Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Bond-Debenture Fund
For the period ended March 31, 2022
Schedule of Investments (unaudited)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 100.77% | ||||||||||||
ASSET-BACKED SECURITIES 5.74% | ||||||||||||
Automobiles 0.55% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC 2021-2A D† | 4.08% | 2/20/2028 | $ | 16,000,000 | $ | 14,890,034 | ||||||
Carvana Auto Receivables Trust NP1 2020-N1A E† | 5.20% | 7/15/2027 | 5,750,000 | 5,772,580 | ||||||||
Exeter Automobile Receivables Trust 2021-2A E† | 2.90% | 7/17/2028 | 23,000,000 | 21,728,277 | ||||||||
Hertz Vehicle Financing III LP 2021-2A D† | 4.34% | 12/27/2027 | 20,000,000 | 18,045,176 | ||||||||
Hertz Vehicle Financing LLC 2021-1A D† | 3.98% | 12/26/2025 | 30,000,000 | 28,087,761 | ||||||||
Westlake Automobile Receivables Trust 2021-1A F† | 3.91% | 9/15/2027 | 58,047,000 | 54,862,513 | ||||||||
Total | 143,386,341 | |||||||||||
Credit Card 0.25% | ||||||||||||
Genesis Sales Finance Master Trust 2021-AA A† | 1.20% | 12/21/2026 | 25,102,000 | 24,036,897 | ||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 40,297,000 | 40,750,704 | ||||||||
Total | 64,787,601 | |||||||||||
Other 4.94% | ||||||||||||
AIMCO CLO Ltd. 2019-10A CR† | 2.159% (3 Mo. LIBOR + 1.90%) | # | 7/22/2032 | 9,360,000 | 9,196,980 | |||||||
AMMC CLO Ltd. 2021-24A C† | 2.435% (3 Mo. LIBOR + 2.20%) | # | 1/20/2035 | 17,180,000 | 17,101,402 | |||||||
AMMC CLO Ltd. 2021-24A D† | 3.635% (3 Mo. LIBOR + 3.40%) | # | 1/20/2035 | 10,800,000 | 10,777,247 | |||||||
AMMC CLO XII Ltd. 2013-12A DR† | 3.066% (3 Mo. LIBOR + 2.70%) | # | 11/10/2030 | 3,859,000 | 3,708,420 | |||||||
AMMC CLO XIII Ltd. 2013-13A A2LR† | 1.959% (3 Mo. LIBOR + 1.70%) | # | 7/24/2029 | 3,440,000 | 3,398,174 | |||||||
AMMC CLO XIII Ltd. 2013-13A B1LR† | 3.859% (3 Mo. LIBOR + 3.60%) | # | 7/24/2029 | 5,000,000 | 5,012,571 | |||||||
Apidos CLO XXIII 2015-23A AR† | 1.461% (3 Mo. LIBOR + 1.22%) | # | 4/15/2033 | 4,000,000 | 3,972,092 | |||||||
Apidos CLO XXXV 2021-35A D† | 2.904% (3 Mo. LIBOR + 2.65%) | # | 4/20/2034 | 12,070,000 | 11,713,664 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2021-FL4 D† | 3.297% (1 Mo. LIBOR + 2.90%) | # | 11/15/2036 | 46,980,000 | 46,982,251 | |||||||
Ares XLII CLO Ltd. 2017-42A D† | 3.709% (3 Mo. LIBOR + 3.45%) | # | 1/22/2028 | 6,250,000 | 6,260,476 | |||||||
Avant Loans Funding Trust 2021-REV1 A† | 1.21% | 7/15/2030 | 26,440,000 | 25,572,715 | ||||||||
Bain Capital Credit CLO Ltd. 2021-2A C† | 2.341% (3 Mo. LIBOR + 2.10%) | # | 7/16/2034 | 9,000,000 | 8,787,977 |
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Bain Capital Credit CLO Ltd. 2021-6A C† | 2.274% (3 Mo. LIBOR + 2.05%) | # | 10/21/2034 | $ | 14,280,000 | $ | 13,930,375 | |||||
Bain Capital Credit CLO Ltd. 2021-6A D† | 3.324% (3 Mo. LIBOR + 3.10%) | # | 10/21/2034 | 15,910,000 | 15,374,628 | |||||||
Ballyrock CLO Ltd. 2019-1A A1R† | 1.271% (3 Mo. LIBOR + 1.03%) | # | 7/15/2032 | 9,550,000 | 9,462,046 | |||||||
Barings CLO III Ltd. 2019-3A DR† | 3.054% (3 Mo. LIBOR + 2.80%) | # | 4/20/2031 | 11,750,000 | 11,536,328 | |||||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 2.241% (3 Mo. LIBOR + 2.00%) | # | 1/15/2033 | 7,921,867 | 7,926,856 | |||||||
BlueMountain CLO XXVIII Ltd. 2021-28A D† | 3.141% (3 Mo. LIBOR + 2.90%) | # | 4/15/2034 | 17,280,000 | 16,756,870 | |||||||
Carlyle US CLO Ltd. 2021-10A C† | 2.172% (3 Mo. LIBOR + 2.05%) | # | 10/20/2034 | 10,970,000 | 10,921,159 | |||||||
Carlyle US CLO Ltd. 2021-10A D† | 3.422% (3 Mo. LIBOR + 3.30%) | # | 10/20/2034 | 18,780,000 | 18,673,035 | |||||||
Carlyle US CLO Ltd. 2021-1A B† | 2.041% (3 Mo. LIBOR + 1.80%) | # | 4/15/2034 | 13,250,000 | 12,974,891 | |||||||
Carlyle US CLO Ltd. 2021-1A C† | 3.041% (3 Mo. LIBOR + 2.80%) | # | 4/15/2034 | 17,030,000 | 16,527,779 | |||||||
CIFC Funding Ltd. 2021-1A D† | 3.208% (3 Mo. LIBOR + 2.95%) | # | 4/25/2033 | 16,080,000 | 15,886,153 | |||||||
Dryden 30 Senior Loan Fund 2013-30A DR† | 3.106% (3 Mo. LIBOR + 2.60%) | # | 11/15/2028 | 18,137,500 | 17,825,733 | |||||||
Dryden 61 CLO Ltd. 2018-61A DR† | 3.341% (3 Mo. LIBOR + 3.10%) | # | 1/17/2032 | 20,190,000 | 20,104,577 | |||||||
Dryden 72 CLO Ltd. 2019-72A DR† | 3.506% (3 Mo. LIBOR + 3.00%) | # | 5/15/2032 | 7,000,000 | 6,831,466 | |||||||
Dryden 90 CLO Ltd. 2021-90A D† | 3.16% (3 Mo. LIBOR + 3.00%) | # | 2/20/2035 | 11,450,000 | 11,275,297 | |||||||
Eaton Vance CLO Ltd. 2013-1A C3R† | 3.641% (3 Mo. LIBOR + 3.40%) | # | 1/15/2034 | 14,190,000 | 14,027,415 | |||||||
Elmwood CLO VIII Ltd. 2021-1A C1† | 2.204% (3 Mo. LIBOR + 1.95%) | # | 1/20/2034 | 18,920,000 | 18,636,986 | |||||||
Elmwood CLO VIII Ltd. 2021-1A D1† | 3.254% (3 Mo. LIBOR + 3.00%) | # | 1/20/2034 | 14,190,000 | 14,111,347 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 1.274% (3 Mo. LIBOR + 1.02%) | # | 4/20/2031 | 5,311,000 | 5,264,817 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 1.549% (3 Mo. LIBOR + 1.29%) | # | 4/15/2033 | $ | 20,101,397 | $ | 20,010,941 | |||||
Greywolf CLO VII Ltd. 2018-2A A1† | 1.434% (3 Mo. LIBOR + 1.18%) | # | 10/20/2031 | 10,000,000 | 9,950,000 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 2.408% (3 Mo. LIBOR + 2.15%) | # | 7/25/2027 | 5,476,000 | 5,420,369 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 1.941% (3 Mo. LIBOR + 1.70%) | # | 1/17/2030 | 9,320,145 | 9,301,841 | |||||||
Harbor Park CLO Ltd. 2018-1A D† | 3.154% (3 Mo. LIBOR + 2.90%) | # | 1/20/2031 | 4,560,000 | 4,501,000 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 30,331,621 | 30,611,952 | ||||||||
Invesco CLO Ltd. 2021-3A C† | 2.119% (3 Mo. LIBOR + 2.00%) | # | 10/22/2034 | 13,640,000 | 13,579,279 | |||||||
Kayne CLO 10 Ltd. 2021-10A D† | 3.009% (3 Mo. LIBOR + 2.75%) | # | 4/23/2034 | 6,630,000 | 6,434,729 | |||||||
Kayne CLO Ltd. 2018 1A DR† | 2.891% (3 Mo. LIBOR + 2.65%) | # | 7/15/2031 | 7,340,000 | 7,279,396 | |||||||
KKR CLO 29 Ltd. 29A C† | 2.241% (3 Mo. LIBOR + 2.00%) | # | 1/15/2032 | 6,150,000 | 6,057,590 | |||||||
KKR CLO 33 Ltd. 33A C† | 2.254% (3 Mo. LIBOR + 2.00%) | # | 7/20/2034 | 10,000,000 | 9,838,357 | |||||||
KKR CLO 33 Ltd. 33A D† | 3.354% (3 Mo. LIBOR + 3.10%) | # | 7/20/2034 | 8,000,000 | 7,707,167 | |||||||
KKR CLO Ltd.18 D† | 3.841% (3 Mo. LIBOR + 3.60%) | # | 7/18/2030 | 7,110,000 | 7,136,705 | |||||||
LoanCore Issuer Ltd. 2022-CRE7 AS† | 2.05% (1 Mo. SOFR + 2.00%) | # | 1/17/2037 | 52,915,000 | 52,631,462 | |||||||
LOGAN CLO I Ltd. 2021-1A C† | 2.154% (3 Mo. LIBOR + 1.90%) | # | 7/20/2034 | 11,000,000 | 10,969,360 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 1.554% (3 Mo. LIBOR + 1.30%) | # | 4/20/2033 | 19,415,475 | 19,377,039 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 2.024% (3 Mo. LIBOR + 1.77%) | # | 4/20/2033 | 9,348,354 | 9,281,297 | |||||||
Mountain View CLO LLC 2016-1A DR† | 3.938% (3 Mo. LIBOR + 3.70%) | # | 4/14/2033 | 9,470,000 | 9,201,977 | |||||||
Neuberger Berman Loan Advisers CLO Ltd. 2020-37A AR† | 1.224% (3 Mo. LIBOR + .97%) | # | 7/20/2031 | 14,330,000 | 14,178,435 | |||||||
Neuberger Berman Loan Advisers CLO Ltd. 2021-45A C† | 2.12% (3 Mo. LIBOR + 2.00%) | # | 10/14/2035 | 19,540,000 | 19,221,905 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Newark BSL CLO 2 Ltd. 2017-1A CR† | 3.408% (3 Mo. LIBOR + 3.15%) | # | 7/25/2030 | $ | 21,000,000 | $ | 20,939,910 | |||||
Oaktree CLO Ltd. 2019-4 BR† | 1.954% (3 Mo. LIBOR + 1.70%) | # | 10/20/2032 | 29,790,000 | 29,571,886 | |||||||
Oaktree CLO Ltd. 2020-1A DR† | 3.391% (3 Mo. LIBOR + 3.15%) | # | 7/15/2034 | 18,130,000 | 17,472,273 | |||||||
Oaktree CLO Ltd. 2021-1A D† | 3.491% (3 Mo. LIBOR + 3.25%) | # | 7/15/2034 | 8,280,000 | 8,009,579 | |||||||
OCP CLO Ltd. 2016-12A AR2† | Zero Coupon | #(a) | 4/18/2033 | 51,270,000 | 51,076,353 | |||||||
OCP CLO Ltd. 2019-16A DR† | 3.381% (3 Mo. LIBOR + 3.15%) | # | 4/10/2033 | 8,300,000 | 8,132,680 | |||||||
OCP CLO Ltd. 2021-21A C† | 2.154% (3 Mo. LIBOR + 1.90%) | # | 7/20/2034 | 11,880,000 | 11,654,664 | |||||||
OCP CLO Ltd. 2021-22A B1† | 1.816% (3 Mo. LIBOR + 1.70%) | # | 12/2/2034 | 38,140,000 | 38,074,779 | |||||||
OCP CLO Ltd. 2021-22A D† | 3.216% (3 Mo. LIBOR + 3.10%) | # | 12/2/2034 | 9,500,000 | 9,357,500 | |||||||
Octagon 57 Ltd. 2021-1A D† | 3.215% (3 Mo. LIBOR + 3.10%) | # | 10/15/2034 | 9,530,000 | 9,433,778 | |||||||
Octagon Investment Partners XXI Ltd. 2014-1A CR3† | 3.145% (3 Mo. LIBOR + 2.75%) | # | 2/14/2031 | 6,629,411 | 6,564,487 | |||||||
OHA Credit Funding 8 Ltd. 2021-8A C† | 2.141% (3 Mo. LIBOR + 1.90%) | # | 1/18/2034 | 14,190,000 | 13,943,312 | |||||||
OHA Credit Funding 8 Ltd. 2021-8A D† | 3.091% (3 Mo. LIBOR + 2.85%) | # | 1/18/2034 | 11,450,000 | 11,139,465 | |||||||
OHA Credit Funding 9 Ltd. 2021-9A C† | 2.148% (3 Mo. LIBOR + 1.90%) | # | 7/19/2035 | 13,780,000 | 13,563,786 | |||||||
OHA Credit Funding 9 Ltd. 2021-9A D† | 3.198% (3 Mo. LIBOR + 2.95%) | # | 7/19/2035 | 12,360,000 | 11,964,598 | |||||||
Palmer Square CLO Ltd. 2021-1A C† | 2.954% (3 Mo. LIBOR + 2.70%) | # | 4/20/2034 | 8,990,000 | 8,896,334 | |||||||
Palmer Square CLO Ltd. 2021-4A A† | 1.306% (3 Mo. LIBOR + 1.17%) | # | 10/15/2034 | 21,980,000 | 21,855,404 | |||||||
Planet Fitness Master Issuer LLC 2019-1A A2† | 3.858% | 12/5/2049 | 13,909,825 | 13,127,915 | ||||||||
Rad CLO Ltd. 2020-7A A1† | 1.441% (3 Mo. LIBOR + 1.20%) | # | 4/17/2033 | 17,943,962 | 17,831,801 | |||||||
Regata XII Funding Ltd. 2019-1A CR† | 2.241% (3 Mo. LIBOR + 2.00%) | # | 10/15/2032 | 22,880,000 | 22,431,317 | |||||||
Regatta XVIII Funding Ltd. 2021-1A B† | 1.691% (3 Mo. LIBOR + 1.45%) | # | 1/15/2034 | 18,940,000 | 18,630,985 |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Regatta XVIII Funding Ltd. 2021-1A D† | 2.991% (3 Mo. LIBOR + 2.75%) | # | 1/15/2034 | $ | 18,940,000 | $ | 18,363,700 | |||||
SEB Funding LLC 2021-1A A2† | 4.969% | 1/30/2052 | 25,083,000 | 23,918,276 | ||||||||
Signal Peak CLO Ltd. 2021-10A B† | 2.004% (3 Mo. LIBOR + 1.75%) | # | 1/24/2035 | 9,820,000 | 9,794,286 | |||||||
Signal Peak CLO Ltd. 2021-10A C† | 2.404% (3 Mo. LIBOR + 2.15%) | # | 1/24/2035 | 8,590,000 | 8,549,942 | |||||||
Signal Peak CLO Ltd. 2021-10A D† | 3.454% (3 Mo. LIBOR + 3.20%) | # | 1/24/2035 | 11,460,000 | 11,256,516 | |||||||
Sunrun Demeter Issuer 2021-2A A† | 2.27% | 1/30/2057 | 29,370,841 | 26,819,047 | ||||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 3.204% (3 Mo. LIBOR + 2.95%) | # | 1/20/2031 | 1,264,235 | 1,246,739 | |||||||
TICP CLO XIV Ltd. 2019-14A BR† | Zero Coupon | #(a) | 10/20/2032 | 7,000,000 | 6,910,613 | |||||||
TICP CLO XIV Ltd. 2019-14A A2R† | Zero Coupon | #(a) | 10/20/2032 | 21,315,000 | 21,103,327 | |||||||
TICP CLO XIV Ltd. 2019-14A CR† | Zero Coupon | #(a) | 10/20/2032 | 13,500,000 | 13,397,658 | |||||||
TRP LLC 2021-1 A† | 2.07% | 6/19/2051 | 21,137,041 | 19,542,275 | ||||||||
VERDE CLO Ltd. 2019-1A CR† | 2.241% (3 Mo. LIBOR + 2.00%) | # | 4/15/2032 | 5,000,000 | 4,870,675 | |||||||
Voya CLO Ltd. 2019-3A BR† | 1.891% (3 Mo. LIBOR + 1.65%) | # | 10/17/2032 | 36,000,000 | 35,641,023 | |||||||
Wellman Park CLO Ltd. 2021-1A D† | 3.191% (3 Mo. LIBOR + 2.95%) | # | 7/15/2034 | 24,250,000 | 23,492,736 | |||||||
Wind River CLO Ltd. 2021-2A D† | 3.404% (3 Mo. LIBOR + 3.15%) | # | 7/20/2034 | 7,610,000 | 7,387,168 | |||||||
Wind River CLO Ltd. 2021-4A D† | 3.416% (3 Mo. LIBOR + 3.20%) | # | 1/20/2035 | 19,090,000 | 18,709,802 | |||||||
Total | 1,297,899,117 | |||||||||||
Total Asset-Backed Securities (cost $1,538,244,927) | 1,506,073,059 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 8.10% | ||||||||||||
Auto Components 0.02% | ||||||||||||
Chassix Holdings, Inc. | 607,057 | 6,677,627 | ||||||||||
Automobiles 0.11% | ||||||||||||
Ferrari NV (Italy)(b) | 130,840 | 28,534,896 | ||||||||||
Banks 0.05% | ||||||||||||
Zions Bancorp NA | 190,986 | 12,521,042 |
See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Shares | Fair Value | ||||||
Biotechnology 0.26% | ||||||||
Amgen, Inc. | 176,764 | $ | 42,745,070 | |||||
Vertex Pharmaceuticals, Inc.* | 95,476 | 24,916,372 | ||||||
Total | 67,661,442 | |||||||
Capital Markets 0.50% | ||||||||
Allfunds Group plc*(c) | EUR | 2,281,299 | 26,132,238 | |||||
CME Group, Inc. | 272,123 | 64,727,177 | ||||||
FactSet Research Systems, Inc. | 90,723 | 39,387,391 | ||||||
Total | 130,246,806 | |||||||
Chemicals 0.25% | ||||||||
Mosaic Co. (The) | 1,004,262 | 66,783,423 | ||||||
Commercial Services & Supplies 0.10% | ||||||||
Tetra Tech, Inc. | 157,660 | 26,004,440 | ||||||
Containers & Packaging 0.15% | ||||||||
Crown Holdings, Inc. | 309,716 | 38,742,374 | ||||||
Electric: Utilities 0.25% | ||||||||
Constellation Energy Corp. | 692,504 | 38,953,350 | ||||||
Exelon Corp. | 572,852 | 27,284,941 | ||||||
Total | 66,238,291 | |||||||
Electric - Generation 0.00% | ||||||||
Frontera Generation Holdings LLC | 125,994 | 377,982 | ||||||
Energy Equipment & Services 0.11% | ||||||||
NOV, Inc. | 1,499,670 | 29,408,529 | ||||||
Food Products 0.23% | ||||||||
Hershey Co. (The) | 275,447 | 59,670,084 | ||||||
Health Care Equipment & Supplies 0.17% | ||||||||
Shockwave Medical, Inc.* | 210,089 | 43,564,055 | ||||||
Health Care Providers & Services 0.41% | ||||||||
Molina Healthcare, Inc.* | 170,066 | 56,732,317 | ||||||
Tenet Healthcare Corp.* | 296,129 | 25,455,249 | ||||||
Universal Health Services, Inc. Class B | 180,804 | 26,207,540 | ||||||
Total | 108,395,106 | |||||||
Hotels, Restaurants & Leisure 0.09% | ||||||||
Dutch Bros, Inc. Class A* | 424,917 | 23,485,163 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Shares | Fair Value | ||||||
Information Technology Services 0.36% | ||||||||
Block, Inc.* | 187,864 | $ | 25,474,358 | |||||
Gartner, Inc.* | 85,939 | 25,563,415 | ||||||
Jack Henry & Associates, Inc. | 218,744 | 43,103,505 | ||||||
Total | 94,141,278 | |||||||
Insurance 0.20% | ||||||||
American Financial Group, Inc./OH | 178,173 | 25,945,552 | ||||||
Progressive Corp. (The) | 224,628 | 25,605,346 | ||||||
Total | 51,550,898 | |||||||
Machinery 0.10% | ||||||||
Westinghouse Air Brake Technologies Corp. | 265,587 | 25,541,502 | ||||||
Marine 0.10% | ||||||||
Kirby Corp.* | 382,082 | 27,582,500 | ||||||
Metals & Mining 1.34% | ||||||||
Alcoa Corp. | 723,645 | 65,149,759 | ||||||
Franco-Nevada Corp. (Canada)(b) | 407,148 | 64,948,249 | ||||||
Freeport-McMoRan, Inc. | 573,097 | 28,505,845 | ||||||
Kumba Iron Ore Ltd.(c) | ZAR | 759,670 | 33,744,901 | |||||
Newmont Corp. | 822,902 | 65,379,564 | ||||||
Nucor Corp. | 425,851 | 63,302,751 | ||||||
OZ Minerals Ltd.(c) | AUD | 1,485,656 | 29,628,315 | |||||
Total | 350,659,384 | |||||||
Miscellaneous Financials 0.03% | ||||||||
UTEX Industries, Inc. | 113,840 | 7,399,600 | ||||||
Oil, Gas & Consumable Fuels 1.54% | ||||||||
APA Corp. | 1,755,395 | 72,550,475 | ||||||
Callon Petroleum Co.* | 941,436 | 55,620,039 | ||||||
Continental Resources, Inc. | 828,759 | 50,827,789 | ||||||
Hess Corp. | 643,289 | 68,857,655 | ||||||
Occidental Petroleum Corp. | 1,148,137 | 65,145,293 | ||||||
ONEOK, Inc. | 381,977 | 26,979,036 | ||||||
Suncor Energy, Inc. (Canada)(b) | 1,987,893 | 64,785,433 | ||||||
Total | 404,765,720 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Shares | Fair Value | ||||||||||
Personal Products 0.05% | ||||||||||||
Gibson Brands, Inc. | 106,902 | $ | 12,560,985 | |||||||||
Revlon, Inc. Class A | 1,798,428 | 395,654 | ||||||||||
Total | 12,956,639 | |||||||||||
Pharmaceuticals 0.09% | ||||||||||||
Pfizer, Inc. | 477,500 | 24,720,175 | ||||||||||
Road & Rail 0.50% | ||||||||||||
Canadian National Railway Co. (Canada)(b) | 209,784 | 28,140,426 | ||||||||||
JB Hunt Transport Services, Inc. | 120,331 | 24,161,261 | ||||||||||
Union Pacific Corp. | 288,784 | 78,898,677 | ||||||||||
Total | 131,200,364 | |||||||||||
Semiconductors & Semiconductor Equipment 0.14% | ||||||||||||
ON Semiconductor Corp.* | 602,261 | 37,707,561 | ||||||||||
Software 0.68% | ||||||||||||
Aspen Technology, Inc.* | 256,399 | 42,400,703 | ||||||||||
Atlassian Corp. plc Class A (Australia)*(b) | 139,564 | 41,008,090 | ||||||||||
Crowdstrike Holdings, Inc. Class A* | 175,749 | 39,909,083 | ||||||||||
Paycom Software, Inc.* | 83,092 | 28,781,407 | ||||||||||
Zendesk, Inc.* | 214,860 | 25,845,509 | ||||||||||
Total | 177,944,792 | |||||||||||
Specialty Retail 0.27% | ||||||||||||
Claires Holdings LLC | 15,164 | 4,966,332 | (d) | |||||||||
Ulta Beauty, Inc.* | 166,168 | 66,171,421 | ||||||||||
Total | 71,137,753 | |||||||||||
Transportation Infrastructure 0.00% | ||||||||||||
ACBL Holdings Corp. | 44,897 | 1,085,003 | ||||||||||
Total Common Stocks (cost $1,989,386,573) | 2,126,704,429 | |||||||||||
Interest Rate | Maturity Date | Principal Amount | ||||||||||
CORPORATE BONDS 59.78% | ||||||||||||
Advertising 0.38% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.† | 7.50% | 6/1/2029 | $ | 27,934,000 | 27,906,904 | |||||||
Clear Channel Outdoor Holdings, Inc.† | 7.75% | 4/15/2028 | 21,501,000 | 21,637,854 | ||||||||
Clear Channel Worldwide Holdings, Inc.† | 5.125% | 8/15/2027 | 18,997,000 | 18,826,027 | ||||||||
Midas OpCo Holdings LLC† | 5.625% | 8/15/2029 | 32,936,000 | 31,114,639 | ||||||||
Total | 99,485,424 |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Aerospace/Defense 1.09% | ||||||||||||
Bombardier, Inc. (Canada)†(b) | 6.00% | 2/15/2028 | $ | 101,264,000 | $ | 95,048,416 | ||||||
Bombardier, Inc. (Canada)†(b) | 7.125% | 6/15/2026 | 44,140,000 | 43,310,830 | ||||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 23,649,000 | 24,754,587 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 42,177,000 | 39,487,584 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 83,082,000 | 82,562,322 | ||||||||
Total | 285,163,739 | |||||||||||
Agriculture 0.25% | ||||||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 44,671,000 | 41,187,622 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 3.20% | 4/21/2031 | 27,564,000 | 25,419,283 | ||||||||
Total | 66,606,905 | |||||||||||
Airlines 1.18% | ||||||||||||
Air Canada (Canada)†(b) | 3.875% | 8/15/2026 | 28,196,000 | 26,645,079 | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust† | 4.80% | 2/15/2029 | 22,485,765 | 23,041,573 | ||||||||
American Airlines Group, Inc.† | 3.75% | 3/1/2025 | 33,871,000 | 30,939,973 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 31,026,000 | 30,952,313 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 33,084,000 | 29,151,305 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 34,594,000 | 37,082,480 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 29,268,000 | 29,543,225 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 35,342,222 | 35,409,019 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 11/15/2029 | 12,317,592 | 11,366,565 | ||||||||
JetBlue 2019-1 Class B Pass Through Trust | 8.00% | 11/15/2027 | 8,695,853 | 9,398,929 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 26,232,000 | 27,379,650 | ||||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 4/15/2029 | 17,051,630 | 17,678,452 | ||||||||
Total | 308,588,563 | |||||||||||
Apparel 0.29% | ||||||||||||
Crocs, Inc.† | 4.125% | 8/15/2031 | 30,298,000 | 25,656,801 | ||||||||
Crocs, Inc.† | 4.25% | 3/15/2029 | 17,653,000 | 15,643,382 | ||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 37,377,000 | 34,307,601 | ||||||||
Total | 75,607,784 | |||||||||||
Auto Manufacturers 0.74% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 44,553,000 | 40,483,083 | ||||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 36,317,000 | 38,173,905 | ||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | 62,114,000 | 55,580,228 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers (continued) | ||||||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | $ | 45,275,000 | $ | 42,707,455 | ||||||
Volkswagen Group of America Finance LLC† | 3.75% | 5/13/2030 | 17,706,000 | 17,585,995 | ||||||||
Total | 194,530,666 | |||||||||||
Auto Parts & Equipment 0.45% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | 26,500,000 | 25,266,557 | ||||||||
Clarios Global LP/Clarios US Finance Co.† | 8.50% | 5/15/2027 | 51,474,000 | 53,473,765 | ||||||||
Lear Corp. | 4.25% | 5/15/2029 | 17,051,000 | 17,285,934 | ||||||||
Lear Corp. | 5.25% | 5/15/2049 | 19,893,000 | 21,416,664 | ||||||||
Total | 117,442,920 | |||||||||||
Banks 2.75% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 3.324% (5 Yr. Treasury CMT + 1.90%) | # | 3/13/2037 | 17,400,000 | 15,834,156 | |||||||
Alfa Bank AO Via Alfa Bond Issuance plc (Ireland)†(b) | 5.50% (5 Yr. Treasury CMT + 4.55%) | # | 10/26/2031 | 51,057,000 | 5,105,700 | |||||||
Australia & New Zealand Banking Group Ltd. (United Kingdom)†(b) | 6.75% (USD ICE 5 Yr. Swap rate + 5.17%) | # | – | (e) | 19,074,000 | 20,510,940 | ||||||
Banco Mercantil del Norte SA (Cayman Islands)†(b) | 7.625% (10 Yr. Treasury CMT + 5.35%) | # | – | (e) | 20,928,000 | 21,066,229 | ||||||
Banco Nacional de Comercio Exterior SNC (Cayman Islands)†(b) | 2.72% (5 Yr. Treasury CMT + 2.00%) | # | 8/11/2031 | 18,026,000 | 17,169,945 | |||||||
Bank Hapoalim BM (Israel)†(b) | 3.255% (5 Yr. Treasury CMT + 2.16%) | # | 1/21/2032 | 21,420,000 | 19,813,500 | |||||||
Bank of Ireland Group plc (Ireland)†(b) | 2.029% (1 Yr. Treasury CMT + 1.10%) | # | 9/30/2027 | 24,345,000 | 22,104,966 | |||||||
Bank OZK | 2.75% (SOFR + 2.09%) | # | 10/1/2031 | 41,658,000 | 40,471,015 | |||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,313,000 | 25,410,741 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 55,745,000 | 61,783,357 | ||||||||
Fifth Third Bancorp | 8.25% | 3/1/2038 | 8,042,000 | 11,914,228 | ||||||||
Global Bank Corp. (Panama)†(b) | 5.25% (3 Mo. LIBOR + 3.30%) | # | 4/16/2029 | 6,400,000 | 6,108,416 | |||||||
Home BancShares, Inc. | 3.125% (SOFR + 1.82%) | # | 1/30/2032 | 22,742,000 | 21,690,284 | |||||||
Home BancShares, Inc. | 5.625% (3 Mo. LIBOR + 3.58%) | # | 4/15/2027 | 20,631,000 | 20,631,883 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
HSBC Holdings plc (United Kingdom)(b) | 2.999% (SOFR + 1.43%) | # | 3/10/2026 | $ | 59,095,000 | $ | 57,980,285 | |||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88%) | # | – | (e) | 26,581,000 | 25,658,639 | ||||||
ING Groep NV (Netherlands)(b) | 5.75% (5 Yr. Treasury CMT + 4.34%) | # | – | (e) | 21,000,000 | 21,133,035 | ||||||
Intesa Sanpaolo SpA (Italy)†(b) | 4.198% (1 Yr. Treasury CMT + 2.60%) | # | 6/1/2032 | 35,367,000 | 31,320,948 | |||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38%) | # | 5/1/2028 | 24,994,000 | 25,091,429 | |||||||
Kookmin Bank (South Korea)†(b) | 1.75% | 5/4/2025 | 22,600,000 | 21,746,399 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(b) | 6.125% (USD 5 Yr. Swap rate + 3.70%) | # | – | (e) | 27,742,000 | 27,668,068 | ||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,922,000 | 16,354,282 | ||||||||
SVB Financial Group | 3.125% | 6/5/2030 | 19,534,000 | 18,802,671 | ||||||||
SVB Financial Group | 4.25% (5 Yr. Treasury CMT + 3.07%) | # | – | (e) | 33,810,000 | 31,337,644 | ||||||
UniCredit SpA (Italy)†(b) | 5.459% (5 Yr. Treasury CMT + 4.75%) | # | 6/30/2035 | 27,053,000 | 25,900,776 | |||||||
UniCredit SpA (Italy)†(b) | 5.861% (USD ICE 5 Yr. Swap rate + 3.70%) | # | 6/19/2032 | 27,137,000 | 26,694,189 | |||||||
United Overseas Bank Ltd. (Singapore)†(b) | 2.00% (5 Yr. Treasury CMT + 1.23%) | # | 10/14/2031 | 26,650,000 | 24,755,501 | |||||||
US Bancorp | 3.00% | 7/30/2029 | 13,452,000 | 13,197,895 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 27,684,000 | 28,285,069 | ||||||||
Western Alliance Bancorp | 3.00% (SOFR + 2.25%) | # | 6/15/2031 | 17,415,000 | 16,604,177 | |||||||
Total | 722,146,367 | |||||||||||
Beverages 0.45% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 23,151,000 | 22,346,570 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,381,000 | 33,730,274 | ||||||||
Becle SAB de CV (Mexico)†(b) | 2.50% | 10/14/2031 | 27,373,000 | 24,339,935 | ||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 18,174,000 | 19,806,558 | ||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL (Guatemala)†(b) | 5.25% | 4/27/2029 | 18,843,000 | 18,775,730 | ||||||||
Total | 118,999,067 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Biotechnology 0.19% | ||||||||||||
Amgen, Inc. | 4.20% | 2/22/2052 | $ | 27,314,000 | $ | 28,337,825 | ||||||
Regeneron Pharmaceuticals, Inc. | 2.80% | 9/15/2050 | 25,350,000 | 20,329,897 | ||||||||
Total | 48,667,722 | |||||||||||
Building Materials 0.27% | ||||||||||||
Carrier Global Corp. | 2.70% | 2/15/2031 | 25,447,000 | 23,781,788 | ||||||||
Owens Corning, Inc. | 4.40% | 1/30/2048 | 7,942,000 | 7,927,818 | ||||||||
SRM Escrow Issuer LLC† | 6.00% | 11/1/2028 | 13,189,000 | 13,023,742 | ||||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | 24,595,000 | 25,827,906 | ||||||||
Total | 70,561,254 | |||||||||||
Chemicals 1.21% | ||||||||||||
Braskem Idesa SAPI (Mexico)†(b) | 6.99% | 2/20/2032 | 40,748,000 | 39,985,197 | ||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,920,000 | 25,004,560 | ||||||||
Chemours Co. (The)† | 5.75% | 11/15/2028 | 21,661,000 | 21,070,304 | ||||||||
EverArc Escrow Sarl (Luxembourg)†(b) | 5.00% | 10/30/2029 | 28,683,000 | 26,262,872 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 13,468,000 | 13,247,229 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 24,547,000 | 22,231,359 | ||||||||
NOVA Chemicals Corp. (Canada)†(b) | 4.25% | 5/15/2029 | 27,282,000 | 25,188,652 | ||||||||
OCP SA (Morocco)†(b) | 3.75% | 6/23/2031 | 61,169,000 | 55,656,450 | ||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | 35,878,000 | 33,864,706 | ||||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 29,971,000 | 26,964,609 | ||||||||
Sociedad Quimica y Minera de Chile SA (Chile)†(b) | 3.50% | 9/10/2051 | 32,028,000 | 27,700,377 | ||||||||
Total | 317,176,315 | |||||||||||
Coal 0.15% | ||||||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 6,465,000 | 6,407,946 | ||||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 30,754,000 | 32,396,264 | ||||||||
Total | 38,804,210 | |||||||||||
Commercial Services 2.05% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(b) | 3.828% | 2/2/2032 | 27,442,000 | 24,576,816 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(b) | 4.375% | 7/3/2029 | 35,831,000 | 34,474,380 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,365,000 | 18,990,363 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.00% | 6/1/2029 | 29,270,000 | 25,860,045 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 4.75% | 4/1/2028 | 27,805,000 | 26,705,451 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 5.375% | 3/1/2029 | 31,829,000 | 31,394,852 | ||||||||
Block, Inc.† | 3.50% | 6/1/2031 | 28,254,000 | 25,899,735 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Commercial Services (continued) | ||||||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | $ | 27,395,000 | $ | 26,696,838 | ||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 20,223,000 | 23,050,741 | ||||||||
CoStar Group, Inc.† | 2.80% | 7/15/2030 | 17,267,000 | 15,806,624 | ||||||||
Georgetown University (The) | 2.943% | 4/1/2050 | 17,968,000 | 14,729,475 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 41,296,000 | 38,172,513 | ||||||||
Global Payments, Inc. | 4.15% | 8/15/2049 | 20,180,000 | 19,560,031 | ||||||||
Hertz Corp. (The)† | 4.625% | 12/1/2026 | 27,439,000 | 25,661,502 | ||||||||
Hertz Corp. (The)† | 5.00% | 12/1/2029 | 21,211,000 | 19,223,423 | ||||||||
Hertz Corp. (The)† | 5.50% | 10/15/2024 | 16,775,000 | 251,625 | ||||||||
Hertz Corp. (The)† | 6.00% | 1/15/2028 | 33,436,000 | 2,006,160 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658,000 | 8,300,760 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 20,869,000 | 17,490,739 | ||||||||
Mersin Uluslararasi Liman Isletmeciligi AS (Turkey)†(b) | 5.375% | 11/15/2024 | 30,508,000 | 29,971,999 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 26,471,000 | 27,333,011 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 31,623,000 | 29,526,297 | ||||||||
Triton Container International Ltd.† | 3.15% | 6/15/2031 | 28,117,000 | 25,736,651 | ||||||||
University of Miami(f) | 4.063% | 4/1/2052 | 11,845,000 | 11,845,000 | ||||||||
Verisk Analytics, Inc. | 3.625% | 5/15/2050 | 15,070,000 | 14,235,629 | ||||||||
Total | 537,500,660 | |||||||||||
Computers 1.02% | ||||||||||||
Apple, Inc. | 3.00% | 6/20/2027 | 31,927,000 | 32,333,000 | ||||||||
CA Magnum Holdings (Mauritius)†(b) | 5.375% | 10/31/2026 | 23,999,000 | 23,699,012 | ||||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 185,638,000 | 170,580,902 | ||||||||
Presidio Holdings, Inc.† | 4.875% | 2/1/2027 | 16,307,000 | 16,097,292 | ||||||||
Teledyne FLIR LLC | 2.50% | 8/1/2030 | 28,076,000 | 25,613,444 | ||||||||
Total | 268,323,650 | |||||||||||
Cosmetics/Personal Care 0.06% | ||||||||||||
GSK Consumer Healthcare Capital US LLC† | 3.625% | 3/24/2032 | 16,154,000 | 16,154,909 | ||||||||
Distribution/Wholesale 0.22% | ||||||||||||
Ferguson Finance plc (United Kingdom)†(b) | 3.25% | 6/2/2030 | 30,527,000 | 29,098,125 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 30,483,000 | 28,615,764 | ||||||||
Total | 57,713,889 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services 2.15% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | $ | 24,203,000 | $ | 24,236,279 | ||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 34,043,000 | 42,780,121 | ||||||||
Blackstone Holdings Finance Co. LLC† | 2.00% | 1/30/2032 | 31,661,000 | 27,632,343 | ||||||||
Blue Owl Finance LLC† | 4.125% | 10/7/2051 | 24,438,000 | 19,441,359 | ||||||||
Charles Schwab Corp. (The) | 5.375% (5 Yr. Treasury CMT + 4.97%) | # | – | (e) | 17,118,000 | 17,717,130 | ||||||
Coinbase Global, Inc.† | 3.375% | 10/1/2028 | 44,843,000 | 39,672,602 | ||||||||
Coinbase Global, Inc.† | 3.625% | 10/1/2031 | 50,108,000 | 42,814,530 | ||||||||
CPPIB Capital, Inc. (Canada)†(b) | 1.52% (SOFR + 1.25%) | # | 4/4/2025 | 162,834,000 | 167,431,352 | |||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25% (Cayman Islands)†(b) | 6.50% | 9/15/2024 | 34,720,416 | 31,487,591 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(b)(g) | 6.054% (3 Mo. LIBOR + 5.75 %) | 1/15/2015 | 15,000,000 | 1,500 | (h) | |||||||
Nationstar Mortgage Holdings, Inc.† | 5.125% | 12/15/2030 | 12,072,000 | 11,189,054 | ||||||||
Navient Corp. | 4.875% | 3/15/2028 | 19,101,000 | 17,590,827 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 24,847,000 | 25,323,938 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 33,898,000 | 34,870,873 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 22,924,000 | 23,410,906 | ||||||||
PennyMac Financial Services, Inc.† | 5.75% | 9/15/2031 | 24,334,000 | 21,670,644 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 19,271,000 | 17,792,405 | ||||||||
Total | 565,063,454 | |||||||||||
Electric 3.37% | ||||||||||||
AES Corp. (The) | 2.45% | 1/15/2031 | 37,063,000 | 33,204,396 | ||||||||
Alfa Desarrollo SpA (Chile)†(b) | 4.55% | 9/27/2051 | 33,803,619 | 29,390,557 | ||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 13,493,000 | 13,943,909 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(b) | 4.35% | 8/1/2028 | 13,786,000 | 14,080,884 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 13,491,000 | 13,751,337 | ||||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 27,348,000 | 24,527,738 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 74,984,000 | 69,119,126 | ||||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 56,641,000 | 51,639,883 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 21,059,000 | 20,099,026 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 23,241,000 | 23,381,492 | ||||||||
Constellation Energy Generation LLC | 5.60% | 6/15/2042 | 25,025,000 | 26,702,357 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 18,929,000 | 21,405,093 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 20,062,000 | 21,806,948 | ||||||||
Electricite de France SA (France)†(b) | 3.625% | 10/13/2025 | 16,500,000 | 16,550,639 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Electricite de France SA (France)†(b) | 4.50% | 9/21/2028 | $ | 14,507,000 | $ | 14,881,824 | ||||||
Empresa de Transmision Electrica SA (Panama)†(b) | 5.125% | 5/2/2049 | 21,680,000 | 21,941,027 | ||||||||
Enel Finance International NV (Netherlands)†(b) | 3.50% | 4/6/2028 | 39,848,000 | 39,422,476 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,151,000 | 18,692,220 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 16,883,000 | 17,498,754 | ||||||||
FirstEnergy Corp. | 4.40% | 7/15/2027 | 50,740,000 | 51,149,218 | ||||||||
FirstEnergy Corp. | 5.35% | 7/15/2047 | 27,288,000 | 28,530,423 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 24,590,000 | 23,564,086 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 24,503,000 | 24,829,221 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039,000 | 15,348,686 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 26,657,000 | 26,669,198 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,654,000 | 46,186,993 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 19,300,000 | 19,248,276 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 11,721,894 | 12,021,916 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 11,652,000 | 11,476,754 | ||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia)†(b) | 4.875% | 7/17/2049 | 31,878,000 | 30,815,984 | ||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia)†(b) | 5.25% | 10/24/2042 | 25,332,000 | 25,642,317 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,265,000 | 26,259,846 | ||||||||
Union Electric Co. | 2.625% | 3/15/2051 | 30,381,000 | 25,269,790 | ||||||||
Vistra Operations Co. LLC† | 4.375% | 5/1/2029 | 26,340,000 | 24,925,279 | ||||||||
Total | 883,977,673 | |||||||||||
Electronics 0.31% | ||||||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | 31,417,000 | 29,823,981 | ||||||||
Flex Ltd. | 4.875% | 5/12/2030 | 28,778,000 | 30,116,557 | ||||||||
II-VI, Inc.† | 5.00% | 12/15/2029 | 21,193,000 | 20,746,357 | ||||||||
Total | 80,686,895 | |||||||||||
Energy - Alternate Sources 0.56% | ||||||||||||
Sweihan PV Power Co. PJSC (United Arab Emirates)†(b) | 3.625% | 1/31/2049 | 36,365,000 | 33,721,846 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 23,615,000 | 23,081,301 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 24,169,000 | 24,117,641 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 60,312,542 | 66,363,700 | ||||||||
Total | 147,284,488 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Engineering & Construction 0.35% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(b) | 5.125% | 8/11/2061 | $ | 32,350,000 | $ | 29,563,371 | ||||||
Cellnex Finance Co. S.A. (Spain)†(b) | 3.875% | 7/7/2041 | 27,082,000 | 22,049,894 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 40,545,000 | 39,938,852 | ||||||||
Total | 91,552,117 | |||||||||||
Entertainment 1.92% | ||||||||||||
Caesars Entertainment, Inc.† | 8.125% | 7/1/2027 | 62,097,000 | 66,618,904 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 36,420,000 | 35,395,870 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 36,639,000 | 37,115,307 | ||||||||
Cinemark USA, Inc.† | 5.25% | 7/15/2028 | 25,403,000 | 23,757,648 | ||||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | 56,509,000 | 53,252,951 | ||||||||
Magallanes, Inc.† | 5.141% | 3/15/2052 | 24,823,000 | 25,455,260 | ||||||||
Magallanes, Inc.† | 5.391% | 3/15/2062 | 18,230,000 | 18,887,708 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(b) | 5.75% | 6/15/2026 | 27,129,000 | 26,817,152 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp† | 4.875% | 5/1/2029 | 40,616,000 | 37,524,716 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 9,500,000 | 9,813,690 | ||||||||
Mohegan Gaming & Entertainment† | 8.00% | 2/1/2026 | 57,507,000 | 57,217,165 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/16/2029 | 25,600,000 | 23,187,215 | ||||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 28,151,000 | 26,906,726 | ||||||||
WMG Acquisition Corp.† | 3.00% | 2/15/2031 | 28,911,000 | 25,917,844 | ||||||||
WMG Acquisition Corp.† | 3.75% | 12/1/2029 | 38,192,000 | 35,979,728 | ||||||||
Total | 503,847,884 | |||||||||||
Environmental Control 0.35% | ||||||||||||
Madison IAQ LLC† | 4.125% | 6/30/2028 | 40,548,000 | 37,421,749 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 27,192,000 | 24,442,481 | ||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 31,999,000 | 30,276,974 | ||||||||
Total | 92,141,204 | |||||||||||
Food 1.09% | ||||||||||||
Arcor SAIC (Argentina)†(b) | 6.00% | 7/6/2023 | 3,761,000 | 3,737,400 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 25,074,000 | 24,283,166 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(b) | 5.625% | 8/15/2026 | 14,556,000 | 14,400,978 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 65,041,000 | 64,480,997 | ||||||||
Kraft Heinz Foods Co. | 4.875% | 10/1/2049 | 94,132,000 | 99,297,964 | ||||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 24,986,000 | 23,203,115 | ||||||||
McCormick & Co., Inc. | 4.20% | 8/15/2047 | 13,379,000 | 13,948,401 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food (continued) | ||||||||||||
SEG Holding LLC/SEG Finance Corp.† | 5.625% | 10/15/2028 | $ | 12,666,000 | $ | 12,679,933 | ||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 28,272,000 | 29,694,451 | ||||||||
Total | 285,726,405 | |||||||||||
Gas 0.17% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 18,916,000 | 18,753,677 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 26,454,000 | 26,413,283 | ||||||||
Total | 45,166,960 | |||||||||||
Health Care - Products 0.37% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,575,000 | 21,740,977 | ||||||||
Boston Scientific Corp. | 6.75% | 11/15/2035 | 16,135,000 | 20,370,156 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 20,927,000 | 21,852,014 | ||||||||
Mozart Debt Merger Sub, Inc.† | 3.875% | 4/1/2029 | 35,514,000 | 32,895,730 | ||||||||
Total | 96,858,877 | |||||||||||
Health Care - Services 2.48% | ||||||||||||
Anthem, Inc. | 2.25% | 5/15/2030 | 26,990,000 | 24,794,508 | ||||||||
Catalent Pharma Solutions, Inc.† | 3.125% | 2/15/2029 | 28,864,000 | 26,292,651 | ||||||||
Centene Corp. | 2.50% | 3/1/2031 | 32,280,000 | 28,541,008 | ||||||||
Centene Corp. | 3.00% | 10/15/2030 | 33,846,000 | 31,138,658 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 55,263,000 | 52,096,430 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 48,599,000 | 49,077,214 | ||||||||
Charles River Laboratories International, Inc.† | 3.75% | 3/15/2029 | 22,666,000 | 21,423,677 | ||||||||
CHS/Community Health Systems, Inc.† | 4.75% | 2/15/2031 | 45,323,000 | 42,893,234 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 24,836,000 | 25,029,595 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776,000 | 14,143,607 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628,000 | 18,916,046 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034,000 | 30,226,264 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 31,780,000 | 30,572,837 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 18,042,000 | 17,937,210 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 21,163,000 | 20,009,730 | ||||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078,000 | 17,450,271 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12,348,000 | 12,760,366 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 14,960,000 | 14,155,388 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(b) | 4.95% | 1/17/2028 | 20,352,000 | 19,935,496 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 10,750,000 | 11,257,292 | ||||||||
Seattle Children’s Hospital | 2.719% | 10/1/2050 | 18,062,000 | 15,039,898 | ||||||||
Tenet Healthcare Corp.† | 4.375% | 1/15/2030 | 28,176,000 | 27,083,194 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 34,784,000 | 35,130,449 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care - Services (continued) | ||||||||||||
Tenet Healthcare Corp.† | 6.125% | 10/1/2028 | $ | 36,407,000 | $ | 37,038,843 | ||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 27,711,000 | 28,478,595 | ||||||||
Total | 651,422,461 | |||||||||||
Home Builders 0.24% | ||||||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 41,185,000 | 38,497,772 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 21,316,000 | 24,843,805 | ||||||||
Total | 63,341,577 | |||||||||||
Home Furnishings 0.12% | ||||||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 31,431,000 | 32,692,175 | ||||||||
Household Products/Wares 0.08% | ||||||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 17,621,000 | 20,570,918 | ||||||||
Housewares 0.07% | ||||||||||||
Newell Brands, Inc. | 4.45% | 4/1/2026 | 17,060,000 | 17,188,035 | ||||||||
Insurance 1.14% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(b) | 3.20% | 9/16/2040 | 23,891,000 | 21,258,688 | ||||||||
AIA Group Ltd. (Hong Kong)†(b) | 3.375% | 4/7/2030 | 17,824,000 | 17,742,992 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 15,175,000 | 15,503,498 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 30,158,000 | 26,376,476 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 14,558,000 | 14,090,399 | ||||||||
AXIS Specialty Finance plc (United Kingdom)(b) | 5.15% | 4/1/2045 | 21,094,000 | 22,918,601 | ||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 22,560,000 | 19,852,672 | ||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 26,914,000 | 27,578,713 | ||||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610,000 | 28,042,176 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 26,944,000 | 27,037,603 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19,241,000 | 21,466,165 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | 17,804,000 | 18,887,204 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 12,705,000 | 14,057,230 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809,000 | 25,769,272 | ||||||||
Total | 300,581,689 | |||||||||||
Internet 1.96% | ||||||||||||
Alibaba Group Holding Ltd. (China)(b) | 2.125% | 2/9/2031 | 69,814,000 | 60,796,988 | ||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 43,837,000 | 44,456,508 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632,000 | 23,448,630 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Internet (continued) | ||||||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | $ | 18,691,000 | $ | 21,521,586 | ||||||
Arches Buyer, Inc.† | 4.25% | 6/1/2028 | 23,790,000 | 22,221,763 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 24,475,000 | 24,628,948 | ||||||||
Meituan (China)(b) | 3.05% | 10/28/2030 | 23,948,000 | 19,250,726 | ||||||||
Netflix, Inc.(c) | 3.625% | 5/15/2027 | EUR | 56,139,000 | 66,416,861 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 26,959,000 | 28,315,038 | |||||||
Netflix, Inc.† | 4.875% | 6/15/2030 | 33,484,000 | 35,777,152 | ||||||||
Tencent Holdings Ltd. (China)†(b) | 3.595% | 1/19/2028 | 34,479,000 | 33,655,029 | ||||||||
Tencent Holdings Ltd. (China)†(b) | 3.925% | 1/19/2038 | 51,079,000 | 47,517,320 | ||||||||
Uber Technologies, Inc.† | 4.50% | 8/15/2029 | 48,882,000 | 45,918,529 | ||||||||
VeriSign, Inc. | 2.70% | 6/15/2031 | 15,547,000 | 14,095,221 | ||||||||
Weibo Corp. (China)(b) | 3.375% | 7/8/2030 | 31,846,000 | 27,201,750 | ||||||||
Total | 515,222,049 | |||||||||||
Investment Companies 0.20% | ||||||||||||
Blackstone Private Credit Fund† | 2.625% | 12/15/2026 | 29,873,000 | 26,931,769 | ||||||||
Temasek Financial I Ltd. (Singapore)†(b) | 2.50% | 10/6/2070 | 32,855,000 | 26,398,498 | ||||||||
Total | 53,330,267 | |||||||||||
Iron - Steel 0.50% | ||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(b) | 8.75% | 7/15/2026 | 18,211,000 | 19,028,310 | ||||||||
CSN Resources S.A. (Brazil)†(b) | 5.875% | 4/8/2032 | 40,878,000 | 39,750,994 | ||||||||
CSN Resources SA (Brazil)†(b) | 4.625% | 6/10/2031 | 29,982,000 | 27,379,412 | ||||||||
United States Steel Corp. | 6.875% | 3/1/2029 | 44,615,000 | 46,477,676 | ||||||||
Total | 132,636,392 | |||||||||||
Leisure Time 1.17% | ||||||||||||
Carnival Corp.† | 4.00% | 8/1/2028 | 68,824,000 | 64,096,135 | ||||||||
Carnival Corp.† | 5.75% | 3/1/2027 | 31,529,000 | 30,110,195 | ||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 47,298,000 | 47,316,683 | ||||||||
NCL Corp. Ltd.† | 5.875% | 3/15/2026 | 47,133,000 | 44,839,037 | ||||||||
Pinnacle Bidco plc†(c) | 5.50% | 2/15/2025 | EUR | 18,919,000 | 21,068,527 | |||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | $ | 25,345,000 | 22,645,758 | |||||||
Royal Caribbean Cruises Ltd.† | 5.375% | 7/15/2027 | 37,240,000 | 35,834,376 | ||||||||
Royal Caribbean Cruises Ltd.† | 5.50% | 8/31/2026 | 18,103,000 | 17,618,111 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.125% | 6/15/2023 | 22,649,000 | 23,609,657 | ||||||||
Total | 307,138,479 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Lodging 0.91% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | $ | 18,833,000 | $ | 18,762,094 | ||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 27,980,000 | 26,499,452 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 36,017,000 | 36,006,195 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 27,083,000 | 25,829,150 | ||||||||
Sands China Ltd. (Macau)†(b) | 3.10% | 3/8/2029 | 33,714,000 | 28,825,470 | ||||||||
Sands China Ltd. (Macau)(b) | 4.375% | 6/18/2030 | 18,424,000 | 16,728,808 | ||||||||
Travel + Leisure Co. | 6.00% | 4/1/2027 | 24,188,000 | 25,004,345 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 30,025,000 | 29,107,436 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 32,800,000 | 32,845,920 | ||||||||
Total | 239,608,870 | |||||||||||
Machinery: Construction & Mining 0.09% | ||||||||||||
Terex Corp.† | 5.00% | 5/15/2029 | 24,472,000 | 23,501,318 | ||||||||
Machinery - Diversified 0.21% | ||||||||||||
nVent Finance Sarl (Luxembourg)(b) | 2.75% | 11/15/2031 | 18,081,000 | 16,275,813 | ||||||||
TK Elevator Holdco GmbH†(c) | 6.625% | 7/15/2028 | EUR | 20,111,400 | 21,931,417 | |||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | $ | 17,989,000 | 17,638,028 | |||||||
Total | 55,845,258 | |||||||||||
Media 1.44% | ||||||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 36,617,000 | 33,819,827 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 39,006,000 | 15,163,192 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 42,113,000 | 40,738,489 | ||||||||
Gray Escrow II, Inc.† | 5.375% | 11/15/2031 | 38,090,000 | 36,471,175 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(b) | 6.75% | 10/15/2027 | 13,567,000 | 13,955,559 | ||||||||
News Corp.† | 3.875% | 5/15/2029 | 29,380,000 | 27,808,611 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 25,397,000 | 24,631,281 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 23,661,000 | 23,979,240 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 4.50% | 9/15/2026 | 21,378,000 | 20,664,082 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.50% | 9/15/2028 | 22,978,000 | 21,771,655 | ||||||||
UPC Broadband Finco BV (Netherlands)†(b) | 4.875% | 7/15/2031 | 54,021,000 | 50,794,866 | ||||||||
Urban One, Inc.† | 7.375% | 2/1/2028 | 22,601,000 | 22,720,446 | ||||||||
VZ Secured Financing BV (Netherlands)†(b) | 5.00% | 1/15/2032 | 47,758,000 | 44,726,561 | ||||||||
Total | 377,244,984 | |||||||||||
Metal Fabricate - Hardware 0.10% | ||||||||||||
Roller Bearing Co. of America, Inc.† | 4.375% | 10/15/2029 | 29,284,000 | 27,343,935 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Mining 1.94% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(b) | 4.125% | 3/31/2029 | $ | 32,661,000 | $ | 32,047,463 | ||||||
Anglo American Capital plc (United Kingdom)†(b) | 3.95% | 9/10/2050 | 18,109,000 | 17,016,406 | ||||||||
Anglo American Capital plc (United Kingdom)†(b) | 4.75% | 3/16/2052 | 13,679,000 | 14,303,094 | ||||||||
Anglo American Capital plc (United Kingdom)†(b) | 5.625% | 4/1/2030 | 17,340,000 | 19,138,277 | ||||||||
Corp. Nacional del Cobre de Chile (Chile)†(b) | 3.75% | 1/15/2031 | 25,935,000 | 26,026,589 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(b) | 4.375% | 4/1/2031 | 85,126,000 | 80,661,993 | ||||||||
Freeport-McMoRan, Inc. | 4.125% | 3/1/2028 | 19,839,000 | 19,850,507 | ||||||||
Freeport-McMoRan, Inc. | 4.25% | 3/1/2030 | 41,315,000 | 41,663,492 | ||||||||
Freeport-McMoRan, Inc. | 4.375% | 8/1/2028 | 17,287,000 | 17,391,846 | ||||||||
Freeport-McMoRan, Inc. | 4.625% | 8/1/2030 | 20,241,000 | 20,719,700 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 26,700,000 | 28,016,844 | ||||||||
Glencore Funding LLC† | 3.875% | 4/27/2051 | 31,806,000 | 29,530,665 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 25,587,000 | 26,836,413 | ||||||||
Kaiser Aluminum Corp.† | 4.50% | 6/1/2031 | 29,542,000 | 26,687,356 | ||||||||
Mirabela Nickel Ltd. | 1.00% | 9/10/2044 | 185,297 | 18 | (h) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,484,000 | 28,813,276 | ||||||||
Novelis Corp.† | 4.75% | 1/30/2030 | 27,118,000 | 26,378,492 | ||||||||
Teck Resources Ltd. (Canada)(b) | 3.90% | 7/15/2030 | 26,282,000 | 26,285,126 | ||||||||
Vedanta Resources Finance II plc (United Kingdom)†(b) | 8.95% | 3/11/2025 | 28,478,000 | 27,732,019 | ||||||||
Total | 509,099,576 | |||||||||||
Miscellaneous Manufacturing 0.10% | ||||||||||||
Hillenbrand, Inc. | 3.75% | 3/1/2031 | 27,271,000 | 25,009,552 | ||||||||
Multi-National 0.38% | ||||||||||||
Asian Development Bank (Philippines)(b)(f) | 2.044% (SOFR Index + 1.00%) | # | 4/6/2027 | 96,200,000 | 99,650,694 | |||||||
Office/Business Equipment 0.10% | ||||||||||||
CDW LLC/CDW Finance Corp. | 3.569% | 12/1/2031 | 27,258,000 | 25,304,283 | ||||||||
Oil & Gas 9.66% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 22,664,000 | 23,179,833 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 53,546,000 | 54,081,995 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 16,914,000 | 16,020,095 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 54,791,000 | 55,310,693 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 33,958,000 | 35,375,237 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 19,780,000 | 19,708,693 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 39,782,000 | 39,606,760 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | $ | 35,941,000 | $ | 37,949,563 | ||||||
Cenovus Energy, Inc. (Canada)(b) | 2.65% | 1/15/2032 | 28,867,000 | 26,194,546 | ||||||||
Cenovus Energy, Inc. (Canada)(b) | 3.75% | 2/15/2052 | 16,297,000 | 14,633,654 | ||||||||
Cenovus Energy, Inc. (Canada)(b) | 5.40% | 6/15/2047 | 50,417,000 | 56,978,241 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 31,260,000 | 30,385,502 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 59,083,000 | 59,497,172 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 25,400,000 | 25,057,100 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 21,722,000 | 22,436,219 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 24,755,000 | 25,134,247 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 34,812,000 | 38,130,280 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.00% | 5/1/2029 | 22,690,000 | 22,738,217 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 41,408,000 | 41,064,784 | ||||||||
Diamondback Energy, Inc. | 4.25% | 3/15/2052 | 27,304,000 | 27,055,294 | ||||||||
Diamondback Energy, Inc. | 4.40% | 3/24/2051 | 41,161,000 | 41,922,279 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 24,502,000 | 25,258,989 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 32,182,000 | 33,304,347 | ||||||||
EQT Corp. | 6.625% | 2/1/2025 | 28,591,000 | 30,234,983 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 23,752,000 | 23,991,940 | ||||||||
Helmerich & Payne, Inc.† | 2.90% | 9/29/2031 | 48,506,000 | 44,438,405 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 2/1/2029 | 19,006,000 | 19,055,416 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 26,585,000 | 26,751,156 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 21,789,000 | 21,934,877 | ||||||||
Kosmos Energy Ltd.† | 7.125% | 4/4/2026 | 24,363,000 | 23,851,621 | ||||||||
Kosmos Energy Ltd.† | 7.75% | 5/1/2027 | 43,684,000 | 43,069,803 | ||||||||
Laredo Petroleum, Inc.† | 7.75% | 7/31/2029 | 47,641,000 | 47,993,543 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 74,890,000 | 80,569,283 | ||||||||
Lukoil Capital DAC (Ireland)†(b) | 3.60% | 10/26/2031 | 35,271,000 | 18,869,985 | ||||||||
Lukoil Securities BV (Netherlands)†(b) | 3.875% | 5/6/2030 | 45,000,000 | 23,986,575 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 28,043,000 | 28,594,045 | ||||||||
MC Brazil Downstream Trading Sarl (Luxembourg)†(b) | 7.25% | 6/30/2031 | 29,276,000 | 26,975,053 | ||||||||
MEG Energy Corp. (Canada)†(b) | 5.875% | 2/1/2029 | 41,876,000 | 42,531,569 | ||||||||
MEG Energy Corp. (Canada)†(b) | 7.125% | 2/1/2027 | 91,152,000 | 95,557,832 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 20,084,000 | 20,470,617 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 28,679,000 | 29,875,344 | ||||||||
Occidental Petroleum Corp. | 4.10% | 2/15/2047 | 16,190,000 | 15,008,130 | ||||||||
Occidental Petroleum Corp. | 4.30% | 8/15/2039 | 11,697,000 | 11,078,053 | ||||||||
Occidental Petroleum Corp. | 4.40% | 8/15/2049 | 27,212,000 | 25,635,881 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | $ | 77,155,000 | $ | 86,919,351 | ||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 20,011,000 | 22,987,636 | ||||||||
Occidental Petroleum Corp. | 7.50% | 5/1/2031 | 11,056,000 | 13,508,387 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 15,000,000 | 19,255,425 | ||||||||
OGX Austria GmbH (Brazil)†(b)(g) | 8.50% | 6/1/2018 | 20,000,000 | 400 | ||||||||
OQ SAOC (Oman)†(b) | 5.125% | 5/6/2028 | 41,296,000 | 40,936,931 | ||||||||
Ovintiv, Inc. | 5.15% | 11/15/2041 | 19,333,000 | 19,292,967 | ||||||||
Ovintiv, Inc. | 6.50% | 8/15/2034 | 13,421,000 | 15,969,251 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 35,742,000 | 42,477,720 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 27,618,000 | 25,858,056 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 30,064,000 | 29,377,042 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 52,334,000 | 53,133,402 | ||||||||
Pertamina Persero PT (Indonesia)†(b) | 4.175% | 1/21/2050 | 28,114,000 | 26,025,025 | ||||||||
Pertamina Persero PT (Indonesia)†(b) | 4.70% | 7/30/2049 | 21,230,000 | 20,972,388 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 6.70% | 2/16/2032 | 56,064,000 | 53,319,107 | (d) | |||||||
Precision Drilling Corp. (Canada)†(b) | 6.875% | 1/15/2029 | 25,394,000 | 25,805,764 | ||||||||
Qatar Petroleum (Qatar)†(b) | 3.30% | 7/12/2051 | 93,408,000 | 86,005,976 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 31,064,000 | 31,494,733 | ||||||||
Range Resources Corp. | 8.25% | 1/15/2029 | 25,079,000 | 27,519,686 | ||||||||
Reliance Industries Ltd. (India)†(b) | 3.625% | 1/12/2052 | 36,400,000 | 32,370,695 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(b) | 4.375% | 4/16/2049 | 30,522,000 | 31,197,879 | ||||||||
Shell International Finance BV (Netherlands)(b) | 6.375% | 12/15/2038 | 38,912,000 | 51,615,847 | ||||||||
SM Energy Co. | 5.625% | 6/1/2025 | 19,646,000 | 19,647,277 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 75,753,000 | 77,747,577 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 36,652,000 | 37,738,365 | ||||||||
Southwestern Energy Co. | 5.375% | 2/1/2029 | 15,763,000 | 15,981,633 | ||||||||
Southwestern Energy Co. | 5.375% | 3/15/2030 | 36,200,000 | 36,839,292 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 26,583,000 | 29,207,407 | ||||||||
Suncor Energy, Inc. (Canada)(b) | 4.00% | 11/15/2047 | 19,391,000 | 19,472,192 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(b) | 3.25% | 8/15/2030 | 44,488,000 | 36,297,982 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 11,023,000 | 15,216,431 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 20,779,000 | 21,193,125 | ||||||||
Total | 2,536,882,800 | |||||||||||
Oil & Gas Services 0.59% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 24,749,000 | 24,444,587 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 35,959,000 | 35,037,731 | ||||||||
TechnipFMC plc (United Kingdom)†(b) | 6.50% | 2/1/2026 | 20,325,000 | 21,099,179 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas Services (continued) | ||||||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | $ | 27,265,000 | $ | 27,411,822 | ||||||
Weatherford International Ltd.† | 8.625% | 4/30/2030 | 45,822,000 | 46,578,750 | ||||||||
Total | 154,572,069 | |||||||||||
Packaging & Containers 0.45% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 44,249,000 | 39,735,602 | ||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 20,868,000 | 23,576,666 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 26,061,000 | 27,753,784 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 22,752,000 | 25,986,197 | ||||||||
Total | 117,052,249 | |||||||||||
Pharmaceuticals 0.51% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 26,942,000 | 26,650,496 | ||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 14,179,000 | 14,767,678 | ||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 25,783,000 | 26,252,311 | ||||||||
Owens & Minor, Inc.† | 4.50% | 3/31/2029 | 26,751,000 | 25,578,771 | ||||||||
Pfizer, Inc. | 2.625% | 4/1/2030 | 26,408,000 | 25,669,959 | ||||||||
Zoetis, Inc. | 3.90% | 8/20/2028 | 13,486,000 | 13,871,117 | ||||||||
Total | 132,790,332 | |||||||||||
Pipelines 2.38% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(b) | 4.60% | 11/2/2047 | 28,472,000 | 30,234,701 | ||||||||
AI Candelaria Spain SA (Spain)†(b) | 5.75% | 6/15/2033 | 33,027,000 | 28,423,532 | ||||||||
AI Candelaria Spain SA (Spain)†(b) | 7.50% | 12/15/2028 | 18,965,000 | 18,656,060 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02%) | # | 1/22/2078 | 35,356,000 | 29,399,928 | |||||||
Cheniere Energy Partners LP† | 3.25% | 1/31/2032 | 29,175,000 | 26,575,362 | ||||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 27,253,000 | 26,761,204 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | 41,314,000 | 40,642,647 | ||||||||
DT Midstream, Inc.†(f) | 4.30% | 4/15/2032 | 27,294,000 | 27,399,355 | ||||||||
Energy Transfer LP | 6.50% (5 Yr. Treasury CMT + 5.69%) | # | – | (e) | 25,692,000 | 25,314,332 | ||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(b) | 3.25% | 9/30/2040 | 52,294,000 | 47,407,397 | ||||||||
Magellan Midstream Partners LP | 3.95% | 3/1/2050 | 27,299,000 | 25,908,596 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 23,375,000 | 21,858,519 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 25,138,000 | 26,123,103 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 20,972,000 | 21,289,624 |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
ONEOK, Inc. | 4.45% | 9/1/2049 | $ | 27,299,000 | $ | 26,285,389 | ||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166,000 | 20,818,735 | ||||||||
Sabine Pass Liquefaction LLC | 4.50% | 5/15/2030 | 58,643,000 | 61,419,415 | ||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(b) | 5.55% | 11/1/2028 | 24,773,000 | 25,641,789 | ||||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 8/15/2029 | 17,510,000 | 17,047,123 | ||||||||
Venture Global Calcasieu Pass LLC† | 4.125% | 8/15/2031 | 17,510,000 | 17,209,003 | ||||||||
Western Midstream Operating LP | 4.55% | 2/1/2030 | 60,400,000 | 60,209,438 | ||||||||
Total | 624,625,252 | |||||||||||
Real Estate 0.66% | ||||||||||||
Canary Wharf Group Investment Holdings plc†(c) | 3.375% | 4/23/2028 | GBP | 17,076,000 | 21,367,334 | |||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | $ | 71,989,000 | 68,720,699 | |||||||
Kennedy-Wilson, Inc. | 4.75% | 3/1/2029 | 18,781,000 | 18,144,324 | ||||||||
Kennedy-Wilson, Inc. | 4.75% | 2/1/2030 | 29,968,000 | 28,555,159 | ||||||||
Kennedy-Wilson, Inc. | �� | 5.00% | 3/1/2031 | 36,849,000 | 35,442,658 | |||||||
Total | 172,230,174 | |||||||||||
REITS 2.01% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 2.00% | 5/18/2032 | 17,993,000 | 15,755,825 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 14,750,000 | 15,091,194 | ||||||||
Alexandria Real Estate Equities, Inc. | 4.90% | 12/15/2030 | 19,794,000 | 21,910,896 | ||||||||
American Campus Communities Operating Partnership LP | 2.25% | 1/15/2029 | 22,298,000 | 20,408,500 | ||||||||
American Campus Communities Operating Partnership LP | 3.875% | 1/30/2031 | 37,586,000 | 37,873,238 | ||||||||
American Homes 4 Rent LP | 4.90% | 2/15/2029 | 8,559,000 | 9,117,633 | ||||||||
Crown Castle International Corp. | 4.15% | 7/1/2050 | 33,779,000 | 33,063,381 | ||||||||
EPR Properties | 3.60% | 11/15/2031 | 19,346,000 | 17,572,550 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 3.25% | 1/15/2032 | 26,936,000 | 24,483,881 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,903,000 | 19,334,272 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 18,808,000 | 20,273,017 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 12,258,000 | 12,682,334 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 4.75% | 6/15/2029 | 39,887,000 | 37,669,682 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.† | 4.625% | 6/15/2025 | 13,662,000 | 13,784,480 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 4.625% | 8/1/2029 | 27,257,000 | 27,035,946 | ||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer† | 5.875% | 10/1/2028 | 28,793,000 | 28,812,867 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
REITS (continued) | ||||||||||||
Prologis LP | 4.375% | 2/1/2029 | $ | 15,050,000 | $ | 16,047,329 | ||||||
Rayonier LP | 2.75% | 5/17/2031 | 32,382,000 | 29,628,851 | ||||||||
SBA Communications Corp. | 3.875% | 2/15/2027 | 40,849,000 | 39,897,627 | ||||||||
Simon Property Group LP | 2.65% | 2/1/2032 | 50,503,000 | 46,712,782 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 15,506,000 | 15,496,231 | ||||||||
Vornado Realty LP | 3.40% | 6/1/2031 | 23,546,000 | 22,186,896 | ||||||||
Weyerhaeuser Co. | 7.375% | 3/15/2032 | 3,205,000 | 4,094,212 | ||||||||
Total | 528,933,624 | |||||||||||
Retail 1.36% | ||||||||||||
Costco Wholesale Corp. | 1.75% | 4/20/2032 | 27,489,000 | 24,385,128 | ||||||||
Dollar Tree, Inc. | 3.375% | 12/1/2051 | 45,426,000 | 39,174,674 | ||||||||
Genuine Parts Co. | 2.75% | 2/1/2032 | 18,187,000 | 16,712,626 | ||||||||
Kohl’s Corp. | 5.55% | 7/17/2045 | 40,411,000 | 40,442,779 | ||||||||
Macy’s Retail Holdings LLC | 4.50% | 12/15/2034 | 27,122,000 | 23,175,206 | ||||||||
Macy’s Retail Holdings LLC† | 5.875% | 4/1/2029 | 25,290,000 | 25,260,790 | (d) | |||||||
Murphy Oil USA, Inc.† | 3.75% | 2/15/2031 | 28,750,000 | 26,294,319 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 15,790,000 | 15,690,239 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 25,668,000 | 24,839,694 | ||||||||
Sonic Automotive, Inc.† | 4.625% | 11/15/2029 | 1,277,000 | 1,150,903 | ||||||||
Staples, Inc.† | 7.50% | 4/15/2026 | 27,112,000 | 26,358,286 | ||||||||
Stonegate Pub Co. Financing 2019 plc(c) | 8.00% | 7/13/2025 | GBP | 17,255,000 | 23,084,097 | |||||||
Stonegate Pub Co. Financing 2019 plc(c) | 8.25% | 7/31/2025 | GBP | 31,938,000 | 42,846,892 | |||||||
Tiffany & Co. | 4.90% | 10/1/2044 | $ | 24,318,000 | 28,553,412 | |||||||
Total | 357,969,045 | |||||||||||
Savings & Loans 0.00% | ||||||||||||
Washington Mutual Bank(g) | 6.875% | 6/15/2011 | 22,500,000 | 2,250 | (h) | |||||||
Semiconductors 0.93% | ||||||||||||
KLA Corp. | 4.10% | 3/15/2029 | 16,566,000 | 17,405,992 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 17,958,000 | 21,484,332 | ||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | 25,257,000 | 27,344,683 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(b) | 3.25% | 11/30/2051 | 16,591,000 | 14,070,836 | ||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. (Netherlands)†(b) | 3.40% | 5/1/2030 | 16,808,000 | 16,316,284 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 29,897,000 | 28,584,970 | ||||||||
SK Hynix, Inc. (South Korea)†(b) | 2.375% | 1/19/2031 | 23,537,000 | 20,540,098 | ||||||||
TSMC Arizona Corp. | 3.25% | 10/25/2051 | 109,734,000 | 99,745,326 | ||||||||
Total | 245,492,521 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Software 1.96% | ||||||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | $ | 27,008,000 | $ | 27,193,409 | ||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 18,048,000 | 15,946,120 | ||||||||
Minerva Merger Sub, Inc.† | 6.50% | 2/15/2030 | 27,338,000 | 26,555,586 | ||||||||
MSCI, Inc.† | 3.25% | 8/15/2033 | 31,489,000 | 28,369,621 | ||||||||
MSCI, Inc.† | 3.875% | 2/15/2031 | 66,798,000 | 63,471,460 | ||||||||
MSCI, Inc.† | 4.00% | 11/15/2029 | 34,026,000 | 33,108,319 | ||||||||
Oracle Corp. | 4.50% | 7/8/2044 | 27,266,000 | 25,883,017 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 22,263,000 | 21,736,035 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 65,731,000 | 61,564,969 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 30,818,000 | 26,663,267 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 33,835,000 | 28,794,928 | ||||||||
Twilio, Inc. | 3.625% | 3/15/2029 | 74,504,000 | 70,319,483 | ||||||||
Twilio, Inc. | 3.875% | 3/15/2031 | 31,824,000 | 29,632,198 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd.† | 7.50% | 9/1/2025 | 14,785,000 | 14,044,271 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 41,702,000 | 41,674,169 | ||||||||
Total | 514,956,852 | |||||||||||
Telecommunications 2.09% | ||||||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(b) | 6.75% | 10/1/2026 | 29,167,000 | 29,712,277 | ||||||||
CT Trust (Guatemala)†(b) | 5.125% | 2/3/2032 | 14,502,000 | 14,508,381 | ||||||||
Frontier Communications Holdings LLC† | 5.00% | 5/1/2028 | 53,445,000 | 51,372,670 | ||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | 26,606,000 | 26,460,731 | ||||||||
Frontier Communications Holdings LLC† | 6.75% | 5/1/2029 | 14,136,000 | 13,590,068 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 21,000,000 | 21,403,935 | ||||||||
Motorola Solutions, Inc. | 4.60% | 5/23/2029 | 17,963,000 | 18,703,400 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 108,783,000 | 126,243,759 | ||||||||
Switch Ltd.† | 3.75% | 9/15/2028 | 18,979,000 | 18,438,858 | ||||||||
T-Mobile USA, Inc. | 3.375% | 4/15/2029 | 30,845,000 | 29,379,862 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 16,027,000 | 16,111,337 | ||||||||
T-Mobile USA, Inc. | 4.50% | 4/15/2050 | 11,073,000 | 11,241,733 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(b) | 4.25% | 1/31/2031 | 60,933,000 | 55,809,144 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(b) | 4.75% | 7/15/2031 | 42,074,000 | 39,717,646 | ||||||||
Windstream Escrow LLC/Windstream Escrow Finance Corp.† | 7.75% | 8/15/2028 | 19,090,000 | 19,465,596 | ||||||||
Xiaomi Best Time International Ltd. (Hong Kong)†(b) | 4.10% | 7/14/2051 | 67,907,000 | 56,506,728 | ||||||||
Total | 548,666,125 |
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Toys/Games/Hobbies 0.33% | ||||||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | $ | 35,799,000 | $ | 35,966,761 | ||||||
Hasbro, Inc. | 5.10% | 5/15/2044 | 24,241,000 | 26,150,273 | ||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 24,502,000 | 25,672,216 | ||||||||
Total | 87,789,250 | |||||||||||
Transportation 0.23% | ||||||||||||
Autoridad del Canal de Panama (Panama)†(b) | 4.95% | 7/29/2035 | 13,240,000 | 14,771,048 | ||||||||
Central Japan Railway Co. (Japan)†(b) | 4.25% | 11/24/2045 | 17,006,000 | 18,644,868 | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 8/20/2035 | 29,061,719 | 26,560,873 | ||||||||
Total | 59,976,789 | |||||||||||
Total Corporate Bonds (cost $16,340,488,565) | 15,694,451,845 | |||||||||||
FLOATING RATE LOANS(i) 7.11% | ||||||||||||
Aerospace/Defense 0.09% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(b) | 8.50% (3 Mo. LIBOR + 6.50%) | 3/6/2024 | 8,102,769 | 8,082,512 | ||||||||
Alloy Finco Limited USD Holdco PIK Term Loan 13.50% (Jersey)(b) | 0.50% (3 Mo. LIBOR + 0.50%) | 3/6/2025 | 14,532,870 | 14,890,088 | ||||||||
Total | 22,972,600 | |||||||||||
Auto Parts & Equipment 0.09% | ||||||||||||
Truck Hero, Inc. 2021 Term Loan B | 4.00% (1 Mo. LIBOR + 3.25%) | 1/31/2028 | 23,572,895 | 22,902,600 | ||||||||
Automakers 0.10% | ||||||||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 6.988% (3 Mo. LIBOR + 6.75%) | 4/10/2026 | 26,707,370 | 26,690,677 | (j) | |||||||
Banking 0.08% | ||||||||||||
Blackhawk Network Holdings, Inc 2018 1st Lien Term Loan | 3.457% (1 Mo. LIBOR + 3.00%) | 6/15/2025 | – | (k) | – | (l) | ||||||
Walker & Dunlop, Inc. 2021 Term Loan | 2.331% (3 Mo. SOFR + 2.25%) | 12/16/2028 | 20,301,108 | 20,224,979 | ||||||||
Total | 20,224,979 |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Building & Construction 0.16% | ||||||||||||
Centuri Group, Inc Term Loan B | 3.00% (3 Mo. LIBOR + 2.50%) | 8/27/2028 | $ | 22,603,927 | $ | 22,290,297 | ||||||
USIC Holdings, Inc. 2021 Term Loan | 4.25% (1 Mo. LIBOR + 3.50%) | 5/12/2028 | 19,606,166 | 19,443,337 | ||||||||
Total | 41,733,634 | |||||||||||
Building Materials 0.32% | ||||||||||||
ACProducts, Inc. 2021 Term Loan B | 4.75% (6 Mo. LIBOR + 4.25%) | 5/17/2028 | 34,230,317 | 31,130,420 | ||||||||
Quikrete Holdings, Inc. 2021 Term Loan B1 | – | (m) | 6/11/2028 | 20,802,578 | 20,465,992 | |||||||
Solis IV BV USD Term Loan B1 (Netherlands)(b) | 4.00% (3 Mo. SOFR + 3.50%) | 2/26/2029 | 31,737,792 | 31,152,706 | ||||||||
Total | 82,749,118 | |||||||||||
Cable & Satellite Television 0.27% | ||||||||||||
Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B (Luxembourg)(b) | 4.92% (6 Mo. SOFR + 4.25%) | 2/1/2029 | 73,027,949 | 71,961,011 | ||||||||
Chemicals 0.30% | ||||||||||||
LSF11 A5 Holdco LLC Term Loan | 4.00% (1 Mo. SOFR + 3.50%) | 10/15/2028 | 23,082,803 | 22,797,153 | ||||||||
Messer Industries GmbH 2018 USD Term Loan | 3.506% (3 Mo. LIBOR + 2.50%) | 3/2/2026 | 28,488,715 | 28,164,229 | ||||||||
PMHC II, Inc. 2022 Term Loan B | – | (m) | 2/1/2029 | 27,823,391 | 26,617,665 | |||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(b) | 4.006% (3 Mo. LIBOR + 3.00%) | 10/1/2025 | – | (k) | – | (l) | ||||||
Total | 77,579,047 | |||||||||||
Discount Stores 0.04% | ||||||||||||
Claire’s Stores, Inc. 2019 Term Loan B | 6.957% (1 Mo. LIBOR + 6.50%) | 12/18/2026 | 11,528,132 | 11,321,605 | ||||||||
Diversified Capital Goods 0.11% | ||||||||||||
CeramTec AcquiCo GmbH 2022 EUR Term Loan B(c) | – | (m) | 1/19/2029 | EUR | 25,074,401 | 27,535,504 |
See Notes to Schedule of Investments. | 29 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric: Generation 0.40% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 4.506% (3 Mo. LIBOR + 3.50%) | 12/10/2027 | $ | 75,585,709 | $ | 74,723,654 | ||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 4.51% (3 Mo. LIBOR + 3.50%) | 10/1/2027 | 28,925,122 | 28,242,633 | ||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 2.506% (3 Mo. LIBOR + 1.50%) | 7/28/2028 | 1,716,482 | 918,318 | ||||||||
Frontera Generation Holdings LLC 2021 Term Loan | 14.006% (3 Mo. LIBOR + 13.00%) | 7/28/2026 | 1,777,519 | 1,848,619 | ||||||||
Total | 105,733,224 | |||||||||||
Electric: Integrated 0.10% | ||||||||||||
Helix Gen Funding, LLC Term Loan B | 4.75% (1 Mo. LIBOR + 3.75%) | 6/3/2024 | 26,096,683 | 25,499,330 | ||||||||
Electronics 0.10% | ||||||||||||
Altar Bidco, Inc. 2021 Term Loan | – | (m) | 2/1/2029 | 27,307,517 | 26,996,075 | |||||||
Gaming 0.10% | ||||||||||||
Scientific Games Holdings LP 2022 USD Term Loan B | – | (m) | 2/4/2029 | 26,569,402 | 26,365,349 | |||||||
Gas Distribution 0.50% | ||||||||||||
Brazos Delaware II, LLC Term Loan B | 4.449% (1 Mo. LIBOR + 4.00%) | 5/21/2025 | 27,303,743 | 27,010,228 | ||||||||
CQP Holdco LP 2021 Term Loan B | 4.756% (3 Mo. LIBOR + 3.75%) | 6/5/2028 | 36,021,921 | 35,895,304 | ||||||||
Lucid Energy Group II Borrower, LLC 2021 Term Loan | 5.00% (1 Mo. LIBOR + 4.25%) | 11/24/2028 | 45,020,462 | 44,706,444 | ||||||||
Oryx Midstream Services Permian Basin LLC Term Loan B | 3.75% (3 Mo. LIBOR + 3.25%) | 10/5/2028 | 24,121,528 | 23,957,622 | ||||||||
Total | 131,569,598 | |||||||||||
Health Facilities 0.53% | ||||||||||||
Da Vinci Purchaser Corp. 2019 Term Loan | 5.006% (3 Mo. LIBOR + 4.00%) | 1/8/2027 | 18,676,128 | 18,637,188 | ||||||||
Electron BidCo Inc. 2021 Term Loan | 4.256% (3 Mo. LIBOR + 3.25%) | 11/1/2028 | 27,700,815 | 27,436,826 | ||||||||
EyeCare Partners, LLC 2020 Term Loan | 4.756% (3 Mo. LIBOR + 3.75%) | 2/18/2027 | 26,366,763 | 26,074,355 |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Facilities (continued) | ||||||||||||
Global Medical Response, Inc. 2020 Term Loan B | 5.25% (3 Mo. LIBOR + 4.25%) | 10/2/2025 | $ | 26,717,344 | $ | 26,579,616 | ||||||
Heartland Dental, LLC 2018 1st Lien Term Loan | 3.957% (1 Mo. LIBOR + 3.50%) | 4/30/2025 | 40,870,048 | 40,461,347 | ||||||||
Total | 139,189,332 | |||||||||||
Health Services 0.16% | ||||||||||||
National Mentor Holdings, Inc. 2021 Term Loan | 4.50% – 4.76% (1 Mo. LIBOR + 3.75%) (3 Mo. LIBOR + 3.75%) | 3/2/2028 | 41,232,175 | 40,000,776 | ||||||||
National Mentor Holdings, Inc. 2021 Term Loan C | 4.76% (3 Mo. LIBOR + 3.75%) | 3/2/2028 | 1,272,690 | 1,234,681 | ||||||||
Total | 41,235,457 | |||||||||||
Investments & Miscellaneous Financial Services 0.25% | ||||||||||||
HighTower Holdings LLC 2021 Term Loan B | 4.75% (3 Mo. LIBOR + 4.00%) | 4/21/2028 | 38,736,549 | 38,446,025 | ||||||||
Hudson River Trading LLC 2021 Term Loan | 3.144% (1 Mo. SOFR + 3.00%) | 3/20/2028 | 27,307,754 | 26,935,139 | ||||||||
Total | 65,381,164 | |||||||||||
Machinery 0.27% | ||||||||||||
II-VI Incorporated 2021 Term Loan B | – | (m) | 12/1/2028 | 27,313,890 | 27,177,321 | |||||||
SPX Flow, Inc. 2022 Term Loan | – | (m) | 3/16/2029 | 22,095,774 | 21,552,549 | |||||||
Vertical US Newco Inc Term Loan B | 4.019% (6 Mo. LIBOR + 3.50%) | 7/30/2027 | 22,353,648 | 22,186,108 | ||||||||
Total | 70,915,978 | |||||||||||
Managed Care 0.07% | ||||||||||||
Bella Holding Company, LLC 2021 Term Loan B | 4.50% (1 Mo. LIBOR + 3.75%) | 5/10/2028 | 18,685,116 | 18,568,334 | ||||||||
Media: Content 0.15% | ||||||||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 | 2.707% (1 Mo. LIBOR + 2.25%) | 1/17/2024 | 11,498,443 | 11,464,580 | ||||||||
Univision Communications Inc. 2022 Term Loan B | 4.00% (1 Mo. LIBOR + 3.25%) | 1/31/2029 | 28,367,655 | 28,131,211 | ||||||||
Total | 39,595,791 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Medical Products 0.05% | ||||||||||||
MedAssets Software Intermediate Holdings, Inc. 2021 Term Loan | 4.50% (3 Mo. LIBOR + 4.00%) | 12/18/2028 | $ | 14,184,596 | $ | 14,064,878 | ||||||
Metal Fabricating 0.08% | ||||||||||||
Tank Holding Corp. 2022 Term Loan | – | (m) | 3/31/2028 | 22,267,001 | 21,988,664 | |||||||
Metals/Mining (Excluding Steel) 0.14% | ||||||||||||
Alpha Metallurgical Resources, Inc. 2019 Term Loan | 10.00% (3 Mo. LIBOR + 8.00%) | 6/14/2024 | 17,096,211 | 17,131,856 | ||||||||
Peabody Energy Corporation 2018 Term Loan | – | (m) | 3/31/2025 | 21,402,514 | 20,342,127 | |||||||
Total | 37,473,983 | |||||||||||
Personal & Household Products 0.21% | ||||||||||||
AI Aqua Merger Sub, Inc. 2022 Delayed Draw Term loan | – | (m) | 7/31/2028 | 5,308,272 | 5,260,179 | |||||||
AI Aqua Merger Sub, Inc. 2022 Term Loan B | – | (m) | 7/31/2028 | 23,356,397 | 23,144,788 | |||||||
FGI Operating Company, LLC Exit Term Loan | 11.006% (3 Mo. LIBOR + 10.00%) | 5/16/2022 | 835,137 | 104,810 | (n) | |||||||
Revlon Consumer Products Corporation 2020 Additional Term Loan B2 | 4.25% (3 Mo. LIBOR + 3.50%) | 6/30/2025 | 198 | 137 | ||||||||
Springs Windows Fashions, LLC 2021 Term Loan B | 4.75% (1 Mo. LIBOR + 4.00%) | 10/6/2028 | 27,069,417 | 26,279,802 | ||||||||
Total | 54,789,716 | |||||||||||
Rail 0.11% | ||||||||||||
Genesee & Wyoming Inc. (New) Term Loan | 3.006% (3 Mo. LIBOR + 2.00%) | 12/30/2026 | 29,924,670 | 29,639,488 | ||||||||
Real Estate Investment Trusts 0.10% | ||||||||||||
Washington Prime Group, L.P. 2021 Take-back Exit Term Loan | 5.75% (1 Mo. LIBOR + 5.00%) | 6/11/2025 | 25,516,416 | 25,702,558 | ||||||||
Recreation & Travel 0.36% | ||||||||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(b) | 3.50% (1 Mo. LIBOR + 2.50%) | 2/1/2024 | 28,053,316 | 28,000,856 | ||||||||
Motion Finco Sarl Delayed Draw Term Loan B2 (Luxembourg)(b) | 4.256% (3 Mo. LIBOR + 3.25%) | 11/12/2026 | 2,461,997 | 2,424,723 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Recreation & Travel (continued) | ||||||||||||
Motion Finco Sarl USD Term Loan B1 (Luxembourg)(b) | 4.256% (3 Mo. LIBOR + 3.25%) | 11/12/2026 | $ | 18,630,456 | $ | 18,348,391 | ||||||
NASCAR Holdings, Inc Term Loan B | 2.957% (1 Mo. LIBOR + 2.50%) | 10/19/2026 | 44,970,448 | 44,664,199 | ||||||||
Total | 93,438,169 | |||||||||||
Software/Services 0.86% | ||||||||||||
Magenta Buyer LLC 2021 USD 1st Lien Term Loan | 5.75% (3 Mo. LIBOR + 5.00%) | 7/27/2028 | 39,574,852 | 39,337,403 | ||||||||
McAfee, LLC 2022 USD Term Loan B | 4.50% (3 Mo. SOFR + 4.00%) | 3/1/2029 | 33,180,114 | 32,993,476 | ||||||||
Peraton Corp. Term Loan B | 4.50% (1 Mo. LIBOR + 3.75%) | 2/1/2028 | 24,572,327 | 24,449,466 | ||||||||
Polaris Newco LLC USD Term Loan B | 4.50% (1 Mo. LIBOR + 4.00%) | 6/2/2028 | 31,795,373 | 31,608,575 | ||||||||
Quest Software US Holdings Inc. 2022 Term Loan | 4.75% (3 Mo. SOFR + 4.25%) | 2/1/2029 | 27,377,170 | 27,007,167 | ||||||||
RealPage, Inc 1st Lien Term Loan | 3.75% (1 Mo. LIBOR + 3.25%) | 4/24/2028 | 24,959,153 | 24,709,562 | ||||||||
Tibco Software Inc. 2020 Term Loan B3 | 4.21% (1 Mo. LIBOR + 3.75%) | 6/30/2026 | 30,682,026 | 30,566,969 | ||||||||
Ultimate Software Group Inc (The) Term Loan B | 4.756% (3 Mo. LIBOR + 3.75%) | 5/4/2026 | 15,855,450 | 15,815,811 | ||||||||
WEX Inc. 2021 Term Loan | 2.707% (1 Mo. LIBOR + 2.25%) | 3/31/2028 | 4,561 | 4,513 | ||||||||
Total | 226,492,942 | |||||||||||
Specialty Retail 0.10% | ||||||||||||
Birkenstock GmbH & Co. KG USD Term Loan B (Germany)(b) | 3.75% (6 Mo. LIBOR + 3.25%) | 4/28/2028 | – | (k) | – | (l) | ||||||
Mavis Tire Express Services Corp. 2021 Term Loan B | 4.75% (1 Mo. LIBOR + 4.00%) | 5/4/2028 | – | (k) | – | (l) | ||||||
Petco Health and Wellness Company, Inc. 2021 Term Loan B | – | (m) | 3/3/2028 | – | (k) | – | (l) |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Specialty Retail (continued) | ||||||||||||
Winterfell Financing Sarl EUR Term Loan B(c) | 2.925% (3 Mo. EURIBOR + 2.93%) | 5/4/2028 | EUR | 25,362,023 | $ | 27,241,263 | ||||||
Total | 27,241,263 | |||||||||||
Support: Services 0.64% | ||||||||||||
Amentum Government Services Holdings LLC 2022 Term Loan | 4.50% – 4.78% (3 Mo. SOFR + 4.00%) | 2/15/2029 | $ | 13,875,336 | 13,788,615 | |||||||
Avis Budget Car Rental, LLC 2020 Term Loan B | 2.21% (1 Mo. LIBOR + 1.75%) | 8/6/2027 | 48,300,493 | 47,334,483 | ||||||||
Brown Group Holding, LLC Term Loan B | 3.506% (3 Mo. LIBOR + 2.50%) | 6/7/2028 | 26,263,361 | 25,962,383 | ||||||||
CoreLogic, Inc. Term Loan | 4.00% (1 Mo. LIBOR + 3.50%) | 6/2/2028 | 27,286,664 | 27,030,988 | ||||||||
Pike Corporation 2021 Incremental Term Loan B | 3.21% (1 Mo. LIBOR + 3.00%) | 1/21/2028 | 41,540,278 | 41,265,281 | ||||||||
Verscend Holding Corp. 2021 Term Loan B | 4.457% (1 Mo. LIBOR + 4.00%) | 8/27/2025 | 13,648,804 | 13,631,743 | ||||||||
Total | 169,013,493 | |||||||||||
Technology Hardware & Equipment 0.20% | ||||||||||||
Atlas CC Acquisition Corp Term Loan B | 5.00% (3 Mo. LIBOR + 4.25%) | 5/25/2028 | 24,148,060 | 24,083,947 | ||||||||
Atlas CC Acquisition Corp Term Loan C | 5.00% (3 Mo. LIBOR + 4.25%) | 5/25/2028 | 4,911,470 | 4,898,430 | ||||||||
Delta TopCo, Inc. 2020 Term Loan B | 4.50% (3 Mo. LIBOR + 3.75%) | 12/1/2027 | 23,956,940 | 23,619,027 | ||||||||
Total | 52,601,404 | |||||||||||
Theaters & Entertainment 0.07% | ||||||||||||
AMC Entertainment Holdings, Inc. 2019 Term Loan B | 3.352% (1 Mo. LIBOR + 3.00%) | 4/22/2026 | – | (k) | – | (l) | ||||||
Vue International Bidco p.l.c. 2019 EUR Term Loan B(c) | – | (m) | 7/3/2026 | EUR | 18,451,184 | 17,753,005 | ||||||
Total | 17,753,005 | |||||||||||
Total Floating Rate Loans (cost $1,878,363,325) | 1,866,919,970 |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS 3.55% | ||||||||||||
Angola 0.35% | ||||||||||||
Angolan Government International Bond†(b) | 9.125% | 11/26/2049 | $ | 50,679,000 | $ | 49,480,441 | ||||||
Angolan Government International Bond†(b) | 9.375% | 5/8/2048 | 42,637,000 | 42,044,346 | ||||||||
Total | 91,524,787 | |||||||||||
Australia 0.10% | ||||||||||||
Australia Government Bond(c) | 4.25% | 4/21/2026 | AUD | 33,642,000 | 26,846,804 | |||||||
Bermuda 0.09% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | $ | 14,545,000 | 13,381,400 | |||||||
Bermuda Government International Bond† | 3.375% | 8/20/2050 | 12,887,000 | 11,376,644 | ||||||||
Total | 24,758,044 | |||||||||||
Colombia 0.27% | ||||||||||||
Colombia Government International Bond(b) | 5.20% | 5/15/2049 | 81,802,000 | 70,024,148 | ||||||||
Costa Rica 0.26% | ||||||||||||
Costa Rica Government International Bond†(b) | 7.158% | 3/12/2045 | 67,970,000 | 67,715,792 | ||||||||
Dominican Republic 0.08% | ||||||||||||
Dominican Republic International Bond†(b) | 6.00% | 2/22/2033 | 22,540,000 | 22,083,790 | ||||||||
Ecuador 0.31% | ||||||||||||
Ecuador Government International Bond†(b) | 5.00% | 7/31/2030 | 95,936,332 | 80,587,478 | ||||||||
El Salvador 0.14% | ||||||||||||
El Salvador Government International Bond†(b) | 7.65% | 6/15/2035 | 29,967,000 | 14,252,305 | ||||||||
El Salvador Government International Bond†(b) | 8.25% | 4/10/2032 | 42,714,000 | 21,464,212 | ||||||||
Total | 35,716,517 | |||||||||||
Gabon 0.14% | ||||||||||||
Gabon Government International Bond†(b) | 7.00% | 11/24/2031 | 37,742,000 | 36,358,378 | ||||||||
Kenya 0.35% | ||||||||||||
Kenya Government International Bond†(b) | 7.25% | 2/28/2028 | 40,576,000 | 39,229,283 | ||||||||
Kenya Government International Bond†(b) | 8.25% | 2/28/2048 | 60,253,000 | 53,782,129 | ||||||||
Total | 93,011,412 | |||||||||||
Mongolia 0.12% | ||||||||||||
Development Bank of Mongolia LLC†(b) | 7.25% | 10/23/2023 | 31,219,000 | 31,567,868 | ||||||||
Norway 0.77% | ||||||||||||
Kommunalbanken AS†(b) | 1.256% (SOFR + 1.00%) | # | 6/17/2026 | 196,066,000 | 202,426,924 |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oman 0.12% | ||||||||||||
Oman Sovereign Sukuk Co.†(b) | 4.875% | 6/15/2030 | $ | 29,809,000 | $ | 31,155,562 | ||||||
Senegal 0.14% | ||||||||||||
Senegal Government International Bond†(c) | 5.375% | 6/8/2037 | EUR | 38,396,000 | 36,169,219 | |||||||
South Africa 0.19% | ||||||||||||
South Africa Government International Bond(b) | 5.75% | 9/30/2049 | $ | 58,387,000 | 51,162,193 | |||||||
Sri Lanka 0.12% | ||||||||||||
Sri Lanka Government International Bond†(b)(o) | 5.875% | 7/25/2022 | 45,243,000 | 30,765,240 | ||||||||
Total Foreign Government Obligations (cost $1,003,846,806) | 931,874,156 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 2.00% | ||||||||||||
Fannie Mae or Freddie Mac(p) | 3.50% | TBA | 262,300,000 | 261,969,127 | ||||||||
Ginnie Mae(p) | 3.50% | TBA | 260,950,000 | 261,683,922 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $519,403,586) | 523,653,049 | |||||||||||
MUNICIPAL BONDS 2.32% | ||||||||||||
Air Transportation 0.12% | ||||||||||||
County of Miami-Dade FL Aviation Revenue | 3.982% | 10/1/2041 | 13,915,000 | 14,027,835 | ||||||||
County of Miami-Dade FL Aviation Revenue | 4.28% | 10/1/2041 | 18,040,000 | 18,568,659 | ||||||||
Total | 32,596,494 | |||||||||||
Education 0.43% | ||||||||||||
California State University | 3.899% | 11/1/2047 | 33,030,000 | 33,999,133 | ||||||||
Ohio University | 5.59% | 12/1/2114 | 11,104,000 | 12,692,629 | ||||||||
Permanent University Fund - Texas A&M University S | 3.66% | 7/1/2047 | 36,015,000 | 38,102,926 | ||||||||
Regents of the University of California Medical Ce | 3.006% | 5/15/2050 | 12,835,000 | 11,252,287 | ||||||||
Regents of the University of California Medical Ce | 6.548% | 5/15/2048 | 12,463,000 | 17,130,748 | ||||||||
Total | 113,177,723 | |||||||||||
General Obligation 0.64% | ||||||||||||
Chicago Transit Authority Sales & Transfer Tax Rec | 6.899% | 12/1/2040 | 11,826,000 | 15,215,317 | ||||||||
City & County of Honolulu HI | 5.418% | 12/1/2027 | 6,620,000 | 7,460,442 | ||||||||
Commonwealth of Pennsylvania | 5.45% | 2/15/2030 | 12,190,000 | 13,850,579 | ||||||||
District of Columbia | 5.591% | 12/1/2034 | 14,130,000 | 16,680,862 | ||||||||
Los Angeles Unified School District/CA | 5.75% | 7/1/2034 | 12,497,000 | 14,819,100 | ||||||||
State of California | 7.55% | 4/1/2039 | 15,015,000 | 22,289,388 |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
General Obligation (continued) | ||||||||||||
State of Illinois | 5.10% | 6/1/2033 | $ | 62,845,000 | $ | 66,871,404 | ||||||
University of North Carolina at Chapel Hill | 3.847% | 12/1/2034 | 9,595,000 | 10,171,332 | ||||||||
Total | 167,358,424 | |||||||||||
Lease Obligation 0.03% | ||||||||||||
State of Wisconsin | 3.294% | 5/1/2037 | 7,145,000 | 7,041,519 | ||||||||
Miscellaneous 0.35% | ||||||||||||
County of Miami-Dade FL | 2.786% | 10/1/2037 | 9,690,000 | 8,644,904 | ||||||||
Dallas Convention Center Hotel Development Corp | 7.088% | 1/1/2042 | 17,795,000 | 23,104,893 | ||||||||
New York City Industrial Development Agency† | 11.00% | 3/1/2029 | 16,963,000 | 21,504,209 | ||||||||
Pasadena Public Financing Authority | 7.148% | 3/1/2043 | 26,795,000 | 38,477,733 | ||||||||
Total | 91,731,739 | |||||||||||
Revenue – Utilities – Other 0.06% | ||||||||||||
City of San Antonio TX Electric & Gas Systems Reve | 5.718% | 2/1/2041 | 13,240,000 | 16,279,688 | ||||||||
Tax Revenue 0.28% | ||||||||||||
Dallas Area Rapid Transit | 2.613% | 12/1/2048 | 22,730,000 | 18,774,080 | ||||||||
Massachusetts School Building Authority | 5.715% | 8/15/2039 | 20,055,000 | 24,968,463 | ||||||||
Memphis-Shelby County Industrial Development Board(g) | 7.00% | 7/1/2045 | 22,085,000 | 17,787,703 | (d) | |||||||
New York State Dormitory Authority | 3.19% | 2/15/2043 | 5,345,000 | 5,036,492 | ||||||||
Regional Transportation District Sales Tax Revenue | 2.387% | 11/1/2037 | 8,125,000 | 6,895,418 | ||||||||
Total | 73,462,156 | |||||||||||
Taxable Revenue – Water & Sewer 0.04% | ||||||||||||
City & County Honolulu HI Wastewater System Revenu | 1.623% | 7/1/2031 | 6,635,000 | 5,743,465 | ||||||||
City & County Honolulu HI Wastewater System Revenu | 2.574% | 7/1/2041 | 4,520,000 | 3,753,104 | ||||||||
Total | 9,496,569 | |||||||||||
Transportation 0.23% | ||||||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 10,790,000 | 10,791,967 | ||||||||
Metropolitan Transportation Authority | 5.175% | 11/15/2049 | 18,010,000 | 20,700,986 | ||||||||
Metropolitan Transportation Authority | 6.668% | 11/15/2039 | 9,045,000 | 11,419,981 | ||||||||
New Jersey Transportation Trust Fund Authority | 4.131% | 6/15/2042 | 18,845,000 | 18,713,396 | ||||||||
Total | 61,626,330 |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Transportation: Infrastructure/Services 0.14% | ||||||||||||
Chicago Transit Authority Sales Tax Receipts Fund | 6.20% | 12/1/2040 | $ | 12,385,000 | $ | 15,353,134 | ||||||
Port of Seattle WA | 3.571% | 5/1/2032 | 7,305,000 | 7,377,150 | ||||||||
Port of Seattle WA | 3.755% | 5/1/2036 | 13,905,000 | 14,050,788 | ||||||||
Total | 36,781,072 | |||||||||||
Total Municipal Bonds (cost $618,866,440) | 609,551,714 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 6.20% | ||||||||||||
Angel Oak Mortgage Trust 2020-1 A1† | 2.466% | #(q) | 12/25/2059 | 2,688,530 | 2,685,685 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 1.347% (1 Mo. LIBOR + .95%) | # | 6/15/2035 | 35,420,000 | 34,950,890 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 1.353% (1 Mo. LIBOR + .96%) | # | 11/15/2034 | 25,000,000 | 24,807,445 | |||||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.246% | #(q) | 8/15/2052 | 35,544,000 | 33,300,107 | |||||||
BHMS 2018-ATLS A† | 1.647% (1 Mo. LIBOR + 1.25%) | # | 7/15/2035 | 61,190,000 | 60,636,634 | |||||||
BX 2021-MFM1 B† | 1.347% (1 Mo. LIBOR + .95%) | # | 1/15/2034 | 7,100,000 | 6,894,867 | |||||||
BX 2021-MFM1 C† | 1.597% (1 Mo. LIBOR + 1.20%) | # | 1/15/2034 | 4,250,000 | 4,118,882 | |||||||
BX Commercial Mortgage Trust 2020-VIV4 A† | 2.843% | 3/9/2044 | 14,171,000 | 13,289,066 | ||||||||
BX Commercial Mortgage Trust 2021-VOLT A† | 1.097% (1 Mo. LIBOR + .70%) | # | 9/15/2036 | 53,040,000 | 51,746,726 | |||||||
BX Trust 2021-ARIA F† | 2.991% (1 Mo. LIBOR + 2.59%) | # | 10/15/2036 | 107,730,000 | 105,026,774 | |||||||
CF Trust 2019-BOSS A1 | 3.647% (1 Mo. LIBOR + 3.25%) | # | 12/15/2024 | 18,200,000 | 16,773,830 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 C | 4.75% | #(q) | 2/10/2049 | 8,580,000 | 8,320,695 | |||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(q) | 4/15/2049 | 9,991,000 | 7,768,627 | |||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(q) | 9/10/2047 | 17,906,000 | 17,994,022 | |||||||
COMM Mortgage Trust 2020-SBX C† | 2.056% | #(q) | 1/10/2038 | 5,900,000 | 5,409,678 | |||||||
COMM Mortgage Trust 2020-SBX D† | 2.321% | #(q) | 1/10/2038 | 8,000,000 | 7,303,999 | |||||||
Connecticut Avenue Securities | ||||||||||||
Trust 2021-R01 1B1† | 3.199% (1 Mo. SOFR + 3.10%) | # | 10/25/2041 | 41,314,000 | 38,145,134 | |||||||
Connecticut Avenue Securities Trust 2021-R03 1B1† | 2.849% (1 Mo. SOFR + 2.75%) | # | 12/25/2041 | 29,380,000 | 26,697,139 |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Connecticut Avenue Securities Trust 2022-R01 1B1† | 3.249% (1 Mo. SOFR + 3.15%) | # | 12/25/2041 | $ | 32,960,000 | $ | 30,686,544 | |||||
Connecticut Avenue Securities Trust 2022-R01 1B2† | 6.099% (1 Mo. SOFR + 6.00%) | # | 12/25/2041 | 44,210,000 | 39,555,116 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C† | 1.827% (1 Mo. LIBOR + 1.43%) | # | 5/15/2036 | 52,000,000 | 51,514,694 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 D† | 1.997% (1 Mo. LIBOR + 1.60%) | # | 5/15/2036 | 14,076,000 | 13,932,370 | |||||||
Credit Suisse Mortgage Capital Certificates 2021-BRIT A† | 3.856% (1 Mo. LIBOR + 3.46%) | # | 5/15/2023 | 86,900,000 | 83,800,129 | |||||||
CS Master Trust 2021-AHP A† | 4.449% (1 Mo. LIBOR + 3.95%) | # | 4/15/2025 | 34,200,000 | 33,751,848 | (d) | ||||||
CS Master Trust 2021-BLUF A† | 4.574% (1 Mo. LIBOR + 4.18%) | # | 4/15/2023 | 19,500,000 | 19,436,177 | |||||||
CSMC 2021-BHAR D† | 3.147% (1 Mo. LIBOR + 2.75%) | # | 11/15/2038 | 8,825,500 | 8,842,048 | |||||||
CSMC 2021-BHAR E† | 3.897% (1 Mo. LIBOR + 3.50%) | # | 11/15/2038 | 12,919,500 | 12,943,724 | |||||||
CSMC 2021-BHAR F† | 4.647% (1 Mo. LIBOR + 4.25%) | # | 11/15/2038 | 10,222,500 | 10,241,667 | |||||||
CSMC 2021-BPNY A† | 4.111% (1 Mo. LIBOR + 3.71%) | # | 8/15/2023 | 47,580,000 | 47,379,055 | |||||||
CSMC Trust 2020-AFC1 A1† | 2.24% | #(q) | 2/25/2050 | 7,872,151 | 7,669,131 | |||||||
DCP Rights LLC | 3.285% | 1/15/2024 | 82,590,000 | 82,708,930 | (d) | |||||||
Fannie Mae Connecticut Avenue Securities 2021-R02 2B1† | 3.399% (1 Mo. SOFR + 3.30%) | # | 11/25/2041 | 11,740,000 | 10,928,112 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A† | 3.144% | 12/10/2036 | 13,540,000 | 13,304,254 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B† | 3.447% | 12/10/2036 | 13,500,000 | 13,188,524 | ||||||||
Freddie Mac STACR REMIC Trust 2021-DNA6 B1† | 3.499% (1 Mo. SOFR + 3.40%) | # | 10/25/2041 | 66,590,000 | 61,663,319 | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1† | 3.749% (1 Mo. SOFR + 3.65%) | # | 11/25/2041 | 48,390,000 | 45,973,234 |
See Notes to Schedule of Investments. | 39 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GCAT Trust 2020-NQM1 A1† | 2.247% | 1/25/2060 | $ | 1,652,105 | $ | 1,634,825 | ||||||
Great Wolf Trust 2019-WOLF A† | 1.431% (1 Mo. LIBOR + 1.03%) | # | 12/15/2036 | 53,981,000 | 53,324,640 | |||||||
Great Wolf Trust 2019-WOLF D† | 2.33% (1 Mo. LIBOR + 1.93%) | # | 12/15/2036 | 50,508,000 | 49,328,790 | |||||||
GS Mortgage Securities Corp. II 2021-ARDN C† | 2.447% (1 Mo. LIBOR + 2.05%) | # | 11/15/2036 | 15,930,000 | 15,959,869 | |||||||
GS Mortgage Securities Corp. II 2021-ARDN D† | 3.147% (1 Mo. LIBOR + 2.75%) | # | 11/15/2036 | 27,860,000 | 27,912,238 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT E† | 3.199% (1 Mo. LIBOR + 2.75%) | # | 11/21/2035 | 11,448,383 | 11,319,265 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT F† | 4.099% (1 Mo. LIBOR + 3.65%) | # | 11/21/2035 | 8,412,835 | 8,299,774 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT G† | 6.149% (1 Mo. LIBOR + 5.70%) | # | 11/21/2035 | 593,847 | 595,121 | |||||||
GS Mortgage Securities Corp. Trust 2021-RSMZ MZ† | 9.897% (1 Mo. LIBOR + 9.50%) | # | 6/15/2026 | 70,375,000 | 70,304,013 | |||||||
Hilton Orlando Trust 2018-ORL A† | 1.317% (1 Mo. LIBOR + .92%) | # | 12/15/2034 | 9,443,000 | 9,333,066 | |||||||
HPLY Trust 2019-HIT A† | 1.397% (1 Mo. LIBOR + 1.00%) | # | 11/15/2036 | 16,636,742 | 16,402,089 | |||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 C | 3.845% | #(q) | 3/15/2050 | 11,612,000 | 11,055,761 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 18,000,000 | 17,996,636 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE A† | 3.287% | 1/10/2037 | 10,530,000 | 10,268,404 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE B† | 3.64% | 1/10/2037 | 8,690,000 | 8,378,435 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2021-BOLT D† | 7.097% (1 Mo. LIBOR + 6.70%) | # | 8/15/2033 | 42,015,000 | 42,067,099 | |||||||
KIND Trust 2021-KIND E† | 3.647% (1 Mo. LIBOR + 3.25%) | # | 8/15/2038 | 47,580,000 | 46,423,592 |
40 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
KKR Industrial Portfolio Trust 2021-KDIP D† | 1.647% (1 Mo. LIBOR + 1.25%) | # | 12/15/2037 | $ | 4,597,500 | $ | 4,489,636 | ||||||
KKR Industrial Portfolio Trust 2021-KDIP E† | 1.947% (1 Mo. LIBOR + 1.55%) | # | 12/15/2037 | 7,432,500 | 7,251,059 | ||||||||
KKR Industrial Portfolio Trust 2021-KDIP F† | 2.447% (1 Mo. LIBOR + 2.05%) | # | 12/15/2037 | 8,148,000 | 7,901,723 | ||||||||
Life Mortgage Trust 2021-BMR E† | 2.147% (1 Mo. LIBOR + 1.75%) | # | 3/15/2038 | 22,510,016 | 21,690,769 | ||||||||
New Residential Mortgage Loan Trust 2020-NQM1 A1† | 2.464% | #(q) | 1/26/2060 | 2,511,955 | 2,501,301 | ||||||||
One New York Plaza Trust 2020-1NYP B† | 1.897% (1 Mo. LIBOR + 1.50%) | # | 1/15/2036 | 9,400,000 | 9,251,474 | ||||||||
One New York Plaza Trust 2020-1NYP C† | 2.597% (1 Mo. LIBOR + 2.20%) | # | 1/15/2036 | 23,620,000 | 23,317,317 | ||||||||
One New York Plaza Trust 2020-1NYP D† | 3.147% (1 Mo. LIBOR + 2.75%) | # | 1/15/2036 | 8,500,000 | 8,394,545 | ||||||||
PFP Ltd. 2019-6 A† | 1.481% (1 Mo. LIBOR + 1.05%) | # | 4/14/2037 | 7,150,305 | 7,102,844 | ||||||||
PFP Ltd. 2019-6 C† | 2.531% (1 Mo. LIBOR + 2.10%) | # | 4/14/2037 | 27,054,000 | 27,003,601 | ||||||||
Residential Mortgage Loan Trust 2020-1 A1† | 2.376% | #(q) | 1/26/2060 | 2,045,477 | 1,995,166 | ||||||||
SLG Office Trust 2021-OVA E† | 2.851% | 7/15/2041 | 44,590,000 | 38,320,798 | |||||||||
Starwood Mortgage Residential Trust 2020-1 A1† | 2.275% | #(q) | 2/25/2050 | 1,719,970 | 1,709,245 | ||||||||
Verus Securitization Trust 2020-1 A1† | 2.417% | 1/25/2060 | 2,336,065 | 2,329,459 | |||||||||
Wells Fargo Commercial Mortgage Trust 2020-SDAL A† | 1.407% (1 Mo. LIBOR + 1.01%) | # | 2/15/2037 | 9,878,000 | 9,715,854 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,675,232,743) | 1,626,967,484 | ||||||||||||
Dividend Rate | Shares | ||||||||||||
PREFERRED STOCKS 0.06% | |||||||||||||
Transportation Infrastructure | |||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 167,058 | 4,148,635 | ||||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 205,069 | 12,509,209 | ||||||||||
Total Preferred Stocks (cost $9,303,175) | 16,657,844 |
See Notes to Schedule of Investments. | 41 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 5.91% | ||||||||||||
U.S. Treasury Inflation Indexed Bond(r) | 0.125% | 2/15/2052 | $ | 165,410,445 | $ | 171,826,855 | ||||||
U.S. Treasury Inflation Indexed Note(r) | 0.125% | 1/15/2032 | 1,296,114,649 | 1,379,708,963 | ||||||||
Total U.S. Treasury Obligations (cost $1,586,290,696) | 1,551,535,818 | |||||||||||
Total Long-Term Investments (cost $27,159,426,836) | 26,454,389,368 | |||||||||||
SHORT-TERM INVESTMENTS 1.12% | ||||||||||||
Repurchase Agreements 1.12% | ||||||||||||
Repurchase Agreement dated 3/31/2022, 0.00% due 4/1/2022 with Fixed Income Clearing Corp. collateralized by $23,354,900 of U.S. Treasury Note at 0.375% due 9/30/2027; $100,000,000 of U.S. Treasury Note at 2.25% due 11/15/2027; $49,660,000 of U.S. Treasury Note at 0.625% due 11/30/2027; $150,000,000 of U.S. Treasury Note at 0.50% due 10/31/2027; value: $300,465,024; proceeds: $294,573,531 (cost $294,573,531) | 294,573,531 | 294,573,531 | ||||||||||
Total Investments in Securities 101.89% (cost $27,454,000,367) | 26,748,962,899 | |||||||||||
Other Assets and Liabilities – Net(s) (1.89)% | (496,850,658 | ) | ||||||||||
Net Assets 100.00% | $ | 26,252,112,241 |
42 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
AUD | Ausralian Dollar. | |
EUR | Euro. | |
GBP | British Pound. | |
ZAR | South African Rand. | |
CMT | Constant Maturity Rate. | |
EURIBOR | Euro Interbank Offered Rate. | |
ICE | Intercontinental Exchange. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Over Night Financing Rate. |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At March 31, 2022, the total value of Rule 144A securities was $12,352,990,480, which represents 47.06% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at March 31, 2022. | |
* | Non-income producing security. | |
(a) | Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule 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. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | Securities purchased on a when-issued basis. | |
(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 March 31, 2022. | |
(j) | 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. | |
(k) | Amount is less than $1. | |
(l) | Value is less than $1. | |
(m) | Interest rate to be determined. | |
(n) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Floating Rate Loan fair valued by the Pricing Committee. Accounting policies 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. | |
(o) | Security has been fully or partially segregated for open reverse repurchase agreements as of March 31, 2022. | |
(p) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(q) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(r) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(s) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
See Notes to Schedule of Investments. | 43 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at March 31, 2022(1):
Referenced Indexes | Central Clearing Party | Fund Receives (Quarterly | ) | Termination Date | Notional Amount | Payments Upfront(2) | Value | Unrealized Appreciation(3) | ||||||||||||
Markit CDX.NA.HY.38(4)(5) | Bank of America | 5.000% | 6/20/2027 | $478,732,000 | $ | 25,338,780 | $ | 26,394,315 | $1,055,535 |
(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 paid/received by Central Clearing Party are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $1,055,535. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. |
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at March 31, 2022:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Value/Unrealized Appreciation | |||||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | $ | 60,151,898 | $ | 2,306,248 | |||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | 29,848,102 | 998,951 | |||||||||
Bank of America | 2.658% | CPI Urban Consumer NSA | 2/14/2032 | 551,700,000 | 23,786,706 | |||||||||
Bank of America | 2.665% | CPI Urban Consumer NSA | 1/31/2032 | 91,200,000 | 4,056,979 | |||||||||
Bank of America | 2.858% | CPI Urban Consumer NSA | 1/31/2027 | 91,200,000 | 3,130,887 | |||||||||
Bank of America | 2.925% | CPI Urban Consumer NSA | 2/28/2032 | 91,245,792 | 1,262,620 | |||||||||
Bank of America | 2.931% | CPI Urban Consumer NSA | 2/15/2027 | 550,000,000 | 15,626,540 | |||||||||
Bank of America | 2.935% | CPI Urban Consumer NSA | 2/28/2032 | 179,754,208 | 2,298,434 | |||||||||
Unrealized Appreciation on CPI Centrally Cleared Swaps | $ | 53,467,365 |
Credit Default Swaps on Indexes - Sell Protection at March 31, 2022(1):
Referenced Indexes* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | 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 | $94,418 | $(12,533 | ) | $81,885 |
44 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
Referenced Indexes | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | 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 | $ | (114,163) | $ | (16,761) | $ | (130,924) | |||||||||||
Markit CMBX.NA.BBB-.9 | Citibank | 3.000% | 9/17/2058 | 100,000,000 | (9,684,307) | (524,876) | (10,209,183) | ||||||||||||||
Markit CMBX.NA.BBB-.9 | Citibank | 3.000% | 9/17/2058 | 23,760,000 | (2,499,014) | 73,312 | (2,425,702) | ||||||||||||||
Markit CMBX.NA.BBB-.9 | Morgan Stanley | 3.000% | 9/17/2058 | 35,000,000 | (2,914,162) | (659,052) | (3,573,214) | ||||||||||||||
Markit CMBX.NA.BBB-.10 | Citibank | 3.000% | 11/17/2059 | 10,000,000 | (860,017) | (254,127) | (1,114,144) | ||||||||||||||
Markit CMBX.NA.BBB-.10 | Morgan Stanley | 3.000% | 11/17/2059 | 22,050,000 | (2,719,308) | 262,621 | (2,456,687) | ||||||||||||||
Markit CMBX.NA.BBB-.10 | Morgan Stanley | 3.000% | 11/17/2059 | 14,950,000 | (1,285,726) | (379,919) | (1,665,645) | ||||||||||||||
Markit CMBX.NA.BBB-.12 | Citibank | 3.000% | 8/17/2061 | 30,000,000 | (1,373,904) | (1,308,704) | (2,682,608) | ||||||||||||||
Markit CMBX.NA.BBB-.12 | Morgan Stanley | 3.000% | 8/17/2061 | 22,000,000 | (1,490,046) | (477,200) | (1,967,246) | ||||||||||||||
$ | (22,940,647) | $ | (3,284,706) | $ | (26,225,353) | ||||||||||||||||
Total Credit Default Swaps on Indexes - Sell Protection | $ | (22,846,229) | $ | (3,297,239) | $ | (26,143,468) |
* | 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/paid by Central Clearing Party are presented net of amortization | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $335,933. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $3,633,172. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at March 31, 2022:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
British pound | Buy | Morgan Stanley | 6/7/2022 | 8,192,000 | $ | 10,664,762 | $ | 10,758,231 | $ | 93,469 | ||||||||||
British pound | Buy | Morgan Stanley | 6/7/2022 | 9,212,000 | 12,067,801 | 12,097,757 | 29,956 | |||||||||||||
British pound | Buy | Standard Chartered Bank | 6/7/2022 | 25,387,000 | 33,242,545 | 33,339,748 | 97,203 | |||||||||||||
British pound | Buy | Standard Chartered Bank | 6/7/2022 | 34,000,000 | 44,546,929 | 44,650,862 | 103,933 | |||||||||||||
Euro | Buy | Morgan Stanley | 6/10/2022 | 2,700,000 | 2,979,719 | 2,994,190 | 14,471 | |||||||||||||
British pound | Sell | State Street��Bank and Trust | 6/7/2022 | 145,000,000 | 193,411,875 | 190,422,793 | 2,989,082 | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/10/2022 | 2,006,000 | 2,226,887 | 2,224,572 | 2,315 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 3,330,429 |
See Notes to Schedule of Investments. | 45 |
Schedule of Investments (unaudited)(continued)
March 31, 2022
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 | Sell | Toronto Dominion Bank | 5/25/2022 | 75,220,000 | $ | 54,469,299 | $ | 56,330,246 | $ | (1,860,947 | ) | ||||||||||
Euro | Sell | Morgan Stanley | 6/10/2022 | 167,901,000 | 184,133,669 | 186,195,388 | (2,061,719 | ) | |||||||||||||
Euro | Sell | State Street Bank and Trust | 6/10/2022 | 2,294,000 | 2,527,819 | 2,543,953 | (16,134 | ) | |||||||||||||
South African rand | Sell | J.P. Morgan | 5/9/2022 | 45,590,000 | 2,936,570 | 3,106,037 | (169,467 | ) | |||||||||||||
South African rand | Sell | State Street Bank and Trust | 5/9/2022 | 150,000,000 | 9,601,232 | 10,219,469 | (618,237 | ) | |||||||||||||
South African rand | Sell | State Street Bank and Trust | 5/9/2022 | 62,990,000 | 4,014,529 | 4,291,495 | (276,966 | ) | |||||||||||||
South African rand | Sell | State Street Bank and Trust | 5/9/2022 | 83,004,000 | 5,394,966 | 5,655,045 | (260,079 | ) | |||||||||||||
South African rand | Sell | Toronto Dominion Bank | 5/9/2022 | 64,171,000 | 4,197,624 | 4,371,957 | (174,333 | ) | |||||||||||||
South African rand | Sell | Toronto Dominion Bank | 5/9/2022 | 64,912,000 | 4,217,045 | 4,422,441 | (205,396 | ) | |||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (5,643,278 | ) |
Open Futures Contracts at March 31, 2022:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. Long Bond | June 2022 | 2,781 | Short | $ | (430,127,662 | ) | $ | (417,323,813 | ) | $ | 12,803,849 | ||||||||
U.S. 10-Year Treasury Note | June 2022 | 30,235 | Short | (3,780,757,939 | ) | (3,715,125,625 | ) | 65,632,314 | |||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 78,436,163 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 10-Year Ultra Treasury Note | June 2022 | 6,910 | Short | $ | (929,336,271 | ) | $ | (936,089,062 | ) | $ | (6,752,791 | ) | |||||||
U.S. 2-Year Treasury Note | June 2022 | 14,198 | Long | 3,045,820,810 | 3,008,866,795 | (36,954,015 | ) | ||||||||||||
U.S. 5-Year Treasury Note | June 2022 | 10,554 | Long | 1,246,755,393 | 1,210,411,875 | (36,343,518 | ) | ||||||||||||
U.S. Ultra Treasury Bond | June 2022 | 7,180 | Short | (1,268,605,877 | ) | (1,271,757,500 | ) | (3,151,623 | ) | ||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (83,201,947 | ) |
Reverse Repurchase Agreements Payable as of March 31, 2022:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date(2) | Fair Value(3) | ||||||
Barclays Bank PLC | $3,998,963 | $6,310,000 principal, Sri Lanka Government International Bond at 5.875% due 7/31/2022, $4,304,998 fair value. | (5.00%) | 2/3/2022 | On Demand | $3,966,194 |
46 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2022
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time. | |
(3) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $32,769. |
The following is a summary of the inputs used as of March 31, 2022 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 1,506,073,059 | $ | – | $ | 1,506,073,059 | ||||||||
Common Stocks | ||||||||||||||||
Auto Components | – | 6,677,627 | – | 6,677,627 | ||||||||||||
Capital Markets | 104,114,568 | 26,132,238 | – | 130,246,806 | ||||||||||||
Electric-Generation | – | 377,982 | – | 377,982 | ||||||||||||
Metals & Mining | 287,286,168 | 63,373,216 | – | 350,659,384 | ||||||||||||
Miscellaneous Financials | – | 7,399,600 | – | 7,399,600 | ||||||||||||
Personal Products | – | 12,956,639 | – | 12,956,639 | ||||||||||||
Specialty Retail | 66,171,421 | – | 4,966,332 | 71,137,753 | ||||||||||||
Transportation Infrastructure | – | 1,085,003 | – | 1,085,003 | ||||||||||||
Remaining Industries | 1,546,163,635 | – | – | 1,546,163,635 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Diversified Financial Services | – | 565,061,954 | 1,500 | 565,063,454 | ||||||||||||
Mining | – | 509,099,558 | 18 | 509,099,576 | ||||||||||||
Oil & Gas | – | 2,483,563,693 | 53,319,107 | 2,536,882,800 | ||||||||||||
Retail | – | 332,708,255 | 25,260,790 | 357,969,045 | ||||||||||||
Savings & Loans | – | – | 2,250 | 2,250 | ||||||||||||
Remaining Industries | – | 11,725,434,720 | – | 11,725,434,720 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Automakers | – | – | 26,690,677 | 26,690,677 | ||||||||||||
Personal & Household Products | – | 54,684,906 | 104,810 | 54,789,716 | ||||||||||||
Remaining Industries | – | 1,785,439,577 | – | 1,785,439,577 | ||||||||||||
Foreign Government Obligations | – | 931,874,156 | – | 931,874,156 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 523,653,049 | – | 523,653,049 | ||||||||||||
Municipal Bonds | ||||||||||||||||
Tax Revenue | – | 55,674,453 | 17,787,703 | 73,462,156 | ||||||||||||
Remaining Industries | – | 536,089,558 | – | 536,089,558 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 1,510,506,706 | 116,460,778 | 1,626,967,484 | ||||||||||||
Preferred Stocks | – | 16,657,844 | – | 16,657,844 | ||||||||||||
U.S. Treasury Obligations | – | 1,551,535,818 | – | 1,551,535,818 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 294,573,531 | – | 294,573,531 | ||||||||||||
Total | $ | 2,003,735,792 | $ | 24,500,633,142 | $ | 244,593,965 | $ | 26,748,962,899 |
See Notes to Schedule of Investments. | 47 |
Schedule of Investments (unaudited)(concluded)
March 31, 2022
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,055,535 | $ | – | $ | 1,055,535 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 53,467,365 | – | 53,467,365 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 81,885 | – | 81,885 | ||||||||||||
Liabilities | – | (26,225,353 | ) | – | (26,225,353 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 3,330,429 | – | 3,330,429 | ||||||||||||
Liabilities | – | (5,643,278 | ) | – | (5,643,278 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 78,436,163 | – | – | 78,436,163 | ||||||||||||
Liabilities | (83,201,947 | ) | – | – | (83,201,947 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (3,966,194 | ) | – | (3,966,194 | ) | ||||||||||
Total | $ | (4,765,784 | ) | $ | 22,100,389 | $ | – | $ | 17,334,605 |
(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. When applicable 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.
48 | See Notes to Schedule of Investments. |
Notes to Schedule of Investments (unaudited)
1. | ORGANIZATION |
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was incorporated under Maryland law on January 23, 1976.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation-Under procedures approved by the Fund’s Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. 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. 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. Exchange traded options and futures contracts are valued at the last quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available.
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
49
Notes to Schedule of Investments (unaudited)(continued)
(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 March 31, 2022 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.
50
Notes to Schedule of Investments (unaudited)(concluded)
4. | SECURITIES LENDING AGREEMENT |
The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the 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 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 or becomes insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The initial collateral received by the Funds is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by Citibank, N.A.; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continue to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
As of March 31, 2022 the fund did not loan any securities.
51
QPHR-BOND-1Q
(05/22)