Putnam VT High Yield Fund | ||||||
The fund's portfolio | ||||||
3/31/24 (Unaudited) |
CORPORATE BONDS AND NOTES (83.0%)(a) | ||||||
Principal amount | Value | |||||
Advertising and marketing services (1.0%) | ||||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 7.875%, 4/1/30 | $445,000 | $442,775 | ||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 | 60,000 | 56,558 | ||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 | 580,000 | 507,964 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. notes 7.375%, 2/15/31 | 280,000 | 293,279 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 | 260,000 | 250,240 | ||||
1,550,816 | ||||||
Automotive (0.7%) | ||||||
EquipmentShare.com, Inc. 144A notes 9.00%, 5/15/28 | 235,000 | 242,048 | ||||
IHO Verwaltungs GmbH sr. unsub. notes Ser. REGS, 8.75%, 5/15/28 (Germany)(PIK) | EUR | 410,000 | 478,608 | |||
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 | $305,000 | 288,561 | ||||
1,009,217 | ||||||
Broadcasting (1.5%) | ||||||
Banijay Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France) | 555,000 | 572,421 | ||||
Gray Television, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 11/15/31 | 400,000 | 262,288 | ||||
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 252,569 | 141,092 | ||||
Nexstar Media, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/28 | 240,000 | 218,679 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 350,000 | 291,835 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 | 380,000 | 347,651 | ||||
Univision Communications, Inc. 144A sr. notes 8.00%, 8/15/28 | 200,000 | 203,752 | ||||
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 145,000 | 143,382 | ||||
2,181,100 | ||||||
Building materials (3.3%) | ||||||
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 295,000 | 276,190 | ||||
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 | 295,000 | 265,180 | ||||
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27(PIK) | 220,000 | 217,797 | ||||
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 | 525,000 | 539,308 | ||||
EMRLD Borrower LP/Emerald Co-Issuer, Inc. 144A sr. notes 6.625%, 12/15/30 | 515,000 | 520,150 | ||||
EMRLD Borrower LP/Emerald Co-Issuer, Inc. company guaranty sr. bonds Ser. REGS, 6.375%, 12/15/30 | EUR | 110,000 | 124,619 | |||
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 | $370,000 | 346,900 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 200,000 | 200,268 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 325,000 | 287,534 | ||||
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30 | 495,000 | 455,549 | ||||
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 | EUR | 100,000 | 100,913 | |||
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 | $35,000 | 29,346 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 210,000 | 203,706 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 30,000 | 28,631 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 | 630,000 | 566,083 | ||||
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 | 665,000 | 652,264 | ||||
White Cap Parent, LLC 144A sr. unsec. notes 8.25%, 3/15/26(PIK) | 150,000 | 149,854 | ||||
4,964,292 | ||||||
Capital goods (7.2%) | ||||||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC sr. unsec. notes Ser. REGS, 3.00%, 9/1/29 | EUR | 100,000 | 82,359 | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC 144A sr. unsec. notes 4.00%, 9/1/29 | $280,000 | 225,694 | ||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A sr. unsec. notes 5.25%, 8/15/27 (Ireland) | 295,000 | 185,850 | ||||
Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) | 540,000 | 581,175 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 164,000 | 164,115 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 2/1/29 (Canada) | 175,000 | 180,203 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) | 156,000 | 158,245 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.25%, 7/1/31 | 50,000 | 50,063 | ||||
Bombardier, Inc. 144A sr. unsec. unsub. notes 8.75%, 11/15/30 (Canada) | 260,000 | 277,622 | ||||
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 | 335,000 | 347,879 | ||||
Chart Industries, Inc. 144A company guaranty sr. unsec. notes 9.50%, 1/1/31 | 210,000 | 228,685 | ||||
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 | 477,000 | 477,425 | ||||
Clarios Global LP 144A sr. notes 6.75%, 5/15/28 | 215,000 | 217,930 | ||||
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 | EUR | 115,000 | 123,120 | |||
Clean Harbors, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 2/1/31 | $275,000 | 277,020 | ||||
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 | 155,000 | 162,613 | ||||
ESAB Corp. 144A company guaranty sr. unsec. notes 6.25%, 4/15/29 | 45,000 | 45,169 | ||||
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | 240,000 | 225,706 | ||||
GFL Environmental, Inc. 144A sr. notes 6.75%, 1/15/31 (Canada) | 115,000 | 117,854 | ||||
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 755,000 | 671,718 | ||||
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 | 235,000 | 217,351 | ||||
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 | 540,000 | 494,035 | ||||
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 | 420,000 | 427,771 | ||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 | 235,000 | 235,355 | ||||
Ritchie Bros Holdings, Inc. 144A company guaranty sr. notes 6.75%, 3/15/28 | 115,000 | 117,013 | ||||
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 | 395,000 | 411,788 | ||||
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 135,000 | 123,609 | ||||
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 | 200,000 | 182,617 | ||||
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 | 490,000 | 479,392 | ||||
Spirit AeroSystems, Inc. 144A company guaranty sr. notes 9.75%, 11/15/30 | 505,000 | 564,876 | ||||
Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 | 115,000 | 125,441 | ||||
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 | 235,000 | 221,861 | ||||
TK Elevator Holdco GmbH sr. unsec. notes Ser. REGS, 6.625%, 7/15/28 (Germany) | EUR | 211,500 | 220,814 | |||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 | $470,000 | 437,199 | ||||
TransDigm, Inc. 144A company guaranty sr. notes 7.125%, 12/1/31 | 70,000 | 72,139 | ||||
TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 | 290,000 | 295,625 | ||||
TransDigm, Inc. 144A sr. notes 6.75%, 8/15/28 | 355,000 | 359,438 | ||||
TransDigm, Inc. 144A sr. notes 6.625%, 3/1/32 | 305,000 | 308,139 | ||||
Vertical Midco GMBH company guaranty sr. notes Ser. REGS, 4.375%, 7/15/27 (Germany) | EUR | 210,000 | 217,890 | |||
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 | $220,000 | 204,697 | ||||
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 6.625%, 3/15/32 | 90,000 | 91,457 | ||||
WESCO Distribution, Inc. 144A company guaranty sr. unsec. notes 6.375%, 3/15/29 | 90,000 | 90,925 | ||||
10,699,877 | ||||||
Chemicals (3.9%) | ||||||
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 | 415,000 | 425,503 | ||||
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 | 650,000 | 581,663 | ||||
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) | 380,000 | 331,631 | ||||
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 | 245,000 | 220,806 | ||||
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 | 355,000 | 319,656 | ||||
Olympus Water US Holding Corp. sr. notes Ser. REGS, 3.875%, 10/1/28 | EUR | 155,000 | 155,851 | |||
Olympus Water US Holding Corp. 144A sr. notes 9.75%, 11/15/28 | $220,000 | 234,348 | ||||
Olympus Water US Holding Corp. 144A sr. notes 4.25%, 10/1/28 | 520,000 | 471,767 | ||||
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29 | 380,000 | 347,813 | ||||
Rain Carbon, Inc. 144A sr. notes 12.25%, 9/1/29 | 110,000 | 114,105 | ||||
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 | 525,000 | 489,048 | ||||
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 | 415,000 | 384,230 | ||||
SCIL IV, LLC/SCIL USA Holdings, LLC 144A sr. notes 5.375%, 11/1/26 | 240,000 | 231,900 | ||||
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 | 350,000 | 313,928 | ||||
Vibrantz Technologies, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 | 420,000 | 387,868 | ||||
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 | 355,000 | 358,550 | ||||
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 | 505,000 | 451,919 | ||||
5,820,586 | ||||||
Commercial and consumer services (2.7%) | ||||||
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 | 305,000 | 279,432 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. notes 7.875%, 2/15/31 | 370,000 | 374,735 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. notes 6.625%, 7/15/26 | 60,000 | 59,961 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. unsec. notes 6.00%, 6/1/29 | 340,000 | 292,544 | ||||
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 580,000 | 504,800 | ||||
Boost Newco Borrower, LLC 144A sr. notes 7.50%, 1/15/31 | 365,000 | 382,087 | ||||
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 | 235,000 | 208,374 | ||||
Garda World Security Corp. 144A sr. notes 7.75%, 2/15/28 (Canada) | 80,000 | 81,700 | ||||
Garda World Security Corp. 144A sr. unsec. notes 6.00%, 6/1/29 (Canada) | 65,000 | 58,178 | ||||
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | 395,000 | 353,580 | ||||
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) | 213,000 | 213,512 | ||||
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 395,000 | 373,502 | ||||
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 | 310,000 | 303,669 | ||||
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 | 475,000 | 459,253 | ||||
3,945,327 | ||||||
Communication services (5.6%) | ||||||
Altice Financing SA 144A company guaranty sr. notes 5.00%, 1/15/28 (Luxembourg) | 205,000 | 168,724 | ||||
Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France) | 230,000 | 156,109 | ||||
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) | 400,000 | 284,097 | ||||
Altice France SA 144A company guaranty sr. notes 5.125%, 7/15/29 (France) | 280,000 | 189,289 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 | 255,000 | 204,917 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 675,000 | 617,927 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 | 1,010,000 | 867,227 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 | 550,000 | 448,868 | ||||
Connect Finco SARL/Connect US Finco, LLC 144A company guaranty sr. notes 6.75%, 10/1/26 (Luxembourg) | 315,000 | 308,787 | ||||
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 11.75%, 1/31/29 | 635,000 | 635,990 | ||||
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 6.50%, 2/1/29 | 375,000 | 317,742 | ||||
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 515,000 | 442,963 | ||||
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 | 425,000 | 224,984 | ||||
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 | 305,000 | 288,541 | ||||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 | 275,000 | 114,699 | ||||
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 165,000 | 129,922 | ||||
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 | 530,000 | 288,066 | ||||
Frontier Communications Holdings, LLC 144A company guaranty sr. notes 5.875%, 10/15/27 | 450,000 | 435,661 | ||||
Frontier Communications Holdings, LLC 144A company guaranty sr. notes 8.75%, 5/15/30 | 295,000 | 301,851 | ||||
Level 3 Financing, Inc. 144A company guaranty sr. notes 10.50%, 5/15/30 | 275,000 | 281,188 | ||||
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 | 295,000 | 138,650 | ||||
Viasat, Inc. 144A sr. unsec. notes 7.50%, 5/30/31 | 295,000 | 213,875 | ||||
Virgin Media Finance PLC 144A sr. unsec. bonds 5.00%, 7/15/30 (United Kingdom) | 475,000 | 401,925 | ||||
Virgin Media Secured Finance PLC 144A company guaranty sr. sub. notes 4.50%, 8/15/30 (United Kingdom) | 245,000 | 211,275 | ||||
VZ Secured Financing BV 144A sr. notes 5.00%, 1/15/32 (Netherlands) | 240,000 | 206,100 | ||||
Ziggo Bond Co. BV 144A sr. unsec. notes 6.00%, 1/15/27 (Netherlands) | 420,000 | 413,940 | ||||
8,293,317 | ||||||
Construction (1.6%) | ||||||
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 | 255,000 | 231,287 | ||||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | 135,000 | 136,996 | ||||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 | 320,000 | 286,998 | ||||
Builders FirstSource, Inc. 144A sr. unsec. bonds 6.375%, 3/1/34 | 195,000 | 195,805 | ||||
Cemex SAB de CV sr. unsec. sub. FRB Ser. REGS, 9.125%, 3/14/53 (Mexico) | 400,000 | 432,500 | ||||
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28 | 230,000 | 215,857 | ||||
Miter Brands Acquisition Holdco, Inc./MIWD Borrower, LLC 144A company guaranty sr. notes 6.75%, 4/1/32 | 230,000 | 230,575 | ||||
Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 | 350,000 | 372,750 | ||||
Smyrna Ready Mix Concrete, LLC 144A sr. notes 6.00%, 11/1/28 | 225,000 | 219,905 | ||||
2,322,673 | ||||||
Consumer (0.3%) | ||||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 455,000 | 445,921 | ||||
445,921 | ||||||
Consumer staples (4.5%) | ||||||
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) | 400,000 | 356,401 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 500,000 | 475,714 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 215,000 | 208,076 | ||||
Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 435,000 | 419,851 | ||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. notes 8.00%, 2/15/31 | 30,000 | 29,951 | ||||
Avis Budget Finance PLC 144A notes 7.00%, 2/28/29 | 190,000 | 203,225 | ||||
Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 | EUR | 445,000 | 478,264 | |||
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 | $330,000 | 298,786 | ||||
Chobani, LLC/ Chobani Finance Corp., Inc. 144A sr. unsec. notes 7.625%, 7/1/29 | 380,000 | 385,225 | ||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US, LLC 144A company guaranty sr. notes 4.75%, 1/15/29 | 310,000 | 293,356 | ||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US, LLC 144A company guaranty sr. notes 6.625%, 7/15/30 | 245,000 | 248,795 | ||||
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 | 470,000 | 422,019 | ||||
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | 500,000 | 491,094 | ||||
Hertz Corp. (The) 144A company guaranty sr. unsec. notes 4.625%, 12/1/26 | 270,000 | 245,036 | ||||
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 | 325,000 | 325,007 | ||||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 | 370,000 | 337,367 | ||||
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | 185,000 | 164,602 | ||||
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 275,000 | 259,521 | ||||
PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29 | 330,000 | 173,320 | ||||
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 | 300,000 | 299,176 | ||||
US Foods, Inc. 144A company guaranty sr. unsec. notes 7.25%, 1/15/32 | 120,000 | 124,888 | ||||
US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 | 215,000 | 204,090 | ||||
VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 | 180,000 | 172,563 | ||||
6,616,327 | ||||||
Energy (oil field) (0.5%) | ||||||
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 | 280,000 | 279,484 | ||||
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27 | 375,000 | 375,892 | ||||
USA Compression Partners LP/USA Compression Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 3/15/29 | 145,000 | 146,994 | ||||
802,370 | ||||||
Entertainment (2.1%) | ||||||
Churchill Downs, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 | 315,000 | 303,975 | ||||
Churchill Downs, Inc. 144A company guaranty sr. unsec. notes 6.75%, 5/1/31 | 60,000 | 60,335 | ||||
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 330,000 | 312,395 | ||||
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 | 230,000 | 227,478 | ||||
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 160,000 | 161,749 | ||||
NCL Corp., Ltd. 144A company guaranty sr. notes 8.125%, 1/15/29 | 150,000 | 158,250 | ||||
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 | 215,000 | 222,525 | ||||
Pinewood Finco PLC 144A notes 6.00%, 3/27/30 (United Kingdom) | 210,000 | 265,075 | ||||
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/30 | 205,000 | 212,991 | ||||
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 | 500,000 | 536,283 | ||||
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32 | 75,000 | 75,597 | ||||
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 | 210,000 | 208,113 | ||||
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 4.25%, 7/1/26 | 75,000 | 72,378 | ||||
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31 | 340,000 | 344,457 | ||||
3,161,601 | ||||||
Financials (7.5%) | ||||||
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 275,000 | 269,289 | ||||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 7.00%, 1/15/31 | 560,000 | 565,611 | ||||
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 370,000 | 412,140 | ||||
Apollo Commercial Real Estate Finance, Inc. 144A company guaranty sr. notes 4.625%, 6/15/29 | 615,000 | 516,652 | ||||
Aretec Group, Inc. 144A company guaranty sr. sub. notes 10.00%, 8/15/30 | 265,000 | 289,452 | ||||
Aretec Group, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 | 335,000 | 318,898 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | 140,000 | 140,387 | ||||
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 | 360,000 | 303,654 | ||||
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 9.25%, 12/15/28 | 440,000 | 473,256 | ||||
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 150,000 | 164,166 | ||||
Encore Capital Group, Inc. 144A company guaranty sr. notes 9.25%, 4/1/29 | 405,000 | 413,606 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 12.25%, 10/1/30 | 95,000 | 104,144 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 12.00%, 10/1/28 | 365,000 | 396,938 | ||||
Freedom Mortgage Corp. 144A sr. unsec. sub. notes 6.625%, 1/15/27 | 320,000 | 310,489 | ||||
GGAM Finance, Ltd. 144A company guaranty sr. unsec. notes 8.00%, 2/15/27 (Ireland) | 130,000 | 134,228 | ||||
HUB International, Ltd. 144A sr. notes 7.25%, 6/15/30 | 730,000 | 750,219 | ||||
HUB International, Ltd. 144A sr. unsec. notes 7.375%, 1/31/32 | 215,000 | 216,448 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 | 165,000 | 140,678 | ||||
Jefferson Capital Holdings, LLC 144A sr. unsec. notes 9.50%, 2/15/29 | 580,000 | 593,709 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29(R) | 275,000 | 249,983 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) | 385,000 | 360,200 | ||||
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) | 328,000 | 326,028 | ||||
Macquarie Airfinance Holdings, Ltd. 144A sr. unsec. notes 6.50%, 3/26/31 (United Kingdom) | 70,000 | 71,248 | ||||
Macquarie Airfinance Holdings, Ltd. 144A sr. unsec. notes 6.40%, 3/26/29 (United Kingdom) | 45,000 | 45,712 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 7.125%, 2/1/32 | 380,000 | 377,398 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 | 355,000 | 327,435 | ||||
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 160,000 | 162,903 | ||||
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 | 615,000 | 616,975 | ||||
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 | 185,000 | 173,939 | ||||
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 7.875%, 12/15/29 | 320,000 | 328,814 | ||||
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 | 255,000 | 252,023 | ||||
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 | 345,000 | 334,070 | ||||
RHP Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 7.25%, 7/15/28 | 110,000 | 113,280 | ||||
RHP Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 6.50%, 4/1/32 | 200,000 | 200,000 | ||||
Societe Generale SA 144A jr. unsec. sub. FRN 4.75%, perpetual maturity (France) | 255,000 | 230,276 | ||||
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) | 260,000 | 219,079 | ||||
USI, Inc./NY 144A sr. unsec. notes 7.50%, 1/15/32 | 210,000 | 210,263 | ||||
11,113,590 | ||||||
Forest products and packaging (2.4%) | ||||||
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 575,000 | 533,448 | ||||
Graphic Packaging International, LLC company guaranty sr. unsec. unsub. notes Ser. REGS, 2.625%, 2/1/29 | EUR | 215,000 | 214,607 | |||
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | $250,000 | 222,334 | ||||
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada)(PIK) | 370,000 | 345,950 | ||||
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) | 320,000 | 303,492 | ||||
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) | EUR | 240,000 | 133,509 | |||
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | $245,000 | 222,694 | ||||
Mauser Packaging Solutions Holding Co. 144A company guaranty notes 9.25%, 4/15/27 | 465,000 | 461,296 | ||||
Mauser Packaging Solutions Holding Co. 144A sr. notes 7.875%, 8/15/26 | 350,000 | 356,563 | ||||
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) | 275,000 | 241,717 | ||||
Mercer International, Inc. 144A sr. unsec. notes 12.875%, 10/1/28 (Canada) | 170,000 | 185,727 | ||||
Pactiv Evergreen Group Issuer, LLC/Pactiv Evergreen Group Issuer, Inc. 144A sr. notes 4.375%, 10/15/28 | 325,000 | 303,183 | ||||
3,524,520 | ||||||
Gaming and lottery (3.6%) | ||||||
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | 545,000 | 500,826 | ||||
Caesars Entertainment, Inc. 144A company guaranty sr. notes 6.50%, 2/15/32 | 65,000 | 65,572 | ||||
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 | 520,000 | 533,772 | ||||
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 | 635,000 | 579,038 | ||||
Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29 | 375,000 | 371,511 | ||||
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.50%, 9/1/31 | 70,000 | 72,793 | ||||
Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | 540,000 | 554,346 | ||||
Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 615,000 | 593,475 | ||||
Penn Entertainment, Inc. 144A sr. unsec. notes 4.125%, 7/1/29 | 100,000 | 85,995 | ||||
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 | 360,000 | 348,028 | ||||
Station Casinos, LLC 144A company guaranty sr. unsec. sub. notes 6.625%, 3/15/32 | 100,000 | 101,017 | ||||
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | 320,000 | 287,614 | ||||
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 305,000 | 287,321 | ||||
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 35,000 | 34,280 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 | 520,000 | 538,200 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 | 435,000 | 412,098 | ||||
5,365,886 | ||||||
Health care (6.1%) | ||||||
1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada) | 33,000 | 32,340 | ||||
athenahealth Group, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 | 440,000 | 402,432 | ||||
Bausch & Lomb Escrow Corp. 144A sr. notes 8.375%, 10/1/28 (Canada) | 235,000 | 243,145 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 | 225,000 | 140,195 | ||||
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 | 280,000 | 152,797 | ||||
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 | 165,000 | 141,470 | ||||
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 285,000 | 270,573 | ||||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 | 160,000 | 142,400 | ||||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 220,000 | 200,200 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 10.875%, 1/15/32 | 160,000 | 164,803 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 | 52,000 | 51,895 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 | 35,000 | 30,576 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 | 225,000 | 207,090 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 | 240,000 | 168,295 | ||||
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 | 510,000 | 415,860 | ||||
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 | 345,000 | 349,827 | ||||
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) | 470,000 | 437,823 | ||||
Medline Borrower LP 144A sr. notes 3.875%, 4/1/29 | 640,000 | 582,532 | ||||
Medline Borrower LP 144A sr. unsec. notes 5.25%, 10/1/29 | 230,000 | 217,389 | ||||
Organon & Co./Organon Foreign Debt Co-Issuer BV 144A company guaranty sr. notes 4.125%, 4/30/28 | 375,000 | 349,459 | ||||
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 | 250,000 | 248,129 | ||||
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 460,000 | 447,598 | ||||
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 225,000 | 194,860 | ||||
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 175,000 | 155,042 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 | 370,000 | 361,907 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 4.25%, 6/1/29 | 230,000 | 213,790 | ||||
Tenet Healthcare Corp. company guaranty sr. unsec. notes 6.125%, 10/1/28 | 45,000 | 44,839 | ||||
Tenet Healthcare Corp. company guaranty sr. unsub. notes 6.125%, 6/15/30 | 795,000 | 793,176 | ||||
Teva Pharmaceutical Finance Netherlands II BV company guaranty sr. unsec. unsub. notes 4.375%, 5/9/30 (Israel) | EUR | 225,000 | 233,049 | |||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | $525,000 | 537,796 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) | 270,000 | 295,988 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 7.875%, 9/15/29 (Israel) | 200,000 | 214,750 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) | 580,000 | 557,369 | ||||
8,999,394 | ||||||
Homebuilding (0.8%) | ||||||
Anywhere Real Estate Group, LLC/Anywhere Co-Issuer Corp. 144A company guaranty notes 7.00%, 4/15/30 | 208,800 | 185,922 | ||||
LGI Homes, Inc. 144A company guaranty sr. unsec. notes 8.75%, 12/15/28 | 460,000 | 485,361 | ||||
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29 | 14,000 | 9,914 | ||||
Taylor Morrison Communities, Inc. 144A company guaranty sr. unsec. notes 5.875%, 6/15/27 | 140,000 | 139,838 | ||||
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 | 250,000 | 238,743 | ||||
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 | 155,000 | 153,916 | ||||
1,213,694 | ||||||
Lodging/Tourism (2.0%) | ||||||
Carnival Corp. 144A company guaranty sr. notes 7.00%, 8/15/29 | 105,000 | 109,513 | ||||
Carnival Corp. 144A company guaranty sr. unsec. unsub. notes 10.50%, 6/1/30 | 465,000 | 508,599 | ||||
Carnival Corp. 144A company guaranty sr. unsec. unsub. notes 6.00%, 5/1/29 | 150,000 | 148,006 | ||||
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 | 395,000 | 390,946 | ||||
Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) | 230,000 | 250,898 | ||||
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 | 575,000 | 549,493 | ||||
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 | 450,000 | 448,856 | ||||
Viking Cruises, Ltd. 144A sr. unsec. notes 9.125%, 7/15/31 | 395,000 | 431,976 | ||||
Viking Cruises, Ltd. 144A sr. unsec. notes 7.00%, 2/15/29 | 160,000 | 160,692 | ||||
2,998,979 | ||||||
Media (0.2%) | ||||||
Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 4.279%, 3/15/32 | 315,000 | 281,370 | ||||
281,370 | ||||||
Metals (3.2%) | ||||||
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) | 525,000 | 569,863 | ||||
ATI, Inc. sr. unsec. notes 7.25%, 8/15/30 | 335,000 | 346,264 | ||||
ATI, Inc. sr. unsec. notes 5.125%, 10/1/31 | 160,000 | 148,227 | ||||
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 | 90,000 | 84,690 | ||||
ATI, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | 435,000 | 428,321 | ||||
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 | 256,000 | 257,440 | ||||
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 165,000 | 148,670 | ||||
Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 | 130,000 | 119,697 | ||||
Constellium SE 144A company guaranty sr. unsec. unsub. notes 5.875%, 2/15/26 (France) | 250,000 | 248,248 | ||||
Constellium SE company guaranty sr. unsec. unsub. notes Ser. REGS, 3.125%, 7/15/29 (France) | EUR | 150,000 | 149,563 | |||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 8.625%, 6/1/31 (Canada) | $265,000 | 257,381 | ||||
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6.125%, 4/15/32 (Australia) | 540,000 | 533,914 | ||||
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) | 375,000 | 370,690 | ||||
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 | 240,000 | 206,161 | ||||
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 140,000 | 129,167 | ||||
Novelis Sheet Ingot GMBH company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/29 (Germany) | EUR | 100,000 | 101,285 | |||
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 | $515,000 | 470,061 | ||||
United States Steel Corp. sr. unsec. sub. FRB 6.65%, 6/1/37 | 230,000 | 232,323 | ||||
4,801,965 | ||||||
Oil and gas (10.3%) | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 | 190,000 | 193,973 | ||||
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 | 96,000 | 98,598 | ||||
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 | 255,000 | 266,459 | ||||
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 | 630,000 | 666,225 | ||||
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 615,000 | 615,231 | ||||
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 175,000 | 175,730 | ||||
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.625%, 11/1/30 | 50,000 | 53,689 | ||||
Civitas Resources, Inc. 144A company guaranty sr. unsec. notes 8.375%, 7/1/28 | 305,000 | 321,077 | ||||
Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 | 530,000 | 567,132 | ||||
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 | 455,000 | 412,052 | ||||
Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29 | 75,000 | 71,523 | ||||
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 | 635,000 | 641,902 | ||||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 940,000 | 947,620 | ||||
Global Partners LP/GLP Finance Corp. 144A company guaranty sr. unsec. notes 8.25%, 1/15/32 | 285,000 | 295,558 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 | 155,000 | 150,186 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 | 345,000 | 333,845 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 | 135,000 | 124,053 | ||||
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 400,000 | 391,250 | ||||
Matador Resources Co. 144A sr. unsec. notes 6.50%, 4/15/32 | 250,000 | 250,303 | ||||
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 890,000 | 913,245 | ||||
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 | 260,000 | 284,884 | ||||
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 | 70,000 | 73,074 | ||||
Permian Resources Operating, LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 | 320,000 | 316,319 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) | 251,000 | 251,259 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) | 230,000 | 229,573 | ||||
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 510,000 | 477,268 | ||||
Seadrill Finance, Ltd. 144A company guaranty notes 8.375%, 8/1/30 (Bermuda) | 555,000 | 582,300 | ||||
Sitio Royalties Operating Partnership LP/Sitio Finance Corp. 144A sr. unsec. notes 7.875%, 11/1/28 | 505,000 | 522,322 | ||||
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 145,000 | 144,871 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 90,000 | 90,090 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 355,000 | 356,521 | ||||
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 | 85,000 | 78,247 | ||||
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 | 740,000 | 718,713 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 | 240,000 | 227,400 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 190,000 | 182,400 | ||||
Transocean Aquila, Ltd. 144A company guaranty sr. notes 8.00%, 9/30/28 | 95,000 | 97,509 | ||||
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 | 158,625 | 158,807 | ||||
Transocean Titan Financing, Ltd. 144A company guaranty sr. notes 8.375%, 2/1/28 (Cayman Islands) | 350,000 | 364,249 | ||||
Transocean, Inc. 144A company guaranty sr. notes 8.75%, 2/15/30 | 112,500 | 117,301 | ||||
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 | 300,000 | 312,666 | ||||
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 6.25%, 1/15/30 | 65,000 | 65,394 | ||||
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 3.875%, 8/15/29 | 130,000 | 117,019 | ||||
Venture Global LNG, Inc. 144A sr. notes 9.875%, 2/1/32 | 315,000 | 339,489 | ||||
Venture Global LNG, Inc. 144A sr. notes 9.50%, 2/1/29 | 340,000 | 366,473 | ||||
Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 | 480,000 | 495,009 | ||||
Venture Global LNG, Inc. 144A sr. notes 8.125%, 6/1/28 | 170,000 | 173,432 | ||||
Viper Energy, Inc. 144A sr. unsec. sub. notes 7.375%, 11/1/31 | 335,000 | 348,258 | ||||
Viper Energy, Inc. 144A sr. unsec. sub. notes 5.375%, 11/1/27 | 50,000 | 48,939 | ||||
Vital Energy, Inc. 144A company guaranty sr. unsec. notes 7.875%, 4/15/32 | 175,000 | 178,281 | ||||
Vital Energy, Inc. 144A company guaranty sr. unsec. notes 7.75%, 7/31/29 | 90,000 | 90,563 | ||||
15,298,281 | ||||||
Publishing (0.9%) | ||||||
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 455,000 | 428,591 | ||||
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 | 335,000 | 314,873 | ||||
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 620,000 | 566,960 | ||||
1,310,424 | ||||||
Retail (1.6%) | ||||||
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity | 210,000 | 212,102 | ||||
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity | 275,000 | 285,000 | ||||
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 275,000 | 280,912 | ||||
Crocs, Inc. 144A company guaranty sr. unsec. notes 4.25%, 3/15/29 | 240,000 | 219,413 | ||||
FirstCash, Inc. 144A sr. unsec. notes 6.875%, 3/1/32 (Mexico) | 445,000 | 443,888 | ||||
Michaels Cos., Inc. (The) 144A sr. unsec. notes 7.875%, 5/1/29 | 150,000 | 112,535 | ||||
PetSmart, Inc./PetSmart Finance Corp. 144A company guaranty sr. unsec. notes 7.75%, 2/15/29 | 370,000 | 360,211 | ||||
Tapestry, Inc. company guaranty sr. unsec. notes 7.70%, 11/27/30 | 155,000 | 165,294 | ||||
Victoria's Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 | 425,000 | 347,438 | ||||
2,426,793 | ||||||
Technology (5.2%) | ||||||
Ahead DB Holdings, LLC 144A company guaranty sr. unsec. notes 6.625%, 5/1/28 | 220,000 | 199,100 | ||||
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | 165,000 | 145,214 | ||||
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 | 170,000 | 142,405 | ||||
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 | 200,000 | 204,161 | ||||
Cloud Software Group, Inc. 144A notes 9.00%, 9/30/29 | 495,000 | 472,725 | ||||
Cloud Software Group, Inc. 144A sr. notes. 6.50%, 3/31/29 | 820,000 | 778,148 | ||||
CommScope, Inc. 144A company guaranty sr. notes 6.00%, 3/1/26 | 140,000 | 128,100 | ||||
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | 151,000 | 131,325 | ||||
CrowdStrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 | 385,000 | 341,444 | ||||
Gen Digital, Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 9/30/30 | 190,000 | 195,213 | ||||
Gen Digital, Inc. 144A company guaranty sr. unsec. unsub. notes 6.75%, 9/30/27 | 150,000 | 151,875 | ||||
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 875,000 | 820,444 | ||||
NCR Voyix Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 | 525,000 | 486,913 | ||||
ON Semiconductor Corp. 144A company guaranty sr. unsec. notes 3.875%, 9/1/28 | 80,000 | 73,501 | ||||
RingCentral, Inc. 144A sr. unsec. notes 8.50%, 8/15/30 | 380,000 | 394,250 | ||||
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 | 635,000 | 540,544 | ||||
Seagate HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands) | 80,000 | 91,144 | ||||
Seagate HDD Cayman company guaranty sr. unsec. notes 3.125%, 7/15/29 (Cayman Islands) | 140,000 | 117,795 | ||||
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 | 565,000 | 510,619 | ||||
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 390,000 | 340,466 | ||||
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 335,000 | 301,307 | ||||
UKG, Inc. 144A sr. notes 6.875%, 2/1/31 | 465,000 | 473,708 | ||||
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 | 770,000 | 693,134 | ||||
7,733,535 | ||||||
Textiles (0.9%) | ||||||
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 9.00%, perpetual maturity | 295,000 | 302,375 | ||||
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 485,000 | 435,894 | ||||
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 | 645,000 | 565,855 | ||||
1,304,124 | ||||||
Tire and rubber (0.4%) | ||||||
Goodyear Tire & Rubber Co. (The) company guaranty sr. unsec. notes 5.625%, 4/30/33 | 730,000 | 666,699 | ||||
666,699 | ||||||
Transportation (1.0%) | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 | 325,000 | 319,460 | ||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 | 243,750 | 242,090 | ||||
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 | 130,000 | 120,900 | ||||
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 | 130,000 | 125,676 | ||||
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 | 720,000 | 711,657 | ||||
1,519,783 | ||||||
Utilities and power (2.0%) | ||||||
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 310,000 | 284,362 | ||||
Electricite De France SA 144A jr. unsec. sub. FRB 9.125%, perpetual maturity (France) | 200,000 | 220,500 | ||||
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 630,000 | 588,358 | ||||
NRG Energy, Inc. 144A company guaranty sr. notes 7.00%, 3/15/33 | 110,000 | 117,376 | ||||
NRG Energy, Inc. 144A jr. unsec. sub. FRB 10.25%, perpetual maturity | 285,000 | 305,722 | ||||
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 | 160,000 | 152,754 | ||||
PG&E Corp. sr. sub. notes 5.25%, 7/1/30 | 95,000 | 90,272 | ||||
Vistra Corp. 144A jr. unsec. sub. FRN 8.00%, 10/15/51 | 150,000 | 153,385 | ||||
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity | 205,000 | 202,980 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | 135,000 | 126,610 | ||||
Vistra Operations Co., LLC 144A sr. bonds 6.95%, 10/15/33 | 205,000 | 218,809 | ||||
Vistra Operations Co., LLC 144A sr. unsec. notes 7.75%, 10/15/31 | 485,000 | 507,931 | ||||
2,969,059 | ||||||
Total corporate bonds and notes (cost $125,600,507) | $123,341,520 |
SENIOR LOANS (7.1%)(a)(c) | ||||||
Principal amount | Value | |||||
Basic materials (1.2%) | ||||||
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 3.75%), 9.18%, 11/23/27 | $330,748 | $326,349 | ||||
Herens US Holdco Corp. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.93%), 9.334%, 4/30/28 | 154,613 | 145,195 | ||||
Klockner-Pentaplast of America, Inc. bank term loan FRN (CME Term SOFR 6 Month + 4.73%), 10.268%, 2/4/26 | 487,911 | 457,416 | ||||
LSF11 A5 HoldCo, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 9.677%, 10/15/28 | 173,961 | 174,048 | ||||
Nouryon USA, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.423%, 4/3/28 | 133,988 | 134,322 | ||||
Nouryon USA, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.419%, 4/3/28 | 285,930 | 286,359 | ||||
Vibrantz Technologies, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.25%), 9.573%, 4/21/29 | 149,620 | 147,965 | ||||
W.R. Grace Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.321%, 9/22/28 | 69,821 | 69,821 | ||||
1,741,475 | ||||||
Capital goods (0.8%) | ||||||
DexKo Global, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.75%), 9.321%, 10/4/28 | 372,152 | 367,887 | ||||
Filtration Group Corp. bank term loan FRN (CME Term SOFR 1 Month + 4.25%), 9.695%, 10/19/28 | 64,350 | 64,511 | ||||
Filtration Group Corp. bank term loan FRN (CME Term SOFR 3 Month + 3.50%), 8.941%, 10/19/28 | 212,809 | 213,128 | ||||
Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.693%, 6/15/28 | 103,374 | 103,159 | ||||
TK Elevator US Newco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.821%, 4/11/30 | 436,385 | 437,659 | ||||
1,186,344 | ||||||
Communication services (0.4%) | ||||||
Connect Finco SARL bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.825%, 9/13/29 (Luxembourg) | 225,000 | 221,119 | ||||
DIRECTV Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.695%, 8/2/29 | 304,640 | 304,155 | ||||
525,274 | ||||||
Consumer cyclicals (1.9%) | ||||||
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 9.08%, 10/19/27 | 324,378 | 325,222 | ||||
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.441%, 8/21/28 | 93,433 | 93,299 | ||||
CMG Media Corp. bank term loan FRN (CME Term SOFR 3 Month + 3.50%), 8.909%, 12/17/26 | 214,300 | 186,211 | ||||
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.077%, 1/27/29 | 174,555 | 174,883 | ||||
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.075%, 1/27/29 | 50,000 | 50,094 | ||||
Garda World Security Corp. bank term loan FRN (CME Term SOFR 1 Month + 4.25%), 9.583%, 2/1/29 | 292,003 | 292,187 | ||||
iHeartCommunications, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.25%), 8.695%, 5/1/26 | 205,068 | 177,897 | ||||
iHeartCommunications, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.00%), 8.445%, 5/1/26 | 25,000 | 21,810 | ||||
LBM Acquisition, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.177%, 12/17/27 | 174,551 | 174,137 | ||||
Mattress Firm, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 4.25%), 9.814%, 9/21/28 | 236,849 | 237,026 | ||||
Michaels Cos., Inc. (The) bank term loan FRN (CME Term SOFR 3 Month + 4.25%), 9.821%, 4/15/28 | 232,445 | 208,039 | ||||
Neptune Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 10.423%, 4/11/29 | 358,613 | 330,167 | ||||
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.18%, 1/29/28 | 294,127 | 293,086 | ||||
Robertshaw US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.313%, 2/28/27 | 200,000 | 4,000 | ||||
Scientific Games Holdings LP bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.58%, 4/4/29 | 184,532 | 184,384 | ||||
Station Casinos, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.25%), 7.575%, 3/7/31 | 150,000 | 149,711 | ||||
2,902,153 | ||||||
Consumer staples (0.9%) | ||||||
Ascend Learning, LLC bank term loan FRN (CME Term SOFR 1 Month + 5.75%), 11.18%, 11/18/29 | 230,000 | 225,904 | ||||
Hertz Corp. (The) bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 9.079%, 6/30/28 | 314,213 | 304,943 | ||||
IRB Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 8.177%, 12/15/27 | 233,447 | 233,395 | ||||
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.25%), 9.824%, 12/17/28 | 315,478 | 239,252 | ||||
VM Consolidated, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.00%), 8.077%, 3/27/28 | 275,158 | 276,052 | ||||
1,279,546 | ||||||
Energy (0.2%) | ||||||
CQP Holdco LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 8.32%, 12/31/30 | 366,989 | 368,039 | ||||
368,039 | ||||||
Financials (0.1%) | ||||||
HUB International, Ltd. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.574%, 6/20/30 | 200,786 | 200,822 | ||||
200,822 | ||||||
Health care (0.3%) | ||||||
Bausch + Lomb Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.677%, 5/5/27 | 224,429 | 221,511 | ||||
Medline Borrower LP bank term loan FRN (CME Term SOFR 1 Month + 3.00%), 8.441%, 9/30/28 | 209,485 | 209,935 | ||||
431,446 | ||||||
Technology (0.8%) | ||||||
Boxer Parent Co., Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.25%), 9.58%, 12/8/28 | 59,850 | 60,187 | ||||
Cloud Software Group, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.909%, 3/30/29 | 371,242 | 369,279 | ||||
Genesys Cloud Services Holdings, LLC bank term loan FRN (CME Term SOFR 3 Month + 4.00%), 9.405%, 12/1/27 | 344,350 | 345,149 | ||||
UKG, Inc. bank term loan FRN (CME Term SOFR 3 Month + 5.25%), 10.68%, 5/3/27 | 140,862 | 141,859 | ||||
UKG, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.814%, 1/31/31 | 262,192 | 263,438 | ||||
1,179,912 | ||||||
Transportation (0.5%) | ||||||
American Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 10.329%, 4/20/28 | 259,722 | 269,425 | ||||
American Airlines, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 8.775%, 6/4/29 | 185,000 | 185,463 | ||||
United Airlines, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.076%, 2/17/31 | 305,000 | 304,951 | ||||
759,839 | ||||||
Total senior loans (cost $10,839,043) | $10,574,850 |
CONVERTIBLE BONDS AND NOTES (1.6%)(a) | ||||||
Principal amount | Value | |||||
Fiverr International, Ltd. cv. sr. unsec. notes zero %, 11/1/25 (Israel) | $225,000 | $201,938 | ||||
Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 | 195,000 | 233,883 | ||||
Match Group Financeco 3, Inc. 144A company guaranty cv. sr. unsec. notes 2.00%, 1/15/30 | 265,000 | 227,249 | ||||
Nabors Industries, Inc. company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 | 155,000 | 116,638 | ||||
ON Semiconductor Corp. cv. sr. unsec. notes zero %, 5/1/27 | 101,000 | 148,319 | ||||
PG&E Corp. 144A cv. sr. notes 4.25%, 12/1/27 | 278,000 | 279,251 | ||||
Realogy Group, LLC/Realogy Co-Issuer Corp. company guaranty cv. sr. unsec. notes 0.25%, 6/15/26 | 274,000 | 217,145 | ||||
Seagate HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands) | 195,000 | 247,943 | ||||
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 280,000 | 253,575 | ||||
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 270,000 | 247,860 | ||||
Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28(R) | 243,000 | 270,483 | ||||
Total convertible bonds and notes (cost $2,445,286) | $2,444,284 |
CONVERTIBLE PREFERRED STOCKS (0.4%)(a) | ||||||
Shares | Value | |||||
Apollo Global Management, Inc. $3.38 cv. pfd. | 4,647 | $297,826 | ||||
Chart Industries, Inc. $3.375 cv. pfd. | 5,389 | 355,997 | ||||
Total convertible preferred stocks (cost $501,800) | $653,823 |
COMMON STOCKS (0.3%)(a) | ||||||
Shares | Value | |||||
GFL Environmental, Inc. (Canada) | 4,430 | $152,835 | ||||
Permian Resources Corp. | 14,815 | 261,633 | ||||
Total common stocks (cost $348,086) | $414,468 |
SHORT-TERM INVESTMENTS (6.2%)(a) | ||||||
Shares | Value | |||||
Putnam Short Term Investment Fund Class P 5.50%(AFF) | 9,239,032 | $9,239,032 | ||||
Total short-term investments (cost $9,239,032) | $9,239,032 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $148,973,754) | $146,667,977 |
FORWARD CURRENCY CONTRACTS at 3/31/24 (aggregate face value $3,538,111) (Unaudited) | |||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) | |
Bank of America N.A. | |||||||
Euro | Buy | 6/20/24 | $77,381 | $78,039 | $(658) | ||
Goldman Sachs International | |||||||
Euro | Sell | 6/20/24 | 94,806 | 95,442 | 636 | ||
JPMorgan Chase Bank N.A. | |||||||
Euro | Sell | 6/20/24 | 140,044 | 140,989 | 945 | ||
Morgan Stanley & Co. International PLC | |||||||
Euro | Sell | 6/20/24 | 881,065 | 887,438 | 6,373 | ||
State Street Bank and Trust Co. | |||||||
British Pound | Sell | 6/20/24 | 265,161 | 267,834 | 2,673 | ||
Euro | Sell | 6/20/24 | 1,889,833 | 1,902,443 | 12,610 | ||
UBS AG | |||||||
Euro | Sell | 6/20/24 | 164,936 | 165,926 | 990 | ||
Unrealized appreciation | 24,227 | ||||||
Unrealized (depreciation) | (658) | ||||||
Total | $23,569 | ||||||
* | The exchange currency for all contracts listed is the United States Dollar. |
CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/24 (Unaudited) | |||||||||||
Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation | ||||
CDX NA HY Series 41 Index | B+/P | $(3,340) | $2,734,380 | $202,289 | 12/20/28 | 500 bp — Quarterly | $203,506 | ||||
Total | $(3,340) | $203,506 | |||||||||
* | Payments related to the referenced debt are made upon a credit default event. | ||||||||||
** | Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||||
*** | Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at March 31, 2024. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications. |
Key to holding's currency abbreviations | ||||||
EUR | Euro | |||||
Key to holding's abbreviations | ||||||
bp | Basis Points | |||||
CME | Chicago Mercantile Exchange | |||||
DAC | Designated Activity Company | |||||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
SOFR | Secured Overnight Financing Rate | |||||
Notes to the fund's portfolio | ||||||
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2024 through March 31, 2024 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Franklin Resources, Inc., references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
(a) | Percentages indicated are based on net assets of $148,582,132. | |||||
(PIK) | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | |||||
(AFF) | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
Name of affiliate | Fair value as of 12/31/23 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 3/31/24 | |
Short-term investments | ||||||
Putnam Short Term Investment Fund Class P‡ | $9,365,201 | $13,000,382 | $13,126,551 | $115,843 | $9,239,032 | |
Total Short-term investments | $9,365,201 | $13,000,382 | $13,126,551 | $115,843 | $9,239,032 | |
‡ Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
(c) | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | |||||
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | ||||||
(R) | Real Estate Investment Trust. | |||||
Debt obligations are considered secured unless otherwise indicated. | ||||||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures. | ||||||
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names and for hedging market risk. | ||||||
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | ||||||
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | ||||||
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | ||||||
At the close of the reporting period, the fund has deposited cash valued at $212,132 in a segregated account to cover margin requirements on open centrally cleared credit default contracts. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | ||||||
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
At the close of the reporting period, the fund had a net liability position of $658 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
Valuation inputs | ||||
Investments in securities: | Level 1 | Level 2 | Level 3 | |
Common stocks*: | ||||
Capital goods | $152,835 | $— | $— | |
Energy | 261,633 | — | — | |
Total common stocks | 414,468 | — | — | |
Convertible bonds and notes | — | 2,444,284 | — | |
Convertible preferred stocks | 653,823 | — | — | |
Corporate bonds and notes | — | 123,341,520 | — | |
Senior loans | — | 10,574,850 | — | |
Short-term investments | — | 9,239,032 | — | |
Totals by level | $1,068,291 | $145,599,686 | $— | |
Valuation inputs | ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $23,569 | $— | |
Credit default contracts | — | 206,846 | — | |
Totals by level | $— | $230,415 | $— | |
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
Forward currency contracts (contract amount) | $3,500,000 | |||
Centrally cleared credit default contracts (notional) | $2,700,000 | |||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnam.com |