Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Bond-Debenture Fund
For the period ended September 30, 2022
Schedule of Investments (unaudited)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
LONG-TERM INVESTMENTS 99.44% | ||||||||||||
ASSET-BACKED SECURITIES 6.09% | ||||||||||||
Automobiles 0.39% | ||||||||||||
Carvana Auto Receivables Trust NP1 2020-N1A E† | 5.20% | 7/15/2027 | $ | 5,750,000 | $ | 5,499,604 | ||||||
Santander Drive Auto Receivables Trust 2022-3 B | 4.13% | 8/16/2027 | 23,367,000 | 22,768,120 | ||||||||
Westlake Automobile Receivables Trust 2021-1A F† | 3.91% | 9/15/2027 | 58,047,000 | 53,677,884 | ||||||||
Total | 81,945,608 | |||||||||||
Credit Card 0.38% | ||||||||||||
Capital One Multi-Asset Execution Trust 2022-A2 A | 3.49% | 5/15/2027 | 17,155,000 | 16,647,212 | ||||||||
Genesis Sales Finance Master Trust 2021-AA A† | 1.20% | 12/21/2026 | 25,102,000 | 23,421,102 | ||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 40,297,000 | 39,950,164 | ||||||||
Total | 80,018,478 | |||||||||||
Other 5.32% | ||||||||||||
AIMCO CLO Ltd. 2019-10A CR† | 4.659% (3 Mo. LIBOR + 1.90%) | # | 7/22/2032 | 9,360,000 | 8,719,957 | |||||||
AMMC CLO Ltd. 2021-24A C† | 4.91% (3 Mo. LIBOR + 2.20%) | # | 1/20/2035 | 17,180,000 | 15,898,666 | |||||||
AMMC CLO Ltd. 2021-24A D† | 6.11% (3 Mo. LIBOR + 3.40%) | # | 1/20/2035 | 10,800,000 | 9,490,163 | |||||||
AMMC CLO XII Ltd. 2013-12A DR† | 5.612% (3 Mo. LIBOR + 2.70%) | # | 11/10/2030 | 3,859,000 | 3,263,597 | |||||||
AMMC CLO XIII Ltd. 2013-13A A2LR† | 4.483% (3 Mo. LIBOR + 1.70%) | # | 7/24/2029 | 3,440,000 | 3,371,862 | |||||||
Apidos CLO XXIII 2015-23A AR† | 3.732% (3 Mo. LIBOR + 1.22%) | # | 4/15/2033 | 4,000,000 | 3,894,418 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2021-FL4 D† | 5.718% (1 Mo. LIBOR + 2.90%) | # | 11/15/2036 | 46,980,000 | 43,624,003 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2022-FL2 A† | 4.695% (1 Mo. Term SOFR + 1.85%) | # | 5/15/2037 | 28,860,000 | 28,420,600 | |||||||
Avant Loans Funding Trust 2021-REV1 A† | 1.21% | 7/15/2030 | 26,440,000 | 24,838,312 | ||||||||
Bain Capital Credit CLO Ltd. 2021-2A C† | 4.84% (3 Mo. LIBOR + 2.10%) | # | 7/16/2034 | 9,000,000 | 8,274,739 |
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
Other (continued) | ||||||||||||
Bain Capital Credit CLO Ltd. 2021-6A C† | 4.782% (3 Mo. LIBOR + 2.05%) | # | 10/21/2034 | $ | 14,280,000 | $ | 13,041,654 | |||||
Bain Capital Credit CLO Ltd. 2021-6A D† | 5.832% (3 Mo. LIBOR + 3.10%) | # | 10/21/2034 | 15,910,000 | 14,070,506 | |||||||
Ballyrock CLO Ltd. 2019-1A A1R† | 3.542% (3 Mo. LIBOR + 1.03%) | # | 7/15/2032 | 9,550,000 | 9,308,951 | |||||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 4.512% (3 Mo. LIBOR + 2.00%) | # | 1/15/2033 | 7,921,867 | 7,667,045 | |||||||
BlueMountain CLO XXVIII Ltd. 2021-28A D† | 5.412% (3 Mo. LIBOR + 2.90%) | # | 4/15/2034 | 12,545,753 | 11,241,500 | |||||||
Carlyle US CLO Ltd. 2021-10A C† | 4.76% (3 Mo. LIBOR + 2.05%) | # | 10/20/2034 | 10,970,000 | 10,012,926 | |||||||
Carlyle US CLO Ltd. 2021-1A B† | 4.312% (3 Mo. LIBOR + 1.80%) | # | 4/15/2034 | 13,250,000 | 12,019,577 | |||||||
Dryden 30 Senior Loan Fund 2013-30A DR† | 5.505% (3 Mo. LIBOR + 2.60%) | # | 11/15/2028 | 18,137,500 | 16,424,327 | |||||||
Dryden 61 CLO Ltd. 2018-61A DR† | 5.84% (3 Mo. LIBOR + 3.10%) | # | 1/17/2032 | 10,190,000 | 9,362,066 | |||||||
Dryden Senior Loan Fund 2022-113A A1†(a) | 1.00% (3 Mo. Term SOFR + 2.00%) | # | 10/20/2035 | 23,800,000 | 23,817,850 | (b) | ||||||
Elmwood CLO 19 Ltd. 2022-6A A†(a) | Zero Coupon | #(c) | 10/17/2034 | 46,000,000 | 46,004,600 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.73% (3 Mo. LIBOR + 1.02%) | # | 4/20/2031 | 5,311,000 | 5,210,857 | |||||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 4.056% (3 Mo. Term SOFR + 1.55%) | # | 4/15/2033 | 20,101,397 | 19,935,341 | |||||||
Greywolf CLO VII Ltd. 2018-2A A1† | 3.89% (3 Mo. LIBOR + 1.18%) | # | 10/20/2031 | 10,000,000 | 9,798,418 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.933% (3 Mo. LIBOR + 2.15%) | # | 7/25/2027 | 5,476,000 | 5,411,755 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 4.44% (3 Mo. LIBOR + 1.70%) | # | 1/17/2030 | 9,320,145 | 9,083,273 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 18,517,474 | 17,411,956 | ||||||||
Kayne CLO Ltd. 2018 1A DR† | 5.162% (3 Mo. LIBOR + 2.65%) | # | 7/15/2031 | 7,340,000 | 6,628,220 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
Other (continued) | ||||||||||||
KKR CLO 33 Ltd. 33A C† | 4.71% (3 Mo. LIBOR + 2.00%) | # | 7/20/2034 | $ | 10,000,000 | $ | 9,098,236 | |||||
KKR CLO 33 Ltd. 33A D† | 5.81% (3 Mo. LIBOR + 3.10%) | # | 7/20/2034 | 8,000,000 | 7,179,557 | |||||||
KKR CLO Ltd.18 D† | 6.34% (3 Mo. LIBOR + 3.60%) | # | 7/18/2030 | 7,110,000 | 6,633,776 | |||||||
LoanCore Issuer Ltd. 2022-CRE7 AS† | 4.284% (1 Mo. SOFR + 2.00%) | # | 1/17/2037 | 52,915,000 | 51,174,238 | |||||||
LOGAN CLO I Ltd. 2021-1A C† | 4.61% (3 Mo. LIBOR + 1.90%) | # | 7/20/2034 | 11,000,000 | 10,037,704 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 4.01% (3 Mo. LIBOR + 1.30%) | # | 4/20/2033 | 19,415,475 | 18,897,082 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 4.48% (3 Mo. LIBOR + 1.77%) | # | 4/20/2033 | 9,348,354 | 8,932,330 | |||||||
MF1 LLC 2022-FL9 A† | 5.174% (1 Mo. Term SOFR + 2.15%) | # | 6/19/2037 | 53,580,000 | 52,646,418 | |||||||
Mountain View CLO LLC 2016-1A DR† | 6.183% (3 Mo. LIBOR + 3.70%) | # | 4/14/2033 | 9,470,000 | 8,830,180 | |||||||
Neuberger Berman Loan Advisers CLO Ltd. 2020-37A AR† | 3.68% (3 Mo. LIBOR + .97%) | # | 7/20/2031 | 14,330,000 | 14,045,801 | |||||||
Newark BSL CLO 2 Ltd. 2017-1A CR† | 5.933% (3 Mo. LIBOR + 3.15%) | # | 7/25/2030 | 21,000,000 | 19,110,489 | |||||||
Oaktree CLO Ltd. 2019-4 BR† | 4.41% (3 Mo. LIBOR + 1.70%) | # | 10/20/2032 | 29,790,000 | 28,130,330 | |||||||
Oaktree CLO Ltd. 2020-1A DR† | 5.662% (3 Mo. LIBOR + 3.15%) | # | 7/15/2034 | 8,130,000 | 6,996,545 | |||||||
Oaktree CLO Ltd. 2021-1A D† | 5.762% (3 Mo. LIBOR + 3.25%) | # | 7/15/2034 | 8,280,000 | 7,305,707 | |||||||
OCP CLO Ltd. 2016-12A AR2† | 1.991% (3 Mo. Term SOFR + 1.27%) | # | 4/18/2033 | 51,270,000 | 49,758,937 | |||||||
OCP CLO Ltd. 2019-16A DR† | 5.578% (3 Mo. LIBOR + 3.15%) | # | 4/10/2033 | 8,300,000 | 7,434,363 | |||||||
OCP CLO Ltd. 2021-21A C† | 4.61% (3 Mo. LIBOR + 1.90%) | # | 7/20/2034 | 11,880,000 | 10,737,932 | |||||||
OCP CLO Ltd. 2021-22A B1† | 4.41% (3 Mo. LIBOR + 1.70%) | # | 12/2/2034 | 38,140,000 | 35,989,663 | |||||||
Octagon Investment Partners XXI Ltd. 2014-1A CR3† | 5.655% (3 Mo. LIBOR + 2.75%) | # | 2/14/2031 | 6,629,411 | 5,863,747 | |||||||
OneMain Financial Issuance Trust 2020-2A A† | 1.75% | 9/14/2035 | 26,005,000 | 22,937,770 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
Other (continued) | ||||||||||||
Palmer Square CLO Ltd. 2022-5A A† | 5.658% (3 Mo. Term SOFR + 2.00%) | # | 10/20/2035 | $ | 28,586,000 | $ | 28,092,377 | |||||
PFS Financing Corp. 2022-C A† | 3.89% | 5/15/2027 | 45,897,000 | 44,487,471 | ||||||||
Rad CLO Ltd. 2020-7A A1† | 3.94% (3 Mo. LIBOR + 1.20%) | # | 4/17/2033 | 17,943,962 | 17,466,117 | |||||||
Regata XII Funding Ltd. 2019-1A CR† | 4.512% (3 Mo. LIBOR + 2.00%) | # | 10/15/2032 | 22,880,000 | 21,326,943 | |||||||
Regatta XVIII Funding Ltd. 2021-1A B† | 3.962% (3 Mo. LIBOR + 1.45%) | # | 1/15/2034 | 18,940,000 | 17,669,243 | |||||||
SEB Funding LLC 2021-1A A2† | 4.969% | 1/30/2052 | 38,694,023 | 32,762,654 | ||||||||
Signal Peak CLO Ltd. 2021-10A B† | 4.533% (3 Mo. LIBOR + 1.75%) | # | 1/24/2035 | 9,820,000 | 9,290,531 | |||||||
Signal Peak CLO Ltd. 2021-10A D† | 5.983% (3 Mo. LIBOR + 3.20%) | # | 1/24/2035 | 11,460,000 | 10,015,197 | |||||||
Sunrun Demeter Issuer 2021-2A A† | 2.27% | 1/30/2057 | 28,540,955 | 22,057,934 | ||||||||
TICP CLO XIV Ltd. 2019-14A A2R† | 4.36% (3 Mo. LIBOR + 1.65%) | # | 10/20/2032 | 21,315,000 | 20,441,431 | |||||||
TICP CLO XIV Ltd. 2019-14A CR† | 5.96% (3 Mo. LIBOR + 3.25%) | # | 10/20/2032 | 13,500,000 | 12,429,679 | |||||||
Voya CLO Ltd. 2014-1 AAR2† | 3.732% (3 Mo. Term SOFR + 1.25%) | # | 4/18/2031 | 48,621,154 | 48,225,635 | |||||||
Voya CLO Ltd. 2019-3A BR† | 4.39% (3 Mo. LIBOR + 1.65%) | # | 10/17/2032 | 36,000,000 | 34,039,555 | |||||||
Voya CLO Ltd. 2022-3A A1†(a) | Zero Coupon | #(c) | 10/20/2034 | 23,850,000 | 23,566,853 | |||||||
Wellman Park CLO Ltd. 2021-1A D† | 5.462% (3 Mo. LIBOR + 2.95%) | # | 7/15/2034 | 3,750,000 | 3,269,570 | |||||||
Wind River CLO Ltd. 2021-4A D† | 5.91% (3 Mo. LIBOR + 3.20%) | # | 1/20/2035 | 9,090,000 | 8,023,346 | |||||||
Total | 1,131,152,480 | |||||||||||
Total Asset-Backed Securities (cost $1,366,530,126) | 1,293,116,566 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 4.19% | ||||||||||||
Aerospace & Defense 0.20% | ||||||||||||
Huntington Ingalls Industries, Inc. | 191,692 | 42,459,778 | ||||||||||
Auto Components 0.05% | ||||||||||||
Chassix Holdings, Inc.* | 607,057 | 11,837,611 | ||||||||||
Automobiles 0.14% | ||||||||||||
Tesla, Inc.* | 114,286 | 30,314,361 |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Fair | ||||||||
Investments | Share | Value | ||||||
Beverages 0.24% | ||||||||
Brown-Forman Corp. Class B | 466,621 | $ | 31,062,960 | |||||
Treasury Wine Estates Ltd.(d) | 2,541,240 | 20,447,706 | ||||||
Total | 51,510,666 | |||||||
Biotechnology 0.30% | ||||||||
Alnylam Pharmaceuticals, Inc.* | 101,835 | 20,383,294 | ||||||
Argenx SE ADR* | 61,936 | 21,866,505 | ||||||
Karuna Therapeutics, Inc.* | 96,778 | 21,768,275 | ||||||
Total | 64,018,074 | |||||||
Chemicals 0.10% | ||||||||
Albemarle Corp. | 81,506 | 21,553,447 | ||||||
Commercial Services & Supplies 0.10% | ||||||||
Waste Management, Inc. | 128,572 | 20,598,520 | ||||||
Electric: Utilities 0.49% | ||||||||
PG&E Corp.* | 2,571,968 | 32,149,600 | ||||||
Sempra Energy | 137,389 | 20,600,107 | ||||||
Southern Co. (The) | 307,618 | 20,918,024 | ||||||
WEC Energy Group, Inc. | 333,438 | 29,819,360 | ||||||
Total | 103,487,091 | |||||||
Electrical Equipment 0.15% | ||||||||
Kyocera Corp.(d) | 619,182 | 31,193,600 | ||||||
Electric-Generation 0.00% | ||||||||
Frontera Generation Holdings LLC | 125,994 | 3,150 | ||||||
Food & Staples Retailing 0.15% | ||||||||
BJ’s Wholesale Club Holdings, Inc.* | 438,258 | 31,909,565 | ||||||
Food Products 0.46% | ||||||||
Archer-Daniels-Midland Co. | 252,506 | 20,314,108 | ||||||
General Mills, Inc. | 418,995 | 32,099,207 | ||||||
Hershey Co. (The) | 207,994 | 45,856,437 | ||||||
Total | 98,269,752 | |||||||
Health Care Equipment & Supplies 0.16% | ||||||||
Penumbra, Inc.* | 176,187 | 33,405,055 | ||||||
Hotels, Restaurants & Leisure 0.10% | ||||||||
Starbucks Corp. | 254,707 | 21,461,612 |
See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Fair | ||||||||
Investments | Share | Value | ||||||
Insurance 0.16% | ||||||||
Progressive Corp. (The) | 286,101 | $ | 33,247,797 | |||||
Metals & Mining 0.11% | ||||||||
Cameco Corp. (Canada)(e) | 862,244 | 22,858,088 | ||||||
Miscellaneous Financials 0.04% | ||||||||
UTEX Industries, Inc. | 113,840 | 7,798,040 | ||||||
Oil, Gas & Consumable Fuels 0.23% | ||||||||
Occidental Petroleum Corp. | 446,531 | 27,439,330 | ||||||
Vermilion Energy, Inc.(d) | 1,002,842 | 21,467,432 | ||||||
Total | 48,906,762 | |||||||
Personal Products 0.06% | ||||||||
Gibson Brands, Inc. | 106,902 | 12,650,034 | ||||||
Pharmaceuticals 0.30% | ||||||||
Cardinal Health, Inc. | 485,313 | 32,360,671 | ||||||
Daiichi Sankyo Co. Ltd.(d) | 1,143,105 | 31,950,757 | ||||||
Total | 64,311,428 | |||||||
Professional Services 0.10% | ||||||||
Booz Allen Hamilton Holding Corp. | 233,053 | 21,522,445 | ||||||
Semiconductors & Semiconductor Equipment 0.30% | ||||||||
Enphase Energy, Inc.* | 113,794 | 31,574,421 | ||||||
First Solar, Inc.* | 242,779 | 32,112,379 | ||||||
Total | 63,686,800 | |||||||
Software 0.11% | ||||||||
Aspen Technology, Inc.* | 97,533 | 23,232,361 | ||||||
Specialty Retail 0.13% | ||||||||
Claires Holdings LLC | 15,164 | 6,444,859 | ||||||
Genuine Parts Co. | 144,851 | 21,629,151 | ||||||
Total | 28,074,010 | |||||||
Transportation Infrastructure 0.01% | ||||||||
ACBL Holdings Corp. | 44,897 | 1,807,104 | (b) | |||||
Total Common Stocks (cost $948,965,567) | 890,117,151 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
CORPORATE BONDS 65.03% | ||||||||||||
Aerospace/Defense 0.76% | ||||||||||||
Bombardier, Inc. (Canada)†(e) | 6.00% | 2/15/2028 | $ | 21,129,000 | $ | 17,709,574 | ||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 23,649,000 | 22,115,561 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 52,177,000 | 42,133,710 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 90,082,000 | 78,548,351 | ||||||||
Total | 160,507,196 | |||||||||||
Agriculture 0.48% | ||||||||||||
Imperial Brands Finance plc (United Kingdom)†(e) | 6.125% | 7/27/2027 | 24,635,000 | 24,312,487 | ||||||||
Viterra Finance BV (Netherlands)†(e) | 2.00% | 4/21/2026 | 39,671,000 | 33,748,945 | ||||||||
Viterra Finance BV (Netherlands)†(e) | 3.20% | 4/21/2031 | 27,564,000 | 20,568,615 | ||||||||
Viterra Finance BV (Netherlands)†(e) | 5.25% | 4/21/2032 | 27,332,000 | 23,579,107 | ||||||||
Total | 102,209,154 | |||||||||||
Airlines 1.72% | ||||||||||||
Air Canada (Canada)†(e) | 3.875% | 8/15/2026 | 28,196,000 | 24,248,560 | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust† | 4.80% | 8/15/2027 | 29,584,494 | 27,985,917 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 66,155,957 | 57,838,499 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 47,479,000 | 34,281,638 | ||||||||
British Airways Pass Through Trust 2019-1A Class AA (United Kingdom)†(e) | 3.30% | 12/15/2032 | 14,163,366 | 12,041,217 | ||||||||
British Airways Pass Through Trust 2020-1 Class A (United Kingdom)†(e) | 4.25% | 11/15/2032 | 8,102,192 | 7,312,500 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 34,594,000 | 34,854,009 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 29,268,000 | 27,298,949 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 35,342,222 | 31,224,677 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 5/15/2028 | 11,989,189 | 10,114,365 | ||||||||
JetBlue 2019-1 Class B Pass Through Trust | 8.00% | 11/15/2027 | 8,114,804 | 7,978,856 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 24,920,400 | 24,437,941 | ||||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 10/15/2027 | 46,479,999 | 44,905,145 | ||||||||
United Airlines, Inc.† | 4.625% | 4/15/2029 | 24,476,000 | 20,314,346 | ||||||||
Total | 364,836,619 | |||||||||||
Apparel 0.14% | ||||||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 37,377,000 | 29,206,014 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
Auto Manufacturers 0.94% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | $ | 32,553,000 | $ | 25,018,283 | ||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 31,317,000 | 28,918,429 | ||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | 74,283,000 | 53,636,411 | ||||||||
Ford Motor Co. | 6.10% | 8/19/2032 | 22,673,000 | 20,027,061 | ||||||||
Ford Motor Credit Co. LLC | 2.90% | 2/10/2029 | 32,722,000 | 24,843,197 | ||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 59,740,000 | 46,730,420 | ||||||||
Total | 199,173,801 | |||||||||||
Banks 1.96% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(e) | 3.324% (5 Yr. Treasury CMT + 1.90%) | # | 3/13/2037 | 17,400,000 | 12,428,917 | |||||||
Alfa Bank AO Via Alfa Bond Issuance PLC (Ireland)(e) | 5.50% (5 Yr. Treasury CMT + 4.55%) | # | 10/26/2031 | 51,057,000 | 1 | (f) | ||||||
Banco Mercantil del Norte SA (Cayman Islands)†(e) | 7.625% (10 Yr. Treasury CMT + 5.35%) | # | – | (g) | 6,246,000 | 5,554,349 | ||||||
Banco Nacional de Comercio Exterior SNC (Cayman Islands)†(e) | 2.72% (5 Yr. Treasury CMT + 2.00%) | # | 8/11/2031 | 18,026,000 | 15,563,496 | |||||||
Bank of Ireland Group plc (Ireland)†(e) | 2.029% (1 Yr. Treasury CMT + 1.10%) | # | 9/30/2027 | 24,345,000 | 20,167,241 | |||||||
Bank of Ireland Group PLC (Ireland)†(e) | 6.253% (1 Yr. Treasury CMT + 2.65%) | # | 9/16/2026 | 33,470,000 | 32,775,649 | |||||||
Bank OZK | 2.75% (3 Mo. Term SOFR + 2.09%) | # | 10/1/2031 | 41,658,000 | 35,699,108 | |||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,313,000 | 23,709,200 | ||||||||
First-Citizens Bank & Trust Co. | 6.125% | 3/9/2028 | 50,745,000 | 50,459,510 | ||||||||
Home BancShares, Inc. | 3.125% (3 Mo. Term SOFR + 1.82%) | # | 1/30/2032 | 22,742,000 | 19,462,880 | |||||||
HSBC Holdings plc (United Kingdom)(e) | 2.999% (SOFR + 1.43%) | # | 3/10/2026 | 59,095,000 | 54,674,357 | |||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38%) | # | 5/1/2028 | 46,994,000 | 42,588,643 | |||||||
SVB Financial Group | 4.25% (5 Yr. Treasury CMT + 3.07%) | # | – | (g) | 23,113,000 | 17,057,335 | ||||||
United Overseas Bank Ltd. (Singapore)†(e) | 2.00% (5 Yr. Treasury CMT + 1.23%) | # | 10/14/2031 | 26,650,000 | 22,953,746 | |||||||
US Bancorp | 3.00% | 7/30/2029 | 27,452,000 | 23,642,358 |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Interest | Maturity | Principal | Fair | |||||||||
Investments | Rate | Date | Amount | Value | ||||||||
Banks (continued) | ||||||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | $ | 27,684,000 | $ | 25,109,437 | ||||||
Western Alliance Bancorp | 3.00% (3 Mo. Term SOFR + 2.25%) | # | 6/15/2031 | 17,415,000 | 15,052,970 | |||||||
Total | 416,899,197 | |||||||||||
Beverages 0.61% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 23,151,000 | 20,662,170 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,381,000 | 30,309,732 | ||||||||
Becle SAB de CV (Mexico)†(e) | 2.50% | 10/14/2031 | 27,373,000 | 21,222,834 | ||||||||
Brown-Forman Corp. | 4.50% | 7/15/2045 | 24,174,000 | 20,950,893 | ||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL (Guatemala)†(e) | 5.25% | 4/27/2029 | 18,843,000 | 16,371,458 | ||||||||
PepsiCo, Inc. | 4.20% | 7/18/2052 | 22,424,000 | 19,890,379 | ||||||||
Total | 129,407,466 | |||||||||||
Biotechnology 0.34% | ||||||||||||
Amgen, Inc. | 4.20% | 2/22/2052 | 27,314,000 | 21,499,130 | ||||||||
Regeneron Pharmaceuticals, Inc. | 2.80% | 9/15/2050 | 83,978,000 | 50,947,194 | ||||||||
Total | 72,446,324 | |||||||||||
Building Materials 0.28% | ||||||||||||
Builders FirstSource, Inc.† | 4.25% | 2/1/2032 | 18,188,000 | 13,992,029 | ||||||||
Lennox International, Inc. | 1.70% | 8/1/2027 | 4,541,000 | 3,823,590 | ||||||||
SRM Escrow Issuer LLC† | 6.00% | 11/1/2028 | 27,656,000 | 22,533,279 | ||||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | 24,595,000 | 19,991,894 | ||||||||
Total | 60,340,792 | |||||||||||
Chemicals 1.98% | ||||||||||||
Albemarle Corp. | 4.65% | 6/1/2027 | 27,236,000 | 26,148,478 | ||||||||
Ashland LLC† | 3.375% | 9/1/2031 | 27,315,000 | 21,169,125 | ||||||||
Braskem Idesa SAPI (Mexico)†(e) | 6.99% | 2/20/2032 | 15,697,000 | 10,516,990 | ||||||||
Cabot Corp. | 5.00% | 6/30/2032 | 27,219,000 | 24,476,283 | ||||||||
Celanese US Holdings LLC | 6.165% | 7/15/2027 | 68,010,000 | 64,451,485 | ||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,920,000 | 22,963,826 | ||||||||
EverArc Escrow Sarl (Luxembourg)†(e) | 5.00% | 10/30/2029 | 28,683,000 | 23,213,152 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 19,242,000 | 16,547,310 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 24,547,000 | 20,328,353 | ||||||||
NOVA Chemicals Corp. (Canada)†(e) | 4.25% | 5/15/2029 | 27,282,000 | 21,348,438 | ||||||||
OCP SA (Morocco)†(e) | 3.75% | 6/23/2031 | 56,169,000 | 42,811,899 | ||||||||
Olin Corp. | 5.00% | 2/1/2030 | 27,219,000 | 22,627,155 | ||||||||
Olin Corp. | 5.125% | 9/15/2027 | 27,273,000 | 24,700,611 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | $ | 35,878,000 | $ | 29,696,041 | ||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 32,825,000 | 25,279,000 | ||||||||
Sociedad Quimica y Minera de Chile SA (Chile)†(e) | 3.50% | 9/10/2051 | 33,828,000 | 23,273,156 | ||||||||
Total | 419,551,302 | |||||||||||
Coal 0.25% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 25,075,000 | 19,390,623 | ||||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 34,891,000 | 33,958,940 | ||||||||
Total | 53,349,563 | |||||||||||
Commercial Services 1.30% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 3.828% | 2/2/2032 | 27,109,000 | 20,246,857 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 4.375% | 7/3/2029 | 35,831,000 | 29,859,983 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,365,000 | 13,820,670 | ||||||||
Ashtead Capital, Inc.† | 5.50% | 8/11/2032 | 23,270,000 | 21,634,845 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 4.75% | 4/1/2028 | 22,055,000 | 18,020,264 | ||||||||
Block, Inc. | 3.50% | 6/1/2031 | 23,981,000 | 18,639,952 | ||||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 20,223,000 | 17,157,532 | ||||||||
Georgetown University (The) | 2.943% | 4/1/2050 | 17,968,000 | 11,910,561 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 33,767,000 | 26,964,938 | ||||||||
Hertz Corp. (The)† | 5.00% | 12/1/2029 | 21,211,000 | 15,807,074 | ||||||||
Hertz Corp. (The) | 5.50% | 10/15/2024 | 16,775,000 | 209,688 | ||||||||
Hertz Corp. (The)† | 6.00% | 1/15/2028 | 33,436,000 | 2,507,700 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 7,658,000 | 7,284,944 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 20,869,000 | 12,985,903 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 26,471,000 | 21,112,849 | ||||||||
Movida Europe SA (Luxembourg)†(e) | 5.25% | 2/8/2031 | 22,777,000 | 16,207,409 | ||||||||
Triton Container International Ltd.† | 2.05% | 4/15/2026 | 6,338,000 | 5,386,622 | ||||||||
University of Miami | 4.063% | 4/1/2052 | 20,957,000 | 17,248,824 | ||||||||
Total | 277,006,615 | |||||||||||
Computers 1.34% | ||||||||||||
Apple, Inc. | 2.90% | 9/12/2027 | 55,948,000 | 51,723,269 | ||||||||
Apple, Inc. | 3.20% | 5/11/2027 | 43,215,000 | 40,686,136 | ||||||||
Booz Allen Hamilton, Inc.† | 3.875% | 9/1/2028 | 12,562,000 | 10,831,624 | ||||||||
Booz Allen Hamilton, Inc.† | 4.00% | 7/1/2029 | 11,844,000 | 10,156,542 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Computers (continued) | ||||||||||||
Condor Merger Sub, Inc.† | 7.375% | 2/15/2030 | $ | 27,265,000 | $ | 22,342,850 | ||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 151,878,000 | 127,946,583 | ||||||||
Teledyne FLIR LLC | 2.50% | 8/1/2030 | 28,076,000 | 21,979,308 | ||||||||
Total | 285,666,312 | |||||||||||
Cosmetics/Personal Care 0.20% | ||||||||||||
GSK Consumer Healthcare Capital US LLC† | 3.625% | 3/24/2032 | 48,869,000 | 41,510,158 | ||||||||
Distribution/Wholesale 0.23% | ||||||||||||
Ferguson Finance plc (United Kingdom)†(e) | 3.25% | 6/2/2030 | 30,527,000 | 25,143,166 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 30,483,000 | 23,993,322 | ||||||||
Total | 49,136,488 | |||||||||||
Diversified Financial Services 2.18% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 24,203,000 | 20,971,605 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 30,043,000 | 31,541,672 | ||||||||
Blackstone Holdings Finance Co. LLC† | 2.00% | 1/30/2032 | 31,661,000 | 23,488,135 | ||||||||
CDP Financial, Inc. (Canada)(e) | 1.00% | 5/26/2026 | 70,919,000 | 62,603,698 | ||||||||
Coinbase Global, Inc.† | 3.375% | 10/1/2028 | 44,843,000 | 28,138,534 | ||||||||
Coinbase Global, Inc.† | 3.625% | 10/1/2031 | 40,211,000 | 22,377,061 | ||||||||
CPPIB Capital, Inc. (Canada)†(e) | 3.321% (SOFR Index + 1.25%) | # | 4/4/2025 | 152,834,000 | 156,215,127 | |||||||
CPPIB Capital, Inc. (Canada)†(e) | 4.125% | 10/21/2024 | 32,525,000 | 32,301,030 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(e)(h) | 6.054% (3 Mo. LIBOR + 5.75 %) | 1/15/2015 | 15,000,000 | 1,500 | (f) | |||||||
Jane Street Group/JSG Finance, Inc.† | 4.50% | 11/15/2029 | 18,665,000 | 16,078,124 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 24,847,000 | 24,229,800 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 26,061,000 | 21,401,152 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 19,271,000 | 15,510,183 | ||||||||
Visa, Inc. | 0.75% | 8/15/2027 | 9,057,000 | 7,613,922 | ||||||||
Total | 462,471,543 | |||||||||||
Electric 4.93% | ||||||||||||
AES Corp. (The) | 2.45% | 1/15/2031 | 37,063,000 | 28,409,158 | ||||||||
Alfa Desarrollo SpA (Chile)†(e) | 4.55% | 9/27/2051 | 3,960,510 | 2,622,947 | ||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 15,736,000 | 14,732,272 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 4.35% | 8/1/2028 | 26,731,000 | 24,598,457 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 24,295,000 | 21,279,952 | ||||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 27,340,000 | 21,437,841 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | $ | 74,984,000 | $ | 61,247,306 | ||||||
Calpine Corp.† | 5.00% | 2/1/2031 | 56,641,000 | 45,086,640 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 28,229,000 | 24,303,518 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 23,241,000 | 20,729,014 | ||||||||
Constellation Energy Generation LLC | 5.60% | 6/15/2042 | 25,025,000 | 22,484,841 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 42,744,000 | 41,887,453 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 20,062,000 | 17,407,739 | ||||||||
Electricite de France SA (France)†(e) | 3.625% | 10/13/2025 | 16,500,000 | 15,866,321 | ||||||||
Electricite de France SA (France)†(e) | 4.50% | 9/21/2028 | 14,507,000 | 13,564,658 | ||||||||
Empresa de Transmision Electrica SA (Panama)†(e) | 5.125% | 5/2/2049 | 21,680,000 | 16,285,149 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 3.50% | 4/6/2028 | 26,348,000 | 22,754,517 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,151,000 | 16,926,751 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 16,883,000 | 15,291,801 | ||||||||
FirstEnergy Corp. | 4.40% | 7/15/2027 | 50,740,000 | 47,193,020 | ||||||||
FirstEnergy Corp. | 5.35% | 7/15/2047 | 24,394,000 | 20,638,178 | ||||||||
FirstEnergy Transmission LLC† | 2.866% | 9/15/2028 | 27,249,000 | 23,192,197 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 27,363,000 | 21,460,971 | ||||||||
Indianapolis Power & Light Co.† | 4.05% | 5/1/2046 | 29,988,000 | 24,313,316 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 22,694,000 | 22,176,574 | ||||||||
Louisville Gas & Electric Co. | 4.375% | 10/1/2045 | 15,039,000 | 12,487,581 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 26,657,000 | 24,582,709 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,654,000 | 42,551,714 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 35,511,000 | 32,394,377 | ||||||||
NRG Energy, Inc.† | 3.875% | 2/15/2032 | 56,179,000 | 43,943,214 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 9,348,890 | 9,057,345 | ||||||||
Ohio Edison Co.† | 5.50% | 1/15/2033 | 18,124,000 | 17,885,823 | ||||||||
Pacific Gas and Electric Co. | 3.50% | 8/1/2050 | 36,272,000 | 22,161,807 | ||||||||
Pacific Gas and Electric Co. | 4.95% | 7/1/2050 | 31,737,000 | 23,317,701 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 27,181,000 | 23,623,007 | ||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara (Indonesia)†(e) | 5.25% | 10/24/2042 | 15,026,000 | 11,483,730 | ||||||||
PG&E Corp. | 5.00% | 7/1/2028 | 31,094,000 | 26,814,577 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,265,000 | 23,180,748 | ||||||||
Union Electric Co. | 2.625% | 3/15/2051 | 30,381,000 | 18,759,665 | ||||||||
Vistra Operations Co. LLC† | 4.375% | 5/1/2029 | 53,839,000 | 44,901,188 | ||||||||
Vistra Operations Co. LLC† | 5.125% | 5/13/2025 | 45,395,000 | 44,009,559 | ||||||||
Wisconsin Electric Power Co. | 4.75% | 9/30/2032 | 22,109,000 | 21,321,975 | ||||||||
Total | 1,048,367,311 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electronics 0.22% | ||||||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | $ | 36,917,000 | $ | 31,093,233 | ||||||
Imola Merger Corp.† | 4.75% | 5/15/2029 | 18,256,000 | 15,444,941 | ||||||||
Total | 46,538,174 | |||||||||||
Energy - Alternate Sources 0.58% | ||||||||||||
Sweihan PV Power Co. PJSC (United Arab Emirates)†(e) | 3.625% | 1/31/2049 | 36,118,082 | 28,774,048 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 23,615,000 | 20,095,066 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 24,169,000 | 21,326,363 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 57,976,554 | 53,504,822 | ||||||||
Total | 123,700,299 | |||||||||||
Engineering & Construction 0.32% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(e) | 5.125% | 8/11/2061 | 32,350,000 | 23,194,147 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 50,545,000 | 44,068,033 | ||||||||
Total | 67,262,180 | |||||||||||
Entertainment 1.76% | ||||||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 36,420,000 | 31,564,729 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 51,639,000 | 47,839,402 | ||||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | 46,014,000 | 39,111,900 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(e) | 5.75% | 6/15/2026 | 27,129,000 | 25,304,032 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp† | 4.875% | 5/1/2029 | 40,616,000 | 33,520,385 | ||||||||
Mohegan Gaming & Entertainment† | 8.00% | 2/1/2026 | 43,979,000 | 36,769,303 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/16/2029 | 42,600,000 | 32,459,501 | ||||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 36,321,000 | 30,244,497 | ||||||||
Warnermedia Holdings, Inc.† | 5.141% | 3/15/2052 | 41,183,000 | 30,011,197 | ||||||||
Warnermedia Holdings, Inc.† | 5.391% | 3/15/2062 | 18,230,000 | 13,254,265 | ||||||||
WMG Acquisition Corp.† | 3.00% | 2/15/2031 | 28,911,000 | 21,989,106 | ||||||||
WMG Acquisition Corp.† | 3.75% | 12/1/2029 | 38,192,000 | 31,782,619 | ||||||||
Total | 373,850,936 | |||||||||||
Environmental Control 0.21% | ||||||||||||
Madison IAQ LLC† | 4.125% | 6/30/2028 | 32,548,000 | 26,190,680 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 27,192,000 | 18,987,630 | ||||||||
Total | 45,178,310 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food 1.32% | ||||||||||||
Bellis Acquisition Co. PLC(d) | 3.25% | 2/16/2026 | GBP | 27,281,000 | $ | 23,074,178 | ||||||
Campbell Soup Co. | 2.375% | 4/24/2030 | $ | 19,117,000 | 15,197,017 | |||||||
Hershey Co. (The) | 2.65% | 6/1/2050 | 20,433,000 | 13,399,201 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 80,041,000 | 62,395,316 | ||||||||
Kraft Heinz Foods Co. | 4.875% | 10/1/2049 | 72,632,000 | 60,027,241 | ||||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 38,311,000 | 31,195,129 | ||||||||
Post Holdings, Inc.† | 4.50% | 9/15/2031 | 34,298,000 | 27,681,058 | ||||||||
Post Holdings, Inc.† | 4.625% | 4/15/2030 | 26,477,000 | 21,803,942 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 28,272,000 | 26,448,407 | ||||||||
Total | 281,221,489 | |||||||||||
Gas 0.20% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 22,916,000 | 21,224,062 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 26,454,000 | 22,255,936 | ||||||||
Total | 43,479,998 | |||||||||||
Health Care - Products 0.40% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,575,000 | 19,050,480 | ||||||||
Boston Scientific Corp. | 6.75% | 11/15/2035 | 16,135,000 | 17,295,028 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 20,927,000 | 19,601,212 | ||||||||
Medline Borrower LP† | 3.875% | 4/1/2029 | 35,514,000 | 28,529,994 | ||||||||
Total | 84,476,714 | |||||||||||
Health Care - Services 3.22% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 3.125% | 2/15/2029 | 28,864,000 | 22,292,389 | ||||||||
Centene Corp. | 2.50% | 3/1/2031 | 32,280,000 | 24,400,828 | ||||||||
Centene Corp. | 3.00% | 10/15/2030 | 33,846,000 | 26,876,093 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 55,263,000 | 45,297,700 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 36,733,000 | 33,094,413 | ||||||||
Charles River Laboratories International, Inc.† | 3.75% | 3/15/2029 | 26,832,000 | 22,354,813 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 26,990,000 | 21,812,012 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 24,836,000 | 22,814,101 | ||||||||
HCA, Inc. | 3.50% | 9/1/2030 | 48,112,000 | 39,831,684 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,776,000 | 13,245,293 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 17,628,000 | 14,795,080 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 28,034,000 | 23,461,672 | ||||||||
ModivCare Escrow Issuer, Inc.† | 5.00% | 10/1/2029 | 38,644,000 | 31,474,572 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 32,951,000 | 27,700,752 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 5/15/2032 | 40,752,000 | 33,438,709 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 25,042,000 | 17,874,027 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care - Services (continued) | ||||||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | $ | 21,163,000 | $ | 15,831,634 | ||||||
New York & Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 16,078,000 | 13,194,040 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12,348,000 | 10,133,264 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 14,960,000 | 12,354,049 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(e) | 4.95% | 1/17/2028 | 17,952,000 | 15,853,970 | ||||||||
Roche Holdings, Inc.† | 2.314% | 3/10/2027 | 24,226,000 | 21,791,431 | ||||||||
Seattle Children’s Hospital | 2.719% | 10/1/2050 | 31,724,000 | 19,990,476 | ||||||||
Tenet Healthcare Corp.† | 4.375% | 1/15/2030 | 28,176,000 | 23,579,367 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 23,297,000 | 21,680,072 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 10/1/2028 | 36,407,000 | 31,954,562 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 6/15/2030 | 35,848,000 | 32,930,869 | ||||||||
UnitedHealth Group, Inc. | 2.95% | 10/15/2027 | 13,565,000 | 12,392,557 | ||||||||
UnitedHealth Group, Inc. | 4.20% | 5/15/2032 | 33,287,000 | 30,947,598 | ||||||||
Total | 683,398,027 | |||||||||||
Home Builders 0.23% | ||||||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 36,185,000 | 29,595,260 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 21,316,000 | 20,161,940 | ||||||||
Total | 49,757,200 | |||||||||||
Home Furnishings 0.12% | ||||||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 26,740,000 | 24,907,907 | ||||||||
Household Products/Wares 0.07% | ||||||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 17,621,000 | 15,574,898 | ||||||||
Insurance 1.56% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(e) | 3.20% | 9/16/2040 | 42,391,000 | 31,753,252 | ||||||||
AIA Group Ltd. (Hong Kong)†(e) | 3.375% | 4/7/2030 | 21,224,000 | 18,881,713 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 23,425,000 | 22,419,565 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 30,158,000 | 22,254,735 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 17,457,000 | 14,667,658 | ||||||||
AXIS Specialty Finance plc (United Kingdom)(e) | 5.15% | 4/1/2045 | 21,094,000 | 18,043,151 | ||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 44,571,000 | 33,348,184 | ||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 26,914,000 | 25,347,154 | ||||||||
Global Atlantic Fin Co.† | 4.70% (5 Yr. Treasury CMT + 3.80%) | # | 10/15/2051 | 17,868,000 | 13,476,188 | |||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,610,000 | 21,639,736 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 36,274,000 | 32,323,872 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 19,241,000 | 16,453,906 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Teachers Insurance & Annuity Association of America† | 4.27% | 5/15/2047 | $ | 17,804,000 | $ | 14,513,241 | ||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 14,842,000 | 13,051,820 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,809,000 | 21,313,458 | ||||||||
W R Berkley Corp. | 3.15% | 9/30/2061 | 18,143,000 | 10,855,504 | ||||||||
Total | 330,343,137 | |||||||||||
Internet 2.01% | ||||||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 138,837,000 | 129,562,763 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 20,632,000 | 17,240,947 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 18,691,000 | 18,474,943 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 24,475,000 | 22,577,717 | ||||||||
Meta Platforms, Inc.† | 4.45% | 8/15/2052 | 45,345,000 | 37,082,025 | ||||||||
Netflix, Inc.(d) | 3.625% | 5/15/2027 | EUR | 51,139,000 | 47,324,961 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 56,359,000 | 52,871,787 | |||||||
NortonLifeLock, Inc.† | 6.75% | 9/30/2027 | 22,643,000 | 21,780,641 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.595% | 1/19/2028 | 34,479,000 | 30,882,844 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.925% | 1/19/2038 | 31,679,000 | 24,629,310 | ||||||||
VeriSign, Inc. | 2.70% | 6/15/2031 | 30,287,000 | 23,537,400 | ||||||||
Total | 425,965,338 | |||||||||||
Investment Companies 0.09% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(e) | 2.50% | 10/6/2070 | 32,855,000 | 19,766,790 | ||||||||
Iron - Steel 0.52% | ||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(e) | 8.75% | 7/15/2026 | 12,660,000 | 11,198,311 | ||||||||
CSN Resources SA (Brazil)†(e) | 4.625% | 6/10/2031 | 29,982,000 | 20,485,801 | ||||||||
Mineral Resources Ltd. (Australia)†(e) | 8.50% | 5/1/2030 | 36,356,000 | 35,214,058 | ||||||||
Steel Dynamics, Inc. | 3.45% | 4/15/2030 | 9,765,000 | 8,252,743 | ||||||||
United States Steel Corp. | 6.875% | 3/1/2029 | 14,014,000 | 12,770,258 | ||||||||
Vale Overseas Ltd. (Brazil)(e) | 3.75% | 7/8/2030 | 27,265,000 | 22,130,183 | ||||||||
Total | 110,051,354 | |||||||||||
Leisure Time 0.08% | ||||||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 17,633,000 | 16,071,951 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Lodging 1.33% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | $ | 23,116,000 | $ | 20,503,892 | ||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 27,980,000 | 23,928,834 | ||||||||
Hilton Domestic Operating Co., Inc.† | 3.75% | 5/1/2029 | 25,501,000 | 21,112,023 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 72,092,000 | 62,872,515 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 27,083,000 | 21,828,976 | ||||||||
Sands China Ltd. (Macao)(e) | 3.35% | 3/8/2029 | 24,314,000 | 18,096,028 | ||||||||
Sands China Ltd. (Macao)(e) | 4.875% | 6/18/2030 | 13,616,000 | 10,673,290 | ||||||||
Travel + Leisure Co. | 6.00% | 4/1/2027 | 24,188,000 | 21,848,169 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 48,247,000 | 42,572,188 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 41,800,000 | 39,195,024 | ||||||||
Total | 282,630,939 | |||||||||||
Machinery - Diversified 0.24% | ||||||||||||
nVent Finance Sarl (Luxembourg)(e) | 2.75% | 11/15/2031 | 16,340,000 | 12,190,375 | ||||||||
TK Elevator US Newco, Inc.† | 5.25% | 7/15/2027 | 23,778,000 | 20,273,242 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 21,155,000 | 19,141,491 | ||||||||
Total | 51,605,108 | |||||||||||
Media 2.09% | ||||||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 30,617,000 | 23,887,077 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 34,968,000 | 30,211,128 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.375% | 6/1/2029 | 37,692,000 | 33,074,730 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 6.375% | 9/1/2029 | 29,933,000 | 27,536,564 | ||||||||
CSC Holdings LLC† | 4.125% | 12/1/2030 | 54,525,000 | 40,826,684 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 45,437,000 | 40,201,067 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 42,113,000 | 34,381,583 | ||||||||
Gray Escrow II, Inc.† | 5.375% | 11/15/2031 | 38,090,000 | 29,960,070 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(e) | 6.75% | 10/15/2027 | 14,575,000 | 12,117,291 | ||||||||
News Corp.† | 3.875% | 5/15/2029 | 29,380,000 | 25,000,764 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 25,397,000 | 21,638,498 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 23,661,000 | 21,800,713 | ||||||||
Univision Communications, Inc.† | 4.50% | 5/1/2029 | 30,941,000 | 25,301,539 | ||||||||
UPC Broadband Finco BV (Netherlands)†(e) | 4.875% | 7/15/2031 | 54,021,000 | 42,009,161 | ||||||||
VZ Secured Financing BV (Netherlands)†(e) | 5.00% | 1/15/2032 | 47,758,000 | 35,767,922 | ||||||||
Total | 443,714,791 | |||||||||||
Metal Fabricate - Hardware 0.12% | ||||||||||||
Roller Bearing Co. of America, Inc.† | 4.375% | 10/15/2029 | 29,284,000 | 24,737,366 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Mining 1.29% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 5.625% | 4/1/2030 | $ | 17,340,000 | $ | 16,428,854 | ||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(e) | 4.375% | 4/1/2031 | 77,126,000 | 59,387,639 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(e) | 6.125% | 4/15/2032 | 28,318,000 | 24,375,002 | ||||||||
Freeport Indonesia PT (Indonesia)†(e) | 5.315% | 4/14/2032 | 22,405,000 | 18,652,162 | ||||||||
Freeport Indonesia PT (Indonesia)†(e) | 6.20% | 4/14/2052 | 15,302,000 | 11,774,499 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 25,587,000 | 23,787,850 | ||||||||
Kaiser Aluminum Corp.† | 4.50% | 6/1/2031 | 29,542,000 | 21,686,782 | ||||||||
Mirabela Nickel Ltd. | 1.00% | 9/10/2044 | 185,297 | 19 | (f) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,484,000 | 24,401,481 | ||||||||
Novelis Corp.† | 4.75% | 1/30/2030 | 27,118,000 | 22,305,369 | ||||||||
Teck Resources Ltd. (Canada)(e) | 3.90% | 7/15/2030 | 38,125,000 | 32,481,940 | ||||||||
Vedanta Resources Finance II plc (United Kingdom)†(e) | 8.95% | 3/11/2025 | 28,478,000 | 19,415,549 | ||||||||
Total | 274,697,146 | |||||||||||
Miscellaneous Manufacturing 0.22% | ||||||||||||
Eaton Corp. | 4.15% | 3/15/2033 | 27,101,000 | 24,524,680 | ||||||||
Hillenbrand, Inc. | 3.75% | 3/1/2031 | 27,271,000 | 21,122,616 | ||||||||
Total | 45,647,296 | |||||||||||
Multi-National 0.75% | ||||||||||||
Asian Development Bank (Philippines)(e) | 3.097% (SOFR Index + 1.00%) | # | 4/6/2027 | 117,963,000 | 120,936,596 | |||||||
Inter-American Investment Corp. | 2.625% | 4/22/2025 | 41,000,000 | 39,192,394 | ||||||||
Total | 160,128,990 | |||||||||||
Office/Business Equipment 0.10% | ||||||||||||
CDW LLC/CDW Finance Corp. | 3.569% | 12/1/2031 | 27,258,000 | 21,273,440 | ||||||||
Oil & Gas 12.60% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 98,721,000 | 88,976,744 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 53,546,000 | 46,937,085 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 34,110,000 | 25,511,004 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 66,791,000 | 54,071,322 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 33,958,000 | 31,971,966 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 39,782,000 | 35,920,958 | ||||||||
Callon Petroleum Co.† | 7.50% | 6/15/2030 | 23,862,000 | 20,937,712 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 35,941,000 | 33,226,556 | ||||||||
Cenovus Energy, Inc. (Canada)(e) | 2.65% | 1/15/2032 | 28,867,000 | 22,289,966 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Cenovus Energy, Inc. (Canada)(e) | 3.75% | 2/15/2052 | $ | 54,917,000 | $ | 37,346,513 | ||||||
Cenovus Energy, Inc. (Canada)(e) | 5.40% | 6/15/2047 | 71,982,000 | 61,834,286 | ||||||||
Chesapeake Energy Corp.† | 6.75% | 4/15/2029 | 54,208,000 | 52,078,981 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 23,155,000 | 22,162,577 | ||||||||
CNX Resources Corp.† | 7.25% | 3/14/2027 | 3,045,000 | 2,968,296 | ||||||||
Comstock Resources, Inc.† | 5.875% | 1/15/2030 | 32,863,000 | 28,700,408 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 36,722,000 | 33,956,563 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 83,971,000 | 75,536,984 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 34,812,000 | 31,543,279 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 35,562,000 | 32,031,760 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.00% | 5/1/2029 | 36,330,000 | 32,146,545 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 41,408,000 | 35,796,527 | ||||||||
Diamondback Energy, Inc. | 4.25% | 3/15/2052 | 54,531,000 | 39,945,825 | ||||||||
Diamondback Energy, Inc. | 4.40% | 3/24/2051 | 41,161,000 | 31,111,658 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 34,031,000 | 31,461,319 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 57,117,000 | 54,452,778 | ||||||||
EQT Corp. | 6.125% | 2/1/2025 | 28,591,000 | 28,669,339 | ||||||||
Exxon Mobil Corp. | 3.043% | 3/1/2026 | 16,279,000 | 15,397,506 | ||||||||
Geopark Ltd. (Colombia)†(e) | 5.50% | 1/17/2027 | 21,767,000 | 17,024,127 | ||||||||
Helmerich & Payne, Inc. | 2.90% | 9/29/2031 | 46,470,000 | 36,502,154 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 28,128,000 | 24,673,583 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 2/1/2029 | 19,006,000 | 16,655,055 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.00% | 2/1/2031 | 26,585,000 | 23,132,574 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 21,789,000 | 20,150,903 | ||||||||
Kosmos Energy Ltd.† | 7.125% | 4/4/2026 | 24,363,000 | 20,022,366 | ||||||||
Kosmos Energy Ltd.† | 7.75% | 5/1/2027 | 43,684,000 | 34,846,945 | ||||||||
Laredo Petroleum, Inc.†(i) | 7.75% | 7/31/2029 | 65,873,000 | 60,824,823 | ||||||||
Laredo Petroleum, Inc. | 10.125% | 1/15/2028 | 69,890,000 | 67,263,184 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 28,043,000 | 27,091,922 | ||||||||
MC Brazil Downstream Trading Sarl (Luxembourg)†(e) | 7.25% | 6/30/2031 | 29,276,000 | 22,077,910 | ||||||||
MEG Energy Corp. (Canada)†(e) | 5.875% | 2/1/2029 | 41,876,000 | 37,647,152 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.125% | 2/1/2027 | 64,367,000 | 65,457,055 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 38,084,000 | 35,677,091 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 28,679,000 | 27,143,096 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 67,155,000 | 66,310,862 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 20,011,000 | 20,359,091 | ||||||||
Occidental Petroleum Corp. | 7.50% | 5/1/2031 | 11,056,000 | 11,578,507 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | $ | 15,000,000 | $ | 16,733,550 | ||||||
OGX Austria GmbH (Brazil)†(e)(h) | 8.50% | 6/1/2018 | 20,000,000 | 400 | ||||||||
OQ SAOC (Oman)†(e) | 5.125% | 5/6/2028 | 36,296,000 | 32,550,071 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 35,742,000 | 34,786,543 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 29,660,000 | 24,366,934 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 30,064,000 | 24,857,416 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 56,834,000 | 52,655,280 | ||||||||
Permian Resources Operating LLC† | 5.375% | 1/15/2026 | 31,260,000 | 28,638,068 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 66,617,000 | 64,600,503 | ||||||||
Pertamina Persero PT (Indonesia)†(e) | 4.70% | 7/30/2049 | 27,085,000 | 20,286,305 | ||||||||
Pioneer Natural Resources Co. | 2.15% | 1/15/2031 | 27,216,000 | 21,006,303 | ||||||||
Precision Drilling Corp. (Canada)†(e) | 6.875% | 1/15/2029 | 25,394,000 | 22,468,357 | ||||||||
Qatar Energy (Qatar)†(e) | 3.30% | 7/12/2051 | 113,008,000 | 80,509,159 | ||||||||
Range Resources Corp.† | 4.75% | 2/15/2030 | 54,590,000 | 47,460,819 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 28,325,000 | 26,739,508 | ||||||||
Range Resources Corp. | 8.25% | 1/15/2029 | 51,263,000 | 52,269,036 | ||||||||
Reliance Industries Ltd. (India)†(e) | 3.625% | 1/12/2052 | 20,020,000 | 12,586,094 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 13,885,000 | 12,189,102 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)(e) | 2.875% | 4/16/2024 | 18,115,000 | 17,541,117 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 4.375% | 4/16/2049 | 40,068,000 | 33,436,946 | ||||||||
Shell International Finance BV (Netherlands)(e) | 2.875% | 5/10/2026 | 18,088,000 | 16,867,104 | ||||||||
Shell International Finance BV (Netherlands)(e) | 6.375% | 12/15/2038 | 38,912,000 | 41,282,182 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 83,481,000 | 80,321,662 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 22,496,000 | 21,686,481 | ||||||||
Southwestern Energy Co. | 4.75% | 2/1/2032 | 24,488,000 | 20,577,266 | ||||||||
Southwestern Energy Co. | 5.375% | 2/1/2029 | 51,484,000 | 46,794,322 | ||||||||
Southwestern Energy Co. | 5.375% | 3/15/2030 | 36,200,000 | 32,696,021 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 26,583,000 | 27,589,800 | ||||||||
Suncor Energy, Inc. (Canada)(e) | 4.00% | 11/15/2047 | 54,532,000 | 40,904,585 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(e) | 3.25% | 8/15/2030 | 44,488,000 | 31,697,700 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 11,023,000 | 13,202,309 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 37,953,000 | 35,044,716 | ||||||||
Total | 2,675,768,516 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas Services 0.55% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | $ | 26,775,000 | $ | 24,453,698 | ||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 35,959,000 | 28,571,940 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | 27,265,000 | 24,823,419 | ||||||||
Weatherford International Ltd.† | 8.625% | 4/30/2030 | 45,822,000 | 40,009,424 | ||||||||
Total | 117,858,481 | |||||||||||
Packaging & Containers 0.41% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 58,294,000 | 44,863,062 | ||||||||
Crown Cork & Seal Co., Inc. | 7.375% | 12/15/2026 | 20,868,000 | 20,914,118 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 22,752,000 | 21,777,646 | ||||||||
Total | 87,554,826 | |||||||||||
Pharmaceuticals 0.91% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | 26,942,000 | 23,608,094 | ||||||||
AbbVie, Inc. | 4.25% | 11/21/2049 | 27,859,000 | 22,399,969 | ||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 18,206,000 | 16,692,171 | ||||||||
CVS Health Corp. | 3.625% | 4/1/2027 | 25,783,000 | 24,152,065 | ||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV† | 4.125% | 4/30/2028 | 26,580,000 | 22,785,306 | ||||||||
Owens & Minor, Inc.† | 4.50% | 3/31/2029 | 26,751,000 | 21,035,255 | ||||||||
Pfizer, Inc. | 2.625% | 4/1/2030 | 26,408,000 | 22,727,976 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(e) | 5.125% | 5/9/2029 | 23,853,000 | 19,735,137 | ||||||||
Zoetis, Inc. | 2.00% | 5/15/2030 | 26,673,000 | 21,218,629 | ||||||||
Total | 194,354,602 | |||||||||||
Pipelines 2.82% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(e) | 4.60% | 11/2/2047 | 28,472,000 | 25,477,372 | ||||||||
AI Candelaria Spain SA (Spain)†(e) | 5.75% | 6/15/2033 | 31,027,000 | 21,166,619 | ||||||||
AI Candelaria Spain SA (Spain)†(e) | 7.50% | 12/15/2028 | 20,804,000 | 17,988,803 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02%) | # | 1/22/2078 | 35,356,000 | 28,626,339 | |||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 42,841,000 | 32,982,429 | ||||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 27,253,000 | 23,696,974 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | 67,727,000 | 57,422,337 | ||||||||
DT Midstream, Inc.† | 4.30% | 4/15/2032 | 27,294,000 | 23,521,696 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(e) | 3.25% | 9/30/2040 | 52,294,000 | 38,392,929 | ||||||||
Magellan Midstream Partners LP | 3.95% | 3/1/2050 | 27,299,000 | 19,457,535 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pipelines (continued) | ||||||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | $ | 29,737,000 | $ | 23,326,301 | ||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 25,138,000 | 23,444,440 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 20,972,000 | 16,142,264 | ||||||||
ONEOK, Inc. | 4.45% | 9/1/2049 | 27,299,000 | 19,612,050 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 20,166,000 | 18,590,549 | ||||||||
Sabine Pass Liquefaction LLC | 4.50% | 5/15/2030 | 58,643,000 | 53,508,471 | ||||||||
Transportadora de Gas Internacional SA ESP (Colombia)†(e) | 5.55% | 11/1/2028 | 22,173,000 | 19,839,957 | ||||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 8/15/2029 | 26,626,000 | 22,893,567 | ||||||||
Venture Global Calcasieu Pass LLC† | 4.125% | 8/15/2031 | 25,688,000 | 21,362,654 | ||||||||
Western Midstream Operating LP | 4.30% | 2/1/2030 | 77,630,000 | 66,567,725 | ||||||||
Williams Cos., Inc. (The) | 4.65% | 8/15/2032 | 27,204,000 | 24,711,304 | ||||||||
Total | 598,732,315 | |||||||||||
Real Estate 0.37% | ||||||||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | 47,674,000 | 36,564,051 | ||||||||
Kennedy-Wilson, Inc. | 4.75% | 2/1/2030 | 30,619,000 | 22,780,536 | ||||||||
Kennedy-Wilson, Inc. | 5.00% | 3/1/2031 | 27,837,000 | 20,245,850 | ||||||||
Total | 79,590,437 | |||||||||||
REITS 1.45% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 9,181,000 | 8,492,703 | ||||||||
Crown Castle, Inc. | 2.50% | 7/15/2031 | 55,903,000 | 43,157,655 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 3.25% | 1/15/2032 | 26,936,000 | 20,303,982 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,903,000 | 16,295,003 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 17,589,000 | 16,508,839 | ||||||||
Goodman U.S. Finance Five LLC† | 4.625% | 5/4/2032 | 22,644,000 | 20,782,574 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 11,638,000 | 9,816,138 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 4.75% | 6/15/2029 | 17,457,000 | 13,097,987 | ||||||||
Prologis LP | 4.375% | 2/1/2029 | 15,050,000 | 14,275,180 | ||||||||
Rayonier LP | 2.75% | 5/17/2031 | 50,062,000 | 39,111,271 | ||||||||
SBA Communications Corp. | 3.875% | 2/15/2027 | 40,849,000 | 36,292,498 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 13,662,000 | 12,873,809 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 65,654,000 | 57,102,567 | ||||||||
Total | 308,110,206 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Retail 1.10% | ||||||||||||
Costco Wholesale Corp. | 1.75% | 4/20/2032 | $ | 32,489,000 | $ | 25,107,003 | ||||||
Dollar Tree, Inc. | 3.375% | 12/1/2051 | 50,074,000 | 32,540,523 | ||||||||
Gap, Inc. (The)† | 3.875% | 10/1/2031 | 32,706,000 | 20,865,169 | ||||||||
Genuine Parts Co. | 2.75% | 2/1/2032 | 29,003,000 | 22,489,750 | ||||||||
Murphy Oil USA, Inc.† | 3.75% | 2/15/2031 | 41,310,000 | 33,284,706 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 17,790,000 | 15,782,398 | ||||||||
SRS Distribution, Inc.† | 4.625% | 7/1/2028 | 19,988,000 | 17,193,478 | ||||||||
Stonegate Pub Co. Financing 2019 plc(d) | 8.00% | 7/13/2025 | GBP | 17,255,000 | 16,896,343 | |||||||
Stonegate Pub Co. Financing 2019 plc(d) | 8.25% | 7/31/2025 | GBP | 28,884,000 | 28,340,064 | |||||||
Tiffany & Co. | 4.90% | 10/1/2044 | $ | 24,318,000 | 21,563,915 | |||||||
Total | 234,063,349 | |||||||||||
Savings & Loans 0.00% | ||||||||||||
Washington Mutual Bank(h) | 6.875% | 6/15/2011 | 22,500,000 | 2,250 | (f) | |||||||
Semiconductors 0.85% | ||||||||||||
Entegris Escrow Corp.† | 4.75% | 4/15/2029 | 24,244,000 | 21,409,260 | ||||||||
KLA Corp. | 4.10% | 3/15/2029 | 16,566,000 | 15,764,576 | ||||||||
KLA Corp. | 4.65% | 7/15/2032 | 30,948,000 | 29,755,399 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 17,958,000 | 16,618,372 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 29,897,000 | 25,631,797 | ||||||||
TSMC Arizona Corp. | 3.25% | 10/25/2051 | 99,734,000 | 71,409,658 | ||||||||
Total | 180,589,062 | |||||||||||
Shipbuilding 0.19% | ||||||||||||
Huntington Ingalls Industries, Inc. | 4.20% | 5/1/2030 | 45,059,000 | 39,817,771 | ||||||||
Software 1.95% | ||||||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | 27,008,000 | 25,045,072 | ||||||||
Electronic Arts, Inc. | 2.95% | 2/15/2051 | 31,731,000 | 20,813,501 | ||||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 36,086,000 | 28,167,018 | ||||||||
Microsoft Corp. | 3.30% | 2/6/2027 | 18,019,000 | 17,190,115 | ||||||||
MSCI, Inc.† | 3.25% | 8/15/2033 | 31,489,000 | 24,366,503 | ||||||||
MSCI, Inc.† | 3.875% | 2/15/2031 | 66,798,000 | 56,376,777 | ||||||||
MSCI, Inc.† | 4.00% | 11/15/2029 | 44,468,000 | 38,498,171 | ||||||||
Oracle Corp. | 4.50% | 7/8/2044 | 27,266,000 | 20,148,815 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 24,418,000 | 21,409,947 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 56,079,000 | 45,749,529 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 30,818,000 | 22,765,214 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 33,835,000 | 24,960,943 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Software (continued) | ||||||||||||
Twilio, Inc. | 3.625% | 3/15/2029 | $ | 40,650,000 | $ | 32,884,427 | ||||||
Workday, Inc. | 3.80% | 4/1/2032 | 41,702,000 | 36,245,043 | ||||||||
Total | 414,621,075 | |||||||||||
Telecommunications 2.61% | ||||||||||||
Altice France SA (France)†(e) | 5.125% | 7/15/2029 | 25,722,000 | 19,277,867 | ||||||||
Altice France SA (France)†(e) | 5.50% | 10/15/2029 | 14,912,000 | 11,257,127 | ||||||||
Connect Finco Sarl /Connect US Finco LLC (Luxembourg)†(e) | 6.75% | 10/1/2026 | 27,469,000 | 24,059,883 | ||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | 34,689,000 | 31,168,414 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 21,000,000 | 19,212,538 | ||||||||
NTT Finance Corp. (Japan)†(e) | 4.372% | 7/27/2027 | 23,147,000 | 22,471,838 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 108,783,000 | 111,967,622 | ||||||||
T-Mobile USA, Inc. | 3.375% | 4/15/2029 | 118,992,000 | 102,987,576 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 16,027,000 | 14,225,999 | ||||||||
T-Mobile USA, Inc. | 4.50% | 4/15/2050 | 26,806,000 | 21,537,863 | ||||||||
Verizon Communications, Inc. | 4.016% | 12/3/2029 | 58,939,000 | 53,564,389 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(e) | 4.25% | 1/31/2031 | 79,831,000 | 60,671,560 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(e) | 4.75% | 7/15/2031 | 50,478,000 | 39,066,995 | ||||||||
Xiaomi Best Time International Ltd. (Hong Kong)†(e) | 4.10% | 7/14/2051 | 40,375,000 | 23,380,481 | ||||||||
Total | 554,850,152 | |||||||||||
Toys/Games/Hobbies 0.20% | ||||||||||||
Hasbro, Inc. | 3.90% | 11/19/2029 | 26,072,000 | 22,840,336 | ||||||||
Hasbro, Inc. | 5.10% | 5/15/2044 | 24,241,000 | 19,727,212 | ||||||||
Total | 42,567,548 | |||||||||||
Transportation 0.33% | ||||||||||||
Autoridad del Canal de Panama (Panama)†(e) | 4.95% | 7/29/2035 | 13,240,000 | 12,485,277 | ||||||||
Central Japan Railway Co. (Japan)(e) | 2.20% | 10/2/2024 | 19,590,000 | 18,661,957 | ||||||||
Central Japan Railway Co. (Japan)†(e) | 4.25% | 11/24/2045 | 17,006,000 | 14,763,074 | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 2/20/2034 | 28,216,958 | 23,281,070 | ||||||||
Total | 69,191,378 | |||||||||||
Total Corporate Bonds (cost $16,108,443,131) | 13,815,737,601 |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
FLOATING RATE LOANS(j) 2.20% | ||||||||||||
Aerospace/Defense 0.10% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(e) | 9.615% (1 Mo. LIBOR + 6.50%) | 3/6/2024 | $ | 8,102,769 | $ | 7,288,441 | ||||||
Alloy Finco Limited USD Holdco PIK Term Loan PIK 13.50% (Jersey)(e) | 0.50% | 3/6/2025 | 15,524,755 | 14,399,210 | ||||||||
Total | 21,687,651 | |||||||||||
Beverages 0.10% | ||||||||||||
Sunshine Investments B.V. 2022 USD Term Loan (Netherlands)(e) | 6.962% (3 Mo. SOFR + 4.25%) | 7/12/2029 | 22,425,846 | 21,491,361 | ||||||||
Building & Construction 0.19% | ||||||||||||
Centuri Group, Inc Term Loan B | 5.57% (3 Mo. LIBOR + 2.50%) | 8/27/2028 | 22,476,340 | 21,770,471 | ||||||||
USIC Holdings, Inc. 2021 Term Loan | 6.615% (1 Mo. LIBOR + 3.50%) | 5/12/2028 | 19,507,642 | 18,339,232 | ||||||||
Total | 40,109,703 | |||||||||||
Building Materials 0.00% | ||||||||||||
ACProducts, Inc. 2021 Term Loan B | 7.127% - 7.92% (3 Mo. LIBOR + 4.25%) (6 Mo. LIBOR + 4.25%) | 5/17/2028 | 426 | 318 | ||||||||
Diversified Capital Goods 0.21% | ||||||||||||
CeramTec AcquiCo GmbH 2022 EUR Term Loan B(d) | 4.332% (3 Mo. EURIBOR + 3.75%) | 2/2/2029 | EUR | 25,074,401 | 21,783,158 | |||||||
Tank Holding Corp. 2022 Term Loan | 8.884% (1 Mo. SOFR + 5.75%) | 3/31/2028 | $ | 22,211,334 | 21,461,701 | |||||||
Total | 43,244,859 | |||||||||||
Electric: Generation 0.29% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 6.615% (1 Mo. LIBOR + 3.50%) | 12/10/2027 | 36,883,260 | 35,832,087 | ||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 6.62% - 7.18% (1 Mo. LIBOR + 3.50%) (3 Mo. LIBOR + 3.50%) | 10/1/2027 | 25,072,122 | 24,189,458 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric: Generation (continued) | ||||||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 5.174% (3 Mo. LIBOR + 1.50%) | 7/28/2028 | $ | 1,716,482 | $ | 283,220 | (k) | |||||
Frontera Generation Holdings LLC 2021 Term Loan | 16.674% (3 Mo. LIBOR + 13.00%) | 7/28/2026 | 1,773,053 | 1,684,400 | (k) | |||||||
Total | 61,989,165 | |||||||||||
Electric: Integrated 0.18% | ||||||||||||
Generation Bridge Acquisition, LLC Term Loan B | 8.674% (3 Mo. LIBOR + 5.00%) | 12/1/2028 | 14,684,945 | 14,513,572 | ||||||||
Generation Bridge Acquisition, LLC Term Loan C | 8.674% (3 Mo. LIBOR + 5.00%) | 12/1/2028 | 304,453 | 300,900 | ||||||||
Helix Gen Funding, LLC Term Loan B | 6.865% (1 Mo. LIBOR + 3.75%) | 6/3/2024 | 24,959,728 | 23,472,502 | ||||||||
Total | 38,286,974 | |||||||||||
Gas Distribution 0.39% | ||||||||||||
Brazos Delaware II, LLC Term Loan B | 7.014% (1 Mo. LIBOR + 4.00%) | 5/21/2025 | 27,156,890 | 26,260,712 | ||||||||
Freeport LNG Investments, LLLP Term Loan B | 6.21% (3 Mo. LIBOR + 3.50%) | 12/21/2028 | 36,377,910 | 33,766,522 | ||||||||
Oryx Midstream Services Permian Basin LLC Term Loan B | 6.211% (3 Mo. LIBOR + 3.25%) | 10/5/2028 | 24,000,118 | 23,332,675 | ||||||||
Total | 83,359,909 | |||||||||||
Health Facilities 0.12% | ||||||||||||
Electron BidCo Inc. 2021 Term Loan | 6.115% (1 Mo. LIBOR + 3.00%) | 11/1/2028 | 27,562,311 | 26,186,676 | ||||||||
Health Services 0.01% | ||||||||||||
National Mentor Holdings, Inc. 2021 Term Loan | 6.87% - 7.43% (1 Mo. LIBOR + 3.75%) (3 Mo. LIBOR + 3.75%) | 3/2/2028 | 3,698,217 | 2,665,027 | ||||||||
Machinery 0.00% | ||||||||||||
Vertical US Newco Inc Term Loan B | 6.871% (6 Mo. LIBOR + 3.50%) | 7/30/2027 | 12,189 | 11,712 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Metals/Mining (Excluding Steel) 0.10% | ||||||||||||
Peabody Energy Corporation Term Loan | 5.834% (1 Mo. LIBOR + 2.75%) | 3/31/2025 | $ | 21,260,962 | $ | 20,289,443 | ||||||
Personal & Household Products 0.00% | ||||||||||||
FGI Operating Company, LLC Exit Term Loan | 13.674% (3 Mo. LIBOR + 10.00%) | 5/16/2023 | 812,047 | 101,912 | (l) | |||||||
Revlon Consumer Products Corporation 2020 Term Loan B2 | 4.43% (3 Mo. LIBOR + 3.50%) | 6/30/2025 | 198 | 117 | ||||||||
Total | 102,029 | |||||||||||
Software/Services 0.31% | ||||||||||||
Greeneden U.S. Holdings II, LLC 2020 USD Term Loan B4 | 7.115% (1 Mo. LIBOR + 4.00%) | 12/1/2027 | 31,720,549 | 30,290,269 | ||||||||
Magenta Buyer LLC 2021 USD 1st Lien Term Loan | 7.87% (1 Mo. LIBOR + 4.75%) | 7/27/2028 | 12,305,184 | 11,148,497 | ||||||||
Peraton Corp. Term Loan B | 6.865% (1 Mo. LIBOR + 3.75%) | 2/1/2028 | 24,445,941 | 23,232,811 | ||||||||
Total | 64,671,577 | |||||||||||
Specialty Retail 0.09% | ||||||||||||
Winterfell Financing Sarl EUR Term Loan B(d) | 3.185% (3 Mo. EURIBOR + 2.93%) | 5/4/2028 | EUR | 22,644,662 | 19,529,755 | |||||||
Support: Services 0.00% | ||||||||||||
Verscend Holding Corp. 2021 Term Loan B | 7.115% (1 Mo. LIBOR + 4.00%) | 8/27/2025 | $ | 27,144 | 26,397 | |||||||
Technology Hardware & Equipment 0.04% | ||||||||||||
Atlas CC Acquisition Corp Term Loan B | 7.32% (3 Mo. LIBOR + 4.25%) | 5/25/2028 | 7,606,204 | 6,695,361 | ||||||||
Atlas CC Acquisition Corp Term Loan C | 7.32% (3 Mo. LIBOR + 4.25%) | 5/25/2028 | 1,547,024 | 1,361,768 | ||||||||
Total | 8,057,129 |
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Theaters & Entertainment 0.07% | ||||||||||||
Vue International Bidco p.l.c. 2019 EUR Term Loan B(d)(h) | – | (m) | 7/3/2026 | EUR | 18,451,184 | $ | 13,054,993 | |||||
Vue International Bidco p.l.c. 2022 EUR Term Loan(d) | 9.766% (3 Mo. EURIBOR + 8.00%) | 6/30/2027 | EUR | 2,436,933 | 2,364,433 | |||||||
Total | 15,419,426 | |||||||||||
Total Floating Rate Loans (cost $502,153,536) | 467,129,111 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 1.96% | ||||||||||||
Australia 0.10% | ||||||||||||
Australia Government Bond(d) | 4.25% | 4/21/2026 | AUD | 33,642,000 | 21,967,641 | |||||||
Bermuda 0.16% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | $ | 17,345,000 | 13,884,498 | |||||||
Bermuda Government International Bond† | 3.375% | 8/20/2050 | 29,737,000 | 20,009,560 | ||||||||
Total | 33,894,058 | |||||||||||
Brazil 0.16% | ||||||||||||
Federal Republic of Brazil(e) | 4.75% | 1/14/2050 | 49,520,000 | 33,865,251 | ||||||||
Canada 0.20% | ||||||||||||
Ontario Teachers’ Finance Trust(e) | 0.875% | 9/21/2026 | 12,903,000 | 11,152,878 | ||||||||
Province of Ontario Canada(d) | 1.55% | 11/1/2029 | CAD | 49,902,000 | 31,023,882 | |||||||
Total | 42,176,760 | |||||||||||
Colombia 0.19% | ||||||||||||
Colombia Government International Bond(e) | 5.20% | 5/15/2049 | $ | 66,802,000 | 41,436,625 | |||||||
Costa Rica 0.16% | ||||||||||||
Costa Rica Government International Bond†(e) | 7.158% | 3/12/2045 | 40,226,000 | 34,078,614 | ||||||||
Dominican Republic 0.11% | ||||||||||||
Dominican Republic International Bond†(e) | 6.00% | 2/22/2033 | 28,010,000 | 22,867,548 | ||||||||
Ecuador 0.08% | ||||||||||||
Ecuador Government International Bond†(e) | 5.50% | 7/31/2030 | 35,007,254 | 16,744,546 | ||||||||
Japan 0.21% | ||||||||||||
Japan Bank for International Cooperation(e) | 3.875% | 9/16/2025 | 45,052,000 | 44,052,892 | ||||||||
Mongolia 0.11% | ||||||||||||
Development Bank of Mongolia LLC†(e) | 7.25% | 10/23/2023 | 24,219,000 | 23,250,170 |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Norway 0.37% | ||||||||||||
Kommunalbanken AS†(e) | 3.897% (SOFR + 1.00%) | # | 6/17/2026 | $ | 77,772,000 | $ | 79,487,995 | |||||
Senegal 0.04% | ||||||||||||
Senegal Government International Bond†(d) | 5.375% | 6/8/2037 | EUR | 15,613,000 | 9,246,098 | |||||||
Sri Lanka 0.07% | ||||||||||||
Sri Lanka Government International Bond†(e)(h) | 5.875% | 7/25/2022 | $ | 45,243,000 | 14,230,943 | |||||||
Total Foreign Government Obligations (cost $524,783,872) | 417,299,141 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 7.22% | ||||||||||||
Fannie Mae or Freddie Mac(n) | 2.00% | TBA | 157,829,000 | 127,816,829 | ||||||||
Fannie Mae or Freddie Mac(n) | 2.50% | TBA | 19,554,000 | 16,371,510 | ||||||||
Fannie Mae or Freddie Mac(n) | 3.50% | TBA | 19,495,000 | 17,540,299 | ||||||||
Fannie Mae or Freddie Mac(n) | 4.00% | TBA | 87,685,000 | 81,320,987 | ||||||||
Fannie Mae or Freddie Mac(n) | 4.50% | TBA | 232,474,000 | 221,288,906 | ||||||||
Fannie Mae or Freddie Mac(n) | 5.00% | TBA | 31,880,000 | 31,023,387 | ||||||||
Fannie Mae or Freddie Mac(n) | 5.50% | TBA | 92,672,000 | 91,948,000 | ||||||||
Fannie Mae Pool | 3.50% | 9/1/2051 - 4/1/2052 | 57,370,261 | 52,350,232 | ||||||||
Fannie Mae Pool | 4.00% | 5/1/2052 | 92,804,297 | 87,179,269 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 8/1/2045 | 41,883,001 | 38,662,070 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 | 47,596,369 | 46,929,933 | ||||||||
Federal National Mortgage Assoc. | 2.50% | 9/1/2051 - 12/1/2051 | 176,682,911 | 150,061,461 | ||||||||
Federal National Mortgage Assoc. | 5.00% | 7/1/2052 | 65,155,709 | 64,386,130 | ||||||||
Ginnie Mae(n) | 3.00% | TBA | 53,544,000 | 47,319,510 | ||||||||
Ginnie Mae(n) | 3.50% | TBA | 65,450,000 | 59,546,717 | ||||||||
Ginnie Mae(n) | 4.00% | TBA | 99,373,000 | 92,824,474 | ||||||||
Ginnie Mae(n) | 4.50% | TBA | 221,850,000 | 212,317,802 | ||||||||
Ginnie Mae(n) | 5.00% | TBA | 97,486,000 | 95,437,767 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,591,399,647) | 1,534,325,283 | |||||||||||
MUNICIPAL BONDS 2.89% | ||||||||||||
Education 0.53% | ||||||||||||
California State University | 3.899% | 11/1/2047 | 33,030,000 | 28,154,527 | ||||||||
Ohio University | 5.59% | 12/1/2114 | 11,104,000 | 10,004,811 | ||||||||
Permanent University Fund - Texas A&M University S | 3.66% | 7/1/2047 | 36,015,000 | 29,798,267 | ||||||||
Regents of the University of California Medical Ce | 3.006% | 5/15/2050 | 19,210,000 | 12,803,250 |
See Notes to Schedule of Investments. | 29 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||||
Education (continued) | ||||||||||||||
Regents of the University of California Medical Ce | 4.132% | 5/15/2032 | $ | 18,200,000 | $ | 16,625,909 | ||||||||
Regents of the University of California Medical Ce | 6.548% | 5/15/2048 | 12,463,000 | 14,257,898 | ||||||||||
Total | 111,644,662 | |||||||||||||
General Obligation 0.66% | ||||||||||||||
Chicago Transit Authority Sales & Transfer Tax Rec | 6.899% | 12/1/2040 | 11,826,000 | 13,405,387 | ||||||||||
Commonwealth of Pennsylvania | 5.45% | 2/15/2030 | 12,190,000 | 12,549,005 | ||||||||||
District of Columbia | 5.591% | 12/1/2034 | 14,130,000 | 14,655,300 | ||||||||||
Los Angeles Unified School District/CA | 5.75% | 7/1/2034 | 12,497,000 | 12,815,095 | ||||||||||
State of California | 7.55% | 4/1/2039 | 15,015,000 | 18,736,158 | ||||||||||
State of Illinois | 5.10% | 6/1/2033 | 62,845,000 | 59,932,530 | ||||||||||
University of North Carolina at Chapel Hill | 3.847% | 12/1/2034 | 9,595,000 | 8,567,368 | ||||||||||
Total | 140,660,843 | |||||||||||||
Government 0.31% | ||||||||||||||
Louisiana Local Government Environmental Facilitie A1 | 3.615% | 2/1/2029 | 27,279,000 | 26,464,397 | ||||||||||
Louisiana Local Government Environmental Facilitie A2 | 4.145% | 2/1/2033 | 40,921,000 | 38,881,289 | ||||||||||
Total | 65,345,686 | |||||||||||||
Lease Obligation 0.03% | ||||||||||||||
State of Wisconsin | 3.294% | 5/1/2037 | 7,145,000 | 5,783,410 | ||||||||||
Miscellaneous 0.34% | ||||||||||||||
Dallas Convention Center Hotel Development Corp | 7.088% | 1/1/2042 | 17,795,000 | 19,902,491 | ||||||||||
New York City Industrial Development Agency† | 11.00% | 3/1/2029 | 16,963,000 | 19,937,813 | ||||||||||
Pasadena Public Financing Authority | 7.148% | 3/1/2043 | 26,795,000 | 31,777,439 | ||||||||||
Total | 71,617,743 | |||||||||||||
Revenue - Utilities - Other 0.06% | ||||||||||||||
City of San Antonio TX Electric & Gas Systems Reve | 5.718% | 2/1/2041 | 13,240,000 | 13,793,592 | ||||||||||
Tax Revenue 0.35% | ||||||||||||||
County of Miami-Dade FL | 2.786% | 10/1/2037 | 11,485,000 | 8,354,333 | ||||||||||
Dallas Area Rapid Transit | 2.613% | 12/1/2048 | 22,730,000 | 14,887,836 | ||||||||||
Massachusetts School Building Authority | 5.715% | 8/15/2039 | 20,055,000 | 21,824,499 | ||||||||||
Memphis-Shelby County Industrial Development Board(h) | 7.00% | 7/1/2045 | 22,085,000 | 14,264,333 | (b) |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||||
Tax Revenue (continued) | ||||||||||||||
New York State Dormitory Authority | 3.19% | 2/15/2043 | $ | 5,345,000 | $ | 3,929,479 | ||||||||
Regional Transportation District Sales Tax Revenue | 2.387% | 11/1/2037 | 16,005,000 | 11,368,409 | ||||||||||
Total | 74,628,889 | |||||||||||||
Taxable Revenue - Water & Sewer 0.04% | ||||||||||||||
City & County Honolulu HI Wastewater System Revenu | 1.623% | 7/1/2031 | 6,635,000 | 5,154,824 | ||||||||||
City & County Honolulu HI Wastewater System Revenu | 2.574% | 7/1/2041 | 4,520,000 | 3,139,272 | ||||||||||
Total | 8,294,096 | |||||||||||||
Transportation 0.57% | ||||||||||||||
Chicago Transit Authority Sales Tax Receipts Fund | 6.20% | 12/1/2040 | 12,385,000 | 13,275,947 | ||||||||||
County of Miami-Dade FL Aviation Revenue | 3.982% | 10/1/2041 | 13,915,000 | 11,325,331 | ||||||||||
County of Miami-Dade FL Aviation Revenue | 4.28% | 10/1/2041 | 18,040,000 | 15,681,849 | ||||||||||
Foothill-Eastern Transportation Corridor Agency | 4.094% | 1/15/2049 | 27,039,000 | 19,917,593 | ||||||||||
Metropolitan Transportation Authority | 5.175% | 11/15/2049 | 18,010,000 | 16,081,585 | ||||||||||
Metropolitan Transportation Authority | 6.668% | 11/15/2039 | 9,045,000 | 9,606,763 | ||||||||||
New Jersey Transportation Trust Fund Authority | 4.131% | 6/15/2042 | 18,845,000 | 15,148,608 | ||||||||||
Port of Seattle WA | 3.571% | 5/1/2032 | 10,040,000 | 8,935,356 | ||||||||||
Port of Seattle WA | 3.755% | 5/1/2036 | 13,905,000 | 12,174,528 | ||||||||||
Total | 122,147,560 | |||||||||||||
Total Municipal Bonds (cost $727,709,885) | 613,916,481 | |||||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 6.34% | ||||||||||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 3.768% (1 Mo. LIBOR + .95%) | # | 6/15/2035 | 35,420,000 | 34,313,490 | |||||||||
BBCMS Mortgage Trust 2019-BWAY A† | 3.774% (1 Mo. LIBOR + .96%) | # | 11/15/2034 | 25,000,000 | 23,893,205 | |||||||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.388% | #(o) | 8/15/2052 | 35,544,000 | 30,685,245 | (b) | ||||||||
BHMS 2018-ATLS A† | 4.068% (1 Mo. LIBOR + 1.25%) | # | 7/15/2035 | 37,370,000 | 36,144,085 | |||||||||
BX 2021-MFM1 B† | 3.768% (1 Mo. LIBOR + .95%) | # | 1/15/2034 | 7,100,000 | 6,767,901 | |||||||||
BX 2021-MFM1 C† | 4.018% (1 Mo. LIBOR + 1.20%) | # | 1/15/2034 | 4,250,000 | 4,034,934 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
BX Commercial Mortgage Trust 2020-VIV4 A† | 2.843% | 3/9/2044 | $ | 14,171,000 | $ | 11,485,740 | ||||||||
BX Commercial Mortgage Trust 2021-VOLT A† | 3.518% (1 Mo. LIBOR + .70%) | # | 9/15/2036 | 28,040,000 | 26,813,996 | |||||||||
BX Trust 2021-ARIA F† | 5.412% (1 Mo. LIBOR + 2.59%) | # | 10/15/2036 | 60,140,000 | 53,466,860 | |||||||||
BX Trust 2022-PSB A† | 5.296% (1 Mo. Term SOFR + 2.45%) | # | 8/15/2039 | 13,980,000 | 13,965,185 | |||||||||
CF Trust 2019-BOSS A1 | 6.068% (1 Mo. LIBOR + 3.25%) | # | 12/15/2024 | 18,200,000 | 16,463,320 | (b) | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 C | 4.907% | #(o) | 2/10/2049 | 8,580,000 | 7,245,715 | |||||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(o) | 9/10/2047 | 17,906,000 | 17,221,380 | |||||||||
COMM Mortgage Trust 2020-SBX C† | 2.056% | #(o) | 1/10/2038 | 5,900,000 | 5,068,930 | |||||||||
COMM Mortgage Trust 2020-SBX D† | 2.399% | #(o) | 1/10/2038 | 8,000,000 | 6,867,102 | |||||||||
Connecticut Avenue Securities Trust 2022-R01 1B2† | 8.281% (1 Mo. SOFR + 6.00%) | # | 12/25/2041 | 44,210,000 | 38,302,598 | |||||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C† | 4.248% (1 Mo. LIBOR + 1.43%) | # | 5/15/2036 | 52,000,000 | 50,667,360 | |||||||||
Credit Suisse Mortgage Capital Certificates Trust 2022-MARK B† | 6.29% (1 Mo. Term SOFR + 3.44%) | # | 6/15/2039 | 10,000,000 | 9,994,944 | |||||||||
CS Master Trust 2021-AHP A† | 6.654% (1 Mo. LIBOR + 3.95%) | # | 4/15/2025 | 34,200,000 | 32,343,419 | (b) | ||||||||
CS Master Trust 2021-BLUF A† | 6.882% (1 Mo. LIBOR + 4.18%) | # | 4/15/2023 | 19,500,000 | 19,356,324 | |||||||||
CSMC 2021-BPNY A† | 6.532% (1 Mo. LIBOR + 3.71%) | # | 8/15/2023 | 47,580,000 | 46,165,261 | |||||||||
CSMC 2021-BRIT A† | 6.419% (1 Mo. Term SOFR + 3.57%) | # | 5/15/2023 | 86,900,000 | �� | 81,608,181 | ||||||||
DCP Rights, LLC 2020-1 A | 4.809% | 1/15/2024 | 82,590,000 | 82,730,306 | ||||||||||
Fannie Mae Connecticut Avenue Securities 2021-R02 2B1† | 5.581% (1 Mo. SOFR + 3.30%) | # | 11/25/2041 | 11,740,000 | 10,640,125 | |||||||||
Freddie Mac STACR REMIC Trust 2021-DNA6 B1† | 5.681% (1 Mo. SOFR + 3.40%) | # | 10/25/2041 | 66,590,000 | 59,805,791 | |||||||||
Freddie Mac STACR REMIC Trust 2021-DNA7 B1† | 5.931% (1 Mo. SOFR + 3.65%) | # | 11/25/2041 | 50,870,000 | 44,992,724 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
Freddie Mac STACR REMIC Trust 2022-HQA3 M1B† | 5.831% (1 Mo. SOFR + 3.55%) | # | 8/25/2042 | $ | 28,150,000 | $ | 26,484,049 | |||||||
Great Wolf Trust 2019-WOLF A† | 3.852% (1 Mo. LIBOR + 1.03%) | # | 12/15/2036 | 53,981,000 | 52,287,724 | |||||||||
GS Mortgage Securities Corp Trust 2022-ECI B† | 5.789% (1 Mo. Term SOFR + 2.94%) | # | 8/15/2039 | 23,820,000 | 23,569,840 | |||||||||
GS Mortgage Securities Corp Trust 2022-SHIP A† | 3.576% (1 Mo. Term SOFR + 0.73%) | # | 8/15/2036 | 32,000,000 | 31,488,109 | |||||||||
GS Mortgage Securities Corp. II 2021-ARDN C† | 4.868% (1 Mo. LIBOR + 2.05%) | # | 11/15/2036 | 15,930,000 | 15,550,251 | |||||||||
GS Mortgage Securities Corp. II 2021-ARDN D† | 5.568% (1 Mo. LIBOR + 2.75%) | # | 11/15/2036 | 27,860,000 | 27,196,054 | |||||||||
GS Mortgage Securities Corp. Trust 2021-RENT E† | 5.764% (1 Mo. LIBOR + 2.75%) | # | 11/21/2035 | 11,448,383 | 10,702,755 | |||||||||
GS Mortgage Securities Corp. Trust 2021-RENT F† | 6.664% (1 Mo. LIBOR + 3.65%) | # | 11/21/2035 | 8,412,835 | 7,640,368 | |||||||||
GS Mortgage Securities Corp. Trust 2021-RENT G† | 8.714% (1 Mo. LIBOR + 5.70%) | # | 11/21/2035 | 593,847 | 532,296 | |||||||||
GS Mortgage Securities Corp. Trust 2021-RSMZ MZ† | 12.318% (1 Mo. LIBOR + 9.50%) | # | 6/15/2026 | 70,375,000 | 66,310,379 | |||||||||
Hilton Orlando Trust 2018-ORL A† | 3.738% (1 Mo. LIBOR + .92%) | # | 12/15/2034 | 9,443,000 | 9,205,317 | |||||||||
HPLY Trust 2019-HIT A† | 3.818% (1 Mo. LIBOR + 1.00%) | # | 11/15/2036 | 16,125,276 | 15,697,645 | |||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP B† | 3.952% (1 Mo. Term SOFR + 1.11%) | # | 4/15/2037 | 38,200,000 | 35,908,076 | |||||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP5 C | 3.932% | #(o) | 3/15/2050 | 11,612,000 | 9,678,080 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE A† | 3.287% | 1/10/2037 | 10,530,000 | 9,790,186 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2020-ACE B† | 3.64% | 1/10/2037 | 8,690,000 | 7,988,802 |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2021-BOLT D† | 9.518% (1 Mo. LIBOR + 6.70%) | # | 8/15/2033 | $ | 42,015,000 | $ | 40,038,026 | ||||||||
KIND Trust 2021-KIND E† | 6.068% (1 Mo. LIBOR + 3.25%) | # | 8/15/2038 | 23,609,367 | 21,730,664 | ||||||||||
KKR Industrial Portfolio Trust 2021-KDIP D† | 4.068% (1 Mo. LIBOR + 1.25%) | # | 12/15/2037 | 4,597,500 | 4,353,586 | ||||||||||
KKR Industrial Portfolio Trust 2021-KDIP E† | 4.368% (1 Mo. LIBOR + 1.55%) | # | 12/15/2037 | 7,432,500 | 7,002,997 | ||||||||||
KKR Industrial Portfolio Trust 2021-KDIP F† | 4.868% (1 Mo. LIBOR + 2.05%) | # | 12/15/2037 | 8,148,000 | 7,559,377 | ||||||||||
Life Mortgage Trust 2021-BMR E† | 4.568% (1 Mo. LIBOR + 1.75%) | # | 3/15/2038 | 22,510,016 | 21,103,433 | ||||||||||
Life Mortgage Trust 2022-BMR2 A1† | 4.141% (1 Mo. Term SOFR + 1.30%) | # | 5/15/2039 | 29,420,000 | 28,631,979 | ||||||||||
One New York Plaza Trust 2020-1NYP B† | 4.318% (1 Mo. LIBOR + 1.50%) | # | 1/15/2036 | 9,400,000 | 8,891,808 | ||||||||||
One New York Plaza Trust 2020-1NYP C† | 5.018% (1 Mo. LIBOR + 2.20%) | # | 1/15/2036 | 23,620,000 | 22,270,441 | ||||||||||
One New York Plaza Trust 2020-1NYP D† | 5.568% (1 Mo. LIBOR + 2.75%) | # | 1/15/2036 | 8,500,000 | 8,012,292 | ||||||||||
PFP Ltd. 2019-6 C† | 5.039% (1 Mo. LIBOR + 2.10%) | # | 4/14/2037 | 27,054,000 | 27,088,278 | ||||||||||
SLG Office Trust 2021-OVA E† | 2.851% | 7/15/2041 | 39,590,000 | 28,125,944 | |||||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,434,074,182) | 1,345,882,877 | ||||||||||||||
Dividend Rate | Shares | ||||||||||||||
PREFERRED STOCKS 0.07% | |||||||||||||||
Transportation Infrastructure | |||||||||||||||
ACBL Holdings Corp. Series A | Zero Coupon | 150,711 | 3,880,808 | ||||||||||||
ACBL Holdings Corp. Series B | Zero Coupon | 205,069 | 10,304,717 | ||||||||||||
Total Preferred Stocks (cost $8,894,500) | 14,185,525 |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Investments | Exercise Price | Expiration Date | Principal Amount | Fair Value | |||||||||||
RIGHTS 0.00% | |||||||||||||||
Cosmetics/Personal Care | |||||||||||||||
Revlon, Inc. Class A | Zero Coupon | 10/26/2022 | $ | 1,798,428 | $ | 307,891 | (b) | ||||||||
Total Rights (cost $591,988) | 307,891 | ||||||||||||||
Interest Rate | Maturity Date | ||||||||||||||
U.S. TREASURY OBLIGATIONS 3.45% | |||||||||||||||
U.S. Treasury Inflation Indexed Bond(p) | 0.125% | 2/15/2052 | 680,149,425 | 431,082,813 | |||||||||||
U.S. Treasury Inflation Indexed Note(p) | 0.625% | 7/15/2032 | 331,642,130 | 301,183,868 | |||||||||||
Total U.S. Treasury Obligations (cost $972,491,744) | 732,266,681 | ||||||||||||||
Total Long-Term Investments (cost $24,186,038,178) | 21,124,284,308 | ||||||||||||||
SHORT-TERM INVESTMENTS 1.49% | |||||||||||||||
Repurchase Agreements 1.49% | |||||||||||||||
Repurchase Agreement dated 9/30/2022, 1.300% due 10/3/2022 with Fixed Income Clearing Corp. collateralized by $52,350,400 of U.S. Treasury Note at 2.25% due 4/30/2024; $130,528,700 of U.S. Treasury Note at 2.00% due 4/30/2024; value: $178,265,010; proceeds: $174,788,506 (cost $317,532,181) | 317,532,181 | 317,532,181 | |||||||||||||
Total Investments in Securities 100.93% (cost $24,503,570,359) | 21,441,816,489 | ||||||||||||||
Other Assets and Liabilities – Net(q) (0.93)% | (197,550,731 | ) | |||||||||||||
Net Assets 100.00% | $ | 21,244,265,758 |
AUD | Australian Dollar. | |
CAD | Canadian Dollar. | |
EUR | Euro. | |
GBP | British Pound. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
EURIBOR | Euro Interbank Offered Rate. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
REITS | Real Estate Investment Trusts. | |
SOFR | Secured Overnight Financing Rate. |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At September 30, 2022, the total value of Rule 144A securities was $9,631,519,915, which represents 45.34% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at September 30, 2022. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis. |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
(b) | 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. | |
(c) | Variable Rate is Fixed to Float: Rate remains fixed or at Zero Coupon until designated future date. | |
(d) | Investment in non-U.S. dollar denominated securities. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security fair valued by the Pricing Committee. | |
(g) | Security is perpetual in nature and has no stated maturity. | |
(h) | Defaulted (non-income producing security). | |
(i) | Security has been fully or partially segregated for open reverse repurchase agreements. | |
(j) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at September 30, 2022. | |
(k) | 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. | |
(l) | 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. | |
(m) | Interest rate to be determined. | |
(n) | 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. | |
(o) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(p) | 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. | |
(q) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection at September 30, 2022(1):
Referenced Indexes | Central Clearing Party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Value | Unrealized Depreciation(3) | |||||||||||||||||
Markit CDX. NA.HY.39(4)(5) | Bank of America | 5.00% | 12/20/2027 | $1,270,767,000 | $60,948,406 | $52,151,426 | $(8,796,980 | ) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive 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 $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $8,796,980. | |
(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. |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Centrally Cleared Consumer Price Index (“CPI”) Swaps at September 30, 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 | 2.658% | CPI Urban Consumer NSA | 2/14/2032 | $ | 551,700,000 | $ | 8,164,961 | |||||||||
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 Depreciation | |||||||||||
Bank of America | 2.748% | CPI Urban Consumer NSA | 4/20/2052 | $ | 128,000,000 | $ | (13,874,998 | ) | ||||||||
Bank of America | 2.665% | CPI Urban Consumer NSA | 5/12/2052 | 97,080,000 | (8,729,321 | ) | ||||||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | 60,151,898 | (2,826,890 | ) | ||||||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | 29,848,102 | (1,545,738 | )(1) | ||||||||||
Total Unrealized Depreciation on Centrally Cleared CPI Swaps | $ | (26,976,947 | ) |
(1) | Includes upfront payment of $143,001. |
Credit Default Swaps on Issuers - Buy Protection at September 30, 2022(1):
Referenced Issuers | Swap Counterparty | Fund Pays (Quarterly) | Termination Date | Notional Amount | Payments Upfront(2) | Unrealized Appreciation/ Depreciation(3) | Credit Default Swap Agreements Receivable at Fair Value(4) | |||||||||||||||||
Credit Suisse Group AG | J.P. Morgan | 1.000% | 12/20/2027 | 14,282,129 | $ | 989,799 | $ | (58,361 | ) | $ | 931,438 | |||||||||||||
Credit Suisse Group AG | J.P. Morgan | 1.000% | 12/20/2027 | 47,607,097 | 2,667,365 | 437,428 | 3,104,793 | |||||||||||||||||
Credit Suisse Group AG | J.P. Morgan | 1.000% | 12/20/2027 | 19,042,839 | 1,100,587 | 141,330 | 1,241,917 | |||||||||||||||||
$ | 4,757,751 | $ | 520,397 | $ | 5,278,148 |
Credit Default Swaps on Indexes - Sell Protection at September 30, 2022(1):
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 | $ | (111,857 | ) | $ | (116,686 | ) | $ | (228,543 | ) | |||||||||||
Markit CMBX.NA.AA.8 | Citibank | 1.500% | 10/17/2057 | 18,980,000 | 93,087 | (186,410 | ) | (93,323 | ) | |||||||||||||||
$ | (18,770 | ) | $ | (303,096 | ) | $ | (321,866 | ) |
* | 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 buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
(2) | Upfront payments paid (received) are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes/Issuers amounted to $578,758. Total unrealized depreciation on Credit Default Swaps on Indexes/Issuers amounted to $361,457. | |
(4) | Includes upfront payments paid (received). |
Forward Foreign Currency Exchange Contracts at September 30, 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 | ||||||||||||||||
Euro | Buy | Morgan Stanley | 12/12/2022 | 1,734,000 | $ | 1,672,511 | $ | 1,708,059 | $ | 35,548 | |||||||||||||
Australian dollar | Sell | State Street Bank and Trust | 11/25/2022 | 4,260,000 | 2,975,377 | 2,726,816 | 248,561 | ||||||||||||||||
Australian dollar | Sell | Toronto Dominion Bank | 11/25/2022 | 4,195,000 | 2,898,876 | 2,685,209 | 213,667 | ||||||||||||||||
Australian dollar | Sell | Toronto Dominion Bank | 11/25/2022 | 62,563,000 | 43,232,985 | 40,046,425 | 3,186,560 | ||||||||||||||||
British pound | Sell | Morgan Stanley | 12/8/2022 | 3,893,000 | 4,518,016 | 4,350,438 | 167,578 | ||||||||||||||||
British pound | Sell | Morgan Stanley | 12/8/2022 | 72,640,000 | 83,766,269 | 81,175,403 | 2,590,866 | ||||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/8/2022 | 2,629,000 | 3,075,508 | 2,937,915 | 137,593 | ||||||||||||||||
Canadian dollar | Sell | Bank of America | 10/20/2022 | 10,490,000 | 8,069,331 | 7,593,702 | 475,629 | ||||||||||||||||
Canadian dollar | Sell | Bank of America | 10/20/2022 | 42,753,000 | 31,150,635 | 30,948,861 | 201,774 | ||||||||||||||||
Canadian dollar | Sell | Morgan Stanley | 10/20/2022 | 12,835,000 | 9,829,899 | 9,291,246 | 538,653 | ||||||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 10/20/2022 | 9,067,000 | 6,998,216 | 6,563,594 | 434,622 | ||||||||||||||||
Euro | Sell | State Street Bank and Trust | 12/12/2022 | 137,685,000 | 138,462,920 | 135,625,223 | 2,837,697 | ||||||||||||||||
Euro | Sell | State Street Bank and Trust | 12/12/2022 | 2,220,000 | 2,226,510 | 2,186,789 | 39,721 | ||||||||||||||||
Japanese yen | Sell | Morgan Stanley | 11/15/2022 | 4,140,518,000 | 28,848,266 | 28,725,924 | 122,342 | ||||||||||||||||
Japanese yen | Sell | Standard Chartered Bank | 11/15/2022 | 5,771,096,000 | 40,549,839 | 40,038,484 | 511,355 | ||||||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 11,742,166 | |||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||||||||
British pound | Buy | Morgan Stanley | 12/8/2022 | 15,546,000 | $ | 17,618,498 | $ | 17,372,698 | $ | (245,800 | ) | ||||||||||||
Euro | Buy | Bank of America | 12/12/2022 | 6,112,000 | 6,069,613 | 6,020,564 | (49,049 | ) | |||||||||||||||
Euro | Buy | Morgan Stanley | 12/12/2022 | 1,281,000 | 1,284,831 | 1,261,836 | (22,995 | ) | |||||||||||||||
Euro | Buy | Morgan Stanley | 12/12/2022 | 2,791,000 | 2,750,718 | 2,749,246 | (1,472 | ) | |||||||||||||||
Euro | Buy | Morgan Stanley | 12/12/2022 | 2,791,000 | 2,750,162 | 2,749,246 | (916 | ) | |||||||||||||||
Euro | Buy | State Street Bank and Trust | 12/12/2022 | 4,484,000 | 4,515,119 | 4,416,919 | (98,200 | ) | |||||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (418,432 | ) |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2022
Futures Contracts at September 30, 2022:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
U.S. 10-Year Treasury Note | December 2022 | 35,764 | Short | $ | (4,193,577,853 | ) | $ | (4,007,803,250 | ) | $ | 185,774,603 | |||||||||
U.S. 10-Year Ultra Treasury Note | December 2022 | 10,466 | Short | (1,283,385,392 | ) | (1,240,057,469 | ) | 43,327,923 | ||||||||||||
U.S. Long Bond | December 2022 | 19,515 | Short | (2,670,992,002 | ) | (2,466,817,969 | ) | 204,174,033 | ||||||||||||
U.S. Ultra Treasury Bond | December 2022 | 9,354 | Short | (1,389,982,206 | ) | (1,281,498,000 | ) | 108,484,206 | ||||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 541,760,765 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
Euro-Bund | December 2022 | 3,539 | Long | EUR | 500,793,011 | EUR | 490,116,110 | $ | (10,463,898 | ) | ||||||||||
Euro-Schatz | December 2022 | 23,464 | Short | (2,509,539,654 | ) | (2,514,519,560 | ) | (4,880,557 | ) | |||||||||||
U.S. 2-Year Treasury Note | December 2022 | 13,395 | Long | $ | 2,764,196,727 | $ | 2,751,207,435 | (12,989,292 | ) | |||||||||||
U.S. 5-Year Treasury Note | December 2022 | 8,366 | Long | 931,233,248 | 899,410,364 | (31,822,884 | ) | |||||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (60,156,631 | ) |
Reverse Repurchase Agreement Payable as of September 30, 2022:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date(2) | Fair Value(3) | ||||||||||
Barclays Bank plc | $15,420,409 | $16,232,615 principal, Laredo Petroleum, Inc. at 7.75% due 7/31/2029, $14,988,629 fair value | (15.00%) | 08/30/2022 | On Demand | $15,221,229 |
(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 $199,180. |
See Notes to Schedule of Investments. | 39 |
Schedule of Investments (unaudited)(continued)
September 30, 2022
The following is a summary of the inputs used as of September 30, 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 | ||||||||||||||||
Other | $ | – | $ | 1,107,334,630 | $ | 23,817,850 | $ | 1,131,152,480 | ||||||||
Remaining Industries | – | 161,964,086 | – | 161,964,086 | ||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | – | 11,837,611 | – | 11,837,611 | ||||||||||||
Beverages | 31,062,960 | 20,447,706 | – | 51,510,666 | ||||||||||||
Electrical Equipment | – | 31,193,600 | – | 31,193,600 | ||||||||||||
Electric-Generation | – | 3,150 | – | 3,150 | ||||||||||||
Miscellaneous Financials | – | 7,798,040 | – | 7,798,040 | ||||||||||||
Personal Products | – | 12,650,034 | – | 12,650,034 | ||||||||||||
Pharmaceuticals | 32,360,671 | 31,950,757 | – | 64,311,428 | ||||||||||||
Specialty Retail | 21,629,151 | 6,444,859 | – | 28,074,010 | ||||||||||||
Transportation Infrastructure | – | – | 1,807,104 | 1,807,104 | ||||||||||||
Remaining Industries | 680,931,508 | – | – | 680,931,508 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Banks | – | 416,899,196 | 1 | 416,899,197 | ||||||||||||
Diversified Financial Services | – | 462,470,043 | 1,500 | 462,471,543 | ||||||||||||
Mining | – | 274,697,127 | 19 | 274,697,146 | ||||||||||||
Savings & Loans | – | – | 2,250 | 2,250 | ||||||||||||
Remaining Industries | – | 12,661,667,465 | – | 12,661,667,465 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Electric: Generation | – | 60,021,545 | 1,967,620 | 61,989,165 | ||||||||||||
Personal & Household Products | – | 117 | 101,912 | 102,029 | ||||||||||||
Remaining Industries | – | 405,037,917 | – | 405,037,917 | ||||||||||||
Foreign Government Obligations | – | 417,299,141 | – | 417,299,141 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,534,325,283 | – | 1,534,325,283 | ||||||||||||
Municipal Bonds | ||||||||||||||||
Tax Revenue | – | 60,364,556 | 14,264,333 | 74,628,889 | ||||||||||||
Remaining Industries | – | 539,287,592 | – | 539,287,592 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 1,266,390,893 | 79,491,984 | 1,345,882,877 | ||||||||||||
Preferred Stocks | – | 14,185,525 | – | 14,185,525 | ||||||||||||
Rights | – | – | 307,891 | 307,891 | ||||||||||||
U.S. Treasury Obligations | – | 732,266,681 | – | 732,266,681 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 317,532,181 | – | 317,532,181 | ||||||||||||
Total | $ | 765,984,290 | $ | 20,554,069,735 | $ | 121,762,464 | $ | 21,441,816,489 |
40 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
September 30, 2022
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (8,796,980 | ) | – | (8,796,980 | ) | ||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | – | 8,164,961 | – | 8,164,961 | ||||||||||||
Liabilities | – | (26,976,947 | ) | – | (26,976,947 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 5,278,148 | – | 5,278,148 | ||||||||||||
Liabilities | – | (321,866 | ) | – | (321,866 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 11,742,166 | – | 11,742,166 | ||||||||||||
Liabilities | – | (418,432 | ) | – | (418,432 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 541,760,765 | – | – | 541,760,765 | ||||||||||||
Liabilities | (60,156,631 | ) | – | – | (60,156,631 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (15,221,229 | ) | – | (15,221,229 | ) | ||||||||||
Total | $ | 481,604,134 | $ | (26,550,179 | ) | – | $ | 455,053,955 |
(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 ending of the period.
See Notes to Schedule of Investments. | 41 |
Notes to Schedule of Investments (unaudited)
1. | ORGANIZATION |
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was incorporated under Maryland law on January 23, 1976.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the Fund’s Board of Directors (“the Board”), the Board has designated the determination of fair value of the Fund’s portfolio investments to Lord, Abbett & Co. LLC (“Lord Abbett”), as valuation designee. Accordingly, Lord Abbett is responsible for, among other things, assessing and managing valuation risks, establishing, applying and testing fair value methodologies, and evaluating pricing services. Lord Abbett has formed a Pricing Committee that performs these responsibilities on behalf of Lord Abbett, administers the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow Lord Abbett, subject to Board oversight 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 ask prices. 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 ask prices is used. 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. 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 observable inputs such as 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 periodically reviews reports that may include fair value determinations made by the Pricing Committee, related market activity, inputs and assumptions, and retrospective comparison of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
42
Notes to Schedule of Investments (unaudited)(continued)
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of September 30, 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.
43
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 the borrower 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 Fund 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 continues to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
As of September 30, 2022 the Fund did not loan any securities.
44
QPHR-BOND-3Q
(11/22)