Total | $159 |
Footnote Legend: | |
(1) | Strike price not reported in thousands. |
(2) | Over-the-counter options. |
Over-the-counter credit default swaps - sell protection(1) outstanding as of May 31, 2024 were as follows: | |||||||||||||
Reference Entity | Payment Frequency | Counterparty | Fixed Rate | Expiration Date | Notional Amount(2) | Value | Premiums Paid (Received) | Unrealized Appreciation | Unrealized Depreciation | ||||
Republic of Argentina 5 Year CDS, CCC /CCCu(3),* | Quarterly | BCLY | 5.000% | 12/20/25 | $11,200 | $(2,303) | $(1,097) | $— | $(1,206) | ||||
Total | $(2,303) | $(1,097) | $— | $(1,206) |
Footnote Legend: | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | Based on Republic of Argentina Sovereign Debt Obligation, USD Denominated 1.00% fixed coupon, 07/09/2029 maturity. |
* | S&P / Morningstar DBRS, respectively. |
Total Value at May 31, 2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Foreign Government Securities | $ 103,695 | $ — | $ 103,695 | $ — | |||
Corporate Bonds and Notes | 54,827 | — | 54,827 | — | |||
Credit Linked Notes | 5,117 | — | — | 5,117 | |||
Money Market Mutual Fund | 5,152 | 5,152 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 159 | — | 159 | — | |||
Total Assets | 168,950 | 5,152 | 158,681 | 5,117 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Over-the-Counter Credit Default Swap* | (2,303) | — | (2,303) | — | |||
Reverse Repurchase Agreements* | (37,870) | — | (37,870) | — | |||
Total Liabilities | (40,173) | — | (40,173) | — | |||
Total Investments | $ 128,777 | $5,152 | $ 118,508 | $5,117 |
* | Other financial instruments are derivative instruments reflected in the Schedule of Investments. Swaps are reported at value. For liabilities arising from reverse repurchase agreements, the carrying amount approximates fair value due to the short-term maturity of these financial instruments. |
Total | Credit Linked Notes | ||
Investments in Securities | |||
Balance as of November 30, 2023: | $ 2,833 | $ 2,833 | |
Accrued discount/(premium) | 80 | 80 | |
Net realized gain (loss) | (107) | (107) | |
Net change in unrealized appreciation (depreciation)(a) | (260) | (260) | |
Purchases | 3,321 | 3,321 | |
Sales (b) | (750) | (750) | |
Balance as of May 31, 2024 | $ 5,117 | $ 5,117 |
Par Value(1) | Value | ||
U.S. Government Securities—1.2% | |||
U.S. Treasury Bonds | |||
4.000%, 11/15/52(2) | $ 830 | $ 745 | |
4.750%, 11/15/53(2) | 610 | 621 | |
4.250%, 2/15/54(2) | 3,055 | 2,866 | |
U.S. Treasury Note 4.000%, 2/15/34(2) | 545 | 524 | |
Total U.S. Government Securities (Identified Cost $5,036) | 4,756 | ||
Foreign Government Securities—3.1% | |||
Arab Republic of Egypt | |||
144A 7.500%, 1/31/27(3) | 90 | 88 | |
144A 7.600%, 3/1/29(3) | 174 | 162 | |
144A 8.500%, 1/31/47(3) | 122 | 95 | |
Benin Government International Bond 144A 7.960%, 2/13/38(3) | 15 | 14 | |
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(4) | 225 | 42 | |
RegS 8.250%, 10/13/24(4)(5) | 610 | 98 | |
RegS 7.650%, 4/21/25(4)(5) | 830 | 132 | |
Brazil Notas do Tesouro Nacional Series F 10.000%, 1/1/29 | 1,415 BRL | 256 | |
Costa Rica Government | |||
144A 6.550%, 4/3/34(3) | 90 | 92 | |
144A 7.300%, 11/13/54(3) | 90 | 94 | |
Dominican Republic 144A 4.875%, 9/23/32(3) | 405 | 361 | |
Federative Republic of Brazil 6.000%, 10/20/33 | 625 | 604 | |
Finance Department Government of Sharjah 144A 4.000%, 7/28/50(3) | 470 | 300 |
Par Value(1) | Value | ||
Foreign Government Securities—continued | |||
Hungary Government International Bond 144A 6.250%, 9/22/32(3) | $ 320 | $ 327 | |
Islamic Republic of Pakistan 144A 7.375%, 4/8/31(3) | 225 | 184 | |
Kingdom of Jordan 144A 5.850%, 7/7/30(3) | 220 | 202 | |
Kingdom of Morocco | |||
144A 3.000%, 12/15/32(3) | 135 | 108 | |
144A 5.500%, 12/11/42(3) | 205 | 178 | |
Oman Government International Bond 144A 6.750%, 1/17/48(3) | 230 | 231 | |
Republic of Angola 144A 8.750%, 4/14/32(3) | 245 | 219 | |
Republic of Argentina 3.500%, 7/9/41(6) | 1,064 | 435 | |
Republic of Armenia 144A 3.600%, 2/2/31(3) | 140 | 114 | |
Republic of Chile 3.500%, 1/31/34 | 85 | 73 | |
Republic of Colombia 8.000%, 11/14/35 | 325 | 331 | |
Republic of Ecuador 144A 6.000%, 7/31/30(3)(6) | 315 | 211 | |
Republic of El Salvador 144A 7.650%, 6/15/35(3) | 300 | 214 | |
Republic of Gabon 144A 6.950%, 6/16/25(3) | 45 | 42 | |
Republic of Ghana 144A 8.125%, 3/26/32(3)(4) | 150 | 77 | |
Republic of Indonesia 2.850%, 2/14/30 | 310 | 273 | |
Republic of Ivory Coast | |||
144A 6.375%, 3/3/28(3) | 210 | 204 | |
144A 8.250%, 1/30/37(3) | 250 | 243 | |
Republic of Kenya 144A 8.000%, 5/22/32(3) | 95 | 87 | |
Republic of Nigeria 144A 7.375%, 9/28/33(3) | 340 | 283 |
Par Value(1) | Value | ||
Foreign Government Securities—continued | |||
Republic of Panama | |||
3.875%, 3/17/28 | $ 135 | $ 124 | |
7.500%, 3/1/31 | 8 | 8 | |
8.000%, 3/1/38 | 258 | 271 | |
Republic of Philippines 3.700%, 3/1/41 | 364 | 289 | |
Republic of Poland 4.875%, 10/4/33 | 360 | 347 | |
Republic of Serbia 144A 6.500%, 9/26/33(3) | 344 | 344 | |
Republic of South Africa 5.875%, 6/22/30 | 335 | 311 | |
Republic of Turkiye | |||
7.625%, 4/26/29 | 420 | 429 | |
9.125%, 7/13/30 | 590 | 640 | |
7.625%, 5/15/34 | 200 | 201 | |
Romania Government International Bond 144A 7.125%, 1/17/33(3) | 310 | 325 | |
Saudi International Bond | |||
144A 5.500%, 10/25/32(3) | 375 | 381 | |
144A 4.500%, 10/26/46(3) | 745 | 624 | |
State of Qatar 144A 3.750%, 4/16/30(3) | 235 | 221 | |
Ukraine Government | |||
144A 7.750%, 9/1/26(3)(4) | 105 | 32 | |
RegS 7.750%, 9/1/26(4)(5) | 290 | 88 | |
United Mexican States | |||
3.500%, 2/12/34 | 730 | 597 | |
6.338%, 5/4/53 | 205 | 196 | |
6.400%, 5/7/54 | 300 | 288 | |
Total Foreign Government Securities (Identified Cost $12,997) | 12,090 | ||
Mortgage-Backed Securities—6.8% | |||
Agency—1.0% | |||
Federal National Mortgage Association | |||
Pool #FS4438 5.000%, 11/1/52 | 819 | 789 |
Par Value(1) | Value | ||
Agency—continued | |||
Pool #MA4785 5.000%, 10/1/52 | $ 825 | $ 795 | |
Pool #MA4805 4.500%, 11/1/52 | 866 | 811 | |
Pool #MA4980 6.000%, 4/1/53 | 1,540 | 1,544 | |
3,939 | |||
Non-Agency—5.8% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(6) | 193 | 179 | |
American Homes 4 Rent Trust 2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 333 | |
AMSR Trust | |||
2021-SFR2, C 144A 1.877%, 8/17/38(3) | 245 | 223 | |
2021-SFR3, D 144A 2.177%, 10/17/38(3) | 260 | 237 | |
Angel Oak Mortgage Trust 2023-1, A1 144A 4.750%, 9/26/67(3)(6) | 197 | 191 | |
Arroyo Mortgage Trust | |||
2019-1, A1 144A 3.805%, 1/25/49(3)(6) | 347 | 328 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(6) | 129 | 122 | |
Benchmark Mortgage Trust 2023-B38, A2 5.626%, 4/15/56 | 210 | 208 | |
BPR Trust 2022-OANA, A (1 month Term SOFR + 1.898%, Cap N/A, Floor 1.898%) 144A 7.215%, 4/15/37(3)(6) | 435 | 437 | |
BX Commercial Mortgage Trust 2024-XL5, A (1 month Term SOFR + 1.392%, Cap N/A, Floor 1.392%) 144A 6.708%, 3/15/41(3)(6) | 336 | 336 | |
BX Trust | |||
2019-OC11, D 144A 3.944%, 12/9/41(3)(6) | 660 | 579 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
2022-CLS, A 144A 5.760%, 10/13/27(3) | $ 663 | $ 658 | |
CENT Trust 2023-CITY, A (1 month Term SOFR + 2.620%, Cap N/A, Floor 2.620%) 144A 7.937%, 9/15/38(3)(6) | 340 | 343 | |
Chase Mortgage Finance Corp. | |||
2016-SH1, M2 144A 3.750%, 4/25/45(3)(6) | 91 | 81 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(6) | 314 | 279 | |
CIM Trust 2022-R2, A1 144A 3.750%, 12/25/61(3)(6) | 386 | 354 | |
Citigroup Mortgage Loan Trust, Inc. 2018-RP1, A1 144A 3.000%, 9/25/64(3)(6) | 202 | 195 | |
COMM Mortgage Trust 2013-300P, A1 144A 4.353%, 8/10/30(3) | 350 | 326 | |
CoreVest American Finance Trust | |||
2019-3, C 144A 3.265%, 10/15/52(3) | 400 | 350 | |
2022-1, A 144A 4.744%, 6/17/55(3)(6) | 415 | 407 | |
Credit Suisse Mortgage Capital Trust 2020-RPL4, A1 144A 2.000%, 1/25/60(3)(6) | 274 | 237 | |
Deephaven Residential Mortgage Trust 2022-1, A1 144A 2.205%, 1/25/67(3)(6) | 259 | 230 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(3)(6) | 34 | 32 | |
ELM Trust 2024-ELM, A10 144A 5.801%, 6/10/27(3)(6)(7) | 317 | 317 | |
Extended Stay America Trust 2021-ESH, C (1 month Term SOFR + 1.814%, Cap N/A, Floor 1.700%) 144A 7.131%, 7/15/38(3)(6) | 457 | 456 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
FirstKey Homes Trust 2021-SFR1, D 144A 2.189%, 8/17/38(3) | $ 330 | $ 301 | |
Galton Funding Mortgage Trust 2018-1, A23 144A 3.500%, 11/25/57(3)(6) | 15 | 13 | |
INTOWN Mortgage Trust 2022-STAY, A (1 month Term SOFR + 2.489%, Cap N/A, Floor 2.489%) 144A 7.806%, 8/15/39(3)(6) | 537 | 540 | |
JPMBB Commercial Mortgage Securities Trust 2014-C18, AS 4.439%, 2/15/47(6) | 559 | 557 | |
JPMorgan Chase Mortgage Trust | |||
2014-5, B2 144A 2.729%, 10/25/29(3)(6) | 205 | 183 | |
2017-3, 2A2 144A 2.500%, 8/25/47(3)(6) | 72 | 62 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.475%, 4/25/55(3)(6) | 241 | 209 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(6) | 37 | 36 | |
MFA Trust | |||
2022-INV2, A1 144A 4.950%, 7/25/57(3)(6) | 644 | 628 | |
2022-NQM2, A1 144A 4.000%, 5/25/67(3)(6) | 193 | 182 | |
Mill City Mortgage Loan Trust | |||
2017-3, B1 144A 3.250%, 1/25/61(3)(6) | 415 | 348 | |
2019-1, M2 144A 3.500%, 10/25/69(3)(6) | 354 | 312 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(3)(6) | 33 | 31 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(6) | 43 | 40 | |
2016-3A, B1 144A 4.000%, 9/25/56(3)(6) | 170 | 156 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(6) | 19 | 18 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
2016-4A, B1A 144A 4.500%, 11/25/56(3)(6) | $ 886 | $ 841 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(6) | 679 | 635 | |
2019-RPL2, M2 144A 3.750%, 2/25/59(3)(6) | 440 | 375 | |
ORL Trust 2023-GLKS, A (1 month Term SOFR + 2.350%, Cap N/A, Floor 2.350%) 144A 7.667%, 10/19/36(3)(6) | 438 | 440 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 3.487%, 6/25/26(3)(6) | 177 | 177 | |
Progress Residential Trust 2021-SFR3, D 144A 2.288%, 5/17/26(3) | 830 | 763 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(6) | 178 | 147 | |
Sequoia Mortgage Trust 2013-8, B1 3.480%, 6/25/43(6) | 65 | 61 | |
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(3)(6) | 59 | 48 | |
Towd Point Mortgage Trust | |||
2016-4, B1 144A 4.024%, 7/25/56(3)(6) | 480 | 449 | |
2017-1, A2 144A 3.500%, 10/25/56(3)(6) | 330 | 324 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(6) | 385 | 366 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(6) | 610 | 550 | |
2018-6, A1B 144A 3.750%, 3/25/58(3)(6) | 330 | 308 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(6) | 480 | 426 | |
2019-2, A2 144A 3.750%, 12/25/58(3)(6) | 515 | 453 | |
2019-4, A2 144A 3.250%, 10/25/59(3)(6) | 445 | 388 |
Par Value(1) | Value | ||
Non-Agency—continued | |||
2021-1, A2 144A 2.750%, 11/25/61(3)(6) | $ 465 | $ 372 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 590 | 561 | |
2020-SFR2, D 144A 2.281%, 11/17/39(3) | 660 | 581 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) | 185 | 171 | |
VCAT LLC 2021-NPL4, A1 144A 1.868%, 8/25/51(3)(6) | 145 | 142 | |
Verus Securitization Trust | |||
2022-4, A1 144A 4.474%, 4/25/67(3)(6) | 349 | 338 | |
2022-6, A1 144A 4.910%, 6/25/67(3)(6) | 234 | 230 | |
2022-6, A3 144A 4.910%, 6/25/67(3)(6) | 493 | 476 | |
2022-7, A1 144A 5.152%, 7/25/67(3)(6) | 501 | 494 | |
2023-8, A1 144A 6.259%, 12/25/68(3)(6) | 317 | 318 | |
Visio Trust | |||
2020-1R, A2 144A 1.567%, 11/25/55(3) | 52 | 47 | |
2022-1, A2 144A 5.850%, 8/25/57(3)(6) | 245 | 241 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 649 | 630 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(6) | 115 | 95 | |
22,501 | |||
Total Mortgage-Backed Securities (Identified Cost $28,058) | 26,440 | ||
Par Value(1) | Value | ||
Asset-Backed Securities—5.6% | |||
Automobiles—2.2% | |||
ACC Auto Trust 2021-A, C 144A 3.790%, 4/15/27(3) | $ 303 | $ 302 | |
ACM Auto Trust 2023-2A, A 144A 7.970%, 6/20/30(3) | 201 | 202 | |
American Credit Acceptance Receivables Trust 2022-1, E 144A 3.640%, 3/13/28(3) | 560 | 542 | |
Arivo Acceptance Auto Loan Receivables Trust 2024-1A, B 144A 6.870%, 6/17/30(3) | 462 | 461 | |
Avis Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(3) | 397 | 394 | |
Carvana Auto Receivables Trust | |||
2019-3A, E 144A 4.600%, 7/15/26(3) | 214 | 213 | |
2023-N4, C 144A 6.590%, 2/11/30(3) | 485 | 495 | |
2024-N1, B 144A 5.630%, 5/10/30(3) | 530 | 529 | |
Credit Acceptance Auto Loan Trust 2024-1A, A 144A 5.680%, 3/15/34(3) | 316 | 316 | |
Exeter Automobile Receivables Trust 2023-3A, D 6.680%, 4/16/29 | 530 | 535 | |
GLS Auto Receivables Issuer Trust 2024-2A, C 144A 6.030%, 2/15/30(3) | 360 | 360 | |
LAD Auto Receivables Trust | |||
2023-1A, D 144A 7.300%, 6/17/30(3) | 550 | 558 |
Par Value(1) | Value | ||
Automobiles—continued | |||
2023-2A, D 144A 6.300%, 2/15/31(3) | $ 450 | $ 448 | |
2023-4A, C 144A 6.760%, 3/15/29(3) | 412 | 421 | |
Lendbuzz Securitization Trust 2023-2A, A2 144A 7.090%, 10/16/28(3) | 346 | 349 | |
Lobel Automobile Receivables Trust 2023-1, B 144A 7.050%, 9/15/28(3) | 535 | 535 | |
OneMain Direct Auto Receivables Trust 2022-1A, C 144A 5.310%, 6/14/29(3) | 410 | 402 | |
Tricolor Auto Securitization Trust 2023-1A, C 144A 7.240%, 2/16/27(3) | 554 | 556 | |
United Auto Credit Securitization Trust 2024-1, C 144A 7.060%, 10/10/29(3) | 405 | 406 | |
Westlake Automobile Receivables Trust 2024-1A, B 144A 5.550%, 11/15/27(3) | 469 | 467 | |
8,491 | |||
Consumer Loans—0.0% | |||
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) | 142 | 141 | |
Upstart Securitization Trust 2022-2, A 144A 4.370%, 5/20/32(3) | 15 | 15 | |
156 | |||
Credit Card—0.4% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) | 590 | 575 |
Par Value(1) | Value | ||
Credit Card—continued | |||
Mercury Financial Credit Card Master Trust 2023-1A, A 144A 8.040%, 9/20/27(3) | $ 555 | $ 559 | |
Mission Lane Credit Card Master Trust 2023-A, A 144A 7.230%, 7/17/28(3) | 447 | 449 | |
1,583 | |||
Other—3.0% | |||
Applebee’s Funding LLC 2023-1A, A2 144A 7.824%, 3/5/53(3) | 422 | 436 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(3) | 1 | 1 | |
2019-A, C 144A 4.010%, 7/16/40(3) | 475 | 433 | |
Auxilior Term Funding LLC 2023-1A, D 144A 7.270%, 12/16/30(3) | 290 | 291 | |
BHG Securitization Trust | |||
2023-B, A 144A 6.920%, 12/17/36(3) | 272 | 277 | |
2024-1CON, A 144A 5.810%, 4/17/35(3) | 395 | 395 | |
BXG Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(3) | 225 | 206 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) | 335 | 303 | |
CCG Receivables Trust 2023-1, A2 144A 5.820%, 9/16/30(3) | 406 | 407 | |
Dext ABS LLC | |||
2020-1, D 144A 7.210%, 2/15/28(3) | 475 | 474 | |
2023-2, B 144A 6.410%, 5/15/34(3) | 405 | 406 | |
Diamond Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(3) | 113 | 106 |
Par Value(1) | Value | ||
Other—continued | |||
FAT Brands Royalty LLC 2021-1A, A2 144A 5.750%, 4/25/51(3) | $ 581 | $ 489 | |
Five Guys Holdings, Inc. 2023-1A, A2 144A 7.549%, 1/26/54(3) | 405 | 418 | |
Foundation Finance Trust 2019-1A, A 144A 3.860%, 11/15/34(3) | 6 | 6 | |
Hardee’s Funding LLC 2024-1A, A2 144A 7.253%, 3/20/54(3) | 460 | 458 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) | 70 | 65 | |
Hotwire Funding LLC 2021-1, C 144A 4.459%, 11/20/51(3) | 695 | 626 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(3) | 525 | 486 | |
Jersey Mike’s Funding LLC 2019-1A, A2 144A 4.433%, 2/15/50(3) | 431 | 411 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(3) | 156 | 154 | |
MetroNet Infrastructure Issuer LLC 2024-1A, A2 144A 6.230%, 4/20/54(3) | 360 | 362 | |
Momnt Technologies Trust 2023-1A, A 144A 6.920%, 3/20/45(3) | 355 | 356 | |
NBC Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(3) | 470 | 432 | |
Octane Receivables Trust 2023-3A, C 144A 6.740%, 8/20/29(3) | 545 | 553 | |
Pawneee Equipment Receivables LLC 2022-1, B 144A 5.400%, 7/17/28(3) | 500 | 491 |
Par Value(1) | Value | ||
Other—continued | |||
Progress Residential Trust 2021-SFR6, D 144A 2.225%, 7/17/38(3) | $ 235 | $ 216 | |
Purchasing Power Funding LLC 2024-A, B 144A 6.430%, 8/15/28(3) | 510 | 509 | |
RCKT Mortgage Trust 2024-CES1, A1A 144A 6.025%, 2/25/44(3)(6) | 289 | 288 | |
Reach ABS Trust 2024-1A, B 144A 6.290%, 2/18/31(3) | 500 | 498 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(3) | 352 | 345 | |
Trafigura Securitisation Finance plc 2024-1A, A2 144A 5.980%, 11/15/27(3) | 365 | 364 | |
Zaxby’s Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(3) | 556 | 489 | |
11,751 | |||
Total Asset-Backed Securities (Identified Cost $22,329) | 21,981 | ||
Corporate Bonds and Notes—13.5% | |||
Communication Services—0.7% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 200 | 62 | |
Altice France S.A. | |||
144A 5.125%, 1/15/29(3) | 300 | 203 | |
144A 5.125%, 7/15/29(3) | 175 | 117 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(2)(3) | 375 | 319 | |
CMG Media Corp. 144A 8.875%, 12/15/27(3) | 395 | 198 | |
CSC Holdings LLC | |||
144A 7.500%, 4/1/28(3) | 365 | 204 | |
144A 11.750%, 1/31/29(3) | 250 | 199 |
Par Value(1) | Value | ||
Communication Services—continued | |||
CT Trust 144A 5.125%, 2/3/32(3) | $ 110 | $ 96 | |
DISH DBS Corp. | |||
5.875%, 11/15/24 | 260 | 248 | |
7.750%, 7/1/26 | 205 | 130 | |
Gray Television, Inc. 144A 7.000%, 5/15/27(3) | 350 | 309 | |
Level 3 Financing, Inc. 144A 3.625%, 1/15/29(3) | 335 | 110 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(3) | 350 | 177 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(3) | 490 | 129 | |
Sprint Capital Corp. 8.750%, 3/15/32(2) | 230 | 275 | |
Telesat Canada 144A 6.500%, 10/15/27(3) | 270 | 79 | |
2,855 | |||
Consumer Discretionary—0.5% | |||
Amer Sports Co. 144A 6.750%, 2/16/31(3) | 25 | 25 | |
Ashtead Capital, Inc. 144A 5.500%, 8/11/32(2)(3) | 260 | 254 | |
Ford Motor Credit Co. LLC 7.350%, 3/6/30(2) | 192 | 202 | |
Meritage Homes Corp. 144A 3.875%, 4/15/29(2)(3) | 283 | 259 | |
Newell Brands, Inc. 6.625%, 9/15/29(2) | 238 | 233 | |
Ontario Gaming GTA LP 144A 8.000%, 8/1/30(2)(3) | 150 | 154 | |
PetSmart, Inc. 144A 7.750%, 2/15/29(2)(3) | 135 | 129 | |
Prime Security Services Borrower LLC 144A 6.250%, 1/15/28(2)(3) | 250 | 246 | |
Royal Caribbean Cruises Ltd. 144A 9.250%, 1/15/29(2)(3) | 18 | 19 | |
Tapestry, Inc. 7.850%, 11/27/33(2) | 244 | 257 |
Par Value(1) | Value | ||
Consumer Discretionary—continued | |||
Wand NewCo 3, Inc. 144A 7.625%, 1/30/32(2)(3) | $ 10 | $ 10 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(2)(3) | 355 | 325 | |
2,113 | |||
Consumer Staples—0.4% | |||
BAT Capital Corp. 7.750%, 10/19/32(2) | 238 | 269 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(3) | 260 | 244 | |
Herbalife Nutrition Ltd. 144A 7.875%, 9/1/25(2)(3) | 95 | 92 | |
HLF Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(2)(3) | 220 | 143 | |
Minerva Luxembourg S.A. 144A 8.875%, 9/13/33(3) | 215 | 224 | |
Pilgrim’s Pride Corp. 6.250%, 7/1/33(2) | 230 | 232 | |
Post Holdings, Inc. 144A 6.250%, 2/15/32(2)(3) | 150 | 149 | |
Sigma Holdco B.V. 144A 7.875%, 5/15/26(3) | 200 | 195 | |
Triton Water Holdings, Inc. 144A 6.250%, 4/1/29(3) | 145 | 134 | |
1,682 | |||
Energy—2.6% | |||
Alliance Resource Operating Partners LP | |||
144A 7.500%, 5/1/25(2)(3) | 295 | 295 | |
144A 8.625%, 6/15/29(3) | 190 | 194 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(2)(3) | 410 | 419 | |
Blue Racer Midstream LLC 144A 7.250%, 7/15/32(2)(3) | 35 | 36 | |
BP Capital Markets plc 4.875% (2)(8) | 437 | 412 |
Par Value(1) | Value | ||
Energy—continued | |||
Civitas Resources, Inc. 144A 8.750%, 7/1/31(2)(3) | $ 225 | $ 240 | |
Columbia Pipelines Operating Co. LLC | |||
144A 6.036%, 11/15/33(2)(3) | 260 | 265 | |
144A 6.714%, 8/15/63(2)(3) | 50 | 53 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(2)(3) | 526 | 546 | |
Crescent Energy Finance LLC 144A 7.625%, 4/1/32(2)(3) | 5 | 5 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(2)(3) | 85 | 85 | |
144A 5.000%, 5/1/29(2)(3) | 170 | 168 | |
CVR Energy, Inc. 144A 8.500%, 1/15/29(2)(3) | 340 | 341 | |
Ecopetrol S.A. | |||
4.625%, 11/2/31 | 180 | 146 | |
8.875%, 1/13/33 | 250 | 256 | |
Encino Acquisition Partners Holdings LLC 144A 8.750%, 5/1/31(2)(3) | 25 | 26 | |
Energy Transfer LP Series H 6.500% (2)(8) | 350 | 343 | |
EQM Midstream Partners LP 144A 6.375%, 4/1/29(2)(3) | 85 | 85 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(2)(3) | 467 | 384 | |
Genesis Energy LP 8.875%, 4/15/30(2) | 180 | 188 | |
Greensaif Pipelines Bidco S.a.r.l. 144A 6.129%, 2/23/38(3) | 55 | 55 | |
Helix Energy Solutions Group, Inc. 144A 9.750%, 3/1/29(2)(3) | 275 | 290 | |
International Petroleum Corp. 144A, RegS 7.250%, 2/1/27(3)(5) | 380 | 370 |
Par Value(1) | Value | ||
Energy—continued | |||
KazMunayGas National Co. JSC | |||
144A 5.375%, 4/24/30(3) | $ 20 | $ 19 | |
144A 6.375%, 10/24/48(3) | 325 | 299 | |
RegS 6.375%, 10/24/48(5) | 200 | 184 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | 239 | 267 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(3) | 105 | 7 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(3) | 285 | 286 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(2)(3) | 185 | 182 | |
Occidental Petroleum Corp. 6.125%, 1/1/31(2) | 230 | 235 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(8)(9) | 26 | 2 | |
Pertamina Persero PT 144A 2.300%, 2/9/31(3) | 480 | 394 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(3)(4) | 665 | 78 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 390 | 368 | |
6.700%, 2/16/32 | 180 | 151 | |
7.690%, 1/23/50 | 260 | 189 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 205 | 187 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(5) | 280 | 286 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(2)(3) | 330 | 323 | |
Transcanada Trust 5.600%, 3/7/82 | 305 | 275 | |
Transocean, Inc. | |||
144A 8.250%, 5/15/29(3) | 50 | 50 | |
144A 8.750%, 2/15/30(2)(3) | 257 | 268 | |
144A 8.500%, 5/15/31(3) | 80 | 80 | |
Venture Global LNG, Inc. 144A 9.875%, 2/1/32(2)(3) | 390 | 418 |
Par Value(1) | Value | ||
Energy—continued | |||
Western Midstream Operating LP 5.250%, 2/1/50(2) | $ 285 | $ 248 | |
9,998 | |||
Financials—4.8% | |||
Acrisure LLC | |||
144A 8.250%, 2/1/29(3) | 130 | 131 | |
144A 6.000%, 8/1/29(3) | 135 | 123 | |
Allianz SE 144A 6.350%, 9/6/53(2)(3) | 200 | 207 | |
Allstate Corp. (The) Series B (3 month Term SOFR + 3.200%) 8.522%, 8/15/53(2)(6) | 275 | 276 | |
Altice Financing S.A. 144A 5.000%, 1/15/28(2)(3) | 515 | 407 | |
American Express Co. 5.625%, 7/28/34(2) | 208 | 207 | |
Apollo Debt Solutions BDC 144A 6.900%, 4/13/29(2)(3) | 223 | 225 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(2)(3) | 509 | 422 | |
Aston Martin Capital Holdings Ltd. 144A 10.000%, 3/31/29(3) | 320 | 310 | |
Baldwin Insurance Group Holdings LLC 144A 7.125%, 5/15/31(2)(3) | 30 | 30 | |
Banco de Credito del Peru S.A. | |||
144A 3.125%, 7/1/30(3) | 278 | 266 | |
RegS 3.125%, 7/1/30(5) | 73 | 70 | |
Banco de Credito e Inversiones S.A. 144A 8.750% (3)(8) | 330 | 345 | |
Banco Mercantil del Norte S.A. 144A 6.625% (3)(8) | 150 | 135 | |
Bank of America Corp. | |||
5.015%, 7/22/33 | 282 | 275 | |
2.482%, 9/21/36 | 386 | 309 |
Par Value(1) | Value | ||
Financials—continued | |||
Bank of New York Mellon Corp. (The) Series G 4.700% (2)(8) | $ 427 | $ 419 | |
Barclays plc 7.437%, 11/2/33(2) | 259 | 285 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(3) | 270 | 249 | |
Blackstone Private Credit Fund 2.625%, 12/15/26(2) | 256 | 234 | |
Block, Inc. 144A 6.500%, 5/15/32(2)(3) | 165 | 167 | |
Blue Owl Credit Income Corp. 4.700%, 2/8/27(2) | 216 | 206 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(2)(3) | 415 | 347 | |
BNSF Funding Trust I 6.613%, 12/15/55(2) | 245 | 242 | |
BPCE S.A. 144A 7.003%, 10/19/34(3) | 250 | 269 | |
Brixmor Operating Partnership LP 5.750%, 2/15/35(2) | 95 | 94 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(3) | 270 | 247 | |
Brookfield Finance, Inc. 6.350%, 1/5/34(2) | 221 | 231 | |
Capital One Financial Corp. 2.359%, 7/29/32(2) | 255 | 199 | |
Charles Schwab Corp. (The) Series H 4.000% (2)(8) | 334 | 278 | |
Citigroup, Inc. | |||
6.270%, 11/17/33 | 194 | 203 | |
6.174%, 5/25/34(2) | 202 | 205 | |
Citizens Bank N.A. 2.250%, 4/28/25(2) | 165 | 160 | |
Corebridge Financial, Inc. 6.875%, 12/15/52(2) | 326 | 328 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(2)(3) | 480 | 454 | |
Export-Import Bank Korea 5.125%, 1/11/33 | 220 | 220 |
Par Value(1) | Value | ||
Financials—continued | |||
F&G Annuities & Life, Inc. 6.500%, 6/4/29 | $ 165 | $ 165 | |
Fifth Third Bancorp 4.337%, 4/25/33(2) | 273 | 248 | |
Foundry JV Holdco LLC 144A 6.250%, 1/25/35(2)(3) | 325 | 331 | |
Gaci First Investment Co. RegS 4.875%, 2/14/35(5) | 245 | 231 | |
GGAM Finance Ltd. 144A 6.875%, 4/15/29(2)(3) | 225 | 227 | |
Global Atlantic Fin Co. | |||
144A 7.950%, 6/15/33(2)(3) | 169 | 187 | |
144A 6.750%, 3/15/54(2)(3) | 35 | 35 | |
Goldman Sachs Group, Inc. (The) | |||
3.102%, 2/24/33(2) | 245 | 208 | |
6.450%, 5/1/36(2) | 190 | 202 | |
Grifols S.A. 144A 4.750%, 10/15/28(3) | 245 | 213 | |
HUB International Ltd. 144A 7.375%, 1/31/32(3) | 55 | 55 | |
Huntington Bancshares, Inc. 2.550%, 2/4/30(2) | 297 | 252 | |
ION Trading Technologies S.a.r.l. 144A 9.500%, 5/30/29(3) | 145 | 146 | |
JPMorgan Chase & Co. 1.953%, 2/4/32(2) | 470 | 380 | |
KeyCorp 6.401%, 3/6/35(2) | 221 | 222 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(2)(3) | 210 | 197 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(2)(3) | 320 | 296 | |
Lincoln National Corp. (3 month Term SOFR + 2.302%) 7.626%, 4/20/67(2)(6) | 195 | 151 | |
Medline Borrower LP 144A 6.250%, 4/1/29(2)(3) | 65 | 65 | |
Melco Resorts Finance Ltd. 144A 7.625%, 4/17/32(3) | 300 | 297 |
Par Value(1) | Value | ||
Financials—continued | |||
Merlin Entertainments Group U.S. Holdings, Inc. 144A 7.375%, 2/15/31(2)(3) | $ 245 | $ 248 | |
MetLife, Inc. Series G 3.850% (2)(8) | 340 | 327 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(2)(3) | 265 | 247 | |
Morgan Stanley | |||
6.342%, 10/18/33(2) | 317 | 335 | |
5.948%, 1/19/38(2) | 208 | 207 | |
MSCI, Inc. 144A 3.625%, 9/1/30(2)(3) | 256 | 227 | |
National Rural Utilities Cooperative Finance Corp. (3 month Term SOFR + 3.172%) 8.501%, 4/30/43(2)(6) | 270 | 270 | |
Nationstar Mortgage Holdings, Inc. 144A 5.750%, 11/15/31(2)(3) | 360 | 333 | |
NatWest Group plc 6.475%, 6/1/34(2) | 220 | 224 | |
Nippon Life Insurance Co. 144A 6.250%, 9/13/53(2)(3) | 200 | 206 | |
Northern Trust Corp. 6.125%, 11/2/32(2) | 209 | 217 | |
Nuveen LLC 144A 5.850%, 4/15/34(2)(3) | 245 | 246 | |
Panther Escrow Issuer LLC 144A 7.125%, 6/1/31(2)(3) | 30 | 30 | |
Prudential Financial, Inc. | |||
5.125%, 3/1/52(2) | 148 | 137 | |
6.750%, 3/1/53(2) | 120 | 123 | |
Societe Generale S.A. 144A 6.066%, 1/19/35(2)(3) | 200 | 200 | |
State Street Corp. Series I 6.700% (2)(8) | 200 | 202 | |
Synchrony Financial | |||
4.875%, 6/13/25(2) | 80 | 79 | |
3.700%, 8/4/26(2) | 117 | 111 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31(2) | 495 | 450 |
Par Value(1) | Value | ||
Financials—continued | |||
Toronto-Dominion Bank (The) 8.125%, 10/31/82 | $ 239 | $ 248 | |
UBS Group AG | |||
144A 9.250%(2)(3)(8) | 35 | 39 | |
144A 4.988%, 8/5/33(2)(3) | 289 | 276 | |
Vistra Operations Co. LLC 144A 6.875%, 4/15/32(2)(3) | 165 | 166 | |
Wells Fargo & Co. | |||
5.389%, 4/24/34(2) | 270 | 266 | |
Series BB 3.900%(2)(8) | 470 | 444 | |
18,741 | |||
Health Care—0.7% | |||
Catalent Pharma Solutions, Inc. 144A 3.500%, 4/1/30(2)(3) | 395 | 375 | |
Community Health Systems, Inc. 144A 4.750%, 2/15/31(3) | 285 | 225 | |
DENTSPLY SIRONA, Inc. 3.250%, 6/1/30(2) | 388 | 338 | |
Endo Finance Holdings, Inc. 144A 8.500%, 4/15/31(3) | 20 | 21 | |
HCA, Inc. 5.500%, 6/1/33(2) | 274 | 271 | |
LifePoint Health, Inc. | |||
144A 9.875%, 8/15/30(2)(3) | 305 | 326 | |
144A 10.000%, 6/1/32(3) | 110 | 110 | |
Medline Borrower LP 144A 5.250%, 10/1/29(2)(3) | 205 | 193 | |
ModivCare, Inc. 144A 5.875%, 11/15/25(3) | 55 | 55 | |
Organon & Co. 144A 7.875%, 5/15/34(2)(3) | 20 | 20 | |
Par Pharmaceutical, Inc. 7.500%, 4/1/27(7) | 187 | — | |
Smith & Nephew plc 5.400%, 3/20/34 | 220 | 216 | |
Universal Health Services, Inc. 2.650%, 1/15/32(2) | 344 | 280 |
Par Value(1) | Value | ||
Health Care—continued | |||
Viatris, Inc. | |||
2.700%, 6/22/30(2) | $ 160 | $ 135 | |
4.000%, 6/22/50(2) | 135 | 91 | |
2,656 | |||
Industrials—1.2% | |||
Adani Ports & Special Economic Zone Ltd. 144A 4.375%, 7/3/29(3) | 322 | 282 | |
Alaska Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 2/15/29(2)(3) | 468 | 455 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(2)(3) | 254 | 237 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(2)(3) | 243 | 236 | |
Boeing Co. (The) | |||
3.750%, 2/1/50(2) | 205 | 133 | |
5.930%, 5/1/60(2) | 147 | 130 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(2)(3) | 448 | 380 | |
Fortress Transportation & Infrastructure Investors LLC 144A 7.000%, 5/1/31(2)(3) | 210 | 212 | |
GFL Environmental, Inc. 144A 6.750%, 1/15/31(2)(3) | 20 | 20 | |
Global Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(2)(3) | 360 | 352 | |
Hertz Corp. (The) | |||
144A 4.625%, 12/1/26(3) | 185 | 144 | |
144A 5.000%, 12/1/29(3) | 320 | 211 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26(2) | 165 | 161 | |
5.250%, 5/15/27(2) | 40 | 37 | |
LBM Acquisition LLC 144A 6.250%, 1/15/29(3) | 195 | 176 | |
Regal Rexnord Corp. 6.400%, 4/15/33(2) | 329 | 339 | |
Sempra Global 144A 3.250%, 1/15/32(2)(3) | 475 | 391 | |
TransDigm, Inc. 144A 6.625%, 3/1/32(2)(3) | 205 | 206 |
Par Value(1) | Value | ||
Industrials—continued | |||
United Airlines Pass-Through Trust 2023-1, A 5.800%, 7/15/37(2) | $ 296 | $ 297 | |
VistaJet Malta Finance plc 144A 9.500%, 6/1/28(2)(3) | 420 | 382 | |
4,781 | |||
Information Technology—0.4% | |||
Booz Allen Hamilton, Inc. | |||
144A 3.875%, 9/1/28(2)(3) | 226 | 212 | |
144A 4.000%, 7/1/29(2)(3) | 90 | 84 | |
CommScope Technologies LLC 144A 6.000%, 6/15/25(3) | 270 | 222 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(2)(3) | 75 | 73 | |
144A 6.500%, 10/15/28(2)(3) | 115 | 106 | |
Helios Software Holdings, Inc. 144A 8.750%, 5/1/29(2)(3) | 100 | 101 | |
Insight Enterprises, Inc. 144A 6.625%, 5/15/32(2)(3) | 25 | 25 | |
Rocket Software, Inc. 144A 9.000%, 11/28/28(2)(3) | 145 | 147 | |
Viasat, Inc. 144A 5.625%, 9/15/25(3) | 445 | 432 | |
Vontier Corp. 2.950%, 4/1/31(2) | 200 | 164 | |
1,566 | |||
Materials—0.7% | |||
ASP Unifrax Holdings, Inc. 144A 5.250%, 9/30/28(3) | 565 | 284 | |
Bayport Polymers LLC 144A 5.140%, 4/14/32(2)(3) | 415 | 383 | |
Corp. Nacional del Cobre de Chile 144A 5.950%, 1/8/34(3) | 200 | 198 | |
Illuminate Buyer LLC 144A 9.000%, 7/1/28(3) | 255 | 255 |
Par Value(1) | Value | ||
Materials—continued | |||
INEOS Quattro Finance 2 plc 144A 9.625%, 3/15/29(2)(3) | $ 200 | $ 211 | |
LSB Industries, Inc. 144A 6.250%, 10/15/28(2)(3) | 240 | 231 | |
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(3) | 250 | 249 | |
New Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(3) | 230 | 235 | |
Taseko Mines Ltd. 144A 8.250%, 5/1/30(2)(3) | 130 | 133 | |
Trivium Packaging Finance B.V. 144A 8.500%, 8/15/27(3) | 382 | 381 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(3) | 294 | 271 | |
2,831 | |||
Real Estate—0.5% | |||
EPR Properties 4.750%, 12/15/26(2) | 455 | 439 | |
GLP Capital LP 6.750%, 12/1/33(2) | 320 | 332 | |
Office Properties Income Trust 4.500%, 2/1/25 | 235 | 180 | |
Sabra Health Care LP 3.200%, 12/1/31(2) | 270 | 223 | |
Safehold GL Holdings LLC 6.100%, 4/1/34(2) | 245 | 243 | |
VICI Properties LP | |||
5.125%, 5/15/32(2) | 135 | 128 | |
144A 4.625%, 6/15/25(2)(3) | 65 | 64 | |
144A 5.750%, 2/1/27(2)(3) | 190 | 190 | |
1,799 | |||
Utilities—1.0% | |||
AES Corp. (The) 7.600%, 1/15/55 | 175 | 176 | |
CMS Energy Corp. 4.750%, 6/1/50(2) | 446 | 410 | |
Dominion Energy, Inc. Series A 6.875%, 2/1/55(2) | 280 | 289 |
Par Value(1) | Value | ||
Utilities—continued | |||
Electricite de France S.A. | |||
144A 6.250%, 5/23/33(2)(3) | $ 184 | $ 191 | |
144A 6.900%, 5/23/53(2)(3) | 176 | 188 | |
Enel Finance International N.V. 144A 7.500%, 10/14/32(3) | 231 | 256 | |
Entergy Corp. 7.125%, 12/1/54 | 290 | 289 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(2)(3) | 125 | 122 | |
144A 5.875%, 4/1/29(2)(3) | 275 | 260 | |
KeySpan Gas East Corp. 144A 5.994%, 3/6/33(3) | 276 | 276 | |
NGL Energy Operating LLC | |||
144A 8.125%, 2/15/29(2)(3) | 55 | 56 | |
144A 8.375%, 2/15/32(2)(3) | 90 | 92 | |
NRG Energy, Inc. 144A 7.000%, 3/15/33(2)(3) | 328 | 347 | |
PacifiCorp 5.800%, 1/15/55(2) | 214 | 204 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(3) | 250 | 240 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51(2) | 419 | 390 | |
Vistra Corp. 144A 8.000% (2)(3)(8) | 190 | 193 | |
3,979 | |||
Total Corporate Bonds and Notes (Identified Cost $56,374) | 53,001 | ||
Leveraged Loans—6.2% | |||
Aerospace—0.2% | |||
Amentum Government Services Holdings LLC (1 month Term SOFR + 4.000%) 9.321%, 2/15/29(6) | 162 | 163 | |
Brown Group Holding LLC (1 month Term SOFR + 2.850%) 8.179%, 6/7/28(6) | 208 | 209 |
Par Value(1) | Value | ||
Aerospace—continued | |||
Dynasty Acquisition Co., Inc. | |||
2024, Tranche B-1 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) | $ 162 | $ 163 | |
2024, Tranche B-2 (1 month Term SOFR + 3.500%) 8.829%, 8/24/28(6) | 62 | 63 | |
Mileage Plus Holdings LLC (3 month Term SOFR + 5.400%) 10.733%, 6/21/27(6) | 195 | 199 | |
Peraton Corp. Tranche B, First Lien (1 month Term SOFR + 3.850%) 9.179%, 2/1/28(6) | 194 | 194 | |
991 | |||
Chemicals—0.2% | |||
Ineos Finance plc 2027 (1 month Term SOFR + 3.850%) 9.179%, 11/8/27(6) | 206 | 206 | |
Innophos Holdings, Inc. (1 month Term SOFR + 3.614%) 8.944%, 2/5/27(6) | 164 | 163 | |
LSF11 A5 Holdco LLC (1 month Term SOFR + 4.350%) 9.679%, 10/15/28(6) | 174 | 174 | |
Lummus Technology Holdings V LLC 2024, Tranche B (1 month Term SOFR + 3.614%) 8.944%, 12/31/29(6) | 65 | 66 | |
Starfruit Finco B.V. Tranche B (3 month Term SOFR + 3.500%) 8.826%, 4/3/28(6) | 164 | 165 |
Par Value(1) | Value | ||
Chemicals—continued | |||
Windsor Holdings III LLC 2024, Tranche B (1 month Term SOFR + 4.000%) 9.320%, 8/1/30(6) | $ 149 | $ 151 | |
925 | |||
Consumer Durables—0.0% | |||
Gloves Buyer, Inc. First Lien (1 month Term SOFR + 4.114%) 0.000%, 12/29/27(6)(10) | 120 | 120 | |
Consumer Non-Durables—0.1% | |||
DS Parent, Inc. Tranche B (3 month Term SOFR + 5.500%) 10.802%, 1/31/31(6) | 210 | 210 | |
Simply Good Foods USA, Inc. Tranche B (1 month Term SOFR + 2.600%) 0.000%, 3/17/27(6)(10) | 70 | 70 | |
280 | |||
Energy—0.2% | |||
Freeport LNG Investments LLP Tranche B (3 month Term SOFR + 3.762%) 9.086%, 12/21/28(6) | 249 | 249 | |
Hamilton Projects Acquiror LLC First Lien (1 month Term SOFR + 3.750%) 0.000%, 5/22/31(6)(10) | 35 | 35 | |
Medallion Midland Acquisition LLC First Lien (3 month Term SOFR + 3.500%) 8.830%, 10/18/28(6) | 179 | 179 |
Par Value(1) | Value | ||
Energy—continued | |||
Oryx Midstream Services Permian Basin LLC 2024 (1 month Term SOFR + 3.114%) 8.436%, 10/5/28(6) | $ 195 | $ 197 | |
Traverse Midstream Partners LLC Tranche B (3 month Term SOFR + 3.500%) 8.829%, 2/16/28(6) | 206 | 207 | |
867 | |||
Financials—0.2% | |||
Acrisure LLC | |||
2020, Tranche B (1 month LIBOR + 3.500%) 8.944%, 2/15/27(6) | 164 | 164 | |
2023, Tranche B (1 month Term SOFR + 4.500%) 9.829%, 11/6/30(6) | 115 | 115 | |
AssuredPartners, Inc. 2024 (1 month Term SOFR + 3.500%) 8.829%, 2/14/31(6) | 45 | 45 | |
Asurion LLC Tranche B-9 (1 month Term SOFR + 3.364%) 8.694%, 7/31/27(6) | 212 | 208 | |
Blackhawk Network Holdings, Inc. Tranche B (1 month Term SOFR + 5.000%) 10.329%, 3/12/29(6) | 164 | 165 | |
HUB International Ltd. (1-3 month Term SOFR + 3.250%) 8.575% - 8.579%, 6/20/30(6) | 250 | 252 | |
949 | |||
Food / Tobacco—0.3% | |||
Del Monte Foods, Inc. (3 month Term SOFR + 4.400%) 9.736%, 5/16/29(6) | 272 | 211 |
Par Value(1) | Value | ||
Food / Tobacco—continued | |||
Naked Juice LLC (3 month Term SOFR + 3.350%) 8.659%, 1/24/29(6) | $ 191 | $ 182 | |
Pegasus Bidco B.V. 2024 (3 month Term SOFR + 3.750%) 9.072%, 7/12/29(6) | 188 | 188 | |
Sigma Holdco B.V. Tranche B-7 (6 month Term SOFR + 4.910%) 10.337%, 1/3/28(6) | 169 | 169 | |
Triton Water Holdings, Inc. First Lien (3 month Term SOFR + 3.512%) 8.814%, 3/31/28(6) | 518 | 518 | |
1,268 | |||
Forest Prod / Containers—0.2% | |||
Klockner Pentaplast of America, Inc. Tranche B (3 month Term SOFR + 4.975%) 10.267%, 2/12/26(6) | 282 | 257 | |
Mauser Packaging Solutions Holding Co. (1 month Term SOFR + 3.500%) 8.813%, 4/15/27(6) | 144 | 144 | |
TricorBraun, Inc. (1 month Term SOFR + 3.364%) 8.694%, 3/3/28(6) | 279 | 278 | |
679 | |||
Gaming / Leisure—0.4% | |||
Alterra Mountain Co. Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/31/30(6)(10) | 5 | 5 | |
Caesars Entertainment, Inc. Tranche B (3 month Term SOFR + 2.750%) 8.097%, 2/6/30(6) | 124 | 124 |
Par Value(1) | Value | ||
Gaming / Leisure—continued | |||
ECL Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 9.329%, 8/31/30(6) | $ 184 | $ 185 | |
Entain plc Tranche B-3 (1 month Term SOFR + 2.750%) 0.000%, 10/31/29(6)(10) | 165 | 165 | |
Fertitta Entertainment LLC Tranche B (1 month Term SOFR + 3.750%) 9.071%, 1/27/29(6) | 105 | 105 | |
J&J Ventures Gaming LLC (1 month Term SOFR + 4.114%) 9.444%, 4/26/28(6) | 219 | 219 | |
Motion Finco LLC Tranche B-3 (3 month Term SOFR + 3.762%) 9.071%, 11/12/29(6) | 190 | 190 | |
Ontario Gaming GTA Ltd. Partnership Tranche B (3 month Term SOFR + 4.250%) 9.559%, 8/1/30(6) | 214 | 215 | |
Scientific Games Holdings LP (2-3 month Term SOFR + 3.250%) 8.556%, 4/4/29(6) | 262 | 263 | |
1,471 | |||
Health Care—0.7% | |||
Bausch & Lomb Corp. (1 month Term SOFR + 4.000%) 9.329%, 9/29/28(6) | 119 | 119 | |
CHG Healthcare Services, Inc. First Lien (1 month Term SOFR + 3.364%) 8.694%, 9/29/28(6) | 154 | 155 |
Par Value(1) | Value | ||
Health Care—continued | |||
Cotiviti, Inc. (3 month Term SOFR + 3.250%) 8.563%, 5/1/31(6) | $ 160 | $ 161 | |
Financiere Mendel Tranche B (3 month Term SOFR + 4.250%) 9.573%, 11/12/30(6) | 65 | 65 | |
Gainwell Acquisition Corp. Tranche B (3 month Term SOFR + 4.100%) 9.409%, 10/1/27(6) | 182 | 176 | |
Hunter Holdco 3 Ltd. First Lien (3 month Term SOFR + 4.350%) 9.659%, 8/19/28(6) | 190 | 189 | |
IVC Acquisition Ltd. Tranche B-9 (3 month Term SOFR + 5.500%) 10.809%, 12/12/28(6) | 110 | 110 | |
Lannett Co., Inc. First Lien (1 month Term SOFR + 2.000%) 2.000%, 6/16/30(6)(7) | 23 | 5 | |
LifePoint Health, Inc. 2024 (3 month Term SOFR + 4.000%) 9.329%, 5/17/31(6) | 30 | 30 | |
Packaging Coordinators Midco, Inc. 2024 (1 month Term SOFR + 3.250%) 8.575%, 11/30/27(6) | 208 | 208 | |
Parexel International, Inc. First Lien (1 month Term SOFR + 3.364%) 8.694%, 11/15/28(6) | 127 | 128 | |
Phoenix Guarantor, Inc. Tranche B-4 (1 month Term SOFR + 3.250%) 8.579%, 2/21/31(6) | 223 | 223 |
Par Value(1) | Value | ||
Health Care—continued | |||
Radiology Partners, Inc. Tranche C (3 month Term SOFR + 3.762%) 9.088%, 1/31/29(6) | $ 250 | $ 239 | |
Star Parent, Inc. Tranche B (3 month Term SOFR + 4.000%) 9.309%, 9/27/30(6) | 205 | 205 | |
Upstream Newco, Inc. 2021 (1-3 month Term SOFR + 4.512%) 9.694% - 9.841%, 11/20/26(6) | 227 | 210 | |
Viant Medical Holdings, Inc. First Lien (1 month Term SOFR + 3.864%) 9.194%, 7/2/25(6) | 304 | 304 | |
Waystar Technologies, Inc. (1 month Term SOFR + 4.000%) 9.329%, 10/22/29(6) | 55 | 55 | |
2,582 | |||
Housing—0.3% | |||
Chariot Buyer LLC First Lien (1 month Term SOFR + 3.750%) 9.079%, 11/3/28(6) | 140 | 141 | |
Cornerstone Building Brands, Inc. | |||
Tranche B (1 month Term SOFR + 3.350%) 0.000%, 4/12/28(6)(10) | 170 | 167 | |
Tranche C (1 month Term SOFR + 4.500%) 9.817%, 5/2/31(6) | 130 | 130 | |
Hunter Douglas Holding B.V. Tranche B-1 (3 month Term SOFR + 3.500%) 8.836%, 2/26/29(6) | 174 | 173 | |
LBM Acquisition LLC Tranche B (1 month Term SOFR + 3.750%) 0.000%, 5/30/31(6)(10) | 170 | 169 |
Par Value(1) | Value | ||
Housing—continued | |||
MI Windows & Doors LLC 2024 (1 month Term SOFR + 3.500%) 8.829%, 3/28/31(6) | $ 25 | $ 25 | |
SRS Distribution, Inc. | |||
2021 (1 month Term SOFR + 3.614%) 8.944%, 6/2/28(6) | 166 | 166 | |
2022 (1 month Term SOFR + 3.350%) 8.679%, 6/2/28(6) | 34 | 34 | |
1,005 | |||
Information Technology—1.0% | |||
Ahead DB Holdings LLC 2024 (3 month Term SOFR + 4.250%) 9.559%, 2/1/31(6) | 55 | 55 | |
Applied Systems, Inc. | |||
2024, First Lien (3 month Term SOFR + 3.500%) 8.809%, 2/24/31(6) | 169 | 170 | |
2024, Second Lien (3 month Term SOFR + 5.250%) 10.559%, 2/23/32(6) | 20 | 21 | |
Barracuda Parent LLC First Lien (3 month Term SOFR + 4.500%) 9.814%, 8/15/29(6) | 202 | 202 | |
BMC Software 2028 (1 month Term SOFR + 4.000%) 9.329%, 12/29/28(6) | 50 | 50 | |
Central Parent LLC 2024 (3 month Term SOFR + 3.250%) 8.577%, 7/6/29(6) | 213 | 214 | |
ConnectWise LLC (3 month Term SOFR + 3.762%) 9.064%, 9/29/28(6) | 107 | 107 | |
Delivery Hero SE Tranche B (3 month Term SOFR + 5.000%) 10.324%, 12/12/29(6) | 262 | 265 |
Par Value(1) | Value | ||
Information Technology—continued | |||
Endurance International Group Holdings, Inc. (1 month Term SOFR + 3.614%) 8.935%, 2/10/28(6) | $ 250 | $ 233 | |
Fortress Intermediate 3, Inc. (1 month Term SOFR + 3.750%) 0.000%, 5/9/31(6)(10) | 90 | 90 | |
Indicor Tranche B (3 month Term SOFR + 4.000%) 9.302%, 11/22/29(6) | 243 | 244 | |
Infinite Bidco LLC First Lien (3 month Term SOFR + 4.012%) 9.341%, 3/2/28(6) | 259 | 252 | |
ION Trading Finance Ltd. 2024 (3 month Term SOFR + 4.000%) 0.000%, 4/1/28(6)(10) | 175 | 175 | |
Mosel Bidco SE Tranche B (3 month Term SOFR + 4.750%) 10.059%, 9/16/30(6) | 113 | 114 | |
NCR Atleos LLC Tranche B (1-3 month Term SOFR + 4.850%) 10.179% - 10.180%, 3/27/29(6) | 165 | 166 | |
Polaris Newco LLC First Lien (3 month Term SOFR + 4.262%) 9.591%, 6/2/28(6) | 194 | 194 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month Term SOFR + 3.364%) 8.694%, 3/10/28(6) | 251 | 252 | |
Proofpoint, Inc. 2024 (1 month Term SOFR + 3.000%) 8.325%, 8/31/28(6) | 141 | 142 | |
RealPage, Inc. First Lien (1 month Term SOFR + 3.114%) 8.444%, 4/24/28(6) | 178 | 176 |
Par Value(1) | Value | ||
Information Technology—continued | |||
Rocket Software, Inc. (1 month Term SOFR + 4.750%) 10.079%, 11/28/28(6) | $ 240 | $ 241 | |
Sophia LP 2024, Tranche B (1 month Term SOFR + 3.600%) 8.929%, 10/9/29(6) | 244 | 245 | |
UKG, Inc. Tranche B (1 month Term SOFR + 3.250%) 8.570%, 2/10/31(6) | 161 | 162 | |
3,770 | |||
Manufacturing—0.3% | |||
Alliance Laundry Systems LLC Tranche B (1-3 month Term SOFR + 3.600%) 8.899% - 8.917%, 10/8/27(6) | 161 | 161 | |
Arcline FM Holdings LLC | |||
First Lien (3 month Term SOFR + 4.991%) 10.321%, 6/23/28(6) | 165 | 166 | |
Second Lien (3 month Term SOFR + 8.512%) 13.821%, 6/25/29(6) | 49 | 48 | |
Chart Industries, Inc. Tranche B (1 month Term SOFR + 3.350%) 8.673%, 3/15/30(6) | 159 | 160 | |
CPM Holdings, Inc. (1 month Term SOFR + 4.500%) 9.813%, 9/28/28(6) | 199 | 200 | |
Madison IAQ LLC (1 month Term SOFR + 3.364%) 8.685%, 6/21/28(6) | 169 | 169 | |
Star U.S. Bidco LLC (1 month Term SOFR + 4.350%) 9.679%, 3/17/27(6) | 209 | 210 | |
1,114 | |||
Par Value(1) | Value | ||
Media / Telecom - Broadcasting—0.1% | |||
Gray Television, Inc. Tranche D (1 month Term SOFR + 3.114%) 8.428%, 12/1/28(6) | $ 163 | $ 149 | |
Terrier Media Buyer, Inc. 2021, Tranche B (3 month Term SOFR + 3.600%) 8.909%, 12/17/26(6) | 184 | 145 | |
Univision Communications, Inc. | |||
2021 (1 month Term SOFR + 3.364%) 8.694%, 3/15/26(6) | 191 | 191 | |
2024, First Lien (1 month Term SOFR + 3.614%) 0.000%, 1/1/40(6)(10) | 105 | 104 | |
589 | |||
Media / Telecom - Cable/Wireless Video—0.3% | |||
Cogeco Communications Finance USA LP Tranche B-1 (1 month Term SOFR + 3.250%) 8.579%, 9/18/30(6) | 329 | 322 | |
CSC Holdings LLC 2022 (1 month Term SOFR + 4.500%) 9.817%, 1/18/28(6) | 334 | 321 | |
DIRECTV Financing LLC 2024, Tranche B (1 month Term SOFR + 5.364%) 10.694%, 8/2/29(6) | 223 | 223 | |
Eagle Broadband Investments LLC (3 month Term SOFR + 3.262%) 8.571%, 11/12/27(6) | 334 | 330 | |
1,196 | |||
Media / Telecom - Diversified Media—0.2% | |||
Century DE Buyer LLC (3 month Term SOFR + 4.000%) 9.329%, 10/30/30(6) | 125 | 124 |
Par Value(1) | Value | ||
Media / Telecom - Diversified Media—continued | |||
McGraw-Hill Education, Inc. (1 month Term SOFR + 4.864%) 10.194%, 7/28/28(6) | $ 215 | $ 215 | |
MH Sub I LLC 2023 (1 month Term SOFR + 4.250%) 9.579%, 5/3/28(6) | 224 | 225 | |
Neptune Bidco U.S., Inc. Tranche B (3 month Term SOFR + 5.100%) 10.406%, 4/11/29(6) | 303 | 290 | |
854 | |||
Media / Telecom - Telecommunications—0.1% | |||
Numericable U.S. LLC | |||
Tranche B-11 (3 month LIBOR + 2.750%) 8.341%, 7/31/25(6) | 249 | 215 | |
Tranche B-12 (3 month LIBOR + 3.688%) 9.278%, 1/31/26(6) | 50 | 42 | |
257 | |||
Media / Telecom - Wireless Communications—0.1% | |||
Viasat, Inc. (1 month Term SOFR + 4.500%) 0.000%, 3/2/29(6)(10) | 249 | 228 | |
Metals / Minerals—0.1% | |||
Arsenal AIC Parent LLC 2024, Tranche B (1 month Term SOFR + 3.750%) 9.079%, 8/19/30(6) | 94 | 95 | |
Covia Holdings Corp. (3 month Term SOFR + 4.262%) 9.568%, 7/31/26(6) | 275 | 274 | |
369 | |||
Par Value(1) | Value | ||
Retail—0.2% | |||
CNT Holdings I Corp. First Lien (3 month Term SOFR + 3.500%) 8.829%, 11/8/27(6) | $ 203 | $ 204 | |
EG America LLC Tranche C (3 month Term SOFR + 5.928%) 11.289%, 2/7/28(6) | 170 | 166 | |
PetsMart LLC (1 month Term SOFR + 3.850%) 9.179%, 2/11/28(6) | 334 | 332 | |
702 | |||
Service—0.8% | |||
Ascend Learning LLC (1 month Term SOFR + 3.600%) 8.929%, 12/11/28(6) | 281 | 281 | |
BIFM U.S. Finance LLC (1 month Term SOFR + 4.250%) 9.579%, 5/31/28(6) | 85 | 85 | |
BrightView Landscapes LLC Tranche B (1 month Term SOFR + 2.500%) 7.836%, 4/20/29(6) | 223 | 224 | |
DG Investment Intermediate Holdings 2, Inc. 2022 (1 month Term SOFR + 4.750%) 10.079%, 3/31/28(6) | 198 | 199 | |
DXP Enterprises, Inc. (3 month Term SOFR + 4.850%) 10.164%, 10/11/30(6) | 129 | 130 | |
Garda World Security Corp. (3 month Term SOFR + 4.250%) 9.583%, 2/1/29(6) | 185 | 186 |
Par Value(1) | Value | ||
Service—continued | |||
Grant Thornton Advisors LLC Tranche B (3 month Term SOFR + 3.250%) 0.000%, 6/2/31(6)(10) | $ 70 | $ 70 | |
Husky Injection Molding Systems Ltd. (3 month Term SOFR + 5.000%) 10.326%, 2/15/29(6) | 225 | 226 | |
Kuehg Corp. Tranche B (3 month Term SOFR + 4.500%) 9.823%, 6/12/30(6) | 274 | 275 | |
NAB Holdings LLC First Lien (3 month Term SOFR + 2.900%) 8.209%, 11/23/28(6) | 266 | 266 | |
Omnia Partners LLC (1 month LIBOR + 0.000%) 0.000%, 7/25/30(6)(10) | 75 | 75 | |
Planet U.S. Buyer LLC (3 month Term SOFR + 3.500%) 8.823%, 2/7/31(6) | 70 | 71 | |
Spin Holdco, Inc. (3 month Term SOFR + 4.262%) 9.585%, 3/4/28(6) | 285 | 244 | |
The Hertz Corp. 2023 (1 month Term SOFR + 8.750%) 9.071%, 6/30/28(6) | 192 | 177 | |
TMF Sapphire Bidco B.V. Tranche B-2 (3 month Term SOFR + 4.000%) 9.306%, 5/3/28(6) | 125 | 125 | |
Trugreen Ltd. Partnership First Lien (1 month Term SOFR + 4.100%) 9.429%, 11/2/27(6) | 264 | 248 |
Par Value(1) | Value | ||
Service—continued | |||
WIN Waste Innovations Holdings, Inc. (1 month Term SOFR + 2.864%) 8.194%, 3/24/28(6) | $ 179 | $ 167 | |
3,049 | |||
Transportation - Automotive—0.1% | |||
American Axle & Manufacturing, Inc. Tranche B (1 month Term SOFR + 3.000%) 8.320%, 12/12/29(6) | 122 | 123 | |
First Brands Group LLC 2022 (3 month Term SOFR + 5.262%) 10.591%, 3/30/27(6) | 295 | 292 | |
PAI Holdco, Inc. Tranche B (3 month Term SOFR + 4.012%) 9.341%, 10/28/27(6) | 161 | 145 | |
Wand NewCo 3, Inc. (1 month Term SOFR + 3.750%) 9.079%, 1/30/31(6) | 40 | 40 | |
600 | |||
Utilities—0.1% | |||
Generation Bridge Northeast LLC Tranche B (1 month Term SOFR + 3.500%) 8.829%, 8/22/29(6) | 108 | 109 | |
Waterbridge NDB Operating LLC (3 month Term SOFR + 4.500%) 9.826%, 5/7/29(6) | 150 | 151 | |
260 | |||
Total Leveraged Loans (Identified Cost $24,179) | 24,125 |
Shares | ||
Preferred Stocks—0.2% | ||
Financials—0.2% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(2)(3) | 310 (11) | 296 |
Shares | Value | ||
Financials—continued | |||
JPMorgan Chase & Co. Series HH, 4.600%(2) | 256 (11) | $ 251 | |
MetLife, Inc. Series D, 5.875%(2) | 124 (11) | 124 | |
Truist Financial Corp. Series Q, 5.100%(2) | 301 (11) | 279 | |
950 | |||
Total Preferred Stocks (Identified Cost $993) | 950 | ||
Common Stocks—105.5% | |||
Communication Services—2.1% | |||
Cellnex Telecom S.A. | 220,777 | 8,065 | |
Consumer Discretionary—0.0% | |||
MYT Holding LLC Class B(7)(12) | 22,362 | 1 | |
NMG Parent LLC(7)(12) | 368 | 37 | |
West Marine(7)(12) | 475 | 1 | |
39 | |||
Energy—14.6% | |||
Cheniere Energy, Inc.(2) | 83,456 | 13,169 | |
Kinder Morgan, Inc.(2) | 212,886 | 4,149 | |
Koninklijke Vopak N.V. | 149,920 | 6,163 | |
ONEOK, Inc.(2) | 113,764 | 9,215 | |
Pembina Pipeline Corp. | 178,733 | 6,639 | |
Targa Resources Corp.(2) | 73,231 | 8,658 | |
Williams Cos., Inc. (The)(2) | 216,336 | 8,980 | |
56,973 | |||
Health Care—0.0% | |||
Endo DAC(7)(12) | 94,000 | — | |
Endo, Inc.(12) | 1,929 | 54 | |
Lannett Co., Inc.(7)(12) | 3,742 | — | |
54 | |||
Industrials—31.6% | |||
Aena SME S.A. | 136,386 | 26,672 | |
Aeroports de Paris S.A. | 47,068 | 6,745 | |
Atlas Arteria Ltd. | 933,605 | 3,315 | |
Auckland International Airport Ltd. | 1,747,104 | 8,384 |
Shares | Value | ||
Industrials—continued | |||
Canadian Pacific Kansas City Ltd.(2) | 47,102 | $ 3,738 | |
CSX Corp. | 167,788 | 5,663 | |
Ferrovial SE | 179,224 | 7,083 | |
Flughafen Zurich AG Registered Shares | 53,108 | 11,323 | |
Grupo Aeroportuario del Centro Norte SAB de C.V. Class B | 185,400 | 1,902 | |
Norfolk Southern Corp.(2) | 49,430 | 11,112 | |
Transurban Group | 2,616,998 | 21,870 | |
Union Pacific Corp. | 43,162 | 10,049 | |
Vinci S.A. | 47,474 | 5,924 | |
123,780 | |||
Real Estate—7.8% | |||
American Tower Corp.(2) | 110,450 | 21,619 | |
Crown Castle, Inc.(2) | 86,699 | 8,887 | |
30,506 | |||
Utilities—49.4% | |||
Ameren Corp.(2) | 110,401 | 8,100 | |
Atmos Energy Corp.(2) | 75,182 | 8,715 | |
CenterPoint Energy, Inc.(2) | 258,785 | 7,895 | |
CMS Energy Corp.(2) | 65,739 | 4,137 | |
DTE Energy Co.(2) | 54,981 | 6,407 | |
Duke Energy Corp.(2) | 60,305 | 6,246 | |
E.ON SE | 304,234 | 4,074 | |
Edison International(2) | 143,070 | 10,995 | |
EDP - Energias de Portugal S.A.(2) | 1,376,227 | 5,600 | |
Emera, Inc. | 202,723 | 7,059 | |
Entergy Corp.(2) | 59,203 | 6,660 | |
Eversource Energy(2) | 167,438 | 9,917 | |
Iberdrola S.A. | 566,928 | 7,483 | |
National Grid plc | 1,010,492 | 11,449 | |
NextEra Energy, Inc.(2) | 344,610 | 27,576 | |
NiSource, Inc.(2) | 345,010 | 10,026 | |
Public Service Enterprise Group, Inc.(2) | 68,135 | 5,162 | |
Redeia Corp. S.A. | 306,392 | 5,522 | |
Sempra (2) | 204,223 | 15,731 | |
Severn Trent plc | 204,374 | 6,245 |
Shares | Value | ||
Utilities—continued | |||
Southern Co. (The)(2) | 179,563 | $ 14,390 | |
United Utilities Group plc | 320,649 | 4,177 | |
193,566 | |||
Total Common Stocks (Identified Cost $408,207) | 412,983 | ||
Rights—0.2% | |||
Utilities—0.2% | |||
National Grid plc, 06/12/24(12) | 296,182 | 740 | |
Total Rights (Identified Cost $—) | 740 | ||
Total Long-Term Investments—142.3% (Identified Cost $558,173) | 557,066 | ||
TOTAL INVESTMENTS—142.3% (Identified Cost $558,173) | $ 557,066 | ||
Other assets and liabilities, net—(42.3)% | (165,667) | ||
NET ASSETS—100.0% | $ 391,399 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BDC | Business Development Companies |
DAC | Designated Activity Company |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LLP | Limited Liability Partnership |
LP | Limited Partnership |
MSCI | Morgan Stanley Capital International |
SOFR | Secured Overnight Financing Rate |
Foreign Currencies: | |
BRL | Brazilian Real |
Footnote Legend: | |
(1) | Par Value disclosed in foreign currency is reported in thousands. |
(2) | All or a portion of securities is segregated as collateral for margin loan financing. The value of securities segregated as collateral is $253,152. |
(3) | 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 May 31, 2024, these securities amounted to a value of $80,416 or 20.5% of net assets. |
(4) | Security in default; no interest payments are being received. |
(5) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(6) | Variable rate security. Rate disclosed is as of May 31, 2024. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | No contractual maturity date. |
(9) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(10) | This loan will settle after May 31, 2024, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(11) | Value shown as par value. |
(12) | Non-income producing. |
Total Value at May 31, 2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
U.S. Government Securities | $ 4,756 | $ — | $ 4,756 | $ — | |||
Foreign Government Securities | 12,090 | — | 12,090 | — | |||
Mortgage-Backed Securities | 26,440 | — | 26,123 | 317 | |||
Asset-Backed Securities | 21,981 | — | 21,981 | — | |||
Corporate Bonds and Notes | 53,001 | — | 53,001 | — (1) | |||
Leveraged Loans | 24,125 | — | 24,120 | 5 | |||
Equity Securities: | |||||||
Preferred Stocks | 950 | — | 950 | — | |||
Common Stocks | 412,983 | 262,796 | 150,148 | 39 (1) | |||
Rights | 740 | 740 | — | — | |||
Total Investments | $557,066 | $263,536 | $293,169 | $361 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Global Multi-Sector Income Fund | Stone Harbor Emerging Markets Income Fund | Total Return Fund Inc. | |||
Assets | |||||
Investment in securities at value(1) | $ 136,410 | $ 168,950 | $ 557,066 | ||
Cash | 2,362 | 3,377 | 2,984 | ||
Cash collateral pledged for swaps | — | 2,452 | — | ||
Receivables | |||||
Investment securities sold | 345 | 286 | 1,324 | ||
Dividends and interest | 1,603 | 3,141 | 2,325 | ||
Unrealized appreciation on unfunded loan commitment(b) | — (a) | — | — | ||
Tax reclaims | — | 4 | 464 | ||
Prepaid Trustees’ retainer | 1 | 1 | 3 | ||
Prepaid expenses and other assets (Note 4) | 60 | 43 | 234 | ||
Total assets | 140,781 | 178,254 | 564,400 | ||
Liabilities | |||||
Due to custodian | — | — (a) | 1 | ||
Borrowings (Note 8) | 43,000 | 37,870 | 168,300 | ||
Over-the-counter swaps at value(2) | — | 2,303 | — | ||
Payables | |||||
Investment securities purchased | 1,660 | 1,157 | 2,640 | ||
Interest on borrowings (Note 8) | 298 | 552 | 993 | ||
Investment advisory fees (Note 4) | 100 | 133 | 288 | ||
Trustee/Director deferred compensation plan (Note 4) | 48 | 10 | 198 | ||
Administration and accounting fees | 25 | 31 | 102 | ||
Transfer agent fees and expenses | 3 | 9 | 160 | ||
Other accrued expenses | 17 | 102 | 319 | ||
Total liabilities | 45,151 | 42,167 | 173,001 | ||
Net Assets | $ 95,630 | $ 136,087 | $ 391,399 | ||
Net Assets Consist of: | |||||
Common stock (Note 10) | $ — | $ 29 | $ 62 | ||
Capital paid on shares of beneficial interest | 143,094 | 276,362 | 424,469 | ||
Total distributable earnings (accumulated losses) | (47,464) | (140,304) | (33,132) | ||
Net Assets | $ 95,630 | $ 136,087 | $ 391,399 | ||
Common Shares Outstanding | 11,313,094 | 29,071,404 | 61,720,496 |
Global Multi-Sector Income Fund | Stone Harbor Emerging Markets Income Fund | Total Return Fund Inc. | |||
Net Asset Value Per Share(c) | $ 8.45 | $ 4.68 | $ 6.34 | ||
(1)Investment in securities at cost | $ 144,478 | $ 170,654 | $ 558,173 | ||
(2) Includes premiums paid (received) on over-the-counter credit default swaps | $ — | $ (1,097) | $ — |
(a) | Amount is less than $500 (not in thousands). |
(b) | See Schedule of Investments for schedule of unfunded loan commitments. |
(c) | Net Asset Value Per Share is calculated using unrounded net assets. |
Global Multi-Sector Income Fund | Stone Harbor Emerging Markets Income Fund | ||
Investment Income | |||
Interest | $ 4,571 | $ 8,330 | |
Dividends | 61 | 77 | |
Foreign taxes withheld | — | (28) | |
Total investment income | 4,632 | 8,379 | |
Expenses | |||
Investment advisory fees | 665 | 819 | |
Administration and accounting fees | 78 | 91 | |
Professional fees | 28 | 54 | |
Printing fees and expenses | 23 | 28 | |
Transfer agent fees and expenses | 6 | 7 | |
Trustees’/Directors’ fees and expenses | 5 | 6 | |
Custodian fees | 3 | 4 | |
Miscellaneous expenses | 23 | 24 | |
Total expenses before interest expense | 831 | 1,033 | |
Interest expense on borrowings (Note 8) | 1,394 | 1,099 | |
Total expenses after interest expense | 2,225 | 2,132 | |
Net investment income (loss) | 2,407 | 6,247 | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Net realized gain (loss) from: | |||
Investments | (1,884) | (154) | |
Foreign currency transactions | (—) (a) | 191 | |
Swaps | — | 635 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investments | 4,960 | 9,864 | |
Foreign currency transactions | (1) | (8) | |
Swaps | — | 3,498 | |
Net realized and unrealized gain (loss) on investments | 3,075 | 14,026 | |
Net increase (decrease) in net assets resulting from operations | $ 5,482 | $20,273 |
(a) | Amount is less than $500 (not in thousands). |
Total Return Fund Inc. | |
Investment Income | |
Dividends | $ 8,795 |
Interest | 5,204 |
Foreign taxes withheld | (559) |
Total investment income | 13,440 |
Expenses | |
Investment advisory fees | 2,120 |
Administration and accounting fees | 324 |
Printing fees and expenses | 279 |
Professional fees | 241 |
Transfer agent fees and expenses | 221 |
Trustees’/Directors’ fees and expenses | 20 |
Custodian fees | 11 |
Miscellaneous expenses | 65 |
Total expenses before interest expense | 3,281 |
Interest expense on borrowings (Note 8) | 5,817 |
Total expenses after interest expense | 9,098 |
Net investment income (loss) | 4,342 |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 1,502 |
Foreign currency transactions | (8) |
Net change in unrealized appreciation (depreciation) on: | |
Investments | 17,753 |
Foreign currency transactions | (5) |
Net realized and unrealized gain (loss) on investments | 19,242 |
Net increase (decrease) in net assets resulting from operations | $23,584 |
Global Multi-Sector Income Fund | |||
Six Months Ended May 31, 2024 (Unaudited) | Year Ended November 30, 2023 | ||
Increase (Decrease) In Net Assets From Operations | |||
Net investment income (loss) | $ 2,407 | $ 4,513 | |
Net realized gain (loss) | (1,884) | (7,168) | |
Net change in unrealized appreciation (depreciation) | 4,959 | 7,930 | |
Increase (decrease) in net assets resulting from operations | 5,482 | 5,275 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (5,430) (1) | (4,629) | |
Return of capital | — | (6,232) | |
Dividends and Distributions to Shareholders | (5,430) | (10,861) | |
Net increase (decrease) in net assets | 52 | (5,586) | |
Net Assets | |||
Beginning of period | 95,578 | 101,164 | |
End of period | $95,630 | $ 95,578 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. See Notes to Financial Statements. |
Stone Harbor Emerging Markets Income Fund | |||
Six Months Ended May 31, 2024 (Unaudited) | Year Ended November 30, 2023 | ||
Increase (Decrease) In Net Assets From Operations | |||
Net investment income (loss) | $ 6,247 | $ 8,151 | |
Net realized gain (loss) | 672 | (14,912) | |
Net change in unrealized appreciation (depreciation) | 13,354 | 20,687 | |
Increase (decrease) in net assets resulting from operations | 20,273 | 13,926 | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (9,742) (1) | (11,445) | |
Return of capital | — | (951) | |
Dividends and Distributions to Shareholders | (9,742) | (12,396) | |
From Capital Share Transactions | |||
Reinvestment of distributions resulting in the issuance of common stock (121,444 and 249,112 shares, respectively) | 596 | 1,083 | |
Plan of reorganization (Note 12) | 51,054 | — | |
Increase (decrease) in net assets from capital transactions | 51,650 | 1,083 | |
Net increase (decrease) in net assets | 62,181 | 2,613 | |
Net Assets | |||
Beginning of period | 73,906 | 71,293 | |
End of period | $ 136,087 | $ 73,906 | |
Supplemental – Other Information Capital share transactions were as follows: | |||
Common shares outstanding at beginning of period | 17,351,391 | 17,102,279 | |
Reinvestment of distributions resulting in the issuance of common stock | 121,444 | 249,112 | |
Plan of reorganization (Note 12) | 11,598,569 | — | |
Common shares outstanding at end of period | 29,071,404 | 17,351,391 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. See Notes to Financial Statements. |
Total Return Fund Inc. | |||
Six Months Ended May 31, 2024 (Unaudited) | Year Ended November 30, 2023 | ||
Increase (Decrease) In Net Assets From Operations | |||
Net investment income (loss) | $ 4,342 | $ 9,208 | |
Net realized gain (loss) | 1,494 | (15,269) | |
Net change in unrealized appreciation (depreciation) | 17,748 | (20,929) | |
Increase (decrease) in net assets resulting from operations | 23,584 | (26,990) | |
From Dividends and Distributions to Shareholders | |||
Net investment income and net realized gains | (20,230) (1) | (9,660) | |
Return of capital | — | (50,003) | |
Dividends and Distributions to Shareholders | (20,230) | (59,663) | |
From Capital Share Transactions | |||
Net proceeds from the sale of shares during rights offering (net of expenses of $600) (Note 10) | — | 150 (2) | |
Payment for tendered shares | (41,131) | — | |
Increase (decrease) in net assets from capital transactions | (41,131) | 150 | |
Net increase (decrease) in net assets | (37,777) | (86,503) | |
Net Assets | |||
Beginning of period | 429,176 | 515,679 | |
End of period | $391,399 | $429,176 |
(1) | Please note that the tax status of the Fund’s distributions is determined at the end of the taxable year. Also refer to the inside front cover for information on the Managed Distribution Plan and see Notes to the Financial Statements. |
(2) | Adjustment to bring estimated costs in connection with rights offering to actual. |
Global Multi-Sector Income Fund | Stone Harbor Emerging Markets Income Fund | ||
Increase (Decrease) in cash | |||
Cash flows provided by (used for) operating activities: | |||
Net increase (decrease) in net assets resulting from operations | $ 5,482 | $ 20,273 | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |||
Proceeds from sales and paydowns of long-term investments | 49,392 | 61,876 | |
(Increase) Decrease in investment securities sold receivable | 890 | 247 | |
Purchases of long-term investments | (46,788) | (77,963) | |
Increase (Decrease) in investment securities purchased payable | 22 | 776 | |
Net (purchases) or sales of short-term investments | — | (4,492) | |
Net (purchases) or sales in purchased options | — | (153) | |
Net change in unrealized (appreciation)/depreciation on investments | (4,960) | (9,864) | |
Net realized (gain)/loss on investments | 1,884 | 154 | |
Net realized (gain)/loss on sales of investments from changes in the foreign exchange rates | — | (195) | |
Amortization of premiums and inflation income and accretion of discounts on investments | (254) | (2,295) | |
(Increase) Decrease in tax reclaims receivable | — | 2 | |
(Increase) Decrease in dividends and interest receivable | 34 | (336) | |
(Increase) Decrease in prepaid expenses and other assets | (10) | (19) | |
(Increase) Decrease in prepaid Trustees’ retainer | — | (1) | |
Increase (Decrease) in interest payable on borrowings | (193) | 485 | |
Increase (Decrease) in over-the-counter swaps at value | — | (3,851) | |
Increase (Decrease) in affiliated expenses payable | 3 | 59 | |
Increase (Decrease) in non-affiliated expenses payable | (46) | (244) | |
Cash provided by (used for) operating activities | 5,456 | (15,541) | |
Cash provided (used for) financing activities: | |||
Cash receipts from borrowings | — | 76,861 | |
Cash payments to reduce borrowings | — | (54,886) | |
Cash distributions paid to shareholders | (5,430) | (9,146) | |
Decrease in cash overdraft from plan of reorganization (Note 12) | — | (10) | |
Cash provided by (used for) financing activities | (5,430) | 12,819 | |
Net increase (decrease) in cash | 26 | (2,722) | |
Restricted and unrestricted cash at beginning of period | 2,336 | 8,551 | |
Restricted and unrestricted cash at end of period | $ 2,362 | $ 5,829 | |
Supplemental cash flow information: | |||
Reinvestment of dividends and distributions | $ — | $ 596 | |
Cash paid during the period for interest expense on borrowings | $ 1,587 | $ 614 | |
Global Multi-Sector Income Fund | Stone Harbor Emerging Markets Income Fund | ||
Reconciliation of restricted and unrestricted cash at the end of period to the statement of assets and liabilities: | |||
Cash and foreign currency at value | $ 2,362 | $ 3,377 | |
Cash collateral pledged for swaps | $ — | $ 2,452 | |
$2,362 | $ 5,829 | ||
Non cash transactions from plan of reorganization: | |||
Investment in securities, identified cost | $ — | $54,382 | |
Other assets | $ — | $ 1,042 | |
Borrowings | $ — | $ 1,723 | |
Other liabilities | $ — | $ 203 | |
Capital | $ — | $53,488 |
Total Return Fund Inc. | |
Increase (Decrease) in cash | |
Cash flows provided by (used for) operating activities: | |
Net increase (decrease) in net assets resulting from operations | $ 23,584 |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities: | |
Proceeds from sales and paydowns of long-term investments | 238,978 |
(Increase) Decrease in investment securities sold receivable | (14) |
Purchases of long-term investments | (164,367) |
Increase (Decrease) in investment securities purchased payable | 1,144 |
Net change in unrealized (appreciation)/depreciation on investments | (17,753) |
Net realized (gain)/loss on investments | (1,502) |
Non-cash adjustments from corporate events | 46 |
Return of capital distributions on investments | 417 |
Amortization of premiums and inflation income and accretion of discounts on investments | (302) |
(Increase) Decrease in tax reclaims receivable | (46) |
(Increase) Decrease in dividends and interest receivable | 483 |
(Increase) Decrease in prepaid expenses and other assets | (28) |
Increase (Decrease) in interest payable on borrowings | 9 |
Increase (Decrease) in affiliated expenses payable | (7) |
Increase (Decrease) in non-affiliated expenses payable | 308 |
Cash provided by (used for) operating activities | 80,950 |
Cash provided (used for) financing activities: | |
Cash payments to reduce borrowings | (18,700) |
Cash distributions paid to shareholders | (20,230) |
Payment for tendered shares | (41,131) |
Cash provided by (used for) financing activities | (80,061) |
Net increase (decrease) in cash | 889 |
Restricted and unrestricted cash at beginning of period | 2,095 |
Restricted and unrestricted cash at end of period | $ 2,984 |
Supplemental cash flow information: | |
Cash paid during the period for interest expense on borrowings | $ 5,808 |
Reconciliation of restricted and unrestricted cash at the end of period to the statement of assets and liabilities: | |
Cash and foreign currency at value | $ 2,984 |
$ 2,984 |
FINANCIAL HIGHLIGHTS
Six Months Ended May 31, 2024 (Unaudited) | Year Ended November 30, | ||||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 8.45 | $ 8.94 | $ 11.67 | $ 12.55 | $ 13.16 | $ 13.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | 0.21 | 0.40 | 0.46 | 0.52 | 0.55 | 0.58 | |||||
Net realized and unrealized gain (loss) | 0.27 | 0.07 | (2.23) | (0.32) | 0.20 | 0.79 | |||||
Payment from affiliate | — | — | — | — | — | — (2) | |||||
Total from investment operations | 0.48 | 0.47 | (1.77) | 0.20 | 0.75 | 1.37 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.48) | (0.41) | (0.46) | (0.52) | (0.51) | (0.49) | |||||
Return of capital | — | (0.55) | (0.50) | (0.56) | (0.85) | (1.02) | |||||
Total dividends and distributions to shareholders | (0.48) | (0.96) | (0.96) | (1.08) | (1.36) | (1.51) | |||||
Net asset value, end of period | $ 8.45 | $ 8.45 | $ 8.94 | $ 11.67 | $ 12.55 | $ 13.16 | |||||
Market value, end of period(3) | $ 7.45 | $ 7.35 | $ 8.12 | $ 11.56 | $ 11.69 | $ 12.54 | |||||
Total return, net asset value(4), (5) | 6.49% | 7.19% | (14.70)% | 1.76% | 7.70% | 11.82% | |||||
Total return, market value(4), (5) | 7.94% | 2.66% | (21.78)% | 8.22% | 5.28% | 20.61% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of total expenses after interest expense to average net assets(6), (7) | 4.59% | 4.46% | 2.76% | 2.14% | 2.40% | 3.13% | |||||
Ratio of net investment income (loss) to average net assets(6) | 4.96% | 4.59% | 4.62% | 4.28% | 4.51% | 4.39% | |||||
Portfolio turnover rate(4) | 34% | 57% | 44% | 54% | 75% | 62% | |||||
Net assets, end of period (000’s) | $95,630 | $95,578 | $101,164 | $132,058 | $141,880 | $148,730 | |||||
Borrowings, end of period (000’s) | $43,000 | $43,000 | $ 45,400 | $ 52,500 | $ 52,500 | $ 57,000 | |||||
Asset coverage, per $1,000 principal amount of borrowings(8) | $ 3,224 | $ 3,223 | $ 3,228 | $ 3,515 | $ 3,702 | $ 3,609 |
(1) | Calculated using average shares outstanding. |
(2) | Amount is less than $0.005 per share. |
(3) | Closing Price – New York Stock Exchange. |
(4) | Not annualized for periods less than one year. |
(5) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(6) | Annualized for periods less than one year. |
(7) | Ratio of total expenses, before interest expense on borrowings, was 1.71% for the six months ended May 31, 2024; 1.71%, 1.74%, 1.74%, 1.74% and 1.86% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019, respectively. |
(8) | Represents value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
FINANCIAL HIGHLIGHTS
Six Months Ended May 31, 2024 (Unaudited) | Year Ended November 30, | ||||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 4.26 | $ 4.17 | $ 6.24 | $ 7.04 | $ 8.91 | $ 10.58 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(1) | 0.22 | 0.47 | 0.52 | 0.60 | 0.64 | 0.89 | |||||
Net realized and unrealized gain (loss) | 0.56 | 0.34 | (1.87) | (0.52) | (1.08) | (0.40) | |||||
Total from investment operations | 0.78 | 0.81 | (1.35) | 0.08 | (0.44) | 0.49 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.36) | (0.66) | (0.09) | (0.57) | (0.28) | (0.76) | |||||
Return of capital | — | (0.06) | (0.63) | (0.31) | (1.15) | (1.40) | |||||
Total dividends and distributions to shareholders | (0.36) | (0.72) | (0.72) | (0.88) | (1.43) | (2.16) | |||||
Net asset value, end of period | $ 4.68 | $ 4.26 | $ 4.17 | $ 6.24 | $ 7.04 | $ 8.91 | |||||
Market value, end of period | $ 5.55 | $ 4.38 | $ 4.24 | $ 6.65 | $ 7.40 | $ 13.18 | |||||
Total return, net asset value(2), (3) | 18.93% | 21.20% | (22.31)% | 0.36% | (3.32)% | 4.45% | |||||
Total return, market value(2), (3) | 36.51% | 22.14% | (25.98)% | 0.66% | (32.92)% | 29.86% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of total expenses after interest expense to average net assets(4), (5) | 3.34% (6) | 3.70% (7) | 2.95% | 2.37% | 2.56% | 1.97% | |||||
Ratio of net investment income (loss) to average net assets(4) | 9.78% | 11.21% (7) | 10.55% | 8.57% | 9.04% | 8.88% | |||||
Portfolio turnover rate(2) | 41% | 76% | 37% | 47% | 127% | 107% | |||||
Net assets, end of period (000’s) | $136,087 | $73,906 | $71,293 | $105,134 | $117,235 | $146,213 | |||||
Borrowings, end of period (000’s) | $ 37,870 | $14,172 | $28,600 | $ 45,481 | $ 46,000 | $ 8,976 | |||||
Asset coverage, per $1,000 of borrowings(8) | $ 4,594 | $ 6,215 | $ 3,493 | $ 3,312 | $ 3,545 | $ 17,290 |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning, ending and reinvestment values. |
(4) | Annualized for periods less than one year. |
(5) | Ratio of total expenses before interest expense to average net assets was 1.62% for the six months ended May 31, 2024, and 2.11%, 2.03%, 1.96%, 1.99% and 1.59% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019, respectively. |
(6) | The Fund is currently below its expense limitation. |
FINANCIAL HIGHLIGHTS (Continued)
(7) | The Fund incurred some non-recurring reorganization expenses in 2023. When excluding these costs, the ratio of total expenses after interest expense to average net assets would be 3.33% and the ratio of net investment income to average net assets would be 11.58%. |
(8) | Represents value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
FINANCIAL HIGHLIGHTS
Six Months Ended May 31, 2024 (Unaudited) | Year Ended November 30, | ||||||||||
2023 | 2022 | 2021 | 2020 | 2019 (1) | |||||||
PER SHARE DATA: | |||||||||||
Net asset value, beginning of period | $ 6.26 | $ 7.52 | $ 8.92 | $ 9.31 | $ 10.33 | $ 11.01 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)(2) | 0.06 | 0.13 | 0.19 | 0.22 | 0.25 | 0.24 | |||||
Net realized and unrealized gain (loss) | 0.30 | (0.52) | (0.37) | 0.35 | (0.11) | 0.52 | |||||
Payment from affiliate | — | — | — | — | — | — (3) | |||||
Total from investment operations | 0.36 | (0.39) | (0.18) | 0.57 | 0.14 | 0.76 | |||||
Dividends and Distributions to Shareholders: | |||||||||||
Net investment income | (0.30) | (0.14) | (0.47) | (0.24) | (0.27) | (0.31) | |||||
Return of capital | — | (0.73) | (0.49) | (0.72) | (0.89) | (1.13) | |||||
Total dividends and distributions to shareholders | (0.30) | (0.87) | (0.96) | (0.96) | (1.16) | (1.44) | |||||
Fund Share Transactions (Note 9) | |||||||||||
Dilutive effect on net asset value as a result of rights offering(4) | — | — (3) | (0.26) | — | — | — | |||||
Anti-dilutive impact of tender offer (Note 10) | 0.02 | — | — | — | — | — | |||||
Net asset value, end of period | $ 6.34 | $ 6.26 | $ 7.52 | $ 8.92 | $ 9.31 | $ 10.33 | |||||
Market value, end of period(5) | $ 5.45 | $ 5.38 | $ 6.95 | $ 9.37 | $ 8.41 | $ 10.98 | |||||
Total return, net asset value(6), (7) | 7.00% | (3.96)% | (1.45)% | 6.36% | 3.25% | 16.67% | |||||
Total return, market value(6), (7) | 7.02% | (10.69)% | (16.43)% (8) | 23.68% | (12.25)% | 41.67% | |||||
RATIOS/SUPPLEMENTAL DATA: | |||||||||||
Ratio of total expenses after interest expense to average net assets(9) | 4.32% (10) | 3.87% | 2.26% | 1.73% | 2.05% | 2.99% (11) | |||||
Ratio of net investment income (loss) to average net assets | 2.06% | 1.99% | 2.30% | 2.34% | 2.73% | 2.20% (11) | |||||
Portfolio turnover rate(6) | 27% | 36% | 47% | 44% | 46% | 110% (12) | |||||
Net assets, end of period (000’s) | $391,399 | $429,176 | $515,679 | $426,461 | $441,552 | $487,899 | |||||
Borrowings, end of period (000’s) | $168,300 | $187,000 | $207,000 | $159,750 | $159,750 | $184,750 | |||||
Asset coverage, per $1,000 principal amount of borrowings(13) | $ 3,326 | $ 3,295 | $ 3,491 | $ 3,670 | $ 3,764 | $ 3,641 |
(1) | On November 18, 2019, Virtus Total Return Inc. (ZF) was reorganized into the Fund. The net asset values and other per share information for periods prior to the reorganization on November 18, 2019 were revised to reflect the share conversion ratio from the reorganization of 1.039518. |
(2) | Calculated using average shares outstanding. |
(3) | Amount is less than $0.005 per share. |
(4) | Shares were sold at a 5% discount from a 5-day average market price from 9/12/22 to 9/16/22. |
(5) | Closing Price – New York Stock Exchange. |
(6) | Not annualized for periods less than one year. |
FINANCIAL HIGHLIGHTS (Continued)
(7) | Total return on market value is calculated assuming a purchase of common shares on the opening of the first day and sale on the closing of the last day of each period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained under the Fund’s Automatic Reinvestment and Cash Purchase Plan. Total return on market value is not annualized for periods of less than one year. Brokerage commissions that a shareholder may pay are not reflected. Total return on market value does not reflect the deduction of taxes that a shareholder may pay on fund distributions or the sale of fund shares. Total return on net asset value uses the same methodology, but with use of net asset value for the beginning and ending values. |
(8) | Total return on market value includes the dilutive effect of the 2022 rights offering. Without this effect, the total market return would have been (16.12%). |
(9) | Ratio of total expenses, before interest expense on borrowings, was 1.56% for the six months ended May 31, 2024, and 1.31%, 1.32%, 1.34%, 1.38% and 1.79% for the years ended November 30, 2023, 2022, 2021, 2020 and 2019 respectively. |
(10) | The Fund incurred certain non-recurring tender offer costs in 2024. When excluding these costs, the ratio of total expenses to average net assets would be 4.08% and the ratio of net investment income (loss) to average net assets would be 2.30%. |
(11) | The Fund incurred certain non-recurring merger costs in 2019. When excluding these costs, the ratio of total expenses after interest expense and before expense waivers to average net assets would be 2.83%, the ratio of net expenses to average net assets would be 2.83% and the ratio of net investment income (loss) to average net assets would be 2.36%. |
(12) | Portfolio turnover increased due to repositioning of the portfolio related to the reorganization on November 18, 2019. |
(13) | Represents value of net assets plus the borrowings at the end of the period divided by the borrowings at the end of the period multiplied by $1,000. |
A. | Security Valuation |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income and capital gain distributions are recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt instruments are amortized to interest income to the earliest call date using the effective interest method. Conversion premium is not amortized. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from Real Estate Investment Trusts (“REITs”) is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). | |
If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income and capital gains, if any, to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Each Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. |
D. | Distributions to Shareholders |
Global Multi-Sector Income Fund and Stone Harbor Emerging Markets Income Fund declare distributions on a monthly basis. Distributions are recorded by the Funds on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
Total Return Fund Inc. has a Managed Distribution Plan which currently provides for the Fund to make a monthly distribution of $0.05 per share. Shareholders should not draw any conclusions about the Fund’s investment performance from the terms of the Fund’s Managed Distribution Plan. | |
Distributions may represent earnings from net investment income, realized capital gains,or, if necessary, return of capital. | |
E. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income instruments, the Funds bifurcate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on foreign currency transactions. For equity securities, the Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
F. | Credit Linked Notes |
Stone Harbor Emerging Markets Income Fund may invest in credit linked notes to obtain economic exposure to high yield, emerging markets or other securities. Investments in a credit linked note typically provide the holder with a return based on the return of an underlying reference instrument, such as an emerging market bond. Like an investment in a bond, investments in credit linked securities represent the right to receive periodic income payments (in the form of distributions) and payment of principal at the end of the term of the security. In addition to the risks associated with the underlying reference instrument, an investment in a credit linked note is also subject to liquidity risk, market risk, interest rate risk and the risk that the counterparty will be unwilling or unable to meet its obligations under the note. | |
G. | Payment-In-Kind Securities |
The Funds may invest in payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. |
H. | When-Issued Purchases and Forward Commitments (Delayed Delivery) |
The Funds may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Funds to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. The Funds record when-issued and forward commitment securities on the trade date. The Funds maintain collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. | |
I. | Leveraged Loans |
The Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
A Fund may invest in both secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain |
financial metrics. The lack of financial maintenance covenants in covenant lite loans increases the risk that the applicable Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a downturn in the credit cycle. | |
J. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to a Fund and each such other fund, or an alternative allocation method, can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
K. | Cash and Cash Equivalents |
Cash and cash equivalents include deposits held at financial institutions, and are inclusive of dollar denominated cash, foreign currency, cash collateral pledged for swaps, and deposits with brokers for reverse repurchase agreements. |
A. | Forward Foreign Currency Exchange Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized appreciation or depreciation. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. | |
During the six months ended May 31, 2024, Stone Harbor Emerging Markets Income Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). Forward foreign currency contracts outstanding at period end, if any, are listed after a Fund’s Schedule of Investments. |
B. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Funds may purchase or write both put and call options on portfolio securities. When doing so, the Fund is subject to equity price risk and/or foreign currency risk in the normal course of pursuing its investment objectives. | |
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) from investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. As the writer of a covered call option, the Fund forgoes, during the option’s life, the opportunity to profit from increases in the market value of the security covering the call option above the sum of the premium and the strike price of the call, but retains the risk of loss should the price of the underlying security decline. | |
During the six months ended May 31, 2024, Stone Harbor Emerging Markets Income Fund invested in purchased call and put options contracts in an attempt to manage foreign currency risk and with the purpose of generating realized gains. |
C. | Swaps |
A Fund enters into swap agreements, in which a Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the Over-the-Counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statement of Assets and Liabilities as “Over-the-counter swaps at value” and as “Variation margin receivable/payable on cleared swaps” for centrally cleared swaps. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statement of Operations. | |
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Over-the-counter swaps at value” in the Statement of Assets and Liabilities and are amortized over the term of the swap for OTC swaps. When a swap is terminated, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between a Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statement of Operations. Swap contracts outstanding at period end, if any, are listed after a Fund’s Schedule of Investments. | |
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and a Fund’s counterparty on the swap agreement becomes the CCP. A Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. | |
Securities deposited as margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as “Cash collateral pledged for swaps.” | |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. | |
Credit default swaps – A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on a combination or basket of single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the |
protection seller to make specific payment should a negative credit event take place with respect to any of the referenced entities (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, a Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, a Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. A Fund may enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). | |
During the six months ended May 31, 2024, Stone Harbor Emerging Markets Income Fund utilized single name credit default swaps to short individual securities or to gain exposure to a credit or asset-backed index. | |
The following is a summary of derivative instruments categorized by primary risk exposure, and location as presented in the Statement of Assets and Liabilities at May 31, 2024: |
Statement Line Description | Primary Risk | Stone Harbor Emerging Markets Income Fund | ||
Asset Derivatives | ||||
Purchased options at value(1) | Foreign currency contracts | $ 159 | ||
Total Assets | $ 159 | |||
Liability Derivatives | ||||
Over-the-counter swaps at value(2) | Credit contracts | $ (1,206) | ||
Total Liabilities | $ (1,206) |
(1) | Amount included in Investment in securities at value. |
(2) | Represents cumulative appreciation (depreciation) on swap contracts as reported in the Schedule of Investments. For OTC swap contracts, the value (including premiums) at May 31, 2024 is shown in the Statement of Assets and Liabilities. |
Statement Line Description | Primary Risk | Stone Harbor Emerging Markets Income Fund | ||||
Net Realized Gain (Loss) from | ||||||
Swaps | Credit contracts | $ 635 | ||||
Total | $ 635 | |||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||
Purchased options(1) | Foreign currency contracts | $ 6 | ||||
Swaps | Credit contracts | 3,498 | ||||
Total | $3,504 |
(1) Amount included in Net change in unrealized appreciation (depreciation) on investments. |
derivatives held by Stone Harbor Emerging Markets Income Fund for the six months ended May 31, 2024.
Credit Default Swap Contracts - Sell Protection(1) | $11,200 |
(1) Average notional amount. |
D. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
A Fund’s risk of loss from counterparty credit risk on derivatives bought or sold OTC rather than traded on a securities exchange, is generally limited to the aggregate unrealized gain netted against any collateral held by a Fund. For OTC purchased options, a Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate a Fund, and not the counterparty to perform. | |
With exchange traded purchased options and futures and centrally cleared swaps generally speaking, there is less counterparty credit risk to a Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a |
clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro-rata basis across all the clearing broker’s customers, potentially resulting in losses to a Fund. | |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause a Fund to accelerate payment of any net liability owed to the counterparty. | |
E. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. | |
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule of Investments. Typically, a Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, a Fund bears the risk of loss from counterparty non-performance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. | |
For financial reporting purposes, a Fund does not offset derivative assets and liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. |
The following tables present Stone Harbor Emerging Markets Income Fund’s derivative assets and liabilities and reverse repurchase agreements by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by a Fund as of May 31, 2024: |
At May 31, 2024, Stone Harbor Emerging Markets Income Fund’s derivative assets and liabilities (by type) are as follows: | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
OTC swaps | $ — | $2,303 | |||
Purchased options | 159 | — | |||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $159 | $2,303 | |||
Derivatives not subject to a MNA or similar agreement | — | — | |||
Total assets and liabilities subject to a MNA | $159 | $2,303 |
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received(1) | Cash Collateral Received(1) | Net Amount of Derivative Assets(1) | |||||
Goldman Sachs & Co. | $159 | $— | $— | $— | $159 | |||||
Total | $159 | $— | $— | $— | $159 |
Counterparty | Gross Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged(1) | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities(1) | |||||
Barclays | $2,303 | $— | $— | $(2,303) | $— | |||||
Total | $2,303 | $— | $— | $(2,303) | $— |
A. | Investment Adviser |
Virtus Investment Advisers, Inc., an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to Global Multi-Sector Income Fund and Total Return Fund Inc. Virtus Alternative Investment Advisers, Inc. (collectively with Virtus Investment Advisers, Inc., the “Adviser”), an indirect, wholly-owned subsidiary of Virtus, is the investment adviser to Stone Harbor Emerging Markets Income Fund. The Adviser manages the Funds’ investment program and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily total managed assets of each Fund. “Managed Assets” is defined as the average daily value of the total assets of each Fund minus the sum of all accrued liabilities of the Fund (other than the aggregate amount of any outstanding borrowings or other indebtedness, entered into for the purpose of leverage). |
Fund | Advisory Fee | |
Global Multi-Sector Income Fund | 0.95% | |
Stone Harbor Emerging Markets Income Fund | 1.00* | |
Total Return Fund Inc. | 0.70 |
B. | Subadvisers |
The subadvisers are responsible for the day-to-day portfolio management of each Fund for which they are paid a fee by the Adviser. A list of the subadvisers and the Funds they serve as of the end of the year is as follows: |
Fund | Subadviser | |
Global Multi-Sector Income Fund | Newfleet(1) | |
Stone Harbor Emerging Markets Income Fund | SHIP(2) | |
Total Return Fund Inc. (Equity Portfolio) | DPIM(3) | |
Total Return Fund Inc. (Fixed Income Portfolio) | Newfleet(1) |
(1) | Newfleet Asset Management (“Newfleet”), a division of Virtus Fixed Income Advisers LLC (“VFIA”), an indirect wholly owned subsidiary of Virtus. |
(2) | Stone Harbor Investment Partners (“SHIP”), a division of VFIA. |
(3) | Duff & Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
C. | Expense Limitation |
The Adviser has contractually agreed to limit Stone Harbor Emerging Markets Income Fund’s annual total operating expenses, subject to the exclusions listed below, so that such expenses do not exceed, on an annualized basis, 0.58% of average daily net assets through April 10, 2025. Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The reimbursements are accrued daily and received monthly. |
The exclusions include investment advisory fees, interest, any other fees or expenses relating to financial leverage, preferred shares (such as dividends on preferred shares, auction agent fees and commissions and rating agency fees) or borrowing (such as interest, commitment, amendment and renewal expenses on credit or redemption facilities), taxes, extraordinary, unusual or infrequently occurring expenses (such as litigation), costs related to share offerings, brokerage commissions, expenses incurred in connection with any merger or reorganization, underlying fund expenses and dividend expenses, if any (each expressed as a percentage of average daily net assets attributable to common shares). | |
During the six months ended May 31, 2024, Stone Harbor Emerging Markets Income Fund’s expenses were below its expense limitation. | |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. | |
During the six months ended May 31, 2024, the Adviser did not recapture expenses. | |
E. | Administration Services |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Funds. For the services provided by the administrator under the Administration Agreement, the Funds pay the administrator an asset-based fee calculated on each Fund’s average daily Managed Assets. This fee is calculated daily and paid monthly. | |
For the six months ended May 31, 2024, the Funds incurred administration fees totaling $455 which are included in the Statement of Operations within the line item “Administration and accounting fees.” | |
F. | Trustees’/Directors’ Fees |
For the six months ended May 31, 2024, the Funds incurred independent Trustees’/Directors’ fees totaling $27 which are included in the Statement of Operations within the line item “Trustees’/Directors’ fees and expenses.” No remuneration was paid to the officers or affiliated trustee. | |
G. | Investments with Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the six months ended May 31, 2024, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. |
H. | Trustees/Director Deferred Compensation Plan |
The Funds provide a deferred compensation plan for its Trustees/Directors who receive compensation from the Funds. Under the deferred compensation plan, Trustees/Directors may elect to defer all or a portion of their compensation. Amounts deferred are retained by each Fund, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees/Directors. Investments in such instruments are included in “Prepaid expenses and other assets” in the Statement of Assets and Liabilities at May 31, 2024. |
Purchases | Sales | ||
Global Multi-Sector Income Fund | $ 40,170 | $ 43,361 | |
Stone Harbor Emerging Markets Income Fund | 77,963 | 61,876 | |
Total Return Fund Inc. | 141,740 | 211,912 |
Purchases | Sales | ||
Global Multi-Sector Income Fund | $ 6,618 | $ 6,031 | |
Total Return Fund Inc. | 22,627 | 27,066 | |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Global Multi-Sector Income Fund | $ 144,664 | $ 1,461 | $ (9,715) | $ (8,254) | ||||
Stone Harbor Emerging Markets Income Fund (including purchased options) | 127,409 | 12,705 | (11,337) | 1,368 | ||||
Total Return Fund Inc. | 558,391 | 29,696 | (31,021) | (1,325) |
Fund | Short-Term | Long-Term | |||
Global Multi-Sector Income Fund | $ 9,751 | $23,130 | |||
Stone Harbor Emerging Markets Income Fund | 55,782 | 83,057 | |||
Total Return Fund Inc. | 2,774 | 12,474 |
Sector | Percentage of Total Investments | |||
Utilities | 35% |
Outstanding Borrowings | Interest Rate | |
$43,000 | 6.17% |
Outstanding Borrowings | Interest Rate | |
$168,300 | 6.15% |
Overnight & Continuous | Up to 30 days | 30-90 days | Greater than 90 days | Total | |||||||||||
Sovereign Debt Obligations | $20,652 | $— | $— | $— | $20,652 | ||||||||||
Corporate Bonds | 17,218 | — | — | — | 17,218 | ||||||||||
Total | $37,870 | $— | $— | $— | $37,870 | ||||||||||
Gross amount of unrecognized liabilities of reverse repurchase agreements |
Acquired Fund Shares Outstanding | Shares Converted to the Acquiring Fund | Acquired Fund Net Assets | Conversion Ratio | ||||
10,053,109 | 11,598,599 | $51,054* | 1.153733 |
Acquiring Fund’s Net Assets | Common Stock ($0.001 par value unlimited shares authorized) | Capital paid in on shares of beneficial interest | Total distributable earnings (accumulated losses) | ||||
$76,378 | $17 | $224,724 | $(148,363) |
Net investment income (loss) | $6,440 (a) |
Net realized and unrealized gain (loss) on investments | 15,538 (b) |
Net increase (decrease) in net assets resulting from operations | $21,978 |
Election of Trustees | Votes For | Votes Withheld |
George R. Aylward* | 9,041,042.706 | 488,380.000 |
F. Ford Drummond | 9,133,585.706 | 395,837.000 |
Connie D. McDaniel | 9,098,655.706 | 430,767.000 |
Philip R. McLoughlin | 9,032,404.706 | 497,018.000 |
Election of Trustees | Votes For | Votes Withheld |
George R. Aylward* | 18,559,626.950 | 1,914,013.530 |
Deborah A. DeCotis | 18,653,534.950 | 1,820,105.530 |
John R. Mallin | 18,491,726.950 | 1,981,913.530 |
R. Keith Walton | 18,532,574.950 | 1,941,065.530 |
Election of Directors | Votes For | Votes Withheld |
Donald C. Burke | 42,948,062.134 | 6,001,109.514 |
Sarah E. Cogan | 42,780,364.422 | 6,168,807.226 |
Deborah A. DeCotis | 42,749,495.371 | 6,199,676.277 |
Sidney E. Harris | 42,833,482.420 | 6,115,689.228 |
Shareholder Services | 1-866-270-7788 |
Website | www.Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-866-270-7788.
Virtus Closed-End Funds, please
contact us at 1-866-270-7788
or closedendfunds@virtus.com
or visit Virtus.com.
8524 | 07-24 |
(b) Not applicable.
Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Not applicable.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
(a) | Response not required for semi-annual report. |
(b) | On March 1, 2024, the Registrant announced the addition of Darin Batchman and Richard Lange to its team of investment professionals. |
Darin Batchman, Portfolio Manager, Emerging Markets Corporate Debt
Darin joined the team in 2011 and has 25 years of industry experience. Prior to joining Stone Harbor, he served as a Director of Latin America Integrated Credit Trading at Deutsche Bank Securities where he was responsible for structured debt and equity transactions for Latin American corporates. Prior to his time at Deutsche Bank, he served as an Associate Director of Emerging Markets Fixed Income Research at Bear Stearns & Co. Inc., covering corporate bond issuers. He was also a High Yield Research Associate in the Emerging Markets Group at Credit Suisse First Boston/Donaldson, Lufkin & Jenrette. Darin attained a BS in Business Administration from Kansas State University and an MBA with an emphasis in Finance from the Leonard N. Stern School of Business at New York University.
Richard Lange, Portfolio Manager, Emerging Markets Corporate Debt
Richard joined the team in 2010 and has 20 years of industry experience. Prior to joining Stone Harbor, Richard served as a Trader for Autonomy Capital Group in London where he was responsible for private equity and debt investments in emerging market corporates. Prior to his time spent at Autonomy Capital, Richard served as the Director for Latin America Corporate Credit Trading at Deutsche Bank. He attained a BA in Finance and Accounting from the Institut Commercial Superieur in Paris and an MBA from the Executive Program at Columbia University.
Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest
There may be certain inherent conflicts of interest that arise in connection with the portfolio managers’ management of the Fund’s investments and the investments of any other accounts they manage. Such conflicts could include the aggregation of orders for all accounts managed by a particular portfolio manager, the allocation of purchases across all such accounts, the allocation of IPOs and any soft dollar arrangements that the adviser/subadviser may have in place that could benefit the Fund and/or such other accounts. The Board of Trustees has adopted policies and procedures designed to address any such conflicts of interest to ensure that all transactions are executed in the best interest of the Fund’s shareholders. Each adviser/subadviser is required to certify its compliance with these procedures on a quarterly basis. There have been no material compliance issues with respect to any of these policies and procedures during the Fund’s most recent fiscal year. Additionally, there are no material conflicts of interest between the investment strategy of the Fund and the investment strategy of other accounts managed by portfolio managers since the portfolio managers generally manage funds and other accounts having similar investment strategies.
As of May 31, 2024:
Name of Portfolio Manager or
Team Member | Type of Accounts | Total
No. of Accounts Managed | Total Assets (in millions) | No. of Accounts where Advisory Fee is Based on Performance |
Total Assets in Accounts
| |||||
Darin Batchman | Registered Investment Companies: | 3 | $266 | 0 | 0 | |||||
Other Pooled Investment Vehicles: | 13 | $858 | 1 | $187 | ||||||
Other Accounts: | 15 | $4,187 | 1 | $163 | ||||||
Richard Lange | Registered Investment Companies: | 3 | $266 | 0 | 0 | |||||
Other Pooled Investment Vehicles: | 13 | $858 | 1 | $187 | ||||||
Other Accounts: | 15 | $4,187 | 1 | $163 |
Compensation Structure of Portfolio Manager(s) or Management Team Members
Virtus, along with certain of its affiliated investment management firms, including Stone Harbor Investment Partners, a division of Virtus Fixed Income Advisers, LLC (collectively, “Virtus”), believes that the firm’s compensation program is adequate and competitive to attract and retain high-caliber investment professionals. Investment professionals at Virtus receive a competitive base salary, an incentive bonus opportunity, and a benefits package. Certain professionals who
supervise and manage others also participate in a management incentive program reflecting their personal contribution and team performance. Certain key individuals also have the opportunity to take advantage of a long-term incentive compensation program, including potential awards of Virtus restricted stock units (“RSUs”) with multi-year vesting, subject to Virtus board of directors’ approval.
Following is a more detailed description of the compensation structure:
· | Base Salary: Each portfolio manager is paid a fixed based salary, which is designed to be competitive in light of the individual’s experience and responsibilities. Base salary is determined using compensation survey results of investment industry compensation conducted by an independent third party in evaluating competitive market compensation for its investment management professionals. |
· | Incentive Bonus: Annual incentive payments are based on targeted compensation levels, adjusted based on profitability investment performance factors and a subjective assessment of contribution to the team effort. The short-term incentive payment is generally paid in cash, but a portion may be payable in RSUs and mutual fund investments that appreciate or depreciate in value based on the returns of one or more mutual funds managed by the investment professional. Individual payments are assessed using comparisons of actual investment performance with specific peer group or index measures. Performance of funds managed is generally measured over one-, three-, and five-year periods and an individual manager’s participation is based on the performance of each fund/account managed. |
· | Other Benefits: Portfolio managers are also eligible to participate in broad-based plans offered generally to employees of Virtus and its affiliates, including 401(k), health, and other employee benefit plans. |
While portfolio managers compensation contains a performance component, this component is adjusted to reward investment personnel for managing within the stated framework and for not taking unnecessary risk. This approach helps ensure that investment management personnel remain focused on managing and acquiring securities that correspond to a fund’s mandate and risk profile and are discouraged from taking on more risk and unnecessary exposure to chase performance for personal gain. Virtus believes it has appropriate controls in place to handle any potential conflicts that may result from a substantial portion of portfolio manager compensation being tied to performance.
Disclosure of Securities Ownership
For the most recently completed fiscal period ended May 31, 2024, beneficial ownership of shares of the Fund by Messrs. Batchman and Lange, are as follows. Beneficial ownership was determined in accordance with rule 16a-1(a)(2) under the Securities Exchange Act of 1934 (17 CFR 240.161-1(a)(2)).
Name of Portfolio Manager or Team Member | Dollar ($) Range of Fund Shares Beneficially Owned |
Darin Batchman | $50,001-$100,000 | |
Richard Lange | None |
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
(a) Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 16. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
(a) Not applicable.
(b) Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not Applicable.
Item 19. Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | ||
(a)(2)(1) | There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. | |
(a)(2)(2) | There was no change in the Registrant’s independent public accountant during the period covered by the report. | |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Stone Harbor Emerging Markets Income Fund | ||
By (Signature and Title)* /s/ George R. Aylward | ||
George R. Aylward, President and Chief Executive Officer (principal executive officer) | ||
Date 8/7/24 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ George R. Aylward | ||
George R. Aylward, President and Chief Executive Officer (principal executive officer) | ||
Date 8/7/24 |
By (Signature and Title)* /s/ W. Patrick Bradley | ||
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer (principal financial officer) | ||
Date 8/7/24 |
* | Print the name and title of each signing officer under his or her signature. |