Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Bond-Debenture Fund
For the period ended March 31, 2021
Schedule of Investments (unaudited)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.54% | ||||||||||||
ASSET-BACKED SECURITIES 5.37% | ||||||||||||
Automobiles 0.17% | ||||||||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | $ | 734 | $ | 736,286 | ||||||
Carvana Auto Receivables Trust NP1 2020-N1A E† | 5.20% | 7/15/2027 | 5,750 | 6,188,911 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-A A3 | 3.10% | 11/15/2021 | 1,574 | 1,577,326 | ||||||||
Westlake Automobile Receivables Trust 2021-1A F† | 3.91% | 9/15/2027 | 29,547 | 29,560,503 | ||||||||
Total | 38,063,026 | |||||||||||
Credit Cards 0.19% | ||||||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 40,297 | 41,918,672 | ||||||||
Other 5.01% | ||||||||||||
AMMC CLO XII Ltd. 2013-12A DR† | 2.895% (3 Mo. LIBOR + 2.70%) | # | 11/10/2030 | 3,859 | 3,617,222 | |||||||
AMMC CLO XIII Ltd. 2013-13A A2LR† | 1.918% (3 Mo. LIBOR + 1.70%) | # | 7/24/2029 | 3,440 | 3,444,284 | |||||||
AMMC CLO XIII Ltd. 2013-13A B1LR† | 3.818% (3 Mo. LIBOR + 3.60%) | # | 7/24/2029 | 5,000 | 4,987,457 | |||||||
Apex Credit CLO LLC 2017-2A B† | 2.037% (3 Mo. LIBOR + 1.85%) | # | 9/20/2029 | 7,197 | 7,206,778 | |||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 1.513% (3 Mo. LIBOR + 1.30%) | # | 10/27/2028 | 4,895 | 4,897,645 | |||||||
Apidos CLO XXIII 2015-23A AR† | 1.461% (3 Mo. LIBOR + 1.22%) | # | 4/15/2033 | 4,000 | 4,004,786 | |||||||
Apidos CLO XXXV 2021-35A D† | Zero Coupon | #(a) | 4/20/2034 | 12,070 | 12,070,000 | |||||||
Applebee’s Funding LLC / IHOP Funding LLC 2019-1A A2I† | 4.194% | 6/7/2049 | 28,832 | 29,736,480 | ||||||||
Applebee’s Funding LLC / IHOP Funding LLC 2019-1A A2II† | 4.723% | 6/7/2049 | 5,751 | 6,072,886 | ||||||||
Ares XLII Clo Ltd. 2017-42A D† | 3.672% (3 Mo. LIBOR + 3.45%) | # | 1/22/2028 | 6,250 | 6,203,205 | |||||||
Avery Point VI CLO Ltd. 2015-6A CR2† | 1.963% (3 Mo. LIBOR + 1.80%) | # | 8/5/2027 | 7,000 | 6,991,317 | |||||||
Babson CLO Ltd. 2016-1A DR† | 3.268% (3 Mo. LIBOR + 3.05%) | # | 7/23/2030 | 3,000 | 2,969,389 | |||||||
Bain Capital Credit CLO 2019-2A D† | 4.123% (3 Mo. LIBOR + 3.90%) | # | 10/17/2032 | 4,740 | 4,747,565 |
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Bain Capital Credit CLO Ltd. 2017-2A BR† | 2.018% (3 Mo. LIBOR + 1.80%) | # | 7/25/2030 | $ | 7,000 | $ | 7,002,650 | |||||
Battalion CLO VII Ltd. 2014-7A CRR† | 3.153% (3 Mo. LIBOR + 2.93%) | # | 7/17/2028 | 1,831 | 1,821,277 | |||||||
Battalion CLO XV Ltd. 2019-16A B† | 2.224% (3 Mo. LIBOR + 2.00%) | # | 12/19/2032 | 23,286 | 23,363,546 | |||||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 2.241% (3 Mo. LIBOR + 2.00%) | # | 1/15/2033 | 7,922 | 7,947,996 | |||||||
BlueMountain CLO XXVIII Ltd. 2021-28A D† | 3.013% (3 Mo. LIBOR + 2.90%) | # | 4/15/2034 | 17,280 | 17,279,698 | |||||||
Carlyle US CLO Ltd. 2019-4A B† | 2.941% (3 Mo. LIBOR + 2.70%) | # | 1/15/2033 | 15,609 | 15,687,128 | |||||||
Carlyle US CLO Ltd. 2021-1A B† | 1.991% (3 Mo. LIBOR + 1.80%) | # | 4/15/2034 | 13,250 | 13,249,991 | |||||||
Carlyle US CLO Ltd. 2021-1A C† | 2.991% (3 Mo. LIBOR + 2.80%) | # | 4/15/2034 | 17,030 | 17,029,896 | |||||||
Cedar Funding Ltd. CEDF 2017-8A D | 3.473% | 10/17/2030 | 4,395 | 4,330,355 | ||||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 1.824% (3 Mo. LIBOR + 1.60%) | # | 10/20/2028 | 2,600 | 2,600,576 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A DR† | 3.224% (3 Mo. LIBOR + 3.00%) | # | 10/20/2028 | 7,699 | 7,700,458 | |||||||
CIFC Funding Ltd. 2013-2A A2LR† | 1.826% (3 Mo. LIBOR + 1.60%) | # | 10/18/2030 | 11,000 | 11,006,210 | |||||||
CIFC Funding Ltd. 2021-1A C† | 1.936% (3 Mo. LIBOR + 1.80%) | # | 4/25/2033 | 10,410 | 10,408,367 | |||||||
CIFC Funding Ltd. 2021-1A D† | 3.086% (3 Mo. LIBOR + 2.95%) | # | 4/25/2033 | 16,080 | 16,087,119 | |||||||
Dryden 61 Clo Ltd. 2018-61A CR† | Zero Coupon | #(a) | 1/17/2032 | 17,060 | 17,062,808 | |||||||
Dryden 61 Clo Ltd. 2018-61A DR† | Zero Coupon | #(a) | 1/17/2032 | 20,190 | 20,195,574 | |||||||
Eaton Vance CLO Ltd. 2013-1A B3R† | 2.31% (3 Mo. LIBOR + 2.15%) | # | 1/15/2034 | 8,510 | 8,562,273 | |||||||
Eaton Vance CLO Ltd. 2013-1A C3R† | 3.56% (3 Mo. LIBOR + 3.40%) | # | 1/15/2034 | 14,190 | 14,240,765 | |||||||
Elmwood CLO VIII Ltd. 2021-1A C1† | 2.066% (3 Mo. LIBOR + 1.95%) | # | 1/20/2034 | 18,920 | 18,920,214 | |||||||
Elmwood CLO VIII Ltd. 2021-1A D1† | 3.116% (3 Mo. LIBOR + 3.00%) | # | 1/20/2034 | 14,190 | 14,190,123 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.244% (3 Mo. LIBOR + 1.02%) | # | 4/20/2031 | $ | 5,311 | $ | 5,313,074 | |||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 1.512% (3 Mo. LIBOR + 1.29%) | # | 4/15/2033 | 20,101 | 20,162,582 | |||||||
Greywolf CLO VII Ltd. 2018-2A A1† | 1.404% (3 Mo. LIBOR + 1.18%) | # | 10/20/2031 | 10,000 | 10,005,000 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.368% (3 Mo. LIBOR + 2.15%) | # | 7/25/2027 | 5,476 | 5,415,995 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 1.923% (3 Mo. LIBOR + 1.70%) | # | 1/17/2030 | 9,320 | 9,325,717 | |||||||
Harbor Park CLO Ltd. 2018-1A D† | 3.124% (3 Mo. LIBOR + 2.90%) | # | 1/20/2031 | 4,560 | 4,481,355 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 37,325 | 39,414,513 | ||||||||
Jamestown CLO VII Ltd. 2015-7A BR† | 1.868% (3 Mo. LIBOR + 1.65%) | # | 7/25/2027 | 12,548 | 12,392,412 | |||||||
Kayne CLO 10 Ltd. 2021-10A C† | Zero Coupon | #(a) | 4/23/2034 | 6,630 | 6,630,052 | |||||||
Kayne CLO 10 Ltd. 2021-10A D† | Zero Coupon | #(a) | 4/23/2034 | 6,630 | 6,630,029 | |||||||
Kayne CLO 5 Ltd. 2019-5A A† | 1.568% (3 Mo. LIBOR + 1.35%) | # | 7/24/2032 | 38,000 | 38,097,554 | |||||||
Kayne CLO Ltd. 2018 1A DR† | 2.818% (3 Mo. LIBOR + 2.65%) | # | 7/15/2031 | 7,340 | 7,196,226 | |||||||
Kayne CLO Ltd. 2020-7A A1† | 1.423% (3 Mo. LIBOR + 1.20%) | # | 4/17/2033 | 47,944 | 48,146,468 | |||||||
KKR CLO 29 Ltd-29A C† | Zero Coupon | #(a) | 1/15/2032 | 6,150 | 6,110,366 | |||||||
KKR CLO 9 Ltd. 9 B1R† | 1.991% (3 Mo. LIBOR + 1.75%) | # | 7/15/2030 | 6,340 | 6,348,135 | |||||||
KKR CLO Ltd. 18 D† | 3.826% (3 Mo. LIBOR + 3.60%) | # | 7/18/2030 | 7,110 | 7,078,146 | |||||||
KVK CLO Ltd. 2013-A BR† | 1.684% (3 Mo. LIBOR + 1.45%) | # | 1/14/2028 | 3,567 | 3,573,960 | |||||||
Madison Park Funding XI Ltd. 2013-11A BR2† | Zero Coupon | #(a) | 7/23/2029 | 16,590 | 16,590,000 | |||||||
Madison Park Funding XVII Ltd. 2015-17A CR2† | 2.068% (3 Mo. LIBOR + 1.90%) | # | 7/21/2030 | 9,000 | 8,982,048 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.524% (3 Mo. LIBOR + 1.30%) | # | 4/20/2033 | 29,415 | 29,421,355 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 1.994% (3 Mo. LIBOR + 1.77%) | # | 4/20/2033 | 9,348 | 9,376,137 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Mariner Finance Issuance Trust 2021-AA A† | 1.86% | 3/20/2036 | $ | 46,827 | $ | 46,746,687 | ||||||
Mountain View CLO 2017-1A BR† | 1.973% (3 Mo. LIBOR + 1.75%) | # | 10/16/2029 | 11,046 | 11,073,909 | |||||||
Mountain View CLO LLC 2016-1A DR† | 3.934% (3 Mo. LIBOR + 3.70%) | # | 4/14/2033 | 9,470 | 9,471,383 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 1.575% (3 Mo. LIBOR + 1.35%) | # | 10/13/2027 | 13,725 | 13,688,708 | |||||||
Mountain View Clo XIV Ltd. 2019-1A D† | 4.291% (3 Mo. LIBOR + 3.79%) | # | 4/15/2029 | 3,000 | 2,988,830 | |||||||
Neuberger Berman Loan Advisers CLO Ltd. 2019-35A A1† | 1.563% (3 Mo. LIBOR + 1.34%) | # | 1/19/2033 | 12,300 | 12,363,971 | |||||||
Newark BSL CLO 2 Ltd. 2017-1A CR† | 3.334% (3 Mo. LIBOR + 3.15%) | # | 7/25/2030 | 21,000 | 20,987,184 | |||||||
OCP CLO Ltd. 2019-16A DR† | Zero Coupon | #(a) | 4/10/2033 | 8,300 | 8,300,000 | |||||||
Octagon Investment Partners 29 Ltd. 2016-1A AR† | 1.398% (3 Mo. LIBOR + 1.18%) | # | 1/24/2033 | 15,000 | 15,035,758 | |||||||
Octagon Investment Partners 48 Ltd. 2020-3A A† | 1.732% (3 Mo. LIBOR + 1.50%) | # | 10/20/2031 | 35,000 | 35,170,061 | |||||||
Octagon Investment Partners XXI Ltd. 2014-1A CR3† | 2.944% (3 Mo. LIBOR + 2.75%) | # | 2/14/2031 | 16,100 | 15,790,426 | |||||||
OHA Credit Funding 8 Ltd. 2021-8A C† | 2.088% (3 Mo. LIBOR + 1.90%) | # | 1/18/2034 | 14,190 | 14,192,224 | |||||||
OHA Credit Funding 8 Ltd. 2021-8A D† | 3.038% (3 Mo. LIBOR + 2.85%) | # | 1/18/2034 | 11,450 | 11,450,962 | |||||||
OneMain Financial Issuance Trust 2020-2A D† | 3.45% | 9/14/2035 | 28,012 | 29,662,394 | ||||||||
OZLM Funding III Ltd. 2013-3A A2AR† | 2.172% (3 Mo. LIBOR + 1.95%) | # | 1/22/2029 | 15,000 | 15,009,932 | |||||||
Palmer Square CLO Ltd. 2021-1A B† | Zero Coupon | #(a) | 4/20/2034 | 6,630 | 6,630,000 | |||||||
Palmer Square CLO Ltd. 2021-1A C† | Zero Coupon | #(a) | 4/20/2034 | 8,990 | 8,990,000 | |||||||
Parallel Ltd. 2017-1A A1R† | 1.254% (3 Mo. LIBOR + 1.03%) | # | 7/20/2029 | 5,000 | 5,009,406 | |||||||
Planet Fitness Master Issuer LLC 2018-1A A2I† | 4.262% | 9/5/2048 | 17,588 | 17,671,484 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 21,985 | 22,532,080 |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | $ | 14,052 | $ | 13,512,411 | ||||||
Regatta VI Funding Ltd. 2016-1A DR† | 2.924% (3 Mo. LIBOR + 2.70%) | # | 7/20/2028 | 2,216 | 2,192,622 | |||||||
Regatta XVI Funding Ltd. 2019-2A B† | 2.291% (3 Mo. LIBOR + 2.05%) | # | 1/15/2033 | 31,200 | 31,322,064 | |||||||
Regatta XVIII Funding Ltd. 2021-1A B† | Zero Coupon | #(a) | 1/15/2034 | 18,940 | 18,940,330 | |||||||
Regatta XVIII Funding Ltd. 2021-1A D† | Zero Coupon | #(a) | 1/15/2034 | 18,940 | 18,940,551 | |||||||
Signal Peak CLO 4 Ltd. 2017-4A D† | 3.265% (3 Mo. LIBOR + 3.05%) | # | 10/26/2029 | 6,254 | 6,225,623 | |||||||
Sound Point CLO XI Ltd. 2016-1A DR† | 3.174% (3 Mo. LIBOR + 2.95%) | # | 7/20/2028 | 6,840 | 6,741,401 | |||||||
TCI-Flatiron Clo Ltd. 2018-1A BR† | 1.544% (3 Mo. LIBOR + 1.40%) | # | 1/29/2032 | 4,500 | 4,464,039 | |||||||
TCI-Flatiron Clo Ltd. 2018-1A CR† | 1.894% (3 Mo. LIBOR + 1.75%) | # | 1/29/2032 | 7,500 | 7,422,056 | |||||||
TCI-Flatiron Clo Ltd. 2018-1A DR† | 2.894% (3 Mo. LIBOR + 2.75%) | # | 1/29/2032 | 7,000 | 6,878,922 | |||||||
TCW CLO AMR Ltd. 2019-1A C† | 2.087% (3 Mo. LIBOR + 1.75%) | # | 2/15/2029 | 16,090 | 16,062,040 | |||||||
TCW CLO AMR Ltd. 2019-1A D† | 3.184% (3 Mo. LIBOR + 2.99%) | # | 2/15/2029 | 3,000 | 2,971,506 | |||||||
THL Credit Wind River CLO Ltd. 2017-1A B† | 1.923% (3 Mo. LIBOR + 1.70%) | # | 4/18/2029 | 9,200 | 9,211,468 | |||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 3.174% (3 Mo. LIBOR + 2.95%) | # | 1/20/2031 | 1,264 | 1,238,675 | |||||||
THL Credit Wind River CLO Ltd. 2019-1A D† | 4.154% (3 Mo. LIBOR + 3.93%) | # | 4/20/2031 | 3,000 | 3,007,418 | |||||||
West CLO Ltd. 2014-2A BR† | 1.973% (3 Mo. LIBOR + 1.75%) | # | 1/16/2027 | 4,541 | 4,530,795 | |||||||
Total | 1,122,754,482 | |||||||||||
Total Asset-Backed Securities (cost $1,200,080,210) | 1,202,736,180 |
See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Shares (000) | Fair Value | ||||||
COMMON STOCKS 8.70% | ||||||||
Advertising 0.16% | ||||||||
Snap, Inc. Class A* | 677 | $ | 35,403,520 | |||||
Air Transportation 0.59% | ||||||||
Hawaiian Holdings, Inc. | 2,407 | 64,191,890 | ||||||
JetBlue Airways Corp.* | 3,300 | 67,129,749 | ||||||
Total | 131,321,639 | |||||||
Auto Parts & Equipment 0.02% | ||||||||
Chassix Holdings, Inc. | 607 | 4,552,928 | ||||||
Banking 0.88% | ||||||||
East West Bancorp, Inc. | 437 | 32,269,935 | ||||||
Goldman Sachs Group, Inc. (The) | 100 | 32,637,216 | ||||||
OneMain Holdings, Inc. | 832 | 44,685,317 | ||||||
Signature Bank/New York NY | 102 | 23,117,368 | ||||||
South State Corp. | 408 | 32,050,687 | ||||||
SVB Financial Group* | 67 | 32,988,336 | ||||||
Total | 197,748,859 | |||||||
Beverages 0.53% | ||||||||
Boston Beer Co., Inc. (The) Class A* | 80 | 96,325,077 | ||||||
Constellation Brands, Inc. Class A | 94 | 21,349,464 | ||||||
Total | 117,674,541 | |||||||
Building & Construction 0.10% | ||||||||
NVR, Inc.* | 5 | 23,173,065 | ||||||
Building Materials 0.20% | ||||||||
Valmont Industries, Inc. | 189 | 45,033,712 | ||||||
Chemicals 0.22% | ||||||||
Celanese Corp. | 152 | 22,729,772 | ||||||
Scotts Miracle-Gro Co. (The) | 110 | 27,015,292 | ||||||
Total | 49,745,064 | |||||||
Diversified Capital Goods 0.12% | ||||||||
Trane Technologies plc (Ireland)(b) | 134 | 22,249,608 | ||||||
UTEX Industries, Inc. | 114 | 4,781,280 | ||||||
Total | 27,030,888 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Shares | Fair | |||||||
Investments | (000) | Value | ||||||
Electronics 0.22% | ||||||||
Cognex Corp. | 288 | $ | 23,863,775 | |||||
Trimble, Inc.* | 313 | 24,311,553 | ||||||
Total | 48,175,328 | |||||||
Energy: Exploration & Production 0.79% | ||||||||
Continental Resources, Inc. | 3,397 | 87,885,460 | ||||||
Diamondback Energy, Inc. | 304 | 22,365,359 | ||||||
PDC Energy, Inc.* | 1,960 | 67,418,909 | ||||||
Total | 177,669,728 | |||||||
Environmental 0.21% | ||||||||
Tetra Tech, Inc. | 340 | 46,150,636 | ||||||
Hotels 0.10% | ||||||||
Marriott Vacations Worldwide Corp. | 133 | 23,108,809 | ||||||
Machinery 0.32% | ||||||||
Generac Holdings, Inc.* | 82 | 26,813,243 | ||||||
Toro Co. (The) | 434 | 44,747,186 | ||||||
Total | 71,560,429 | |||||||
Media: Content 0.05% | ||||||||
ROBLOX Corp.*(c) | 169 | 10,943,563 | ||||||
Media: Diversified 0.44% | ||||||||
Lyft, Inc. Class A* | 379 | 23,952,739 | ||||||
Walt Disney Co. (The)* | 401 | 73,933,658 | ||||||
Total | 97,886,397 | |||||||
Metals/Mining (Excluding Steel) 0.32% | ||||||||
Freeport-McMoRan, Inc.* | 1,303 | 42,897,878 | ||||||
MMC Norilsk Nickel PJSC ADR | 931 | 29,028,331 | ||||||
Total | 71,926,209 | |||||||
Personal & Household Products 0.45% | ||||||||
Estee Lauder Cos., Inc. (The) Class A | 190 | 55,371,732 | ||||||
Gibson Brands, Inc. | 107 | 12,560,985 | (d) | |||||
Pola Orbis Holdings, Inc.(e) | JPY 1,388 | 33,384,966 | ||||||
Remington Outdoor Co., Inc. | 164 | – | (f)(g) | |||||
Revlon, Inc. Class A | 1,798 | 436,119 | ||||||
Total | 101,753,802 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Shares | Fair | |||||||
Investments | (000) | Value | ||||||
Real Estate Investment Trusts 0.34% | ||||||||
CBRE Group, Inc. Class A* | 436 | $ | 34,509,285 | |||||
Douglas Emmett, Inc. | 1,327 | 41,682,746 | ||||||
Total | 76,192,031 | |||||||
Recreation & Travel 0.10% | ||||||||
Royal Caribbean Cruises Ltd. | 271 | 23,241,574 | ||||||
Restaurants 0.77% | ||||||||
McDonald’s Corp. | 99 | 22,108,273 | ||||||
Shake Shack, Inc. Class A* | 1,334 | 150,437,999 | ||||||
Total | 172,546,272 | |||||||
Software/Services 0.67% | ||||||||
Airbnb, Inc. Class A* | 416 | 78,237,355 | ||||||
Alliance Data Systems Corp. | 638 | 71,484,052 | ||||||
Total | 149,721,407 | |||||||
Specialty Retail 0.73% | ||||||||
AutoZone, Inc.* | 17 | 23,984,040 | ||||||
Claires Holdings LLC | 15 | 3,791,093 | ||||||
Deckers Outdoor Corp.* | 68 | 22,355,556 | ||||||
Five Below, Inc.* | 236 | 44,956,802 | ||||||
Lowe’s Cos., Inc. | 120 | 22,832,440 | ||||||
Tractor Supply Co. | 134 | 23,811,594 | ||||||
Ulta Beauty, Inc.* | 69 | 21,442,176 | ||||||
Total | 163,173,701 | |||||||
Support: Services 0.15% | ||||||||
TopBuild Corp.* | 162 | 33,932,058 | ||||||
Transportation: Infrastructure/Services 0.00% | ||||||||
ACBL Holdings Corp. | 45 | 897,940 | (d) | |||||
Trucking & Delivery 0.22% | ||||||||
AMERCO | 39 | 23,914,066 | ||||||
Old Dominion Freight Line, Inc. | 104 | 25,030,768 | ||||||
Total | 48,944,834 | |||||||
Total Common Stocks (cost $1,728,280,131) | 1,949,508,934 |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
CONVERTIBLE BOND 0.17% | ||||||||||||
Automakers | ||||||||||||
Tesla, Inc. (cost $36,206,325) | 2.00% | 5/15/2024 | $ | 3,413 | $ | 36,681,217 | ||||||
FLOATING RATE LOANS(h) 6.70% | ||||||||||||
Aerospace/Defense 0.17% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(b) | 8.50% (1 Mo. LIBOR + 6.50%) | 3/6/2024 | 8,103 | 7,954,245 | ||||||||
Alloy Finco Limited USD Holdco Term Loan PIK 13.50% (Jersey)(b) | 0.50% | 3/6/2025 | 12,694 | 7,870,073 | (i) | |||||||
TransDigm, Inc. 2020 Term Loan F | – | (j) | 12/9/2025 | 22,550 | 22,113,443 | |||||||
Total | 37,937,761 | |||||||||||
Air Transportation 0.31% | ||||||||||||
American Airlines, Inc. 2017 Incremental Term Loan | 2.106% (1 Mo. LIBOR + 2.00%) | 12/15/2023 | 33,635 | 32,228,992 | ||||||||
American Airlines, Inc. Repriced TL B due 2023 | 2.109% (1 Mo. LIBOR + 2.00%) | 4/28/2023 | 21,261 | 20,327,846 | ||||||||
JetBlue Airways Corporation Term Loan | 6.25% (3 Mo. LIBOR + 5.25%) | 6/17/2024 | 16,881 | 17,314,079 | ||||||||
Total | 69,870,917 | |||||||||||
Auto Parts & Equipment 0.08% | ||||||||||||
Truck Hero, Inc. 2021 Term Loan B | 4.50% (1 Mo. LIBOR + 3.75%) | 1/31/2028 | 16,700 | 16,685,328 | ||||||||
Beverages 0.09% | ||||||||||||
Triton Water Holdings, Inc Term Loan (Spain)(b) | – | (j) | 3/18/2028 | 21,104 | 21,049,112 | |||||||
Cable & Satellite Television 0.26% | ||||||||||||
Cablevision Lightpath LLC Term Loan B | 3.75% (1 Mo. LIBOR +3.25%) | 11/30/2027 | 9,751 | 9,749,979 | ||||||||
Charter Communications Operating, LLC 2019 Term Loan B2 | 1.86% (1 Mo. LIBOR + 1.75%) | 2/1/2027 | 16,743 | 16,682,955 | ||||||||
Virgin Media Bristol LLC USD Term Loan N | – | (j) | 1/31/2028 | 32,556 | 32,309,758 | |||||||
Total | 58,742,692 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.29% | ||||||||||||
Illuminate Buyer, LLC 2021 Term Loan | 3.609% (1 Mo. LIBOR + 3.50%) | 6/30/2027 | $ | 17,486 | $ | 17,431,505 | ||||||
Messer Industries GmbH 2018 USD Term Loan | – | (j) | 3/1/2026 | 22,034 | 21,893,333 | |||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(b) | 2.86% (1 Mo. LIBOR + 2.75%) | 10/1/2025 | 24,799 | 24,454,943 | ||||||||
Total | 63,779,781 | |||||||||||
Consumer/Commercial/Lease Financing 0.10% | ||||||||||||
Blackhawk Network Holdings, Inc 2018 1st Lien Term Loan | – | (j) | 6/15/2025 | 22,371 | 22,097,342 | |||||||
Diversified Capital Goods 0.01% | ||||||||||||
UTEX Industries Inc. 2020 First Out Exit Term Loan A | 8.50% (1 Mo. LIBOR + 7.00%) | 11/1/2024 | 1,159 | 1,169,203 | ||||||||
UTEX Industries Inc. 2020 Second Out Term Loan | 5.25% (1 Mo. LIBOR + 5.25%) | 12/3/2025 | 720 | 704,183 | ||||||||
Total | 1,873,386 | |||||||||||
Electric: Generation 0.10% | ||||||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.50%) | 10/1/2027 | 18,294 | 18,253,219 | ||||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 4.44% (3 Mo. LIBOR + 4.25%) | 5/2/2025 | 18,436 | 1,336,635 | ||||||||
Frontera Generation Holdings LLC 2021 DIP Term Loan | 13.11% - 14.00% (1 Mo. LIBOR + 13.00%) | 11/5/2021 | 1,786 | 1,857,909 | (i) | |||||||
Total | 21,447,763 | |||||||||||
Electric: Integrated 0.10% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.50%) | 12/10/2027 | 23,021 | 23,074,443 | ||||||||
Food: Wholesale 0.10% | ||||||||||||
Chobani, LLC 2020 Term Loan B | 4.50% (1 Mo. LIBOR + 3.50%) | 10/20/2027 | 10,810 | 10,818,121 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale (continued) | ||||||||||||
JBS USA Lux S.A. 2019 Term Loan B (Luxembourg)(b) | 2.109% (1 Mo. LIBOR + 2.00%) | 5/1/2026 | $ | 12,482 | $ | 12,425,703 | ||||||
Total | 23,243,824 | |||||||||||
Gaming 0.06% | ||||||||||||
Penn National Gaming, Inc. 2018 1st Lien Term Loan B | 3.00% (1 Mo. LIBOR + 2.25%) | 10/15/2025 | 14,442 | 14,407,293 | ||||||||
Gas Distribution 0.13% | ||||||||||||
NorthRiver Midstream Finance LP 2018 Term Loan B (Canada)(b) | – | (j) | 10/1/2025 | 29,209 | 28,855,588 | |||||||
Health Facilities 0.25% | ||||||||||||
Heartland Dental, LLC 2018 1st Lien Term Loan | – | (j) | 4/30/2025 | 22,243 | 21,924,349 | |||||||
Select Medical Corporation 2017 Term Loan B | 2.36% (1 Mo. LIBOR + 2.25%) | 3/6/2025 | 33,463 | 33,338,582 | ||||||||
Total | 55,262,931 | |||||||||||
Health Services 0.71% | ||||||||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 5.00% (3 Mo. LIBOR + 4.00%) | 1/8/2027 | 18,866 | 18,901,590 | ||||||||
Global Medical Response, Inc. 2020 Term Loan B | 5.75% (3 Mo. LIBOR + 4.75%) | 10/2/2025 | 26,988 | 26,944,044 | ||||||||
National Mentor Holdings, Inc. 2021 Delayed Draw Term Loan(k) | 0.50% (3 Mo. LIBOR + .05%) | 2/18/2028 | 3,342 | 3,325,319 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan | 4.50% (3 Mo. LIBOR + 3.75%) | 2/18/2028 | 30,378 | 30,230,174 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan C | 4.50% (3 Mo. LIBOR + 3.75%) | 2/18/2028 | 1,013 | 1,007,673 | ||||||||
Parexel International Corporation Term Loan B | 2.859% (1 Mo. LIBOR + 2.75%) | 9/27/2024 | 17,041 | 16,861,994 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Services (continued) | ||||||||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 3.859% (1 Mo. LIBOR + 3.75%) | 11/16/2025 | $ | 37,872 | $ | 37,840,145 | ||||||
U.S. Renal Care, Inc. 2019 Term Loan B | 5.109% (1 Mo. LIBOR + 5.00%) | 6/26/2026 | 24,954 | 24,840,948 | ||||||||
Total | 159,951,887 | |||||||||||
Hotels 0.14% | ||||||||||||
Four Seasons Hotels Limited New 1st Lien Term Loan (Canada)(b) | – | (j) | 11/30/2023 | 31,051 | 31,009,904 | |||||||
Insurance Brokerage 0.07% | ||||||||||||
Hub International Limited 2018 Term Loan B | 3.215% (3 Mo. LIBOR + 3.00%) | 4/25/2025 | 16,787 | 16,575,615 | ||||||||
Investments & Miscellaneous Financial Services 0.16% | ||||||||||||
Hudson River Trading LLC 2021 Term Loan | 3.14% (3 Mo. LIBOR + 3.00%) | 3/17/2028 | 36,178 | 35,906,196 | (i) | |||||||
Machinery 0.10% | ||||||||||||
Vertical Midco GmbH USD Term Loan B (Germany)(b) | 4.478% (6 Mo. LIBOR + 4.25%) | 7/30/2027 | 22,522 | 22,605,249 | ||||||||
Media: Content 0.09% | ||||||||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 | – | (j) | 1/17/2024 | 20,672 | 20,581,391 | |||||||
Personal & Household Products 0.31% | ||||||||||||
Coty Inc. 2018 USD Term Loan B | 2.354% (3 Mo. LIBOR + 2.25%) | 4/7/2025 | 31,438 | 30,305,228 | ||||||||
FGI Operating Company, LLC Exit Term Loan | 10.203% (3 Mo. LIBOR + 10.00%) | 5/16/2022 | 1,069 | 235,156 | (i) | |||||||
Revlon Consumer Products Corporation 2020 Term Loan B2 | 3.676% (3 Mo. LIBOR + 3.50%) | 6/30/2025 | 25,550 | 18,651,717 | ||||||||
TGP Holdings III, LLC 2018 1st Lien Term Loan | 5.00% (3 Mo. LIBOR + 4.00%) | 9/25/2024 | 19,335 | 19,377,677 | ||||||||
Total | 68,569,778 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Rail 0.10% | ||||||||||||
Genesee & Wyoming Inc. (New) Term Loan | 2.203% (3 Mo. LIBOR + 2.00%) | 12/30/2026 | $ | 23,177 | $ | 23,129,540 | ||||||
Recreation & Travel 0.25% | ||||||||||||
Alterra Mountain Company Term Loan B1 | 2.859% (1 Mo. LIBOR + 2.75%) | 7/31/2024 | 18,855 | 18,572,567 | ||||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(b) | 3.50% (1 Mo. LIBOR + 2.50%) | 2/1/2024 | 16,211 | 16,082,808 | ||||||||
Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)(b) | 3.453% (3 Mo. LIBOR + 3.25%) | 11/12/2026 | 2,487 | 2,407,954 | ||||||||
Motion Finco Sarl USD Term Loan B1 (Luxembourg)(b) | 3.453% (3 Mo. LIBOR + 3.25%) | 11/12/2026 | 18,818 | 18,221,497 | ||||||||
Total | 55,284,826 | |||||||||||
Restaurants 0.39% | ||||||||||||
IRB Holding Corp 2020 Term Loan B | 2.953% (3 Mo. LIBOR +2.75%) (6 Mo. LIBOR +2.75%) | 2/5/2025 | 29,008 | 28,813,448 | ||||||||
Panera Bread Company Term Loan A | 2.375% (1 Mo. LIBOR + 2.25%) | 7/18/2022 | 31,874 | 31,295,808 | ||||||||
Zaxby’s Operating Company LLC 1st Lien Term Loan | 4.50% (1 Mo. LIBOR + 3.75%) | 12/28/2027 | 26,635 | 26,654,518 | ||||||||
Total | 86,763,774 | |||||||||||
Software/Services 0.87% | ||||||||||||
Cornerstone OnDemand, Inc. Term Loan B | 4.361% (1 Mo. LIBOR + 4.25%) | 4/22/2027 | 14,613 | 14,645,386 | ||||||||
LogMeIn, Inc. Term Loan B | 4.854% (1 Mo. LIBOR + 4.75%) | 8/31/2027 | 64,685 | 64,594,503 | ||||||||
Omnitracs, Inc. 2020 Incremental Term Loan | 4.358% (1 Mo. LIBOR + 4.25%) | 3/23/2025 | 18,190 | 18,106,610 | ||||||||
Peraton Holding Corp Delayed Draw Term Loan B(k) | – | (j) | 2/1/2028 | 17,023 | 17,051,241 | |||||||
Peraton Holding Corp Term Loan B | 4.50% (3 Mo. LIBOR + 3.75%) | 2/1/2028 | 9,673 | 9,688,718 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
RealPage, Inc Term Loan | – | (j) | 2/17/2028 | $ | 25,085 | $ | 25,000,919 | |||||
Tibco Software Inc. 2020 Term Loan B3 | 3.86% (1 Mo. LIBOR + 3.75%) | 6/30/2026 | 29,653 | 29,338,167 | ||||||||
Ultimate Software Group Inc. | ||||||||||||
(The) Term Loan B | 3.859% (1 Mo. LIBOR + 3.75%) | 5/4/2026 | 16,018 | 16,023,596 | ||||||||
Total | 194,449,140 | |||||||||||
Specialty Retail 0.50% | ||||||||||||
BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan | 2.106% (1 Mo. LIBOR + 2.00%) | 2/3/2024 | 15,055 | 15,064,176 | ||||||||
Claire’s Stores, Inc. 2019 Term Loan B | 6.609% (1 Mo. LIBOR + 6.50%) | 12/18/2026 | 11,646 | 11,092,592 | ||||||||
Foundation Building Materials Holding Company LLC 2021 Term Loan | 3.75% (1 Mo. LIBOR + 3.25%) | 2/3/2028 | 12,047 | 11,952,004 | ||||||||
Harbor Freight Tools USA, Inc. 2020 Term Loan B | 3.75% (1 Mo. LIBOR + 3.00%) | 10/19/2027 | 15,105 | 15,108,747 | ||||||||
Park River Holdings Inc Term Loan | 4.00% (3 Mo. LIBOR + 3.25%) | 12/28/2027 | 13,192 | 13,137,507 | ||||||||
Petco Animal Supplies, Inc. 2021 Term Loan B | 4.00% (3 Mo. LIBOR + 3.25%) | 2/24/2028 | 28,554 | 28,487,473 | ||||||||
Winterfell Financing Sarl EUR Term Loan B(e) | – | (j) | 2/18/2028 | EUR | 14,427 | 16,827,026 | ||||||
Total | 111,669,525 | |||||||||||
Support: Services 0.66% | ||||||||||||
Avis Budget Car Rental, LLC 2020 Term Loan B | 2.37% (1 Mo. LIBOR + 2.25%) | 8/6/2027 | $ | 10,490 | 10,260,511 | |||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 8.484% (3 Mo. LIBOR + 8.25%) | 4/10/2026 | 20,018 | 20,355,107 | ||||||||
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan | 3.357% (1 Mo. LIBOR + 3.25%) | 10/20/2025 | 29,098 | 28,313,903 | ||||||||
Pike Corporation 2021 Incremental Term Loan B | 3.13% (1 Mo. LIBOR + 3.00%) | 1/21/2028 | 10,827 | 10,813,238 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Rent-A-Center, Inc. 2021 Term Loan B | 4.75% (1 Mo. LIBOR + 4.00%) | 2/17/2028 | $ | 8,432 | $ | 8,491,261 | ||||||
Sabre GLBL Inc. 2020 Term Loan B | 4.75% (1 Mo. LIBOR + 4.00%) | 12/17/2027 | 21,776 | 22,034,712 | ||||||||
Team Health Holdings, Inc. 1st Lien Term Loan | 3.75% (1 Mo. LIBOR + 2.75%) | 2/6/2024 | 22,554 | 21,039,711 | ||||||||
Trans Union, LLC 2019 Term Loan B5 | 1.859% (1 Mo. LIBOR + 1.75%) | 11/16/2026 | 11,441 | 11,375,021 | ||||||||
WEX Inc. 2021 Term Loan | – | (j) | 3/18/2028 | 15,845 | 15,815,463 | |||||||
Total | 148,498,927 | |||||||||||
Technology Hardware & Equipment 0.11% | ||||||||||||
Delta TopCo, Inc. 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.75%) | 12/1/2027 | 24,138 | 24,142,320 | ||||||||
Theaters & Entertainment 0.19% | ||||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||||
2019 Term Loan B | – | (j) | 4/22/2026 | 49,858 | 43,275,448 | |||||||
Total Floating Rate Loans (cost $1,499,508,628) | 1,500,741,681 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.32% | ||||||||||||
Angola 0.25% | ||||||||||||
Republic of Angola†(b) | 9.125% | 11/26/2049 | 31,472 | 29,356,295 | ||||||||
Republic of Angola†(b) | 9.375% | 5/8/2048 | 27,128 | 25,647,354 | ||||||||
Total | 55,003,649 | |||||||||||
Argentina 0.03% | ||||||||||||
Province of Santa Fe†(b) | 6.90% | 11/1/2027 | 9,594 | 6,619,956 | ||||||||
Australia 0.13% | ||||||||||||
Australian Government(e) | 4.25% | 4/21/2026 | AUD | 33,642 | 29,994,608 | |||||||
Bermuda 0.12% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | $ | 14,545 | 14,290,463 | |||||||
Bermuda Government International Bond† | 3.375% | 8/20/2050 | 12,887 | 12,528,741 | ||||||||
Total | 26,819,204 | |||||||||||
Egypt 0.22% | ||||||||||||
Arab Republic of Egypt†(b) | 5.577% | 2/21/2023 | 47,734 | 49,796,347 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Ghana 0.16% | ||||||||||||
Republic of Ghana†(b) | 6.375% | 2/11/2027 | $ | 37,965 | $ | 36,784,630 | ||||||
Honduras 0.08% | ||||||||||||
Honduras Government†(b) | 5.625% | 6/24/2030 | 16,925 | 17,771,250 | ||||||||
Ivory Coast 0.14% | ||||||||||||
Ivory Coast Government International Bond†(e) | 5.875% | 10/17/2031 | EUR | 24,313 | 30,175,522 | |||||||
Kenya 0.32% | ||||||||||||
Republic of Kenya†(b) | 7.25% | 2/28/2028 | $ | 40,576 | 42,897,150 | |||||||
Republic of Kenya†(b) | 8.25% | 2/28/2048 | 27,972 | 28,913,258 | ||||||||
Total | 71,810,408 | |||||||||||
Mongolia 0.24% | ||||||||||||
Development Bank of Mongolia LLC†(b) | 7.25% | 10/23/2023 | 31,219 | 33,904,471 | ||||||||
Republic of Mongolia†(b) | 5.125% | 4/7/2026 | 19,014 | 20,390,595 | ||||||||
Total | 54,295,066 | |||||||||||
Nigeria 0.18% | ||||||||||||
Republic of Nigeria†(b) | 6.50% | 11/28/2027 | 37,862 | 39,156,880 | ||||||||
Sri Lanka 0.09% | ||||||||||||
Republic of Sri Lanka†(b) | 5.875% | 7/25/2022 | 26,259 | 20,678,963 | ||||||||
Turkey 0.13% | ||||||||||||
Turkey Government International Bond(b) | 4.75% | 1/26/2026 | 31,500 | 29,409,818 | ||||||||
United Arab Emirates 0.23% | ||||||||||||
Abu Dhabi Government International†(b) | 3.125% | 5/3/2026 | 47,836 | 51,989,791 | ||||||||
Total Foreign Government Obligations (cost $499,862,195) | 520,306,092 | |||||||||||
HIGH YIELD CORPORATE BONDS 68.13% | ||||||||||||
Advertising 0.39% | ||||||||||||
Arches Buyer, Inc.† | 4.25% | 6/1/2028 | 23,790 | 23,791,784 | ||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.75% | 4/15/2028 | 15,940 | 15,794,548 | ||||||||
Clear Channel Worldwide Holdings, Inc.† | 5.125% | 8/15/2027 | 18,997 | 19,129,979 | ||||||||
Clear Channel Worldwide Holdings, Inc. | 9.25% | 2/15/2024 | 4,791 | 4,993,060 | ||||||||
Match Group Holdings II LLC† | 5.00% | 12/15/2027 | 22,260 | 23,396,596 | ||||||||
Total | 87,105,967 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Aerospace/Defense 1.28% | ||||||||||||
Carrier Global Corp. | 2.70% | 2/15/2031 | $ | 25,447 | $ | 25,483,217 | ||||||
Leidos, Inc.† | 3.625% | 5/15/2025 | 18,230 | 19,802,301 | ||||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 31,099 | 35,044,110 | ||||||||
Signature Aviation US Holdings, Inc.† | 4.00% | 3/1/2028 | 36,875 | 37,561,244 | ||||||||
Signature Aviation US Holdings, Inc.† | 5.375% | 5/1/2026 | 12,859 | 13,148,328 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 93,082 | 96,491,594 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 36,017 | 38,230,425 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 19,375 | 20,065,234 | ||||||||
Total | 285,826,453 | |||||||||||
Agency 0.26% | ||||||||||||
TC Ziraat Bankasi AS (Turkey)†(b) | 5.375% | 3/2/2026 | 31,802 | 29,574,683 | ||||||||
Temasek Financial I Ltd. (Singapore)†(b) | 2.50% | 10/6/2070 | 32,855 | 28,799,672 | ||||||||
Total | 58,374,355 | |||||||||||
Air Transportation 1.65% | ||||||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust† | 4.80% | 8/15/2027 | 24,483 | 26,871,347 | ||||||||
American Airlines Group, Inc.† | 5.00% | 6/1/2022 | 34,394 | 33,835,097 | ||||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 31,026 | 33,039,587 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 45,566 | 40,238,195 | ||||||||
British Airways 2020-1 Class A Pass Through Trust (United Kingdom)†(b) | 4.25% | 11/15/2032 | 10,067 | 10,585,294 | ||||||||
Delta Air Lines 2019-1 Class AA Pass Through Trust | 3.204% | 4/25/2024 | 22,520 | 23,367,419 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 44,594 | 51,407,362 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.50% | 10/20/2025 | 21,947 | 23,440,061 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 29,268 | 31,851,568 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 21,092 | 22,438,960 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 5/15/2028 | 12,974 | 12,732,105 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 36,232 | 39,764,620 | ||||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 10/15/2027 | 19,015 | 21,123,267 | ||||||||
Total | 370,694,882 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Loans 0.46% | ||||||||||||
Ford Motor Co. | 4.75% | 1/15/2043 | $ | 41,843 | $ | 42,204,942 | ||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 15,567 | 15,461,767 | ||||||||
General Motors Financial Co., Inc. | 5.25% | 3/1/2026 | 24,966 | 28,618,500 | ||||||||
Mclaren Finance plc(e) | 5.00% | 8/1/2022 | GBP | 12,283 | 16,581,273 | |||||||
Total | 102,866,482 | |||||||||||
Auto Parts & Equipment 0.73% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | $ | 19,500 | 20,179,185 | |||||||
Adient US LLC† | 7.00% | 5/15/2026 | 270 | 287,991 | ||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 44,553 | 43,244,256 | ||||||||
Antofagasta plc (Chile)†(b) | 2.375% | 10/14/2030 | 19,294 | 18,899,341 | ||||||||
Clarios Global LP/Clarios US Finance Co.† | 8.50% | 5/15/2027 | 25,080 | 27,033,732 | ||||||||
Lear Corp. | 3.80% | 9/15/2027 | 19,516 | 21,266,557 | ||||||||
Lear Corp. | 4.25% | 5/15/2029 | 17,051 | 18,922,430 | ||||||||
Magna International, Inc. (Canada)(b) | 2.45% | 6/15/2030 | 13,525 | 13,624,619 | ||||||||
Total | 163,458,111 | |||||||||||
Automakers 1.70% | ||||||||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 32,668 | 37,273,833 | ||||||||
Ford Motor Co. | 5.291% | 12/8/2046 | 7,709 | 8,118,695 | ||||||||
Ford Motor Co. | 6.625% | 10/1/2028 | 6,986 | 8,034,878 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 3,889 | 4,910,660 | ||||||||
Ford Motor Co. | 9.00% | 4/22/2025 | 77,761 | 94,277,436 | ||||||||
Ford Motor Co. | 9.625% | 4/22/2030 | 22,491 | 31,423,188 | ||||||||
General Motors Co. | 6.125% | 10/1/2025 | 22,600 | 26,601,671 | ||||||||
Mclaren Finance plc. (United Kingdom)†(b) | 5.75% | 8/1/2022 | 7,682 | 7,547,565 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 111,041 | 115,354,943 | ||||||||
Volkswagen Group of America Finance LLC† | 3.35% | 5/13/2025 | 25,463 | 27,361,000 | ||||||||
Volkswagen Group of America Finance LLC† | 3.75% | 5/13/2030 | 17,706 | 19,243,142 | ||||||||
Total | 380,147,011 | |||||||||||
Banking 4.35% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 4.75% | 7/28/2025 | 31,461 | 35,270,833 | ||||||||
AIB Group plc (Ireland)†(b) | 4.263% (3 Mo. LIBOR + 1.87%) | # | 4/10/2025 | 16,837 | 18,315,902 | |||||||
AIB Group plc (Ireland)†(b) | 4.75% | 10/12/2023 | 11,394 | 12,463,156 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 27,043 | 37,705,831 | ||||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(b) | 6.75% (USD Swap + 5.17%) | # | – | (l) | 19,074 | 22,266,701 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banking (continued) | ||||||||||||
Banco Latinoamericano de Comercio Exterior SA (Panama)†(b) | 2.375% | 9/14/2025 | $ | 21,476 | $ | 21,967,586 | ||||||
Bangkok Bank pcl (Hong Kong)†(b) | 5.00% (5 Yr Treasury CMT + 4.73%) | # | – | (l) | 34,604 | 36,496,147 | ||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 19,634 | 22,083,705 | ||||||||
Bank of Ireland Group plc (Ireland)†(b) | 4.50% | 11/25/2023 | 31,384 | 34,202,616 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,313 | 27,404,394 | ||||||||
BBVA USA | 3.875% | 4/10/2025 | 26,897 | 29,403,696 | ||||||||
CIT Bank NA | 2.969% (SOFR + 1.72%) | # | 9/27/2025 | 16,827 | 17,720,934 | |||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 49,745 | 59,746,730 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 13,296 | 15,018,505 | ||||||||
Credit Suisse Group AG (Switzerland)†(b) | 5.10% (5 Yr Treasury CMT + 3.29%) | # | – | (l) | 28,486 | 27,531,719 | ||||||
Fifth Third Bancorp | 8.25% | 3/1/2038 | 8,042 | 12,996,857 | ||||||||
Global Bank Corp. (Panama)†(b) | 5.25% (3 Mo. LIBOR + 3.30%) | # | 4/16/2029 | 33,093 | 34,490,683 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 11/16/2026 | 13,667 | 14,822,526 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 18,995 | 21,215,506 | ||||||||
Home BancShares, Inc. | 5.625% (3 Mo. LIBOR + 3.58%) | # | 4/15/2027 | 19,481 | 20,018,992 | |||||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88%) | # | – | (l) | 15,381 | 15,650,168 | ||||||
ING Groep NV (Netherlands)(b) | 5.75% (5 Yr Treasury CMT + 4.34%) | # | – | (l) | 43,461 | 47,441,376 | ||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38%) | # | 5/1/2028 | 11,994 | 13,068,012 | |||||||
JPMorgan Chase & Co. | 3.90% | 7/15/2025 | 17,386 | 19,203,033 | ||||||||
JPMorgan Chase & Co. | 6.10% (3 Mo. LIBOR + 3.33%) | # | – | (l) | 12,752 | 13,757,433 | ||||||
Kookmin Bank (South Korea)†(b) | 1.75% | 5/4/2025 | 22,600 | 22,940,231 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(b) | 6.125% (5 Yr. Swap rate + 3.70%) | # | – | (l) | 32,254 | 34,726,753 | ||||||
Morgan Stanley | 3.125% | 7/27/2026 | 18,976 | 20,433,526 | ||||||||
Morgan Stanley | 3.625% | 1/20/2027 | 12,804 | 14,060,286 | ||||||||
OneMain Finance Corp. | 4.00% | 9/15/2030 | 43,238 | 42,103,002 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,922 | 17,253,796 | ||||||||
SVB Financial Group | 3.125% | 6/5/2030 | 19,534 | 20,329,775 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banking (continued) | ||||||||||||
SVB Financial Group | 4.10% (10 Yr Treasury CMT + 3.06%) | # | – | (l) | $ | 21,628 | $ | 21,695,587 | ||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(b) | 6.50% | 1/8/2026 | 80,324 | 77,320,525 | ||||||||
UniCredit SpA (Italy)†(b) | 5.861% (USD Swap + 3.70%) | # | 6/19/2032 | 27,137 | 30,082,507 | |||||||
US Bancorp | 3.00% | 7/30/2029 | 13,452 | 14,106,218 | ||||||||
Washington Mutual Bank(m) | 6.875% | 6/15/2011 | 22,500 | 2,250 | (f) | |||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 27,684 | 29,641,488 | ||||||||
Total | 974,958,985 | |||||||||||
Beverages 0.76% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 20,151 | 20,950,339 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,381 | 37,076,642 | ||||||||
Becle SAB de CV (Mexico)†(b) | 3.75% | 5/13/2025 | 15,764 | 17,123,645 | ||||||||
Brown-Forman Corp. | 3.50% | 4/15/2025 | 8,956 | 9,703,891 | ||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 18,174 | 22,105,446 | ||||||||
PepsiCo, Inc. | 3.60% | 3/1/2024 | 14,292 | 15,524,212 | ||||||||
Suntory Holdings Ltd. (Japan)†(b) | 2.25% | 10/16/2024 | 44,835 | 46,765,275 | ||||||||
Total | 169,249,450 | |||||||||||
Brokerage 0.12% | ||||||||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr Treasury CMT + 4.97%) | # | – | (l) | 23,820 | 26,372,789 | ||||||
Building & Construction 0.77% | ||||||||||||
Beazer Homes USA, Inc. | 7.25% | 10/15/2029 | 15,808 | 17,270,240 | ||||||||
Century Communities, Inc. | 6.75% | 6/1/2027 | 12,974 | 13,828,273 | ||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 10,508 | 11,063,888 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658 | 8,629,002 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 8,420 | 9,393,562 | ||||||||
Lennar Corp. | 4.75% | 11/29/2027 | 7,613 | 8,750,154 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 51,660 | 53,061,088 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 27,646 | 35,193,911 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 12,916 | 14,581,389 | ||||||||
Total | 171,771,507 | |||||||||||
Building Materials 0.75% | ||||||||||||
Allegion plc (Ireland)(b) | 3.50% | 10/1/2029 | 11,813 | 12,422,279 | ||||||||
Ferguson Finance plc (United Kingdom)†(b) | 3.25% | 6/2/2030 | 30,527 | 32,197,922 | ||||||||
Lennox International, Inc. | 1.35% | 8/1/2025 | 14,477 | 14,414,683 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Lennox International, Inc. | 1.70% | 8/1/2027 | $ | 18,081 | $ | 17,802,310 | ||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 15,053 | 16,000,436 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 26,681 | 28,968,865 | ||||||||
Owens Corning, Inc. | 4.40% | 1/30/2048 | 15,778 | 17,252,554 | ||||||||
Vertical Holdco GmbH†(e) | 6.625% | 7/15/2028 | EUR | 10,503 | 13,211,011 | |||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | $ | 14,595 | 16,569,032 | |||||||
Total | 168,839,092 | |||||||||||
Cable & Satellite Television 1.57% | ||||||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 26,197 | 25,963,192 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 58,655 | 62,095,116 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 42,690 | 44,098,770 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 27,834 | 29,263,276 | ||||||||
CSC Holdings LLC† | 5.75% | 1/15/2030 | 23,298 | 24,567,741 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 13,352 | 14,778,995 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 59,161 | 65,372,905 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(b) | 6.75% | 10/15/2027 | 15,074 | 16,089,987 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 4.50% | 9/15/2026 | 10,439 | 10,582,536 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.50% | 9/15/2028 | 22,978 | 24,306,703 | ||||||||
Ziggo BV (Netherlands)†(b) | 5.50% | 1/15/2027 | 33,508 | 34,952,027 | ||||||||
Total | 352,071,248 | |||||||||||
Chemicals 0.67% | ||||||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,920 | 26,950,773 | ||||||||
Chemours Co. (The)† | 5.75% | 11/15/2028 | 21,661 | 22,847,806 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 13,468 | 14,229,058 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 20,483 | 19,906,916 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 16,648 | 17,286,034 | ||||||||
Tronox, Inc.† | 4.625% | 3/15/2029 | 19,738 | 19,787,345 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(b) | 6.25% | 1/19/2023 | 27,120 | 28,046,192 | ||||||||
Total | 149,054,124 | |||||||||||
Consumer/Commercial/Lease Financing 0.96% | ||||||||||||
Aviation Capital Group LLC† | 1.95% | 1/30/2026 | 9,969 | 9,719,476 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 9,401 | 9,855,535 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 5.125% | 12/15/2030 | 15,239 | 15,048,513 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 31,847 | 33,817,215 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 33,898 | 36,847,126 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 9,624 | 10,450,461 | ||||||||
OneMain Finance Corp. | 5.375% | 11/15/2029 | 6,321 | 6,739,766 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer/Commercial/Lease Financing (continued) | ||||||||||||
OneMain Finance Corp. | 7.125% | 3/15/2026 | $ | 27,085 | $ | 31,272,476 | ||||||
Quicken Loans LLC† | 5.25% | 1/15/2028 | 15,000 | 15,778,125 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 23,679 | 22,835,436 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.† | 3.875% | 3/1/2031 | 15,128 | 14,598,520 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 9,025 | 8,868,339 | ||||||||
Total | 215,830,988 | |||||||||||
Department Stores 0.40% | ||||||||||||
Kohl’s Corp. | 5.55% | 7/17/2045 | 31,872 | 36,208,488 | ||||||||
Macy’s Retail Holdings LLC | 4.50% | 12/15/2034 | 15,385 | 13,684,958 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 16,290 | 16,735,206 | ||||||||
Nordstrom, Inc.†(n) | 4.25% | 8/1/2031 | 22,659 | 22,688,188 | ||||||||
Total | 89,316,840 | |||||||||||
Discount Stores 0.89% | ||||||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 28,837 | 31,579,203 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632 | 24,732,533 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 28,691 | 36,097,535 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 53,869 | 63,427,718 | ||||||||
Costco Wholesale Corp. | 1.75% | 4/20/2032 | 22,489 | 21,408,422 | ||||||||
Dollar General Corp. | 3.50% | 4/3/2030 | 19,674 | 21,243,292 | ||||||||
Total | 198,488,703 | |||||||||||
Diversified Capital Goods 0.62% | ||||||||||||
Dover Corp. | 2.95% | 11/4/2029 | 17,664 | 18,619,069 | ||||||||
General Electric Co. | 3.514% (3 Mo. LIBOR + 3.33% | )# | – | (l) | 19,737 | 18,676,136 | ||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 16,692 | 16,723,298 | ||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 31,431 | 35,146,192 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(b) | 3.25% | 5/27/2025 | 13,036 | 14,126,583 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 14,947 | 15,610,273 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 17,989 | 19,406,713 | ||||||||
Total | 138,308,264 | |||||||||||
Electric: Distribution/Transportation 0.31% | ||||||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 13,493 | 15,084,827 | ||||||||
Empresa de Transmision Electrica SA (Panama)†(b) | 5.125% | 5/2/2049 | 14,430 | 15,883,823 | ||||||||
Empresas Publicas de Medellin ESP (Colombia)†(b) | 4.25% | 7/18/2029 | 22,988 | 23,317,648 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 13,657 | 14,475,690 | ||||||||
Total | 68,761,988 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Generation 2.12% | ||||||||||||
Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash (India)†(b) | 4.625% | 10/15/2039 | $ | 15,973 | $ | 16,507,064 | ||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 22,848 | 21,810,701 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 39,661 | 38,700,807 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 21,862 | 21,370,105 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 19,268 | 19,384,861 | ||||||||
Calpine Corp.† | 5.25% | 6/1/2026 | 7,007 | 7,215,458 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 8,966 | 9,336,565 | ||||||||
DPL, Inc. | 4.35% | 4/15/2029 | 17,956 | 19,309,882 | ||||||||
Greenko Solar Mauritius Ltd. (Mauritius)†(b) | 5.95% | 7/29/2026 | 11,663 | 12,499,820 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,654 | 49,015,859 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 19,300 | 20,916,375 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 27,446 | 29,421,956 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 8,068 | 8,808,023 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 10,740 | 11,516,663 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 52,435 | 55,810,503 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 15,544 | 16,592,797 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 10,681 | 10,874,593 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 23,615 | 24,571,880 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 7,569 | 8,181,521 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 63,601 | 72,938,188 | ||||||||
Total | 474,783,621 | |||||||||||
Electric: Integrated 2.06% | ||||||||||||
AES Corp. (The)† | 2.45% | 1/15/2031 | 18,063 | 17,284,564 | ||||||||
Arizona Public Service Co. | 2.95% | 9/15/2027 | 13,385 | 14,402,132 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(b) | 4.35% | 8/1/2028 | 13,786 | 15,232,121 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 13,491 | 15,064,529 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 20,062 | 22,659,651 | ||||||||
Electricite de France SA (France)†(b) | 3.625% | 10/13/2025 | 13,500 | 14,681,873 | ||||||||
Electricite de France SA (France)†(b) | 4.50% | 9/21/2028 | 14,507 | 16,547,945 | ||||||||
Enel Finance International NV (Netherlands)†(b) | 2.65% | 9/10/2024 | 28,508 | 30,011,471 | ||||||||
Enel Finance International NV (Netherlands)†(b) | 3.50% | 4/6/2028 | 45,048 | 48,239,410 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,151 | 20,242,611 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 16,883 | 18,611,446 | ||||||||
FirstEnergy Corp. | 4.40% | 7/15/2027 | 50,740 | 54,603,026 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Integrated (continued) | ||||||||||||
Florida Power & Light Co. | 2.85% | 4/1/2025 | $ | 15,868 | $ | 16,951,997 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 12,008 | 12,683,450 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 24,503 | 26,473,574 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039 | 16,949,949 | ||||||||
Ohio Power Co. | 4.00% | 6/1/2049 | 13,988 | 15,660,263 | ||||||||
PG&E Corp. | 5.00% | 7/1/2028 | 39,137 | 41,399,119 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,265 | 28,517,445 | ||||||||
Union Electric Co. | 2.625% | 3/15/2051 | 17,622 | 15,634,133 | ||||||||
Total | 461,850,709 | |||||||||||
Electronics 1.36% | ||||||||||||
Amphenol Corp. | 2.05% | 3/1/2025 | 13,443 | 13,882,177 | ||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | 31,417 | 32,247,521 | ||||||||
Flex Ltd. | 4.875% | 5/12/2030 | 21,657 | 24,566,097 | ||||||||
FLIR Systems, Inc. | 2.50% | 8/1/2030 | 18,054 | 17,697,310 | ||||||||
KLA Corp. | 4.10% | 3/15/2029 | 29,229 | 32,893,257 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 17,958 | 23,177,821 | ||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | 25,257 | 29,753,312 | ||||||||
NVIDIA Corp. | 3.20% | 9/16/2026 | 29,939 | 32,698,269 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(b) | 3.40% | 5/1/2030 | 16,808 | 17,775,561 | ||||||||
SK Hynix, Inc. (South Korea)†(b) | 2.375% | 1/19/2031 | 23,537 | 22,304,552 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 31,261 | 35,013,471 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 22,061 | 23,429,962 | ||||||||
Total | 305,439,310 | |||||||||||
Energy: Exploration & Production 6.32% | ||||||||||||
Apache Corp. | 4.25% | 1/15/2030 | 56,277 | 54,922,131 | ||||||||
Apache Corp. | 4.375% | 10/15/2028 | 25,022 | 24,984,467 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 6,798 | 6,315,342 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 17,064 | 16,712,055 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 22,598 | 23,026,458 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 28,273 | 24,933,252 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 59,083 | 52,694,651 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 21,722 | 22,305,779 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 39,755 | 41,852,076 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 48,840 | 55,255,622 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 41,408 | 43,006,489 |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Diamondback Energy, Inc. | 4.40% | 3/24/2051 | $ | 55,492 | $ | 56,944,204 | ||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 7,831 | 8,759,165 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 15,868 | 16,507,480 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 18,862 | 19,952,601 | ||||||||
EQT Corp. | 7.625% | 2/1/2025 | 28,591 | 32,944,837 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 2/1/2029 | 6,955 | 7,028,897 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 20,513 | 20,859,157 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 21,789 | 22,483,524 | ||||||||
Indigo Natural Resources LLC† | 5.375% | 2/1/2029 | 15,763 | 15,559,421 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 59,451 | 57,103,280 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 13,543 | 13,204,425 | ||||||||
MEG Energy Corp. (Canada)†(b) | 5.875% | 2/1/2029 | 31,876 | 32,035,380 | ||||||||
MEG Energy Corp. (Canada)†(b) | 7.125% | 2/1/2027 | 73,996 | 77,649,552 | ||||||||
Murphy Oil Corp. | 5.75% | 8/15/2025 | 14,826 | 14,861,657 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 20,084 | 19,701,199 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 28,679 | 28,753,565 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 20,449 | 20,934,664 | ||||||||
Occidental Petroleum Corp. | 3.50% | 8/15/2029 | 37,333 | 35,076,220 | ||||||||
Occidental Petroleum Corp. | 4.40% | 8/15/2049 | 18,212 | 15,264,297 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 75,946 | 84,001,972 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 15,011 | 16,891,878 | ||||||||
Occidental Petroleum Corp. | 7.50% | 5/1/2031 | 8,440 | 9,875,644 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 15,000 | 18,937,500 | ||||||||
OGX Austria GmbH (Brazil)†(b)(m) | 8.50% | 6/1/2018 | 20,000 | 400 | ||||||||
Ovintiv, Inc. | 6.50% | 8/15/2034 | 10,345 | 12,541,927 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 25,340 | 30,664,151 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.625% | 10/15/2027 | 11,076 | 12,031,305 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 42,334 | 43,963,859 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 21,064 | 20,884,956 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 16,995 | 17,303,034 | ||||||||
Seven Generations Energy Ltd. (Canada)†(b) | 5.375% | 9/30/2025 | 21,700 | 22,537,078 | ||||||||
SM Energy Co. | 5.625% | 6/1/2025 | 10,000 | 9,270,850 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 14,337 | 14,199,293 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 39,595 | 36,699,616 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 40,063 | 37,093,330 | ||||||||
Southwestern Energy Co. | 6.45% | 1/23/2025 | 39,845 | 42,845,328 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 16,397 | 17,555,038 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 26,583 | 29,224,686 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(b) | 3.25% | 8/15/2030 | $ | 18,803 | $ | 18,786,529 | ||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 11,023 | 16,821,083 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 20,779 | 21,649,121 | ||||||||
Total | 1,415,410,425 | |||||||||||
Environmental 0.08% | ||||||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 18,300 | 18,787,787 | ||||||||
Food & Drug Retailers 0.33% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 10,224 | 10,607,400 | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | 17,549 | 18,057,921 | ||||||||
Rite Aid Corp. | 7.70% | 2/15/2027 | 22,549 | 22,126,206 | ||||||||
Rite Aid Corp.† | 8.00% | 11/15/2026 | 22,572 | 23,728,815 | ||||||||
Total | 74,520,342 | |||||||||||
Food: Wholesale 2.18% | ||||||||||||
Arcor SAIC (Argentina)†(b) | 6.00% | 7/6/2023 | 24,968 | 23,819,472 | ||||||||
Campbell Soup Co. | 3.125% | 4/24/2050 | 42,475 | 39,691,656 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 25,074 | 26,147,794 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(b) | 5.625% | 8/15/2026 | 18,758 | 19,391,082 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 50,781 | 55,732,147 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 72,003 | 75,441,971 | ||||||||
Kraft Heinz Foods Co. | 4.875% | 10/1/2049 | 35,444 | 39,849,623 | ||||||||
Kraft Heinz Foods Co. | 5.00% | 6/4/2042 | 21,733 | 24,491,409 | ||||||||
Kraft Heinz Foods Co. | 5.20% | 7/15/2045 | 20,277 | 23,501,989 | ||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | 9,200 | 9,570,024 | ||||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 15,431 | 15,457,593 | ||||||||
McCormick & Co., Inc. | 4.20% | 8/15/2047 | 21,326 | 23,757,451 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 25,668 | 26,283,005 | ||||||||
PetSmart, Inc./Petsmart Finance Corp.† | 7.75% | 2/15/2029 | 18,054 | 19,565,120 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 28,272 | 32,469,437 | ||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 17,926 | 17,834,687 | ||||||||
Sysco Corp. | 6.60% | 4/1/2050 | 10,289 | 14,895,343 | ||||||||
Total | 487,899,803 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Forestry/Paper 0.31% | ||||||||||||
Klabin Austria GmbH (Austria)†(b) | 3.20% | 1/12/2031 | $ | 21,470 | $ | 20,446,847 | ||||||
Norbord, Inc. (Canada)†(b) | 6.25% | 4/15/2023 | 12,245 | 13,315,152 | ||||||||
Suzano Austria GmbH (Brazil)(b) | 3.75% | 1/15/2031 | 18,821 | 19,396,640 | ||||||||
Weyerhaeuser Co. | 7.375% | 3/15/2032 | 11,362 | 15,976,386 | ||||||||
Total | 69,135,025 | |||||||||||
Gaming 2.34% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 25,833 | 26,378,206 | ||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 16,548 | 17,270,747 | ||||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | 52,840 | 58,338,002 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.25% | 10/15/2025 | 28,398 | 28,539,990 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 9,657 | 10,203,103 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 14,869 | 15,412,462 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 36,639 | 38,379,902 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,903 | 20,606,571 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 18,808 | 21,750,982 | ||||||||
Melco Resorts Finance Ltd. (Hong Kong)†(b) | 5.75% | 7/21/2028 | 20,034 | 21,373,774 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.† | 4.625% | 6/15/2025 | 13,662 | 14,422,973 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 21,238 | 22,206,984 | ||||||||
Mohegan Gaming & Entertainment† | 8.00% | 2/1/2026 | 57,507 | 58,010,186 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 25,676 | 26,635,769 | ||||||||
Scientific Games International, Inc.† | 7.00% | 5/15/2028 | 16,124 | 17,257,517 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 16,014 | 17,402,254 | ||||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(b) | 7.00% | 7/15/2026 | 15,242 | 15,956,469 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 22,516 | 23,605,324 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 19,863 | 21,010,088 | ||||||||
Wynn Macau Ltd. (Macau)†(b) | 5.125% | 12/15/2029 | 20,404 | 20,950,317 | ||||||||
Wynn Macau Ltd. (Macau)†(b) | 5.625% | 8/26/2028 | 27,859 | 29,173,248 | ||||||||
Total | 524,884,868 | |||||||||||
Gas Distribution 1.35% | ||||||||||||
AI Candelaria Spain SLU (Spain)†(b) | 7.50% | 12/15/2028 | 18,965 | 21,431,683 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 49,548 | 39,851,209 | |||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 11,253 | 11,920,049 | ||||||||
Eastern Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 12,050 | 13,104,950 |
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gas Distribution (continued) | ||||||||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | $ | 18,069 | $ | 19,932,055 | ||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 32,573 | 36,430,639 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 20,972 | 23,820,915 | ||||||||
ONE Gas, Inc. | 4.50% | 11/1/2048 | 13,497 | 15,165,759 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166 | 22,419,545 | ||||||||
Sabine Pass Liquefaction LLC | 4.50% | 5/15/2030 | 23,213 | 26,096,434 | ||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(b) | 5.55% | 11/1/2028 | 24,773 | 28,178,544 | ||||||||
Western Midstream Operating LP | 5.30% | 2/1/2030 | 40,452 | 43,980,021 | ||||||||
Total | 302,331,803 | |||||||||||
Health Facilities 2.51% | ||||||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 15,527 | 16,882,662 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 8,881 | 10,214,669 | ||||||||
Dignity Health | 3.812% | 11/1/2024 | 7,500 | 8,098,083 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 78,221 | 97,509,739 | ||||||||
HCA, Inc. | 7.05% | 12/1/2027 | 3,490 | 4,202,187 | ||||||||
HCA, Inc. | 7.58% | 9/15/2025 | 5,778 | 6,904,710 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776 | 15,448,675 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 2,295 | 2,690,888 | ||||||||
Legacy LifePoint Health LLC† | 4.375% | 2/15/2027 | 35,115 | 34,500,487 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034 | 33,400,046 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 21,163 | 21,987,056 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 16,011 | 16,872,072 | ||||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078 | 18,684,440 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12,348 | 14,289,168 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 14,960 | 15,242,719 | ||||||||
Quest Diagnostics, Inc. | 2.80% | 6/30/2031 | 13,505 | 13,744,703 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(b) | 4.95% | 1/17/2028 | 20,352 | 20,857,340 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./ LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 20,282 | 21,993,294 | ||||||||
Seattle Children’s Hospital | 2.719% | 10/1/2050 | 18,062 | 16,582,746 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 15,305 | 16,902,459 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 11,230 | 11,690,430 | ||||||||
Tenet Healthcare Corp. | 5.125% | 5/1/2025 | 20,960 | 21,280,688 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 10/1/2028 | 36,407 | 38,045,315 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 42,711 | 45,156,632 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 19,692 | 21,363,851 | ||||||||
Universal Health Services, Inc.† | 2.65% | 10/15/2030 | 18,799 | 18,185,965 | ||||||||
Total | 562,731,024 |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Services 0.38% | ||||||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | $ | 15,780 | $ | 17,342,543 | ||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 29,836 | 31,061,066 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 18,042 | 20,596,440 | ||||||||
RP Escrow Issuer LLC† | 5.25% | 12/15/2025 | 16,541 | 17,161,288 | ||||||||
Total | 86,161,337 | |||||||||||
Hotels 0.92% | ||||||||||||
ESH Hospitality, Inc.† | 4.625% | 10/1/2027 | 19,131 | 20,257,625 | ||||||||
Genting New York LLC / GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 22,980 | 22,991,507 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 36,017 | 38,274,366 | ||||||||
Host Hotels & Resorts LP | 3.50% | 9/15/2030 | 29,720 | 29,895,933 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 27,083 | 28,143,162 | ||||||||
Marriott International, Inc. | 5.75% | 5/1/2025 | 14,908 | 17,116,105 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 18,793 | 19,960,515 | ||||||||
Travel + Leisure Co. | 6.00% | 4/1/2027 | 27,077 | 30,072,393 | ||||||||
Total | 206,711,606 | |||||||||||
Insurance Brokerage 0.24% | ||||||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 22,560 | 21,737,219 | ||||||||
Farmers Insurance Exchange† | 4.747% (3 Mo. LIBOR + 3.23% | )# | 11/1/2057 | 15,790 | 16,464,824 | |||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 15,861 | 16,486,161 | ||||||||
Total | 54,688,204 | |||||||||||
Integrated Energy 1.13% | ||||||||||||
Cenovus Energy, Inc. (Canada)(b) | 5.375% | 7/15/2025 | 16,983 | 19,099,717 | ||||||||
Cenovus Energy, Inc. (Canada)(b) | 5.40% | 6/15/2047 | 50,417 | 56,252,450 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 23,752 | 25,646,260 | ||||||||
Lukoil Securities BV (Netherlands)†(b) | 3.875% | 5/6/2030 | 45,000 | 46,464,750 | ||||||||
Occidental Petroleum Corp. | 4.10% | 2/15/2047 | 13,190 | 10,593,483 | ||||||||
Petrobras Global Finance BV (Netherlands)(b) | 5.60% | 1/3/2031 | 19,792 | 20,894,019 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(b) | 4.375% | 4/16/2049 | 30,522 | 33,162,867 | ||||||||
Shell International Finance BV (Netherlands)(b) | 6.375% | 12/15/2038 | 28,912 | 41,503,991 | ||||||||
Total | 253,617,537 | |||||||||||
Investments & Miscellaneous Financial Services 0.40% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 17,428 | 18,277,615 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 34,976 | 33,478,653 |
See Notes to Schedule of Investments. | 29 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Investments & Miscellaneous Financial Services (continued) | ||||||||||||
MSCI, Inc.† | 4.00% | 11/15/2029 | $ | 10,002 | $ | 10,303,561 | ||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 26,061 | 26,908,116 | ||||||||
Total | 88,967,945 | |||||||||||
Life Insurance 0.46% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(b) | 3.20% | 9/16/2040 | 18,831 | 18,619,327 | ||||||||
AIA Group Ltd. (Hong Kong)†(b) | 3.375% | 4/7/2030 | 17,824 | 19,058,715 | ||||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610 | 30,589,569 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | 17,804 | 20,076,750 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705 | 15,582,802 | ||||||||
Total | 103,927,163 | |||||||||||
Machinery 0.54% | ||||||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 16,199 | 16,702,019 | ||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 14,399 | 14,778,774 | ||||||||
Mueller Water Products, Inc.† | 5.50% | 6/15/2026 | 18,105 | 18,775,066 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 42,668 | 39,656,679 | ||||||||
Roper Technologies, Inc. | 4.20% | 9/15/2028 | 19,379 | 21,854,278 | ||||||||
Xylem, Inc. | 3.25% | 11/1/2026 | 8,884 | 9,663,023 | ||||||||
Total | 121,429,839 | |||||||||||
Managed Care 0.91% | ||||||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 26,990 | 26,584,394 | ||||||||
Centene Corp. | 2.50% | 3/1/2031 | 6,135 | 5,866,716 | ||||||||
Centene Corp. | 3.00% | 10/15/2030 | 8,030 | 8,026,708 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 45,763 | 46,263,418 | ||||||||
Centene Corp. | 4.25% | 12/15/2027 | 20,773 | 21,876,593 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 31,215 | 33,824,574 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 20,972 | 21,956,635 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628 | 20,869,655 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 18,940 | 19,531,875 | ||||||||
Total | 204,800,568 | |||||||||||
Media: Content 1.79% | ||||||||||||
Activision Blizzard, Inc. | 2.50% | 9/15/2050 | 27,086 | 22,775,047 | ||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 27,032 | 27,770,785 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 31,006 | 22,363,078 |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media: Content (continued) | ||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 6.625% | 8/15/2027 | $ | 38,236 | $ | 19,930,515 | ||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 9,833 | 10,207,883 | ||||||||
Netflix, Inc.† | 3.625% | 6/15/2025 | 6,617 | 7,064,971 | ||||||||
Netflix, Inc.(e) | 3.625% | 5/15/2027 | EUR | 50,197 | 67,506,907 | |||||||
Netflix, Inc.(e) | 3.625% | 6/15/2030 | EUR | 5,000 | 6,876,390 | |||||||
Netflix, Inc.†(e) | 3.625% | 6/15/2030 | EUR | 13,504 | 18,571,755 | |||||||
Netflix, Inc.†(e) | 3.875% | 11/15/2029 | EUR | 9,011 | 12,619,308 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 41,959 | 47,534,512 | |||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 6,484 | 7,474,690 | ||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 19,637 | 23,246,281 | ||||||||
Nexstar Broadcasting, Inc.† | 5.625% | 7/15/2027 | 23,661 | 24,836,597 | ||||||||
Playtika Holding Corp. (Israel)†(b) | 4.25% | 3/15/2029 | 15,508 | 15,307,559 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 11,533 | 12,115,590 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 10,495 | 10,862,325 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 43,820 | 44,449,912 | ||||||||
Total | 401,514,105 | |||||||||||
Media: Diversified 0.34% | ||||||||||||
Cable Onda SA (Panama)†(b) | 4.50% | 1/30/2030 | 24,283 | 25,853,746 | ||||||||
Prosus NV (Netherlands)†(b) | 3.68% | 1/21/2030 | 28,534 | 29,494,066 | ||||||||
Urban One, Inc.† | 7.375% | 2/1/2028 | 20,065 | 20,798,977 | ||||||||
Total | 76,146,789 | |||||||||||
Medical Products 0.31% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,575 | 23,668,105 | ||||||||
Boston Scientific Corp. | 7.00% | 11/15/2035 | 16,135 | 22,657,798 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 20,927 | 23,624,957 | ||||||||
Total | 69,950,860 | |||||||||||
Metals/Mining (Excluding Steel) 1.96% | ||||||||||||
Alcoa Nederland Holding BV (Netherland)†(b) | 4.125% | 3/31/2029 | 15,661 | 15,814,321 | ||||||||
Anglo American Capital plc (United Kingdom)†(b) | 3.95% | 9/10/2050 | 18,109 | 18,486,265 | ||||||||
Anglo American Capital plc (United Kingdom)†(b) | 5.625% | 4/1/2030 | 17,340 | 20,741,057 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(b) | 8.75% | 7/15/2026 | 18,211 | 19,300,291 | ||||||||
Cleveland-Cliffs, Inc.† | 4.625% | 3/1/2029 | 17,676 | 17,668,046 | ||||||||
Cleveland-Cliffs, Inc.† | 4.875% | 3/1/2031 | 21,091 | 21,064,636 | ||||||||
Cleveland-Cliffs, Inc.† | 6.75% | 3/15/2026 | 18,220 | 19,837,025 | ||||||||
Cleveland-Cliffs, Inc.† | 9.875% | 10/17/2025 | 8,655 | 10,150,584 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Mining (Excluding Steel) (continued) | ||||||||||||
Corp. Nacional del Cobre de Chile (Chile)†(b) | 3.75% | 1/15/2031 | $ | 16,720 | $ | 18,091,723 | ||||||
First Quantum Minerals Ltd. (Canada)†(b) | 6.875% | 10/15/2027 | 19,282 | 20,704,047 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(b) | 4.375% | 4/1/2031 | 40,324 | 41,105,479 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 19,839 | 20,891,955 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 31,315 | 33,379,911 | ||||||||
Freeport-McMoRan, Inc. | 4.375% | 8/1/2028 | 17,287 | 18,369,598 | ||||||||
Freeport-McMoRan, Inc. | 4.625% | 8/1/2030 | 20,241 | 22,062,690 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 11,700 | 12,813,957 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 17,694 | 18,998,933 | ||||||||
Mirabela Nickel Ltd. (Australia)(b) | 1.00% | 9/10/2044 | 185 | 19 | (f) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,484 | 30,695,732 | ||||||||
Novelis Corp.† | 4.75% | 1/30/2030 | 27,118 | 28,001,369 | ||||||||
Teck Resources Ltd. (Canada)(b) | 3.90% | 7/15/2030 | 10,828 | 11,324,826 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 19,893 | 20,405,842 | ||||||||
Total | 439,908,306 | |||||||||||
Monoline Insurance 0.14% | ||||||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 26,914 | 30,304,868 | ||||||||
Multi-Line Insurance 0.07% | ||||||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 14,558 | 15,507,248 | ||||||||
Non-Electric Utilities 0.06% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 11,916 | 12,841,785 | ||||||||
Oil Field Equipment & Services 0.83% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(b) | 4.60% | 11/2/2047 | 28,472 | 32,228,453 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(b) | 3.25% | 9/30/2040 | 45,094 | 43,189,507 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 21,768 | 21,049,765 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 30,959 | 29,675,594 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 9,071 | 8,515,935 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 20,008 | 19,915,834 | ||||||||
TechnipFMC plc (United Kingdom)†(b) | 6.50% | 2/1/2026 | 30,535 | 31,971,594 | ||||||||
Total | 186,546,682 | |||||||||||
Packaging 0.35% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 24,932 | 24,046,914 | ||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 11,810 | 14,258,331 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 12,427 | 15,330,631 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Packaging (continued) | ||||||||||||
Silgan Holdings, Inc.† | 1.40% | 4/1/2026 | $ | 9,933 | $ | 9,734,340 | ||||||
Trivium Packaging Finance BV (Netherlands)†(b) | 5.50% | 8/15/2026 | 13,996 | 14,704,547 | ||||||||
Total | 78,074,763 | |||||||||||
Personal & Household Products 1.08% | ||||||||||||
Clorox Co. (The) | 1.80% | 5/15/2030 | 17,116 | 16,317,990 | ||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | 44,903 | 48,378,045 | ||||||||
Hasbro, Inc. | 5.10% | 5/15/2044 | 24,241 | 27,058,175 | ||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 24,502 | 26,944,727 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 4,435 | 4,667,616 | ||||||||
Newell Brands, Inc. | 4.70% | 4/1/2026 | 76,643 | 84,676,719 | ||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | 15,478 | 19,037,940 | ||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 12,635 | 15,390,107 | ||||||||
Total | 242,471,319 | |||||||||||
Pharmaceuticals 0.60% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 26,942 | 28,681,263 | ||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 14,179 | 16,071,507 | ||||||||
AstraZeneca plc (United Kingdom)(b) | 2.125% | 8/6/2050 | 27,104 | 21,802,307 | ||||||||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc. ( Luxembourg)†(b) | 6.125% | 4/1/2029 | 18,577 | 18,762,770 | ||||||||
Pfizer, Inc. | 2.625% | 4/1/2030 | 13,461 | 13,983,936 | ||||||||
Regeneron Pharmaceuticals, Inc. | 2.80% | 9/15/2050 | 22,574 | 19,601,392 | ||||||||
Zoetis, Inc. | 3.90% | 8/20/2028 | 13,486 | 15,014,930 | ||||||||
Total | 133,918,105 | |||||||||||
Property & Casualty 0.23% | ||||||||||||
Allstate Corp. (The) | 3.28% | 12/15/2026 | 13,471 | 14,828,265 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 13,319 | 15,026,435 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19,241 | 22,392,601 | ||||||||
Total | 52,247,301 | |||||||||||
Rail 0.09% | ||||||||||||
Central Japan Railway Co. (Japan)†(b) | 4.25% | 11/24/2045 | 17,006 | 19,115,730 | ||||||||
Real Estate Development & Management 0.32% | ||||||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 17,267 | 16,909,274 | ||||||||
Hunt Cos., Inc.(n) | 5.25% | 4/15/2029 | 26,118 | 26,118,000 |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Development & Management (continued) | ||||||||||||
Kennedy-Wilson, Inc. | 4.75% | 3/1/2029 | $ | 14,358 | $ | 14,555,422 | ||||||
Kennedy-Wilson, Inc. | 5.00% | 3/1/2031 | 14,358 | 14,559,012 | ||||||||
Total | 72,141,708 | |||||||||||
Real Estate Investment Trusts 0.73% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 2.00% | 5/18/2032 | 17,993 | 16,731,475 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 14,750 | 16,413,292 | ||||||||
Alexandria Real Estate Equities, Inc. | 4.90% | 12/15/2030 | 7,100 | 8,396,764 | ||||||||
American Campus Communities Operating Partnership LP | 3.875% | 1/30/2031 | 33,786 | 36,405,457 | ||||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 12,968 | 14,831,376 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.15% | 11/1/2030 | 22,556 | 20,900,390 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 12,258 | 13,614,265 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 7,763 | 8,255,224 | ||||||||
Prologis LP | 3.875% | 9/15/2028 | 8,980 | 9,997,996 | ||||||||
Prologis LP | 4.375% | 2/1/2029 | 15,050 | 17,313,970 | ||||||||
Total | 162,860,209 | |||||||||||
Recreation & Travel 1.05% | ||||||||||||
Carnival Corp.† | 5.75% | 3/1/2027 | 22,471 | 23,088,952 | ||||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 12,609 | 13,561,610 | ||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 18,736 | 22,082,999 | ||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 42,826 | 49,151,614 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(b) | 5.75% | 6/15/2026 | 15,129 | 16,052,777 | ||||||||
NCL Corp. Ltd.† | 5.875% | 3/15/2026 | 23,882 | 24,156,643 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.125% | 6/15/2023 | 22,649 | 24,985,924 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 35,300 | 41,212,750 | ||||||||
Viking Cruises Ltd.† | 13.00% | 5/15/2025 | 17,187 | 20,237,693 | ||||||||
Total | 234,530,962 | |||||||||||
Reinsurance 0.43% | ||||||||||||
AXIS Specialty Finance plc (United Kingdom)(b) | 5.15% | 4/1/2045 | 21,094 | 23,614,303 | ||||||||
Berkshire Hathaway, Inc. | 2.75% | 3/15/2023 | 7,903 | 8,259,567 | ||||||||
Berkshire Hathaway, Inc. | 3.125% | 3/15/2026 | 7,903 | 8,609,426 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 26,944 | 29,534,984 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809 | 26,431,136 | ||||||||
Total | 96,449,416 |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Restaurants 0.76% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | $ | 24,585 | $ | 25,476,206 | ||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 12,820 | 13,822,844 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 25,312 | 26,609,240 | ||||||||
Starbucks Corp. | 4.45% | 8/15/2049 | 39,350 | 45,732,679 | ||||||||
Stonegate Pub Co. Financing 2019 plc(e) | 8.00% | 7/13/2025 | GBP | 6,924 | 9,988,805 | |||||||
Stonegate Pub Co. Financing 2019 plc(e) | 8.25% | 7/31/2025 | GBP | 33,093 | 48,323,945 | |||||||
Total | 169,953,719 | |||||||||||
Software/Services 3.34% | ||||||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | $ | 27,008 | 29,565,205 | |||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 24,349 | 25,965,774 | ||||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 118,450 | 115,956,627 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 41,296 | 42,189,312 | ||||||||
Global Payments, Inc. | 4.15% | 8/15/2049 | 22,442 | 24,529,658 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 11,226 | 11,892,544 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 19,374 | 20,173,177 | ||||||||
Intuit, Inc. | 0.95% | 7/15/2025 | 9,023 | 8,962,294 | ||||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 18,048 | 17,146,961 | ||||||||
Match Group Holdings II LLC† | 4.125% | 8/1/2030 | 36,160 | 36,323,805 | ||||||||
Microsoft Corp. | 3.30% | 2/6/2027 | 26,383 | 29,141,573 | ||||||||
PayPal Holdings, Inc. | 3.25% | 6/1/2050 | 47,393 | 47,331,170 | ||||||||
PTC, Inc.† | 3.625% | 2/15/2025 | 11,211 | 11,526,309 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 22,263 | 22,638,688 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 17,807 | 19,906,828 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 20,835 | 18,856,914 | ||||||||
Tencent Holdings Ltd. (China)†(b) | 3.595% | 1/19/2028 | 19,777 | 21,223,276 | ||||||||
Tencent Holdings Ltd. (China)†(b) | 3.925% | 1/19/2038 | 23,479 | 25,015,224 | ||||||||
Twilio, Inc. | 3.625% | 3/15/2029 | 60,937 | 61,840,696 | ||||||||
Twilio, Inc. | 3.875% | 3/15/2031 | 54,634 | 55,937,567 | ||||||||
VeriSign, Inc. | 4.75% | 7/15/2027 | 21,815 | 23,192,072 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 15,945 | 18,028,613 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 7.50% | 9/1/2025 | 23,039 | 23,958,256 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 10.50% | 2/1/2024 | 20,022 | 20,547,577 | ||||||||
Visa, Inc. | 3.15% | 12/14/2025 | 14,645 | 15,983,307 | ||||||||
Total | 747,833,427 |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Specialty Retail 1.77% | ||||||||||||
AutoNation, Inc. | 4.75% | 6/1/2030 | $ | 10,463 | $ | 12,077,892 | ||||||
B2W Digital Lux Sarl (Luxembourg)†(b) | 4.375% | 12/20/2030 | 19,301 | 18,888,538 | ||||||||
Best Buy Co., Inc. | 1.95% | 10/1/2030 | 22,556 | 21,273,088 | ||||||||
Best Buy Co., Inc. | 4.45% | 10/1/2028 | 15,806 | 18,043,624 | ||||||||
Carvana Co.† | 5.625% | 10/1/2025 | 47,836 | 49,132,356 | ||||||||
Carvana Co.† | 5.875% | 10/1/2028 | 18,425 | 18,908,656 | ||||||||
eG Global Finance plc (United Kingdom)†(b) | 8.50% | 10/30/2025 | 22,482 | 23,993,240 | ||||||||
Gap, Inc. (The)† | 8.625% | 5/15/2025 | 17,736 | 19,886,490 | ||||||||
Gap, Inc. (The)† | 8.875% | 5/15/2027 | 18,953 | 22,151,319 | ||||||||
L Brands, Inc. | 6.875% | 11/1/2035 | 39,475 | 47,105,123 | ||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 22,377 | 21,621,776 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 14,991 | 15,775,254 | ||||||||
Penske Automotive Group, Inc. | 3.50% | 9/1/2025 | 12,185 | 12,464,280 | ||||||||
Penske Automotive Group, Inc. | 5.50% | 5/15/2026 | 5,413 | 5,580,397 | ||||||||
Seven & i Holdings Co. Ltd. (Japan)†(b) | 3.35% | 9/17/2021 | 31,997 | 32,404,616 | ||||||||
Tiffany & Co. | 4.90% | 10/1/2044 | 24,318 | 30,090,296 | ||||||||
WW International, Inc.† | 8.625% | 12/1/2025 | 25,603 | 26,686,647 | ||||||||
Total | 396,083,592 | |||||||||||
Steel Producers/Products 0.20% | ||||||||||||
CSN Inova Ventures (Brazil)†(b) | 6.75% | 1/28/2028 | 20,418 | 21,661,967 | ||||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 22,516 | 23,050,755 | ||||||||
Total | 44,712,722 | |||||||||||
Support: Services 2.05% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,365 | 18,392,141 | ||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.† | 5.375% | 3/1/2029 | 21,069 | 21,833,805 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 27,395 | 28,122,337 | ||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 15,000 | 16,467,525 | ||||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 8,223 | 10,618,078 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 40,545 | 41,112,630 | ||||||||
Georgetown University (The) | 2.943% | 4/1/2050 | 17,968 | 16,698,459 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 30,483 | 29,682,821 | ||||||||
Hertz Corp. (The)†(m) | 5.50% | 10/15/2024 | 16,775 | 16,743,547 | ||||||||
Hertz Corp. (The)†(m) | 6.00% | 1/15/2028 | 33,436 | 33,582,282 | ||||||||
Hertz Corp. (The)(m) | 6.25% | 10/15/2022 | 6,056 | 6,029,505 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 10,114 | 9,502,263 | ||||||||
Maxim Crane Works Holdings Capital LLC† | 10.125% | 8/1/2024 | 16,120 | 16,907,543 |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | $ | 26,471 | $ | 25,917,596 | ||||||
Presidio Holdings, Inc.† | 4.875% | 2/1/2027 | 16,307 | 16,743,049 | ||||||||
Quanta Services, Inc. | 2.90% | 10/1/2030 | 15,040 | 15,274,704 | ||||||||
Uber Technologies, Inc.† | 6.25% | 1/15/2028 | 13,570 | 14,797,406 | ||||||||
Uber Technologies, Inc.† | 7.50% | 9/15/2027 | 14,427 | 15,953,819 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 20,289 | 22,000,884 | ||||||||
United Rentals North America, Inc. | 3.875% | 2/15/2031 | 15,107 | 15,210,861 | ||||||||
United Rentals North America, Inc. | 4.00% | 7/15/2030 | 21,994 | 22,411,886 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 21,596 | 22,775,574 | ||||||||
United Rentals North America, Inc. | 5.875% | 9/15/2026 | 6,713 | 7,030,961 | ||||||||
Verisk Analytics, Inc. | 3.625% | 5/15/2050 | 15,070 | 14,840,633 | ||||||||
Total | 458,650,309 | |||||||||||
Technology Hardware & Equipment 0.60% | ||||||||||||
Apple, Inc. | 1.80% | 9/11/2024 | 22,440 | 23,344,729 | ||||||||
Apple, Inc. | 3.00% | 6/20/2027 | 26,927 | 29,239,562 | ||||||||
CDW LLC/CDW Finance Corp. | 4.125% | 5/1/2025 | 7,171 | 7,471,286 | ||||||||
Motorola Solutions, Inc. | 4.60% | 5/23/2029 | 17,963 | 20,389,203 | ||||||||
Switch Ltd.† | 3.75% | 9/15/2028 | 18,979 | 18,724,587 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 32,314 | 35,664,962 | ||||||||
Total | 134,834,329 | |||||||||||
Telecommunications: Satellite 0.24% | ||||||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(b) | 6.75% | 10/1/2026 | 29,167 | 31,100,480 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 21,000 | 23,175,915 | ||||||||
Total | 54,276,395 | |||||||||||
Telecommunications: Wireless 1.55% | ||||||||||||
American Tower Corp. | 2.95% | 1/15/2025 | 44,909 | 47,778,931 | ||||||||
Crown Castle International Corp. | 4.15% | 7/1/2050 | 11,119 | 11,981,114 | ||||||||
SBA Communications Corp. | 3.875% | 2/15/2027 | 40,849 | 41,806,909 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 99,783 | 126,010,463 | ||||||||
T-Mobile USA, Inc. | 3.375% | 4/15/2029 | 45,095 | 45,517,766 | ||||||||
T-Mobile USA, Inc.† | 3.875% | 4/15/2030 | 16,027 | 17,415,098 | ||||||||
T-Mobile USA, Inc.† | 4.50% | 4/15/2050 | 11,073 | 12,447,602 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(b) | 4.25% | 1/31/2031 | 45,433 | 44,278,997 | ||||||||
Total | 347,236,880 |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications: Wireline Integrated & Services 1.64% | ||||||||||||
Altice Financing SA (Luxembourg)†(b) | 7.50% | 5/15/2026 | $ | 38,191 | $ | 39,957,334 | ||||||
Altice France Holding SA (Luxembourg)†(b) | 6.00% | 2/15/2028 | 13,128 | 12,959,239 | ||||||||
Altice France Holding SA (Luxembourg)†(b) | 10.50% | 5/15/2027 | 31,171 | 35,117,093 | ||||||||
Altice France SA (France)†(b) | 7.375% | 5/1/2026 | 46,103 | 48,009,359 | ||||||||
Altice France SA (France)†(b) | 8.125% | 2/1/2027 | 39,761 | 43,627,558 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.90% | 11/15/2024 | 9,245 | 9,784,862 | ||||||||
Frontier Communications Corp.† | 5.00% | 5/1/2028 | 26,116 | 26,644,980 | ||||||||
Frontier Communications Corp.† | 5.875% | 10/15/2027 | 14,606 | 15,509,746 | ||||||||
Frontier Communications Corp.† | 6.75% | 5/1/2029 | 27,815 | 29,388,634 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(b)(m) | 6.054% (3 Mo. LIBOR + 5.75% | ) | 1/15/2015 | 15,000 | 1,500 | (f) | ||||||
Motorola Solutions, Inc. | 4.60% | 2/23/2028 | 15,034 | 17,123,738 | ||||||||
VTR Comunicaciones SpA (Chile)†(b) | 5.125% | 1/15/2028 | 31,819 | 33,303,356 | ||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.† | 7.75% | 8/15/2028 | 19,090 | 19,477,527 | ||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 15,062 | 14,818,071 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 20,615 | 21,191,601 | ||||||||
Total | 366,914,598 | |||||||||||
Theaters & Entertainment 0.19% | ||||||||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | 20,141 | 19,901,826 | ||||||||
Pinnacle Bidco plc†(e) | 5.50% | 2/15/2025 | EUR | 18,919 | 22,539,517 | |||||||
Total | 42,441,343 | |||||||||||
Transportation: Infrastructure/Services 0.70% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(b) | 4.375% | 7/3/2029 | $ | 26,773 | 28,072,554 | |||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(b) | 6.00% | 11/18/2048 | 32,060 | 33,893,449 | ||||||||
Autoridad del Canal de Panama (Panama)†(b) | 4.95% | 7/29/2035 | 8,750 | 10,811,019 | ||||||||
CH Robinson Worldwide, Inc. | 4.20% | 4/15/2028 | 20,351 | 22,888,824 | ||||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(b) | 5.375% | 11/15/2024 | 30,508 | 31,890,012 | ||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 26,723 | 28,789,757 | ||||||||
Total | 156,345,615 | |||||||||||
Trucking & Delivery 0.13% | ||||||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 2/20/2034 | 30,751 | 29,898,677 | ||||||||
Total High Yield Corporate Bonds (cost $14,516,286,045) | 15,263,287,917 |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
MUNICIPAL BONDS 3.12% | ||||||||||||
Air Transportation 0.15% | ||||||||||||
County of Miami-Dade FL Aviation Revenue | 3.982% | 10/1/2041 | $ | 13,915 | $ | 14,590,941 | ||||||
County of Miami-Dade FL Aviation Revenue | 4.28% | 10/1/2041 | 18,040 | 19,429,875 | ||||||||
Total | 34,020,816 | |||||||||||
Education 0.59% | ||||||||||||
California State University | 3.899% | 11/1/2047 | 33,030 | 37,289,380 | ||||||||
Ohio University | 5.59% | 12/1/2114 | 11,104 | 13,882,681 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 46,015 | 50,080,066 | ||||||||
Regents of the University of California Medical Center | 3.006% | 5/15/2050 | 12,835 | 12,351,593 | ||||||||
Regents of the University of California Medical Center | 6.548% | 5/15/2048 | 12,463 | 18,800,088 | ||||||||
Total | 132,403,808 | |||||||||||
General Obligation 1.00% | ||||||||||||
Chicago Transit Authority Sales & Transfer Tax Receipts | 6.899% | 12/1/2040 | 11,826 | 16,538,832 | ||||||||
City of Chicago IL | 6.314% | 1/1/2044 | 8,280 | 9,896,502 | ||||||||
City of Chicago IL | 7.781% | 1/1/2035 | 7,050 | 9,288,386 | ||||||||
City of Portland OR | 7.701% | 6/1/2022 | 11,950 | 12,545,680 | ||||||||
Commonwealth of Pennsylvania | 5.45% | 2/15/2030 | 12,190 | 15,014,588 | ||||||||
District of Columbia | 5.591% | 12/1/2034 | 14,130 | 18,080,792 | ||||||||
Honolulu HI City & Cnty, | 5.418% | 12/1/2027 | 6,620 | 8,170,882 | ||||||||
Los Angeles Unified School District/CA | 5.75% | 7/1/2034 | 12,497 | 16,540,561 | ||||||||
Massachusetts | 4.20% | 12/1/2021 | 3,675 | 3,769,716 | ||||||||
State of California | 7.55% | 4/1/2039 | 15,015 | 24,284,295 | ||||||||
State of Illinois | 5.10% | 6/1/2033 | 69,845 | 78,690,688 | ||||||||
University of North Carolina at Chapel Hill | 3.847% | 12/1/2034 | 9,595 | 11,177,195 | ||||||||
Total | 223,998,117 | |||||||||||
Lease Obligation 0.03% | ||||||||||||
State of Wisconsin | 3.294% | 5/1/2037 | 7,145 | 7,748,944 | ||||||||
Miscellaneous 0.56% | ||||||||||||
City of Atlanta GA Water & Wastewater Revenue | 2.257% | 11/1/2035 | 2,070 | 2,067,862 | ||||||||
County of Miami-Dade FL | 2.786% | 10/1/2037 | 9,690 | 9,370,165 | ||||||||
Dallas Convention Center Hotel Development Corp., | 7.088% | 1/1/2042 | 17,795 | 24,208,887 |
See Notes to Schedule of Investments. | 39 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Miscellaneous (continued) | ||||||||||||
New Jersey Transportation Trust Fund Authority | 4.081% | 6/15/2039 | $ | 4,985 | $ | 5,259,346 | ||||||
New Jersey Transportation Trust Fund Authority | 4.131% | 6/15/2042 | 18,845 | 19,769,715 | ||||||||
New York City Industrial Development Agency† | 11.00% | 3/1/2029 | 18,478 | 25,120,595 | ||||||||
Pasadena Public Financing Authority | 7.148% | 3/1/2043 | 26,795 | 39,118,144 | ||||||||
Total | 124,914,714 | |||||||||||
Multi-Line Insurance 0.03% | ||||||||||||
City & County Honolulu HI Wastewater System Revenue | 1.623% | 7/1/2031 | 6,635 | 6,413,701 | ||||||||
Tax Revenue 0.28% | ||||||||||||
Massachusetts School Building Authority | 5.715% | 8/15/2039 | 20,055 | 27,235,667 | ||||||||
Memphis-Shelby County Industrial Development Board | 7.00% | 7/1/2045 | 22,085 | 22,007,402 | ||||||||
New York State Dormitory Authority | 3.19% | 2/15/2043 | 5,345 | 5,465,528 | ||||||||
Regional Transportation District Sales Tax Revenue | 2.387% | 11/1/2037 | 8,125 | 7,717,478 | ||||||||
Total | 62,426,075 | |||||||||||
Taxable Revenue - Transportation 0.10% | ||||||||||||
Metropolitan Transportation Authority | 5.175% | 11/15/2049 | 18,010 | 22,416,208 | ||||||||
Taxable Revenue - Water & Sewer 0.02% | ||||||||||||
City & County Honolulu HI Wastewater System Revenue | 2.574% | 7/1/2041 | 4,520 | 4,413,936 | ||||||||
Transportation 0.11% | ||||||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 10,790 | 11,250,305 | ||||||||
Metropolitan Transportation Authority | 6.668% | 11/15/2039 | 9,045 | 12,393,904 | ||||||||
Total | 23,644,209 | |||||||||||
Transportation: Infrastructure/Services 0.17% | ||||||||||||
Chicago Transit Authority Sales Tax Receipts Fund | 6.20% | 12/1/2040 | 12,385 | 16,536,061 | ||||||||
Port of Seattle WA | 3.755% | 5/1/2036 | 13,905 | 14,693,038 | ||||||||
Port of Seattle, WA | 3.571% | 5/1/2032 | 7,305 | 7,837,511 | ||||||||
Total | 39,066,610 | |||||||||||
Utilities 0.08% | ||||||||||||
City of San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/2041 | 13,240 | 17,973,330 | ||||||||
Total Municipal Bonds (cost $661,234,597) | 699,440,468 |
40 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 3.98% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(o) | 12/25/2059 | $ | 6,377 | $ | 6,425,389 | |||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 1.056% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 35,420 | 35,461,760 | |||||||
BANK 2020-BN30 A4 | 1.925% | 12/15/2053 | 33,000 | 31,734,136 | ||||||||
BBCMS Mortgage Trust 2018-C2 C | 4.97% | #(o) | 12/15/2051 | 15,628 | 17,307,558 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.062% (1 Mo. LIBOR + .96% | )# | 11/15/2034 | 25,000 | 24,938,522 | |||||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.246% | #(o) | 8/15/2052 | 35,544 | 32,271,819 | (d) | ||||||
Benchmark Mortgage Trust 2020-B22 A5 | 1.973% | 1/15/2054 | 49,800 | 47,998,505 | ||||||||
BHMS 2018-ATLS A† | 1.356% (1 Mo. LIBOR + 1.25% | )# | 7/15/2035 | 61,190 | 61,260,026 | |||||||
BX 2021-MFM1 B† | 1.056% (1 Mo. LIBOR + .95% | )# | 1/15/2034 | 7,100 | 7,105,132 | |||||||
BX 2021-MFM1 C† | 1.306% (1 Mo. LIBOR + 1.20% | )# | 1/15/2034 | 4,250 | 4,252,627 | |||||||
BX Commercial Mortgage Trust 2020-VIV4 A† | 2.843% | 3/9/2044 | 14,171 | 14,416,544 | ||||||||
CF Trust 2019-BOSS A1† | 4.75% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 18,200 | 16,335,907 | (d) | ||||||
Citigroup Commercial Mortgage Trust 2016-GC36 C | 4.755% | #(o) | 2/10/2049 | 8,580 | 8,972,586 | |||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(o) | 4/15/2049 | 9,991 | 7,086,103 | |||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(o) | 9/10/2047 | 17,906 | 19,500,748 | |||||||
COMM Mortgage Trust 2020-SBX A† | 1.67% | 1/10/2038 | 7,500 | 7,526,677 | ||||||||
COMM Mortgage Trust 2020-SBX C† | 2.056% | #(o) | 1/10/2038 | 5,900 | 5,879,489 | |||||||
COMM Mortgage Trust 2020-SBX D† | 2.321% | #(o) | 1/10/2038 | 8,000 | 7,933,150 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C† | 1.536% (1 Mo. LIBOR + 1.43% | )# | 5/15/2036 | 52,000 | 52,101,317 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 D† | 1.706% (1 Mo. LIBOR + 1.60% | )# | 5/15/2036 | 14,076 | 14,104,839 | |||||||
Credit Suisse Mortgage Capital Certificates 2020-AFC1 A1† | 2.24% | #(o) | 2/25/2050 | 15,402 | 15,650,581 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(o) | 1/25/2060 | 9,388 | 9,507,033 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A† | 3.144% | 12/10/2036 | 13,540 | 14,256,925 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B† | 3.447% | 12/10/2036 | 13,500 | 14,133,458 |
See Notes to Schedule of Investments. | 41 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | $ | 7,012 | $ | 7,162,794 | ||||||
Great Wolf Trust 2019-WOLF A† | 1.14% (1 Mo. LIBOR + 1.03% | )# | 12/15/2036 | 53,981 | 53,989,054 | |||||||
Great Wolf Trust 2019-WOLF D† | 2.039% (1 Mo. LIBOR + 1.93% | )# | 12/15/2036 | 50,508 | 49,713,590 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT E† | 2.861% (1 Mo. LIBOR + 2.75% | )# | 11/21/2023 | 11,567 | 11,589,774 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT F† | 3.761% (1 Mo. LIBOR + 3.65% | )# | 11/21/2023 | 6,627 | 6,644,343 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT G† | 5.811% (1 Mo. LIBOR + 5.70% | )# | 11/21/2023 | 600 | 602,909 | |||||||
GS Mortgage Securities Trust 2020-GSA2 A5 | 2.012% | 12/12/2053 | 23,500 | 22,637,928 | ||||||||
GS Mortgage Securities Trust 2020-GSA2 E† | 2.25% | 12/12/2053 | 9,450 | 7,257,778 | ||||||||
Hilton Orlando Trust 2018-ORL A† | 1.026% (1 Mo. LIBOR + .92% | )# | 12/15/2034 | 9,443 | 9,452,112 | |||||||
HPLY Trust 2019-HIT A† | 1.106% (1 Mo. LIBOR + 1.00% | )# | 11/15/2036 | 17,133 | 17,144,265 | |||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | 3.87% | #(o) | 3/15/2050 | 11,612 | 12,124,895 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 18,000 | 18,011,628 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE A† | 3.287% | 1/10/2037 | 10,530 | 11,022,320 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE B† | 3.64% | 1/10/2037 | 8,690 | 8,948,933 | ||||||||
KKR Industrial Portfolio Trust 2021-KDIP D† | 1.356% (1 Mo. LIBOR + 1.25% | )# | 12/15/2037 | 6,130 | 6,141,123 | |||||||
KKR Industrial Portfolio Trust 2021-KDIP E† | 1.656% (1 Mo. LIBOR + 1.55% | )# | 12/15/2037 | 9,910 | 9,906,206 | |||||||
KKR Industrial Portfolio Trust 2021-KDIP F† | 2.156% (1 Mo. LIBOR + 2.05% | )# | 12/15/2037 | 10,864 | 10,895,988 | |||||||
Life 2021-BMR Mortgage Trust 2021-BMR E† | 1.856% (1 Mo. LIBOR + 1.75% | )# | 3/15/2038 | 22,900 | 22,989,741 |
42 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(o) | 1/26/2060 | $ | 5,913 | $ | 6,001,730 | ||||||
One New York Plaza Trust 2020-1NYP B† | 1.606% (1 Mo. LIBOR + 1.50% | )# | 1/15/2026 | 9,400 | 9,511,762 | ||||||||
One New York Plaza Trust 2020-1NYP C† | 2.306% (1 Mo. LIBOR + 2.20% | )# | 1/15/2026 | 23,620 | 23,926,328 | ||||||||
One New York Plaza Trust 2020-1NYP D† | 2.856% (1 Mo. LIBOR + 2.75% | )# | 1/15/2026 | 8,500 | 8,612,088 | ||||||||
PFP Ltd. 2019-6 A† | 1.156% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 20,977 | 21,029,202 | ||||||||
PFP Ltd. 2019-6 C† | 2.206% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 27,054 | 27,054,111 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(o) | 2/25/2024 | 4,425 | 4,483,290 | ||||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(o) | 2/25/2050 | 8,998 | 9,175,911 | ||||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 9,859 | 9,977,100 | |||||||||
Wells Fargo Commercial Mortgage Trust 2020-SDAL A† | 1.116% (1 Mo. LIBOR + 1.01% | )# | 2/15/2037 | 9,878 | 9,818,430 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $896,825,360) | 891,986,164 | ||||||||||||
Dividend | Shares | ||||||||||||
Rate | (000) | ||||||||||||
PREFERRED STOCKS 0.05% | |||||||||||||
Transportation: Infrastructure/Services | |||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 167 | 4,594,094 | (f) | |||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 205 | 7,074,881 | (f) | |||||||||
Total Preferred Stocks (cost $9,303,175) | 11,668,975 | ||||||||||||
Exercise | Expiration | ||||||||||||
Price | Date | ||||||||||||
WARRANT 0.00% | |||||||||||||
Personal & Household Products | |||||||||||||
Remington Outdoor Co., Inc. (cost $871,457) | $35.05 | 5/22/2022 | 165 | – | (f)(g) | ||||||||
Total Long-Term Investments (cost $21,048,458,123) | 22,076,357,628 |
See Notes to Schedule of Investments. | 43 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Principal | ||||||||
Amount | Fair | |||||||
Investments | (000) | Value | ||||||
SHORT-TERM INVESTMENTS 1.79% | ||||||||
REPURCHASE AGREEMENT 1.75% | ||||||||
Repurchase Agreement dated 3/31/2021, 0.00% due 4/1/2021 with Fixed Income Clearing Corp. collateralized by $382,936,400 of U.S. Treasury Note at 0.125% due 09/15/2023; , $16,221,600 of U.S. Treasury Note at 2.875% due 09/30/2023; value: $399,321,593; proceeds: $391,491,738 (cost $391,491,738) | $ | 391,492 | $ | 391,491,738 | ||||
Shares | ||||||||
Money Market Fund 0.04% | ||||||||
Fidelity Government Portfolio(p) (cost $9,015,384) | 9,015,384 | 9,015,384 | ||||||
Time Deposit 0.00% | ||||||||
CitiBank N.A.(p) (cost $1,001,711) | 1,001,711 | 1,001,711 | ||||||
Total Short-Term Investments (cost $401,508,833) | 401,508,833 | |||||||
Total Investments in Securities 100.33% (cost $21,449,966,956) | 22,477,866,461 | |||||||
Less Unfunded Loan Commitments (0.09%) (cost $20,262,739) | (20,376,560 | ) | ||||||
Net Investments 100.24% (cost $21,429,704,217) | 22,457,489,901 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(q) (0.24%) | (52,820,733 | ) | ||||||
Net Assets 100.00% | $ | 22,404,669,168 |
AUD | Australian dollar. | |
EUR | Euro. | |
GBP | British pound. | |
JPY | Japanese yen. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
SOFR | Secured Over Night Financing Rate. |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At March 31, 2021, the total value of Rule 144A securities was $9,808,361,934, which represents 43.78% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at March 31, 2021. | |
* | Non-income producing security. | |
(a) | Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. | |
(d) | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(e) | Investment in non-U.S. dollar denominated securities. |
44 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
(f) | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(g) | Amount is less than $1,000. | |
(h) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at March 31, 2021. | |
(i) | Level 3 Investment as described in Note 2(b) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(j) | Interest rate to be determined. | |
(k) | Security partially/fully unfunded. | |
(l) | Security is perpetual in nature and has no stated maturity. | |
(m) | Defaulted (non-income producing security). | |
(n) | Securities purchased on a when-issued basis. | |
(o) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(p) | Security was purchased with the cash collateral from loaned securities. | |
(q) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at March 31, 2021(1):
Fund | Unrealized | |||||||||||||||||
Referenced | Central | Pays | Termination | Notional | Notional | Payments | Appreciation/ | |||||||||||
Index | Clearing Party | (Quarterly | ) | Date | Amount | Value | Upfront(2) | Depreciation(3) | ||||||||||
Markit CDX. NA.EM.35(4)(5) | Credit Suisse | 1.00% | 6/20/2025 | $ 319,440,000 | $ 325,191,405 | $ | (2,200,885 | ) | $ | (3,550,520 | ) | |||||||
Markit CDX. NA.IG.34(4)(6) | Credit Suisse | 1.00% | 6/20/2026 | 735,023,000 | 704,362,089 | 26,464,307 | 4,196,604 | |||||||||||
Markit CDX. NA.IG.36(4)(6) | Credit Suisse | 1.00% | 6/20/2026 | 1,555,921,562 | 1,592,380,943 | (33,367,764 | ) | (3,091,617 | ) | |||||||||
$ | (9,104,342 | ) | $ | (2,445,533 | ) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received by Central Clearing Party are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $4,196,604. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $(6,642,137). | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging markets sovereign issuers. | |
(6) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of investment grade securities. |
See Notes to Schedule of Investments. | 45 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Credit Default Swaps on Indexes - Sell Protection at March 31, 2021(1):
Credit | ||||||||||||||||||||||
Default | ||||||||||||||||||||||
Swap | ||||||||||||||||||||||
Swap | Fund | Term- | Agreements | |||||||||||||||||||
Referenced | Counter- | Receives | ination | Notional | Notional | Payments | Unrealized | Payable at | ||||||||||||||
Index* | party | (Quarterly) | Date | Amount | Value | Upfront(2) | Appreciation(3) | Fair Value(4) | ||||||||||||||
Markit CMBX. NA.BBB-.9 | Morgan Stanley | 3.00% | 11/17/2059 | $22,050,000 | $19,286,023 | $ | (2,791,524 | ) | $27,547 | $ | (2,763,977 | ) | ||||||||||
Markit CMBX. NA.BBB-.9 | Morgan Stanley | 3.00% | 8/17/2061 | 22,000,000 | $20,531,869 | (1,527,755 | ) | 59,624 | (1,468,131 | ) | ||||||||||||
$ | (4,319,279 | ) | $87,171 | $ | (4,232,108 | ) |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. | |
(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 securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $87,171. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at March 31, 2021:
Forward | ||||||||||||||
Foreign | U.S. $ | |||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||
Australian dollar | Sell | State Street Bank and Trust | 5/28/2021 | 40,285,000 | $ 32,117,743 | $ 30,605,925 | $ 1,511,818 | |||||||
British pound | Sell | State Street Bank and Trust | 6/8/2021 | 42,449,000 | 58,982,130 | 58,530,988 | 451,142 | |||||||
Euro | Sell | Bank of America | 6/4/2021 | 174,000,000 | 210,804,480 | 204,301,387 | 6,503,093 | |||||||
Japanese yen | Sell | State Street Bank and Trust | 4/30/2021 | 2,140,000,000 | 20,585,939 | 19,332,380 | 1,253,559 | |||||||
Japanese yen | Sell | State Street Bank and Trust | 4/30/2021 | 545,000,000 | 5,198,315 | 4,923,433 | 274,882 | |||||||
Japanese yen | Sell | Toronto Dominion Bank | 4/30/2021 | 440,000,000 | 4,209,157 | 3,974,882 | 234,275 | |||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ 10,228,769 | |||||||||||||
Forward | ||||||||||||||
Foreign | U.S. $ | |||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Depreciation | |||||||
British pound | Sell | State Street Bank and Trust | 6/8/2021 | 11,954,000 | $16,405,658 | $16,482,825 | $(77,167) |
46 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2021
Open Futures Contracts at March 31, 2021:
Notional | Notional | Unrealized | |||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | |||||||||||||
U.S. 5-Year Treasury Note | June 2021 | 5,381 | Short | $ | (666,090,168 | ) | $ | (664,006,995 | ) | $ | 2,083,173 | ||||||||
U.S. 10-Year Treasury Note | June 2021 | 7,550 | Short | (1,010,625,484 | ) | (988,578,125 | ) | 22,047,359 | |||||||||||
U.S. 10-Year Ultra Treasury Note | June 2021 | 4,045 | Short | (601,266,113 | ) | (581,215,938 | ) | 20,050,175 | |||||||||||
U.S. Long Bond | June 2021 | 4,015 | Short | (626,347,509 | ) | (620,693,906 | ) | 5,653,603 | |||||||||||
U.S. Ultra Treasury Bond | June 2021 | 5,214 | Short | (982,705,452 | ) | (944,874,563 | ) | 37,830,889 | |||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 87,665,199 | |||||||||||||||||
Notional | Notional | Unrealized | |||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | |||||||||||||
Euro-Bobl | June 2021 | 48 | Short | EUR (6,458,317 | ) | EUR (6,483,840 | ) | $ | (29,930 | ) | |||||||||
U.S. 2-Year Treasury Note | June 2021 | 38,842 | Long | $8,582,028,035 | $8,573,461,121 | (8,566,914 | ) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (8,596,844 | ) |
See Notes to Schedule of Investments. | 47 |
Schedule of Investments (unaudited)(continued)
March 31, 2021
The following is a summary of the inputs used as of March 31, 2021 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 1,202,736,180 | $ | – | $ | 1,202,736,180 | ||||||||
Common Stocks | ||||||||||||||||
Auto Parts & Equipment | – | 4,552,928 | – | 4,552,928 | ||||||||||||
Diversified Capital Goods | 22,249,608 | 4,781,280 | – | 27,030,888 | ||||||||||||
Personal & Household Products | 88,756,698 | 436,119 | 12,560,985 | 101,753,802 | ||||||||||||
Specialty Retail | 159,382,608 | 3,791,093 | – | 163,173,701 | ||||||||||||
Transportation: Infrastructure/Services | – | – | 897,940 | 897,940 | ||||||||||||
Remaining Industries | 1,652,099,675 | – | – | 1,652,099,675 | ||||||||||||
Convertible Bond | – | 36,681,217 | – | 36,681,217 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace/Defense | – | 30,067,688 | 7,870,073 | 37,937,761 | ||||||||||||
Electric: Generation | – | 19,589,854 | 1,857,909 | 21,447,763 | ||||||||||||
Investments & Miscellaneous Financial Services | – | – | 35,906,196 | 35,906,196 | ||||||||||||
Personal & Household Products | – | 68,334,622 | 235,156 | 68,569,778 | ||||||||||||
Remaining Industries | – | 1,336,880,183 | – | 1,336,880,183 | ||||||||||||
Less Unfunded Commitments | – | (20,376,560 | ) | – | (20,376,560 | ) | ||||||||||
Foreign Government Obligations | – | 520,306,092 | – | 520,306,092 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Banking | – | 974,956,735 | 2,250 | 974,958,985 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 439,908,287 | 19 | 439,908,306 | ||||||||||||
Telecommunications: Wireline Integrated & Services | – | 366,913,098 | 1,500 | 366,914,598 | ||||||||||||
Remaining Industries | – | 13,481,506,028 | – | 13,481,506,028 | ||||||||||||
Municipal Bonds | – | 699,440,468 | – | 699,440,468 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 843,378,438 | 48,607,726 | 891,986,164 | ||||||||||||
Preferred Stocks | – | – | 11,668,975 | 11,668,975 | ||||||||||||
Warrant | – | – | – | – | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 391,491,738 | – | 391,491,738 | ||||||||||||
Money Market Fund | 9,015,384 | – | – | 9,015,384 | ||||||||||||
Time Deposit | – | 1,001,711 | – | 1,001,711 | ||||||||||||
Total | $ | 1,931,503,973 | $ | 20,406,377,199 | $ | 119,608,729 | $ | 22,457,489,901 |
48 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
March 31, 2021
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 4,196,604 | $ | – | $ | 4,196,604 | ||||||||
Liabilities | – | (6,642,137 | ) | – | (6,642,137 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (4,232,108 | ) | – | (4,232,108 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 10,228,769 | – | 10,228,769 | ||||||||||||
Liabilities | – | (77,167 | ) | – | (77,167 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 87,665,199 | – | – | 87,665,199 | ||||||||||||
Liabilities | (8,596,844 | ) | – | – | (8,596,844 | ) | ||||||||||
Total | $ | 79,068,355 | $ | 3,473,961 | $ | – | $ | 82,542,316 |
(1) | Refer to Note 2(b) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the period.
See Notes to Schedule of Investments. | 49 |
Notes to Schedule of Investments (unaudited)
1. | ORGANIZATION |
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was incorporated under Maryland law on January 23, 1976.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation-Under procedures approved by the Fund’s Board of Directors (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. The Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange traded options and futures contracts are valued at the last quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Fair Value Measurements-Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent |
50
Notes to Schedule of Investments (unaudited)(continued)
buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 - | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 - | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 - | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of March 31, 2021 and, if applicable, Level 3 rollforwards for the period then ended is included in the Fund’s Schedule of Investments. | |
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | FEDERAL TAX INFORMATION |
It is the policy of the Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s filed U.S. federal tax returns remains open generally three years after the filing of the tax return. The statutes of limitations on the Fund’s, state and local tax returns may remain open for an additional year depending upon the jurisdiction.
4. | SECURITIES LENDING AGREEMENT |
The Funds have established a securities lending agreement with Citibank, N.A. (the “agent”) for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Funds’ securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Funds on
51
Notes to Schedule of Investments (unaudited)(concluded)
the next business day. As with other extensions of credit, the Funds may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The initial collateral received by the Funds is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by the Funds’ agent; the Funds will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Funds continues to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
For the period ended March 31, 2021, the market value of securities loaned and collateral received for the Fund was as follows:
Market Value of Securities Loaned | Collateral Received |
$ 9,765,537 | $ 10,017,095 |
52
QPHR-BOND-1Q
(3/21)