Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Bond-Debenture Fund
For the period ended September 30, 2021
Schedule of Investments (unaudited)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 99.18% | ||||||||||||
ASSET-BACKED SECURITIES 5.78% | ||||||||||||
Automobiles 0.52% | ||||||||||||
Carvana Auto Receivables Trust NP1 2020-N1A E† | 5.20% | 7/15/2027 | $ | 5,750 | $ | 6,137,492 | ||||||
Exeter Automobile Receivables Trust 2021-2A E† | 2.90% | 7/17/2028 | 23,776 | 23,811,500 | ||||||||
Hertz Vehicle Financing III LP 2021-2A D† | 4.34% | 12/27/2027 | 20,000 | 20,172,278 | ||||||||
Hertz Vehicle Financing LLC 2021-1A D† | 3.98% | 12/26/2025 | 30,000 | 30,265,791 | ||||||||
Westlake Automobile Receivables Trust 2021-1A F† | 3.91% | 9/15/2027 | 58,047 | 58,179,626 | ||||||||
Total | 138,566,687 | |||||||||||
Credit Card 0.25% | ||||||||||||
Genesis Sales Finance Master Trust 2021-AA A† | 1.20% | 12/21/2026 | 25,102 | 25,055,062 | ||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 40,297 | 41,754,301 | ||||||||
Total | 66,809,363 | |||||||||||
Others 5.01% | ||||||||||||
AMMC CLO XII Ltd. 2013-12A DR† | 2.828% (3 Mo. LIBOR + 2.70%) | # | 11/10/2030 | 3,859 | 3,768,518 | |||||||
AMMC CLO XIII Ltd. 2013-13A A2LR† | 1.825% (3 Mo. LIBOR + 1.70%) | # | 7/24/2029 | 3,440 | 3,446,327 | |||||||
AMMC CLO XIII Ltd. 2013-13A B1LR† | 3.725% (3 Mo. LIBOR + 3.60%) | # | 7/24/2029 | 5,000 | 5,024,074 | |||||||
Apex Credit CLO LLC 2017-2A B† | 1.972% (3 Mo. LIBOR + 1.85%) | # | 9/20/2029 | 7,197 | 7,214,643 | |||||||
Apidos CLO XXIII 2015-23A AR† | 1.346% (3 Mo. LIBOR + 1.22%) | # | 4/15/2033 | 4,000 | 4,005,085 | |||||||
Apidos CLO XXXV 2021-35A D† | 2.849% (3 Mo. LIBOR + 2.65%) | # | 4/20/2034 | 12,070 | 12,072,068 | |||||||
Applebee’s Funding LLC/IHOP Funding LLC 2019-1A A2I† | 4.194% | 6/7/2049 | 29,519 | 30,165,056 | ||||||||
Applebee’s Funding LLC/IHOP Funding LLC 2019-1A A2II† | 4.723% | 6/7/2049 | 19,986 | 21,075,052 | ||||||||
Ares XLII CLO Ltd. 2017-42A D† | 3.588% (3 Mo. LIBOR + 3.45%) | # | 1/22/2028 | 6,250 | 6,274,126 | |||||||
Avant Loans Funding Trust 2021-REV1 A† | 1.21% | 7/15/2030 | 26,440 | 26,476,482 | ||||||||
Bain Capital Credit CLO 2019-2A D† | 4.034% (3 Mo. LIBOR + 3.90%) | # | 10/17/2032 | 4,740 | 4,743,052 | |||||||
Bain Capital Credit CLO Ltd. 2021-2A C† | Zero Coupon | #(a) | 7/16/2034 | 9,000 | 9,038,340 |
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Others (continued) | ||||||||||||
Barings CLO III Ltd. 2019-3A DR† | 2.934% (3 Mo. LIBOR + 2.80%) | # | 4/20/2031 | $ | 11,750 | $ | 11,748,919 | |||||
Battalion CLO VII Ltd. 2014-7A CRR† | 3.064% (3 Mo. LIBOR + 2.93% | )# | 7/17/2028 | 1,831 | 1,835,692 | |||||||
Battalion CLO XV Ltd. 2019-16A B† | 2.134% (3 Mo. LIBOR + 2.00%) | # | 12/19/2032 | 23,286 | 23,353,403 | |||||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 2.126% (3 Mo. LIBOR + 2.00%) | # | 1/15/2033 | 7,922 | 7,944,531 | |||||||
BlueMountain CLO XXVIII Ltd. 2021-28A D† | 3.026% (3 Mo. LIBOR + 2.90%) | # | 4/15/2034 | 17,280 | 17,283,235 | |||||||
Carlyle US CLO Ltd. 2019-4A B† | 2.826% (3 Mo. LIBOR + 2.70%) | # | 1/15/2033 | 15,609 | 15,687,311 | |||||||
Carlyle US CLO Ltd. 2021-1A B† | 1.991% (3 Mo. LIBOR + 1.80%) | # | 4/15/2034 | 13,250 | 13,260,399 | |||||||
Carlyle US CLO Ltd. 2021-1A C† | 2.991% (3 Mo. LIBOR + 2.80%) | # | 4/15/2034 | 17,030 | 17,030,981 | |||||||
Cedar Funding XIV CLO Ltd. 2021-14A C† | 1.938% (3 Mo. LIBOR + 1.85%) | # | 7/15/2033 | 11,400 | 11,399,926 | |||||||
CIFC Funding Ltd. 2021-1A D† | 3.075% (3 Mo. LIBOR + 2.95%) | # | 4/25/2033 | 16,080 | 16,140,128 | |||||||
Dryden 30 Senior Loan Fund 2013-30A DR† | 2.725% (3 Mo. LIBOR + 2.60%) | # | 11/15/2028 | 18,138 | 17,618,483 | |||||||
Dryden 61 CLO Ltd. 2018-61A DR† | 3.234% (3 Mo. LIBOR + 3.10%) | # | 1/17/2032 | 20,190 | 20,265,537 | |||||||
Dryden 61 CLO Ltd. 2018-61A CR† | 1.884% (3 Mo. LIBOR + 1.75%) | # | 1/17/2032 | 9,478 | 9,465,291 | |||||||
Dryden 72 CLO Ltd. 2019-72A DR† | 3.125% (3 Mo. LIBOR + 3.00%) | # | 5/15/2032 | 7,000 | 6,984,921 | |||||||
Eaton Vance CLO Ltd. 2013-1A C3R† | 3.526% (3 Mo. LIBOR + 3.40%) | # | 1/15/2034 | 14,190 | 14,352,653 | |||||||
Elmwood CLO VIII Ltd. 2021-1A C1† | 2.084% (3 Mo. LIBOR + 1.95%) | # | 1/20/2034 | 18,920 | 18,924,038 | |||||||
Elmwood CLO VIII Ltd. 2021-1A D1† | 3.134% (3 Mo. LIBOR + 3.00%) | # | 1/20/2034 | 14,190 | 14,245,423 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.154% (3 Mo. LIBOR + 1.02%) | # | 4/20/2031 | 5,311 | 5,317,633 | |||||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 1.428% (3 Mo. LIBOR + 1.29%) | # | 4/15/2033 | 20,101 | 20,156,435 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Others (continued) | ||||||||||||
Greywolf CLO VII Ltd. 2018-2A A1† | 1.314% (3 Mo. LIBOR + 1.18%) | # | 10/20/2031 | $ | 10,000 | $ | 10,003,262 | |||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.275% (3 Mo. LIBOR + 2.15%) | # | 7/25/2027 | 5,476 | 5,395,744 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 1.834% (3 Mo. LIBOR + 1.70%) | # | 1/17/2030 | 9,320 | 9,336,429 | |||||||
Harbor Park CLO Ltd. 2018-1A D† | 3.034% (3 Mo. LIBOR + 2.90%) | # | 1/20/2031 | 4,560 | 4,566,801 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 37,134 | 39,637,016 | ||||||||
Kayne CLO 10 Ltd. 2021-10A D† | Zero Coupon | #(a) | 4/23/2034 | 6,630 | 6,618,856 | |||||||
Kayne CLO 5 Ltd. 2019-5A A† | 1.475% (3 Mo. LIBOR + 1.35%) | # | 7/24/2032 | 38,000 | 38,048,891 | |||||||
Kayne CLO Ltd. 2018 1A DR† | 2.776% (3 Mo. LIBOR + 2.65%) | # | 7/15/2031 | 7,340 | 7,240,027 | |||||||
Kayne CLO Ltd. 2020-7A A1† | 1.334% (3 Mo. LIBOR + 1.20%) | # | 4/17/2033 | 47,944 | 48,096,783 | |||||||
KKR CLO 29 Ltd-29A C† | 2.126% (3 Mo. LIBOR + 2.00%) | # | 1/15/2032 | 6,150 | 6,127,995 | |||||||
KKR CLO 33 Ltd-33A C† | 2.103% (3 Mo. LIBOR + 2.00%) | # | 7/20/2034 | 10,000 | 9,999,888 | |||||||
KKR CLO 33 Ltd-33A D† | 3.203% (3 Mo. LIBOR + 3.10%) | # | 7/20/2034 | 8,000 | 8,000,408 | |||||||
KKR CLO Ltd.18 D† | 3.734% (3 Mo. LIBOR + 3.60%) | # | 7/18/2030 | 7,110 | 7,119,501 | |||||||
Lendmark Funding Trust 2021-1A A† | 1.90% | 11/20/2031 | 28,528 | 28,737,706 | ||||||||
LOGAN CLO I Ltd. 2021-1A C† | 2.053% (3 Mo. LIBOR + 1.90%) | # | 7/20/2034 | 11,000 | 10,993,125 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.434% (3 Mo. LIBOR + 1.30%) | # | 4/20/2033 | 29,415 | 29,440,546 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 1.904% (3 Mo. LIBOR + 1.77%) | # | 4/20/2033 | 9,348 | 9,420,516 | |||||||
Mariner Finance Issuance Trust 2021-AA A† | 1.86% | 3/20/2036 | 46,827 | 47,268,597 | ||||||||
Mountain View CLO 2017-1A BR† | 1.876% (3 Mo. LIBOR + 1.75%) | # | 10/16/2029 | 11,046 | 11,066,401 | |||||||
Mountain View CLO LLC 2016-1A DR† | 3.833% (3 Mo. LIBOR + 3.70%) | # | 4/14/2033 | 9,470 | 9,473,933 | |||||||
Mountain View CLO XIV Ltd. 2019-1A D† | 3.968% (3 Mo. LIBOR + 3.79%) | # | 4/15/2029 | 3,000 | 3,012,144 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Others (continued) | ||||||||||||
Neuberger Berman Loan Advisers CLO Ltd. 2019-35A A1† | 1.474% (3 Mo. LIBOR + 1.34%) | # | 1/19/2033 | $ | 12,300 | $ | 12,322,462 | |||||
Newark BSL CLO 2 Ltd. 2017-1A CR† | 3.275% (3 Mo. LIBOR + 3.15%) | # | 7/25/2030 | 21,000 | 21,078,496 | |||||||
Oaktree CLO 2019-4 Ltd. BR†(b) | Zero Coupon | #(a) | 10/20/2032 | 29,790 | 29,790,000 | (c) | ||||||
Oaktree CLO Ltd. 2020-1A DR† | 3.276% (3 Mo. LIBOR + 3.15%) | # | 7/15/2034 | 18,130 | 18,033,385 | |||||||
Oaktree CLO Ltd. 2021-1A D† | Zero Coupon | #(a) | 7/15/2034 | 8,280 | 8,281,114 | |||||||
OCP CLO Ltd. 2019-16A DR† | 3.269% (3 Mo. LIBOR + 3.15%) | # | 4/10/2033 | 8,300 | 8,301,402 | |||||||
OCP CLO Ltd. 2021-21A C† | Zero Coupon | #(a) | 7/20/2034 | 11,880 | 11,880,644 | |||||||
Octagon Investment Partners 48 Ltd. 2020-3A A† | 1.634% (3 Mo. LIBOR + 1.50%) | # | 10/20/2031 | 35,000 | 35,058,446 | |||||||
Octagon Investment Partners XXI Ltd. 2014-1A CR3† | 2.875% (3 Mo. LIBOR + 2.75%) | # | 2/14/2031 | 16,100 | 15,999,531 | |||||||
OHA Credit Funding 8 Ltd. 2021-8A C† | 2.088% (3 Mo. LIBOR + 1.90%) | # | 1/18/2034 | 14,190 | 14,193,599 | |||||||
OHA Credit Funding 8 Ltd. 2021-8A D† | 3.038% (3 Mo. LIBOR + 2.85%) | # | 1/18/2034 | 11,450 | 11,452,747 | |||||||
OHA Credit Funding 9 Ltd. 2021-9A C† | 2.084% (3 Mo. LIBOR + 1.90%) | # | 7/19/2035 | 13,780 | 13,780,400 | |||||||
OHA Credit Funding 9 Ltd. 2021-9A D† | 3.134% (3 Mo. LIBOR + 2.95%) | # | 7/19/2035 | 12,360 | 12,360,067 | |||||||
OneMain Financial Issuance Trust 2020-2A D† | 3.45% | 9/14/2035 | 28,012 | 29,630,304 | ||||||||
Palmer Square CLO Ltd. 2021-1A C† | 2.834% (3 Mo. LIBOR + 2.70%) | # | 4/20/2034 | 8,990 | 8,991,527 | |||||||
Parallel Ltd. 2017-1A A1R† | 1.164% (3 Mo. LIBOR + 1.03%) | # | 7/20/2029 | 5,000 | 4,996,265 | |||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | 13,981 | 14,243,348 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2I† | 4.262% | 9/5/2048 | 17,498 | 17,575,095 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 21,873 | 22,540,675 | ||||||||
Regata XII Funding Ltd. 2019-1A CR†(b) | Zero Coupon | #(a) | 10/15/2032 | 22,880 | 22,880,000 | (c) | ||||||
Regatta XVI Funding Ltd. 2019-2A B† | 2.176% (3 Mo. LIBOR + 2.05%) | # | 1/15/2033 | 31,200 | 31,250,815 |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Others (continued) | ||||||||||||
Regatta XVIII Funding Ltd. 2021-1A B† | 1.576% (3 Mo. LIBOR + 1.45%) | # | 1/15/2034 | $ | 18,940 | $ | 18,940,739 | |||||
Regatta XVIII Funding Ltd. 2021-1A D† | 2.876% (3 Mo. LIBOR + 2.75%) | # | 1/15/2034 | 18,940 | 18,941,981 | |||||||
Signal Peak CLO 4 Ltd. 2017-4A D† | 3.175% (3 Mo. LIBOR + 3.05%) | # | 10/26/2029 | 6,254 | 6,285,349 | |||||||
Sunrun Demeter Issuer 2021-2A A† | 2.27% | 1/30/2057 | 29,588 | 29,641,554 | ||||||||
TCI-Flatiron CLO Ltd. 2018-1A BR† | 1.53% (3 Mo. LIBOR + 1.40%) | # | 1/29/2032 | 4,500 | 4,466,880 | |||||||
TCI-Flatiron CLO Ltd. 2018-1A DR† | 2.88% (3 Mo. LIBOR + 2.75%) | # | 1/29/2032 | 7,000 | 7,000,813 | |||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 3.084% (3 Mo. LIBOR + 2.95%) | # | 1/20/2031 | 1,264 | 1,258,285 | |||||||
TRP - TRIP Rail Master Funding LLC 2021-2 A† | 2.15% | 6/19/2051 | 30,074 | 30,359,965 | ||||||||
TRP LLC 2021-1 A† | 2.07% | 6/19/2051 | 21,312 | 21,423,964 | ||||||||
VERDE CLO Ltd. 2019-1A CR† | 2.126% (3 Mo. LIBOR + 2.00%) | # | 4/15/2032 | 5,000 | 5,006,435 | |||||||
Wellman Park CLO Ltd. 2021-1A B† | 1.728% (3 Mo. LIBOR + 1.60%) | # | 7/15/2034 | 24,000 | 24,002,659 | |||||||
Wellman Park CLO Ltd. 2021-1A D† | 3.078% (3 Mo. LIBOR + 2.95%) | # | 7/15/2034 | 24,250 | 24,254,316 | |||||||
Wind River CLO Ltd. 2021-2A D† | 3.223% (3 Mo. LIBOR + 3.15%) | # | 7/20/2034 | 7,610 | 7,610,771 | |||||||
Zaxby’s Funding LLC 2021-1A A2† | 3.238% | 7/30/2051 | 31,021 | 31,691,677 | ||||||||
Total | 1,341,448,041 | |||||||||||
Total Asset-Backed Securities (cost $1,540,950,023) | 1,546,824,091 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 10.85% | ||||||||||||
Air Freight & Logistics 0.15% | ||||||||||||
Expeditors International of Washington, Inc. | 332 | 39,579,036 | ||||||||||
Airlines 0.15% | ||||||||||||
Alaska Air Group, Inc.* | 702 | 41,161,636 | ||||||||||
Auto Components 0.02% | ||||||||||||
Chassix Holdings, Inc. | 607 | 4,552,928 | (c) |
See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Shares (000) | Fair Value | ||||||||||
Automobiles 0.15% | ||||||||||||
Porsche Automobil Holding SE(d) | EUR | 399 | $ | 39,461,769 | ||||||||
Banks 0.59% | ||||||||||||
Signature Bank | 290 | 79,025,458 | ||||||||||
SVB Financial Group* | 123 | 79,323,013 | ||||||||||
Total | 158,348,471 | |||||||||||
Beverages 0.16% | ||||||||||||
Brown - Forman Corp. Class B | 378 | 25,302,708 | ||||||||||
Treasury Wine Estates Ltd.(d) | AUD | 2,097 | 18,493,896 | |||||||||
Total | 43,796,604 | |||||||||||
Biotechnology 0.56% | ||||||||||||
Alnylam Pharmaceuticals, Inc.* | 224 | 42,379,349 | ||||||||||
Horizon Therapeutics plc* | 257 | 28,144,769 | ||||||||||
Intellia Therapeutics, Inc.* | 167 | 22,361,866 | ||||||||||
Novavax, Inc.* | 271 | 56,177,486 | ||||||||||
Total | 149,063,470 | |||||||||||
Capital Markets 0.75% | ||||||||||||
Allfunds Group plc*(d) | EUR | 1,504 | 29,231,958 | |||||||||
Blackstone Group, Inc. (The) | 559 | 65,039,644 | ||||||||||
Goldman Sachs Group, Inc. (The) | 138 | 52,033,183 | ||||||||||
MSCI, Inc. | 88 | 53,418,944 | ||||||||||
Total | 199,723,729 | |||||||||||
Consumer Finance 0.11% | ||||||||||||
Upstart Holdings, Inc.* | 89 | 28,060,633 | ||||||||||
Distributors 0.05% | ||||||||||||
Pool Corp. | 30 | 12,967,573 | ||||||||||
Electric - Generation 0.00% | ||||||||||||
Frontera Generation Holdings LLC | 126 | 275,612 | (c) | |||||||||
Electronic Equipment, Instruments & Components 0.11% | ||||||||||||
Trimble, Inc.* | 342 | 28,099,972 | ||||||||||
Entertainment 0.25% | ||||||||||||
Netflix, Inc.* | 44 | 26,832,988 | ||||||||||
Sea Ltd. ADR* | 129 | 41,116,807 | ||||||||||
Total | 67,949,795 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Shares (000) | Fair Value | ||||||||||
Food & Staples Retailing 0.10% | ||||||||||||
Kroger Co. (The) | 691 | $ | 27,923,586 | |||||||||
Food Products 0.20% | ||||||||||||
Hershey Co. (The) | 309 | 52,317,037 | ||||||||||
Health Care Equipment & Supplies 0.49% | ||||||||||||
Cooper Cos., Inc. (The) | 60 | 24,806,866 | ||||||||||
Dexcom, Inc.* | 73 | 39,983,669 | ||||||||||
Edwards Lifesciences Corp.* | 586 | 66,367,664 | ||||||||||
Total | 131,158,199 | |||||||||||
Health Care Providers & Services 0.08% | ||||||||||||
AMN Healthcare Services, Inc.* | 186 | 21,373,220 | ||||||||||
Hotels, Restaurants & Leisure 1.14% | ||||||||||||
Airbnb, Inc. Class A* | 319 | 53,524,831 | ||||||||||
Caesars Entertainment, Inc.* | 828 | 92,920,346 | ||||||||||
Domino’s Pizza, Inc. | 88 | 42,142,755 | ||||||||||
Hilton Worldwide Holdings, Inc.* | 496 | 65,521,011 | ||||||||||
Vail Resorts, Inc. | 156 | 51,976,510 | ||||||||||
Total | 306,085,453 | |||||||||||
Information Technology Services 0.32% | ||||||||||||
Adyen NV†*(d) | EUR | 17 | 46,307,962 | |||||||||
Square, Inc. Class A* | 169 | 40,474,439 | ||||||||||
Total | 86,782,401 | |||||||||||
Interactive Media & Services 0.15% | ||||||||||||
Snap, Inc. Class A* | 546 | 40,329,770 | ||||||||||
Internet & Direct Marketing Retail 0.22% | ||||||||||||
DoorDash, Inc. Class A* | 283 | 58,313,556 | ||||||||||
Life Sciences Tools & Services 0.14% | ||||||||||||
Illumina, Inc.* | 94 | 38,261,597 | ||||||||||
Machinery 0.35% | ||||||||||||
Pentair plc (United Kingdom)(e) | 746 | 54,164,984 | ||||||||||
RBC Bearings, Inc.* | 187 | 39,714,928 | ||||||||||
Total | 93,879,912 | |||||||||||
Metals & Mining 0.25% | ||||||||||||
Alcoa Corp.* | 1,366 | 66,845,776 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Shares (000) | Fair Value | ||||||||||
Miscellaneous Financials 0.02% | ||||||||||||
UTEX Industries, Inc. | 114 | $ | 5,464,320 | |||||||||
Oil, Gas & Consumable Fuels 1.55% | ||||||||||||
Cameco Corp. (Canada)(e) | 1,239 | 26,926,686 | ||||||||||
Cheniere Energy, Inc. | 558 | 54,451,806 | ||||||||||
Continental Resources, Inc. | 1,869 | 86,268,103 | ||||||||||
Devon Energy Corp. | 2,845 | 101,031,135 | ||||||||||
Dommo Energia SA*(d) | BRL | 710 | 99,128 | |||||||||
PDC Energy, Inc. | 1,734 | 82,184,401 | ||||||||||
Southwestern Energy Co.* | 11,455 | 63,458,661 | ||||||||||
Total | 414,419,920 | |||||||||||
Personal Products 0.05% | ||||||||||||
Gibson Brands, Inc. | 107 | 12,560,985 | (c) | |||||||||
Revlon, Inc. Class A | 1,798 | 231,548 | ||||||||||
Total | 12,792,533 | |||||||||||
Professional Services 0.15% | ||||||||||||
Equifax, Inc. | 161 | 40,705,334 | ||||||||||
Real Estate Management & Development 0.15% | ||||||||||||
CBRE Group, Inc. Class A* | 413 | 40,172,294 | ||||||||||
Road & Rail 0.34% | ||||||||||||
Old Dominion Freight Line, Inc. | 314 | 89,733,375 | ||||||||||
Semiconductors & Semiconductor Equipment 0.34% | ||||||||||||
KLA Corp. | 146 | 48,801,330 | ||||||||||
NVIDIA Corp. | 204 | 42,209,264 | ||||||||||
Total | 91,010,594 | |||||||||||
Software 0.83% | ||||||||||||
Datadog, Inc. Class A* | 388 | 54,872,494 | ||||||||||
HubSpot, Inc.* | 79 | 53,221,129 | ||||||||||
Intuit, Inc. | 98 | 52,898,955 | ||||||||||
Oracle Corp. | 323 | 28,162,769 | ||||||||||
Palantir Technologies, Inc. Class A* | 1,420 | 34,131,535 | ||||||||||
Total | 223,286,882 | |||||||||||
Specialty Retail 0.12% | ||||||||||||
Claires Holdings LLC | 15 | 4,296,567 | (c) | |||||||||
O’Reilly Automotive, Inc.* | 44 | 26,791,315 | ||||||||||
Total | 31,087,882 |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Shares (000) | Fair Value | ||||||||||
Textiles, Apparel & Luxury Goods 0.40% | ||||||||||||
Lululemon Athletica, Inc. (Canada)*(e) | 199 | $ | 80,504,138 | |||||||||
Moncler SpA(d) | EUR | 437 | 26,647,522 | |||||||||
Total | 107,151,660 | |||||||||||
Trading Companies & Distributors 0.32% | ||||||||||||
SiteOne Landscape Supply, Inc.* | 143 | 28,477,334 | ||||||||||
United Rentals, Inc.* | 162 | 56,947,517 | ||||||||||
Total | 85,424,851 | |||||||||||
Transportation Infrastructure 0.00% | ||||||||||||
ACBL Holdings Corp. | 45 | 1,128,037 | ||||||||||
Water Utilities 0.09% | ||||||||||||
American Water Works Co., Inc. | 148 | 24,937,626 | ||||||||||
Total Common Stocks (cost $2,806,683,946) | 2,903,627,043 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 0.19% | ||||||||||||
Auto Manufacturers | ||||||||||||
Tesla, Inc. (cost $46,916,363) | 2.00% | 5/15/2024 | $ | 4,108 | 51,276,107 | |||||||
CORPORATE BONDS 65.47% | ||||||||||||
Advertising 0.28% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.50% | 6/1/2029 | 9,474 | 9,864,803 | ||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.75% | 4/15/2028 | 28,424 | 29,954,348 | ||||||||
Midas OpCo Holdings LLC† | 5.625% | 8/15/2029 | 32,936 | 34,121,696 | ||||||||
Total | 73,940,847 | |||||||||||
Aerospace/Defense 0.97% | ||||||||||||
Bombardier, Inc. (Canada)†(e) | 6.00% | 2/15/2028 | 1,774 | 1,796,344 | ||||||||
Bombardier, Inc. (Canada)†(e) | 7.125% | 6/15/2026 | 39,593 | 41,622,141 | ||||||||
Howmet Aerospace, Inc. | 3.00% | 1/15/2029 | 26,006 | 26,262,159 | ||||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 31,099 | 35,418,082 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 93,082 | 95,763,692 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 36,017 | 37,592,744 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 19,375 | 20,012,631 | ||||||||
Total | 258,467,793 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Agriculture 0.31% | ||||||||||||
Viterra Finance BV (Netherlands)†(e) | 2.00% | 4/21/2026 | $ | 44,671 | $ | 45,015,309 | ||||||
Viterra Finance BV (Netherlands)†(e) | 3.20% | 4/21/2031 | 37,600 | 38,239,531 | ||||||||
Total | 83,254,840 | |||||||||||
Airlines 1.45% | ||||||||||||
Air Canada (Canada)†(e) | 3.875% | 8/15/2026 | 33,340 | 33,683,402 | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust† | 4.80% | 8/15/2027 | 23,485 | 26,212,095 | ||||||||
American Airlines Group, Inc.† | 5.00% | 6/1/2022 | 34,394 | 34,479,985 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 31,026 | 33,469,297 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 32,794 | 30,952,125 | ||||||||
Delta Air Lines 2019-1 Class AA Pass Through Trust | 3.204% | 4/25/2024 | 22,520 | 23,797,834 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 44,594 | 52,024,759 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 29,268 | 32,651,906 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 21,092 | 22,094,103 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 5/15/2028 | 12,646 | 12,825,671 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 36,232 | 39,446,141 | ||||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 10/15/2027 | 18,073 | 20,261,039 | ||||||||
United Airlines, Inc.† | 4.375% | 4/15/2026 | 11,655 | 11,975,512 | ||||||||
United Airlines, Inc.† | 4.625% | 4/15/2029 | 12,966 | 13,415,920 | ||||||||
Total | 387,289,789 | |||||||||||
Apparel 0.24% | ||||||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 37,377 | 37,797,491 | ||||||||
Wolverine World Wide, Inc.† | 4.00% | 8/15/2029 | 25,619 | 25,907,214 | ||||||||
Total | 63,704,705 | |||||||||||
Auto Manufacturers 1.88% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 44,553 | 43,383,484 | ||||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 32,668 | 37,699,523 | ||||||||
Ford Motor Co. | 4.75% | 1/15/2043 | 76,482 | 80,258,681 | ||||||||
Ford Motor Co. | 5.291% | 12/8/2046 | 9,709 | 10,825,535 | ||||||||
Ford Motor Co. | 6.625% | 10/1/2028 | 9,873 | 11,860,139 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 27,765 | 36,263,866 | ||||||||
Ford Motor Co. | 9.00% | 4/22/2025 | 77,761 | 93,607,137 | ||||||||
Ford Motor Co. | 9.625% | 4/22/2030 | 22,491 | 31,863,562 | ||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 45,275 | 47,142,594 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
General Motors Co. | 6.125% | 10/1/2025 | $ | 22,600 | $ | 26,489,499 | ||||||
General Motors Financial Co., Inc. | 2.70% | 6/10/2031 | 36,578 | 36,493,706 | ||||||||
General Motors Financial Co., Inc. | 5.25% | 3/1/2026 | 24,966 | 28,543,670 | ||||||||
Volkswagen Group of America Finance LLC† | 3.75% | 5/13/2030 | 17,706 | 19,593,574 | ||||||||
Total | 504,024,970 | |||||||||||
Auto Parts & Equipment 0.34% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 19,500 | 19,987,890 | ||||||||
Clarios Global LP/Clarios US Finance Co.† | 8.50% | 5/15/2027 | 25,080 | 26,710,200 | ||||||||
Lear Corp. | 4.25% | 5/15/2029 | 17,051 | 19,093,163 | ||||||||
Lear Corp. | 5.25% | 5/15/2049 | 19,893 | 24,767,383 | ||||||||
Total | 90,558,636 | |||||||||||
Banks 3.79% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(e) | 4.75% | 7/28/2025 | 31,461 | 34,930,329 | ||||||||
AIB Group plc (Ireland)†(e) | 4.263% (3 Mo. LIBOR + 1.87%) | # | 4/10/2025 | 19,998 | 21,447,783 | |||||||
Alfa Bank AO Via Alfa Bond Issuance plc (Ireland)†(e) | 5.50% (5 Yr. Treasury CMT + 4.55%) | # | 10/26/2031 | 43,431 | 44,474,430 | |||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(e) | 6.75% (USD Swap + 5.17%) | # | – | (f) | 19,074 | 22,267,846 | ||||||
Banco Mercantil del Norte SA† | 7.625% (10 Yr. Treasury CMT + 5.35%) | # | – | (f) | 20,928 | 23,368,728 | ||||||
Banco Nacional de Comercio Exterior SNC† | 2.72% (5 Yr. Treasury CMT + 2.00%) | # | 8/11/2031 | 19,026 | 19,144,912 | |||||||
Bangkok Bank pcl (Hong Kong)†(e) | 5.00% (5 Yr. Treasury CMT + 4.73%) | # | – | (f) | 34,604 | 36,031,415 | ||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 19,634 | 21,995,675 | ||||||||
Bank of Ireland Group plc (Ireland)†(e) | 2.029% (1 Yr. Treasury CMT + 1.10%) | # | 9/30/2027 | 24,345 | 24,358,176 | |||||||
Bank of Ireland Group plc (Ireland)†(e) | 4.50% | 11/25/2023 | 31,384 | 33,690,954 | ||||||||
Bank OZK | 2.75% (SOFR + 2.09%) | # | 10/1/2031 | 41,658 | 41,747,874 | |||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,313 | 27,480,035 | ||||||||
CIT Bank NA | 2.969% (SOFR + 1.72%) | # | 9/27/2025 | 16,827 | 17,707,893 | |||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 55,745 | 67,458,139 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 49,487 | 56,316,632 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Fifth Third Bancorp | 8.25% | 3/1/2038 | $ | 8,042 | $ | 13,354,769 | ||||||
Global Bank Corp. (Panama)†(e) | 5.25% (3 Mo. LIBOR + 3.30%) | # | 4/16/2029 | 33,093 | 34,954,481 | |||||||
Goldman Sachs Group, Inc. (The) | 3.50% | 11/16/2026 | 13,667 | 14,775,599 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.25% | 10/21/2025 | 18,995 | 21,045,735 | ||||||||
Home BancShares, Inc. | 5.625% (3 Mo. LIBOR + 3.58%) | # | 4/15/2027 | 19,864 | 20,214,946 | |||||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88%) | # | – | (f) | 15,381 | 15,754,853 | ||||||
ING Groep NV (Netherlands)(e) | 5.75% (5 Yr. Treasury CMT + 4.34%) | # | – | (f) | 43,461 | 47,599,139 | ||||||
Intesa Sanpaolo SpA (Italy)†(e) | 4.198% | 6/1/2032 | 35,367 | 36,290,172 | ||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38%) | # | 5/1/2028 | 11,994 | 13,108,548 | |||||||
JPMorgan Chase & Co. | 6.10% (3 Mo. LIBOR + 3.33%) | # | – | (f) | 12,752 | 13,866,844 | ||||||
Kookmin Bank (South Korea)†(e) | 1.75% | 5/4/2025 | 22,600 | 22,952,740 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(e) | 6.125% (5 Yr. Swap rate + 3.70%) | # | – | (f) | 32,254 | 35,377,316 | ||||||
Morgan Stanley | 3.125% | 7/27/2026 | 18,976 | 20,434,575 | ||||||||
Morgan Stanley | 3.625% | 1/20/2027 | 12,804 | 14,122,451 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,922 | 17,116,150 | ||||||||
SVB Financial Group | 3.125% | 6/5/2030 | 19,534 | 20,918,029 | ||||||||
SVB Financial Group | 4.10% (10 Yr. Treasury CMT + 3.06%) | # | – | (f) | 38,763 | 40,034,426 | ||||||
UniCredit SpA (Italy)†(e) | 5.861% (USD Swap + 3.70%) | # | 6/19/2032 | 27,137 | 30,202,076 | |||||||
United Overseas Bank Ltd. (Singapore)†(e) | 2.00% (5 Yr. Treasury CMT + 1.23%) | # | 10/14/2031 | 26,650 | 26,664,937 | |||||||
US Bancorp | 3.00% | 7/30/2029 | 13,452 | 14,457,470 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 27,684 | 30,621,440 | ||||||||
Western Alliance Bancorp | 3.00% (SOFR + 2.25%) | # | 6/15/2031 | 17,415 | 17,800,132 | |||||||
Total | 1,014,087,649 | |||||||||||
Beverages 0.49% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 23,151 | 24,279,656 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,381 | 37,429,652 | ||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 18,174 | 23,212,179 | ||||||||
Suntory Holdings Ltd. (Japan)†(e) | 2.25% | 10/16/2024 | 44,835 | 46,464,366 | ||||||||
Total | 131,385,853 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Biotechnology 0.24% | ||||||||||||
Biogen, Inc. | 3.15% | 5/1/2050 | $ | 45,288 | $ | 43,252,621 | ||||||
Regeneron Pharmaceuticals, Inc. | 2.80% | 9/15/2050 | 22,574 | 20,883,672 | ||||||||
Total | 64,136,293 | |||||||||||
Building Materials 0.57% | ||||||||||||
Builders FirstSource, Inc.† | 4.25% | 2/1/2032 | 24,900 | 25,491,375 | ||||||||
Carrier Global Corp. | 2.70% | 2/15/2031 | 25,447 | 26,220,790 | ||||||||
Lennox International, Inc. | 1.70% | 8/1/2027 | 18,081 | 17,963,811 | ||||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 15,053 | 15,869,625 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 26,681 | 30,807,591 | ||||||||
Owens Corning, Inc. | 4.40% | 1/30/2048 | 15,778 | 18,498,615 | ||||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | 14,595 | 17,728,688 | ||||||||
Total | 152,580,495 | |||||||||||
Chemicals 0.93% | ||||||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,920 | 27,289,528 | ||||||||
Chemours Co. (The)† | 5.75% | 11/15/2028 | 21,661 | 22,710,475 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 13,468 | 14,549,979 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 24,547 | 24,516,316 | ||||||||
OCP SA (Morocco)†(e) | 3.75% | 6/23/2031 | 38,159 | 38,138,280 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 16,648 | 17,085,010 | ||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | 10,878 | 10,945,988 | ||||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 16,314 | 15,682,159 | ||||||||
Sociedad Quimica y Minera de Chile SA (Chile)†(e) | 3.50% | 9/10/2051 | 32,028 | 30,915,027 | ||||||||
Tronox, Inc.† | 4.625% | 3/15/2029 | 19,738 | 19,663,982 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(e) | 6.25% | 1/19/2023 | 27,120 | 27,933,508 | ||||||||
Total | 249,430,252 | |||||||||||
Coal 0.08% | ||||||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 19,893 | 20,216,261 | ||||||||
Commercial Services 2.14% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 4.375% | 7/3/2029 | 26,773 | 28,183,961 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,365 | 19,550,400 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 4.75% | 4/1/2028 | 6,898 | 7,121,426 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 5.375% | 3/1/2029 | 31,284 | 33,105,824 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 27,395 | 28,498,723 | ||||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 20,223 | 29,136,619 | ||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 17,267 | 17,574,520 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Commercial Services (continued) | ||||||||||||
Georgetown University (The) | 2.943% | 4/1/2050 | $ | 17,968 | $ | 17,725,204 | ||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 41,296 | 42,640,858 | ||||||||
Global Payments, Inc. | 4.15% | 8/15/2049 | 22,442 | 25,242,944 | ||||||||
Hertz Corp. (The)† | 5.50% | 10/15/2024 | 16,775 | 419,375 | ||||||||
Hertz Corp. (The)† | 6.00% | 1/15/2028 | 33,436 | 2,173,340 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658 | 8,719,455 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 10,114 | 10,326,990 | ||||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(e) | 5.375% | 11/15/2024 | 30,508 | 31,963,964 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 26,471 | 29,668,955 | ||||||||
PayPal Holdings, Inc. | 3.25% | 6/1/2050 | 47,393 | 51,205,233 | ||||||||
Quanta Services, Inc. | 2.90% | 10/1/2030 | 15,040 | 15,569,221 | ||||||||
Square, Inc.† | 3.50% | 6/1/2031 | 45,331 | 46,554,030 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 31,623 | 31,744,568 | ||||||||
Triton Container International Ltd.† | 3.15% | 6/15/2031 | 18,102 | 18,294,056 | ||||||||
United Rentals North America, Inc. | 3.875% | 2/15/2031 | 15,107 | 15,503,559 | ||||||||
United Rentals North America, Inc. | 4.00% | 7/15/2030 | 21,994 | 22,846,267 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 21,596 | 22,859,798 | ||||||||
Verisk Analytics, Inc. | 3.625% | 5/15/2050 | 15,070 | 16,056,969 | ||||||||
Total | 572,686,259 | |||||||||||
Computers 0.97% | ||||||||||||
Apple, Inc. | 3.00% | 6/20/2027 | 26,927 | 29,496,479 | ||||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 160,638 | 160,300,660 | ||||||||
Presidio Holdings, Inc.† | 4.875% | 2/1/2027 | 16,307 | 16,857,361 | ||||||||
Teledyne FLIR LLC | 2.50% | 8/1/2030 | 18,054 | 18,214,877 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 32,314 | 35,828,794 | ||||||||
Total | 260,698,171 | |||||||||||
Distribution/Wholesale 0.24% | ||||||||||||
Ferguson Finance plc (United Kingdom)†(e) | 3.25% | 6/2/2030 | 30,527 | 32,653,918 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 30,483 | 30,402,220 | ||||||||
Total | 63,056,138 | |||||||||||
Diversified Financial Services 2.12% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 21,094 | 22,152,708 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 27,043 | 39,038,461 | ||||||||
Blackstone Holdings Finance Co. LLC† | 2.00% | 1/30/2032 | 31,661 | 30,442,126 | ||||||||
Blackstone Private Credit Fund† | 2.625% | 12/15/2026 | 36,221 | 36,124,496 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
Blue Owl Finance LLC†(b) | 4.125% | 10/7/2051 | $ | 27,160 | $ | 26,483,988 | ||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr. Treasury CMT + 4.97%) | # | – | (f) | 23,820 | 26,529,525 | ||||||
Coinbase Global, Inc.† | 3.375% | 10/1/2028 | 27,313 | 26,277,291 | ||||||||
Coinbase Global, Inc.† | 3.625% | 10/1/2031 | 14,207 | 13,523,288 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 34,976 | 34,306,912 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(e)(g) | 6.054% (3 Mo. LIBOR + 5.75 %) | 1/15/2015 | 15,000 | 1,500 | (h) | |||||||
Nationstar Mortgage Holdings, Inc.† | 5.125% | 12/15/2030 | 15,239 | 15,292,337 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 31,847 | 34,139,984 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 33,898 | 37,075,937 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 22,924 | 25,328,269 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 26,061 | 30,119,487 | ||||||||
OneMain Finance Corp. | 4.00% | 9/15/2030 | 43,238 | 43,075,857 | ||||||||
OneMain Finance Corp. | 7.125% | 3/15/2026 | 37,963 | 44,037,080 | ||||||||
Rocket Mortgage LLC† | 5.25% | 1/15/2028 | 15,000 | 16,181,250 | ||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.† | 3.625% | 3/1/2029 | 28,365 | 28,719,562 | ||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.† | 3.875% | 3/1/2031 | 18,669 | 18,855,690 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 19,271 | 19,433,133 | ||||||||
Total | 567,138,881 | |||||||||||
Electric 2.79% | ||||||||||||
AES Corp. (The) | 2.45% | 1/15/2031 | 37,063 | 36,602,130 | ||||||||
Alfa Desarrollo SpA (Chile)†(e) | 4.55% | 9/27/2051 | 33,895 | 33,106,941 | ||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 13,493 | 15,309,942 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 4.35% | 8/1/2028 | 13,786 | 15,523,172 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 13,491 | 15,595,360 | ||||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 22,848 | 22,019,760 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 39,661 | 39,115,661 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 21,862 | 21,889,327 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 19,268 | 19,537,446 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 23,241 | 24,631,974 | ||||||||
DPL, Inc. | 4.35% | 4/15/2029 | 17,956 | 19,554,533 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 20,062 | 24,638,540 | ||||||||
Electricite de France SA (France)†(e) | 3.625% | 10/13/2025 | 13,500 | 14,681,880 | ||||||||
Electricite de France SA (France)†(e) | 4.50% | 9/21/2028 | 14,507 | 16,713,228 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Empresa de Transmision Electrica SA (Panama)†(e) | 5.125% | 5/2/2049 | $ | 21,680 | $ | 24,268,484 | ||||||
Enel Finance International NV (Netherlands)†(e) | 3.50% | 4/6/2028 | 45,048 | 49,338,420 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,151 | 20,454,951 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 16,883 | 18,481,063 | ||||||||
FirstEnergy Corp. | 4.40% | 7/15/2027 | 50,740 | 55,706,749 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 24,503 | 28,489,684 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039 | 17,854,555 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 13,657 | 14,962,721 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,654 | 49,696,307 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 19,300 | 20,785,811 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 52,435 | 55,843,275 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 13,891 | 15,016,639 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 10,681 | 11,148,294 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,265 | 28,969,063 | ||||||||
Union Electric Co. | 2.625% | 3/15/2051 | 17,622 | 16,745,309 | ||||||||
Total | 746,681,219 | |||||||||||
Electronics 0.35% | ||||||||||||
Allegion plc (Ireland)(e) | 3.50% | 10/1/2029 | 11,813 | 12,793,261 | ||||||||
Amphenol Corp. | 2.05% | 3/1/2025 | 13,443 | 13,878,406 | ||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | 31,417 | 32,950,359 | ||||||||
Flex Ltd. | 4.875% | 5/12/2030 | 28,778 | 33,402,066 | ||||||||
Total | 93,024,092 | |||||||||||
Energy - Alternate Sources 0.46% | ||||||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 23,615 | 24,736,713 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 24,169 | 25,981,675 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 61,305 | 73,757,575 | ||||||||
Total | 124,475,963 | |||||||||||
Engineering & Construction 0.35% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(e) | 5.125% | 8/11/2061 | 32,350 | 33,989,013 | ||||||||
Cellnex Finance Co. S.A. (Spain)†(e) | 3.875% | 7/7/2041 | 16,938 | 16,666,230 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 40,545 | 41,896,973 | ||||||||
Total | 92,552,216 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Entertainment 1.86% | ||||||||||||
Caesars Entertainment, Inc.† | 4.625% | 10/15/2029 | $ | 21,041 | $ | 21,330,314 | ||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | 74,097 | 83,394,321 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.75% | 7/1/2025 | 13,522 | 14,272,133 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 21,420 | 22,437,450 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 36,639 | 38,058,761 | ||||||||
Cinemark USA, Inc.† | 5.25% | 7/15/2028 | 25,403 | 25,058,535 | ||||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | 23,295 | 23,185,805 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(e) | 5.75% | 6/15/2026 | 15,129 | 15,647,698 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp† | 4.875% | 5/1/2029 | 34,064 | 34,745,280 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 21,238 | 22,352,995 | ||||||||
Mohegan Gaming & Entertainment† | 8.00% | 2/1/2026 | 57,507 | 60,014,305 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 25,676 | 26,478,375 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/16/2029 | 25,600 | 26,144,690 | ||||||||
Scientific Games International, Inc.† | 7.00% | 5/15/2028 | 24,412 | 26,364,960 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 16,014 | 18,013,948 | ||||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 27,181 | 27,843,537 | ||||||||
WMG Acquisition Corp.† | 3.00% | 2/15/2031 | 11,463 | 11,205,083 | ||||||||
Total | 496,548,190 | |||||||||||
Environmental Control 0.26% | ||||||||||||
Madison IAQ LLC† | 4.125% | 6/30/2028 | 22,625 | 22,653,621 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 27,192 | 27,431,425 | ||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 18,300 | 18,508,437 | ||||||||
Total | 68,593,483 | |||||||||||
Food 2.07% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.625% | 1/15/2027 | 10,224 | 10,738,104 | ||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 4.875% | 2/15/2030 | 51,071 | 55,092,841 | ||||||||
Arcor SAIC (Argentina)†(e) | 6.00% | 7/6/2023 | 17,167 | 16,908,122 | ||||||||
Campbell Soup Co. | 3.125% | 4/24/2050 | 42,475 | 41,223,548 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 25,074 | 26,120,839 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(e) | 5.625% | 8/15/2026 | 18,758 | 19,318,677 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 50,781 | 55,097,893 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 72,003 | 82,073,158 | ||||||||
Kraft Heinz Foods Co. | 4.875% | 10/1/2049 | 59,081 | 72,043,846 | ||||||||
Kraft Heinz Foods Co. | 5.00% | 6/4/2042 | 28,714 | 35,274,338 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food (continued) | ||||||||||||
Kraft Heinz Foods Co. | 5.20% | 7/15/2045 | $ | 20,277 | $ | 25,440,250 | ||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 15,431 | 15,793,250 | ||||||||
McCormick & Co., Inc. | 4.20% | 8/15/2047 | 21,326 | 25,390,597 | ||||||||
SEG Holding LLC/SEG Finance Corp.† | 5.625% | 10/15/2028 | 22,666 | 23,657,637 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 28,272 | 32,494,200 | ||||||||
Sysco Corp. | 2.40% | 2/15/2030 | 17,926 | 18,215,523 | ||||||||
Total | 554,882,823 | |||||||||||
Forest Products & Paper 0.07% | ||||||||||||
Suzano Austria GmbH (Brazil)(e) | 3.75% | 1/15/2031 | 18,821 | 19,357,399 | ||||||||
Gas 0.05% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 11,916 | 12,777,547 | ||||||||
Health Care - Products 0.27% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,575 | 24,089,856 | ||||||||
Boston Scientific Corp. | 7.00% | 11/15/2035 | 16,135 | 22,928,298 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 20,927 | 24,002,065 | ||||||||
Total | 71,020,219 | |||||||||||
Health Care - Services 3.32% | ||||||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 26,990 | 27,100,644 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 8,881 | 10,668,002 | ||||||||
Centene Corp. | 2.45% | 7/15/2028 | 19,128 | 19,247,550 | ||||||||
Centene Corp. | 2.50% | 3/1/2031 | 23,806 | 23,508,425 | ||||||||
Centene Corp. | 3.00% | 10/15/2030 | 24,346 | 24,985,083 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 45,763 | 47,435,638 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 31,215 | 34,057,126 | ||||||||
Charles River Laboratories International, Inc.† | 3.75% | 3/15/2029 | 22,666 | 23,175,985 | ||||||||
CHS/Community Health Systems, Inc.† | 4.75% | 2/15/2031 | 45,323 | 45,662,923 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 29,836 | 30,954,999 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 78,221 | 101,600,088 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776 | 15,383,071 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628 | 21,528,200 | ||||||||
Legacy LifePoint Health LLC† | 4.375% | 2/15/2027 | 35,115 | 35,071,106 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034 | 35,655,829 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 18,940 | 19,815,975 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 18,042 | 21,005,262 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 21,163 | 23,399,427 | ||||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078 | 20,310,905 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12,348 | 14,626,201 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care - Services (continued) | ||||||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | $ | 14,960 | $ | 15,621,706 | ||||||
Quest Diagnostics, Inc. | 2.80% | 6/30/2031 | 13,505 | 14,120,797 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(e) | 4.95% | 1/17/2028 | 20,352 | 21,369,804 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 20,282 | 21,448,215 | ||||||||
RP Escrow Issuer LLC† | 5.25% | 12/15/2025 | 16,541 | 17,038,140 | ||||||||
Seattle Children’s Hospital | 2.719% | 10/1/2050 | 18,062 | 17,617,297 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 15,305 | 16,548,531 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 19,784 | 20,499,587 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 10/1/2028 | 36,407 | 38,291,426 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 42,711 | 44,366,051 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 19,692 | 21,252,591 | ||||||||
Universal Health Services, Inc.† | 2.65% | 10/15/2030 | 18,799 | 18,907,846 | ||||||||
Universal Health Services, Inc.† | 2.65% | 1/15/2032 | 27,147 | 26,915,263 | ||||||||
Total | 889,189,693 | |||||||||||
Home Builders 0.50% | ||||||||||||
Beazer Homes USA, Inc. | 7.25% | 10/15/2029 | 15,808 | 17,435,117 | ||||||||
D.R. Horton, Inc. | 2.60% | 10/15/2025 | 10,508 | 11,035,873 | ||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 51,660 | 54,098,394 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 27,646 | 36,361,402 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 12,916 | 14,530,500 | ||||||||
Total | 133,461,286 | |||||||||||
Home Furnishings 0.13% | ||||||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 31,431 | 35,781,795 | ||||||||
Household Products/Wares 0.06% | ||||||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 12,635 | 16,636,688 | ||||||||
Housewares 0.31% | ||||||||||||
Newell Brands, Inc. | 4.70% | 4/1/2026 | 58,683 | 64,773,122 | ||||||||
Newell Brands, Inc. | 5.875% | 4/1/2036 | 15,478 | 19,243,797 | ||||||||
Total | 84,016,919 | |||||||||||
Insurance 1.36% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(e) | 3.20% | 9/16/2040 | 18,831 | 19,042,086 | ||||||||
AIA Group Ltd. (Hong Kong)†(e) | 3.375% | 4/7/2030 | 17,824 | 19,237,180 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 13,319 | 15,004,025 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 30,158 | 29,933,236 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 14,558 | 15,826,584 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
AXIS Specialty Finance plc (United Kingdom)(e) | 5.15% | 4/1/2045 | $ | 21,094 | $ | 25,234,805 | ||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 22,560 | 22,507,456 | ||||||||
Farmers Insurance Exchange† | 4.747% (3 Mo. LIBOR + 3.23%) | # | 11/1/2057 | 15,790 | 18,051,652 | |||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 26,914 | 30,654,552 | ||||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 15,861 | 16,416,135 | ||||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610 | 32,700,373 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 26,944 | 29,744,165 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19,241 | 24,776,114 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | 17,804 | 21,539,487 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705 | 16,556,119 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809 | 27,568,798 | ||||||||
Total | 364,792,767 | |||||||||||
Internet 2.72% | ||||||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 28,837 | 31,723,759 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632 | 26,248,438 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 28,691 | 36,600,146 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 53,869 | 62,661,181 | ||||||||
Arches Buyer, Inc.† | 4.25% | 6/1/2028 | 23,790 | 24,150,419 | ||||||||
Arches Buyer, Inc.† | 6.125% | 12/1/2028 | 22,666 | 23,132,580 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 24,475 | 25,545,781 | ||||||||
GrubHub Holdings, Inc.† | 5.50% | 7/1/2027 | 19,374 | 20,124,743 | ||||||||
Match Group Holdings II LLC† | 4.125% | 8/1/2030 | 50,236 | 52,371,030 | ||||||||
Match Group Holdings II LLC† | 5.00% | 12/15/2027 | 22,260 | 23,327,924 | ||||||||
Netflix, Inc.(d) | 3.625% | 5/15/2027 | EUR | 65,197 | 87,379,237 | |||||||
Netflix, Inc.†(d) | 3.625% | 6/15/2030 | EUR | 13,504 | 18,785,173 | |||||||
Netflix, Inc.†(d) | 3.875% | 11/15/2029 | EUR | 9,011 | 12,655,985 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 41,959 | 48,410,196 | |||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 33,484 | 39,469,265 | ||||||||
Netflix, Inc.† | 5.375% | 11/15/2029 | 19,637 | 23,809,863 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.595% | 1/19/2028 | 19,777 | 21,194,089 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.925% | 1/19/2038 | 23,479 | 24,951,332 | ||||||||
Uber Technologies, Inc.† | 4.50% | 8/15/2029 | 36,882 | 37,204,717 | ||||||||
Uber Technologies, Inc.† | 6.25% | 1/15/2028 | 13,570 | 14,570,788 | ||||||||
Uber Technologies, Inc.† | 7.50% | 9/15/2027 | 14,427 | 15,770,514 | ||||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 20,289 | 21,468,298 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Internet (continued) | ||||||||||||
VeriSign, Inc. | 2.70% | 6/15/2031 | $ | 11,907 | $ | 12,116,444 | ||||||
VeriSign, Inc. | 4.75% | 7/15/2027 | 21,815 | 22,974,467 | ||||||||
Total | 726,646,369 | |||||||||||
Investment Companies 0.11% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(e) | 2.50% | 10/6/2070 | 32,855 | 30,093,322 | ||||||||
Iron - Steel 0.34% | ||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(e) | 8.75% | 7/15/2026 | 18,211 | 19,296,922 | ||||||||
CSN Resources SA (Brazil)†(e) | 4.625% | 6/10/2031 | 24,983 | 24,701,941 | ||||||||
United States Steel Corp. | 6.875% | 3/1/2029 | 44,615 | 47,625,620 | ||||||||
Total | 91,624,483 | |||||||||||
Leisure Time 1.47% | ||||||||||||
Carnival Corp.† | 4.00% | 8/1/2028 | 68,824 | 69,598,270 | ||||||||
Carnival Corp.† | 5.75% | 3/1/2027 | 37,471 | 38,782,485 | ||||||||
Carnival Corp.† | 7.625% | 3/1/2026 | 12,609 | 13,475,869 | ||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 18,736 | 21,646,847 | ||||||||
Carnival Corp.† | 11.50% | 4/1/2023 | 42,826 | 47,858,055 | ||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 29,112 | 30,167,310 | ||||||||
NCL Corp. Ltd.† | 5.875% | 3/15/2026 | 50,633 | 51,966,926 | ||||||||
Pinnacle Bidco plc†(d) | 5.50% | 2/15/2025 | EUR | 18,919 | 22,615,855 | |||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | $ | 25,345 | 24,315,233 | |||||||
Royal Caribbean Cruises Ltd.† | 5.50% | 4/1/2028 | 25,000 | 25,606,975 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.125% | 6/15/2023 | 22,649 | 24,643,369 | ||||||||
Royal Caribbean Cruises Ltd.† | 11.50% | 6/1/2025 | 21,054 | 24,048,932 | ||||||||
Total | 394,726,126 | |||||||||||
Lodging 0.84% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 25,833 | 26,658,235 | ||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 22,980 | 22,800,430 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 36,017 | 38,682,618 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 27,083 | 28,799,455 | ||||||||
Melco Resorts Finance Ltd. (Hong Kong)†(e) | 5.75% | 7/21/2028 | 20,034 | 20,517,120 | ||||||||
Travel + Leisure Co. | 6.00% | 4/1/2027 | 27,077 | 30,057,352 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 24,798 | 25,081,689 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 32,800 | 33,497,000 | ||||||||
Total | 226,093,899 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Construction & Mining 0.09% | ||||||||||||
Terex Corp.† | 5.00% | 5/15/2029 | $ | 24,472 | $ | 25,389,700 | ||||||
Machinery - Diversified 0.41% | ||||||||||||
Dover Corp. | 2.95% | 11/4/2029 | 17,664 | 18,831,200 | ||||||||
IDEX Corp. | 3.00% | 5/1/2030 | 16,199 | 17,103,149 | ||||||||
Maxim Crane Works Holdings Capital LLC† | 10.125% | 8/1/2024 | 16,120 | 16,523,000 | ||||||||
TK Elevator Holdco GmbH†(d) | 6.625% | 7/15/2028 | EUR | 9,453 | 11,653,239 | |||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | $ | 17,989 | 19,261,106 | |||||||
Xylem, Inc. | 3.25% | 11/1/2026 | 23,531 | 25,562,872 | ||||||||
Total | 108,934,566 | |||||||||||
Media 1.94% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 27,032 | 27,741,590 | ||||||||
Cable Onda SA (Panama)†(e) | 4.50% | 1/30/2030 | 24,283 | 25,517,548 | ||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 33,897 | 33,812,257 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 58,655 | 61,151,357 | ||||||||
Clear Channel Worldwide Holdings, Inc.† | 5.125% | 8/15/2027 | 18,997 | 19,683,362 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 27,834 | 29,012,770 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 39,006 | 25,792,718 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 6.625% | 8/15/2027 | 38,236 | 16,792,486 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 59,161 | 66,880,031 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(e) | 6.75% | 10/15/2027 | 15,074 | 15,997,283 | ||||||||
News Corp.† | 3.875% | 5/15/2029 | 29,380 | 30,224,675 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 25,397 | 26,378,213 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 23,661 | 25,062,323 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 4.50% | 9/15/2026 | 10,439 | 10,791,316 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.50% | 9/15/2028 | 22,978 | 23,462,376 | ||||||||
UPC Broadband Finco BV (Netherlands)†(e) | 4.875% | 7/15/2031 | 54,021 | 55,377,467 | ||||||||
Urban One, Inc.† | 7.375% | 2/1/2028 | 22,601 | 24,262,400 | ||||||||
Total | 517,940,172 | |||||||||||
Metal Fabricate - Hardware 0.06% | ||||||||||||
Roller Bearing Co. of America, Inc.†(b) | 4.375% | 10/15/2029 | 14,903 | 15,294,204 | ||||||||
Mining 1.63% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(e) | 4.125% | 3/31/2029 | 32,661 | 34,028,843 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.95% | 9/10/2050 | 18,109 | 19,420,012 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 5.625% | 4/1/2030 | 17,340 | 20,939,405 | ||||||||
Antofagasta plc (Chile)†(e) | 2.375% | 10/14/2030 | 19,294 | 18,643,020 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Mining (continued) | ||||||||||||
Corp. Nacional del Cobre de Chile (Chile)†(e) | 3.75% | 1/15/2031 | $ | 16,720 | $ | 18,013,278 | ||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(e) | 4.375% | 4/1/2031 | 54,827 | 56,724,014 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 19,839 | 20,582,962 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 31,315 | 33,193,900 | ||||||||
Freeport-McMoRan, Inc. | 4.375% | 8/1/2028 | 17,287 | 18,108,133 | ||||||||
Freeport-McMoRan, Inc. | 4.625% | 8/1/2030 | 20,241 | 21,910,882 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 11,700 | 12,723,750 | ||||||||
Glencore Funding LLC† | 3.875% | 4/27/2051 | 18,133 | 18,999,551 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 17,694 | 19,082,537 | ||||||||
Kaiser Aluminum Corp.† | 4.50% | 6/1/2031 | 29,542 | 30,317,477 | ||||||||
Mirabela Nickel Ltd. (Australia)(e) | 1.00% | 9/10/2044 | 185 | 19 | (h) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,484 | 31,342,542 | ||||||||
Novelis Corp.† | 4.75% | 1/30/2030 | 27,118 | 28,581,016 | ||||||||
Teck Resources Ltd. (Canada)(e) | 3.90% | 7/15/2030 | 10,828 | 11,768,933 | ||||||||
Yamana Gold, Inc. (Canada)†(e) | 2.63% | 8/15/2031 | 22,744 | 22,246,714 | ||||||||
Total | 436,626,988 | |||||||||||
Miscellaneous Manufacturing 0.14% | ||||||||||||
General Electric Co. | 3.446% (3 Mo. LIBOR + 3.33%) | # | – | (f) | 24,035 | 23,579,736 | ||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(e) | 3.25% | 5/27/2025 | 13,036 | 14,047,775 | ||||||||
Total | 37,627,511 | |||||||||||
Multi-National 0.08% | ||||||||||||
Banco Latinoamericano de Comercio Exterior SA (Panama)†(e) | 2.375% | 9/14/2025 | 21,476 | 21,964,579 | ||||||||
Oil & Gas 9.06% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 22,664 | 23,896,922 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 56,277 | 60,745,957 | ||||||||
Apache Corp. | 4.375% | 10/15/2028 | 25,022 | 27,086,315 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 12,369 | 13,415,788 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 17,064 | 19,132,669 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 33,958 | 35,879,344 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 19,780 | 19,471,432 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 39,782 | 38,124,881 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 13,348 | 13,202,640 | ||||||||
Cenovus Energy, Inc. (Canada)(e) | 2.65% | 1/15/2032 | 15,162 | 14,889,847 | ||||||||
Cenovus Energy, Inc. (Canada)(e) | 3.75% | 2/15/2052 | 16,297 | 15,859,448 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Cenovus Energy, Inc. (Canada)(e) | 5.375% | 7/15/2025 | $ | 9,385 | $ | 10,693,867 | ||||||
Cenovus Energy, Inc. (Canada)(e) | 5.40% | 6/15/2047 | 50,417 | 61,961,833 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 31,260 | 30,730,456 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 59,083 | 60,285,339 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 9,067 | 9,442,328 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 21,722 | 23,486,913 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 39,755 | 44,028,662 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 48,840 | 59,096,400 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.00% | 5/1/2029 | 22,690 | 23,718,991 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 41,408 | 44,310,696 | ||||||||
Diamondback Energy, Inc. | 4.40% | 3/24/2051 | 55,492 | 63,053,691 | ||||||||
Diamondback Energy, Inc. | 4.75% | 5/31/2025 | 23,240 | 25,973,089 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 24,502 | 25,084,535 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 15,868 | 16,550,721 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 18,862 | 19,875,833 | ||||||||
EQT Corp.† | 3.625% | 5/15/2031 | 12,175 | 12,701,569 | ||||||||
EQT Corp. | 6.625% | 2/1/2025 | 28,591 | 32,759,568 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 23,752 | 25,647,440 | ||||||||
Helmerich & Payne, Inc.† | 2.90% | 9/29/2031 | 34,825 | 34,936,196 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 2/1/2029 | 19,006 | 19,552,423 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 26,585 | 27,363,940 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 21,789 | 22,619,379 | ||||||||
Laredo Petroleum, Inc.† | 7.75% | 7/31/2029 | 22,572 | 22,656,645 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 70,788 | 76,635,089 | ||||||||
Lukoil Securities BV (Netherlands)†(e) | 3.875% | 5/6/2030 | 45,000 | 47,364,750 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 28,043 | 29,025,346 | ||||||||
MC Brazil Downstream Trading SARL (Luxembourg)†(e) | 7.25% | 6/30/2031 | 29,276 | 29,478,883 | ||||||||
MEG Energy Corp. (Canada)†(e) | 5.875% | 2/1/2029 | 41,876 | 42,889,399 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.125% | 2/1/2027 | 73,996 | 77,784,595 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 20,084 | 20,927,528 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 28,679 | 30,363,891 | ||||||||
Occidental Petroleum Corp. | 3.50% | 8/15/2029 | 58,245 | 59,314,961 | ||||||||
Occidental Petroleum Corp. | 4.10% | 2/15/2047 | 16,190 | 15,423,808 | ||||||||
Occidental Petroleum Corp. | 4.40% | 8/15/2049 | 18,212 | 17,902,942 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 87,708 | 105,400,896 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 15,011 | 18,519,821 | ||||||||
Occidental Petroleum Corp. | 7.50% | 5/1/2031 | 11,056 | 14,389,384 |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | $ | 15,000 | $ | 20,395,200 | ||||||
OGX Austria GmbH (Brazil)†(e)(g) | 8.50% | 6/1/2018 | 20,000 | 400 | ||||||||
Ovintiv, Inc. | 5.15% | 11/15/2041 | 19,333 | 21,928,340 | ||||||||
Ovintiv, Inc. | 6.50% | 8/15/2034 | 13,421 | 18,122,606 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 35,742 | 49,264,706 | ||||||||
Ovintiv, Inc. | 6.625% | 8/15/2037 | 6,766 | 9,297,564 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.625% | 10/15/2027 | 11,076 | 11,854,643 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 14,873 | 14,954,859 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 30,064 | 30,884,520 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 52,334 | 54,558,195 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 5.95% | 1/28/2031 | 27,157 | 26,361,979 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 6.84% | 1/23/2030 | 45,302 | 46,852,234 | ||||||||
Precision Drilling Corp. (Canada)†(e) | 6.875% | 1/15/2029 | 25,394 | 26,562,124 | ||||||||
Qatar Petroleum (Qatar)†(e) | 3.30% | 7/12/2051 | 45,043 | 45,584,417 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 31,064 | 32,836,201 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 16,995 | 17,653,556 | ||||||||
Range Resources Corp.† | 8.25% | 1/15/2029 | 25,079 | 28,246,478 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 4.375% | 4/16/2049 | 30,522 | 34,745,940 | ||||||||
Shell International Finance BV (Netherlands)(e) | 6.375% | 12/15/2038 | 28,912 | 42,720,419 | ||||||||
SM Energy Co. | 5.625% | 6/1/2025 | 19,646 | 19,791,380 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 39,595 | 40,668,618 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 40,063 | 40,968,023 | ||||||||
Southwestern Energy Co.† | 5.375% | 2/1/2029 | 15,763 | 16,883,119 | ||||||||
Southwestern Energy Co. | 5.375% | 3/15/2030 | 36,200 | 39,113,195 | ||||||||
Southwestern Energy Co. | 6.45% | 1/23/2025 | 39,845 | 43,921,940 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 16,397 | 17,734,175 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 26,583 | 30,144,590 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(e) | 3.25% | 8/15/2030 | 18,803 | 19,101,216 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 11,023 | 17,119,275 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 20,779 | 21,706,263 | ||||||||
Total | 2,423,633,225 | |||||||||||
Oil & Gas Services 0.32% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 21,768 | 22,230,570 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 30,959 | 31,481,278 | ||||||||
TechnipFMC plc (United Kingdom)†(e) | 6.50% | 2/1/2026 | 30,535 | 32,757,645 | ||||||||
Total | 86,469,493 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Packaging & Containers 0.35% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | $ | 57,404 | $ | 55,789,513 | ||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 11,810 | 14,677,763 | ||||||||
Klabin Austria GmbH (Austria)†(e) | 3.20% | 1/12/2031 | 8,445 | 8,065,059 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 12,427 | 16,257,499 | ||||||||
Total | 94,789,834 | |||||||||||
Pharmaceuticals 0.89% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 26,942 | 29,047,665 | ||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 14,179 | 16,816,611 | ||||||||
AstraZeneca plc (United Kingdom)(e) | 2.125% | 8/6/2050 | 27,104 | 23,444,989 | ||||||||
Bausch Health Cos, Inc.† | 5.00% | 1/30/2028 | 85,559 | 81,299,445 | ||||||||
Bausch Health Cos, Inc.† | 5.25% | 1/30/2030 | 21,492 | 20,073,958 | ||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 15,780 | 17,387,923 | ||||||||
Jazz Securities DAC (Ireland)†(e) | 4.375% | 1/15/2029 | 20,731 | 21,509,449 | ||||||||
Pfizer, Inc. | 2.625% | 4/1/2030 | 13,461 | 14,222,042 | ||||||||
Zoetis, Inc. | 3.90% | 8/20/2028 | 13,486 | 15,168,639 | ||||||||
Total | 238,970,721 | |||||||||||
Pipelines 2.21% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(e) | 4.60% | 11/2/2047 | 28,472 | 33,701,082 | ||||||||
AI Candelaria Spain SLU (Spain)†(e) | 5.75% | 6/15/2033 | 21,166 | 21,070,647 | ||||||||
AI Candelaria Spain SLU (Spain)†(e) | 7.50% | 12/15/2028 | 18,965 | 20,612,869 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02%) | # | 1/22/2078 | 49,548 | 45,610,668 | |||||||
Cheniere Energy Partners LP† | 3.25% | 1/31/2032 | 29,175 | 29,307,746 | ||||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 11,253 | 12,134,123 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | 41,314 | 43,991,147 | ||||||||
Energy Transfer LP | 6.50% (5 Yr. Treasury CMT + 5.69%) | # | – | (f) | 25,692 | 26,819,108 | ||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | 18,069 | 19,904,032 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(e) | 3.25% | 9/30/2040 | 45,094 | 45,557,086 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 23,375 | 23,967,736 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 32,573 | 36,993,963 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 20,972 | 24,466,672 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166 | 22,722,571 | ||||||||
Sabine Pass Liquefaction LLC | 4.20% | 3/15/2028 | 13,393 | 14,963,846 | ||||||||
Sabine Pass Liquefaction LLC | 4.50% | 5/15/2030 | 53,199 | 61,354,547 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(e) | 5.55% | 11/1/2028 | $ | 24,773 | $ | 28,192,913 | ||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 8/15/2029 | 17,510 | 18,058,063 | ||||||||
Venture Global Calcasieu Pass LLC† | 4.125% | 8/15/2031 | 17,510 | 18,276,063 | ||||||||
Western Midstream Operating LP | 5.30% | 2/1/2030 | 40,452 | 44,750,025 | ||||||||
Total | 592,454,907 | |||||||||||
Real Estate 0.61% | ||||||||||||
Canary Wharf Group Investment Holdings plc†(d) | 3.375% | 4/23/2028 | GBP | 17,076 | 23,467,170 | |||||||
Corp. Inmobiliaria Vesta SAB de CV (Mexico)†(e) | 3.625% | 5/13/2031 | $ | 23,073 | 23,424,863 | |||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | 71,989 | 70,647,485 | ||||||||
Kennedy-Wilson, Inc. | 4.75% | 3/1/2029 | 14,358 | 14,627,213 | ||||||||
Kennedy-Wilson, Inc. | 5.00% | 3/1/2031 | 29,358 | 30,055,252 | ||||||||
Total | 162,221,983 | |||||||||||
REITS 2.05% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 2.00% | 5/18/2032 | 17,993 | 17,457,747 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 14,750 | 16,573,801 | ||||||||
Alexandria Real Estate Equities, Inc. | 4.90% | 12/15/2030 | 19,794 | 23,956,187 | ||||||||
American Campus Communities Operating Partnership LP | 3.875% | 1/30/2031 | 37,586 | 41,968,740 | ||||||||
American Homes 4 Rent LP | 3.375% | 7/15/2051 | 34,377 | 34,948,192 | ||||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 12,968 | 15,185,752 | ||||||||
Crown Castle International Corp. | 4.15% | 7/1/2050 | 33,779 | 38,452,543 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.15% | 11/1/2030 | 22,556 | 21,223,617 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,903 | 21,492,255 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 18,808 | 22,089,996 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 12,258 | 14,241,548 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 7,763 | 8,412,708 | ||||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 6.00% | 4/15/2025 | 12,008 | 12,563,370 | ||||||||
Host Hotels & Resorts LP | 3.50% | 9/15/2030 | 29,720 | 30,896,418 | ||||||||
Invitation Homes Operating Partnership LP | 2.00% | 8/15/2031 | 22,608 | 21,727,529 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 4.75% | 6/15/2029 | 22,080 | 21,951,936 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.† | 4.625% | 6/15/2025 | 13,662 | 14,737,882 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 16,011 | 16,891,605 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 18,793 | 19,895,585 | ||||||||
Prologis LP | 4.375% | 2/1/2029 | 15,050 | 17,533,802 |
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
REITS (continued) | ||||||||||||
Rayonier LP | 2.75% | 5/17/2031 | $ | 32,382 | $ | 32,269,943 | ||||||
SBA Communications Corp. | 3.875% | 2/15/2027 | 40,849 | 42,380,837 | ||||||||
Vornado Realty LP | 3.40% | 6/1/2031 | 23,546 | 24,394,445 | ||||||||
Weyerhaeuser Co. | 7.375% | 3/15/2032 | 11,362 | 16,194,783 | ||||||||
Total | 547,441,221 | |||||||||||
Retail 2.89% | ||||||||||||
AutoNation, Inc. | 4.75% | 6/1/2030 | 10,463 | 12,212,276 | ||||||||
Bath & Body Works, Inc. | 6.875% | 11/1/2035 | 54,475 | 68,434,219 | ||||||||
Best Buy Co., Inc. | 1.95% | 10/1/2030 | 22,556 | 21,975,070 | ||||||||
Best Buy Co., Inc. | 4.45% | 10/1/2028 | 15,806 | 18,204,764 | ||||||||
Carvana Co.† | 5.625% | 10/1/2025 | 47,836 | 49,511,934 | ||||||||
Carvana Co.† | 5.875% | 10/1/2028 | 33,481 | 34,617,847 | ||||||||
Costco Wholesale Corp. | 1.75% | 4/20/2032 | 22,489 | 22,071,149 | ||||||||
Dollar General Corp. | 3.50% | 4/3/2030 | 19,674 | 21,654,276 | ||||||||
eG Global Finance plc (United Kingdom)†(e) | 8.50% | 10/30/2025 | 22,482 | 23,444,904 | ||||||||
Gap, Inc. (The)† | 3.625% | 10/1/2029 | 12,686 | 12,733,573 | ||||||||
Gap, Inc. (The)† | 3.875% | 10/1/2031 | 12,686 | 12,701,858 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 24,585 | 25,291,819 | ||||||||
IRB Holding Corp.† | 7.00% | 6/15/2025 | 12,820 | 13,627,339 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 25,312 | 26,457,621 | ||||||||
Kohl’s Corp. | 5.55% | 7/17/2045 | 31,872 | 38,239,123 | ||||||||
Macy’s Retail Holdings LLC | 4.50% | 12/15/2034 | 27,122 | 26,710,017 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 16,290 | 17,743,475 | ||||||||
Murphy Oil USA, Inc.† | 3.75% | 2/15/2031 | 18,750 | 18,890,625 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 15,790 | 16,737,400 | ||||||||
Nordstrom, Inc. | 4.25% | 8/1/2031 | 22,659 | 22,975,216 | ||||||||
Penske Automotive Group, Inc. | 3.50% | 9/1/2025 | 12,185 | 12,550,550 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 25,668 | 26,405,955 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 7.75% | 2/15/2029 | 27,141 | 29,653,035 | ||||||||
Rite Aid Corp. | 7.70% | 2/15/2027 | 12,865 | 11,787,685 | ||||||||
Staples, Inc.† | 7.50% | 4/15/2026 | 37,112 | 37,687,422 | ||||||||
Starbucks Corp. | 4.45% | 8/15/2049 | 39,350 | 48,178,989 | ||||||||
Stonegate Pub Co. Financing 2019 plc(d) | 8.00% | 7/13/2025 | GBP | 17,255 | 24,132,867 | |||||||
Stonegate Pub Co. Financing 2019 plc(d) | 8.25% | 7/31/2025 | GBP | 33,093 | 46,999,087 | |||||||
Tiffany & Co. | 4.90% | 10/1/2044 | $ | 24,318 | 32,678,301 | |||||||
Total | 774,308,396 |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Savings & Loans 0.00% | ||||||||||||
Washington Mutual Bank(g) | 6.875% | 6/15/2011 | $ | 22,500 | $ | 2,250 | (h) | |||||
Semiconductors 0.78% | ||||||||||||
KLA Corp. | 4.10% | 3/15/2029 | 29,229 | 33,286,270 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 17,958 | 24,234,499 | ||||||||
Microchip Technology, Inc. | 4.25% | 9/1/2025 | 19,750 | 20,656,225 | ||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | 25,257 | 30,065,933 | ||||||||
NVIDIA Corp. | 3.20% | 9/16/2026 | 29,939 | 32,788,645 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(e) | 3.40% | 5/1/2030 | 16,808 | 18,256,576 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 24,478 | 25,304,132 | ||||||||
SK Hynix, Inc. (South Korea)†(e) | 2.375% | 1/19/2031 | 23,537 | 22,865,150 | ||||||||
Total | 207,457,430 | |||||||||||
Software 2.07% | ||||||||||||
Activision Blizzard, Inc. | 2.50% | 9/15/2050 | 27,086 | 23,506,486 | ||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | 27,008 | 29,632,135 | ||||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 18,048 | 17,606,733 | ||||||||
Microsoft Corp. | 3.30% | 2/6/2027 | 26,383 | 29,196,490 | ||||||||
MSCI, Inc.† | 3.25% | 8/15/2033 | 24,244 | 24,552,141 | ||||||||
MSCI, Inc.† | 3.875% | 2/15/2031 | 47,798 | 50,187,900 | ||||||||
MSCI, Inc.† | 4.00% | 11/15/2029 | 34,026 | 36,065,859 | ||||||||
Playtika Holding Corp. (Israel)†(e) | 4.25% | 3/15/2029 | 15,508 | 15,576,856 | ||||||||
PTC, Inc.† | 3.625% | 2/15/2025 | 12,218 | 12,416,543 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 22,263 | 22,875,233 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 42,668 | 40,722,495 | ||||||||
Roper Technologies, Inc. | 4.20% | 9/15/2028 | 19,379 | 22,041,601 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 17,807 | 20,000,867 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 20,835 | 19,556,251 | ||||||||
Twilio, Inc. | 3.625% | 3/15/2029 | 107,266 | 109,867,200 | ||||||||
Twilio, Inc. | 3.875% | 3/15/2031 | 54,634 | 56,003,128 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 7.50% | 9/1/2025 | 23,039 | 23,989,359 | ||||||||
Total | 553,797,277 | |||||||||||
Telecommunications 2.33% | ||||||||||||
Altice France Holding SA (Luxembourg)†(e) | 6.00% | 2/15/2028 | 13,128 | 12,628,086 | ||||||||
Altice France Holding SA (Luxembourg)†(e) | 10.50% | 5/15/2027 | 31,171 | 34,127,569 | ||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(e) | 6.75% | 10/1/2026 | 29,167 | 30,554,182 | ||||||||
Frontier Communications Holdings LLC† | 5.00% | 5/1/2028 | 26,116 | 27,454,445 |
See Notes to Schedule of Investments. | 29 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | $ | 14,606 | $ | 15,537,132 | ||||||
Frontier Communications Holdings LLC† | 6.75% | 5/1/2029 | 27,815 | 29,351,640 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 21,000 | 23,703,750 | ||||||||
Motorola Solutions, Inc. | 4.60% | 2/23/2028 | 15,034 | 17,339,078 | ||||||||
Motorola Solutions, Inc. | 4.60% | 5/23/2029 | 17,963 | 20,874,108 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 108,783 | 139,378,219 | ||||||||
Switch Ltd.† | 3.75% | 9/15/2028 | 18,979 | 19,287,409 | ||||||||
T-Mobile USA, Inc. | 3.375% | 4/15/2029 | 45,095 | 47,101,727 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 16,027 | 17,704,935 | ||||||||
T-Mobile USA, Inc. | 4.50% | 4/15/2050 | 11,073 | 12,930,606 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(e) | 4.25% | 1/31/2031 | 60,933 | 60,856,834 | ||||||||
VTR Comunicaciones SpA (Chile)†(e) | 5.125% | 1/15/2028 | 28,283 | 30,048,708 | ||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.† | 7.75% | 8/15/2028 | 19,090 | 19,968,426 | ||||||||
Xiaomi Best Time International Ltd. (Hong Kong)†(e) | 4.10% | 7/14/2051 | 27,407 | 27,933,020 | ||||||||
Zayo Group Holdings, Inc.† | 4.00% | 3/1/2027 | 15,062 | 15,008,982 | ||||||||
Zayo Group Holdings, Inc.† | 6.125% | 3/1/2028 | 20,615 | 20,927,936 | ||||||||
Total | 622,716,792 | |||||||||||
Toys/Games/Hobbies 0.39% | ||||||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | 44,903 | 49,623,453 | ||||||||
Hasbro, Inc. | 5.10% | 5/15/2044 | 24,241 | 29,353,735 | ||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 24,502 | 26,584,670 | ||||||||
Total | 105,561,858 | |||||||||||
Transportation 0.44% | ||||||||||||
Autoridad del Canal de Panama (Netherlands)†(e) | 4.95% | 7/29/2035 | 13,240 | 16,282,671 | ||||||||
Central Japan Railway Co. (Japan)†(e) | 4.25% | 11/24/2045 | 17,006 | 20,607,935 | ||||||||
CH Robinson Worldwide, Inc. | 4.20% | 4/15/2028 | 20,351 | 23,068,639 | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 2/20/2034 | 29,906 | 29,664,701 | ||||||||
XPO Logistics, Inc.† | 6.25% | 5/1/2025 | 26,723 | 28,238,862 | ||||||||
Total | 117,862,808 | |||||||||||
Total Corporate Bonds (cost $16,605,567,663) | 17,521,100,245 |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOANS(i) 6.94% | ||||||||||||
Aerospace/Defense 0.16% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(e) | 8.50% (3 Mo. LIBOR + 6.50%) | 3/6/2024 | $ | 8,103 | $ | 8,155,964 | ||||||
Alloy Finco Limited USD Holdco PIK Term Loan 13.50% (Jersey)(e) | 0.50% | 3/6/2025 | 13,575 | 13,327,050 | ||||||||
TransDigm, Inc. 2020 Term Loan F | 2.334% (1 Mo. LIBOR + 2.25%) | 12/9/2025 | 22,436 | 22,189,604 | ||||||||
Total | 43,672,618 | |||||||||||
Air Transportation 0.09% | ||||||||||||
SkyMiles IP Ltd. 2020 Skymiles Term Loan B | 4.75% (3 Mo. LIBOR + 3.75%) | 10/20/2027 | 21,947 | 23,372,238 | ||||||||
Auto Parts & Equipment 0.06% | ||||||||||||
Truck Hero, Inc. 2021 Term Loan B | 4.00% (1 Mo. LIBOR + 3.25%) | 1/31/2028 | 16,617 | 16,602,981 | ||||||||
Beverages 0.08% | ||||||||||||
Triton Water Holdings, Inc Term Loan (Spain)(e) | 4.00% (3 Mo. LIBOR + 3.50%) | 3/31/2028 | 21,051 | 21,049,537 | ||||||||
Building & Construction 0.17% | ||||||||||||
Centuri Group, Inc Term Loan B | 3.00% (3 Mo. LIBOR + 2.50%) | 8/27/2028 | 25,517 | 25,538,544 | ||||||||
USIC Holdings, Inc. 2021 Term Loan | 3.584% (1 Mo. LIBOR + 3.50%) | 5/12/2028 | 19,705 | 19,717,005 | ||||||||
Total | 45,255,549 | |||||||||||
Building Materials 0.13% | ||||||||||||
ACProducts, Inc. 2021 Term Loan B | 4.75% (3 Mo. LIBOR + 4.25%) | 5/17/2028 | 33,629 | 33,616,985 | ||||||||
Cable & Satellite Television 0.16% | ||||||||||||
Cablevision Lightpath LLC Term Loan B | 3.75% (1 Mo. LIBOR + 3.25%) | 11/30/2027 | 9,702 | 9,723,955 | ||||||||
Virgin Media Bristol LLC USD Term Loan N | 2.584% (1 Mo. LIBOR + 2.50%) | 1/31/2028 | 32,556 | 32,376,822 | ||||||||
Total | 42,100,777 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.36% | ||||||||||||
ASP Unifrax Holdings Inc 2021 Bridge Term Loan(j) | – | (k) | 8/2/2028 | $ | 33,471 | $ | 33,471,000 | |||||
ASP Unifrax Holdings Inc 2021 Unsecured Bridge Facility(j) | – | (k) | 8/2/2029 | 23,907 | 23,907,000 | |||||||
Messer Industries GmbH 2018 USD Term Loan | 2.584% (3 Mo. LIBOR + 2.50%) | 3/1/2026 | 19,437 | 19,361,230 | ||||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(e) | 2.832% (1 Mo. LIBOR + 2.75%) | 10/1/2025 | 20,673 | 20,562,045 | ||||||||
Total | 97,301,275 | |||||||||||
Consumer/Commercial/Lease Financing 0.08% | ||||||||||||
Blackhawk Network Holdings, Inc 2018 1st Lien Term Loan | 3.084% (1 Mo. LIBOR + 3.00%) | 6/15/2025 | 22,244 | 22,104,550 | ||||||||
Diversified Capital Goods 0.09% | ||||||||||||
LSF11 A5 Holdco LLC Term Loan B | – | (k) | 9/30/2028 | 23,083 | 23,140,510 | (l) | ||||||
UTEX Industries Inc. 2020 First Out Exit Term Loan A | 8.50% (1 Mo. LIBOR + 7.00%) | 12/3/2025 | 657 | 663,511 | ||||||||
UTEX Industries Inc. 2020 Second Out Term Loan | 5.25% - 5.75% (1 Mo. LIBOR + 5.25%) | 12/3/2025 | 756 | 744,447 | ||||||||
Total | 24,548,468 | |||||||||||
Electric: Generation 0.08% | ||||||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.50%) | 10/1/2027 | 18,069 | 18,152,610 | ||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 3.75% (Prime Rate + .50%) | 7/28/2028 | 1,721 | 976,638 | ||||||||
Frontera Generation Holdings LLC 2021 Term Loan | 14.00% (3 Mo. LIBOR + 13.00%) | 6/30/2026 | 1,782 | 1,888,904 | (l) | |||||||
Total | 21,018,152 | |||||||||||
Electric: Integrated 0.09% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.50%) | 12/10/2027 | 22,816 | 22,922,778 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics 0.09% | ||||||||||||
Atlas CC Acquisition Corp Term Loan B | 5.00% (3 Mo. LIBOR + 4.25%) | 5/25/2028 | $ | 24,270 | $ | 24,392,760 | ||||||
Gas Distribution 0.33% | ||||||||||||
CQP Holdco LP 2021 Term Loan B | 4.25% (1 Mo. LIBOR + 3.75%) | 6/5/2028 | 36,203 | 36,135,510 | ||||||||
NorthRiver Midstream Finance LP 2018 Term Loan B (Canada)(e) | 3.395% (3 Mo. LIBOR + 3.25%) | 10/1/2025 | 29,059 | 29,035,110 | ||||||||
Oryx Midstream Holdings LLC Term Loan B | – | (k) | 9/29/2028 | 24,182 | 24,200,966 | (l) | ||||||
Total | 89,371,586 | |||||||||||
Health Facilities 0.21% | ||||||||||||
Heartland Dental, LLC 2018 1st Lien Term Loan | 3.585% (1 Mo. LIBOR + 3.50%) | 4/30/2025 | 22,129 | 21,974,476 | ||||||||
Select Medical Corporation 2017 Term Loan B | 2.34% (1 Mo. LIBOR + 2.25%) | 3/6/2025 | 33,463 | 33,316,663 | ||||||||
Total | 55,291,139 | |||||||||||
Health Services 0.53% | ||||||||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 5.00% (1 Mo. LIBOR + 4.00%) | 1/8/2027 | 18,771 | 18,870,940 | ||||||||
Global Medical Response, Inc. 2020 Term Loan B | 5.75% (3 Mo. LIBOR + 4.75%) | 10/2/2025 | 26,853 | 26,990,241 | ||||||||
National Mentor Holdings, Inc. 2021 Delayed Draw Term Loan(j) | 3.75% | 3/2/2028 | 1,493 | 1,494,451 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan | 4.50% (1 Mo. LIBOR + 3.75%) (3 Mo. LIBOR + 3.75%) | 2/18/2028 | 32,109 | 32,149,324 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan C | 4.50% (3 Mo. LIBOR + 3.75%) | 3/2/2028 | 1,013 | 1,013,875 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 3.835% (1 Mo. LIBOR + 3.75%) | 11/16/2025 | 37,872 | 37,865,709 | ||||||||
U.S. Renal Care, Inc. 2019 Term Loan B | 5.084% (1 Mo. LIBOR + 5.00%) | 6/26/2026 | 24,827 | 24,827,320 | ||||||||
Total | 143,211,860 |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Hotels 0.11% | ||||||||||||
Four Seasons Hotels Limited New 1st Lien Term Loan (Canada)(e) | 2.087% (1 Mo. LIBOR + 2.00%) | 11/30/2023 | $ | 30,190 | $ | 30,133,569 | ||||||
Insurance Brokerage 0.06% | ||||||||||||
Hub International Limited 2018 Term Loan B | 2.875% (3 Mo. LIBOR + 2.75%) | 4/25/2025 | 16,701 | 16,559,452 | ||||||||
Investments & Miscellaneous Financial Services 0.29% | ||||||||||||
HighTower Holdings LLC 2021 Delayed Draw Term Loan(j) | 4.00% | 4/21/2028 | 7,262 | 7,272,562 | ||||||||
HighTower Holdings LLC 2021 Term Loan B | 4.75% (3 Mo. LIBOR + 4.00%) | 4/21/2028 | 34,530 | 34,578,963 | ||||||||
Hudson River Trading LLC 2021 Term Loan | 3.084% (1 Mo. LIBOR + 3.00%) | 3/20/2028 | 35,997 | 35,842,395 | ||||||||
Total | 77,693,920 | |||||||||||
Machinery 0.08% | ||||||||||||
Vertical US Newco Inc Term Loan B | 4.00% (3 Mo. LIBOR + 3.50%) | 7/29/2027 | 22,410 | 22,478,134 | ||||||||
Managed Care 0.07% | ||||||||||||
MedRisk, Inc. 2021 Term Loan B | 4.50% (1 Mo. LIBOR + 3.75%) | 5/10/2028 | 18,779 | 18,785,771 | ||||||||
Media: Content 0.46% | ||||||||||||
Gray Television, Inc. 2021 Second Lien Bridge Term Loan(j) | – | (k) | 8/12/2022 | 74,720 | 74,719,932 | (l) | ||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 | 2.334% (1 Mo. LIBOR + 2.25%) | 1/17/2024 | 18,734 | 18,736,823 | ||||||||
Univision Communications, Inc. 2021 Term Loan B | – | (k) | 5/5/2028 | 28,368 | 28,362,549 | |||||||
Total | 121,819,304 | |||||||||||
Medical Products 0.37% | ||||||||||||
Medline Industries, Inc. Bridge Term Loan(j) | – | (k) | 8/4/2022 | 47,413 | 47,412,545 | (l) | ||||||
Medline Industries, Inc. Unsecured Bridge Term Loan(j) | – | (k) | 8/4/2022 | 51,125 | 51,125,159 | (l) | ||||||
Total | 98,537,704 |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Personal & Household Products 0.10% | ||||||||||||
FGI Operating Company, LLC Exit Term Loan | 10.132% (3 Mo. LIBOR + 10.00%) | 5/16/2022 | $ | 835 | $ | 104,810 | (l) | |||||
Springs Windows Fashions, LLC 2021 Term Loan B | – | (k) | 9/17/2028 | 27,069 | 26,917,287 | |||||||
Total | 27,022,097 | |||||||||||
Rail 0.09% | ||||||||||||
Genesee & Wyoming Inc. (New) Term Loan | 2.132% (3 Mo. LIBOR + 2.00%) | 12/30/2026 | 23,060 | 22,944,237 | ||||||||
Recreation & Travel 0.21% | ||||||||||||
Alterra Mountain Company Term Loan B1 | 2.834% (1 Mo. LIBOR + 2.75%) | 7/31/2024 | 18,758 | 18,664,070 | ||||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(e) | 3.50% (1 Mo. LIBOR + 2.50%) | 2/1/2024 | 16,211 | 16,192,960 | ||||||||
Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)(e) | 3.382% (3 Mo. LIBOR + 3.25%) | 11/12/2026 | 2,474 | 2,400,816 | ||||||||
Motion Finco Sarl USD Term Loan B1 (Luxembourg)(e) | 3.382% (3 Mo. LIBOR + 3.25%) | 11/12/2026 | 18,724 | 18,167,483 | ||||||||
Total | 55,425,329 | |||||||||||
Restaurants 0.22% | ||||||||||||
IRB Holding Corp 2020 Term Loan B | 3.75% (3 Mo. LIBOR + 2.75%) (6 Mo. LIBOR + 2.75%) | 2/5/2025 | 28,858 | 28,858,420 | ||||||||
Panera Bread Company Term Loan A | 2.334% (1 Mo. LIBOR + 2.25%) | 7/18/2022 | 30,922 | 30,458,233 | ||||||||
Total | 59,316,653 | |||||||||||
Software/Services 0.86% | ||||||||||||
Cornerstone OnDemand, Inc. 2021 Term Loan B | 3.334% (1 Mo. LIBOR + 3.25%) | 4/22/2027 | 14,540 | 14,537,626 | ||||||||
LogMeIn, Inc. Term Loan B | 4.833% (1 Mo. LIBOR + 4.75%) | 8/31/2027 | 64,361 | 64,406,522 | ||||||||
Magenta Buyer LLC 2021 USD 1st Lien Term Loan | 5.75% (3 Mo. LIBOR + 5.00%) | 7/27/2028 | 25,900 | 25,932,662 |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Software/Services (continued) | ||||||||||||
Peraton Corp. Term Loan B | 4.50% (1 Mo. LIBOR + 3.75%) | 2/1/2028 | $ | 25,151 | $ | 25,209,840 | ||||||
Polaris Newco LLC USD Term Loan B | 4.50% (6 Mo. LIBOR + 4.00%) | 6/2/2028 | 29,484 | 29,582,154 | ||||||||
RealPage, Inc 1st Lien Term Loan | 3.75% (1 Mo. LIBOR + 3.25%) | 4/24/2028 | 25,085 | 25,034,909 | ||||||||
Tibco Software Inc. 2020 Term Loan B3 | 3.834% (1 Mo. LIBOR + 3.75%) | 6/30/2026 | 30,838 | 30,703,406 | ||||||||
Ultimate Software Group Inc (The) Term Loan B | 3.834% (1 Mo. LIBOR + 3.75%) | 5/4/2026 | 15,937 | 15,985,925 | ||||||||
Total | 231,393,044 | |||||||||||
Specialty Retail 0.58% | ||||||||||||
Birkenstock GmbH & Co. KG USD Term Loan B (Germany)(e) | 4.25% (3 Mo. LIBOR + 3.75%) | 4/27/2028 | 16,893 | 16,901,534 | ||||||||
BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan | 2.083% (1 Mo. LIBOR + 2.00%) | 2/3/2024 | 13,177 | 13,199,828 | ||||||||
Claire’s Stores, Inc. 2019 Term Loan B | 6.584% (1 Mo. LIBOR + 6.50%) | 12/18/2026 | 11,587 | 11,483,535 | ||||||||
Foundation Building Materials Holding Company LLC 2021 Term Loan | 3.75% (3 Mo. LIBOR + 3.25%) | 2/3/2028 | 12,017 | 11,948,080 | ||||||||
Harbor Freight Tools USA, Inc. 2021 Term Loan B | 3.25% (1 Mo. LIBOR + 2.75%) | 10/19/2027 | 15,030 | 15,039,702 | ||||||||
Mavis Tire Express Services Corp. 2021 Term Loan B | 4.75% (1 Mo. LIBOR + 4.00%) | 5/4/2028 | 27,192 | 27,289,766 | ||||||||
Michaels Companies, Inc. 2021 Term Loan B | 5.00% (3 Mo. LIBOR + 4.25%) | 4/15/2028 | 13,561 | 13,590,487 | ||||||||
Petco Health and Wellness Company, Inc. 2021 Term Loan B | 4.00% (3 Mo. LIBOR + 3.25%) | 3/3/2028 | 28,412 | 28,439,504 | ||||||||
Winterfell Financing Sarl EUR Term Loan B(d) | 3.50% (3 Mo. EURIBOR + 3.50%) | 5/4/2028 | EUR | 14,427 | 16,607,580 | |||||||
Total | 154,500,016 | |||||||||||
Support: Services 0.62% | ||||||||||||
Avis Budget Car Rental, LLC 2020 Term Loan B | 1.84% (1 Mo. LIBOR + 1.75%) | 8/6/2027 | 22,587 | 22,154,231 |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Brown Group Holding, LLC Term Loan B | 3.25% (3 Mo. LIBOR + 2.75%) | 6/7/2028 | $ | 21,864 | $ | 21,876,303 | ||||||
CoreLogic, Inc. Term Loan | 4.00% (1 Mo. LIBOR + 3.50%) | 6/2/2028 | 31,431 | 31,437,367 | ||||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 7.119% (3 Mo. LIBOR + 7.00%) | 4/10/2026 | 23,707 | 24,092,733 | ||||||||
Pike Corporation 2021 Incremental Term Loan B | 3.09% (1 Mo. LIBOR + 3.00%) | 1/21/2028 | 19,618 | 19,645,439 | ||||||||
Rent-A-Center, Inc. 2021 First Lien Term Loan B | 3.374% (3 Mo. LIBOR + 3.25%) | 2/17/2028 | 8,389 | 8,431,313 | ||||||||
Team Health Holdings, Inc. 1st Lien Term Loan | 3.75% (1 Mo. LIBOR + 2.75%) | 2/6/2024 | 22,437 | 21,932,048 | ||||||||
WEX Inc. 2021 Term Loan | 2.334% (1 Mo. LIBOR + 2.25%) | 3/31/2028 | 15,766 | 15,721,093 | ||||||||
Total | 165,290,527 | |||||||||||
Technology Hardware & Equipment 0.11% | ||||||||||||
Atlas CC Acquisition Corp Term Loan C | 5.00% (3 Mo. LIBOR + 4.25%) | 5/25/2028 | 4,936 | 4,961,239 | ||||||||
Delta TopCo, Inc. 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.75%) | 12/1/2027 | 24,078 | 24,142,038 | ||||||||
Total | 29,103,277 | |||||||||||
Total Floating Rate Loans (cost $1,839,847,430) | 1,856,836,287 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.80% | ||||||||||||
Angola 0.23% | ||||||||||||
Republic of Angola†(e) | 9.125% | 11/26/2049 | 31,472 | 32,083,186 | ||||||||
Republic of Angola†(e) | 9.375% | 5/8/2048 | 27,128 | 28,085,076 | ||||||||
Total | 60,168,262 | |||||||||||
Australia 0.11% | ||||||||||||
Australian Government(d) | 4.25% | 4/21/2026 | AUD | 33,642 | 28,225,666 | |||||||
Bermuda 0.10% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | $ | 14,545 | 14,472,275 | |||||||
Bermuda Government International Bond† | 3.375% | 8/20/2050 | 12,887 | 12,978,498 | ||||||||
Total | 27,450,773 |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Colombia 0.20% | ||||||||||||
Colombia Government International Bond(e) | 5.20% | 5/15/2049 | $ | 54,429 | $ | 54,354,977 | ||||||
Costa Rica 0.37% | ||||||||||||
Costa Rica Government International Bond†(e) | 7.158% | 3/12/2045 | 98,332 | 98,700,745 | ||||||||
Ecuador 0.14% | ||||||||||||
Ecuador Government International Bond†(e) | 5.00% | 7/31/2030 | 45,365 | 38,220,677 | ||||||||
Egypt 0.16% | ||||||||||||
Arab Republic of Egypt†(e) | 5.577% | 2/21/2023 | 42,734 | 44,063,241 | ||||||||
Ghana 0.14% | ||||||||||||
Republic of Ghana†(e) | 6.375% | 2/11/2027 | 40,676 | 38,393,059 | ||||||||
Ivory Coast 0.10% | ||||||||||||
Ivory Coast Government International Bond†(d) | 5.875% | 10/17/2031 | EUR | 22,313 | 27,023,300 | |||||||
Kenya 0.32% | ||||||||||||
Republic of Kenya†(e) | 7.25% | 2/28/2028 | $ | 40,576 | 44,689,108 | |||||||
Republic of Kenya†(e) | 8.25% | 2/28/2048 | 36,972 | 40,092,991 | ||||||||
Total | 84,782,099 | |||||||||||
Mongolia 0.13% | ||||||||||||
Development Bank of Mongolia LLC†(e) | 7.25% | 10/23/2023 | 31,219 | 33,407,162 | ||||||||
Nigeria 0.16% | ||||||||||||
Republic of Nigeria†(e) | 6.50% | 11/28/2027 | 41,362 | 42,990,836 | ||||||||
Oman 0.10% | ||||||||||||
Oman Sovereign Sukuk Co.†(e) | 4.875% | 6/15/2030 | 25,254 | 26,617,236 | ||||||||
Senegal 0.09% | ||||||||||||
Senegal Government International Bond†(d) | 5.375% | 6/8/2037 | EUR | 21,076 | 24,117,492 | |||||||
South Africa 0.16% | ||||||||||||
Republic of South Africa(e) | 5.75% | 9/30/2049 | $ | 45,375 | 43,343,107 | |||||||
Sri Lanka 0.12% | ||||||||||||
Republic of Sri Lanka†(e) | 5.875% | 7/25/2022 | 45,243 | 33,253,605 | ||||||||
United Arab Emirates 0.17% | ||||||||||||
Abu Dhabi Government International†(e) | 3.125% | 5/3/2026 | 40,836 | 44,207,828 | ||||||||
Total Foreign Government Obligations (cost $746,423,189) | 749,320,065 |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
MUNICIPAL BONDS 2.59% | ||||||||||||
Air Transportation 0.13% | ||||||||||||
County of Miami-Dade FL Aviation Revenue | 3.982% | 10/1/2041 | $ | 13,915 | $ | 15,101,732 | ||||||
County of Miami-Dade FL Aviation Revenue | 4.28% | 10/1/2041 | 18,040 | 19,865,257 | ||||||||
Total | 34,966,989 | |||||||||||
Education 0.47% | ||||||||||||
California State University | 3.899% | 11/1/2047 | 33,030 | 38,573,689 | ||||||||
Ohio University | 5.59% | 12/1/2114 | 11,104 | 16,461,857 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 36,015 | 38,993,505 | ||||||||
Regents of the University of California Medical Ce | 3.006% | 5/15/2050 | 12,835 | 13,150,360 | ||||||||
Regents of the University of California Medical Center | 6.548% | 5/15/2048 | 12,463 | 19,268,734 | ||||||||
Total | 126,448,145 | |||||||||||
General Obligation 0.82% | ||||||||||||
Chicago Transit Authority Sales & Transfer Tax Receipts | 6.899% | 12/1/2040 | 11,826 | 16,751,166 | ||||||||
City of Chicago IL | 6.314% | 1/1/2044 | 8,280 | 10,894,227 | ||||||||
City of Chicago IL | 7.781% | 1/1/2035 | 7,050 | 9,776,871 | ||||||||
City of Portland OR | 7.701% | 6/1/2022 | 6,320 | 6,622,848 | ||||||||
Commonwealth of Pennsylvania | 5.45% | 2/15/2030 | 12,190 | 15,038,658 | ||||||||
District of Columbia | 5.591% | 12/1/2034 | 14,130 | 18,154,665 | ||||||||
Honolulu HI City & Cnty, | 5.418% | 12/1/2027 | 6,620 | 8,122,102 | ||||||||
Los Angeles Unified School District/CA | 5.75% | 7/1/2034 | 12,497 | 16,550,869 | ||||||||
State of California | 7.55% | 4/1/2039 | 15,015 | 25,330,410 | ||||||||
State of Illinois | 5.10% | 6/1/2033 | 69,845 | 81,461,907 | ||||||||
University of North Carolina at Chapel Hill | 3.847% | 12/1/2034 | 9,595 | 11,323,719 | ||||||||
Total | 220,027,442 | |||||||||||
Lease Obligation 0.03% | ||||||||||||
State of Wisconsin | 3.294% | 5/1/2037 | 7,145 | 7,897,159 | ||||||||
Miscellaneous 0.38% | ||||||||||||
County of Miami-Dade FL | 2.786% | 10/1/2037 | 9,690 | 9,645,670 | ||||||||
Dallas Convention Center Hotel Development Corp., | 7.088% | 1/1/2042 | 17,795 | 25,064,526 | ||||||||
New York City Industrial Development Agency† | 11.00% | 3/1/2029 | 18,478 | 24,940,038 | ||||||||
Pasadena Public Financing Authority | 7.148% | 3/1/2043 | 26,795 | 42,749,579 | ||||||||
Total | 102,399,813 |
See Notes to Schedule of Investments. | 39 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Revenue - Utilities - Other 0.07% | ||||||||||||
City of San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/2041 | $ | 13,240 | $ | 18,549,109 | ||||||
Tax Revenue 0.23% | ||||||||||||
Massachusetts School Building Authority | 5.715% | 8/15/2039 | 20,055 | 27,672,278 | ||||||||
Memphis-Shelby County Industrial Development Board(g) | 7.00% | 7/1/2045 | 22,085 | 19,730,566 | ||||||||
New York State Dormitory Authority | 3.19% | 2/15/2043 | 5,345 | 5,705,746 | ||||||||
Regional Transportation District Sales Tax Revenue 2.387% | 11/1/2037 | 8,125 | 7,913,174 | |||||||||
Total | 61,021,764 | |||||||||||
Taxable Revenue - Water & Sewer 0.04% | ||||||||||||
City & County Honolulu HI Wastewater System Revenue | 1.623% | 7/1/2031 | 6,635 | 6,449,689 | ||||||||
City & County Honolulu HI Wastewater System Revenue | 2.574% | 7/1/2041 | 4,520 | 4,492,302 | ||||||||
Total | 10,941,991 | |||||||||||
Transportation 0.27% | ||||||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 10,790 | 11,400,769 | ||||||||
Metropolitan Transportation Authority | 5.175% | 11/15/2049 | 18,010 | 24,701,714 | ||||||||
Metropolitan Transportation Authority | 6.668% | 11/15/2039 | 9,045 | 13,012,537 | ||||||||
New Jersey Transportation Trust Fund Authority | 4.131% | 6/15/2042 | 18,845 | 21,522,822 | ||||||||
Total | 70,637,842 | |||||||||||
Transportation: Infrastructure/Services 0.15% | ||||||||||||
Chicago Transit Authority Sales Tax Receipts Fund | 6.20% | 12/1/2040 | 12,385 | 17,015,547 | ||||||||
Port of Seattle WA | 3.755% | 5/1/2036 | 13,905 | 15,144,378 | ||||||||
Port of Seattle, WA | 3.571% | 5/1/2032 | 7,305 | 7,951,231 | ||||||||
Total | 40,111,156 | |||||||||||
Total Municipal Bonds (cost $632,261,264) | 693,001,410 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.52% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(m) | 12/25/2059 | 4,236 | 4,260,973 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† 1.034% | (1 Mo. LIBOR + .95%) | # | 6/15/2035 | 35,420 | 35,487,868 | |||||||
BBCMS Mortgage Trust 2018-C2 C | 5.135% | #(m) | 12/15/2051 | 15,628 | 17,594,862 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.04% (1 Mo. LIBOR + .96%) | # | 11/15/2034 | 25,000 | 24,961,783 |
40 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.388% | #(m) | 8/15/2052 | $ | 35,544 | $ | 35,434,169 | |||||
BHMS 2018-ATLS A† | 1.334% (1 Mo. LIBOR + 1.25%) | # | 7/15/2035 | 61,190 | 61,442,415 | |||||||
BX 2021-MFM1 B† | 1.034% (1 Mo. LIBOR + .95%) | # | 1/15/2034 | 7,100 | 7,114,491 | |||||||
BX 2021-MFM1 C† | 1.284% (1 Mo. LIBOR + 1.20%) | # | 1/15/2034 | 4,250 | 4,260,660 | |||||||
BX Commercial Mortgage Trust 2020-VIV4 A† | 2.843% | 3/9/2044 | 14,171 | 14,802,743 | ||||||||
BX Commercial Mortgage Trust 2021-VOLT A† | 0.80% (1 Mo. LIBOR + .70%) | # | 9/15/2036 | 53,040 | 53,143,852 | |||||||
CF Trust 2019-BOSS A1 | 4.75% (1 Mo. LIBOR + 3.25%) | # | 12/15/2021 | 18,200 | 16,783,540 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 C | 4.909% | #(m) | 2/10/2049 | 8,580 | 8,950,013 | |||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(m) | 4/15/2049 | 9,991 | 8,315,984 | |||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(m) | 9/10/2047 | 17,906 | 19,162,299 | |||||||
COMM Mortgage Trust 2020-SBX C† | 2.056% | #(m) | 1/10/2038 | 5,900 | 5,947,149 | |||||||
COMM Mortgage Trust 2020-SBX D† | 2.399% | #(m) | 1/10/2038 | 8,000 | 8,033,246 | |||||||
Commercial Mortgage Pass-Through Certificates 2020-SBX A† | 1.67% | 1/10/2038 | 7,500 | 7,591,458 | ||||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C† | 1.514% (1 Mo. LIBOR + 1.43%) | # | 5/15/2036 | 52,000 | 52,112,315 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 D† | 1.684% (1 Mo. LIBOR + 1.60%) | # | 5/15/2036 | 14,076 | 14,137,073 | |||||||
Credit Suisse Mortgage Capital Certificates 2021-BRIT A | 3.709% | 5/15/2023 | 86,900 | 87,216,681 | ||||||||
CS Master Trust 2021-AHP A† | 4.449% (1 Mo. LIBOR + 3.95%) | # | 4/15/2025 | 34,200 | 34,371,404 | (c) | ||||||
CS Master Trust 2021-BLUF A† | 4.527% (1 Mo. LIBOR + 4.18%) | # | 4/15/2023 | 19,500 | 19,706,544 | (c) | ||||||
CSMC 2020-AFC1 Trust A1† | 2.24% | #(m) | 2/25/2050 | 11,357 | 11,469,682 | |||||||
CSMC 2021-BPNY A† | 3.798% (1 Mo. LIBOR + 3.71%) | # | 8/15/2023 | 47,580 | 47,584,558 | |||||||
Deephaven Residential Mortgage Trust 2020-1 A1† | 2.339% | #(m) | 1/25/2060 | 6,113 | 6,148,986 |
See Notes to Schedule of Investments. | 41 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Fontainebleau Miami Beach Trust 2019-FBLU A† | 3.144% | 12/10/2036 | $ | 13,540 | $ | 14,186,259 | ||||||
Fontainebleau Miami Beach Trust 2019-FBLU B† | 3.447% | 12/10/2036 | 13,500 | 14,152,801 | ||||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | 3,992 | 4,027,345 | ||||||||
Great Wolf Trust 2019-WOLF A† | 1.118% (1 Mo. LIBOR + 1.03%) | # | 12/15/2036 | 53,981 | 54,026,690 | |||||||
Great Wolf Trust 2019-WOLF D† | 2.017% (1 Mo. LIBOR + 1.93%) | # | 12/15/2036 | 50,508 | 50,275,481 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT E† | 2.834% (1 Mo. LIBOR + 2.75%) | # | 11/21/2035 | 11,567 | 11,590,341 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT F† | 3.734% (1 Mo. LIBOR + 3.65%) | # | 11/21/2035 | 8,500 | 8,525,884 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT G† | 5.784% (1 Mo. LIBOR + 5.70%) | # | 11/21/2035 | 600 | 607,614 | |||||||
GS Mortgage Securities Corp. Trust 2021-RSMZ MZ† | 9.584% (1 Mo. LIBOR + 9.50%) | # | 6/15/2026 | 70,375 | 70,566,997 | |||||||
GS Mortgage Securities Trust 2020-GSA2 E† | 2.25% | 12/12/2053 | 9,450 | 7,728,482 | ||||||||
Hilton Orlando Trust 2018-ORL A† | 1.004% (1 Mo. LIBOR + .92%) | # | 12/15/2034 | 9,443 | 9,453,289 | |||||||
HPLY Trust 2019-HIT A† | 1.084% (1 Mo. LIBOR + 1.00%) | # | 11/15/2036 | 17,133 | 17,156,602 | |||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 C | 4.009% | #(m) | 3/15/2050 | 11,612 | 12,217,194 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 18,000 | 18,134,032 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE A† | 3.287% | 1/10/2037 | 10,530 | 10,965,742 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE B† | 3.64% | 1/10/2037 | 8,690 | 8,928,174 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2021-BOLT D† | 6.784% (1 Mo. LIBOR + 6.70%) | # | 8/15/2033 | 42,015 | 42,064,998 | |||||||
KIND Trust 2021-KIND E† | 3.334% (1 Mo. LIBOR + 3.25%) | # | 8/15/2038 | 47,580 | 47,761,746 | |||||||
KKR Industrial Portfolio Trust 2021-KDIP D† | 1.334% (1 Mo. LIBOR + 1.25%) | # | 12/15/2037 | 6,130 | 6,132,413 |
42 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
KKR Industrial Portfolio Trust 2021-KDIP E† | 1.634% (1 Mo. LIBOR + 1.55%) | # | 12/15/2037 | $ | 9,910 | $ | 9,908,722 | |||||
KKR Industrial Portfolio Trust 2021-KDIP F† | 2.134% (1 Mo. LIBOR + 2.05%) | # | 12/15/2037 | 10,864 | 10,899,512 | |||||||
Life Mortgage Trust 2021-BMR E† | 1.834% (1 Mo. LIBOR + 1.75%) | # | 3/15/2038 | 22,900 | 22,987,973 | |||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(m) | 1/26/2060 | 3,863 | 3,899,627 | |||||||
One New York Plaza Trust 2020-1NYP B† | 1.584% (1 Mo. LIBOR + 1.50%) | # | 1/15/2026 | 9,400 | 9,451,873 | |||||||
One New York Plaza Trust 2020-1NYP C† | 2.284% (1 Mo. LIBOR + 2.20%) | # | 1/15/2026 | 23,620 | 23,815,871 | |||||||
One New York Plaza Trust 2020-1NYP D† | 2.834% (1 Mo. LIBOR + 2.75%) | # | 1/15/2026 | 8,500 | 8,585,486 | |||||||
PFP Ltd. 2019-6 A† | 1.135% (1 Mo. LIBOR + 1.05%) | # | 4/14/2037 | 10,581 | 10,571,268 | |||||||
PFP Ltd. 2019-6 C† | 2.185% (1 Mo. LIBOR + 2.10%) | # | 4/14/2037 | 27,054 | 27,066,174 | |||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(m) | 2/25/2024 | 2,963 | 2,987,591 | |||||||
SLG Office Trust 2021-OVA E† | 2.851% | 7/15/2041 | 44,590 | 43,397,061 | ||||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(m) | 2/25/2050 | 5,172 | 5,223,457 | |||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 5,593 | 5,666,985 | ||||||||
Wells Fargo Commercial Mortgage Trust 2020-SDAL A† | 1.094% (1 Mo. LIBOR + 1.01%) | # | 2/15/2037 | 9,878 | 9,880,754 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,199,060,840) | 1,208,879,186 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCKS 0.04% | ||||||||||||
Transportation Infrastructure | ||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 167 | 4,468,801 | |||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 205 | 6,639,109 | |||||||||
Total Preferred Stocks (cost $9,303,175) | 11,107,910 | |||||||||||
Total Long-Term Investments (cost $25,427,013,893) | 26,541,972,344 |
See Notes to Schedule of Investments. | 43 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Investments | Principal Amount (000) | Fair Value | ||||||||||
SHORT-TERM INVESTMENT 1.07% | ||||||||||||
Repurchase Agreements | ||||||||||||
Repurchase Agreement dated 9/30/2021, — due 10/1/2021 with Fixed Income Clearing Corp. collateralized by $294,108,400 of U.S. Treasury Note at 1.25% due 09/30/2028; value: $292,591,977; proceeds: $286,854,824 (cost $286,854,824) | $ | 286,855 | $ | 286,854,824 | ||||||||
Total Investments in Securities 100.25% (cost $25,713,868,717) | 26,828,827,168 | |||||||||||
Less Unfunded Loan Commitments (0.89%) (cost $239,390,579) | (239,402,649 | ) | ||||||||||
Net Investments in Securities 99.36% (cost $25,474,478,138) | 26,589,424,519 | |||||||||||
Other Assets and Liabilities – Net(n) 0.64% | 172,123,553 | |||||||||||
Net Assets 100.00% | $ | 26,761,548,072 |
AUD | Australian Dollar. | |
BRL | Brazilian Real. | |
EUR | Euro. | |
GBP | British Pound. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
CR | Custodian Receipt. | |
EURIBOR | Euro Interbank Offered 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 September 30, 2021, the total value of Rule 144A securities was $11,997,209,842 which represents 44.83% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at September 30, 2021. | |
* | Non-income producing security. | |
(a) | Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date. | |
(b) | Securities purchased on a when-issued basis. | |
(c) | Level 3 Investment as described in Note 2(b) in the Notes to Shedule of Investments. 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. | |
(d) | Investment in non-U.S. dollar denominated securities. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Security is perpetual in nature and has no stated maturity. | |
(g) | Defaulted (non-income producing security). | |
(h) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security fair valued by the Pricing Committee. | |
(i) | 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 September 30, 2021. | |
(j) | Security partially/fully unfunded. | |
(k) | Interest rate to be determined. |
44 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
(l) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. 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. | |
(m) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(n) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Credit Default Swaps on Index/Issuer - Buy Protection at September 30, 2021(1):
Referenced Index/Issuer | Central Clearing Party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||||||||||
ICC Rite Aid(4)(5) | Barclays Bank plc | 5.00% | 12/20/2026 | $ | 19,066,667 | $ | 15,547,493 | $ | 3,424,813 | $ | 94,361 | |||||||||||
Markit CDX.NA.EM.36(6) | Bank of America | 1.00% | 12/20/2026 | 644,740,000 | 618,982,843 | (22,172,979 | ) | 3,584,178 | ||||||||||||||
$ | (18,748,166 | ) | $ | 3,678,539 |
(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 take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay 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. 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 paid/received by Central Clearing Party are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Index/Issuer amounted to $3,678,539. Total unrealized depreciation on Credit Default Swaps on Index/Issuer amounted to $0. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | Moody’s Credit Rating Baa3 | |
(6) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging markets sovereign issuers. |
Credit Default Swaps on Indexes - Sell Protection at September 30, 2021(1):
Referenced Index* | Swap Counter- party | Fund Receives (Quarterly) | Term- ination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation/ Depreciation(3) | Credit Default Swap Agreements Receivable at Fair Value(4) | ||||||||
Markit CMBX.NA.AA.8 | Citibank | 1.500% | 10/17/2057 | 18,980,000 | 19,150,471 | $95,742 | $74,729 | $170,471 |
See Notes to Schedule of Investments. | 45 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Referenced Index* | Swap Counter- party | Fund Receives (Quarterly) | Term- ination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation/ Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | |||||||||||||||
Markit CMBX.NA.AA.7 | Citibank | 1.500% | 1/17/2047 | 9,490,000 | 9,340,256 | $ | (116,457 | ) | $ | (33,287 | ) | $ | (149,744 | ) | |||||||||
Markit CMBX.NA.BBB-.9 | Citibank | 3.000% | 9/17/2058 | 100,000,000 | 92,271,808 | (9,816,650 | ) | 2,088,458 | (7,728,192 | ) | |||||||||||||
Markit CMBX.NA.BBB-.9 | Citibank | 3.000% | 9/17/2058 | 23,760,000 | 21,923,782 | (2,533,164 | ) | 696,946 | (1,836,218 | ) | |||||||||||||
Markit CMBX.NA.BBB-.10 | Morgan Stanley | 3.000% | 11/17/2059 | 22,050,000 | 20,120,421 | (2,755,317 | ) | 825,738 | (1,929,579 | ) | |||||||||||||
Markit CMBX.NA.BBB-.12 | Morgan Stanley | 3.000% | 8/17/2061 | 22,000,000 | 20,983,390 | (1,508,900 | ) | 492,290 | (1,016,610 | ) | |||||||||||||
$ | (16,730,488 | ) | $ | 4,070,145 | $ | (12,660,343 | ) | ||||||||||||||||
Total Credit Default Swaps on Indexes - Sell Protection | $ | (16,634,746 | ) | $ | 4,144,874 | $ | (12,489,872 | ) |
* | 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 on Index/Issuer amounted to $4,178,161. Total unrealized depreciation on Credit Default Swaps on Index/Issuer amounted to $33,287. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at September 30, 2021:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||||||
Australian dollar | Buy | Standard Chartered Bank | 12/1/2021 | 2,417,000 | $ | 1,736,828 | $ | 1,747,772 | $ | 10,944 | |||||||||||
Australian dollar | Sell | State Street Bank and Trust | 12/1/2021 | 75,531,000 | 55,157,940 | 54,617,690 | 540,250 | ||||||||||||||
British pound | Sell | Barclays Bank plc | 12/7/2021 | 71,423,000 | 99,020,204 | 96,238,612 | 2,781,592 | ||||||||||||||
Euro | Sell | Barclays Bank plc | 12/10/2021 | 11,738,000 | 13,913,267 | 13,614,660 | 298,607 | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/10/2021 | 2,245,000 | 2,661,044 | 2,603,929 | 57,115 | ||||||||||||||
Euro | Sell | State Street Bank and Trust | 12/10/2021 | 318,525,000 | 377,244,128 | 369,450,479 | 7,793,649 | ||||||||||||||
Japanese yen | Sell | Goldman Sachs | 11/8/2021 | 3,650,000,000 | 33,363,681 | 32,803,390 | 560,291 | ||||||||||||||
Unrealized Appreciation on Forward Foreign Currrency Exchange Contracts | $ | 12,042,448 |
46 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2021
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||||||
Australian dollar | Buy | Bank of America | 12/1/2021 | 1,419,000 | $ | 1,026,588 | $ | 1,026,102 | $ | (486 | ) | ||||||||||
Australian dollar | Buy | Goldman Sachs | 12/1/2021 | 5,227,000 | 3,780,501 | 3,779,728 | (773 | ) | |||||||||||||
Euro | Buy | Bank of America | 12/10/2021 | 1,927,000 | 2,264,033 | 2,235,087 | (28,946 | ) | |||||||||||||
Euro | Buy | Morgan Stanley | 12/10/2021 | 6,069,000 | 7,145,239 | 7,039,306 | (105,933 | ) | |||||||||||||
Euro | Buy | State Street Bank and Trust | 12/10/2021 | 2,583,000 | 3,055,223 | 2,995,968 | (59,255 | ) | |||||||||||||
Japanese yen | Buy | BNP Paribas S.A. | 11/8/2021 | 261,000,000 | 2,378,649 | 2,345,667 | (32,982 | ) | |||||||||||||
Japanese yen | Buy | Morgan Stanley | 11/8/2021 | 252,000,000 | 2,297,750 | 2,264,782 | (32,968 | ) | |||||||||||||
Japanese yen | Buy | Morgan Stanley | 11/8/2021 | 325,000,000 | 2,956,148 | 2,920,850 | (35,298 | ) | |||||||||||||
Japanese yen | Buy | Standard Chartered Bank | 11/8/2021 | 1,841,000,000 | 16,793,808 | 16,545,491 | (248,317 | ) | |||||||||||||
Japanese yen | Buy | Standard Chartered Bank | 11/8/2021 | 348,000,000 | 3,161,377 | 3,127,556 | (33,821 | ) | |||||||||||||
Japanese yen | Buy | State Street Bank and Trust | 11/8/2021 | 188,000,000 | 1,712,768 | 1,689,599 | (23,169 | ) | |||||||||||||
Japanese yen | Buy | State Street Bank and Trust | 11/8/2021 | 435,000,000 | 3,962,976 | 3,909,445 | (53,531 | ) | |||||||||||||
Euro | Sell | Morgan Stanley | 12/10/2021 | 1,404,000 | 1,627,880 | 1,628,470 | (590 | ) | |||||||||||||
Unrealized Depreciation on Forward Foreign Currrency Exchange Contracts | $ | (656,069 | ) |
Open Futures Contracts at September 30, 2021:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 10-Year Treasury Note | December 2021 | 5,307 | Short | $ | (699,684,857 | ) | $ | (698,450,953 | ) | $ | 1,233,904 | ||||||||
U.S. 5-Year Treasury Note | December 2021 | 19,022 | Short | (2,352,078,479 | ) | (2,334,801,900 | ) | 17,276,579 | |||||||||||
U.S. Long Bond | December 2021 | 4,188 | Short | (670,966,433 | ) | (666,808,125 | ) | 4,158,308 | |||||||||||
U.S. Ultra Treasury Bond | December 2021 | 2,652 | Short | (511,664,601 | ) | (506,697,750 | ) | 4,966,851 | |||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 27,635,642 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 10-Year Ultra Treasury Note | December 2021 | 2,684 | Long | $ | 398,326,186 | $ | 389,851,000 | $ | (8,475,186 | ) | |||||||||
U.S. 2-Year Treasury Note | December 2021 | 7,307 | Long | 1,608,773,202 | 1,607,939,605 | (833,597 | ) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (9,308,783 | ) |
See Notes to Schedule of Investments. | 47 |
Schedule of Investments (unaudited)(continued)
September 30, 2021
The following is a summary of the inputs used as of September 30, 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 | ||||||||||||||||
Others | $ | – | $ | 1,288,778,041 | $ | 52,670,000 | $ | 1,341,448,041 | ||||||||
Remaining Industries | – | 205,376,050 | – | 205,376,050 | ||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | – | – | 4,552,928 | 4,552,928 | ||||||||||||
Automobiles | – | 39,461,769 | – | 39,461,769 | ||||||||||||
Beverages | 25,302,708 | 18,493,896 | – | 43,796,604 | ||||||||||||
Electric-Generation | – | – | 275,612 | 275,612 | ||||||||||||
Information Technology | ||||||||||||||||
Services | 40,474,439 | 46,307,962 | – | 86,782,401 | ||||||||||||
Miscellaneous Financials | – | 5,464,320 | – | 5,464,320 | ||||||||||||
Personal Products | – | 231,548 | 12,560,985 | 12,792,533 | ||||||||||||
Specialty Retail | 26,791,315 | – | 4,296,567 | 31,087,882 | ||||||||||||
Textiles, Apparel & Luxury | ||||||||||||||||
Goods | 80,504,138 | 26,647,522 | – | 107,151,660 | ||||||||||||
Transportation Infrastructure | – | 1,128,037 | – | 1,128,037 | ||||||||||||
Remaining Industries | 2,571,133,297 | – | – | 2,571,133,297 | ||||||||||||
Convertible Bonds | – | 51,276,107 | – | 51,276,107 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Diversified Financial Services | – | 567,137,381 | 1,500 | 567,138,881 | ||||||||||||
Mining | – | 436,626,969 | 19 | 436,626,988 | ||||||||||||
Savings & Loans | – | – | 2,250 | 2,250 | ||||||||||||
Remaining Industries | – | 16,517,332,126 | – | 16,517,332,126 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Diversified Capital Goods | – | 1,407,958 | 23,140,510 | 24,548,468 | ||||||||||||
Electric: Generation | – | 19,129,248 | 1,888,904 | 21,018,152 | ||||||||||||
Gas Distribution | – | 65,170,620 | 24,200,966 | 89,371,586 | ||||||||||||
Media: Content | – | 47,099,372 | 74,719,932 | 121,819,304 | ||||||||||||
Medical Products | – | – | 98,537,704 | 98,537,704 | ||||||||||||
Personal & Household Products | – | 26,917,287 | 104,810 | 27,022,097 | ||||||||||||
Remaining Industries | – | 1,474,518,976 | – | 1,474,518,976 | ||||||||||||
Less Unfunded Commitments | – | (66,145,013 | ) | (173,257,636 | ) | (239,402,649 | ) | |||||||||
Foreign Government Obligations | – | 749,320,065 | – | 749,320,065 | ||||||||||||
Municipal Bonds | – | 693,001,410 | – | 693,001,410 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 1,154,801,238 | 54,077,948 | 1,208,879,186 | ||||||||||||
Preferred Stocks | – | 11,107,910 | – | 11,107,910 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 286,854,824 | – | 286,854,824 | ||||||||||||
Total | $ | 2,744,205,897 | $ | 23,667,445,623 | $ | 177,772,999 | $ | 26,589,424,519 |
48 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
September 30, 2021
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 3,678,539 | $ | – | $ | 3,678,539 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 170,471 | – | 170,471 | ||||||||||||
Liabilities | – | (12,660,343 | ) | – | (12,660,343 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 12,042,448 | – | 12,042,448 | ||||||||||||
Liabilities | – | (656,069 | ) | – | (656,069 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 27,635,642 | – | – | 27,635,642 | ||||||||||||
Liabilities | (9,308,783 | ) | – | – | (9,308,783 | ) | ||||||||||
Total | $ | 18,326,859 | $ | 2,575,046 | $ | – | $ | 20,901,905 |
(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 Funds’ Board of Trustees (the “Board”), 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 Funds 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 (“NYSE”). When valuing foreign equity securities that meet certain criteria, the Board has approved the use of an independent fair valuation service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that correlate to the fair-valued 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 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. |
50
Notes to Schedule of Investments (unaudited)(continued)
Investments in open-end money market mutual funds are valued at their NAV as of the close of each business day. 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 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 September 30, 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 Fund has 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
51
Notes to Schedule of Investments (unaudited)(concluded)
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 Fund’s 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 Fund on the next business day. As with other extensions of credit, the Fund has 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 Fund has or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
As of September 30, 2021, the Fund did not loan any securities.
52
QPHR-BOND-3Q
(9/21)