Lord Abbett
Quarterly Portfolio Holdings Report
Lord Abbett
Bond-Debenture Fund
For the period ended September 30, 2023
Schedule of Investments (unaudited)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
LONG-TERM INVESTMENTS 110.02% | ||||||||||||
ASSET-BACKED SECURITIES 4.74% | ||||||||||||
Automobiles 1.65% | ||||||||||||
CarMax Auto Owner Trust Series 2023-1 Class A4 | 4.65% | 1/16/2029 | $ | 16,045,000 | $ | 15,630,797 | ||||||
CarMax Auto Owner Trust Series 2023-1 Class B | 4.98% | 1/16/2029 | 14,130,000 | 13,718,085 | ||||||||
Carvana Auto Receivables Trust Series NP1 2020-N1A Class E† | 5.20% | 7/15/2027 | 5,750,000 | 5,556,844 | ||||||||
Credit Acceptance Auto Loan Trust Series 2023-3A Class A† | 6.39% | 8/15/2033 | 18,635,000 | 18,599,021 | ||||||||
Exeter Automobile Receivables Trust Series 2022-3A Class B | 4.86% | 12/15/2026 | 18,950,000 | 18,817,367 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class B† | 5.05% | 1/18/2028 | 8,575,000 | 8,378,850 | ||||||||
Flagship Credit Auto Trust Series 2023-1 Class C† | 5.43% | 5/15/2029 | 9,487,000 | 9,255,553 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class B | 5.29% | 6/15/2026 | 22,610,000 | 22,246,976 | ||||||||
Ford Credit Auto Lease Trust Series 2023-A Class C | 5.54% | 12/15/2026 | 26,790,000 | 26,186,017 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-3 Class B | 4.13% | 8/16/2027 | 23,172,000 | 22,636,637 | ||||||||
Santander Drive Auto Receivables Trust Series 2022-4 Class C | 5.00% | 11/15/2029 | 26,245,000 | 25,615,404 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-1 Class B | 4.98% | 2/15/2028 | 27,480,000 | 27,017,190 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-1 Class C | 5.09% | 5/15/2030 | 33,530,000 | 32,756,299 | ||||||||
Santander Drive Auto Receivables Trust Series 2023-3 Class C | 5.77% | 11/15/2030 | 37,765,000 | 37,273,205 | ||||||||
Westlake Automobile Receivables Trust Series 2021-1A Class F† | 3.91% | 9/15/2027 | 58,047,000 | 55,636,163 | ||||||||
Total | 339,324,408 | |||||||||||
Credit Card 0.23% | ||||||||||||
First National Master Note Trust Series 2023-1 Class A | 5.13% | 4/15/2029 | 23,633,000 | 23,187,312 | ||||||||
Genesis Sales Finance Master Trust Series 2021-AA Class A† | 1.20% | 12/21/2026 | 24,892,000 | 23,645,389 | ||||||||
Total | 46,832,701 |
See Notes to Schedule of Investments. | 1 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other 2.81% | ||||||||||||
Affirm Asset Securitization Trust Series 2023-A Class 1A† | 6.61% | 1/18/2028 | $ | 59,055,000 | $ | 58,787,404 | ||||||
Affirm Asset Securitization Trust Series 2023-B Class A† | 6.82% | 9/15/2028 | 32,960,000 | 33,026,513 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd. Series 2022-FL2 Class A† | 7.182% (1 mo. USD Term SOFR + 1.85%) | # | 5/15/2037 | 28,620,000 | 28,406,065 | |||||||
Avant Loans Funding Trust Series 2021-REV1 Class A† | 1.21% | 7/15/2030 | 16,243,598 | 16,038,577 | ||||||||
Ballyrock CLO Ltd. Series 2019-1A Class A1R† | 6.60% (3 mo. USD Term SOFR + 1.29%) | # | 7/15/2032 | 9,300,000 | 9,263,509 | |||||||
Ballyrock CLO Ltd. Series 2022-20A Class BR†(a) | – | (b) | 7/15/2034 | 9,050,000 | 9,050,000 | |||||||
Carlyle U.S. CLO Ltd. Series 2023-4A Class C†(a) | – | (b) | 10/25/2036 | 9,510,000 | 9,510,000 | |||||||
Dryden 113 CLO Ltd. Series 2022-113A Class CR†(a) | – | (b) | 10/20/2035 | 10,710,000 | 10,710,000 | |||||||
Elmwood CLO Ltd. Series 2023-2A Class A† | 6.857% (3 mo. USD Term SOFR + 1.80%) | # | 4/16/2036 | 40,000,000 | 40,085,260 | |||||||
Elmwood CLO VII Ltd. Series 2020-4A Class CR†(a) | – | (b) | 1/17/2034 | 9,120,000 | 9,120,000 | |||||||
Flatiron CLO 18 Ltd. Series 2018-1A Class A† | 6.52% (3 mo. USD Term SOFR + 1.21%) | # | 4/17/2031 | 20,953,759 | 20,863,906 | |||||||
Gracie Point International Funding Series 2023-1A Class A† | 7.185% (90 day USD SOFR Average + 1.95%) | # | 9/1/2026 | 38,420,000 | 38,506,968 | |||||||
Halcyon Loan Advisors Funding Ltd. Series 2017-2A Class A2† | 7.27% (3 mo. USD Term SOFR + 1.96%) | # | 1/17/2030 | 9,070,145 | 9,059,930 | |||||||
Hardee’s Funding LLC Series 2018-1A Class A2II† | 4.959% | 6/20/2048 | 18,172,583 | 17,181,120 | ||||||||
Madison Park Funding XIII Ltd. Series 2014-13A Class AR2† | 6.532% (3 mo. USD Term SOFR + 1.21%) | # | 4/19/2030 | 12,640,519 | 12,620,925 | |||||||
Magnetite XXXIX Ltd. Series 2023-39A Class C†(a) | – | (b) | 10/25/2033 | 18,320,000 | 18,320,000 | |||||||
MF1 LLC Series 2022-FL9 Class A† | 7.477% (1 mo. USD Term SOFR + 2.15%) | # | 6/19/2037 | 53,135,000 | 52,984,894 | |||||||
OCP CLO Ltd. Series 2016-12A Class AR2† | 6.58% (3 mo. USD Term SOFR + 1.27%) | # | 4/18/2033 | 20,000,000 | 19,864,478 |
2 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Other (continued) | ||||||||||||
OHA Credit Funding 16 Ltd. Series 2023-16A Class C†(a) | – | (b) | 10/20/2036 | $ | 25,450,000 | $ | 25,513,625 | (c) | ||||
OneMain Financial Issuance Trust Series 2020-2A Class A† | 1.75% | 9/14/2035 | 25,790,000 | 23,171,433 | ||||||||
Palmer Square CLO Ltd. Series 2023-4A Class C†(a) | – | (b) | 10/20/2033 | 15,940,000 | 15,940,000 | |||||||
SEB Funding LLC Series 2021-1A Class A2† | 4.969% | 1/30/2052 | 38,369,835 | 34,352,632 | ||||||||
Sixth Street CLO XXIII Ltd. Series 2023-23A Class C†(a) | – | (b) | 10/23/2036 | 9,510,000 | 9,510,000 | |||||||
Sunrun Demeter Issuer LLC Series 2021-2A Class A† | 2.27% | 1/30/2057 | 26,704,414 | 21,161,320 | ||||||||
Valley Stream Park CLO Ltd. Series 2022-1A Class CR†(a) | – | (b) | 10/20/2034 | 7,725,000 | 7,725,000 | |||||||
Voya CLO Ltd. Series 2014-1 Class AAR2† | 6.562% (3 mo. USD Term SOFR + 1.25%) | # | 4/18/2031 | 27,323,502 | 27,297,404 | |||||||
Total | 578,070,963 | |||||||||||
Rec Vehicle Loan 0.05% | ||||||||||||
Octane Receivables Trust Series 2022-2A Class A† | 5.11% | 2/22/2028 | 10,226,742 | 10,131,335 | ||||||||
Total Asset-Backed Securities (cost $992,103,706) | 974,359,407 | |||||||||||
Shares | ||||||||||||
COMMON STOCKS 7.80% | ||||||||||||
Aerospace & Defense 0.20% | ||||||||||||
Textron, Inc. | 266,223 | 20,802,665 | ||||||||||
TransDigm Group, Inc.* | 24,104 | 20,322,806 | ||||||||||
Total | 41,125,471 | |||||||||||
Air Freight & Logistics 0.14% | ||||||||||||
GXO Logistics, Inc.* | 497,064 | 29,152,804 | ||||||||||
Automobile Components 0.04% | ||||||||||||
Chassix Holdings, Inc. | 1,771,844 | 7,641,079 | ||||||||||
Automobiles 0.10% | ||||||||||||
Ferrari NV (Italy)(d) | 69,490 | 20,537,075 | ||||||||||
Banks 0.20% | ||||||||||||
First Citizens BancShares, Inc. Class A | 30,331 | 41,859,813 |
See Notes to Schedule of Investments. | 3 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Share | Fair Value | ||||||
Biotechnology 0.15% | ||||||||
Argenx SE ADR* | 61,326 | $ | 30,149,701 | |||||
Broadline Retail 0.47% | ||||||||
Amazon.com, Inc.* | 507,874 | 64,560,943 | ||||||
PDD Holdings, Inc. ADR* | 323,640 | 31,739,375 | ||||||
Total | 96,300,318 | |||||||
Building Products 0.10% | ||||||||
Trex Co., Inc.* | 336,974 | 20,767,708 | ||||||
Capital Markets 0.27% | ||||||||
Ares Management Corp. Class A | 321,027 | 33,024,047 | ||||||
Cboe Global Markets, Inc. | 139,656 | 21,815,664 | ||||||
Total | 54,839,711 | |||||||
Commercial Services & Supplies 0.11% | ||||||||
Tetra Tech, Inc. | 149,277 | 22,694,582 | ||||||
Communications Equipment 0.19% | ||||||||
Arista Networks, Inc.* | 217,747 | 40,050,206 | ||||||
Consumer Staples Distribution & Retail 0.10% | ||||||||
Casey’s General Stores, Inc. | 76,416 | 20,748,472 | ||||||
Electric: Utilities 0.23% | ||||||||
Constellation Energy Corp. | 188,200 | 20,528,856 | ||||||
Talen Energy Corp.* | 198,593 | 10,505,569 | ||||||
Talen Energy Supply LLC* | 322,592 | 17,065,117 | ||||||
Total | 48,099,542 | |||||||
Electrical Equipment 0.26% | ||||||||
Eaton Corp. PLC | 138,124 | 29,459,087 | ||||||
Hubbell, Inc. | 74,331 | 23,296,078 | ||||||
Total | 52,755,165 | |||||||
Electric-Generation 0.00% | ||||||||
Frontera Generation Holdings LLC | 125,994 | 9,135 | ||||||
Entertainment 0.21% | ||||||||
Netflix, Inc.* | 57,711 | 21,791,674 | ||||||
Take-Two Interactive Software, Inc.* | 152,949 | 21,472,510 | ||||||
Total | 43,264,184 |
4 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Share | Fair Value | ||||||
Financial Services 0.10% | ||||||||
FleetCor Technologies, Inc.* | 81,159 | $ | 20,723,139 | |||||
Ground Transportation 0.16% | ||||||||
Old Dominion Freight Line, Inc. | 80,260 | 32,837,576 | ||||||
Health Care Equipment & Supplies 0.10% | ||||||||
STERIS PLC | 92,994 | 20,404,743 | ||||||
Health Care Providers & Services 0.10% | ||||||||
Molina Healthcare, Inc.* | 62,573 | 20,517,061 | ||||||
Household Products 0.10% | ||||||||
Church & Dwight Co., Inc. | 219,446 | 20,107,837 | ||||||
Insurance 0.20% | ||||||||
Arch Capital Group Ltd.* | 259,965 | 20,721,810 | ||||||
Arthur J Gallagher & Co. | 89,852 | 20,479,967 | ||||||
Total | 41,201,777 | |||||||
Life Sciences Tools & Services 0.12% | ||||||||
Medpace Holdings, Inc.* | 98,573 | 23,867,480 | ||||||
Machinery 0.35% | ||||||||
PACCAR, Inc. | 372,786 | 31,694,266 | ||||||
Parker-Hannifin Corp. | 53,570 | 20,866,586 | ||||||
Pentair PLC (United Kingdom)(d) | 306,733 | 19,860,962 | ||||||
Total | 72,421,814 | |||||||
Media 0.11% | ||||||||
Trade Desk, Inc. Class A* | 281,339 | 21,986,643 | ||||||
Miscellaneous Financials 0.04% | ||||||||
Utex Industries | 113,840 | 7,228,840 | ||||||
Oil, Gas & Consumable Fuels 0.96% | ||||||||
Cameco Corp. (Canada)(d) | 1,108,671 | 43,947,719 | ||||||
Chesapeake Energy Corp. | 367,690 | 31,705,909 | ||||||
Hess Corp. | 200,012 | 30,601,836 | ||||||
MEG Energy Corp.*(e) | 2,360,137 | 45,925,581 | ||||||
Range Resources Corp. | 1,377,527 | 44,645,650 | ||||||
Total | 196,826,695 | |||||||
Personal Care Products 0.06% | ||||||||
Gibson Brands Private Equity | 106,902 | 12,560,985 |
See Notes to Schedule of Investments. | 5 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Share | Fair Value | ||||||
Professional Services 0.10% | ||||||||
Booz Allen Hamilton Holding Corp. | 190,524 | $ | 20,818,557 | |||||
Semiconductors & Semiconductor Equipment 0.63% | ||||||||
Lam Research Corp. | 75,204 | 47,135,611 | ||||||
Lattice Semiconductor Corp.* | 590,212 | 50,716,917 | ||||||
Universal Display Corp. | 208,753 | 32,772,134 | ||||||
Total | 130,624,662 | |||||||
Software 1.12% | ||||||||
Adobe, Inc.* | 59,243 | 30,208,006 | ||||||
Atlassian Corp. Class A (Australia)*(d) | 99,065 | 19,962,588 | ||||||
Fair Isaac Corp.* | 41,573 | 36,107,398 | ||||||
HubSpot, Inc.* | 89,979 | 44,314,657 | ||||||
Microsoft Corp. | 62,265 | 19,660,174 | ||||||
Synopsys, Inc.* | 112,885 | 51,810,828 | ||||||
Workday, Inc. Class A* | 135,287 | 29,066,412 | ||||||
Total | 231,130,063 | |||||||
Specialty Retail 0.25% | ||||||||
Claire’s Holdings LLC | 15,164 | 5,370,713 | ||||||
Murphy USA, Inc. | 135,875 | 46,432,564 | ||||||
Total | 51,803,277 | |||||||
Textiles, Apparel & Luxury Goods 0.41% | ||||||||
Cie Financiere Richemont SA Class A(e) | 158,920 | 19,353,790 | ||||||
Hermes International SCA(e) | 11,575 | 21,099,224 | ||||||
Moncler SpA(e) | 367,185 | 21,280,199 | ||||||
Ralph Lauren Corp. | 202,262 | 23,480,596 | ||||||
Total | 85,213,809 | |||||||
Trading Companies & Distributors 0.11% | ||||||||
Watsco, Inc. | 58,007 | 21,910,404 | ||||||
Transportation Infrastructure 0.01% | ||||||||
ACBL Holdings Corp. | 44,897 | 2,020,365 | (c) | |||||
Total Common Stocks (cost $1,590,554,644) | 1,604,200,693 |
6 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
CORPORATE BONDS 72.34% | ||||||||||||
Aerospace/Defense 1.92% | ||||||||||||
Boeing Co. | 5.15% | 5/1/2030 | $ | 21,720,000 | $ | 20,760,191 | ||||||
Boeing Co. | 5.805% | 5/1/2050 | 42,883,000 | 38,867,872 | ||||||||
Bombardier, Inc. (Canada)†(d) | 6.00% | 2/15/2028 | 20,954,000 | 19,030,760 | ||||||||
Bombardier, Inc. (Canada)†(d) | 7.125% | 6/15/2026 | 31,090,000 | 30,151,533 | ||||||||
Bombardier, Inc. (Canada)†(d) | 7.50% | 2/1/2029 | 34,016,000 | 32,323,925 | ||||||||
HEICO Corp. | 5.35% | 8/1/2033 | 13,525,000 | 12,819,386 | ||||||||
Rolls-Royce PLC (United Kingdom)†(d) | 3.625% | 10/14/2025 | 16,773,000 | 15,766,620 | ||||||||
RTX Corp. | 5.15% | 2/27/2033 | 21,028,000 | 19,923,024 | ||||||||
Spirit AeroSystems, Inc. | 4.60% | 6/15/2028 | 15,375,000 | 12,000,975 | ||||||||
Spirit AeroSystems, Inc.† | 9.375% | 11/30/2029 | 19,860,000 | 20,235,056 | ||||||||
TransDigm, Inc. | 4.625% | 1/15/2029 | 58,913,000 | 51,519,124 | ||||||||
TransDigm, Inc. | 5.50% | 11/15/2027 | 89,332,000 | 83,734,881 | ||||||||
Triumph Group, Inc.† | 9.00% | 3/15/2028 | 37,365,000 | 36,993,450 | ||||||||
Total | 394,126,797 | |||||||||||
Agriculture 0.66% | ||||||||||||
BAT Capital Corp. | 7.75% | 10/19/2032 | 20,427,000 | 21,597,937 | ||||||||
Imperial Brands Finance PLC (United Kingdom)†(d) | 6.125% | 7/27/2027 | 31,330,000 | 31,259,804 | ||||||||
JT International Financial Services BV (Netherlands)†(d) | 6.875% | 10/24/2032 | 12,475,000 | 13,219,327 | ||||||||
Viterra Finance BV (Netherlands)†(d) | 2.00% | 4/21/2026 | 24,125,000 | 21,750,591 | ||||||||
Viterra Finance BV (Netherlands)†(d) | 3.20% | 4/21/2031 | 27,334,000 | 22,030,110 | ||||||||
Viterra Finance BV (Netherlands)†(d) | 5.25% | 4/21/2032 | 27,102,000 | 25,004,200 | ||||||||
Total | 134,861,969 | |||||||||||
Airlines 2.23% | ||||||||||||
Air Canada (Canada)†(d) | 3.875% | 8/15/2026 | 30,341,000 | 27,565,651 | ||||||||
Alaska Airlines Pass-Through Trust† | 4.80% | 2/15/2029 | 26,608,615 | 25,555,577 | ||||||||
American Airlines Pass-Through Trust | 3.00% | 4/15/2030 | 12,251,421 | 10,984,504 | ||||||||
American Airlines, Inc.† | 7.25% | 2/15/2028 | 16,554,000 | 15,843,777 | ||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.† | 5.75% | 4/20/2029 | 122,306,103 | 113,851,719 | ||||||||
Azul Secured Finance LLP† | 11.93% | 8/28/2028 | 24,643,000 | 24,436,940 | ||||||||
British Airways Pass-Through Trust (United Kingdom)†(d) | 3.30% | 6/15/2034 | 13,206,994 | 11,398,737 | ||||||||
British Airways Pass-Through Trust (United Kingdom)†(d) | 4.25% | 5/15/2034 | 9,891,200 | 8,890,162 | ||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd.† | 4.75% | 10/20/2028 | 34,083,000 | 32,403,123 |
See Notes to Schedule of Investments. | 7 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Airlines (continued) | ||||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.† | 5.75% | 1/20/2026 | $ | 48,588,300 | $ | 43,785,196 | ||||||
JetBlue Pass-Through Trust | 2.95% | 11/15/2029 | 11,239,820 | 9,656,126 | ||||||||
JetBlue Pass-Through Trust | 8.00% | 11/15/2027 | 6,896,093 | 6,982,233 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.† | 6.50% | 6/20/2027 | 19,483,202 | 19,323,372 | ||||||||
United Airlines Pass-Through Trust | 5.80% | 7/15/2037 | 24,046,000 | 23,465,712 | ||||||||
United Airlines Pass-Through Trust Series 2020-1 Class A | 5.875% | 4/15/2029 | 38,446,248 | 38,163,276 | ||||||||
United Airlines, Inc.† | 4.625% | 4/15/2029 | 24,271,000 | 20,887,030 | ||||||||
VistaJet Malta Finance PLC/Vista Management Holding, Inc. (Malta)†(d) | 9.50% | 6/1/2028 | 28,391,000 | 24,964,249 | ||||||||
Total | 458,157,384 | |||||||||||
Auto Manufacturers 1.43% | ||||||||||||
Allison Transmission, Inc.† | 3.75% | 1/30/2031 | 50,973,000 | 41,257,852 | ||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(d) | 10.50% | 11/30/2025 | 22,950,000 | 23,260,640 | ||||||||
Ford Motor Co. | 3.25% | 2/12/2032 | 79,613,000 | 61,432,846 | ||||||||
Ford Motor Co. | 6.10% | 8/19/2032 | 42,297,000 | 39,883,648 | ||||||||
Ford Motor Credit Co. LLC | 2.90% | 2/10/2029 | 32,447,000 | 26,665,470 | ||||||||
Ford Motor Credit Co. LLC | 4.00% | 11/13/2030 | 59,240,000 | 49,532,655 | ||||||||
Ford Motor Credit Co. LLC | 7.20% | 6/10/2030 | 10,143,000 | 10,206,140 | ||||||||
Ford Motor Credit Co. LLC | 7.35% | 11/4/2027 | 21,231,000 | 21,701,609 | ||||||||
Jaguar Land Rover Automotive PLC (United Kingdom)†(d) | 5.875% | 1/15/2028 | 23,500,000 | 21,157,981 | ||||||||
Total | 295,098,841 | |||||||||||
Auto Parts & Equipment 0.38% | ||||||||||||
Adient Global Holdings Ltd.† | 7.00% | 4/15/2028 | 15,501,000 | 15,392,073 | ||||||||
Clarios Global LP/Clarios U.S. Finance Co.† | 6.75% | 5/15/2028 | 27,799,000 | 27,169,770 | ||||||||
ZF North America Capital, Inc.† | 6.875% | 4/14/2028 | 21,422,000 | 20,980,702 | ||||||||
ZF North America Capital, Inc.† | 7.125% | 4/14/2030 | 15,278,000 | 14,988,803 | ||||||||
Total | 78,531,348 | |||||||||||
Banks 4.02% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(d) | 3.324% (5 yr. CMT + 1.90%) | # | 3/13/2037 | 34,400,000 | 25,346,182 | |||||||
Alfa Bank AO Via Alfa Bond Issuance PLC (Ireland)(d)(f) | 5.50% (5 yr. CMT + 4.55%) | 10/26/2031 | 51,057,000 | 1 | (g) |
8 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(d) | 6.742% | 12/8/2032 | $ | 49,324,000 | $ | 49,380,252 | ||||||
Bank Leumi Le-Israel BM (Israel)(d) | 7.129% (5 yr. CMT + 3.47%) | # | 7/18/2033 | 21,548,000 | 21,198,104 | |||||||
Bank of Ireland Group PLC (Ireland)†(d) | 2.029% (1 yr. CMT + 1.10%) | # | 9/30/2027 | 22,014,000 | 19,314,771 | |||||||
Bank of Ireland Group PLC (Ireland)†(d) | 6.253% (1 yr. CMT + 2.65%) | # | 9/16/2026 | 28,190,000 | 28,036,168 | |||||||
Bank OZK | 2.75% (3 mo. USD Term SOFR + 2.09%) | # | 10/1/2031 | 39,957,000 | 30,861,264 | |||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 24,108,000 | 22,588,889 | ||||||||
BBVA Bancomer SA† | 8.45% (5 yr. CMT + 4.66%) | # | 6/29/2038 | 22,233,000 | 21,929,720 | |||||||
CaixaBank SA (Spain)†(d) | 6.208% (SOFR + 2.70%) | # | 1/18/2029 | 54,842,000 | 53,694,473 | |||||||
Danske Bank AS (Denmark)†(d) | 4.298% (1 yr. CMT + 1.75%) | # | 4/1/2028 | 22,215,000 | 20,700,896 | |||||||
Danske Bank AS (Denmark)†(d) | 6.466% (1 yr. CMT + 2.10%) | # | 1/9/2026 | 28,192,000 | 28,151,259 | |||||||
Deutsche Bank AG | 6.72% (SOFR + 3.18%) | # | 1/18/2029 | 42,171,000 | 41,943,002 | |||||||
Deutsche Bank AG | 7.079% (SOFR + 3.65%) | # | 2/10/2034 | 54,127,000 | 48,958,175 | |||||||
Fifth Third Bancorp | 6.339% (SOFR + 2.34%) | # | 7/27/2029 | 16,837,000 | 16,641,683 | |||||||
First Republic Bank | 4.375% | 8/1/2046 | 20,817,000 | 78,064 | ||||||||
First Republic Bank | 4.625% | 2/13/2047 | 15,410,000 | 57,781 | ||||||||
First-Citizens Bank & Trust Co. | 6.125% | 3/9/2028 | 50,320,000 | 50,007,347 | ||||||||
Home BancShares, Inc. | 3.125% (3 mo. USD Term SOFR + 1.82%) | # | 1/30/2032 | 22,552,000 | 18,733,566 | |||||||
JPMorgan Chase & Co. | 3.54% (3 mo. USD Term SOFR + 1.64%) | # | 5/1/2028 | 14,604,000 | 13,436,150 | |||||||
Lloyds Banking Group plc (United Kingdom)(d) | 5.871% (1 yr. CMT + 1.70%) | # | 3/6/2029 | 20,198,000 | 19,762,208 | |||||||
Lloyds Banking Group PLC (United Kingdom)(d) | 6.901% (SOFR + 1.56%) | # | 8/7/2027 | 29,301,000 | 29,428,934 | |||||||
NatWest Group PLC (United Kingdom)(d) | 7.472% (1 yr. CMT + 2.85%) | # | 11/10/2026 | 37,004,000 | 37,758,218 | |||||||
Norinchukin Bank (Japan)†(d) | 5.43% | 3/9/2028 | 15,835,000 | 15,678,655 |
See Notes to Schedule of Investments. | 9 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Banks (continued) | ||||||||||||
Standard Chartered PLC (United Kingdom)†(d) | 7.767% (1 yr. CMT + 3.45%) | # | 11/16/2028 | $ | 46,462,000 | $ | 48,716,085 | |||||
SVB Financial Group(f) | 4.25% (5 yr. CMT + 3.07%) | – | (h) | 78,029,000 | 2,865,620 | |||||||
UBS Group AG (Switzerland)†(d) | 3.869% (3 mo. USD LIBOR + 1.41%) | # | 1/12/2029 | 69,530,000 | 63,017,835 | |||||||
UniCredit SpA (Italy)†(d) | 7.296% (5 yr. USD ICE Swap + 4.91%) | # | 4/2/2034 | 45,208,000 | 42,623,644 | |||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 34,898,000 | 29,989,335 | ||||||||
Western Alliance Bancorp | 3.00% (3 mo. USD Term SOFR + 2.25%) | # | 6/15/2031 | 32,547,000 | 25,956,232 | |||||||
Total | 826,854,513 | |||||||||||
Beverages 0.50% | ||||||||||||
Bacardi Ltd.† | 2.75% | 7/15/2026 | 21,038,000 | 19,286,146 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 32,111,000 | 30,584,242 | ||||||||
Bacardi Ltd./Bacardi-Martini BV† | 5.25% | 1/15/2029 | 18,031,000 | 17,456,248 | ||||||||
Becle SAB de CV (Mexico)†(d) | 2.50% | 10/14/2031 | 18,025,000 | 13,785,790 | ||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL (Guatemala)†(d) | 5.25% | 4/27/2029 | 22,947,000 | 20,725,616 | ||||||||
Total | 101,838,042 | |||||||||||
Building Materials 0.96% | ||||||||||||
Builders FirstSource, Inc.† | 4.25% | 2/1/2032 | 22,175,000 | 18,210,902 | ||||||||
Builders FirstSource, Inc.† | 6.375% | 6/15/2032 | 21,666,000 | 20,422,007 | ||||||||
Emerald Debt Merger Sub LLC† | 6.625% | 12/15/2030 | 56,012,000 | 53,991,349 | ||||||||
Griffon Corp. | 5.75% | 3/1/2028 | 16,769,000 | 15,240,747 | ||||||||
Smyrna Ready Mix Concrete LLC† | 6.00% | 11/1/2028 | 27,426,000 | 25,351,250 | ||||||||
Standard Industries, Inc.† | 4.375% | 7/15/2030 | 27,103,000 | 22,475,000 | ||||||||
Trane Technologies Financing Ltd. (Ireland)(d) | 5.25% | 3/3/2033 | 22,499,000 | 21,763,723 | ||||||||
Vulcan Materials Co. | 4.50% | 6/15/2047 | 24,390,000 | 19,611,628 | ||||||||
Total | 197,066,606 | |||||||||||
Chemicals 1.78% | ||||||||||||
Albemarle Corp. | 4.65% | 6/1/2027 | 27,011,000 | 25,767,688 | ||||||||
Ashland, Inc.† | 3.375% | 9/1/2031 | 27,085,000 | 21,089,497 | ||||||||
Cabot Corp. | 5.00% | 6/30/2032 | 32,395,000 | 29,641,946 | ||||||||
Celanese U.S. Holdings LLC | 6.165% | 7/15/2027 | 67,445,000 | 66,539,837 | ||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 23,720,000 | 22,709,484 | ||||||||
Ingevity Corp.† | 3.875% | 11/1/2028 | 24,342,000 | 20,091,522 |
10 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
OCI NV (Netherlands)†(d) | 6.70% | 3/16/2033 | $ | 22,392,000 | $ | 21,391,888 | ||||||
OCP SA (Morocco)†(d) | 3.75% | 6/23/2031 | 43,718,000 | 34,638,908 | ||||||||
Olin Corp. | 5.00% | 2/1/2030 | 26,994,000 | 24,005,857 | ||||||||
Olin Corp. | 5.125% | 9/15/2027 | 16,229,000 | 15,189,531 | ||||||||
SCIH Salt Holdings, Inc.† | 4.875% | 5/1/2028 | 40,578,000 | 35,854,388 | ||||||||
SCIH Salt Holdings, Inc.† | 6.625% | 5/1/2029 | 32,550,000 | 27,932,363 | ||||||||
SK Invictus Intermediate II Sarl (Luxembourg)†(d) | 5.00% | 10/30/2029 | 25,699,000 | 20,625,760 | ||||||||
Total | 365,478,669 | |||||||||||
Coal 0.36% | ||||||||||||
SunCoke Energy, Inc.† | 4.875% | 6/30/2029 | 24,865,000 | 21,159,120 | ||||||||
Teck Resources Ltd. (Canada)(d) | 3.90% | 7/15/2030 | 39,750,000 | 34,584,509 | ||||||||
Warrior Met Coal, Inc.† | 7.875% | 12/1/2028 | 17,451,000 | 17,531,763 | ||||||||
Total | 73,275,392 | |||||||||||
Commercial Services 1.30% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.† | 6.625% | 7/15/2026 | 13,541,000 | 12,849,188 | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl (Luxembourg)†(d) | 4.625% | 6/1/2028 | 24,282,000 | 20,270,735 | ||||||||
AMN Healthcare, Inc.† | 4.625% | 10/1/2027 | 17,092,000 | 15,465,183 | ||||||||
Ashtead Capital, Inc.† | 5.50% | 8/11/2032 | 23,570,000 | 21,801,511 | ||||||||
Ashtead Capital, Inc.† | 5.55% | 5/30/2033 | 17,598,000 | 16,345,967 | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.† | 5.75% | 7/15/2027 | 27,982,000 | 26,513,765 | ||||||||
Brink’s Co.† | 4.625% | 10/15/2027 | 15,353,000 | 14,027,015 | ||||||||
Garda World Security Corp. (Canada)†(d) | 7.75% | 2/15/2028 | 14,444,000 | 14,174,726 | ||||||||
GXO Logistics, Inc. | 2.65% | 7/15/2031 | 25,082,000 | 19,073,141 | ||||||||
Herc Holdings, Inc.† | 5.50% | 7/15/2027 | 21,679,000 | 20,521,220 | ||||||||
Hertz Corp.† | Zero Coupon | 10/15/2024 | 16,775,000 | 671,000 | ||||||||
Hertz Corp.† | Zero Coupon | 1/15/2028 | 33,436,000 | 3,009,240 | ||||||||
ITR Concession Co. LLC† | 5.183% | 7/15/2035 | 12,438,000 | 10,897,815 | ||||||||
NESCO Holdings II, Inc.† | 5.50% | 4/15/2029 | 23,478,000 | 20,630,261 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 3.375% | 8/31/2027 | 24,250,000 | 21,269,612 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 32,768,000 | 30,640,474 | ||||||||
Total | 268,160,853 |
See Notes to Schedule of Investments. | 11 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Computers 1.07% | ||||||||||||
Booz Allen Hamilton, Inc. | 5.95% | 8/4/2033 | $ | 22,536,000 | $ | 22,014,292 | ||||||
Crowdstrike Holdings, Inc. | 3.00% | 2/15/2029 | 105,097,000 | 88,620,638 | ||||||||
Fortinet, Inc. | 2.20% | 3/15/2031 | 17,352,000 | 13,438,176 | ||||||||
McAfee Corp.† | 7.375% | 2/15/2030 | 49,506,000 | 41,503,994 | ||||||||
NetApp, Inc. | 2.70% | 6/22/2030 | 4,508,000 | 3,667,554 | ||||||||
Seagate HDD Cayman (Cayman Islands)†(d) | 8.25% | 12/15/2029 | 20,761,000 | 21,341,125 | ||||||||
Seagate HDD Cayman (Cayman Islands)†(d) | 8.50% | 7/15/2031 | 9,019,000 | 9,261,467 | ||||||||
Teledyne FLIR LLC | 2.50% | 8/1/2030 | 25,150,000 | 20,210,851 | ||||||||
Total | 220,058,097 | |||||||||||
Distribution/Wholesale 0.93% | ||||||||||||
American Builders & Contractors Supply Co., Inc.† | 4.00% | 1/15/2028 | 24,375,000 | 21,633,892 | ||||||||
Ferguson Finance PLC (United Kingdom)†(d) | 3.25% | 6/2/2030 | 28,537,000 | 24,212,747 | ||||||||
H&E Equipment Services, Inc.† | 3.875% | 12/15/2028 | 42,776,000 | 36,574,083 | ||||||||
LKQ Corp.† | 6.25% | 6/15/2033 | 27,041,000 | 26,177,071 | ||||||||
Mitsubishi Corp. (Japan)†(d) | 5.00% | 7/5/2028 | 21,130,000 | 20,763,385 | ||||||||
Ritchie Bros Holdings, Inc.† | 6.75% | 3/15/2028 | 15,163,000 | 15,147,079 | ||||||||
Ritchie Bros Holdings, Inc.† | 7.75% | 3/15/2031 | 21,911,000 | 22,267,054 | ||||||||
Windsor Holdings III LLC† | 8.50% | 6/15/2030 | 25,292,000 | 24,982,036 | ||||||||
Total | 191,757,347 | |||||||||||
Diversified Financial Services 1.54% | ||||||||||||
AG Issuer LLC† | 6.25% | 3/1/2028 | 24,003,000 | 22,441,963 | ||||||||
Aircastle Ltd.† | 6.50% | 7/18/2028 | 22,558,000 | 22,143,197 | ||||||||
Ally Financial, Inc. | 6.70% | 2/14/2033 | 44,941,000 | 39,058,225 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 4.25% | 4/15/2026 | 34,177,000 | 32,137,214 | ||||||||
Azul Secured Finance LLP† | 11.50% | 5/28/2029 | 38,391,638 | 33,217,271 | ||||||||
Global Aircraft Leasing Co. Ltd. (Cayman Islands)†(d) | 6.50% | 9/15/2024 | 26,870,334 | 25,150,597 | ||||||||
Hellas Telecommunications Luxembourg II SCA (Luxembourg)†(d)(f) | 6.054% (3 mo. USD LIBOR + 5.75%) | 1/15/2015 | 15,000,000 | – | (g)(i) | |||||||
Jane Street Group/JSG Finance, Inc.† | 4.50% | 11/15/2029 | 18,510,000 | 15,928,958 | ||||||||
LPL Holdings, Inc.† | 4.00% | 3/15/2029 | 21,679,000 | 18,924,733 | ||||||||
Navient Corp. | 5.50% | 3/15/2029 | 27,371,000 | 23,025,991 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 21,670,000 | 20,982,915 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 25,846,000 | 19,259,416 |
12 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Financial Services (continued) | ||||||||||||
NFP Corp.† | 6.875% | 8/15/2028 | $ | 14,461,000 | $ | 12,406,355 | ||||||
Synchrony Financial | 7.25% | 2/2/2033 | 35,946,000 | 31,757,895 | ||||||||
Total | 316,434,730 | |||||||||||
Electric 4.82% | ||||||||||||
Ausgrid Finance Pty. Ltd. (Australia)†(d) | 4.35% | 8/1/2028 | 26,506,000 | 24,737,854 | ||||||||
Calpine Corp.† | 3.75% | 3/1/2031 | 19,937,000 | 16,085,142 | ||||||||
Calpine Corp.† | 4.50% | 2/15/2028 | 23,379,000 | 21,094,086 | ||||||||
Calpine Corp.† | 4.625% | 2/1/2029 | 74,359,000 | 62,369,905 | ||||||||
Calpine Corp.† | 5.125% | 3/15/2028 | 27,994,000 | 24,958,980 | ||||||||
Clearway Energy Operating LLC† | 4.75% | 3/15/2028 | 30,207,000 | 27,047,946 | ||||||||
Cleveland Electric Illuminating Co.† | 3.50% | 4/1/2028 | 21,815,000 | 19,786,987 | ||||||||
Constellation Energy Generation LLC | 5.60% | 6/15/2042 | 21,992,000 | 19,768,506 | ||||||||
Constellation Energy Generation LLC | 5.80% | 3/1/2033 | 32,152,000 | 31,384,888 | ||||||||
Constellation Energy Generation LLC | 6.25% | 10/1/2039 | 42,389,000 | 41,132,573 | ||||||||
Constellation Energy Generation LLC | 6.50% | 10/1/2053 | 15,050,000 | 15,102,904 | ||||||||
EDP Finance BV (Netherlands)†(d) | 6.30% | 10/11/2027 | 21,123,000 | 21,440,409 | ||||||||
Electricite de France SA (France)†(d) | 4.50% | 9/21/2028 | 22,057,000 | 20,622,905 | ||||||||
Electricite de France SA (France)†(d) | 6.25% | 5/23/2033 | 34,722,000 | 34,791,377 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 3.50% | 4/6/2028 | 26,128,000 | 23,498,735 | ||||||||
FirstEnergy Corp. | 4.15% | 7/15/2027 | 50,315,000 | 46,809,336 | ||||||||
FirstEnergy Transmission LLC† | 2.866% | 9/15/2028 | 24,766,000 | 21,503,330 | ||||||||
Indianapolis Power & Light Co.† | 5.65% | 12/1/2032 | 16,371,000 | 16,074,178 | ||||||||
ITC Holdings Corp.† | 4.95% | 9/22/2027 | 22,504,000 | 21,940,772 | ||||||||
Minejesa Capital BV (Netherlands)†(d) | 4.625% | 8/10/2030 | 33,720,000 | 30,086,670 | ||||||||
Monongahela Power Co.† | 3.55% | 5/15/2027 | 14,774,000 | 13,682,430 | ||||||||
NextEra Energy Operating Partners LP† | 3.875% | 10/15/2026 | 46,264,000 | 41,933,717 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 35,216,000 | 31,962,108 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 3,870,472 | 3,871,169 | ||||||||
Pacific Gas & Electric Co. | 6.15% | 1/15/2033 | 65,986,000 | 62,655,408 | ||||||||
Palomino Funding Trust I† | 7.233% | 5/17/2028 | 44,964,000 | 45,163,093 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc.† | 4.50% | 8/15/2028 | 26,956,000 | 23,441,474 | ||||||||
PG&E Corp. | 5.00% | 7/1/2028 | 30,834,000 | 27,962,413 | ||||||||
PG&E Corp. | 5.25% | 7/1/2030 | 22,743,000 | 19,791,452 | ||||||||
Pike Corp.† | 5.50% | 9/1/2028 | 25,272,000 | 22,135,006 | ||||||||
Puget Energy, Inc. | 4.10% | 6/15/2030 | 26,045,000 | 22,720,866 | ||||||||
Talen Energy Supply LLC† | 8.625% | 6/1/2030 | 24,852,000 | 25,497,943 |
See Notes to Schedule of Investments. | 13 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Electric (continued) | ||||||||||||
Vistra Operations Co. LLC† | 4.375% | 5/1/2029 | $ | 77,332,000 | $ | 66,548,586 | ||||||
Vistra Operations Co. LLC† | 5.125% | 5/13/2025 | 45,015,000 | 43,903,458 | ||||||||
Total | 991,506,606 | |||||||||||
Electronics 0.33% | ||||||||||||
Arrow Electronics, Inc. | 6.125% | 3/1/2026 | 18,015,000 | 17,948,742 | ||||||||
Imola Merger Corp.† | 4.75% | 5/15/2029 | 18,106,000 | 15,885,951 | ||||||||
Trimble, Inc. | 6.10% | 3/15/2033 | 34,118,000 | 33,450,831 | ||||||||
Total | 67,285,524 | |||||||||||
Energy-Alternate Sources 0.46% | ||||||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 23,420,000 | 20,039,440 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 23,969,000 | 21,779,792 | ||||||||
Topaz Solar Farms LLC† | 5.75% | 9/30/2039 | 56,499,334 | 52,273,466 | ||||||||
Total | 94,092,698 | |||||||||||
Engineering & Construction 0.84% | ||||||||||||
Aeropuerto Internacional de Tocumen SA (Panama)†(d) | 5.125% | 8/11/2061 | 53,645,000 | 39,107,741 | ||||||||
Brand Industrial Services, Inc.† | 10.375% | 8/1/2030 | 18,077,000 | 18,127,435 | ||||||||
Fluor Corp. | 4.25% | 9/15/2028 | 53,100,000 | 48,663,230 | ||||||||
Jacobs Engineering Group, Inc. | 5.90% | 3/1/2033 | 27,604,000 | 26,185,199 | ||||||||
Jacobs Engineering Group, Inc. | 6.35% | 8/18/2028 | 19,835,000 | 19,790,872 | ||||||||
MasTec, Inc.† | 4.50% | 8/15/2028 | 23,035,000 | 20,734,845 | ||||||||
Total | 172,609,322 | |||||||||||
Entertainment 2.24% | ||||||||||||
AMC Entertainment Holdings, Inc.† | 10.00% | 6/15/2026 | 13,548,858 | 9,823,245 | ||||||||
Boyne USA, Inc.† | 4.75% | 5/15/2029 | 23,563,000 | 20,637,305 | ||||||||
Caesars Entertainment, Inc.† | 4.625% | 10/15/2029 | 38,882,000 | 32,981,069 | ||||||||
Caesars Entertainment, Inc.† | 7.00% | 2/15/2030 | 30,300,000 | 29,515,887 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 36,115,000 | 32,611,524 | ||||||||
Churchill Downs, Inc.† | 5.50% | 4/1/2027 | 51,209,000 | 48,865,732 | ||||||||
Live Nation Entertainment, Inc.† | 3.75% | 1/15/2028 | 45,629,000 | 40,381,665 | ||||||||
Merlin Entertainments Ltd. (United Kingdom)†(d) | 5.75% | 6/15/2026 | 26,904,000 | 25,777,542 | ||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.† | 4.875% | 5/1/2029 | 44,276,000 | 37,747,947 | ||||||||
Mohegan Tribal Gaming Authority† | 8.00% | 2/1/2026 | 42,170,000 | 38,859,233 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc.† | 4.625% | 4/16/2029 | 42,245,000 | 33,773,598 | ||||||||
SeaWorld Parks & Entertainment, Inc.† | 5.25% | 8/15/2029 | 47,179,000 | 41,504,782 | ||||||||
Warnermedia Holdings, Inc. | 4.279% | 3/15/2032 | 24,280,000 | 20,623,726 |
14 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Entertainment (continued) | ||||||||||||
WMG Acquisition Corp.† | 3.00% | 2/15/2031 | $ | 20,275,000 | $ | 15,945,983 | ||||||
WMG Acquisition Corp.† | 3.75% | 12/1/2029 | 37,872,000 | 31,855,086 | ||||||||
Total | 460,904,324 | |||||||||||
Environmental Control 0.24% | ||||||||||||
Madison IAQ LLC† | 4.125% | 6/30/2028 | 32,278,000 | 27,893,395 | ||||||||
Madison IAQ LLC† | 5.875% | 6/30/2029 | 26,967,000 | 21,748,400 | ||||||||
Total | 49,641,795 | |||||||||||
Equity Real Estate 0.15% | ||||||||||||
Hunt Cos., Inc.† | 5.25% | 4/15/2029 | 39,175,000 | 30,822,467 | ||||||||
Food 1.55% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC† | 3.50% | 3/15/2029 | 24,755,000 | 21,127,660 | ||||||||
Bellis Acquisition Co. PLC(e) | 3.25% | 2/16/2026 | GBP | 27,281,000 | 29,012,681 | |||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 4.625% | 11/15/2028 | $ | 16,808,000 | 14,842,052 | |||||||
Hershey Co. | 4.50% | 5/4/2033 | 16,130,000 | 15,233,469 | ||||||||
Kraft Heinz Foods Co. | 4.375% | 6/1/2046 | 55,384,000 | 43,191,543 | ||||||||
Lamb Weston Holdings, Inc.† | 4.125% | 1/31/2030 | 24,243,000 | 20,759,249 | ||||||||
McCormick & Co., Inc. | 4.95% | 4/15/2033 | 25,143,000 | 23,416,496 | ||||||||
Performance Food Group, Inc.† | 4.25% | 8/1/2029 | 13,541,000 | 11,713,889 | ||||||||
Post Holdings, Inc.† | 4.50% | 9/15/2031 | 48,853,000 | 40,721,589 | ||||||||
Post Holdings, Inc.† | 4.625% | 4/15/2030 | 45,332,000 | 38,874,443 | ||||||||
Post Holdings, Inc.† | 5.50% | 12/15/2029 | 13,541,000 | 12,291,156 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 28,037,000 | 25,639,519 | ||||||||
U.S. Foods, Inc.† | 4.75% | 2/15/2029 | 24,298,000 | 21,745,444 | ||||||||
Total | 318,569,190 | |||||||||||
Gas 0.21% | ||||||||||||
Brooklyn Union Gas Co.† | 3.407% | 3/10/2026 | 22,726,000 | 21,385,198 | ||||||||
Southwest Gas Corp. | 4.05% | 3/15/2032 | 26,234,000 | 22,679,861 | ||||||||
Total | 44,065,059 | |||||||||||
Hand/Machine Tools 0.30% | ||||||||||||
Regal Rexnord Corp.† | 6.40% | 4/15/2033 | 63,120,000 | 60,863,589 | ||||||||
Health Care-Products 0.59% | ||||||||||||
Alcon Finance Corp.† | 2.60% | 5/27/2030 | 25,587,000 | 21,102,366 | ||||||||
Boston Scientific Corp. | 6.50% | 11/15/2035 | 13,056,000 | 13,694,783 | ||||||||
GE HealthCare Technologies, Inc. | 6.377% | 11/22/2052 | 12,938,000 | 13,159,408 |
See Notes to Schedule of Investments. | 15 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Health Care-Products (continued) | ||||||||||||
Medline Borrower LP† | 3.875% | 4/1/2029 | $ | 60,395,000 | $ | 51,113,050 | ||||||
Medline Borrower LP† | 5.25% | 10/1/2029 | 25,194,000 | 21,805,563 | ||||||||
Total | 120,875,170 | |||||||||||
Health Care-Services 3.32% | ||||||||||||
Catalent Pharma Solutions, Inc.† | 3.125% | 2/15/2029 | 59,583,000 | 48,924,197 | ||||||||
Centene Corp. | 4.625% | 12/15/2029 | 36,428,000 | 32,850,588 | ||||||||
Charles River Laboratories International, Inc.† | 3.75% | 3/15/2029 | 26,607,000 | 22,838,944 | ||||||||
CHS/Community Health Systems, Inc.† | 4.75% | 2/15/2031 | 103,117,000 | 73,120,265 | ||||||||
CHS/Community Health Systems, Inc.† | 5.25% | 5/15/2030 | 22,394,000 | 17,052,729 | ||||||||
CHS/Community Health Systems, Inc.† | 6.875% | 4/15/2029 | 16,253,000 | 8,654,723 | ||||||||
DaVita, Inc.† | 4.625% | 6/1/2030 | 40,252,000 | 33,101,687 | ||||||||
HCA, Inc. | 3.50% | 9/1/2030 | 24,212,000 | 20,492,847 | ||||||||
HCA, Inc. | 5.50% | 6/1/2033 | 22,533,000 | 21,326,155 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 12,671,000 | 12,974,638 | ||||||||
Heartland Dental LLC/Heartland Dental Finance Corp.† | 8.50% | 5/1/2026 | 23,386,000 | 22,069,368 | ||||||||
LifePoint Health, Inc.† | 9.875% | 8/15/2030 | 22,545,000 | 21,854,672 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 11/15/2030 | 41,142,000 | 34,097,375 | ||||||||
Molina Healthcare, Inc.† | 3.875% | 5/15/2032 | 40,412,000 | 32,460,753 | ||||||||
Montefiore Obligated Group | 5.246% | 11/1/2048 | 42,910,000 | 30,041,878 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 11,747,000 | 11,389,125 | ||||||||
Select Medical Corp.† | 6.25% | 8/15/2026 | 33,631,000 | 32,886,618 | ||||||||
Star Parent, Inc.† | 9.00% | 10/1/2030 | 17,017,000 | 17,216,996 | ||||||||
Tenet Healthcare Corp. | 4.25% | 6/1/2029 | 23,435,000 | 20,193,536 | ||||||||
Tenet Healthcare Corp. | 4.375% | 1/15/2030 | 27,941,000 | 24,068,358 | ||||||||
Tenet Healthcare Corp. | 4.875% | 1/1/2026 | 23,102,000 | 22,155,156 | ||||||||
Tenet Healthcare Corp. | 6.125% | 10/1/2028 | 68,563,000 | 64,427,280 | ||||||||
Tenet Healthcare Corp. | 6.125% | 6/15/2030 | 35,548,000 | 33,372,438 | ||||||||
Tenet Healthcare Corp.† | 6.75% | 5/15/2031 | 25,561,000 | 24,684,777 | ||||||||
Total | 682,255,103 | |||||||||||
Holding Companies-Diversified 0.10% | ||||||||||||
Benteler International AG (Austria)†(d) | 10.50% | 5/15/2028 | 21,318,000 | 21,365,166 | ||||||||
Home Builders 0.22% | ||||||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 23,447,000 | 23,581,767 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 22,468,000 | 20,875,491 | ||||||||
Total | 44,457,258 |
16 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Home Furnishings 0.12% | ||||||||||||
Leggett & Platt, Inc. | 4.40% | 3/15/2029 | $ | 26,515,000 | $ | 24,553,519 | ||||||
Insurance 1.42% | ||||||||||||
AIA Group Ltd. (Hong Kong)†(d) | 3.375% | 4/7/2030 | 18,904,000 | 16,562,170 | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 10/15/2027 | 29,808,000 | 27,752,938 | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 6.75% | 4/15/2028 | 52,893,000 | 51,096,452 | ||||||||
Arch Capital Finance LLC | 4.011% | 12/15/2026 | 20,230,000 | 19,188,616 | ||||||||
Assurant, Inc. | 2.65% | 1/15/2032 | 9,121,000 | 6,681,700 | ||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 11,056,000 | 9,312,066 | ||||||||
AXIS Specialty Finance PLC (United Kingdom)(d) | 5.15% | 4/1/2045 | 20,919,000 | 16,613,793 | ||||||||
Brown & Brown, Inc. | 2.375% | 3/15/2031 | 36,309,000 | 28,092,002 | ||||||||
HUB International Ltd.† | 7.25% | 6/15/2030 | 31,554,000 | 31,530,650 | ||||||||
Jones Deslauriers Insurance Management, Inc. (Canada)†(d) | 8.50% | 3/15/2030 | 10,819,000 | 10,910,703 | ||||||||
PartnerRe Finance B LLC | 3.70% | 7/2/2029 | 19,224,000 | 17,058,661 | ||||||||
RenaissanceRe Holdings Ltd. | 5.75% | 6/5/2033 | 32,586,000 | 30,695,458 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 10,049,000 | 8,567,781 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 15,659,000 | 18,381,560 | ||||||||
Total | 292,444,550 | |||||||||||
Internet 1.11% | ||||||||||||
EquipmentShare.com, Inc.† | 9.00% | 5/15/2028 | 35,000,000 | 33,687,500 | ||||||||
Gen Digital, Inc.† | 6.75% | 9/30/2027 | 22,453,000 | 22,032,449 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 24,270,000 | 22,923,015 | ||||||||
Netflix, Inc.(e) | 3.625% | 5/15/2027 | EUR | 41,790,000 | 43,313,545 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 74,089,000 | 71,865,774 | |||||||
Tencent Holdings Ltd. (China)†(d) | 3.925% | 1/19/2038 | 24,722,000 | 18,742,469 | ||||||||
VeriSign, Inc. | 2.70% | 6/15/2031 | 19,319,000 | 15,401,960 | ||||||||
Total | 227,966,712 | |||||||||||
Investment Companies 0.17% | ||||||||||||
Ares Capital Corp. | 7.00% | 1/15/2027 | 34,688,000 | 34,707,735 | ||||||||
Iron-Steel 0.74% | ||||||||||||
ArcelorMittal SA (Luxembourg)(d) | 6.55% | 11/29/2027 | 40,288,000 | 40,891,347 | ||||||||
Baffinland Iron Mines Corp./Baffinland Iron Mines LP (Canada)†(d) | 8.75% | 7/15/2026 | 21,555,000 | 21,009,894 | ||||||||
Commercial Metals Co. | 4.375% | 3/15/2032 | 15,677,000 | 13,168,200 | ||||||||
Mineral Resources Ltd. (Australia)†(d) | 8.50% | 5/1/2030 | 36,051,000 | 35,409,886 |
See Notes to Schedule of Investments. | 17 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Iron-Steel (continued) | ||||||||||||
Steel Dynamics, Inc. | 3.45% | 4/15/2030 | $ | 24,560,000 | $ | 21,313,186 | ||||||
U.S. Steel Corp. | 6.875% | 3/1/2029 | 21,509,000 | 21,165,825 | ||||||||
Total | 152,958,338 | |||||||||||
Leisure Time 1.93% | ||||||||||||
Carnival Corp.† | 4.00% | 8/1/2028 | 47,988,000 | 41,648,617 | ||||||||
Carnival Corp.† | 5.75% | 3/1/2027 | 49,676,000 | 45,010,887 | ||||||||
Carnival Corp.† | 9.875% | 8/1/2027 | 40,811,000 | 42,634,844 | ||||||||
Carnival Holdings Bermuda Ltd.† | 10.375% | 5/1/2028 | 23,092,000 | 24,777,231 | ||||||||
Life Time, Inc.† | 5.75% | 1/15/2026 | 17,488,000 | 16,960,723 | ||||||||
NCL Corp. Ltd.† | 5.875% | 3/15/2026 | 34,273,000 | 31,682,067 | ||||||||
NCL Corp. Ltd.† | 5.875% | 2/15/2027 | 36,990,000 | 35,210,903 | ||||||||
NCL Corp. Ltd.† | 8.375% | 2/1/2028 | 12,109,000 | 12,293,868 | ||||||||
Royal Caribbean Cruises Ltd.† | 5.50% | 8/31/2026 | 23,850,000 | 22,532,655 | ||||||||
Royal Caribbean Cruises Ltd.† | 7.25% | 1/15/2030 | 56,436,000 | 55,998,181 | ||||||||
Royal Caribbean Cruises Ltd.† | 9.25% | 1/15/2029 | 44,202,000 | 46,729,559 | ||||||||
Viking Cruises Ltd.† | 5.875% | 9/15/2027 | 24,382,000 | 22,278,565 | ||||||||
Total | 397,758,100 | |||||||||||
Lodging 2.13% | ||||||||||||
Boyd Gaming Corp. | 4.75% | 12/1/2027 | 22,921,000 | 21,143,724 | ||||||||
Genting New York LLC/GENNY Capital, Inc.† | 3.30% | 2/15/2026 | 27,745,000 | 24,629,794 | ||||||||
Hilton Domestic Operating Co., Inc.† | 3.75% | 5/1/2029 | 25,286,000 | 21,893,327 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 71,492,000 | 65,150,101 | ||||||||
Las Vegas Sands Corp. | 3.50% | 8/18/2026 | 35,861,000 | 32,657,193 | ||||||||
Marriott International, Inc. | 3.50% | 10/15/2032 | 23,858,000 | 19,535,215 | ||||||||
MGM China Holdings Ltd. (Macau)†(d) | 5.875% | 5/15/2026 | 23,450,000 | 22,327,992 | ||||||||
Sands China Ltd. (Macau)(d) | 3.10% | 3/8/2029 | 57,502,000 | 47,619,453 | ||||||||
Sands China Ltd. (Macau)(d) | 4.875% | 6/18/2030 | 35,200,000 | 30,420,625 | ||||||||
Sands China Ltd. (Macau)(d) | 5.65% | 8/8/2028 | 25,193,000 | 23,730,944 | ||||||||
Travel & Leisure Co. | 6.00% | 4/1/2027 | 23,988,000 | 22,844,972 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.25% | 5/15/2027 | 47,847,000 | 44,554,428 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 41,450,000 | 40,793,453 | ||||||||
Wynn Macau Ltd. (Macau)†(d) | 5.50% | 10/1/2027 | 23,813,000 | 21,276,175 | ||||||||
Total | 438,577,396 | |||||||||||
Machinery: Construction & Mining 0.07% | ||||||||||||
Vertiv Group Corp.† | 4.125% | 11/15/2028 | 15,448,000 | 13,592,863 |
18 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Machinery-Diversified 0.69% | ||||||||||||
Chart Industries, Inc.† | 7.50% | 1/1/2030 | $ | 26,440,000 | $ | 26,617,941 | ||||||
nVent Finance Sarl (Luxembourg)(d) | 2.75% | 11/15/2031 | 20,244,000 | 15,417,821 | ||||||||
nVent Finance Sarl (Luxembourg)(d) | 5.65% | 5/15/2033 | 36,050,000 | 33,578,160 | ||||||||
SPX Flow, Inc.† | 8.75% | 4/1/2030 | 17,647,000 | 16,335,475 | ||||||||
TK Elevator U.S. Newco, Inc.† | 5.25% | 7/15/2027 | 33,692,000 | 30,917,913 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 20,980,000 | 19,516,864 | ||||||||
Total | 142,384,174 | |||||||||||
Media 2.45% | ||||||||||||
Cable One, Inc.† | 4.00% | 11/15/2030 | 26,482,000 | 20,199,808 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 4.50% | 8/15/2030 | 30,808,000 | 25,327,814 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 34,678,000 | 31,530,389 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.375% | 6/1/2029 | 64,924,000 | 58,317,217 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 6.375% | 9/1/2029 | 32,585,000 | 30,417,133 | ||||||||
DISH Network Corp.† | 11.75% | 11/15/2027 | 115,385,000 | 116,416,657 | ||||||||
FactSet Research Systems, Inc. | 3.45% | 3/1/2032 | 23,698,000 | 19,655,026 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(d) | 6.75% | 10/15/2027 | 22,575,000 | 20,763,582 | ||||||||
News Corp.† | 3.875% | 5/15/2029 | 29,135,000 | 25,086,983 | ||||||||
Nexstar Media, Inc.† | 4.75% | 11/1/2028 | 25,187,000 | 20,877,865 | ||||||||
Nexstar Media, Inc.† | 5.625% | 7/15/2027 | 23,466,000 | 20,912,209 | ||||||||
Univision Communications, Inc.† | 4.50% | 5/1/2029 | 40,601,000 | 33,102,340 | ||||||||
UPC Broadband Finco BV (Netherlands)†(d) | 4.875% | 7/15/2031 | 53,571,000 | 43,531,259 | ||||||||
VZ Secured Financing BV (Netherlands)†(d) | 5.00% | 1/15/2032 | 49,172,000 | 38,679,649 | ||||||||
Total | 504,817,931 | |||||||||||
Metal Fabricate-Hardware 0.20% | ||||||||||||
Roller Bearing Co. of America, Inc.† | 4.375% | 10/15/2029 | 46,574,000 | 40,119,413 | ||||||||
Mining 1.54% | ||||||||||||
Anglo American Capital PLC (United Kingdom)†(d) | 5.625% | 4/1/2030 | 22,140,000 | 21,397,445 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(d) | 4.375% | 4/1/2031 | 76,481,000 | 63,026,876 | ||||||||
FMG Resources August 2006 Pty. Ltd. (Australia)†(d) | 6.125% | 4/15/2032 | 28,083,000 | 25,577,894 | ||||||||
Freeport Indonesia PT (Indonesia)(d) | 6.20% | 4/14/2052 | 17,767,000 | 14,906,605 | ||||||||
Freeport-McMoRan, Inc. | 5.40% | 11/14/2034 | 34,970,000 | 32,054,506 | ||||||||
Glencore Funding LLC† | 2.50% | 9/1/2030 | 24,268,000 | 19,201,984 | ||||||||
Hecla Mining Co. | 7.25% | 2/15/2028 | 25,372,000 | 24,581,683 | ||||||||
Kaiser Aluminum Corp.† | 4.50% | 6/1/2031 | 29,297,000 | 23,246,106 |
See Notes to Schedule of Investments. | 19 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Mining (continued) | ||||||||||||
Kinross Gold Corp. (Canada)†(d) | 6.25% | 7/15/2033 | $ | 36,065,000 | $ | 34,695,655 | ||||||
Mirabela Nickel Ltd. | Zero Coupon | 9/10/2044 | 185,297 | – | (g) | |||||||
Novelis Corp.† | 4.75% | 1/30/2030 | 36,313,000 | 31,475,734 | ||||||||
WE Soda Investments Holding PLC (United Kingdom)†(a)(d) | 9.50% | 10/6/2028 | 25,489,000 | 25,743,890 | ||||||||
Total | 315,908,378 | |||||||||||
Miscellaneous Manufacturing 0.10% | ||||||||||||
Hillenbrand, Inc. | 3.75% | 3/1/2031 | 25,244,000 | 20,246,824 | ||||||||
Oil & Gas 11.81% | ||||||||||||
Antero Resources Corp.† | 5.375% | 3/1/2030 | 97,896,000 | 90,247,728 | ||||||||
Apache Corp. | 4.25% | 1/15/2030 | 32,891,000 | 29,266,288 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 46,044,000 | 33,587,615 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 66,236,000 | 52,691,047 | ||||||||
Apache Corp. | 5.25% | 2/1/2042 | 16,333,000 | 12,804,715 | ||||||||
Baytex Energy Corp. (Canada)†(d) | 8.50% | 4/30/2030 | 22,755,000 | 23,044,944 | ||||||||
California Resources Corp.† | 7.125% | 2/1/2026 | 41,760,000 | 42,013,434 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 39,452,000 | 38,757,104 | ||||||||
Callon Petroleum Co.† | 8.00% | 8/1/2028 | 35,641,000 | 35,723,616 | ||||||||
Cenovus Energy, Inc. (Canada)(d) | 3.75% | 2/15/2052 | 15,891,000 | 10,531,382 | ||||||||
Cenovus Energy, Inc. (Canada)(d) | 5.40% | 6/15/2047 | 71,382,000 | 61,408,184 | ||||||||
Chesapeake Energy Corp.† | 6.75% | 4/15/2029 | 53,758,000 | 52,661,756 | ||||||||
CITGO Petroleum Corp.† | 7.00% | 6/15/2025 | 22,960,000 | 22,639,770 | ||||||||
CITGO Petroleum Corp.† | 8.375% | 1/15/2029 | 28,033,000 | 28,015,209 | ||||||||
Civitas Resources, Inc.† | 8.75% | 7/1/2031 | 26,928,000 | 27,539,779 | ||||||||
CNX Resources Corp.† | 7.25% | 3/14/2027 | 20,959,000 | 20,701,756 | ||||||||
Comstock Resources, Inc.† | 6.75% | 3/1/2029 | 36,417,000 | 33,541,962 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 57,875,000 | 53,707,777 | ||||||||
Continental Resources, Inc.† | 5.75% | 1/15/2031 | 33,154,000 | 31,160,638 | ||||||||
Crescent Energy Finance LLC† | 7.25% | 5/1/2026 | 37,074,000 | 36,372,004 | ||||||||
Crescent Energy Finance LLC† | 9.25% | 2/15/2028 | 20,444,000 | 20,891,928 | ||||||||
CrownRock LP/CrownRock Finance, Inc.† | 5.00% | 5/1/2029 | 38,571,000 | 36,179,604 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC (Cayman Islands)†(d) | 8.50% | 10/1/2030 | 20,793,000 | 20,816,184 | ||||||||
Diamondback Energy, Inc. | 3.50% | 12/1/2029 | 50,978,000 | 45,273,270 | ||||||||
Ecopetrol SA (Colombia)(d) | 5.875% | 5/28/2045 | 45,080,500 | 29,747,035 | ||||||||
Encino Acquisition Partners Holdings LLC† | 8.50% | 5/1/2028 | 33,746,000 | 32,440,536 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 56,642,000 | 54,713,829 |
20 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Helmerich & Payne, Inc. | 2.90% | 9/29/2031 | $ | 26,951,000 | $ | 21,334,240 | ||||||
Hess Corp. | 5.60% | 2/15/2041 | 32,388,000 | 29,283,653 | ||||||||
Kosmos Energy Ltd.† | 7.75% | 5/1/2027 | 43,319,000 | 40,080,680 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 27,808,000 | 26,865,910 | ||||||||
Matador Resources Co.† | 6.875% | 4/15/2028 | 43,709,000 | 42,958,197 | ||||||||
MC Brazil Downstream Trading Sarl (Luxembourg)†(d) | 7.25% | 6/30/2031 | 41,929,079 | 32,209,709 | ||||||||
MEG Energy Corp. (Canada)†(d) | 5.875% | 2/1/2029 | 57,133,000 | 53,418,789 | ||||||||
MEG Energy Corp. (Canada)†(d) | 7.125% | 2/1/2027 | 63,832,000 | 64,769,118 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 28,833,000 | 28,008,783 | ||||||||
Murphy Oil Corp. | 6.375% | 7/15/2028 | 29,105,000 | 28,636,677 | ||||||||
Nabors Industries, Inc.† | 7.375% | 5/15/2027 | 22,606,000 | 21,889,318 | ||||||||
Noble Finance II LLC† | 8.00% | 4/15/2030 | 11,101,000 | 11,256,336 | ||||||||
Occidental Petroleum Corp. | 6.125% | 1/1/2031 | 44,401,000 | 43,807,359 | ||||||||
Occidental Petroleum Corp. | 6.625% | 9/1/2030 | 19,846,000 | 20,130,592 | ||||||||
Occidental Petroleum Corp. | 7.50% | 5/1/2031 | 18,501,000 | 19,654,873 | ||||||||
Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 17,825,000 | 20,059,007 | ||||||||
OGX Austria GmbH (Brazil)†(d)(f) | 8.50% | 6/1/2018 | 20,000,000 | 400 | ||||||||
OQ SAOC (Oman)†(d) | 5.125% | 5/6/2028 | 35,991,000 | 34,467,321 | ||||||||
Ovintiv, Inc. | 6.50% | 2/1/2038 | 35,442,000 | 33,966,464 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 29,415,000 | 26,441,366 | ||||||||
Patterson-UTI Energy, Inc. | 5.15% | 11/15/2029 | 29,814,000 | 27,198,034 | ||||||||
Patterson-UTI Energy, Inc. | 7.15% | 10/1/2033 | 23,666,000 | 23,765,458 | ||||||||
Permian Resources Operating LLC† | 5.375% | 1/15/2026 | 20,285,000 | 19,440,941 | ||||||||
Permian Resources Operating LLC† | 6.875% | 4/1/2027 | 28,867,000 | 28,482,561 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 5.35% | 2/12/2028 | 30,987,000 | 25,235,302 | ||||||||
Petroleos Mexicanos (Mexico)†(d) | 10.00% | 2/7/2033 | 42,742,000 | 38,088,721 | ||||||||
Phillips 66 Co. | 4.95% | 12/1/2027 | 17,526,000 | 17,185,060 | ||||||||
Pioneer Natural Resources Co. | 2.15% | 1/15/2031 | 24,382,000 | 19,255,601 | ||||||||
Precision Drilling Corp. (Canada)†(d) | 6.875% | 1/15/2029 | 25,184,000 | 23,878,624 | ||||||||
Range Resources Corp.† | 4.75% | 2/15/2030 | 54,135,000 | 48,111,128 | ||||||||
Range Resources Corp. | 8.25% | 1/15/2029 | 50,838,000 | 52,161,322 | ||||||||
Rockcliff Energy II LLC† | 5.50% | 10/15/2029 | 26,449,000 | 23,836,651 | ||||||||
Seadrill Finance Ltd.† | 8.375% | 8/1/2030 | 21,159,000 | 21,562,291 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 87,786,000 | 86,117,627 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 22,306,000 | 21,917,318 | ||||||||
Southwestern Energy Co. | 5.375% | 2/1/2029 | 51,054,000 | 47,066,550 | ||||||||
Southwestern Energy Co. | 5.375% | 3/15/2030 | 35,900,000 | 32,750,048 |
See Notes to Schedule of Investments. | 21 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Oil & Gas (continued) | ||||||||||||
Southwestern Energy Co. | 8.375% | 9/15/2028 | $ | 26,363,000 | $ | 27,238,304 | ||||||
Suncor Energy, Inc. (Canada)(d) | 7.15% | 2/1/2032 | 28,398,000 | 29,894,175 | ||||||||
Texaco Capital, Inc. | 8.625% | 11/15/2031 | 10,933,000 | 13,123,313 | ||||||||
Transocean, Inc.† | 8.75% | 2/15/2030 | 57,494,000 | 58,838,785 | ||||||||
Vermilion Energy, Inc. (Canada)†(d) | 6.875% | 5/1/2030 | 18,065,000 | 17,112,563 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 37,638,000 | 35,690,986 | ||||||||
Vital Energy, Inc.† | 7.75% | 7/31/2029 | 35,741,000 | 33,285,597 | ||||||||
Vital Energy, Inc. | 9.75% | 10/15/2030 | 11,987,000 | 12,265,075 | ||||||||
Vital Energy, Inc. | 10.125% | 1/15/2028 | 69,305,000 | 70,717,846 | ||||||||
Total | 2,429,937,767 | |||||||||||
Oil & Gas Services 0.63% | ||||||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 26,550,000 | 26,237,102 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 38,139,000 | 35,968,509 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 6.875% | 9/1/2027 | 27,040,000 | 26,241,720 | ||||||||
Weatherford International Ltd.† | 8.625% | 4/30/2030 | 41,472,000 | 41,826,171 | ||||||||
Total | 130,273,502 | |||||||||||
Packaging & Containers 1.14% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC† | 3.25% | 9/1/2028 | 10,909,000 | 9,108,218 | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(d) | 4.125% | 8/15/2026 | 22,644,000 | 20,720,088 | ||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)†(d) | 5.25% | 8/15/2027 | 12,393,000 | 10,358,317 | ||||||||
Ball Corp. | 6.875% | 3/15/2028 | 21,490,000 | 21,642,708 | ||||||||
LABL, Inc.† | 6.75% | 7/15/2026 | 19,868,000 | 19,278,359 | ||||||||
LABL, Inc.† | 10.50% | 7/15/2027 | 14,003,000 | 13,181,554 | ||||||||
Mauser Packaging Solutions Holding Co.† | 7.875% | 8/15/2026 | 38,298,000 | 36,991,307 | ||||||||
Mauser Packaging Solutions Holding Co.† | 9.25% | 4/15/2027 | 22,571,000 | 19,760,344 | ||||||||
Owens-Brockway Glass Container, Inc.† | 7.25% | 5/15/2031 | 21,876,000 | 21,411,135 | ||||||||
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC† | 4.00% | 10/15/2027 | 22,289,000 | 19,806,005 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 22,562,000 | 21,943,576 | ||||||||
Trivium Packaging Finance BV (Netherlands)†(d) | 5.50% | 8/15/2026 | 22,373,000 | 20,885,934 | ||||||||
Total | 235,087,545 |
22 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Pharmaceuticals 0.46% | ||||||||||||
BellRing Brands, Inc.† | 7.00% | 3/15/2030 | $ | 31,670,000 | $ | 31,226,123 | ||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV† | 4.125% | 4/30/2028 | 49,891,000 | 43,398,370 | ||||||||
Perrigo Finance Unlimited Co. (Ireland)(d) | 4.65% | 6/15/2030 | 24,024,000 | 20,510,985 | ||||||||
Total | 95,135,478 | |||||||||||
Pipelines 2.82% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(d) | 4.60% | 11/2/2047 | 22,835,000 | 19,794,520 | ||||||||
AI Candelaria Spain SA (Spain)†(d) | 5.75% | 6/15/2033 | 30,777,000 | 21,810,072 | ||||||||
AI Candelaria Spain SA (Spain)†(d) | 7.50% | 12/15/2028 | 22,425,594 | 20,467,253 | ||||||||
Buckeye Partners LP | 9.627% (3 mo. USD LIBOR + 4.02%) | # | 1/22/2078 | 30,566,000 | 25,130,465 | |||||||
Cheniere Energy Partners LP | 3.25% | 1/31/2032 | 30,486,000 | 24,263,896 | ||||||||
Colonial Enterprises, Inc.† | 3.25% | 5/15/2030 | 19,028,000 | 16,406,412 | ||||||||
Columbia Pipelines Operating Co. LLC† | 5.927% | 8/15/2030 | 12,880,000 | 12,721,401 | ||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC† | 5.50% | 6/15/2031 | 47,805,000 | 42,427,086 | ||||||||
DT Midstream, Inc.† | 4.30% | 4/15/2032 | 27,064,000 | 23,064,482 | ||||||||
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates)†(d) | 3.25% | 9/30/2040 | 15,515,000 | 11,341,267 | ||||||||
Greensaif Pipelines Bidco Sarl (Luxembourg)†(d) | 6.129% | 2/23/2038 | 16,331,000 | 15,960,324 | ||||||||
Hess Midstream Operations LP† | 5.125% | 6/15/2028 | 17,974,000 | 16,552,171 | ||||||||
Kinder Morgan, Inc. | 5.20% | 6/1/2033 | 20,771,000 | 19,224,522 | ||||||||
Magellan Midstream Partners LP | 3.95% | 3/1/2050 | 15,796,000 | 10,591,005 | ||||||||
NGPL PipeCo LLC† | 3.25% | 7/15/2031 | 24,487,000 | 19,499,796 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 24,928,000 | 23,545,649 | ||||||||
Oleoducto Central SA (Colombia)(d) | 4.00% | 7/14/2027 | 16,478,000 | 14,698,142 | ||||||||
ONEOK, Inc. | 4.45% | 9/1/2049 | 22,523,000 | 16,225,325 | ||||||||
ONEOK, Inc. | 6.05% | 9/1/2033 | 31,558,000 | 31,022,111 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 16,996,000 | 15,944,051 | ||||||||
Venture Global Calcasieu Pass LLC† | 3.875% | 8/15/2029 | 26,406,000 | 22,248,724 | ||||||||
Venture Global Calcasieu Pass LLC† | 6.25% | 1/15/2030 | 22,579,000 | 21,560,337 | ||||||||
Venture Global LNG, Inc.† | 8.125% | 6/1/2028 | 13,276,000 | 13,154,829 | ||||||||
Venture Global LNG, Inc.† | 8.375% | 6/1/2031 | 23,884,000 | 23,502,862 | ||||||||
Western Midstream Operating LP | 4.05% | 2/1/2030 | 70,590,000 | 61,779,112 | ||||||||
Western Midstream Operating LP | 6.35% | 1/15/2029 | 10,816,000 | 10,848,361 | ||||||||
Williams Cos., Inc. | 5.65% | 3/15/2033 | 28,111,000 | 27,178,852 | ||||||||
Total | 580,963,027 |
See Notes to Schedule of Investments. | 23 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
REITS 1.32% | ||||||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2030 | $ | 26,711,000 | $ | 22,684,312 | ||||||
GLP Capital LP/GLP Financing II, Inc. | 4.00% | 1/15/2031 | 19,738,000 | 16,452,742 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.75% | 6/1/2028 | 17,444,000 | 16,742,411 | ||||||||
Goodman U.S. Finance Five LLC† | 4.625% | 5/4/2032 | 22,454,000 | 19,729,450 | ||||||||
Rayonier LP | 2.75% | 5/17/2031 | 45,499,000 | 35,184,633 | ||||||||
Retail Opportunity Investments Partnership LP | 6.75% | 10/15/2028 | 22,536,000 | 22,258,463 | ||||||||
SBA Communications Corp. | 3.875% | 2/15/2027 | 50,424,000 | 46,248,172 | ||||||||
Service Properties Trust | 7.50% | 9/15/2025 | 13,542,000 | 13,319,980 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 6/15/2025 | 22,094,000 | 21,356,281 | ||||||||
VICI Properties LP/VICI Note Co., Inc.† | 4.625% | 12/1/2029 | 65,109,000 | 57,836,325 | ||||||||
Total | 271,812,769 | |||||||||||
Retail 1.97% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada)†(d) | 4.00% | 10/15/2030 | 25,190,000 | 20,961,700 | ||||||||
1011778 BC ULC/New Red Finance, Inc. (Canada)†(d) | 4.375% | 1/15/2028 | 23,483,000 | 21,188,786 | ||||||||
Advance Auto Parts, Inc. | 3.90% | 4/15/2030 | 25,324,000 | 20,566,224 | ||||||||
Asbury Automotive Group, Inc.† | 4.625% | 11/15/2029 | 33,850,000 | 29,117,946 | ||||||||
Bath & Body Works, Inc. | 5.25% | 2/1/2028 | 20,650,000 | 19,134,583 | ||||||||
Bath & Body Works, Inc.† | 6.625% | 10/1/2030 | 17,059,000 | 16,011,231 | ||||||||
Beacon Roofing Supply, Inc.† | 6.50% | 8/1/2030 | 11,230,000 | 10,895,121 | ||||||||
Gap, Inc.† | 3.875% | 10/1/2031 | 32,431,000 | 22,824,584 | ||||||||
LBM Acquisition LLC† | 6.25% | 1/15/2029 | 18,065,000 | 14,831,455 | ||||||||
Murphy Oil USA, Inc.† | 3.75% | 2/15/2031 | 40,965,000 | 33,487,417 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 25,575,000 | 23,089,110 | ||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC† | 7.125% | 4/1/2026 | 13,510,000 | 12,691,797 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 4.75% | 2/15/2028 | 17,685,000 | 15,503,614 | ||||||||
PetSmart, Inc./PetSmart Finance Corp.† | 7.75% | 2/15/2029 | 36,558,000 | 34,108,011 | ||||||||
SRS Distribution, Inc.† | 4.625% | 7/1/2028 | 29,451,000 | 25,481,850 | ||||||||
Stonegate Pub Co. Financing 2019 PLC(e) | 8.00% | 7/13/2025 | GBP | 9,936,000 | 11,352,271 | |||||||
Stonegate Pub Co. Financing 2019 PLC(e) | 8.25% | 7/31/2025 | GBP | 34,850,000 | 40,357,125 | |||||||
Tiffany & Co. | 4.90% | 10/1/2044 | $ | 15,113,000 | 13,111,941 | |||||||
White Cap Buyer LLC† | 6.875% | 10/15/2028 | 24,250,000 | 21,462,114 | ||||||||
Total | 406,176,880 | |||||||||||
Savings & Loans 0.00% | ||||||||||||
Washington Mutual Bank/Debt not acquired by JPMorgan(f) | 6.875% | 6/15/2011 | 22,500,000 | – | (g)(i) |
24 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Semiconductors 0.71% | ||||||||||||
Entegris Escrow Corp.† | 4.75% | 4/15/2029 | $ | 25,044,000 | $ | 22,537,429 | ||||||
Marvell Technology, Inc. | 5.95% | 9/15/2033 | 21,787,000 | 21,396,233 | ||||||||
ON Semiconductor Corp.† | 3.875% | 9/1/2028 | 58,385,000 | 51,755,967 | ||||||||
Qorvo, Inc. | 4.375% | 10/15/2029 | 21,594,000 | 19,014,854 | ||||||||
SK Hynix, Inc. (South Korea)(d) | 6.50% | 1/17/2033 | 31,457,000 | 30,782,995 | ||||||||
Total | 145,487,478 | |||||||||||
Shipbuilding 0.20% | ||||||||||||
Huntington Ingalls Industries, Inc. | 4.20% | 5/1/2030 | 44,684,000 | 40,437,730 | ||||||||
Software 1.81% | ||||||||||||
AthenaHealth Group, Inc.† | 6.50% | 2/15/2030 | 37,901,000 | 31,747,477 | ||||||||
Clarivate Science Holdings Corp.† | 4.875% | 7/1/2029 | 23,178,000 | 19,783,980 | ||||||||
Cloud Software Group, Inc.† | 6.50% | 3/31/2029 | 41,497,000 | 36,738,983 | ||||||||
Cloud Software Group, Inc.† | 9.00% | 9/30/2029 | 68,784,000 | 59,868,617 | ||||||||
Intuit, Inc. | 5.50% | 9/15/2053 | 20,897,000 | 20,064,214 | ||||||||
MSCI, Inc.† | 3.25% | 8/15/2033 | 31,224,000 | 24,075,862 | ||||||||
MSCI, Inc.† | 3.875% | 2/15/2031 | 66,243,000 | 56,209,193 | ||||||||
MSCI, Inc.† | 4.00% | 11/15/2029 | 44,098,000 | 38,788,486 | ||||||||
PTC, Inc.† | 4.00% | 2/15/2028 | 20,054,000 | 17,995,256 | ||||||||
ROBLOX Corp.† | 3.875% | 5/1/2030 | 38,290,000 | 30,771,330 | ||||||||
Roper Technologies, Inc. | 1.75% | 2/15/2031 | 24,609,000 | 18,686,920 | ||||||||
Workday, Inc. | 3.80% | 4/1/2032 | 20,288,000 | 17,402,376 | ||||||||
Total | 372,132,694 | |||||||||||
Telecommunications 2.05% | ||||||||||||
Altice France SA (France)†(d) | 5.50% | 10/15/2029 | 27,368,000 | 19,720,973 | ||||||||
Altice France SA (France)†(d) | 8.125% | 2/1/2027 | 45,191,000 | 40,132,826 | ||||||||
Connect Finco Sarl/Connect U.S. Finco LLC (Luxembourg)†(d) | 6.75% | 10/1/2026 | 27,239,000 | 25,439,801 | ||||||||
Frontier Communications Holdings LLC† | 5.875% | 10/15/2027 | 47,940,000 | 43,645,448 | ||||||||
Frontier Communications Holdings LLC† | 8.75% | 5/15/2030 | 45,349,000 | 43,105,371 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 20,825,000 | 18,751,553 | ||||||||
Lumen Technologies, Inc.† | 4.00% | 2/15/2027 | 34,777,000 | 22,946,734 | ||||||||
NTT Finance Corp. (Japan)†(d) | 4.372% | 7/27/2027 | 19,947,000 | 19,222,092 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 102,833,000 | 106,264,674 | ||||||||
Vmed O2 U.K. Financing I PLC (United Kingdom)†(d) | 4.25% | 1/31/2031 | 79,166,000 | 63,117,461 | ||||||||
Vmed O2 U.K. Financing I PLC (United Kingdom)†(d) | 4.75% | 7/15/2031 | 24,505,000 | 19,826,216 | ||||||||
Total | 422,173,149 |
See Notes to Schedule of Investments. | 25 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Transportation 0.14% | ||||||||||||
Central Japan Railway Co. (Japan)†(d) | 4.25% | 11/24/2045 | $ | 18,040,000 | $ | 14,301,504 | ||||||
Rand Parent LLC† | 8.50% | 2/15/2030 | 15,325,000 | 14,195,407 | ||||||||
Total | 28,496,911 | |||||||||||
Trucking & Leasing 0.16% | ||||||||||||
Fortress Transportation & Infrastructure Investors LLC† | 5.50% | 5/1/2028 | 35,638,000 | 32,347,775 | ||||||||
Total Corporate Bonds (cost $16,076,783,911) | 14,877,512,497 | |||||||||||
FLOATING RATE LOANS(j) 4.19% | ||||||||||||
Aerospace/Defense 0.17% | ||||||||||||
Alloy Finco Ltd. 2020 USD Term Loan B2 (Jersey)(d) | 11.812% (3 mo. USD LIBOR + 6.50%) | 3/6/2024 | 8,102,769 | 7,916,405 | ||||||||
Alloy Finco Ltd. USD Holdco PIK Term Loan 13.50% (Jersey)(d) | 0.50% | 3/6/2025 | 17,774,131 | 17,118,710 | ||||||||
Bleriot US Bidco Inc. 2023 Term Loan B | – | (b) | 10/31/2028 | 10,236,331 | 10,261,000 | |||||||
Total | 35,296,115 | |||||||||||
Automotive 0.11% | ||||||||||||
DexKo Global, Inc. 2021 USD Term Loan B | 9.402% (3 mo. USD Term SOFR + 3.75%) | 10/4/2028 | 23,306,331 | 22,796,505 | ||||||||
Beverages 0.11% | ||||||||||||
Sunshine Investments BV 2022 USD Term Loan (Netherlands)(d) | 9.615% (3 mo. USD Term SOFR + 4.25%) | 7/12/2029 | 22,257,652 | 22,299,385 | ||||||||
Building Materials 0.08% | ||||||||||||
CP Atlas Buyer, Inc. 2021 Term Loan B | – | (b) | 11/23/2027 | 18,016,400 | 17,044,235 | |||||||
Chemicals 0.10% | ||||||||||||
IRIS Holdings Inc. Term Loan | 10.219% (3 mo. USD Term SOFR + 4.75%) | 6/28/2028 | 22,176,991 | 20,710,870 | ||||||||
Commercial Services 0.11% | ||||||||||||
Mavis Tire Express Services Corp. 2021 Term Loan B | – | (b) | 5/4/2028 | 22,514,691 | 22,486,547 | |||||||
Construction & Engineering 0.10% | ||||||||||||
Brand Industrial Services, Inc. 2023 Term Loan B | 10.872% (3 mo. USD Term SOFR + 5.50%) | 8/1/2030 | 21,288,710 | 20,798,005 |
26 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Diversified Capital Goods 0.13% | ||||||||||||
CeramTec AcquiCo GmbH 2022 EUR Term Loan B(e) | 7.283% (3 mo. EURIBOR + 3.50%) | 3/16/2029 | EUR | 25,074,401 | $ | 26,280,735 | ||||||
Electric 0.00% | ||||||||||||
Helix Gen Funding LLC 2023 Term Loan | 10.061% (3 mo. USD Term SOFR + 4.75%) | 12/31/2027 | $ | 8,019 | 8,022 | |||||||
Electric: Generation 0.36% | ||||||||||||
Astoria Energy LLC 2020 Term Loan B | 8.931% (1 mo. USD Term SOFR + 3.50%) | 12/10/2027 | 46,455,044 | 46,546,329 | ||||||||
EFS Cogen Holdings I LLC 2020 Term Loan B | 9.16% (3 mo. USD Term SOFR + 3.50%) | 10/1/2027 | 24,314,258 | 24,234,871 | ||||||||
Frontera Generation Holdings LLC 2021 2nd Lien Term Loan | 7.152% (3 mo. USD Term SOFR + 1.50%) | 7/28/2028 | 1,720,948 | 890,590 | ||||||||
Frontera Generation Holdings LLC 2021 Term Loan | 18.652% (3 mo. USD Term SOFR + 13.00%) | 7/28/2026 | 1,773,053 | 1,870,571 | ||||||||
Total | 73,542,361 | |||||||||||
Energy 0.20% | ||||||||||||
CQP Holdco LP 2021 Term Loan B | 8.99% (1 mo. USD Term SOFR + 3.50%) | |||||||||||
(3 mo. USD Term SOFR + 3.50%) | 6/5/2028 | 22,495,871 | 22,544,462 | |||||||||
Medallion Midland Acquisition LLC 2021 Term Loan | – | (b) | 10/18/2028 | 18,930,548 | 18,982,607 | |||||||
Total | 41,527,069 | |||||||||||
Entertainment 0.06% | ||||||||||||
Formula One Holdings Ltd. Term Loan B (Luxembourg)(d) | – | (b) | 1/15/2030 | 2,711,243 | 2,714,293 | |||||||
Vue International Bidco PLC 2022 EUR Term Loan(e) | 12.072% (6 mo. EURIBOR + 8.00%) | 6/30/2027 | EUR | 2,436,933 | 2,518,477 | |||||||
Vue International Bidco PLC 2023 EUR PIK Term Loan 6.50%(e) | 4.859% (6 mo. EURIBOR + 2.00%) | 12/31/2027 | EUR | 13,896,432 | 7,027,700 | |||||||
Total | 12,260,470 |
See Notes to Schedule of Investments. | 27 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Gas Distribution 0.11% | ||||||||||||
Freeport LNG Investments LLLP Term Loan B | 9.088% (3 mo. USD Term SOFR + 3.50%) | 12/21/2028 | $ | 22,562,635 | $ | 22,386,421 | ||||||
Health Care Products 0.21% | ||||||||||||
Bausch & Lomb Corp. Term Loan (Canada)(d) | 8.755% (3 mo. USD Term SOFR + 3.25%) | 5/10/2027 | 44,895,596 | 43,723,372 | ||||||||
Healthcare 0.21% | ||||||||||||
Athenahealth Group, Inc. 2022 Term Loan B | – | (b) | 2/15/2029 | 21,131,714 | 20,794,980 | |||||||
eResearchTechnology, Inc. 2020 1st Lien Term Loan | 9.931% (1 mo. USD Term SOFR + 4.50%) | 2/4/2027 | 22,513,389 | 22,135,502 | ||||||||
Total | 42,930,482 | |||||||||||
Information Technology 0.43% | ||||||||||||
Banff Merger Sub, Inc. 2021 USD Term Loan | 9.181% (1 mo. USD Term SOFR + 3.75%) | 10/2/2025 | 22,014,955 | 22,017,927 | ||||||||
Cloud Software Group, Inc. 2022 USD Term Loan B | 9.99% (3 mo. USD Term SOFR + 4.50%) | 3/30/2029 | 23,308,568 | 22,452,677 | ||||||||
MKS Instruments, Inc. 2022 USD Term Loan B | 8.166% (1 mo. USD Term SOFR + 2.75%) | 8/17/2029 | 22,538,003 | 22,564,147 | ||||||||
Proofpoint, Inc. 1st Lien Term Loan | 8.681% (1 mo. USD Term SOFR + 3.25%) | 8/31/2028 | 22,535,219 | 22,377,135 | ||||||||
Total | 89,411,886 | |||||||||||
Insurance 0.15% | ||||||||||||
HUB International Ltd. 2023 Term Loan B | 9.584% (3 mo. USD Term SOFR + 4.25%) | 6/20/2030 | 22,593,694 | 22,680,793 | ||||||||
USI, Inc. 2023 Acquisition Term Loan | – | (b) | 9/14/2030 | 6,778,000 | 6,769,527 | |||||||
USI, Inc. 2023 Refi Term Loan | – | (b) | 9/14/2030 | 2,259,333 | 2,256,509 | |||||||
Total | 31,706,829 | |||||||||||
Investment Management Companies 0.07% | ||||||||||||
GIP Pilot Acquisition Partners LP Term Loan | – | (b) | 9/18/2030 | 14,121,000 | 14,103,349 |
28 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Lodging 0.11% | ||||||||||||
Four Seasons Hotels Ltd. 2023 Term Loan B (Canada)(d) | 7.916% (1 mo. USD Term SOFR + 2.50%) | 11/30/2029 | $ | 22,485,827 | $ | 22,559,131 | ||||||
Machinery: Diversified 0.23% | ||||||||||||
Chart Industries, Inc. 2023 Term Loan B | – | (b) | 3/15/2030 | 2,704,450 | 2,711,211 | |||||||
CPM Holdings, Inc. 2023 Term Loan | – | (b) | 9/22/2028 | 7,793,000 | 7,785,714 | |||||||
LSF12 Badger Bidco LLC Term Loan B | 11.316% (3 mo. USD Term SOFR + 6.00%) | 8/30/2030 | 14,680,583 | 14,680,583 | ||||||||
SPX Flow, Inc. 2022 Term Loan | – | (b) | 4/5/2029 | 22,593,694 | 22,575,732 | |||||||
Total | 47,753,240 | |||||||||||
Manufacturing 0.11% | ||||||||||||
Madison IAQ LLC | 8.689% (1 mo. USD Term SOFR + 3.25%) | 6/21/2028 | 22,632,722 | 22,303,189 | ||||||||
Media 0.14% | ||||||||||||
Virgin Media Bristol LLC 2023 USD Term Loan Y | – | (b) | 3/31/2031 | 29,167,000 | 28,521,243 | |||||||
Metal Fabricate/Hardware 0.10% | ||||||||||||
Tank Holding Corp. 2022 Term Loan | 11.166% (1 mo. USD Term SOFR + 5.75%) | 3/31/2028 | 21,988,663 | 21,387,493 | ||||||||
Oil & Gas 0.16% | ||||||||||||
Par Petroleum LLC 2023 Term Loan B | 9.773% (3 mo. USD Term SOFR + 4.25%) | 2/28/2030 | 22,617,607 | 22,622,244 | ||||||||
Parkway Generation LLC Term Loan B | 10.181% (1 mo. USD Term SOFR + 4.75%) | 2/18/2029 | 8,760,607 | 8,761,965 | ||||||||
Parkway Generation LLC Term Loan C | 10.181% (1 mo. USD Term SOFR + 4.75%) | 2/18/2029 | 1,157,886 | 1,158,065 | ||||||||
Total | 32,542,274 | |||||||||||
Personal & Household Products 0.00% | ||||||||||||
FGI Operating Co. LLC Exit Term Loan(f) | – | (b) | 5/16/2024 | 807,005 | 101,279 | (k) |
See Notes to Schedule of Investments. | 29 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Real Estate 0.03% | ||||||||||||
Cushman & Wakefield U.S. Borrower LLC 2023 Term Loan B | 9.316% (1 mo. USD Term SOFR + 4.00%) | 1/31/2030 | $ | 5,165,004 | $ | 5,132,723 | ||||||
Retail 0.28% | ||||||||||||
IRB Holding Corp. 2022 Term Loan B | – | (b) | 12/15/2027 | 22,537,710 | 22,482,380 | |||||||
Restoration Hardware, Inc. Term Loan B | 7.931% (1 mo. USD Term SOFR + 2.50%) | 10/20/2028 | 36,047,611 | 34,725,925 | ||||||||
Total | 57,208,305 | |||||||||||
Service 0.02% | ||||||||||||
AppLovin Corp. 2021 Term Loan B | – | (b) | 10/25/2028 | 4,506,994 | 4,509,405 | |||||||
Software 0.09% | ||||||||||||
Applied Systems, Inc. 2022 Extended 1st Lien Term Loan | – | (b) | 9/18/2026 | 13,521,564 | 13,578,219 | |||||||
Quartz Acquireco LLC Term Loan B | 8.818% (1 mo. USD Term SOFR + 3.50%) | 6/28/2030 | 4,518,512 | 4,518,512 | ||||||||
Total | 18,096,731 | |||||||||||
Software/Services 0.21% | ||||||||||||
Peraton Corp. Term Loan B | – | (b) | 2/1/2028 | 43,229,805 | 43,193,924 | |||||||
Total Floating Rate Loans (cost $870,149,303) | 862,621,595 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 3.85% | ||||||||||||
Angola 0.23% | ||||||||||||
Angolan Government International Bonds(d) | 9.375% | 5/8/2048 | 63,270,000 | 46,838,781 | ||||||||
Argentina 0.16% | ||||||||||||
Argentina Government International Bonds(d) | 0.75% | (l) | 7/9/2030 | 112,506,166 | 32,270,385 | |||||||
Brazil 0.20% | ||||||||||||
Brazil Notas do Tesouro Nacional(e) | 10.00% | 1/1/2029 | BRL | 214,000,000 | 40,682,319 | |||||||
Colombia 0.15% | ||||||||||||
Colombia Government International Bonds(d) | 8.00% | 4/20/2033 | $ | 31,633,000 | 31,289,245 | |||||||
Costa Rica 0.26% | ||||||||||||
Costa Rica Government International Bonds†(d) | 7.158% | 3/12/2045 | 54,766,000 | 53,003,026 | ||||||||
Dominican Republic 0.33% | ||||||||||||
Dominican Republic International Bonds†(d) | 6.00% | 2/22/2033 | 76,808,000 | 68,014,248 |
30 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
Ecuador 0.15% | ||||||||||||
Ecuador Government International Bonds†(d) | 6.00% | (l) | 7/31/2030 | $ | 61,961,479 | $ | 31,811,067 | |||||
El Salvador 0.20% | ||||||||||||
El Salvador Government International Bonds(d) | 8.625% | 2/28/2029 | 50,110,000 | 41,109,367 | ||||||||
Gabon 0.08% | ||||||||||||
Gabon Government International Bonds(d) | 6.95% | 6/16/2025 | 8,745,000 | 7,826,775 | ||||||||
Gabon Government International Bonds(d) | 6.95% | 6/16/2025 | 9,115,000 | 8,157,925 | ||||||||
Total | 15,984,700 | |||||||||||
Jordan 0.19% | ||||||||||||
Jordan Government International Bonds†(d) | 7.50% | 1/13/2029 | 40,699,000 | 39,847,577 | ||||||||
Mexico 0.32% | ||||||||||||
Mexico Bonos(e) | 7.50% | 5/26/2033 | MXN | 1,367,800,000 | 66,713,950 | |||||||
Senegal 0.20% | ||||||||||||
Senegal Government International Bonds†(d) | 6.25% | 5/23/2033 | $ | 50,482,000 | 40,596,615 | |||||||
Serbia 0.20% | ||||||||||||
Serbia International Bonds†(d) | 6.25% | 5/26/2028 | 42,356,000 | 41,584,909 | ||||||||
South Africa 0.23% | ||||||||||||
Republic of South Africa Government International Bonds(d) | 4.30% | 10/12/2028 | 54,117,000 | 46,945,632 | ||||||||
Sri Lanka 0.11% | ||||||||||||
Sri Lanka Government International Bonds†(d)(f) | 5.875% | 7/25/2022 | 45,243,000 | 22,214,980 | ||||||||
Turkey 0.63% | ||||||||||||
Turkey Government International Bonds(d) | 5.125% | 2/17/2028 | 112,768,000 | 100,854,061 | ||||||||
Turkey Government International Bonds(d) | 9.375% | 3/14/2029 | 27,200,000 | 27,941,744 | ||||||||
Total | 128,795,805 | |||||||||||
Uruguay 0.21% | ||||||||||||
Uruguay Government International Bonds(e) | 9.75% | 7/20/2033 | UYU | 1,645,058,743 | 43,156,009 | |||||||
Total Foreign Government Obligations (cost $845,179,579) | 790,858,615 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 10.78% | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 7/1/2052 | $ | 43,774,061 | 41,731,006 | |||||||
Federal National Mortgage Association | 5.00% | 7/1/2052 | 59,188,055 | 56,492,789 | ||||||||
Government National Mortgage Association(m) | 3.00% | TBA | 148,709,000 | 126,077,348 | ||||||||
Government National Mortgage Association(m) | 3.50% | TBA | 65,450,000 | 57,345,450 |
See Notes to Schedule of Investments. | 31 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Government National Mortgage Association(m) | 4.00% | TBA | $ | 118,032,000 | $ | 106,427,056 | ||||||
Government National Mortgage Association(m) | 4.50% | TBA | 117,633,000 | 108,729,839 | ||||||||
Government National Mortgage Association(m) | 5.00% | TBA | 347,956,000 | 329,809,870 | ||||||||
Government National Mortgage Association(m) | 5.50% | TBA | 177,570,000 | 172,319,198 | ||||||||
Government National Mortgage Association(m) | 6.00% | TBA | 229,740,000 | 227,525,126 | ||||||||
Government National Mortgage Association(m) | 6.50% | TBA | 95,395,000 | 95,879,428 | ||||||||
Uniform Mortgage-Backed Security(m) | 4.00% | TBA | 155,322,000 | 138,361,875 | ||||||||
Uniform Mortgage-Backed Security(m) | 4.50% | TBA | 79,396,000 | 72,913,356 | ||||||||
Uniform Mortgage-Backed Security(m) | 5.00% | TBA | 26,639,000 | 25,931,402 | ||||||||
Uniform Mortgage-Backed Security(m) | 5.50% | TBA | 258,890,000 | 251,903,691 | ||||||||
Uniform Mortgage-Backed Security(m) | 6.00% | TBA | 266,435,000 | 264,177,633 | ||||||||
Uniform Mortgage-Backed Security(m) | 6.50% | TBA | 140,311,000 | 140,922,794 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $2,246,998,479) | 2,216,547,861 | |||||||||||
MUNICIPAL BONDS 0.35% | ||||||||||||
Government 0.10% | ||||||||||||
Foothill-Eastern Transportation Corridor Agency CA | 4.094% | 1/15/2049 | 26,814,000 | 20,528,691 | ||||||||
Miscellaneous 0.17% | ||||||||||||
Dallas Convention Center Hotel Development Corp. TX | 7.088% | 1/1/2042 | 17,645,000 | 18,842,035 | ||||||||
New York City Industrial Development Agency NY† | 11.00% | 3/1/2029 | 15,138,000 | 17,194,617 | ||||||||
Total | 36,036,652 | |||||||||||
Tax Revenue 0.08% | ||||||||||||
Memphis-Shelby County Industrial Development Board Tax Allocation TN(f) | 7.00% | 7/1/2045 | 22,085,000 | 15,987,451 | ||||||||
Total Municipal Bonds (cost $88,646,607) | 72,552,794 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 5.90% | ||||||||||||
BBCMS Mortgage Trust Series 2019-BWAY Class A† | 6.403% (1 mo. USD Term SOFR + 1.07%) | # | 11/15/2034 | 24,790,000 | 19,214,129 | |||||||
Benchmark Mortgage Trust Series 2019-B12 Class WMA† | 4.388% | #(n) | 8/15/2052 | 17,436,000 | 12,642,448 | |||||||
BHMS Mortgage Trust Series 2018-ATLS Class A† | 6.879% (1 mo. USD Term SOFR + 1.55%) | # | 7/15/2035 | 59,340,000 | 58,636,946 | |||||||
BMO Mortgage Trust Series 2023-C5 Class A5 | 5.765% | 6/15/2056 | 14,190,000 | 14,064,692 |
32 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Commercial Mortgage Trust Series 2020-VIV4 Class A† | 2.843% | 3/9/2044 | $ | 14,051,000 | $ | 11,450,413 | ||||||
BX Commercial Mortgage Trust Series 2021-VOLT Class A† | 6.147% (1 mo. USD Term SOFR + 0.81%) | # | 9/15/2036 | 27,805,000 | 27,087,425 | |||||||
BX Trust Series 2021-ARIA Class A† | 6.346% (1 mo. USD Term SOFR + 1.01%) | # | 10/15/2036 | 12,340,000 | 12,049,752 | |||||||
BX Trust Series 2022-PSB Class A† | 7.783% (1 mo. USD Term SOFR + 2.45%) | # | 8/15/2039 | 21,182,707 | 21,203,360 | |||||||
CF Trust Series 2019-BOSS Class A1† | 8.63% (1 mo. USD Term SOFR + 3.30%) | # | 12/15/2024 | 18,050,000 | 17,258,109 | |||||||
CIM Trust Series 2020-J1 Class A2† | 2.50% | #(n) | 7/25/2050 | 8,753,828 | 6,725,531 | |||||||
CIM Trust Series 2021-J1 Class A1† | 2.50% | #(n) | 3/25/2051 | 9,416,563 | 7,152,633 | |||||||
Citigroup Mortgage Loan Trust, Inc. Series 2021-INV2 Class A3A† | 2.50% | #(n) | 5/25/2051 | 43,538,835 | 33,152,546 | |||||||
Citigroup Mortgage Loan Trust, Inc. Series 2022-INV1 Class A3B† | 3.00% | #(n) | 11/27/2051 | 63,622,192 | 50,512,127 | |||||||
COMM Mortgage Trust Series 2014-UBS5 Class AM | 4.193% | #(n) | 9/10/2047 | 17,756,000 | 17,150,229 | |||||||
Credit Suisse Mortgage Capital Certificates Trust Series 2022-MARK Class B† | 8.777% (1 mo. USD Term SOFR + 3.44%) | # | 6/15/2039 | 9,900,000 | 9,764,693 | |||||||
CS Master Trust Series 2021-BLUF Class A† | 9.622% (1 mo. USD Term SOFR + 4.29%) | # | 4/15/2023(o) | 19,335,000 | 18,641,409 | (c) | ||||||
CSMC Trust Series 2021-BPNY Class A† | 9.162% (1 mo. USD Term SOFR + 3.83%) | # | 8/15/2026 | 38,040,000 | 33,095,036 | |||||||
CSMC Trust Series 2021-BRIT Class A† | 8.906% (1 mo. USD Term SOFR + 3.57%) | # | 5/15/2026 | 51,195,393 | 45,887,459 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Notes Series 2023-DNA2 Class M1A† | 7.415% (30 day USD SOFR Average + 2.10%) | # | 4/25/2043 | 22,356,805 | 22,590,120 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2020-DNA1 Class B1† | 7.729% (30 day USD SOFR Average + 2.41%) | # | 1/25/2050 | 10,710,000 | 10,779,941 |
See Notes to Schedule of Investments. | 33 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2020-DNA2 Class B1† | 7.929% (30 day USD SOFR Average + 2.61%) | # | 2/25/2050 | $ | 12,505,000 | $ | 12,570,224 | |||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2021-HQA3 Class M1† | 6.165% (30 day USD SOFR Average + 0.85%) | # | 9/25/2041 | 12,479,660 | 12,214,594 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2022-DNA2 Class M1B† | 7.715% (30 day USD SOFR Average + 2.40%) | # | 2/25/2042 | 16,065,000 | 16,177,085 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2022-DNA4 Class M1B† | 8.665% (30 day USD SOFR Average + 3.35%) | # | 5/25/2042 | 940,000 | 976,365 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2022-DNA5 Class M1B† | 9.815% (30 day USD SOFR Average + 4.50%) | # | 6/25/2042 | 11,505,000 | 12,374,327 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2022-HQA3 Class M1A† | 7.615% (30 day USD SOFR Average + 2.30%) | # | 8/25/2042 | 31,321,183 | 31,831,518 | |||||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust Series 2022-HQA3 Class M1B† | 8.865% (30 day USD SOFR Average + 3.55%) | # | 8/25/2042 | 32,190,000 | 33,345,473 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2022-HQA2 Class M1B† | 9.315% (30 day USD SOFR Average + 4.00%) | # | 7/25/2042 | 7,550,000 | 7,864,414 | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2023-DNA2 Class M1B† | 8.565% (30 day USD SOFR Average + 3.25%) | # | 4/25/2043 | 43,500,000 | 44,984,290 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2022-R01 Class 1B2† | 11.315% (30 day USD SOFR Average + 6.00%) | # | 12/25/2041 | 25,930,000 | 26,215,704 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R03 Class 2M2† | 9.215% (30 day USD SOFR Average + 3.90%) | # | 4/25/2043 | 17,850,000 | 18,678,647 |
34 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R06 Class 1M2† | 8.015% (30 day USD SOFR Average + 2.70%) | # | 7/25/2043 | $ | 9,700,000 | $ | 9,774,653 | |||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2019-R05 Class 1B1† | 9.529% (30 day USD SOFR Average + 4.21%) | # | 7/25/2039 | 19,053,536 | 19,705,134 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R02 Class 2M1† | 6.515% (30 day USD SOFR Average + 1.20%) | # | 1/25/2042 | 13,933,934 | 13,849,248 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2022-R08 Class 1M1† | 7.865% (30 day USD SOFR Average + 2.55%) | # | 7/25/2042 | 20,504,741 | 20,899,629 | |||||||
Federal National Mortgage Association Connecticut Avenue Securities Trust Series 2023-R01 Class 1M1† | 7.715% (30 day USD SOFR Average + 2.40%) | # | 12/25/2042 | 45,910,727 | 46,724,706 | |||||||
Flagstar Mortgage Trust Series 2021-8INV Class A3† | 2.50% | #(n) | 9/25/2051 | 10,700,766 | 8,128,088 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-ARDN Class C† | 7.497% (1 mo. USD Term SOFR + 2.16%) | # | 11/15/2036 | 15,795,000 | 15,154,206 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-PJ1 Class A2† | 2.50% | #(n) | 6/25/2051 | 19,281,715 | 14,646,005 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-PJ5 Class A2† | 2.50% | #(n) | 10/25/2051 | 7,011,316 | 5,325,656 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-RENT Class G† | 11.147% (1 mo. USD Term SOFR + 5.81%) | # | 11/21/2035 | 593,847 | 63,839 | |||||||
GS Mortgage Securities Corp. Trust Series 2021-RSMZ Class MZ† | 14.947% (1 mo. USD Term SOFR + 9.61%) | # | 6/15/2026 | 69,790,000 | 697,900 | (c) | ||||||
GS Mortgage Securities Corp. Trust Series 2022-ECI Class B† | 8.276% (1 mo. USD Term SOFR + 2.94%) | # | 8/15/2039 | 23,620,000 | 23,615,002 | |||||||
GS Mortgage Securities Corp. Trust Series 2023-FUN Class A† | 7.424% (1 mo. USD Term SOFR + 2.09%) | # | 3/15/2028 | 41,970,000 | 41,640,733 | |||||||
GS Mortgage-Backed Securities Corp. Trust Series 2021-PJ6 Class A8† | 2.50% | #(n) | 11/25/2051 | 15,391,527 | 13,034,613 | |||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ6 Class A2† | 2.50% | #(n) | 11/25/2051 | 22,149,962 | 16,824,668 |
See Notes to Schedule of Investments. | 35 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Interest Rate | Maturity Date | Principal Amount | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
GS Mortgage-Backed Securities Trust Series 2021-PJ7 Class A2† | 2.50% | #(n) | 1/25/2052 | $ | 14,351,830 | $ | 10,901,363 | ||||||
Hilton Orlando Trust Series 2018-ORL Class A† | 6.399% (1 mo. USD Term SOFR + 1.07%) | # | 12/15/2034 | 13,143,000 | 13,017,310 | ||||||||
HPLY Trust Series 2019-HIT Class A† | 6.443% (1 mo. USD Term SOFR + 1.11%) | # | 11/15/2036 | 17,614,529 | 17,480,799 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2022-NLP Class B† | 6.439% (1 mo. USD Term SOFR + 1.11%) | # | 4/15/2037 | 36,981,470 | 33,738,480 | ||||||||
JPMorgan Mortgage Trust Series 2020-7 Class A3† | 3.00% | #(n) | 1/25/2051 | 9,277,873 | 7,389,169 | ||||||||
JPMorgan Mortgage Trust Series 2021-12 Class A3† | 2.50% | #(n) | 2/25/2052 | 11,410,183 | 8,666,947 | ||||||||
JPMorgan Mortgage Trust Series 2021-7 Class A3† | 2.50% | #(n) | 11/25/2051 | 7,753,281 | 5,889,237 | ||||||||
JPMorgan Mortgage Trust Series 2021- INV5 Class A2† | 3.00% | #(n) | 12/25/2051 | 9,659,175 | 7,738,070 | ||||||||
JPMorgan Mortgage Trust Series 2021-INV8 Class A2† | 3.00% | #(n) | 5/25/2052 | 40,153,921 | 31,979,755 | ||||||||
JPMorgan Mortgage Trust Series 2022-4 Class A2A† | 3.00% | #(n) | 10/25/2052 | 17,456,423 | 13,815,861 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-BOLT Class D† | 12.148% (1 mo. USD Term SOFR + 6.81%) | # | 8/15/2033 | 41,665,000 | 36,587,078 | ||||||||
Life Mortgage Trust Series 2022-BMR2 Class A1† | 6.627% (1 mo. USD Term SOFR + 1.30%) | # | 5/15/2039 | 29,175,000 | 28,690,039 | ||||||||
SHOW Trust Series 2022-BIZ Class A† | 8.314% (1 mo. USD Term SOFR + 2.98%) | # | 1/15/2027 | 81,900,000 | 82,103,894 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,331,365,203) | 1,214,373,721 | ||||||||||||
Dividend Rate | Shares | ||||||||||||
PREFERRED STOCKS 0.07% | |||||||||||||
Transportation Infrastructure | |||||||||||||
ACBL Holdings Corp. | Zero Coupon | 118,991 | 2,796,288 | ||||||||||
ACBL Holdings Corp. | Zero Coupon | 205,069 | 11,278,795 | ||||||||||
Total Preferred Stocks (cost $8,101,500) | 14,075,083 |
36 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Investments | Exercise Price | Expiration Date | Shares | Fair Value | ||||||||
RIGHTS 0.00% | ||||||||||||
Cosmetics/Personal Care | ||||||||||||
Revlon, Inc.* (cost $591,989) | Zero Coupon | 12/31/2099 | 1,798,428 | $ | 2 | |||||||
Total Long-Term Investments (cost $24,050,474,921) | 22,627,102,268 | |||||||||||
Principal Amount | ||||||||||||
SHORT-TERM INVESTMENTS 0.83% | ||||||||||||
REPURCHASE AGREEMENTS 0.83% | ||||||||||||
Repurchase Agreement dated 9/29/2023, 2.800% due 10/2/2023 with Fixed Income Clearing Corp. collateralized by $178,042,700 of U.S. Treasury Note at 3.625% due 5/15/2026; value: $174,895,503; proceeds: $171,506,099 (cost $171,466,090) | $ | 171,466,090 | 171,466,090 | |||||||||
Total Investments in Securities 110.85% (cost $24,221,941,011) | 22,798,568,358 | |||||||||||
Other Assets and Liabilities – Net(p) (10.85)% | (2,231,939,455 | ) | ||||||||||
Net Assets 100.00% | $ | 20,566,628,903 |
BRL | Brazilian Real. | |
EUR | Euro. | |
GBP | British Pound. | |
MXN | Mexican Peso. | |
UYU | Uruguayan Peso. | |
ADR | American Depositary Receipt. | |
CMT | Constant Maturity Rate. | |
EURIBOR | Euro Interbank Offered Rate. | |
ICE | Intercontinental Exchange. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
REITS | Real Estate Investment Trusts. | |
REMIC | Real Estate Mortgage Investment Conduit. | |
SOFR | Secured Overnight Financing Rate. | |
STACR | Structured Agency Credit Risk. |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. At September 30, 2023, the total value of Rule 144A securities was $11,587,722,186, which represents 56.34% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at September 30, 2023. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis. | |
(b) | Interest Rate to be determined. | |
(c) | 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. |
See Notes to Schedule of Investments. | 37 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
(d) | Foreign security traded in U.S. dollars. | |
(e) | Investment in non-U.S. dollar denominated securities. | |
(f) | Defaulted (non-income producing security). | |
(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) | Security is perpetual in nature and has no stated maturity. | |
(i) | Amount is less than $1. | |
(j) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at September 30, 2023. | |
(k) | 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. | |
(l) | Step Bond – Security with a predetermined schedule of interest rate changes. | |
(m) | 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. | |
(n) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(o) | Maturity date has passed. As of September 30, 2023, an extension is available to June 15, 2024. | |
(p) | 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 September 30, 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 | $29,848,102 | $ | 1,391,336 | (1) | ||||||||
Bank of America | 2.544% | CPI Urban Consumer NSA | 3/2/2052 | 60,151,898 | 2,801,009 | ||||||||||
Bank of America | 2.665% | CPI Urban Consumer NSA | 5/12/2052 | 97,080,000 | 1,185,726 | ||||||||||
Total Unrealized Appreciation on Centrally Cleared CPI Swap Contracts | $ | 5,378,071 | |||||||||||||
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 | $(233,987 | ) |
(1) | Unrealized appreciation on Centrally Cleared CPI Swap Contract is $1,253,192, which Includes upfront payment of $138,144. Upfront payments paid (received) by Central Clearing Party are presented net of amortization. |
38 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(continued)
September 30, 2023
Forward Foreign Currency Exchange Contracts at September 30, 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 | ||||||||||||||
Euro | Buy | Goldman Sachs | 12/13/2023 | 16,670,000 | $ | 17,566,903 | $ | 17,680,910 | $ | 114,007 | |||||||||||
British pound | Sell | Toronto Dominion Bank | 12/8/2023 | 67,678,000 | 84,642,235 | 82,606,163 | 2,036,072 | ||||||||||||||
Canadian dollar | Sell | J.P. Morgan | 11/20/2023 | 13,552,000 | 10,112,247 | 9,984,156 | 128,091 | ||||||||||||||
Canadian dollar | Sell | Morgan Stanley | 11/20/2023 | 26,533,000 | 20,209,091 | 19,547,640 | 661,451 | ||||||||||||||
Canadian dollar | Sell | Morgan Stanley | 11/20/2023 | 13,742,000 | 10,306,062 | 10,124,135 | 181,927 | ||||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 11/20/2023 | 8,000,000 | 5,920,888 | 5,893,835 | 27,053 | ||||||||||||||
Euro | Sell | Morgan Stanley | 12/13/2023 | 4,635,000 | 4,960,264 | 4,916,078 | 44,186 | ||||||||||||||
Euro | Sell | Toronto Dominion Bank | 12/13/2023 | 144,100,000 | 155,537,938 | 152,838,576 | 2,699,362 | ||||||||||||||
Swiss franc | Sell | Morgan Stanley | 11/22/2023 | 18,512,000 | 21,286,906 | 20,331,929 | 954,977 | ||||||||||||||
Swiss franc | Sell | Morgan Stanley | 11/22/2023 | 1,156,000 | 1,297,131 | 1,269,647 | 27,484 | ||||||||||||||
Total Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 6,874,610 |
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||||||
Euro | Buy | Morgan Stanley | 12/13/2023 | 9,311,000 | $9,890,384 | $9,875,642 | $(14,742 | ) |
Futures Contracts at September 30, 2023:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 10-Year Treasury Note | December 2023 | 23,542 | Short | $(2,584,329,800 | ) | $(2,544,007,375 | ) | $ | 40,322,425 | ||||||||||
U.S. 10-Year Ultra Treasury Bond | December 2023 | 1,203 | Short | (134,481,768 | ) | (134,209,688 | ) | 272,080 | |||||||||||
U.S. 2-Year Treasury Note | December 2023 | 7,548 | Short | (1,530,236,689 | ) | (1,530,062,160 | ) | 174,529 | |||||||||||
U.S. Long Bond | December 2023 | 377 | Short | (45,180,505 | ) | (42,895,531 | ) | 2,284,974 | |||||||||||
U.S. Ultra Treasury Bond | December 2023 | 2,855 | Short | (353,285,181 | ) | (338,852,813 | ) | 14,432,368 | |||||||||||
Total Unrealized Appreciation on Futures Contracts | $ | 57,486,376 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 5-Year Treasury Note | December 2023 | 8,082 | Long | $863,275,532 | $851,514,469 | $ | (11,761,063 | ) |
See Notes to Schedule of Investments. | 39 |
Schedule of Investments (unaudited)(continued)
September 30, 2023
The following is a summary of the inputs used as of September 30, 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 | ||||||||||||||||
Other | $ | – | $ | 552,557,338 | $ | 25,513,625 | $ | 578,070,963 | ||||||||
Remaining Industries | – | 396,288,444 | – | 396,288,444 | ||||||||||||
Common Stocks | ||||||||||||||||
Automobile Components | – | 7,641,079 | – | 7,641,079 | ||||||||||||
Electric-Generation | – | 9,135 | – | 9,135 | ||||||||||||
Miscellaneous Financials | – | 7,228,840 | – | 7,228,840 | ||||||||||||
Personal Care Products | – | 12,560,985 | – | 12,560,985 | ||||||||||||
Specialty Retail | 46,432,564 | 5,370,713 | – | 51,803,277 | ||||||||||||
Textiles, Apparel & Luxury Goods | 23,480,596 | 61,733,213 | – | 85,213,809 | ||||||||||||
Transportation Infrastructure | – | – | 2,020,365 | 2,020,365 | ||||||||||||
Remaining Industries | 1,437,723,203 | – | – | 1,437,723,203 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Banks | – | 826,854,512 | 1 | 826,854,513 | ||||||||||||
Diversified Financial Services | – | 316,434,730 | – | (3) | 316,434,730 | |||||||||||
Mining | – | 315,908,378 | – | (4) | 315,908,378 | |||||||||||
Savings & Loans | – | – | – | (3) | – | (3) | ||||||||||
Remaining Industries | – | 13,418,314,876 | – | 13,418,314,876 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Personal & Household Products | – | – | 101,279 | 101,279 | ||||||||||||
Remaining Industries | – | 862,520,316 | – | 862,520,316 | ||||||||||||
Foreign Government Obligations | – | 790,858,615 | – | 790,858,615 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 2,216,547,861 | – | 2,216,547,861 | ||||||||||||
Municipal Bonds | – | 72,552,794 | – | 72,552,794 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 1,195,034,412 | 19,339,309 | 1,214,373,721 | ||||||||||||
Preferred Stocks | – | 14,075,083 | – | 14,075,083 | ||||||||||||
Rights | – | 2 | – | 2 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 171,466,090 | – | 171,466,090 | ||||||||||||
Total | $ | 1,507,636,363 | $ | 21,243,957,416 | $ | 46,974,579 | $ | 22,798,568,358 |
40 | See Notes to Schedule of Investments. |
Schedule of Investments (unaudited)(concluded)
September 30, 2023
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 5,378,071 | $ | – | $ | 5,378,071 | ||||||||
Liabilities | – | (233,987 | ) | – | (233,987 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 6,874,610 | – | 6,874,610 | ||||||||||||
Liabilities | – | (14,742 | ) | – | (14,742 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 57,486,376 | – | – | 57,486,376 | ||||||||||||
Liabilities | (11,761,063 | ) | – | – | (11,761,063 | ) | ||||||||||
Total | $ | 45,725,313 | $ | 12,003,952 | $ | – | $ | 57,729,265 |
(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. | 41 |
Notes to Schedule of Investments (unaudited)
1. | ORGANIZATION |
Lord Abbett Bond-Debenture Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund was incorporated under Maryland law on January 23, 1976.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the Fund’s Board of Directors (the “Board”), the Board has designated the determination of fair value of the Fund’s portfolio investments to Lord, Abbett & Co. LLC (“Lord Abbett”) as 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 Pricing Committee uses a third-party 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 valuation 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. Options and options on swaps (“swaptions”) are valued daily using independent pricing services or quotations from broker/dealers to the extent available. 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, |
42
Notes to Schedule of Investments (unaudited)(continued)
inputs and assumptions, and retrospective comparison of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Fair Value Measurements–Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 – | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing the Fund’s investments and other financial instruments as of September 30, 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.
43
Notes to Schedule of Investments (unaudited)(concluded)
4. | SECURITIES LENDING AGREEMENT |
The Fund has established a securities lending agreement with Citibank, N.A. for the lending of securities to qualified brokers in exchange for securities or cash collateral equal to at least the market value of securities loaned, plus interest, if applicable. Cash collateral is invested in an approved money market fund. In accordance with the Fund’s securities lending agreement, the market value of securities on loan is determined each day at the close of business and any additional collateral required to cover the value of securities on loan is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience a delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or the borrower becomes insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
The initial collateral received by the Fund is required to have a value equal to at least 100% of the market value of the securities loaned. The collateral must be marked-to-market daily to cover increases in the market value of the securities loaned (or potentially a decline in the value of the collateral). In general, the risk of borrower default will be borne by Citibank, N.A.; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while receiving a portion of any securities lending fees and earning returns on the cash amounts which may be reinvested for the purchase of investments in securities.
As of September 30, 2023, the Fund did not have any securities on loan.
44
QPHR-BOND-3Q
(11/23)