Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Bond-Debenture Fund
For the period ended March 31, 2023
Schedule of Investments (unaudited)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 108.22% | ||||||||||||
ASSET-BACKED SECURITIES 6.41% | ||||||||||||
Automobiles 1.62% | ||||||||||||
CarMax Auto Owner Trust 2023-1 A4 | 4.65% | 1/16/2029 | $ | 16,045,000 | $ | 16,077,372 | ||||||
CarMax Auto Owner Trust 2023-1 B | 4.98% | 1/16/2029 | 14,130,000 | 14,089,584 | ||||||||
Carvana Auto Receivables Trust NP1 2020-N1A E† | 5.20% | 7/15/2027 | 5,750,000 | 5,381,209 | ||||||||
Flagship Credit Auto Trust 2023-1 A2† | 5.38% | 12/15/2026 | 41,800,000 | 41,696,929 | ||||||||
Flagship Credit Auto Trust 2023-1 B† | 5.05% | 1/18/2028 | 8,575,000 | 8,494,957 | ||||||||
Flagship Credit Auto Trust 2023-1 C† | 5.43% | 5/15/2029 | 8,100,000 | 8,063,678 | ||||||||
Ford Credit Auto Lease Trust 2023-A B | 5.29% | 6/15/2026 | 22,610,000 | 22,589,043 | ||||||||
Ford Credit Auto Lease Trust 2023-A C | 5.54% | 12/15/2026 | 26,790,000 | 26,505,584 | ||||||||
Mercedes-Benz Auto Receivables Trust 2022-1 A3 | 5.21% | 8/16/2027 | 73,845,000 | 74,642,253 | ||||||||
Santander Drive Auto Receivables Trust 2022-3 B | 4.13% | 8/16/2027 | 23,172,000 | 22,722,732 | ||||||||
Santander Drive Auto Receivables Trust 2023-1 B | 4.98% | 2/15/2028 | 27,480,000 | 27,314,062 | ||||||||
Santander Drive Auto Receivables Trust 2023-1 C | 5.09% | 5/15/2030 | 33,530,000 | 33,177,717 | ||||||||
Westlake Automobile Receivables Trust 2021-1A F† | 3.91% | 9/15/2027 | 58,047,000 | 53,113,098 | ||||||||
Total | 353,868,218 | |||||||||||
Credit Card 1.05% | ||||||||||||
American Express Credit Account Master Trust 2021-1 A | 0.90% | 11/15/2026 | 71,818,000 | 67,539,306 | ||||||||
American Express Credit Account Master Trust 2022-2 A | 3.39% | 5/15/2027 | 31,334,000 | 30,621,349 | ||||||||
American Express Credit Account Master Trust 2022-3 A | 3.75% | 8/15/2027 | 23,589,000 | 23,187,716 | ||||||||
BA Credit Card Trust 2022-A2 A2 | 5.00% | 4/15/2028 | 43,325,000 | 43,884,633 | ||||||||
Capital One Multi-Asset Execution Trust 2022-A2 A | 3.49% | 5/15/2027 | 17,010,000 | 16,621,672 | ||||||||
Genesis Sales Finance Master Trust 2021-AA A† | 1.20% | 12/21/2026 | 24,892,000 | 23,551,021 | ||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 25,901,320 | 25,436,028 | ||||||||
Total | 230,841,725 | |||||||||||
Other 3.74% | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2022-FL2 A† | 6.677% (1 Mo. Term SOFR + 1.85%) | # | 5/15/2037 | 28,620,000 | 28,154,925 | |||||||
Avant Loans Funding Trust 2021-REV1 A† | 1.21% | 7/15/2030 | 26,220,000 | 25,463,338 | ||||||||
Bain Capital Credit CLO Ltd. 2017-1A A1R† | 5.778% (3 Mo. LIBOR + .97%) | # | 7/20/2030 | 15,179,668 | 15,035,294 |
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
Ballyrock CLO Ltd. 2019-1A A1R† | 5.822% (3 Mo. LIBOR + 1.03%) | # | 7/15/2032 | $ | 9,300,000 | $ | 9,094,711 | |||||
Benefit Street Partners CLO XIX Ltd. 2019-19A B† | 6.792% (3 Mo. LIBOR + 2.00%) | # | 1/15/2033 | 7,671,867 | 7,464,908 | |||||||
Dryden 30 Senior Loan Fund 2013-30A AR† | 5.684% (3 Mo. LIBOR + .82%) | # | 11/15/2028 | 10,165,690 | 10,075,357 | |||||||
Elmwood CLO 19 Ltd. 2022-6A A† | 5.818% (3 Mo. Term SOFR + 2.20%) | # | 10/17/2034 | 15,615,000 | 15,620,523 | |||||||
Elmwood CLO Ltd. 2022-8A A1† | 6.816% (3 Mo. Term SOFR + 2.25%) | # | 11/20/2035 | 41,650,000 | 41,677,020 | |||||||
Elmwood CLO Ltd. 2023-2A A†(a) | 6.857% (3 Mo. Term SOFR + 1.80%) | # | 4/16/2036 | 60,000,000 | 60,000,000 | |||||||
Elmwood CLO Ltd. 2023-2A B†(a) | 7.307% (3 Mo. Term SOFR + 2.25%) | # | 4/16/2036 | 16,250,000 | 16,250,000 | |||||||
Flatiron CLO 18 Ltd. 2018-1A A† | 5.869% (3 Mo. Term SOFR + 1.21%) | # | 4/17/2031 | 41,155,000 | 40,648,974 | |||||||
Greywolf CLO III Ltd. 2020-3RA A1R† | 6.204% (3 Mo. Term SOFR + 1.55%) | # | 4/15/2033 | 19,851,397 | 19,618,239 | |||||||
Greywolf CLO VII Ltd. 2018-2A A1† | 6.079% (3 Mo. Term SOFR + 1.44%) | # | 10/20/2031 | 10,000,000 | 9,917,534 | |||||||
Halcyon Loan Advisors Funding Ltd. 2017-2A A2† | 6.492% (3 Mo. LIBOR + 1.70%) | # | 1/17/2030 | 9,070,145 | 8,934,903 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 18,261,428 | 17,396,892 | ||||||||
Madison Park Funding XIII Ltd. 2014-13A AR2† | 5.748% (3 Mo. LIBOR + .95%) | # | 4/19/2030 | 13,448,857 | 13,383,037 | |||||||
Marble Point CLO XVII Ltd. 2020-1A A† | 6.108% (3 Mo. LIBOR + 1.30%) | # | 4/20/2033 | 19,165,475 | 18,828,517 | |||||||
Marble Point CLO XVII Ltd. 2020-1A B† | 6.578% (3 Mo. LIBOR + 1.77%) | # | 4/20/2033 | 9,348,354 | 8,985,161 | |||||||
MF1 LLC 2022-FL9 A† | 6.906% (1 Mo. Term SOFR + 2.15%) | # | 6/19/2037 | 53,135,000 | 52,670,069 | |||||||
Oaktree CLO Ltd. 2019-4 BR† | 6.508% (3 Mo. LIBOR + 1.70%) | # | 10/20/2032 | 29,540,000 | 28,489,063 | |||||||
OCP CLO Ltd. 2016-12A AR2† | 5.902% (3 Mo. Term SOFR + 1.27%) | # | 4/18/2033 | 41,245,000 | 40,463,268 | |||||||
OCP CLO Ltd. 2017-14A A2† | 6.415% (3 Mo. LIBOR + 1.50%) | # | 11/20/2030 | 19,000,000 | 18,554,651 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
OCP CLO Ltd. 2021-22A B1† | 6.508% (3 Mo. LIBOR + 1.70%) | # | 12/2/2034 | $ | 37,820,000 | $ | 36,539,841 | |||||
Octane Receivables Trust 2022-2A A† | 5.11% | 2/22/2028 | 13,899,822 | 13,791,349 | ||||||||
OneMain Financial Issuance Trust 2020-2A A† | 1.75% | 9/14/2035 | 25,790,000 | 23,183,144 | ||||||||
Palmer Square CLO Ltd. 2022-5A A† | 6.091% (3 Mo. Term SOFR + 2.00%) | # | 10/20/2035 | 5,000,000 | 4,993,800 | |||||||
PFS Financing Corp. 2022-C A† | 3.89% | 5/15/2027 | 45,512,000 | 44,504,064 | ||||||||
Rad CLO Ltd. 2020-7A A1† | 5.992% (3 Mo. LIBOR + 1.20%) | # | 4/17/2033 | 7,609,203 | 7,500,592 | |||||||
Regatta XVIII Funding Ltd. 2021-1A B† | 6.242% (3 Mo. LIBOR + 1.45%) | # | 1/15/2034 | 18,690,000 | 17,783,687 | |||||||
SEB Funding LLC 2021-1A A2† | 4.969% | 1/30/2052 | 38,369,835 | 33,704,309 | ||||||||
Signal Peak CLO Ltd. 2021-10A B† | 6.566% (3 Mo. LIBOR + 1.75%) | # | 1/24/2035 | 9,570,000 | 9,160,865 | |||||||
Sunrun Demeter Issuer 2021-2A A† | 2.27% | 1/30/2057 | 27,551,131 | 22,114,488 | ||||||||
Texas Debt Capital CLO Ltd. 2023-1A A†(a) | 6.622% (3 Mo. Term SOFR + 1.80%) | # | 4/20/2036 | 36,810,000 | 36,611,373 | |||||||
Voya CLO Ltd. 2014-1 AAR2† | 5.884% (3 Mo. Term SOFR + 1.25%) | # | 4/18/2031 | 48,214,324 | 47,841,556 | |||||||
Voya CLO Ltd. 2022-3A A1† | 6.012% (3 Mo. Term SOFR + 2.00%)# | 10/20/2034 | 14,100,000 | 14,085,900 | ||||||||
Total | 818,541,352 | |||||||||||
Total Asset-Backed Securities (cost $1,427,697,961) | 1,403,251,295 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 5.41% | ||||||||||||
Automobile Components 0.14% | ||||||||||||
Chassix Holdings, Inc. | 607,057 | 6,677,627 | ||||||||||
Mobileye Global, Inc. Class A (Israel)*(b)(c) | 552,755 | 23,917,709 | ||||||||||
Total | 30,595,336 | |||||||||||
Automobiles 0.21% | ||||||||||||
Ferrari NV (Italy)(b) | 168,892 | 45,759,599 | ||||||||||
Beverages 0.21% | ||||||||||||
Carlsberg A/S Class B(d) | 151,267 | 23,471,628 | ||||||||||
Pernod Ricard SA(d) | 102,075 | 23,112,931 | ||||||||||
Total | 46,584,559 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Shares | Fair Value | ||||||
Building Products 0.10% | ||||||||
A O Smith Corp. | 331,863 | $ | 22,948,327 | |||||
Capital Markets 0.31% | ||||||||
Cboe Global Markets, Inc. | 170,151 | 22,841,070 | ||||||
CME Group, Inc. | 118,028 | 22,604,723 | ||||||
Tradeweb Markets, Inc. Class A | 283,490 | 22,401,380 | ||||||
Total | 67,847,173 | |||||||
Chemicals 0.11% | ||||||||
Linde plc | 66,152 | 23,513,067 | ||||||
Communications Equipment 0.10% | ||||||||
Arista Networks, Inc.* | 132,295 | 22,207,039 | ||||||
Electrical Equipment 0.21% | ||||||||
nVent Electric plc (United Kingdom)(b) | 512,551 | 22,008,940 | ||||||
Rockwell Automation, Inc. | 78,529 | 23,044,335 | ||||||
Total | 45,053,275 | |||||||
Electric-Generation 0.00% | ||||||||
Frontera Generation Holdings LLC | 125,994 | 1,890 | ||||||
Electronic Equipment, Instruments & Components 0.21% | ||||||||
IPG Photonics Corp.* | 189,115 | 23,319,770 | ||||||
Littelfuse, Inc. | 86,374 | 23,156,006 | ||||||
Total | 46,475,776 | |||||||
Entertainment 0.21% | ||||||||
Netflix, Inc.* | 70,873 | 24,485,204 | ||||||
ROBLOX Corp. Class A* | 496,131 | 22,315,972 | ||||||
Total | 46,801,176 | |||||||
Food Products 0.46% | ||||||||
Campbell Soup Co. | 609,548 | 33,512,949 | ||||||
Hershey Co. (The) | 180,542 | 45,931,690 | ||||||
Lamb Weston Holdings, Inc. | 213,558 | 22,321,082 | ||||||
Total | 101,765,721 | |||||||
Health Care Equipment & Supplies 0.11% | ||||||||
Align Technology, Inc.* | 69,928 | 23,365,742 |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Shares | Fair Value | ||||||
Hotels, Restaurants & Leisure 0.76% | ||||||||
Airbnb, Inc. Class A* | 184,277 | $ | 22,924,059 | |||||
Booking Holdings, Inc.* | 8,982 | 23,823,946 | ||||||
Churchill Downs, Inc. | 88,468 | 22,740,699 | ||||||
Genting Singapore Ltd.(d) | 34,249,138 | 28,906,473 | ||||||
Hyatt Hotels Corp. Class A* | 214,720 | 24,003,549 | ||||||
Texas Roadhouse, Inc. | 203,163 | 21,953,794 | ||||||
Wynn Resorts Ltd.* | 204,391 | 22,873,397 | ||||||
Total | 167,225,917 | |||||||
Household Products 0.16% | ||||||||
Clorox Co. (The) | 216,428 | 34,247,567 | ||||||
Information Technology Services 0.11% | ||||||||
Wix.com Ltd. (Israel)*(b) | 236,241 | 23,576,852 | ||||||
Insurance 0.11% | ||||||||
Progressive Corp. (The) | 168,769 | 24,144,093 | ||||||
Interactive Media & Services 0.10% | ||||||||
Pinterest, Inc. Class A* | 826,883 | 22,549,099 | ||||||
Machinery 0.42% | ||||||||
Parker-Hannifin Corp. | 69,027 | 23,200,665 | ||||||
Pentair plc (United Kingdom)(b) | 440,805 | 24,363,292 | ||||||
Snap-on, Inc. | 93,307 | 23,036,565 | ||||||
Toro Co. (The) | 199,472 | 22,173,308 | ||||||
Total | 92,773,830 | |||||||
Metals & Mining 0.10% | ||||||||
Nucor Corp. | 142,786 | 22,056,153 | ||||||
Miscellaneous Financials 0.03% | ||||||||
UTEX Industries, Inc. | 113,840 | 7,418,611 | ||||||
Personal Care Products 0.06% | ||||||||
Gibson Brands Private Equity | 106,902 | 12,560,985 | ||||||
Semiconductors & Semiconductor Equipment 0.35% | ||||||||
Lam Research Corp. | 44,415 | 23,545,280 | ||||||
Lattice Semiconductor Corp.* | 362,963 | 34,662,966 | ||||||
Universal Display Corp. | 116,543 | 18,079,316 | ||||||
Total | 76,287,562 |
See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Shares | Fair Value | ||||||||||
Software 0.26% | ||||||||||||
ANSYS, Inc.* | 70,876 | $ | 23,587,533 | |||||||||
Ceridian HCM Holding, Inc.* | 138,201 | 10,119,077 | ||||||||||
Fortinet, Inc.* | 340,187 | 22,608,828 | ||||||||||
Total | 56,315,438 | |||||||||||
Specialty Retail 0.14% | ||||||||||||
Claires Holdings LLC | 15,164 | 7,519,004 | (e) | |||||||||
Dick’s Sporting Goods, Inc. | 157,539 | 22,353,209 | ||||||||||
Total | 29,872,213 | |||||||||||
Textiles, Apparel & Luxury Goods 0.42% | ||||||||||||
Cie Financiere Richemont SA Class A(d) | 212,988 | 34,153,914 | ||||||||||
Hermes International(d) | 11,181 | 22,644,384 | ||||||||||
Moncler SpA(d) | 499,936 | 34,531,316 | ||||||||||
Total | 91,329,614 | |||||||||||
Transportation Infrastructure 0.01% | ||||||||||||
ACBL Holdings Corp. | 44,897 | 1,324,462 | ||||||||||
Total Common Stocks (cost $1,135,883,019) | 1,184,601,076 | |||||||||||
Interest Rate | Maturity Date | Principal Amount | ||||||||||
CORPORATE BONDS 70.53% | ||||||||||||
Aerospace/Defense 1.72% | ||||||||||||
Boeing Co. (The) | 5.805% | 5/1/2050 | $ | 34,758,000 | 35,037,987 | |||||||
Bombardier, Inc. (Canada)†(b) | 6.00% | 2/15/2028 | 20,954,000 | 20,430,150 | ||||||||
Bombardier, Inc. (Canada)†(b) | 7.125% | 6/15/2026 | 26,090,000 | 26,207,405 | ||||||||
Bombardier, Inc. (Canada)†(b) | 7.50% | 2/1/2029 | 34,016,000 | 34,781,360 | ||||||||
Raytheon Technologies Corp. | 4.125% | 11/16/2028 | 23,454,000 | 23,140,100 | ||||||||
Raytheon Technologies Corp. | 5.15% | 2/27/2033 | 36,028,000 | 37,515,219 | ||||||||
Rolls-Royce plc (United Kingdom)†(b) | 3.625% | 10/14/2025 | 8,873,000 | 8,451,533 | ||||||||
Rolls-Royce plc (United Kingdom)†(b) | 5.75% | 10/15/2027 | 3,200,000 | 3,190,768 | ||||||||
Spirit AeroSystems, Inc. | 4.60% | 6/15/2028 | 4,514,000 | 3,830,896 | ||||||||
Spirit AeroSystems, Inc.† | 9.375% | 11/30/2029 | 15,728,000 | 17,182,840 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 51,742,000 | 46,052,450 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 89,332,000 | 84,329,664 | ||||||||
Triumph Group, Inc.† | 9.00% | 3/15/2028 | 37,365,000 | 37,450,940 | ||||||||
Total | 377,601,312 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Agriculture 0.96% | ||||||||||||
BAT Capital Corp. | 7.75% | 10/19/2032 | $ | 20,427,000 | $ | 22,650,181 | ||||||
Cargill, Inc.† | 4.875% | 10/10/2025 | 26,892,000 | 27,127,159 | ||||||||
Darling Ingredients, Inc.† | 6.00% | 6/15/2030 | 21,166,000 | 21,113,085 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(b) | 6.125% | 7/27/2027 | 24,430,000 | 25,089,981 | ||||||||
JT International Financial Services BV (Netherlands)†(b) | 6.875% | 10/24/2032 | 30,475,000 | 33,670,137 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 2.00% | 4/21/2026 | 39,341,000 | 35,062,748 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 3.20% | 4/21/2031 | 27,334,000 | 21,637,568 | ||||||||
Viterra Finance BV (Netherlands)†(b) | 5.25% | 4/21/2032 | 27,102,000 | 24,579,350 | ||||||||
Total | 210,930,209 | |||||||||||
Airlines 2.18% | ||||||||||||
Air Canada (Canada)†(b) | 3.875% | 8/15/2026 | 30,341,000 | 27,581,835 | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust† | 4.80% | 2/15/2029 | 27,972,179 | 27,195,012 | ||||||||
American Airlines 2016-3 Class AA Pass Through Trust | 3.00% | 4/15/2030 | 12,688,209 | 11,245,477 | ||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 16,554,000 | 16,114,740 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 122,306,103 | 117,450,661 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 47,084,000 | 37,459,215 | ||||||||
British Airways 2020-1 Class A Pass Through Trust A (United Kingdom)†(b) | 4.25% | 5/15/2034 | 10,173,887 | 9,532,843 | ||||||||
British Airways Pass Through Trust 2019-1A (United Kingdom)†(b) | 3.30% | 6/15/2034 | 13,626,246 | 11,799,594 | ||||||||
Delta Air Lines, Inc.† | 7.00% | 5/1/2025 | 34,304,000 | 35,193,209 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 34,083,000 | 32,918,998 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | 48,588,300 | 46,189,010 | ||||||||
JetBlue 2019-1 Class A Pass Through Trust | 2.95% | 11/15/2029 | 11,550,787 | 10,000,320 | ||||||||
JetBlue 2019-1 Class B Pass Through Trust | 8.00% | 11/15/2027 | 7,448,998 | 7,461,038 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 22,088,200 | 22,038,833 | ||||||||
United Airlines 2020-1 Class A Pass Through Trust | 5.875% | 4/15/2029 | 42,483,245 | 42,411,758 | ||||||||
United Airlines, Inc.† | 4.625% | 4/15/2029 | 24,271,000 | 21,985,191 | ||||||||
Total | 476,577,734 | |||||||||||
Apparel 0.14% | ||||||||||||
Levi Strauss & Co.† | 3.50% | 3/1/2031 | 37,067,000 | 31,640,206 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Auto Manufacturers 1.46% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | $ | 32,283,000 | $ | 27,578,237 | ||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(b) | 10.50% | 11/30/2025 | 22,950,000 | 22,613,960 | ||||||||
BMW US Capital LLC† | 4.15% | 4/9/2030 | 31,057,000 | 30,388,094 | ||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | 79,613,000 | 62,684,617 | ||||||||
Ford Motor Co. | 6.10% | 8/19/2032 | 42,297,000 | 41,047,591 | ||||||||
Ford Motor Credit Co. LLC | 2.90% | 2/10/2029 | 32,447,000 | 26,904,910 | ||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 59,240,000 | 50,419,586 | ||||||||
Ford Motor Credit Co. LLC | 7.35% | 11/4/2027 | 21,231,000 | 21,921,220 | ||||||||
Mercedes-Benz Finance North America LLC† | 4.80% | 3/30/2028 | 35,861,000 | 35,999,120 | ||||||||
Total | 319,557,335 | |||||||||||
Auto Parts & Equipment 0.04% | ||||||||||||
Adient Global Holdings Ltd.† | 7.00% | 4/15/2028 | 9,028,000 | 9,288,729 | ||||||||
Banks 4.58% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 3.324% (5 Yr. Treasury CMT + 1.90%) | # | 3/13/2037 | 25,600,000 | 19,667,161 | |||||||
Alfa Bank AO Via Alfa Bond Issuance PLC (Ireland)(b) | 5.50% (5 Yr. Treasury CMT + 4.55%) | 10/26/2031 | 51,057,000 | – | (f)(g) | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 6.742% | 12/8/2032 | 49,324,000 | 51,741,230 | ||||||||
Bank Leumi Le-Israel BM (Israel)†(b) | 7.129% (5 Yr. Treasury CMT + 3.47%) | # | 7/18/2033 | 21,548,000 | 20,966,204 | |||||||
Bank of America Corp. | 3.384% (SOFR + 1.33%) | # | 4/2/2026 | 35,923,000 | 34,467,280 | |||||||
Bank of Ireland Group plc (Ireland)†(b) | 2.029% (1 Yr. Treasury CMT + 1.10%) | # | 9/30/2027 | 26,584,000 | 23,031,091 | |||||||
Bank of Ireland Group plc (Ireland)†(b) | 6.253% (1 Yr. Treasury CMT + 2.65%) | # | 9/16/2026 | 33,190,000 | 33,024,594 | |||||||
Bank OZK | 2.75% (3 Mo. Term SOFR + 2.09%) | # | 10/1/2031 | 41,313,000 | 33,757,412 | |||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,108,000 | 21,629,245 | ||||||||
BNP Paribas SA (France)†(b) | 5.125% (1 Yr. Treasury CMT + 1.45%) | # | 1/13/2029 | 44,524,000 | 44,650,585 | |||||||
CaixaBank SA (Spain)†(b) | 6.208% (SOFR + 2.70%) | # | 1/18/2029 | 54,842,000 | 55,227,766 | |||||||
Credit Suisse Group AG (Switzerland)†(b) | 3.869% (3 Mo. LIBOR + 1.41%) | # | 1/12/2029 | 75,530,000 | 67,433,372 |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Danske Bank A/S (Denmark)†(b) | 4.298% (1 Yr. Treasury CMT + 1.75%) | # | 4/1/2028 | $ | 22,215,000 | $ | 20,991,988 | |||||
Danske Bank A/S (Denmark)†(b) | 6.466% (1 Yr. Treasury CMT + 2.10%) | # | 1/9/2026 | 28,192,000 | 28,237,278 | |||||||
Deutsche Bank AG | 6.72% (SOFR + 3.18%) | # | 1/18/2029 | 42,171,000 | 41,910,236 | |||||||
Deutsche Bank AG | 7.079% (SOFR + 3.65%) | # | 2/10/2034 | 54,127,000 | 50,244,267 | |||||||
First Republic Bank | 4.375% | 8/1/2046 | 20,817,000 | 11,319,244 | ||||||||
First Republic Bank | 4.625% | 2/13/2047 | 15,410,000 | 8,494,762 | ||||||||
First-Citizens Bank & Trust Co. | 6.125% | 3/9/2028 | 50,320,000 | 49,057,230 | ||||||||
Home BancShares, Inc. | 3.125% (3 Mo. Term SOFR + 1.82%) | # | 1/30/2032 | 22,552,000 | 18,967,425 | |||||||
HSBC Holdings plc (United Kingdom)(b) | 2.999% (SOFR + 1.43%) | # | 3/10/2026 | 58,600,000 | 55,317,440 | |||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38%) | # | 5/1/2028 | 46,604,000 | 44,109,154 | |||||||
Lloyds Banking Group plc (United Kingdom)(b) | 5.871% (1 Yr. Treasury CMT + 1.70%) | # | 3/6/2029 | 22,198,000 | 22,398,108 | |||||||
Morgan Stanley | 4.679% (SOFR + 1.67%) | # | 7/17/2026 | 26,942,000 | 26,611,393 | |||||||
NatWest Group plc (United Kingdom)(b) | 5.847% (1 Yr. Treasury CMT + 1.35%) | # | 3/2/2027 | 9,877,000 | 9,911,504 | |||||||
NatWest Group PLC (United Kingdom)(b) | 7.472% (1 Yr. Treasury CMT + 2.85%) | # | 11/10/2026 | 41,004,000 | 42,414,395 | |||||||
Norinchukin Bank (The) (Japan)†(b) | 5.43% | 3/9/2028 | 17,835,000 | 18,285,523 | ||||||||
Standard Chartered plc (United Kingdom)†(b) | 7.767% (1 Yr. Treasury CMT + 3.45%) | # | 11/16/2028 | 49,462,000 | 53,084,645 | |||||||
SVB Financial Group(h) | 4.25% (5 Yr. Treasury CMT + 3.06%) | – | (i) | 78,029,000 | 5,152,255 | |||||||
United Overseas Bank Ltd. (Singapore)†(b) | 2.00% (5 Yr. Treasury CMT + 1.23%) | # | 10/14/2031 | 26,430,000 | 23,435,437 | |||||||
US Bancorp | 3.00% | 7/30/2029 | 27,222,000 | 23,722,212 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 31,720,000 | 28,966,568 | ||||||||
Western Alliance Bancorp | 3.00% (3 Mo. Term SOFR + 2.25%) | # | 6/15/2031 | 22,629,000 | 15,647,737 | |||||||
Total | 1,003,874,741 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Beverages 0.52% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | $ | 22,956,000 | $ | 21,270,398 | ||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,111,000 | 31,870,365 | ||||||||
Becle SAB de CV (Mexico)†(b) | 2.50% | 10/14/2031 | 27,143,000 | 22,076,718 | ||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL (Guatemala)†(b) | 5.25% | 4/27/2029 | 22,947,000 | 21,350,233 | ||||||||
PepsiCo, Inc. | 3.00% | 10/15/2027 | 17,868,000 | 17,125,431 | ||||||||
Total | 113,693,145 | |||||||||||
Biotechnology 0.24% | ||||||||||||
Amgen, Inc. | 5.25% | 3/2/2030 | 17,983,000 | 18,398,969 | ||||||||
Regeneron Pharmaceuticals, Inc. | 2.80% | 9/15/2050 | 50,785,000 | 33,933,742 | ||||||||
Total | 52,332,711 | |||||||||||
Building Materials 0.50% | ||||||||||||
Builders FirstSource, Inc.† | 4.25% | 2/1/2032 | 22,175,000 | 19,343,013 | ||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 4,514,000 | 4,191,362 | ||||||||
Lennox International, Inc. | 1.70% | 8/1/2027 | 17,295,000 | 15,245,733 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 27,426,000 | 25,785,788 | ||||||||
Trane Technologies Financing Ltd. (Ireland)(b) | 5.25% | 3/3/2033 | 22,499,000 | 23,273,289 | ||||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | 24,390,000 | 21,727,199 | ||||||||
Total | 109,566,384 | |||||||||||
Chemicals 2.09% | ||||||||||||
Albemarle Corp. | 4.65% | 6/1/2027 | 27,011,000 | 26,597,580 | ||||||||
Ashland LLC† | 3.375% | 9/1/2031 | 27,085,000 | 22,182,354 | ||||||||
Cabot Corp. | 5.00% | 6/30/2032 | 32,395,000 | 31,557,272 | ||||||||
Celanese US Holdings LLC | 6.165% | 7/15/2027 | 67,445,000 | 67,925,499 | ||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,720,000 | 23,126,084 | ||||||||
FMC Corp. | 3.45% | 10/1/2029 | 19,082,000 | 17,313,175 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 24,342,000 | 20,886,026 | ||||||||
NOVA Chemicals Corp. (Canada)†(b) | 4.25% | 5/15/2029 | 22,999,000 | 18,826,866 | ||||||||
OCI NV (Netherlands)†(b) | 6.70% | 3/16/2033 | 22,392,000 | 22,361,034 | ||||||||
OCP SA (Malaysia)†(b) | 3.75% | 6/23/2031 | 55,699,000 | 45,776,223 | ||||||||
Olin Corp. | 5.00% | 2/1/2030 | 26,994,000 | 25,337,378 | ||||||||
Olin Corp. | 5.125% | 9/15/2027 | 27,048,000 | 25,966,264 | ||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | 40,578,000 | 36,224,792 | ||||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 32,550,000 | 26,976,464 | ||||||||
SK Invictus Intermediate II Sarl (Luxembourg)†(b) | 5.00% | 10/30/2029 | 28,443,000 | 23,645,235 | ||||||||
Sociedad Quimica y Minera de Chile SA (Chile)†(b) | 3.50% | 9/10/2051 | 31,277,000 | 21,908,321 | ||||||||
Total | 456,610,567 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Coal 0.26% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | $ | 24,865,000 | $ | 21,678,024 | ||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 34,601,000 | 34,830,419 | ||||||||
Total | 56,508,443 | |||||||||||
�� | ||||||||||||
Commercial Services 1.52% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(b) | 3.828% | 2/2/2032 | 17,701,000 | 11,528,484 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(b) | 4.375% | 7/3/2029 | 35,531,000 | 26,881,273 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.625% | 7/15/2026 | 13,541,000 | 13,026,442 | ||||||||
AMN Healthcare, Inc.† | 4.625% | 10/1/2027 | 17,092,000 | 15,864,247 | ||||||||
Ashtead Capital, Inc.† | 5.50% | 8/11/2032 | 23,570,000 | 23,200,158 | ||||||||
Ashtead Capital, Inc.† | 5.55% | 5/30/2033 | 17,598,000 | 17,405,803 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 5.75% | 7/15/2027 | 27,982,000 | 27,089,374 | ||||||||
Block, Inc. | 3.50% | 6/1/2031 | 23,781,000 | 19,553,095 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 6,320,000 | 5,962,920 | ||||||||
Garda World Security Corp. (Canada)†(b) | 4.625% | 2/15/2027 | 4,513,000 | 4,056,585 | ||||||||
Global Payments, Inc. | 2.90% | 5/15/2030 | 33,487,000 | 28,384,891 | ||||||||
GXO Logistics, Inc. | 2.65% | 7/15/2031 | 15,098,000 | 11,756,138 | ||||||||
Herc Holdings, Inc.† | 5.50% | 7/15/2027 | 9,028,000 | 8,723,982 | ||||||||
Hertz Corp. (The)† | 5.50% | 10/15/2024 | 16,775,000 | 754,875 | ||||||||
Hertz Corp. (The)† | 6.00% | 1/15/2028 | 33,436,000 | 3,176,420 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 12,438,000 | 11,985,722 | ||||||||
Johns Hopkins University | 2.813% | 1/1/2060 | 20,694,000 | 13,700,143 | ||||||||
Metropolitan Museum of Art (The) | 3.40% | 7/1/2045 | 26,251,000 | 21,438,091 | ||||||||
NESCO Holdings II, Inc.† | 5.50% | 4/15/2029 | 13,541,000 | 12,264,016 | ||||||||
Quanta Services, Inc. | 2.90% | 10/1/2030 | 6,933,000 | 5,984,587 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 32,768,000 | 31,368,806 | ||||||||
University of Miami | 4.063% | 4/1/2052 | 20,782,000 | 17,861,720 | ||||||||
Total | 331,967,772 | |||||||||||
Computers 0.62% | ||||||||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 128,533,000 | 112,289,784 | ||||||||
Teledyne FLIR LLC | 2.50% | 8/1/2030 | 27,841,000 | 23,446,686 | ||||||||
Total | 135,736,470 | |||||||||||
Cosmetics/Personal Care 0.20% | ||||||||||||
Haleon U.S. Capital LLC | 3.625% | 3/24/2032 | 48,464,000 | 44,041,712 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Distribution/Wholesale 0.48% | ||||||||||||
Ferguson Finance plc (United Kingdom)†(b) | 3.25% | 6/2/2030 | $ | 32,537,000 | $ | 28,279,381 | ||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 42,776,000 | 37,535,940 | ||||||||
Ritchie Bros Holdings, Inc.† | 6.75% | 3/15/2028 | 15,163,000 | 15,634,266 | ||||||||
Ritchie Bros Holdings, Inc.† | 7.75% | 3/15/2031 | 21,911,000 | 22,990,555 | ||||||||
Total | 104,440,142 | |||||||||||
Diversified Financial Services 1.41% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 24,003,000 | 21,646,192 | ||||||||
Ally Financial, Inc. | 6.70% | 2/14/2033 | 44,941,000 | 39,982,467 | ||||||||
Ameriprise Financial, Inc. | 5.15% | 5/15/2033 | 27,023,000 | 26,969,517 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(b) | 4.25% | 4/15/2026 | 34,177,000 | 32,171,825 | ||||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(b) | 6.50% | 9/15/2024 | 26,870,334 | 24,187,600 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(b)(h) | 6.054% (3 Mo. LIBOR + 5.75%) | 1/15/2015 | 15,000,000 | – | (f)(g) | |||||||
Intercontinental Exchange, Inc. | 4.00% | 9/15/2027 | 35,923,000 | 35,524,416 | ||||||||
Jane Street Group/JSG Finance, Inc.† | 4.50% | 11/15/2029 | 18,510,000 | 16,593,475 | ||||||||
LPL Holdings, Inc.† | 4.00% | 3/15/2029 | 4,064,000 | 3,661,583 | ||||||||
Navient Corp. | 4.875% | 3/15/2028 | 8,715,000 | 7,340,165 | ||||||||
Navient Corp. | 5.50% | 3/15/2029 | 27,371,000 | 23,163,667 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 9,028,000 | 8,813,404 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 25,846,000 | 21,496,247 | ||||||||
Synchrony Financial | 7.25% | 2/2/2033 | 35,946,000 | 31,756,351 | ||||||||
USAA Capital Corp.† | 2.125% | 5/1/2030 | 19,111,000 | 15,947,170 | ||||||||
Total | 309,254,079 | |||||||||||
Electric 5.16% | ||||||||||||
AES Corp. (The) | 2.45% | 1/15/2031 | 46,173,000 | 37,634,834 | ||||||||
Atlantic City Electric Co. | 4.00% | 10/15/2028 | 15,606,000 | 15,170,061 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(b) | 4.35% | 8/1/2028 | 26,506,000 | 25,107,482 | ||||||||
Black Hills Corp. | 4.35% | 5/1/2033 | 24,090,000 | 22,157,696 | ||||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 27,110,000 | 22,892,327 | ||||||||
Calpine Corp.† | 4.50% | 2/15/2028 | 23,379,000 | 21,714,849 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 74,359,000 | 64,304,815 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 27,994,000 | 25,667,987 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 37,921,000 | 36,256,647 | ||||||||
Cleveland Electric Illuminating Co.† | 3.50% | 4/1/2028 | 21,815,000 | 20,505,335 | ||||||||
Constellation Energy Generation LLC | 5.60% | 6/15/2042 | 11,267,000 | 11,124,657 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 32,152,000 | 33,187,848 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | $ | 42,389,000 | $ | 44,736,190 | ||||||
Duke Energy Corp. | 4.30% | 3/15/2028 | 35,923,000 | 35,255,765 | ||||||||
EDP Finance BV (Netherlands)†(b) | 6.30% | 10/11/2027 | 44,211,000 | 45,897,606 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 10,857,000 | 9,844,189 | ||||||||
Electricite de France SA (France)†(b) | 3.625% | 10/13/2025 | 16,360,000 | 15,948,086 | ||||||||
Electricite de France SA (France)†(b) | 4.50% | 9/21/2028 | 22,057,000 | 21,482,734 | ||||||||
Empresa de Transmision Electrica SA (Panama)†(b) | 5.125% | 5/2/2049 | 9,192,000 | 7,384,477 | ||||||||
Enel Finance International NV (Netherlands)†(b) | 3.50% | 4/6/2028 | 26,128,000 | 24,056,772 | ||||||||
Entergy Arkansas LLC | 4.00% | 6/1/2028 | 18,001,000 | 17,451,363 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 7,710,000 | 7,196,203 | ||||||||
FirstEnergy Corp. | 4.15% | 7/15/2027 | 50,315,000 | 47,984,661 | ||||||||
FirstEnergy Transmission LLC† | 2.866% | 9/15/2028 | 27,024,000 | 24,413,199 | ||||||||
Indianapolis Power & Light Co.† | 5.65% | 12/1/2032 | 18,871,000 | 19,844,448 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 22,504,000 | 22,653,956 | ||||||||
Minejesa Capital BV (Netherlands)†(b) | 4.625% | 8/10/2030 | 31,220,000 | 27,585,608 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 26,437,000 | 25,114,836 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,264,000 | 43,134,344 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 35,216,000 | 33,664,031 | ||||||||
NRG Energy, Inc.† | 3.875% | 2/15/2032 | 55,709,000 | 44,627,923 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 6,359,271 | 6,295,138 | ||||||||
Ohio Edison Co.† | 5.50% | 1/15/2033 | 8,941,000 | 9,157,341 | ||||||||
Pacific Gas & Electric Co. | 6.15% | 1/15/2033 | 29,916,000 | 30,740,260 | ||||||||
Pacific Gas & Electric Co. | 6.70% | 4/1/2053 | 15,018,000 | 15,466,811 | ||||||||
Pacific Gas and Electric Co. | 3.50% | 8/1/2050 | 17,907,000 | 11,845,135 | ||||||||
Pacific Gas and Electric Co. | 4.95% | 7/1/2050 | 13,408,158 | 11,071,503 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 26,956,000 | 24,702,982 | ||||||||
PG&E Corp. | 5.00% | 7/1/2028 | 30,834,000 | 29,147,380 | ||||||||
Pike Corp.† | 5.50% | 9/1/2028 | 25,272,000 | 22,139,788 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,045,000 | 24,082,518 | ||||||||
Vistra Operations Co. LLC† | 4.375% | 5/1/2029 | 53,389,000 | 47,344,580 | ||||||||
Vistra Operations Co. LLC† | 5.125% | 5/13/2025 | 45,015,000 | 43,921,383 | ||||||||
Total | 1,129,915,748 | |||||||||||
Electronics 0.58% | ||||||||||||
Amphenol Corp. | 2.80% | 2/15/2030 | 36,607,000 | 32,865,351 | ||||||||
Arrow Electronics, Inc. | 6.125% | 3/1/2026 | 18,015,000 | 18,062,158 | ||||||||
Honeywell International, Inc.(d) | 4.125% | 11/2/2034 | EUR | 25,284,000 | 27,865,464 | |||||||
Imola Merger Corp.† | 4.75% | 5/15/2029 | $ | 18,106,000 | 16,217,906 | |||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 32,168,000 | 32,510,376 | ||||||||
Total | 127,521,255 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Energy-Alternate Sources 0.45% | ||||||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | $ | 23,420,000 | $ | 21,037,377 | ||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 23,969,000 | 22,800,594 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 56,499,334 | 53,700,922 | ||||||||
Total | 97,538,893 | |||||||||||
Engineering & Construction 0.53% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(b) | 5.125% | 8/11/2061 | 51,145,000 | 39,829,517 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 53,100,000 | 48,651,506 | ||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 27,604,000 | 27,664,476 | ||||||||
Total | 116,145,499 | |||||||||||
Entertainment 2.07% | ||||||||||||
Caesars Entertainment, Inc.† | 4.625% | 10/15/2029 | 38,882,000 | 34,042,552 | ||||||||
Caesars Entertainment, Inc.† | 7.00% | 2/15/2030 | 30,300,000 | 30,857,975 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 36,115,000 | 33,854,201 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 51,209,000 | 50,184,820 | ||||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | 45,629,000 | 40,952,027 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(b) | 5.75% | 6/15/2026 | 26,904,000 | 25,549,394 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp† | 4.875% | 5/1/2029 | 44,276,000 | 38,541,314 | ||||||||
Mohegan Tribal Gaming Authority† | 8.00% | 2/1/2026 | 43,614,000 | 39,949,334 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/16/2029 | 42,245,000 | 32,660,132 | ||||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 40,529,000 | 36,627,273 | ||||||||
Warnermedia Holdings, Inc.† | 4.279% | 3/15/2032 | 24,280,000 | 21,694,638 | ||||||||
Warnermedia Holdings, Inc.† | 5.141% | 3/15/2052 | 13,742,000 | 11,149,517 | ||||||||
WMG Acquisition Corp.† | 3.00% | 2/15/2031 | 28,671,000 | 23,996,767 | ||||||||
WMG Acquisition Corp.† | 3.75% | 12/1/2029 | 37,872,000 | 33,591,328 | ||||||||
Total | 453,651,272 | |||||||||||
Environmental Control 0.33% | ||||||||||||
Madison IAQ LLC† | 4.125% | 6/30/2028 | 32,278,000 | 27,956,460 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 26,967,000 | 20,858,705 | ||||||||
Republic Services, Inc. | 2.375% | 3/15/2033 | 27,795,000 | 22,967,389 | ||||||||
Total | 71,782,554 | |||||||||||
Equity Real Estate 0.14% | ||||||||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | 39,175,000 | 30,666,468 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Food 1.84% | ||||||||||||
Bellis Acquisition Co. PLC(d) | 3.25% | 2/16/2026 | GBP | 27,281,000 | $ | 27,665,192 | ||||||
Campbell Soup Co. | 2.375% | 4/24/2030 | $ | 32,995,000 | 28,346,244 | |||||||
Chobani LLC/hobani Finance Corp., Inc.† | 4.625% | 11/15/2028 | 11,739,000 | 10,710,488 | ||||||||
General Mills, Inc. | 4.95% | 3/29/2033 | 27,033,000 | 27,466,561 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 79,376,000 | 69,222,640 | ||||||||
Kraft Heinz Foods Co. | 4.875% | 10/1/2049 | 30,023,000 | 27,927,627 | ||||||||
Lamb Weston Holdings, Inc.† | 4.125% | 1/31/2030 | 24,243,000 | 22,205,255 | ||||||||
McCormick & Co., Inc. | 2.50% | 4/15/2030 | 37,991,000 | 32,450,850 | ||||||||
Performance Food Group, Inc.† | 4.25% | 8/1/2029 | 13,541,000 | 12,174,133 | ||||||||
Post Holdings, Inc.† | 4.50% | 9/15/2031 | 48,853,000 | 43,039,493 | ||||||||
Post Holdings, Inc.† | 4.625% | 4/15/2030 | 45,332,000 | 40,669,604 | ||||||||
Post Holdings, Inc.† | 5.50% | 12/15/2029 | 13,541,000 | 12,775,514 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 28,037,000 | 26,210,753 | ||||||||
U.S. Foods, Inc.† | 4.75% | 2/15/2029 | 24,298,000 | 22,474,800 | ||||||||
Total | 403,339,154 | |||||||||||
Gas 0.21% | ||||||||||||
Brooklyn Union Gas Co. (The)† | 3.407% | 3/10/2026 | 22,726,000 | 21,561,383 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 26,234,000 | 24,152,273 | ||||||||
Total | 45,713,656 | |||||||||||
Hand/Machine Tools 0.20% | ||||||||||||
Regal Rexnord Corp.† | 6.40% | 4/15/2033 | 44,045,000 | 44,124,676 | ||||||||
Health Care-Products 0.59% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 23,375,000 | 20,154,294 | ||||||||
Boston Scientific Corp. | 6.75% | 11/15/2035 | 13,056,000 | 14,784,535 | ||||||||
Edwards Lifesciences Corp. | 4.30% | 6/15/2028 | 27,692,000 | 27,585,769 | ||||||||
GE HealthCare Technologies, Inc.† | 6.377% | 11/22/2052 | 12,938,000 | 14,482,567 | ||||||||
Medline Borrower LP† | 3.875% | 4/1/2029 | 35,219,000 | 30,593,336 | ||||||||
Medline Borrower LP† | 5.25% | 10/1/2029 | 25,194,000 | 21,882,690 | ||||||||
Total | 129,483,191 | |||||||||||
Health Care-Services 3.41% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 3.125% | 2/15/2029 | 28,624,000 | 25,189,352 | ||||||||
Centene Corp. | 2.50% | 3/1/2031 | 32,010,000 | 25,950,507 | ||||||||
Centene Corp. | 3.00% | 10/15/2030 | 33,566,000 | 28,295,501 | ||||||||
Centene Corp. | 3.375% | 2/15/2030 | 54,803,000 | 47,861,873 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 36,428,000 | 34,283,848 | ||||||||
Charles River Laboratories International, Inc.† | 3.75% | 3/15/2029 | 26,607,000 | 23,644,496 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Services (contined) | ||||||||||||
CHS/Community Health Systems, Inc.† | 4.75% | 2/15/2031 | $ | 81,159,000 | $ | 60,000,849 | ||||||
Cleveland Clinic Foundation (The) | 4.858% | 1/1/2114 | 20,053,000 | 18,699,447 | ||||||||
DaVita, Inc.† | 4.625% | 6/1/2030 | 22,490,000 | 19,217,705 | ||||||||
Elevance Health, Inc. | 2.25% | 5/15/2030 | 26,765,000 | 22,995,915 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 23,386,000 | 19,209,260 | ||||||||
HCA, Inc. | 3.50% | 9/1/2030 | 47,712,000 | 42,528,650 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,671,000 | 13,114,261 | ||||||||
Memorial Sloan-Kettering Cancer Center | 4.20% | 7/1/2055 | 27,799,000 | 24,158,541 | ||||||||
ModivCare Escrow Issuer, Inc.† | 5.00% | 10/1/2029 | 38,324,000 | 32,579,440 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 32,676,000 | 28,539,790 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 5/15/2032 | 40,412,000 | 33,998,662 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 24,832,000 | 18,199,140 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 20,988,000 | 16,655,542 | ||||||||
Roche Holdings, Inc.† | 2.314% | 3/10/2027 | 24,026,000 | 22,382,437 | ||||||||
Seattle Children’s Hospital | 2.719% | 10/1/2050 | 31,459,000 | 21,196,210 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 9,028,000 | 8,766,233 | ||||||||
Tenet Healthcare Corp. | 4.375% | 1/15/2030 | 27,941,000 | 25,102,194 | ||||||||
Tenet Healthcare Corp. | 4.875% | 1/1/2026 | 23,102,000 | 22,673,573 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 46,022,000 | 44,150,976 | ||||||||
Tenet Healthcare Corp.† | 6.125% | 6/15/2030 | 35,548,000 | 35,100,095 | ||||||||
UnitedHealth Group, Inc. | 4.20% | 5/15/2032 | 33,007,000 | 32,372,151 | ||||||||
Total | 746,866,648 | |||||||||||
Home Builders 0.33% | ||||||||||||
NVR, Inc. | 3.00% | 5/15/2030 | 35,885,000 | 31,592,235 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 23,447,000 | 24,510,029 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 17,058,000 | 16,109,296 | ||||||||
Total | 72,211,560 | |||||||||||
Home Furnishings 0.12% | ||||||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | 26,515,000 | 25,699,376 | ||||||||
Household Products/Wares 0.11% | ||||||||||||
SC Johnson & Son, Inc.† | 4.75% | 10/15/2046 | 25,771,000 | 24,301,471 | ||||||||
Insurance 1.54% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(b) | 3.20% | 9/16/2040 | 42,036,000 | 31,464,804 | ||||||||
AIA Group Ltd. (Hong Kong)†(b) | 3.375% | 4/7/2030 | 27,404,000 | 25,220,241 | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 4/15/2028 | 52,893,000 | 52,352,434 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | $ | 23,230,000 | $ | 22,651,293 | ||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 24,502,000 | 18,541,795 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 17,312,000 | 15,087,504 | ||||||||
AXIS Specialty Finance plc (United Kingdom)(b) | 5.15% | 4/1/2045 | 20,919,000 | 18,229,316 | ||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 44,201,000 | 35,365,863 | ||||||||
Global Atlantic Fin Co.† | 4.70% (5 Yr. Treasury CMT + 3.80%) | # | 10/15/2051 | 17,718,000 | 14,246,928 | |||||||
Northwestern Mutual Life Insurance Co. (The)† | 3.85% | 9/30/2047 | 28,370,000 | 22,741,507 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 35,974,000 | 33,636,419 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 10,049,000 | 9,388,383 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 17,659,000 | 22,597,575 | ||||||||
W R Berkley Corp. | 3.15% | 9/30/2061 | 22,876,000 | 14,621,798 | ||||||||
Total | 336,145,860 | |||||||||||
Internet 1.88% | ||||||||||||
Alibaba Group Holding Ltd. (China)(b) | 2.125% | 2/9/2031 | 43,762,000 | 36,237,196 | ||||||||
Amazon.com, Inc. | 3.15% | 8/22/2027 | 55,732,000 | 53,718,319 | ||||||||
Amazon.com, Inc. | 4.80% | 12/5/2034 | 18,536,000 | 19,305,164 | ||||||||
Gen Digital, Inc.† | 6.75% | 9/30/2027 | 22,453,000 | 22,593,331 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 24,270,000 | 23,640,194 | ||||||||
Meta Platforms, Inc. | 4.45% | 8/15/2052 | 22,311,000 | 19,653,439 | ||||||||
Netflix, Inc.(d) | 3.625% | 5/15/2027 | EUR | 51,139,000 | 55,052,846 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 74,089,000 | 73,785,235 | |||||||
Tencent Holdings Ltd. (China)†(b) | 3.595% | 1/19/2028 | 62,466,000 | 59,019,046 | ||||||||
Tencent Holdings Ltd. (China)†(b) | 3.925% | 1/19/2038 | 27,722,000 | 23,118,907 | ||||||||
VeriSign, Inc. | 2.70% | 6/15/2031 | 30,037,000 | 25,487,333 | ||||||||
Total | 411,611,010 | |||||||||||
Investment Companies 0.02% | ||||||||||||
Temasek Financial I Ltd. (Singapore)†(b) | 2.50% | 10/6/2070 | 7,112,000 | 4,527,601 | ||||||||
Iron-Steel 0.86% | ||||||||||||
ArcelorMittal SA (Luxembourg)(b) | 6.55% | 11/29/2027 | 40,288,000 | 41,941,427 | ||||||||
ArcelorMittal SA (Luxembourg)(b) | 6.80% | 11/29/2032 | 8,989,000 | 9,436,905 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(b) | 8.75% | 7/15/2026 | 21,555,000 | 20,589,519 | ||||||||
Commercial Metals Co. | 4.375% | 3/15/2032 | 12,516,000 | 10,785,794 | ||||||||
Mineral Resources Ltd. (Australia)†(b) | 8.50% | 5/1/2030 | 36,051,000 | 37,035,192 | ||||||||
Steel Dynamics, Inc. | 3.45% | 4/15/2030 | 24,560,000 | 22,356,883 | ||||||||
United States Steel Corp. | 6.875% | 3/1/2029 | 21,509,000 | 21,530,294 | ||||||||
Vale Overseas Ltd. (Brazil)(b) | 3.75% | 7/8/2030 | 27,040,000 | 24,255,302 | ||||||||
Total | 187,931,316 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Leisure Time 1.33% | ||||||||||||
Carnival Corp.† | 4.00% | 8/1/2028 | $ | 40,495,000 | $ | 34,901,628 | ||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 40,811,000 | 42,076,957 | ||||||||
Carnival Holdings Bermuda Ltd.† | 10.375% | 5/1/2028 | 23,092,000 | 24,863,041 | ||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 17,488,000 | 17,007,080 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 36,990,000 | 34,535,529 | ||||||||
NCL Corp. Ltd.† | 8.375% | 2/1/2028 | 12,109,000 | 12,161,402 | ||||||||
Royal Caribbean Cruises Ltd.† | 5.50% | 8/31/2026 | 23,850,000 | 22,340,414 | ||||||||
Royal Caribbean Cruises Ltd.† | 7.25% | 1/15/2030 | 56,436,000 | 56,839,517 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.25% | 1/15/2029 | 44,202,000 | 47,007,280 | ||||||||
Total | 291,732,848 | |||||||||||
Lodging 1.98% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 22,921,000 | 22,004,160 | ||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 27,745,000 | 24,975,779 | ||||||||
Hilton Domestic Operating Co., Inc.† | 3.75% | 5/1/2029 | 25,286,000 | 22,656,003 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 71,492,000 | 68,547,602 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 35,861,000 | 33,503,226 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 26,858,000 | 23,565,209 | ||||||||
MGM China Holdings Ltd. (Macau)†(b) | 5.875% | 5/15/2026 | 7,567,000 | 7,131,065 | ||||||||
Sands China Ltd. (Macau)(b) | 3.35% | 3/8/2029 | 57,502,000 | 47,811,964 | ||||||||
Sands China Ltd. (Macau)(b) | 4.875% | 6/18/2030 | 35,200,000 | 31,218,187 | ||||||||
Sands China Ltd. (Macau)(b) | 5.90% | 8/8/2028 | 25,193,000 | 23,936,411 | ||||||||
Travel + Leisure Co. | 6.00% | 4/1/2027 | 23,988,000 | 23,820,084 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 47,847,000 | 45,271,874 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 41,450,000 | 40,721,724 | ||||||||
Wynn Macau Ltd. (Macau)†(b) | 5.50% | 10/1/2027 | 21,063,000 | 18,400,629 | ||||||||
Total | 433,563,917 | |||||||||||
Machinery-Diversified 0.50% | ||||||||||||
Chart Industries, Inc.† | 7.50% | 1/1/2030 | 25,690,000 | 26,575,535 | ||||||||
nVent Finance Sarl (Luxembourg)(b) | 2.75% | 11/15/2031 | 22,090,000 | 17,942,323 | ||||||||
Otis Worldwide Corp. | 2.565% | 2/15/2030 | 27,022,000 | 23,710,801 | ||||||||
TK Elevator US Newco, Inc.† | 5.25% | 7/15/2027 | 23,578,000 | 22,290,759 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 20,980,000 | 19,667,614 | ||||||||
Total | 110,187,032 | |||||||||||
Media 1.95% | ||||||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 31,183,000 | 25,418,219 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 34,678,000 | 32,032,589 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.375% | 6/1/2029 | 49,077,000 | 45,117,958 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Media (continued) | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 6.375% | 9/1/2029 | $ | 29,683,000 | $ | 28,373,980 | ||||||
DISH Network Corp.† | 11.75% | 11/15/2027 | 61,015,000 | 59,248,921 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 23,698,000 | 20,692,589 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(b) | 6.75% | 10/15/2027 | 16,375,000 | 15,481,007 | ||||||||
News Corp.† | 3.875% | 5/15/2029 | 29,135,000 | 25,921,410 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 25,187,000 | 22,430,031 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 23,466,000 | 21,709,227 | ||||||||
Univision Communications, Inc.† | 4.50% | 5/1/2029 | 40,601,000 | 34,152,140 | ||||||||
UPC Broadband Finco BV (Netherlands)†(b) | 4.875% | 7/15/2031 | 53,571,000 | 46,390,611 | ||||||||
VZ Secured Financing BV (Netherlands)†(b) | 5.00% | 1/15/2032 | 61,972,000 | 50,623,377 | ||||||||
Total | 427,592,059 | |||||||||||
Metal Fabricate-Hardware 0.12% | ||||||||||||
Roller Bearing Co. of America, Inc.† | 4.375% | 10/15/2029 | 29,039,000 | 25,965,512 | ||||||||
Mining 1.45% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(b) | 5.625% | 4/1/2030 | 22,140,000 | 22,295,359 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(b) | 4.375% | 4/1/2031 | 76,481,000 | 67,189,706 | ||||||||
FMG Resources August Pty. Ltd. (Australia)†(b) | 6.125% | 4/15/2032 | 28,083,000 | 27,069,063 | ||||||||
Freeport-McMoRan, Inc. | 5.40% | 11/14/2034 | 34,970,000 | 34,311,899 | ||||||||
Glencore Funding LLC† | 2.50% | 9/1/2030 | 26,865,000 | 22,519,591 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 25,372,000 | 25,656,293 | ||||||||
Kaiser Aluminum Corp.† | 4.50% | 6/1/2031 | 29,297,000 | 24,096,782 | ||||||||
Mirabela Nickel Ltd. | 1.00% | 9/10/2044 | 185,297 | – | (f)(g) | |||||||
Newmont Corp. | 2.25% | 10/1/2030 | 31,224,000 | 26,245,111 | ||||||||
Novelis Corp.† | 4.75% | 1/30/2030 | 36,313,000 | 33,407,960 | ||||||||
Teck Resources Ltd. (Canada)(b) | 3.90% | 7/15/2030 | 37,805,000 | 34,761,115 | ||||||||
Total | 317,552,879 | |||||||||||
Miscellaneous Manufacturing 0.22% | ||||||||||||
Eaton Corp. | 4.15% | 3/15/2033 | 26,876,000 | 26,013,703 | ||||||||
Hillenbrand, Inc. | 3.75% | 3/1/2031 | 27,046,000 | 22,624,250 | ||||||||
Total | 48,637,953 | |||||||||||
Office/Business Equipment 0.11% | ||||||||||||
CDW LLC/CDW Finance Corp. | 3.569% | 12/1/2031 | 27,033,000 | 23,276,224 | ||||||||
Oil & Gas 10.50% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 97,896,000 | 91,177,887 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 53,101,000 | 48,505,905 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 33,825,000 | 25,443,052 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Apache Corp. | 5.10% | 9/1/2040 | $ | 66,236,000 | $ | 56,236,020 | ||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 41,760,000 | 42,313,111 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 39,452,000 | 37,527,729 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 35,641,000 | 35,341,616 | ||||||||
Cenovus Energy, Inc. (Canada)(b) | 2.65% | 1/15/2032 | 28,627,000 | 23,647,408 | ||||||||
Cenovus Energy, Inc. (Canada)(b) | 5.40% | 6/15/2047 | 71,382,000 | 66,505,178 | ||||||||
Chesapeake Energy Corp.† | 6.75% | 4/15/2029 | 53,758,000 | 53,420,669 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 22,960,000 | 22,674,722 | ||||||||
CNX Resources Corp.† | 7.25% | 3/14/2027 | 20,959,000 | 20,877,071 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 36,417,000 | 33,355,787 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 83,271,000 | 78,548,923 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 20,974,000 | 20,169,012 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 35,267,000 | 33,183,426 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.00% | 5/1/2029 | 36,025,000 | 33,604,120 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 50,978,000 | 46,640,937 | ||||||||
Diamondback Energy, Inc. | 4.25% | 3/15/2052 | 17,947,000 | 14,110,454 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 33,746,000 | 29,559,640 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 56,642,000 | 56,273,261 | ||||||||
Helmerich & Payne, Inc. | 2.90% | 9/29/2031 | 32,680,000 | 27,150,178 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 32,388,000 | 31,268,330 | ||||||||
Kosmos Energy Ltd.† | 7.75% | 5/1/2027 | 43,319,000 | 36,436,910 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 27,808,000 | 27,470,967 | ||||||||
MC Brazil Downstream Trading Sarl (Luxembourg)†(b) | 7.25% | 6/30/2031 | 28,003,461 | 22,031,723 | ||||||||
MEG Energy Corp. (Canada)†(b) | 5.875% | 2/1/2029 | 46,350,000 | 44,700,404 | ||||||||
MEG Energy Corp. (Canada)†(b) | 7.125% | 2/1/2027 | 63,832,000 | 65,172,718 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 37,764,000 | 36,827,765 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 29,105,000 | 28,705,332 | ||||||||
Nabors Industries, Inc.† | 7.375% | 5/15/2027 | 25,848,000 | 25,338,794 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 66,595,000 | 69,159,906 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 19,846,000 | 20,919,371 | ||||||||
Occidental Petroleum Corp. | 7.50% | 5/1/2031 | 18,501,000 | 20,424,919 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 14,875,000 | 17,315,541 | ||||||||
OGX Austria GmbH (Brazil)†(b)(h) | 8.50% | 6/1/2018 | 20,000,000 | 400 | ||||||||
OQ SAOC (Oman)†(b) | 5.125% | 5/6/2028 | 35,991,000 | 34,332,715 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 35,442,000 | 35,403,734 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 29,415,000 | 26,149,494 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 29,814,000 | 27,490,640 | ||||||||
PDC Energy, Inc. | 5.75% | 5/15/2026 | 56,359,000 | 54,940,162 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Permian Resources Operating LLC† | 5.375% | 1/15/2026 | $ | 20,285,000 | $ | 19,249,193 | ||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 23,910,000 | 23,420,580 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 5.35% | 2/12/2028 | 30,987,000 | 26,268,064 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 5.95% | 1/28/2031 | 31,871,000 | 24,414,843 | ||||||||
Petroleos Mexicanos (Mexico)†(b) | 10.00% | 2/7/2033 | 16,637,000 | 15,959,773 | ||||||||
Phillips 66 | 4.95% | 12/1/2027 | 22,526,000 | 22,636,924 | ||||||||
Pioneer Natural Resources Co. | 2.15% | 1/15/2031 | 26,991,000 | 22,183,509 | ||||||||
Precision Drilling Corp. (Canada)†(b) | 6.875% | 1/15/2029 | 25,184,000 | 22,877,146 | ||||||||
QatarEnergy (Qatar)†(b) | 3.30% | 7/12/2051 | 36,523,000 | 27,306,421 | ||||||||
Range Resources Corp.† | 4.75% | 2/15/2030 | 54,135,000 | 49,416,593 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 28,090,000 | 27,570,129 | ||||||||
Range Resources Corp. | 8.25% | 1/15/2029 | 50,838,000 | 53,631,548 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 23,649,000 | 20,983,048 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(b) | 4.375% | 4/16/2049 | 21,528,000 | 18,554,876 | ||||||||
Shell International Finance BV (Netherlands)(b) | 2.875% | 5/10/2026 | 17,938,000 | 17,171,910 | ||||||||
Shell International Finance BV (Netherlands)(b) | 6.375% | 12/15/2038 | 12,588,000 | 14,548,558 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 82,786,000 | 79,609,098 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 22,306,000 | 21,895,124 | ||||||||
Southwestern Energy Co. | 5.375% | 2/1/2029 | 51,054,000 | 48,177,362 | ||||||||
Southwestern Energy Co. | 5.375% | 3/15/2030 | 35,900,000 | 33,793,388 | ||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | 26,363,000 | 27,740,994 | ||||||||
Suncor Energy, Inc. (Canada)(b) | 4.00% | 11/15/2047 | 19,756,000 | 15,832,477 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 10,933,000 | 13,819,634 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 37,638,000 | 36,231,123 | ||||||||
Vital Energy, Inc.† | 7.75% | 7/31/2029 | 35,741,000 | 29,845,879 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 69,305,000 | 66,615,273 | ||||||||
Total | 2,300,109,398 | |||||||||||
Oil & Gas Services 0.60% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 26,550,000 | 26,019,000 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 38,139,000 | 35,881,622 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | 27,040,000 | 25,865,247 | ||||||||
Weatherford International Ltd.† | 8.625% | 4/30/2030 | 41,472,000 | 42,465,669 | ||||||||
Total | 130,231,538 | |||||||||||
Packaging & Containers 0.55% | ||||||||||||
Ball Corp. | 2.875% | 8/15/2030 | 57,809,000 | 48,212,706 | ||||||||
Ball Corp. | 6.875% | 3/15/2028 | 29,851,000 | 30,926,233 | ||||||||
LABL, Inc.† | 6.75% | 7/15/2026 | 9,028,000 | 8,714,706 | ||||||||
Mauser Packaging Solutions Holding Co.† | 7.875% | 8/15/2026 | 9,028,000 | 9,036,170 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 22,562,000 | 22,662,353 | ||||||||
Total | 119,552,168 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals 0.51% | ||||||||||||
AbbVie, Inc. | 3.20% | 11/21/2029 | $ | 26,717,000 | $ | 24,804,232 | ||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | 18,056,000 | 18,306,437 | ||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV† | 4.125% | 4/30/2028 | 26,360,000 | 24,119,664 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(b)(j) | 5.125% | 5/9/2029 | 23,653,000 | 21,448,697 | ||||||||
Zoetis, Inc. | 2.00% | 5/15/2030 | 26,453,000 | 22,280,583 | ||||||||
Total | 110,959,613 | |||||||||||
Pipelines 2.51% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(b) | 4.60% | 11/2/2047 | 19,135,000 | 17,898,305 | ||||||||
AI Candelaria Spain SA (Spain)†(b) | 5.75% | 6/15/2033 | 30,777,000 | 21,851,670 | ||||||||
AI Candelaria Spain SA (Spain)†(b) | 7.50% | 12/15/2028 | 21,082,507 | 19,257,078 | ||||||||
Buckeye Partners LP | 8.835% (3 Mo. LIBOR + 4.02%) | # | 1/22/2078 | 30,566,000 | 26,345,447 | |||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 30,486,000 | 25,214,666 | ||||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 27,028,000 | 24,202,200 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | 47,805,000 | 43,025,456 | ||||||||
DT Midstream, Inc.† | 4.30% | 4/15/2032 | 27,064,000 | 24,288,673 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(b) | 3.25% | 9/30/2040 | 34,050,000 | 26,927,733 | ||||||||
Greensaif Pipelines Bidco Sarl (Luxembourg)†(b) | 6.129% | 2/23/2038 | 22,331,000 | 22,994,168 | ||||||||
Hess Midstream Operations LP† | 5.125% | 6/15/2028 | 17,974,000 | 17,081,810 | ||||||||
Kinder Morgan, Inc. | 5.20% | 6/1/2033 | 20,771,000 | 20,651,694 | ||||||||
Magellan Midstream Partners LP | 3.95% | 3/1/2050 | 9,784,000 | 7,413,221 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 29,487,000 | 25,052,479 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 24,928,000 | 24,188,857 | ||||||||
Oleoducto Central SA (Colombia)(b) | 4.00% | 7/14/2027 | 16,478,000 | 14,245,869 | ||||||||
ONEOK, Inc. | 4.45% | 9/1/2049 | 9,005,000 | 7,005,862 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 19,996,000 | 19,406,576 | ||||||||
Sabine Pass Liquefaction LLC | 4.50% | 5/15/2030 | 45,267,000 | 43,686,425 | ||||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 8/15/2029 | 26,406,000 | 23,841,977 | ||||||||
Western Midstream Operating LP | 4.30% | 2/1/2030 | 72,025,000 | 65,632,781 | ||||||||
Williams Cos., Inc. (The) | 5.65% | 3/15/2033 | 28,111,000 | 29,048,416 | ||||||||
Total | 549,261,363 | |||||||||||
REITS 1.52% | ||||||||||||
Crown Castle, Inc. | 2.50% | 7/15/2031 | 55,438,000 | 46,623,883 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2030 | 26,711,000 | 23,718,834 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
REITS (continued) | ||||||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | $ | 19,738,000 | $ | 16,949,225 | ||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 17,444,000 | 17,037,826 | ||||||||
Goodman U.S. Finance Five LLC† | 4.625% | 5/4/2032 | 22,454,000 | 21,041,360 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 11,543,000 | 10,017,917 | ||||||||
Prologis LP | 4.375% | 2/1/2029 | 14,925,000 | 14,600,342 | ||||||||
Rayonier LP | 2.75% | 5/17/2031 | 49,647,000 | 41,027,835 | ||||||||
SBA Communications Corp. | 3.875% | 2/15/2027 | 50,424,000 | 47,647,322 | ||||||||
Service Properties Trust | 7.50% | 9/15/2025 | 13,542,000 | 13,375,670 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 22,094,000 | 21,389,184 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 65,109,000 | 59,329,575 | ||||||||
Total | 332,758,973 | |||||||||||
Retail 1.86% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada)†(b) | 4.00% | 10/15/2030 | 25,190,000 | 21,623,096 | ||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada)†(b) | 4.375% | 1/15/2028 | 9,028,000 | 8,343,316 | ||||||||
Asbury Automotive Group, Inc.† | 4.625% | 11/15/2029 | 33,850,000 | 30,341,786 | ||||||||
Bath & Body Works, Inc. | 5.25% | 2/1/2028 | 20,650,000 | 19,750,899 | ||||||||
Bath & Body Works, Inc.† | 6.625% | 10/1/2030 | 17,059,000 | 16,645,831 | ||||||||
Dollar Tree, Inc. | 3.375% | 12/1/2051 | 31,595,000 | 22,335,404 | ||||||||
Gap, Inc. (The)† | 3.875% | 10/1/2031 | 32,431,000 | 22,532,086 | ||||||||
Genuine Parts Co. | 2.75% | 2/1/2032 | 28,763,000 | 23,915,985 | ||||||||
Murphy Oil USA, Inc.† | 3.75% | 2/15/2031 | 40,965,000 | 34,555,002 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 25,575,000 | 23,329,520 | ||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC† | 7.125% | 4/1/2026 | 13,510,000 | 12,696,293 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 17,685,000 | 16,617,710 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 7.75% | 2/15/2029 | 31,958,000 | 31,404,487 | ||||||||
SRS Distribution, Inc.† | 4.625% | 7/1/2028 | 29,451,000 | 26,195,781 | ||||||||
Stonegate Pub Co. Financing 2019 plc(d) | 8.00% | 7/13/2025 | GBP | 19,055,000 | 21,765,880 | |||||||
Stonegate Pub Co. Financing 2019 plc(d) | 8.25% | 7/31/2025 | GBP | 34,850,000 | 40,247,340 | |||||||
Tiffany & Co. | 4.90% | 10/1/2044 | $ | 24,113,000 | 22,456,160 | |||||||
White Cap Buyer LLC† | 6.875% | 10/15/2028 | 14,313,000 | 12,428,816 | ||||||||
Total | 407,185,392 | |||||||||||
Savings & Loans 0.00% | ||||||||||||
Washington Mutual Bank(h) | 6.875% | 6/15/2011 | 22,500,000 | – | (f)(g) | |||||||
Semiconductors 0.91% | ||||||||||||
Entegris Escrow Corp.† | 4.75% | 4/15/2029 | 24,044,000 | 22,753,140 | ||||||||
KLA Corp. | 4.10% | 3/15/2029 | 22,701,000 | 22,366,240 | ||||||||
Lam Research Corp. | 4.875% | 3/15/2049 | 14,175,000 | 14,054,338 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Semiconductors (continued) | ||||||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | $ | 68,076,000 | $ | 61,354,632 | ||||||
Qorvo, Inc. | 4.375% | 10/15/2029 | 21,594,000 | 19,917,226 | ||||||||
Skyworks Solutions, Inc. | 3.00% | 6/1/2031 | 11,235,000 | 9,355,488 | ||||||||
TSMC Arizona Corp. | 3.25% | 10/25/2051 | 62,460,000 | 48,636,378 | ||||||||
Total | 198,437,442 | |||||||||||
Shipbuilding 0.19% | ||||||||||||
Huntington Ingalls Industries, Inc. | 4.20% | 5/1/2030 | 44,684,000 | 41,864,472 | ||||||||
Software 1.56% | ||||||||||||
Autodesk, Inc. | 3.50% | 6/15/2027 | 8,727,000 | 8,353,003 | ||||||||
Cloud Software Group Holdings, Inc.† | 6.50% | 3/31/2029 | 31,497,000 | 27,891,191 | ||||||||
Intuit, Inc. | 1.65% | 7/15/2030 | 35,786,000 | 29,826,797 | ||||||||
MSCI, Inc.† | 3.25% | 8/15/2033 | 31,224,000 | 25,598,976 | ||||||||
MSCI, Inc.† | 3.875% | 2/15/2031 | 66,243,000 | 59,022,513 | ||||||||
MSCI, Inc.† | 4.00% | 11/15/2029 | 44,098,000 | 40,283,523 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 24,213,000 | 22,649,231 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 64,100,000 | 55,028,247 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 30,563,000 | 24,450,078 | ||||||||
ServiceNow, Inc. | 1.40% | 9/1/2030 | 33,555,000 | 27,046,495 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 23,288,000 | 21,372,140 | ||||||||
Total | 341,522,194 | |||||||||||
Telecommunications 2.45% | ||||||||||||
Altice France SA (France)†(b) | 5.50% | 10/15/2029 | 27,368,000 | 20,951,734 | ||||||||
Connect Finco Sarl/Connect U.S. Finco LLC (Luxembourg)†(b) | 6.75% | 10/1/2026 | 27,239,000 | 25,629,175 | ||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | 47,940,000 | 43,625,400 | ||||||||
Frontier Communications Holdings LLC† | 8.75% | 5/15/2030 | 22,488,000 | 22,422,447 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 20,825,000 | 19,778,231 | ||||||||
NTT Finance Corp. (Japan)†(b) | 4.372% | 7/27/2027 | 22,947,000 | 22,755,306 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 112,833,000 | 121,351,892 | ||||||||
T-Mobile USA, Inc. | 3.375% | 4/15/2029 | 118,002,000 | 107,687,138 | ||||||||
T-Mobile USA, Inc. | 3.875% | 4/15/2030 | 22,837,000 | 21,446,270 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(b) | 4.25% | 1/31/2031 | 79,166,000 | 67,449,432 | ||||||||
Vmed O2 UK Financing I plc (United Kingdom)†(b) | 4.75% | 7/15/2031 | 50,058,000 | 42,970,038 | ||||||||
Xiaomi Best Time International Ltd. (Hong Kong)†(b) | 4.10% | 7/14/2051 | 31,639,000 | 19,407,076 | ||||||||
Total | 535,474,139 |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Transportation 0.34% | ||||||||||||
Central Japan Railway Co. (Japan)(b) | 2.20% | 10/2/2024 | $ | 22,314,000 | $ | 21,349,143 | ||||||
Central Japan Railway Co. (Japan)†(b) | 4.25% | 11/24/2045 | 20,040,000 | 17,917,596 | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | 1.875% | 8/20/2035 | 27,142,624 | 22,923,675 | ||||||||
Union Pacific Corp. | 3.00% | 4/15/2027 | 13,240,000 | 12,644,975 | ||||||||
Total | 74,835,389 | |||||||||||
Trucking & Leasing 0.08% | ||||||||||||
Fortress Transportation and Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 20,296,000 | 18,541,614 | ||||||||
Total Corporate Bonds (cost $16,541,755,719) | 15,442,041,018 | |||||||||||
FLOATING RATE LOANS(k) 1.49% | ||||||||||||
Aerospace/Defense 0.10% | ||||||||||||
Alloy Finco Limited 2020 USD Term Loan B2 (Jersey)(b) | 11.325% (3 Mo. LIBOR + 6.50%) | 3/6/2024 | 8,102,769 | 7,802,318 | ||||||||
Alloy Finco Limited USD Holdco PIK Term Loan PIK 13.50% (Jersey)(b) | 0.50% | 3/6/2025 | 16,626,487 | 14,194,863 | ||||||||
Total | 21,997,181 | |||||||||||
Automotive 0.10% | ||||||||||||
DexKo Global Inc. 2021 USD Term Loan B | 8.909% (3 Mo. LIBOR + 3.75%) | 10/4/2028 | 23,424,637 | 22,004,518 | ||||||||
Beverages 0.10% | ||||||||||||
Sunshine Investments B.V. 2022 USD Term Loan (Netherlands)(b) | 9.011% (3 Mo. Term SOFR + 4.25%) | 7/12/2029 | 22,369,781 | 22,099,443 | ||||||||
Diversified Capital Goods 0.12% | ||||||||||||
CeramTec AcquiCo GmbH 2022 EUR Term Loan B(d) | 6.448% (3 Mo. EURIBOR + 3.75%) | 3/16/2029 | EUR | 25,074,401 | 25,929,382 | |||||||
Electric: Generation 0.29% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 8.10% (1 Mo. LIBOR + 3.25%) | 12/10/2027 | $ | 36,765,202 | 36,553,802 | |||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 8.66% (3 Mo. LIBOR + 3.50%) | 10/1/2027 | 24,914,610 | 24,329,116 | ||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 6.659% (3 Mo. LIBOR + 1.50%) | 7/28/2028 | 1,720,948 | 645,355 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric: Generation (continued) | ||||||||||||
Frontera Generation Holdings LLC 2021 Term Loan | 18.159% (3 Mo. LIBOR + 13.00%) | 7/28/2026 | $ | 1,773,053 | $ | 1,781,918 | ||||||
Total | 63,310,191 | |||||||||||
Electric: Integrated 0.16% | ||||||||||||
Generation Bridge Acquisition, LLC Term Loan B | 10.159% (3 Mo. LIBOR + 5.00%) | 12/1/2028 | 13,389,804 | 13,386,992 | ||||||||
Generation Bridge Acquisition, LLC Term Loan C | 10.159% (3 Mo. LIBOR + 5.00%) | 12/1/2028 | 304,453 | 304,389 | ||||||||
Helix Gen Funding, LLC Term Loan B | 8.59% (1 Mo. LIBOR + 3.75%) | 6/3/2024 | 23,000,306 | 22,838,959 | ||||||||
Total | 36,530,340 | |||||||||||
Entertainment 0.05% | ||||||||||||
Vue International Bidco p.l.c. 2022 EUR Term Loan(d) | 11.086% (6 Mo. EURIBOR + 8.00%) | 6/30/2027 | EUR | 2,436,933 | 2,259,639 | |||||||
Vue International Bidco p.l.c. 2023 EUR PIK Term Loan PIK 6.00%(d) | 4.346% (3 Mo. EURIBOR + 2.00%) | 12/31/2027 | EUR | 13,722,988 | 8,501,674 | |||||||
Total | 10,761,313 | |||||||||||
Gas Distribution 0.07% | ||||||||||||
Freeport LNG Investments, LLLP Term Loan B | 8.308% (3 Mo. LIBOR + 3.50%) | 12/21/2028 | $ | 15,740,546 | 15,285,172 | |||||||
Health Care Products 0.10% | ||||||||||||
Bausch & Lomb, Inc. Term Loan (Canada)(b) | 8.457% (3 Mo. Term SOFR + 3.25%) | 5/10/2027 | 22,472,167 | 21,879,127 | ||||||||
Information Technology 0.10% | ||||||||||||
Cloud Software Group, Inc. 2022 USD Term Loan | 9.50% (3 Mo. Term SOFR + 4.50%) | 3/30/2029 | 23,425,696 | 21,375,948 | ||||||||
Manufacturing 0.20% | ||||||||||||
Frontier Communications Corp. 2021 1st Lien Term Loan | 8.625% (1 Mo. LIBOR + 3.75%) | 5/1/2028 | 22,523,110 | 21,453,262 | ||||||||
Madison IAQ LLC Term Loan | 8.302% (6 Mo. LIBOR + 3.25%) | 6/21/2028 | 22,748,490 | 21,704,903 | ||||||||
Total | 43,158,165 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Metal Fabricate/Hardware 0.10% | ||||||||||||
Tank Holding Corp. 2022 Term Loan | 10.657% - 12.75% (1 Mo. Term SOFR + 5.75%) | 3/31/2028 | $ | 22,099,999 | $ | 21,298,873 | ||||||
Personal & Household Products 0.00% | ||||||||||||
FGI Operating Company, LLC Exit Term Loan(h) | – | (l) | 5/16/2023 | 808,205 | 101,430 | (m) | ||||||
Revlon Consumer Products Corporation 2020 Additional Term Loan B2 | 8.144% (3 Mo. LIBOR + 3.50%) | 6/30/2025 | 198 | 108 | ||||||||
Total | 101,538 | |||||||||||
Total Floating Rate Loans (cost $335,068,418) | 325,731,191 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 1.82% | ||||||||||||
Argentina 0.15% | ||||||||||||
Argentine Republic Government International Bond(b) | 0.50% | (n) | 7/9/2030 | 112,506,166 | 32,871,978 | |||||||
Bermuda 0.20% | ||||||||||||
Bermuda Government International Bond† | 2.375% | 8/20/2030 | 25,925,000 | 22,240,214 | ||||||||
Bermuda Government International Bond† | 3.375% | 8/20/2050 | 29,487,000 | 21,113,878 | ||||||||
Total | 43,354,092 | |||||||||||
Costa Rica 0.25% | ||||||||||||
Costa Rica Government International Bond†(b) | 7.158% | 3/12/2045 | 54,766,000 | 54,248,688 | ||||||||
Dominican Republic 0.32% | ||||||||||||
Dominican Republic International Bond†(b) | 6.00% | 2/22/2033 | 76,808,000 | 70,587,823 | ||||||||
Ecuador 0.09% | ||||||||||||
Ecuador Government International Bond†(b) | 5.50% | (n) | 7/31/2030 | 42,414,918 | 19,928,281 | |||||||
Hong Kong 0.08% | ||||||||||||
Airport Authority†(b) | 4.875% | 1/12/2033 | 17,288,000 | 17,846,711 | ||||||||
Philippines 0.08% | ||||||||||||
Philippine Government International Bond(b) | 5.00% | 7/17/2033 | 17,947,000 | 18,260,445 | ||||||||
Serbia 0.10% | ||||||||||||
Serbia International Bond†(b) | 6.25% | 5/26/2028 | 22,315,000 | 22,589,921 | ||||||||
South Africa 0.20% | ||||||||||||
Republic of South Africa(b) | 4.30% | 10/12/2028 | 48,117,000 | 43,277,633 | ||||||||
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Sri Lanka 0.08% | ||||||||||||
Sri Lanka Government International Bond†(b)(h) | 5.875% | 7/25/2022 | $ | 45,243,000 | $ | 17,739,145 | ||||||
Turkey 0.27% | ||||||||||||
Turkey Government International Bond(b) | 5.125% | 2/17/2028 | 66,497,000 | 58,305,900 | ||||||||
Total Foreign Government Obligations (cost $447,991,230) | 399,010,617 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 12.49% | ||||||||||||
Fannie Mae or Freddie Mac(o) | 2.00% | TBA | 94,417,000 | 78,138,535 | ||||||||
Fannie Mae or Freddie Mac(o) | 4.00% | TBA | 68,931,000 | 65,963,999 | ||||||||
Fannie Mae or Freddie Mac(o) | 4.50% | TBA | 79,396,000 | 77,816,680 | ||||||||
Fannie Mae or Freddie Mac(o) | 5.00% | TBA | 26,639,000 | 26,814,250 | ||||||||
Fannie Mae or Freddie Mac(o) | 5.50% | TBA | 278,530,000 | 281,767,777 | ||||||||
Fannie Mae or Freddie Mac(o) | 6.00% | TBA | 186,023,000 | 189,772,139 | ||||||||
Fannie Mae or Freddie Mac(o) | 6.50% | TBA | 140,311,000 | 144,553,216 | ||||||||
Fannie Mae Pool | 2.00% | 6/1/2051 - 11/1/2051 | 71,538,233 | 59,407,254 | ||||||||
Fannie Mae Pool | 2.50% | 6/1/2051 - 12/1/2051 | 178,341,844 | 155,907,143 | ||||||||
Fannie Mae Pool | 3.00% | 1/1/2051 | 13,771,919 | 12,545,445 | ||||||||
Fannie Mae Pool | 3.50% | 9/1/2051 - 4/1/2052 | 53,380,682 | 50,211,779 | ||||||||
Fannie Mae Pool | 4.00% | 5/1/2052 | 89,419,261 | 87,013,556 | ||||||||
Fannie Mae Pool | 5.00% | 7/1/2052 | 62,572,060 | 63,590,271 | ||||||||
Federal Home Loan Mortgage Corp. | 2.50% | 7/1/2051 | 9,688,928 | 8,435,755 | ||||||||
Federal Home Loan Mortgage Corp. | 3.50% | 8/1/2045 | 38,373,916 | 36,263,968 | ||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 | 45,595,810 | 46,244,518 | ||||||||
Ginnie Mae(o) | 3.00% | TBA | 148,709,000 | 135,556,648 | ||||||||
Ginnie Mae(o) | 3.50% | TBA | 65,450,000 | 61,402,837 | ||||||||
Ginnie Mae(o) | 4.00% | TBA | 118,032,000 | 113,667,857 | ||||||||
Ginnie Mae(o) | 4.50% | TBA | 117,633,000 | 115,887,310 | ||||||||
Ginnie Mae(o) | 5.00% | TBA | 412,876,000 | 413,083,104 | ||||||||
Ginnie Mae(o) | 5.50% | TBA | 177,570,000 | 179,476,987 | ||||||||
Ginnie Mae(o) | 6.00% | TBA | 229,740,000 | 233,887,487 | ||||||||
Ginnie Mae(o) | 6.50% | TBA | 95,395,000 | 98,089,573 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $2,741,870,936) | 2,735,498,088 |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
MUNICIPAL BONDS 1.48% | ||||||||||||
Education 0.27% | ||||||||||||
California State University | 3.899% | 11/1/2047 | $ | 27,485,000 | $ | 23,773,219 | ||||||
Ohio University | 5.59% | 12/1/2114 | 11,009,000 | 10,591,482 | ||||||||
Permanent University Fund - Texas A&M University System | 3.66% | 7/1/2047 | 29,070,000 | 25,428,360 | ||||||||
Total | 59,793,061 | |||||||||||
General Obligation 0.09% | ||||||||||||
State of California GO | 7.55% | 4/1/2039 | 14,890,000 | 19,315,598 | ||||||||
Government 0.38% | ||||||||||||
Foothill-Eastern Transportation Corridor Agency CA | 4.094% | 1/15/2049 | 26,814,000 | 23,641,322 | ||||||||
New Jersey Transportation Trust Fund Authority | 4.131% | 6/15/2042 | 18,690,000 | 16,558,574 | ||||||||
State of Illinois GO | 5.10% | 6/1/2033 | 43,750,000 | 43,691,073 | ||||||||
Total | 83,890,969 | |||||||||||
Miscellaneous 0.32% | ||||||||||||
Dallas Convention Center Hotel Development Corp. TX | 7.088% | 1/1/2042 | 17,645,000 | 20,422,701 | ||||||||
New York City Industrial Development Agency NY† | 11.00% | 3/1/2029 | 15,138,000 | 17,989,133 | ||||||||
Pasadena Public Financing Authority CA | 7.148% | 3/1/2043 | 26,570,000 | 32,313,183 | ||||||||
Total | 70,725,017 | |||||||||||
Tax Revenue 0.11% | ||||||||||||
County of Miami-Dade FL | 2.786% | 10/1/2037 | 11,390,000 | 8,820,034 | ||||||||
Memphis-Shelby County Industrial Development Board Tax Allocation TN(h) | 7.00% | 7/1/2045 | 22,085,000 | 14,110,014 | (e) | |||||||
Total | 22,930,048 | |||||||||||
Transportation 0.31% | ||||||||||||
County of Miami-Dade Aviation Revenue FL | 3.982% | 10/1/2041 | 13,800,000 | 11,956,190 | ||||||||
County of Miami-Dade Aviation Revenue FL | 4.28% | 10/1/2041 | 17,890,000 | 16,270,118 | ||||||||
Metropolitan Transportation Authority NY | 5.175% | 11/15/2049 | 17,860,000 | 16,292,796 | ||||||||
Metropolitan Transportation Authority NY | 6.668% | 11/15/2039 | 8,970,000 | 9,686,817 | ||||||||
Port of Seattle WA | 3.755% | 5/1/2036 | 13,790,000 | 12,639,806 | ||||||||
Total | 66,845,727 | |||||||||||
Total Municipal Bonds (cost $374,147,294) | 323,500,420 |
See Notes to Schedule of Investments. | 29 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 6.03% | ||||||||||||
BBCMS Mortgage Trust 2019-BWAY A† | 5.898% (1 Mo. Term SOFR + 1.07%) | # | 11/15/2034 | $ | 24,790,000 | $ | 23,015,376 | |||||
Benchmark Mortgage Trust 2019-B12 WMA† | 4.246% | #(p) | 8/15/2052 | 35,249,000 | 31,235,803 | (e) | ||||||
BHMS 2018-ATLS A† | 5.934% (1 Mo. LIBOR + 1.25%) | # | 7/15/2035 | 60,690,000 | 58,463,132 | |||||||
BX 2021-MFM1 B† | 5.892% (1 Mo. Term SOFR + 1.06%) | # | 1/15/2034 | 6,365,887 | 6,125,580 | |||||||
BX 2021-MFM1 C† | 6.142% (1 Mo. Term SOFR + 1.31%) | # | 1/15/2034 | 3,811,394 | 3,641,248 | |||||||
BX Commercial Mortgage Trust 2020-VIV4 A† | 2.843% | 3/9/2044 | 14,051,000 | 11,486,558 | ||||||||
BX Commercial Mortgage Trust 2021-VOLT A† | 5.384% (1 Mo. LIBOR + .70%) | # | 9/15/2036 | 27,805,000 | 26,773,276 | |||||||
BX Trust 2022-PSB A† | 7.278% (1 Mo. Term SOFR + 2.45%) | # | 8/15/2039 | 13,705,110 | 13,653,812 | |||||||
CF Trust 2019-BOSS A1† | 7.934% (1 Mo. LIBOR + 3.25%) | # | 12/15/2024 | 18,050,000 | 16,865,290 | |||||||
CIM Trust 2020-J1 A2† | 2.50% | #(p) | 7/25/2050 | 9,222,378 | 7,622,357 | |||||||
CIM Trust 2021-J1 A1† | 2.50% | #(p) | 3/25/2051 | 9,653,564 | 7,894,596 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 C | 4.748% | #(p) | 2/10/2049 | 8,510,000 | 6,904,531 | |||||||
Citigroup Mortgage Loan Trust 2022-INV1 A3B† | 3.00% | #(p) | 11/27/2051 | 65,959,941 | 56,010,036 | |||||||
Citigroup Mortgage Loan Trust, Inc. 2021-INV2 A3A† | 2.50% | #(p) | 5/25/2051 | 44,813,545 | 36,480,708 | |||||||
COMM Mortgage Trust 2014-UBS5 AM | 4.193% | #(p) | 9/10/2047 | 17,756,000 | 17,120,726 | |||||||
Connecticut Avenue Securities Trust 2019-R05 1B1† | 8.945% (1 Mo. LIBOR + 4.10%) | # | 7/25/2039 | 20,405,152 | 20,640,252 | |||||||
Connecticut Avenue Securities Trust 2022-R01 1B2† | 10.56% (1 Mo. SOFR + 6.00%) | # | 12/25/2041 | 25,930,000 | 23,412,799 | |||||||
Connecticut Avenue Securities Trust 2022-R02 2M1† | 5.76% (1 Mo. SOFR + 1.20%) | # | 1/25/2042 | 17,420,691 | 17,285,086 | |||||||
Connecticut Avenue Securities Trust 2022-R08 1M1† | 7.11% (1 Mo. SOFR + 2.55%) | # | 7/25/2042 | 22,199,543 | 22,355,189 | |||||||
Connecticut Avenue Securities Trust 2023-R01 1M1† | 6.968% (1 Mo. SOFR + 2.40%) | # | 12/25/2042 | 50,041,492 | 50,186,442 |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates Trust 2022-MARK B† | 8.272% (1 Mo. Term SOFR + 3.44%) | # | 6/15/2039 | $ | 9,900,000 | $ | 9,788,366 | |||||
CS Master Trust 2021-AHP A† | 8.668% (1 Mo. LIBOR + 3.95%) | # | 4/15/2025 | 33,915,000 | 33,766,079 | |||||||
CS Master Trust 2021-BLUF A† | 8.896% (1 Mo. LIBOR + 4.18%) | # | 4/15/2023 | 19,335,000 | 19,165,413 | |||||||
CSMC 2021-BPNY A† | 8.399% (1 Mo. LIBOR + 3.71%) | # | 8/15/2023 | 47,185,000 | 45,156,894 | |||||||
CSMC 2021-BRIT A† | 8.401% (1 Mo. Term SOFR + 3.57%) | # | 5/15/2023 | 75,647,513 | 71,127,029 | |||||||
DCP Rights LLC A | 7.55% | 1/15/2024 | 81,900,000 | 82,072,133 | ||||||||
Flagstar Mortgage Trust 2021-8INV A3† | 2.50% | #(p) | 9/25/2051 | 11,087,182 | 9,025,580 | |||||||
Freddie Mac Stacr Remic Trust 2020-DNA1 B1† | 7.145% (1 Mo. LIBOR + 2.30%) | # | 1/25/2050 | 10,710,000 | 10,368,919 | |||||||
Freddie Mac STACR Remic Trust 2020-DNA2 B1† | 7.345% (1 Mo. LIBOR + 2.50%) | # | 2/25/2050 | 12,505,000 | 11,915,380 | |||||||
Freddie Mac STACR REMIC Trust 2021-HQA3 M1† | 5.41% (1 Mo. SOFR + .85%) | # | 9/25/2041 | 14,030,988 | 13,546,557 | |||||||
Freddie Mac STACR REMIC Trust 2022-DNA2 M1B† | 6.96% (1 Mo. SOFR + 2.40%) | # | 2/25/2042 | 16,065,000 | 15,626,326 | |||||||
Freddie Mac STACR REMIC Trust 2022-DNA5 M1B† | 9.06% (1 Mo. SOFR + 4.50%) | # | 6/25/2042 | 11,505,000 | 11,953,909 | |||||||
Freddie Mac STACR REMIC Trust 2022-HQA3 M1A† | 6.86% (1 Mo. SOFR + 2.30%) | # | 8/25/2042 | 33,921,906 | 34,027,810 | |||||||
Freddie Mac STACR REMIC Trust 2022-HQA3 M1B† | 8.11% (1 Mo. SOFR + 3.55%) | # | 8/25/2042 | 27,715,000 | 27,152,538 | |||||||
Freddie Mac STACR Trust 2019-DNA3 B1† | 8.095% (1 Mo. LIBOR + 3.25%) | # | 7/25/2049 | 5,387,000 | 5,458,571 | |||||||
GS Mortgage Securities Corp Trust 2022-ECI B† | 7.771% (1 Mo. Term SOFR + 2.94%) | # | 8/15/2039 | 23,620,000 | 23,522,324 | |||||||
GS Mortgage Securities Corp. 2021-PJ6 A8† | 2.50% | #(p) | 11/25/2051 | 16,071,397 | 13,940,364 | |||||||
GS Mortgage Securities Corp. II 2021-ARDN C† | 6.734% (1 Mo. LIBOR + 2.05%) | # | 11/15/2036 | 15,795,000 | 14,994,361 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. II 2021-ARDN D† | 7.434% (1 Mo. LIBOR + 2.75%) | # | 11/15/2036 | $ | 27,630,000 | $ | 26,163,159 | |||||
GS Mortgage Securities Corp. Trust 2021-PJ1 A2† | 2.50% | #(p) | 6/25/2051 | 19,903,028 | 16,345,407 | |||||||
GS Mortgage Securities Corp. Trust 2021-PJ5 A2† | 2.50% | #(p) | 10/25/2051 | 7,245,441 | 5,898,190 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT E† | 7.528% (1 Mo. LIBOR + 2.75%) | # | 11/21/2035 | 11,348,383 | 10,385,890 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT F† | 8.428% (1 Mo. LIBOR + 3.65%) | # | 11/21/2035 | 8,312,835 | 7,515,532 | |||||||
GS Mortgage Securities Corp. Trust 2021-RENT G† | 10.478% (1 Mo. LIBOR + 5.70%) | # | 11/21/2035 | 593,847 | 511,169 | |||||||
GS Mortgage Securities Corp. Trust 2021-RSMZ MZ† | 14.184% (1 Mo. LIBOR + 9.50%) | # | 6/15/2026 | 69,790,000 | 66,872,024 | |||||||
GS Mortgage Securities Corp. Trust 2023-FUN A† | 6.75% (1 Mo. Term SOFR + 2.09%) | # | 3/15/2028 | 33,890,000 | 33,880,328 | |||||||
GS Mortgage Securities Trust 2021-PJ6 A2† | 2.50% | #(p) | 11/25/2051 | 22,807,159 | 18,566,291 | |||||||
GS Mortgage Securities Trust 2021-PJ7 A2† | 2.50% | #(p) | 1/25/2052 | 14,782,287 | 12,033,601 | |||||||
Hilton Orlando Trust 2018-ORL A† | 5.704% (1 Mo. LIBOR + 1.02%) | # | 12/15/2034 | 9,363,000 | 9,171,064 | |||||||
HPLY Trust 2019-HIT A† | 5.684% (1 Mo. LIBOR + 1.00%) | # | 11/15/2036 | 15,991,282 | 15,643,198 | |||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP B† | 5.934% (1 Mo. Term SOFR + 1.11%) | # | 4/15/2037 | 37,704,494 | 34,449,179 | |||||||
JP Morgan Mortgage Trust 2020-7 A3† | 3.00% | #(p) | 1/25/2051 | 9,458,089 | 8,149,125 | |||||||
JP Morgan Mortgage Trust 2021-12 A3† | 2.50% | #(p) | 2/25/2052 | 11,847,896 | 9,615,338 | |||||||
JP Morgan Mortgage Trust 2021-7 A3† | 2.50% | #(p) | 11/25/2051 | 7,966,515 | 6,465,344 | |||||||
JP Morgan Mortgage Trust 2021-INV5 A2† | 3.00% | #(p) | 12/25/2051 | 9,948,822 | 8,448,065 | |||||||
JP Morgan Mortgage Trust 2021-INV8 A2† | 3.00% | #(p) | 5/25/2052 | 41,719,278 | 35,426,020 | |||||||
JP Morgan Mortgage Trust 2022-4 A2A† | 3.00% | #(p) | 10/25/2052 | 18,131,829 | 15,486,992 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2021-BOLT D† | 11.385% (1 Mo. LIBOR + 6.70%) | # | 8/15/2033 | 41,665,000 | 40,959,732 | |||||||
Life Mortgage Trust 2022-BMR2 A1† | 6.122% (1 Mo. Term SOFR + 1.30%) | # | 5/15/2039 | 29,175,000 | 28,571,069 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,360,628,520) | 1,320,338,067 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Dividend Rate | Shares | Fair Value | |||||||||
PREFERRED STOCKS 0.05% | ||||||||||||
Transportation Infrastructure | ||||||||||||
ACBL Holdings Corp. | Zero Coupon | 150,711 | $ | 3,240,286 | ||||||||
ACBL Holdings Corp. | Zero Coupon | 205,069 | 8,407,829 | |||||||||
Total Preferred Stocks (cost $8,894,500) | 11,648,115 | |||||||||||
Exercise Price | Expiration Date | |||||||||||
RIGHTS 0.00% | ||||||||||||
Cosmetics/Personal Care | ||||||||||||
Revlon, Inc.* (cost $591,988) | Zero Coupon | 9/7/2023 | 1,798,428 | 2 | (g) | |||||||
Interest Rate | Maturity Date | Principal Amount | ||||||||||
U.S. TREASURY OBLIGATIONS 2.51% | ||||||||||||
U.S. Treasury Inflation Indexed Bond(q) | 1.50% | 2/15/2053 | $ | 79,818,713 | 80,988,972 | |||||||
U.S. Treasury Inflation Indexed Note(q) | 1.625% | 10/15/2027 | 273,416,251 | 278,856,764 | ||||||||
U.S. Treasury Inflation-Indexed Note(q) | 1.125% | 1/15/2033 | 190,289,122 | 189,966,622 | ||||||||
Total U.S. Treasury Obligations (cost $539,440,634) | 549,812,358 | |||||||||||
Total Long-Term Investments (cost $24,913,970,219) | 23,695,432,247 | |||||||||||
SHORT-TERM INVESTMENTS 1.75% | ||||||||||||
Repurchase Agreements 1.69% | ||||||||||||
Repurchase Agreement dated 3/31/2023, 4.860 due 4/3/2023 with Barclays Bank PLC collateralized by $129,897,000 of U.S. Treasury Bond at 3.625% due 3/31/2030; value: $129,845,041; proceeds: $127,350,616 (cost $127,299,060) | 127,299,060 | 127,299,060 | ||||||||||
Repurchase Agreement dated 3/31/2023, 2.400 due 4/3/2023 with Fixed Income Clearing Corp. collateralized by $178,741,900 of U.S. Treasury Note at 2.375% due 8/15/2024; value: $174,328,537; proceeds: $170,944,477; (cost $170,910,295) | 170,910,295 | 170,910,295 | ||||||||||
Repurchase Agreement dated 3/31/2023, 4.870 due 4/3/2023 with Toronto Dominion Grand Cayman collateralized by $72,766,000 of U.S. Treasury Bond at 4.93% due 5/10/2021; value: $74,310,795; proceeds: $72,728,623 (cost $72,699,119) | 72,699,119 | 72,699,119 | ||||||||||
Total Repurchase Agreements (cost $370,908,474) | 370,908,474 |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Investments | Shares | Fair Value | ||||||
MONEY MARKET FUNDS 0.05% | ||||||||
Fidelity Government Portfolio(r) (cost $11,580,953) | 11,580,953 | $ | 11,580,953 | |||||
TIME DEPOSITS 0.01% | ||||||||
CitiBank N.A.(r) (cost $1,286,773) | 1,286,773 | 1,286,773 | ||||||
Total Short-Term Investments (cost $383,776,200) | 383,776,200 | |||||||
Total Investments in Securities 109.97% (cost $25,297,746,419) | 24,079,208,447 | |||||||
Other Assets and Liabilities – Net(s) (9.97)% | (2,183,258,948 | ) | ||||||
Net Assets 100.00% | $ | 21,895,949,499 |
EUR | Euro. | |
GBP | British Pound. | |
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 March 31, 2023, the total value of Rule 144A securities was $10,618,525,164, which represents 48.50% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at March 31, 2023. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. | |
(d) | Investment in non-U.S. dollar denominated securities. | |
(e) | 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. | |
(f) | Amount is less than $1. | |
(g) | Level 3 Investment as described in Note 2(b) in the Notes to Schedule of Investments. Security fair valued by the Pricing Committee. | |
(h) | Defaulted (non-income producing security). | |
(i) | Security is perpetual in nature and has no stated maturity. | |
(j) | Security has been fully or partially segregated for open reverse repurchase agreements as of March 31,2023. | |
(k) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at March 31, 2023. | |
(l) | Interest Rate to be determined. | |
(m) | 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 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. | |
(n) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(o) | 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. | |
(p) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
(q) | 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. | |
(r) | Security was purchased with the cash collateral from loaned securities. | |
(s) | Other Assets and Liabilities – Net include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swap contracts as follows: |
Centrally Cleared Consumer Price Index (“CPI”) Swap Contracts at March 31, 2023:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Value/Unrealized Appreciation | ||||||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | $ | 60,151,898 | $ | 129,262 | ||||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | 29,848,102 | 64,141 | (1) | |||||||||
Bank of America | 2.564% | CPI Urban Consumer NSA | 2/10/2028 | 437,877,000 | 1,135,949 | ||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 1,329,352 |
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 | $ | (7,831,022 | ) | |||||||
Bank of America | 2.665% | CPI Urban Consumer NSA | 5/12/2052 | 97,080,000 | (4,125,016 | ) | |||||||||
Total Unrealized Depreciation on Centrally Cleared CPI Swap Contracts | $ | (11,956,038 | ) |
(1) | Unrealized depreciation on Centrally Cleared CPI Swap Contract is $76,438, which includes upfront payment of $140,579. Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
Credit Default Swap Contracts on Issuers - Buy Protection at March 31, 2023(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(5) | BNP Paribas S.A. | 1.000% | 12/20/2027 | EUR | 40,937,540 | $ | 2,035,204 | $ | (406,441) | $ | 1,628,763 | ||||||||||||
Credit Suisse Group AG(5) | BNP Paribas S.A. | 1.000% | 12/20/2027 | 19,042,839 | 985,951 | (228,302) | 757,649 | ||||||||||||||||
Credit Suisse Group AG(5) | J.P. Morgan | 1.000% | 12/20/2027 | 14,282,129 | 890,325 | (322,089) | 568,236 | ||||||||||||||||
$ | 3,911,480 | $ | (956,832) | $ | 2,954,648 | ||||||||||||||||||
Credit Default Swap Contracts on Indexes - Sell Protection at March 31, 2023(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 | $ | (109,562) | $ | (436,663) | $ | (546,225 | ) | |||||||||||
Markit CMBX.NA.AA.8 | Citibank | 1.500% | 10/17/2057 | 18,980,000 | 91,763 | (391,246) | (299,483 | ) | |||||||||||||||
$ | (17,799) | $ | (827,909) | $ | (845,708 | ) |
* | The Referenced Index is for the Credit Default Swap Contracts on Indexes, which is comprised of a basket of commercial mortgage-backed securities. |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap contract agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap contracts 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 contracts 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 contract agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap contracts 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 contracts less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments paid (received) are presented net of amortization. | |
(3) | Total unrealized appreciation on Credit Default Swap Contracts on Indexes/Issuers amounted to $0. Total unrealized depreciation on Credit Default Swap Contracts on Indexes/Issuers amounted to $1,784,741. | |
(4) | Includes upfront payments paid (received). | |
(5) | Moody’s Credit Rating: Ba2. |
Forward Foreign Currency Exchange Contracts at March 31, 2023:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||||
Australian dollar | Buy | Morgan Stanley | 5/30/2023 | 5,352,000 | $ | 3,536,052 | $ | 3,584,764 | $ | 48,712 | |||||||||
Australian dollar | Buy | Morgan Stanley | 5/30/2023 | 5,403,000 | 3,566,164 | 3,618,923 | 52,759 | ||||||||||||
Australian dollar | Buy | State Street Bank and Trust | 5/30/2023 | 4,450,000 | 2,941,353 | 2,980,605 | 39,252 | ||||||||||||
Australian dollar | Buy | Toronto Dominion Bank | 5/30/2023 | 12,850,000 | 8,490,551 | 8,606,916 | 116,365 | ||||||||||||
Danish krone | Buy | UBS AG | 4/3/2023 | 15,383,000 | 2,211,668 | 2,239,368 | 27,700 | ||||||||||||
Euro | Buy | State Street Bank and Trust | 6/13/2023 | 3,264,000 | 3,553,595 | 3,553,782 | 187 | ||||||||||||
Swiss franc | Buy | State Street Bank and Trust | 5/23/2023 | 11,877,000 | 12,803,461 | 13,049,789 | 246,328 | ||||||||||||
Swiss franc | Buy | State Street Bank and Trust | 5/23/2023 | 1,850,000 | 2,024,944 | 2,032,677 | 7,733 | ||||||||||||
Australian dollar | Sell | State Street Bank and Trust | 5/30/2023 | 34,602,000 | 23,638,457 | 23,176,381 | 462,076 | ||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 4/20/2023 | 44,500,000 | 33,075,296 | 32,934,328 | 140,968 | ||||||||||||
Swiss franc | Sell | State Street Bank and Trust | 5/23/2023 | 42,295,000 | 46,809,775 | 46,471,399 | 338,376 | ||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 1,480,456 |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
March 31, 2023
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
Australian dollar | Buy | State Street Bank and Trust | 5/30/2023 | 5,956,000 | $ | 4,020,871 | $ | 3,989,322 | $ | (31,549 | ) | |||||||||
Canadian dollar | Buy | Morgan Stanley | 4/20/2023 | 44,500,000 | 33,314,455 | 32,934,327 | (380,128 | ) | ||||||||||||
British pound | Sell | Morgan Stanley | 6/8/2023 | 74,740,000 | 89,995,779 | 92,319,660 | (2,323,881 | ) | ||||||||||||
Danish krone | Sell | Bank of America | 4/3/2023 | 96,245,000 | 13,820,324 | 14,010,787 | (190,463 | ) | ||||||||||||
Danish krone | Sell | Bank of America | 4/3/2023 | 36,375,000 | 5,180,208 | 5,295,261 | (115,053 | ) | ||||||||||||
Danish krone | Sell | Bank of America | 4/3/2023 | 25,958,000 | 3,735,567 | 3,778,815 | (43,248 | ) | ||||||||||||
Danish krone | Sell | State Street Bank and Trust | 6/30/2023 | 165,000,000 | 24,154,890 | 24,158,096 | (3,206 | ) | ||||||||||||
Euro | Sell | State Street Bank and Trust | 6/13/2023 | 182,275,000 | 193,926,018 | 198,457,589 | (4,531,571 | ) | ||||||||||||
Singapore dollar | Sell | J.P. Morgan | 5/22/2023 | 35,250,000 | 26,438,250 | 26,527,644 | (89,394 | ) | ||||||||||||
Total Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (7,708,493 | ) |
Futures Contracts at March 31, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. Ultra Long Bond | June 2023 | 684 | Long | $ | 96,154,337 | $ | 96,529,500 | $ | 375,163 | ||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
S&P 500 E-Mini | June 2023 | 1,995 | Short | $ | (390,427,194 | ) | $ | (412,740,563 | ) | $ | (22,313,369 | ) | |||||||
U.S. 10-Year Treasury Note | June 2023 | 2,896 | Short | (322,448,910 | ) | (332,813,750 | ) | (10,364,840 | ) | ||||||||||
U.S. Long Bond | June 2023 | 3,322 | Short | (423,879,380 | ) | (435,701,063 | ) | (11,821,683 | ) | ||||||||||
U.S. Treasury Notes | June 2023 | 11,279 | Long | 1,240,087,418 | 1,235,138,623 | (4,948,795 | ) | ||||||||||||
US 10-Year Ultra Treasury Note | June 2023 | 920 | Long | 111,691,793 | 111,449,375 | (242,418 | ) | ||||||||||||
Total Unrealized Depreciation on Futures Contracts | $ | (49,691,105 | ) |
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date(2) | Fair Value(3) | ||||||
Barclays Bank plc | $1,106,306 | $1,252,991 principal, Teva Pharmaceutical Finance at 5.125%, due 5/9/2029, $1,136,220 fair value | (5.50)% | 03/01/2023 | On Demand | $1,111,545 |
(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 $5,239. |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
March 31, 2023
The following is a summary of the inputs used as of March 31, 2023 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 1,403,251,295 | $ | – | $ | 1,403,251,295 | ||||||||
Common Stocks | ||||||||||||||||
Automobile Components | 23,917,709 | 6,677,627 | – | 30,595,336 | ||||||||||||
Beverages | – | 46,584,559 | – | 46,584,559 | ||||||||||||
Electric-Generation | – | 1,890 | – | 1,890 | ||||||||||||
Hotels, Restaurants & Leisure | 138,319,444 | 28,906,473 | – | 167,225,917 | ||||||||||||
Miscellaneous Financials | – | 7,418,611 | – | 7,418,611 | ||||||||||||
Personal Care Products | – | 12,560,985 | – | 12,560,985 | ||||||||||||
Specialty Retail | 22,353,209 | – | �� | 7,519,004 | 29,872,213 | |||||||||||
Textiles, Apparel & Luxury Goods | – | 91,329,614 | – | 91,329,614 | ||||||||||||
Transportation Infrastructure | – | 1,324,462 | – | 1,324,462 | ||||||||||||
Remaining Industries | 797,687,489 | – | – | 797,687,489 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Banks | – | 1,003,874,741 | – | (3) | 1,003,874,741 | |||||||||||
Diversified Financials | – | – | – | (3) | – | (3) | ||||||||||
Mining | – | 317,552,879 | – | (4) | 317,552,879 | |||||||||||
Savings & Loans | – | 309,254,079 | – | (3) | 309,254,079 | |||||||||||
Remaining Industries | – | 13,811,359,319 | – | 13,811,359,319 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Personal & Household Products | – | 108 | 101,430 | 101,538 | ||||||||||||
Remaining Industries | – | 325,629,653 | – | 325,629,653 | ||||||||||||
Foreign Government Obligations | – | 399,010,617 | – | 399,010,617 | ||||||||||||
Government Sponsored | ||||||||||||||||
Enterprises Pass-Throughs | – | 2,735,498,088 | – | 2,735,498,088 | ||||||||||||
Municipal Bonds | ||||||||||||||||
Tax Revenue | – | 8,820,034 | 14,110,014 | 22,930,048 | ||||||||||||
Remaining Industries | – | 300,570,372 | – | 300,570,372 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 1,289,102,264 | 31,235,803 | 1,320,338,067 | ||||||||||||
Preferred Stocks | – | 11,648,115 | – | 11,648,115 | ||||||||||||
Rights | – | – | 2 | 2 | ||||||||||||
U.S. Treasury Obligations | – | 549,812,358 | – | 549,812,358 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 370,908,474 | – | 370,908,474 | ||||||||||||
Money Market Funds | 11,580,953 | – | – | 11,580,953 | ||||||||||||
Time Deposits | – | 1,286,773 | – | 1,286,773 | ||||||||||||
Total | $ | 993,858,804 | $ | 23,032,383,390 | $ | 52,966,253 | $ | 24,079,208,447 |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
March 31, 2023
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,329,352 | $ | – | $ | 1,329,352 | ||||||||
Liabilities | – | (11,956,038 | ) | – | (11,956,038 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 2,954,648 | – | 2,954,648 | ||||||||||||
Liabilities | – | (845,708 | ) | – | (845,708 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 1,480,456 | – | 1,480,456 | ||||||||||||
Liabilities | – | (7,708,493 | ) | – | (7,708,493 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 375,163 | – | – | 375,163 | ||||||||||||
Liabilities | (49,691,105 | ) | – | – | (49,691,105 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Asset | – | – | – | – | ||||||||||||
Liabilities | – | (1,111,545 | ) | – | (1,111,545 | ) | ||||||||||
Total | $ | (49,315,942 | ) | $ | (15,857,328 | ) | $ | – | $ | (65,173,270 | ) |
(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. | |
(3) | Amount less than $1. | |
(4) | Includes securities with zero market value. |
A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the period in relation to the Fund’s net assets. Management has determined not to provide a reconciliation as the balance of Level 3 investments was not considered to be material to the Fund’s net assets at the beginning or end of the period.
See Notes to Schedule of Investments. | 39 |
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 its 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 ensures 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. |
40
Notes to Schedule of Investments (unaudited)(continued)
Investments in open-end money market mutual funds are valued at their NAV as of the close of each business day. Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.
(b) | Fair Value Measurements-Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 - | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 - | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 - | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of March 31, 2023 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.
41
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 March 31, 2023, the market value of securities loaned and collateral received for the Fund were as follows:
Market Value of | Collateral | ||
Securities Loaned | Received | ||
$13,100,858 | $12,867,726 |
42
QPHR-BOND-1Q
(05/23)