AB High Income Fund
Portfolio of Investments
July 31, 2023 (unaudited)
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
CORPORATES - NON-INVESTMENT GRADE – 54.3% | | | | | | | | | | | | |
Industrial – 48.5% | | | | | | | | | | | | |
Basic – 2.8% | | | | | | | | | | | | |
Arsenal AIC Parent LLC 8.00%, 10/01/2030(a) | | | U.S.$ | | | | 2,679 | | | $ | 2,732,580 | |
ASP Unifrax Holdings, Inc. 5.25%, 09/30/2028(a) | | | | | | | 4,974 | | | | 3,697,740 | |
7.50%, 09/30/2029(a) | | | | | | | 2,128 | | | | 1,237,501 | |
Constellium SE 3.125%, 07/15/2029(a) | | | EUR | | | | 4,303 | | | | 4,060,317 | |
CVR Partners LP/CVR Nitrogen Finance Corp. 6.125%, 06/15/2028(a) | | | U.S.$ | | | | 2,051 | | | | 1,856,362 | |
Element Solutions, Inc. 3.875%, 09/01/2028(a) | | | | | | | 4,145 | | | | 3,664,023 | |
ERP Iron Ore LLC 9.039%, 12/31/2019(b) (c) (d) (e) (f) | | | | | | | 1,355 | | | | 433,572 | |
FMG Resources (August 2006) Pty Ltd. 4.375%,04/01/2031(a) | | | | | | | 12,055 | | | | 10,367,300 | |
4.50%, 09/15/2027(a) | | | | | | | 1,475 | | | | 1,377,902 | |
6.125%, 04/15/2032(a) | | | | | | | 8,381 | | | | 8,049,543 | |
Graphic Packaging International LLC 3.50%, 03/15/2028(a) | | | | | | | 1,084 | | | | 975,507 | |
INEOS Styrolution Group GmbH 2.25%, 01/16/2027(a) | | | EUR | | | | 111 | | | | 103,128 | |
Ingevity Corp. 3.875%, 11/01/2028(a) | | | U.S.$ | | | | 3,288 | | | | 2,847,405 | |
Intelligent Packaging Holdco Issuer LP 9.00% (9.00% Cash or 9.75% PIK), 01/15/2026(a) (f) | | | | | | | 3,201 | | | | 2,532,506 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC 6.00%, 09/15/2028(a) | | | | | | | 4,418 | | | | 3,917,793 | |
Kobe US Midco 2, Inc. 9.25% (9.25% Cash or 10.00% PIK), 11/01/2026(a) (f) | | | | | | | 6,077 | | | | 4,257,578 | |
Magnetation LLC/Mag Finance Corp. 11.00%, 05/15/2018(b) (c) (d) (e) (g) | | | | | | | 16,121 | | | | 0 | |
Olympus Water US Holding Corp. 7.125%, 10/01/2027(a) | | | | | | | 2,996 | | | | 2,741,166 | |
9.75%, 11/15/2028(a) | | | | | | | 6,092 | | | | 5,892,637 | |
SCIL IV LLC/SCIL USA Holdings LLC 4.375%, 11/01/2026(a) | | | EUR | | | | 1,267 | | | | 1,284,283 | |
5.375%, 11/01/2026(a) | | | U.S.$ | | | | 6,449 | | | | 5,939,026 | |
Sealed Air Corp. 6.875%, 07/15/2033(a) | | | | | | | 2,036 | | | | 2,124,500 | |
Sealed Air Corp./Sealed Air Corp. US 6.125%, 02/01/2028(a) | | | | | | | 1,970 | | | | 1,964,410 | |
SPCM SA 3.125%, 03/15/2027(a) | | | | | | | 1,487 | | | | 1,333,795 | |
1
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Vibrantz Technologies, Inc. 9.00%, 02/15/2030(a) | | | U.S.$ | | | | 10,305 | | | $ | 8,409,681 | |
WR Grace Holdings LLC | | | | | | | | | | | | |
4.875%, 06/15/2027(a) | | | | | | | 2,579 | | | | 2,436,978 | |
5.625%, 08/15/2029(a) | | | | | | | 1,965 | | | | 1,659,275 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 85,896,508 | |
| | | | | | | | | | | | |
|
Capital Goods – 3.8% | |
ARD Finance SA 5.00% (5.00% Cash or 5.75% PIK), 06/30/2027(a) (f) | | | EUR | | | | 5,856 | | | | 5,018,625 | |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 4.00%, 09/01/2029(a) | | | U.S.$ | | | | 5,355 | | | | 4,379,988 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 4.125%, 08/15/2026(a) | | | | | | | 6,327 | | | | 5,928,033 | |
5.25%, 08/15/2027(a) | | | | | | | 1,966 | | | | 1,680,930 | |
Ball Corp. 6.00%, 06/15/2029 | | | | | | | 5,894 | | | | 5,894,000 | |
Bombardier, Inc. 6.00%, 02/15/2028(a) | | | | | | | 288 | | | | 270,899 | |
7.50%, 02/01/2029(a) | | | | | | | 830 | | | | 821,445 | |
7.875%, 04/15/2027(a) | | | | | | | 3,332 | | | | 3,324,321 | |
Calderys Financing LLC 11.25%, 06/01/2028(a) | | | | | | | 7,661 | | | | 7,881,698 | |
Chart Industries, Inc. 7.50%, 01/01/2030(a) | | | | | | | 3 | | | | 3,078 | |
Crown Americas LLC 5.25%, 04/01/2030 | | | | | | | 890 | | | | 847,113 | |
Eco Material Technologies, Inc. 7.875%, 01/31/2027(a) | | | | | | | 7,472 | | | | 7,190,044 | |
Emerald Debt Merger Sub LLC 6.625%, 12/15/2030(a) | | | | | | | 2,299 | | | | 2,288,105 | |
EnerSys 4.375%, 12/15/2027(a) | | | | | | | 5,050 | | | | 4,685,408 | |
Enviri Corp. 5.75%, 07/31/2027(a) | | | | | | | 5,339 | | | | 4,612,469 | |
F-Brasile SpA/F-Brasile US LLC Series XR 7.375%, 08/15/2026(a) | | | | | | | 5,660 | | | | 5,208,793 | |
JELD-WEN, Inc. 4.625%, 12/15/2025(a) | | | | | | | 1,036 | | | | 1,018,263 | |
LSB Industries, Inc. 6.25%, 10/15/2028(a) (h) | | | | | | | 4,622 | | | | 4,248,817 | |
Madison IAQ LLC 5.875%, 06/30/2029(a) | | | | | | | 1,225 | | | | 1,027,865 | |
Renk AG/Frankfurt am Main 5.75%, 07/15/2025(a) | | | EUR | | | | 7,486 | | | | 8,184,075 | |
Rolls-Royce PLC 3.625%, 10/14/2025(a) | | | U.S.$ | | | | 1,142 | | | | 1,081,619 | |
2
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Stericycle, Inc. 3.875%, 01/15/2029(a) | | | U.S.$ | | | | 2,516 | | | $ | 2,223,796 | |
TK Elevator US Newco, Inc. 5.25%, 07/15/2027(a) | | | | | | | 2,961 | | | | 2,769,524 | |
TransDigm, Inc. 4.625%, 01/15/2029 | | | | | | | 3,591 | | | | 3,205,293 | |
4.875%, 05/01/2029 | | | | | | | 3,750 | | | | 3,375,250 | |
6.75%, 08/15/2028(a) | | | | | | | 13,387 | | | | 13,451,834 | |
Trinity Industries, Inc. 7.75%, 07/15/2028(a) | | | | | | | 3,934 | | | | 4,012,654 | |
Triumph Group, Inc. 7.75%, 08/15/2025 | | | | | | | 1,658 | | | | 1,604,543 | |
9.00%, 03/15/2028(a) | | | | | | | 8,778 | | | | 9,027,106 | |
Trivium Packaging Finance BV 3.75%, 08/15/2026(a) | | | EUR | | | | 132 | | | | 133,732 | |
WESCO Distribution, Inc. 7.25%, 06/15/2028(a) | | | U.S.$ | | | | 2,164 | | | | 2,209,509 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 117,608,829 | |
| | | | | | | | | | | | |
|
Communications - Media – 7.4% | |
Altice Financing SA 5.00%, 01/15/2028(a) | | | | | | | 1,834 | | | | 1,418,148 | |
5.75%, 08/15/2029(a) | | | | | | | 17,023 | | | | 12,738,768 | |
AMC Networks, Inc. 4.25%, 02/15/2029 | | | | | | | 4,017 | | | | 2,234,626 | |
4.75%, 08/01/2025 | | | | | | | 3,337 | | | | 2,953,346 | |
Arches Buyer, Inc. 6.125%, 12/01/2028(a) | | | | | | | 1,056 | | | | 909,809 | |
Banijay Entertainment SASU 3.50%, 03/01/2025(a) | | | EUR | | | | 815 | | | | 878,149 | |
5.375%, 03/01/2025(a) | | | U.S.$ | | | | 5,165 | | | | 5,071,867 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 4.25%, 01/15/2034(a) | | | | | | | 995 | | | | 763,875 | |
4.50%, 08/15/2030(a) | | | | | | | 23,087 | | | | 19,530,566 | |
4.50%, 06/01/2033(a) | | | | | | | 13,557 | | | | 10,737,187 | |
4.75%, 03/01/2030(a) | | | | | | | 1,939 | | | | 1,678,127 | |
4.75%, 02/01/2032(a) | | | | | | | 25,422 | | | | 21,058,278 | |
6.375%, 09/01/2029(a) | | | | | | | 5,119 | | | | 4,894,461 | |
7.375%, 03/01/2031(a) (i) | | | | | | | 2,542 | | | | 2,523,574 | |
Clear Channel Outdoor Holdings, Inc. 5.125%, 08/15/2027(a) | | | | | | | 583 | | | | 535,536 | |
CSC Holdings LLC 4.50%, 11/15/2031(a) | | | | | | | 6,832 | | | | 4,900,145 | |
4.625%, 12/01/2030(a) | | | | | | | 4,460 | | | | 2,249,741 | |
5.00%, 11/15/2031(a) | | | | | | | 330 | | | | 167,041 | |
5.375%, 02/01/2028(a) | | | | | | | 4,139 | | | | 3,454,957 | |
5.75%, 01/15/2030(a) | | | | | | | 18,094 | | | | 9,378,841 | |
7.50%, 04/01/2028(a) | | | | | | | 2,326 | | | | 1,440,283 | |
11.25%, 05/15/2028(a) | | | | | | | 2,417 | | | | 2,389,809 | |
DISH DBS Corp. 5.125%, 06/01/2029 | | | | | | | 4,409 | | | | 2,222,736 | |
3
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
5.25%, 12/01/2026(a) | | | U.S.$ | | | | 9,108 | | | $ | 7,467,089 | |
5.75%, 12/01/2028(a) | | | | | | | 9,476 | | | | 7,311,262 | |
5.875%, 11/15/2024 | | | | | | | 953 | | | | 869,612 | |
7.375%, 07/01/2028 | | | | | | | 6,580 | | | | 3,698,366 | |
DISH Network Corp. 3.375%, 08/15/2026(j) | | | | | | | 4,275 | | | | 2,401,075 | |
Gray Escrow II, Inc. 5.375%, 11/15/2031(a) | | | | | | | 8,103 | | | | 5,595,930 | |
iHeartCommunications, Inc. 5.25%, 08/15/2027(a) | | | | | | | 5,920 | | | | 4,660,900 | |
6.375%, 05/01/2026 | | | | | | | 1,524 | | | | 1,318,837 | |
8.375%, 05/01/2027 | | | | | | | 1,375 | | | | 939,964 | |
LCPR Senior Secured Financing DAC 5.125%, 07/15/2029(a) | | | | | | | 4,643 | | | | 3,849,589 | |
6.75%, 10/15/2027(a) | | | | | | | 5,536 | | | | 5,199,010 | |
Liberty Interactive LLC 3.75%, 02/15/2030(j) | | | | | | | 2,202 | | | | 485,078 | |
McGraw-Hill Education, Inc. 5.75%, 08/01/2028(a) | | | | | | | 6,531 | | | | 5,734,251 | |
National CineMedia LLC 5.875%, 04/15/2028(a) (c) (k) | | | | | | | 3,387 | | | | 1,040,811 | |
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 09/15/2026(a) | | | | | | | 5,030 | | | | 4,086,145 | |
Scripps Escrow II, Inc. 3.875%, 01/15/2029(a) | | | | | | | 82 | | | | 68,152 | |
Sinclair Television Group, Inc. 4.125%, 12/01/2030(a) | | | | | | | 7,439 | | | | 4,839,697 | |
5.50%, 03/01/2030(a) (i) | | | | | | | 4,371 | | | | 2,297,205 | |
Sirius XM Radio, Inc. 3.875%, 09/01/2031(a) | | | | | | | 1,700 | | | | 1,330,917 | |
4.00%, 07/15/2028(a) | | | | | | | 26,374 | | | | 22,952,500 | |
5.50%, 07/01/2029(a) | | | | | | | 110 | | | | 100,586 | |
Summer BidCo BV 9.00% (9.00% Cash or 9.75% PIK), 11/15/2025(a) (f) (i) | | | EUR | | | | 3,477 | | | | 3,502,121 | |
Univision Communications, Inc. 4.50%, 05/01/2029(a) | | | U.S.$ | | | | 5,716 | | | | 4,960,668 | |
7.375%, 06/30/2030(a) | | | | | | | 8,775 | | | | 8,544,942 | |
Urban One, Inc. 7.375%, 02/01/2028(a) | | | | | | | 7,907 | | | | 6,994,259 | |
Ziggo Bond Co. BV 5.125%, 02/28/2030(a) | | | | | | | 4,106 | | | | 3,232,874 | |
Ziggo BV 4.875%, 01/15/2030(a) | | | | | | | 900 | | | | 762,349 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 228,374,059 | |
| | | | | | | | | | | | |
|
Communications - Telecommunications – 2.2% | |
Altice France Holding SA 10.50%, 05/15/2027(a) | | | | | | | 9,715 | | | | 4,106,040 | |
Altice France SA/France 5.125%, 07/15/2029(a) | | | | | | | 14,762 | | | | 10,334,877 | |
4
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Connect Finco SARL/Connect US Finco LLC 6.75%, 10/01/2026(a) | | | U.S.$ | | | | 4,271 | | | $ | 4,088,155 | |
Consolidated Communications, Inc. 6.50%, 10/01/2028(a) | | | | | | | 1,767 | | | | 1,378,025 | |
Embarq Corp. 7.995%, 06/01/2036 | | | | | | | 4,321 | | | | 2,450,438 | |
Frontier Communications Holdings LLC 8.625%, 03/15/2031(a) | | | | | | | 2,925 | | | | 2,802,438 | |
Intelsat Jackson Holdings SA 5.50%, 08/01/2023(c) (d) (e) | | | | | | | 7,915 | | | | 0 | |
9.75%, 07/15/2025(c) (d) (e) (g) | | | | | | | 1,446 | | | | 0 | |
Level 3 Financing, Inc. 3.75%, 07/15/2029(a) | | | | | | | 3,785 | | | | 2,483,216 | |
4.25%, 07/01/2028(a) | | | | | | | 4,638 | | | | 3,282,211 | |
4.625%, 09/15/2027(a) | | | | | | | 3,256 | | | | 2,473,384 | |
Lorca Telecom Bondco SA 4.00%, 09/18/2027(a) | | | EUR | | | | 3,690 | | | | 3,804,652 | |
Telecom Italia Capital SA 7.20%, 07/18/2036 | | | U.S.$ | | | | 5,713 | | | | 4,908,103 | |
7.721%, 06/04/2038 | | | | | | | 6,995 | | | | 6,202,573 | |
United Group BV 3.625%, 02/15/2028(a) | | | EUR | | | | 752 | | | | 667,729 | |
4.00%, 11/15/2027(a) | | | | | | | 1,816 | | | | 1,667,289 | |
4.625%, 08/15/2028(a) | | | | | | | 344 | | | | 311,650 | |
8.125% (EURIBOR 3 Month + 4.88%), 02/01/2029(l) | | | | | | | 5,496 | | | | 5,658,091 | |
Vmed O2 UK Financing I PLC 4.25%, 01/31/2031(a) | | | U.S.$ | | | | 900 | | | | 745,350 | |
4.75%, 07/15/2031(a) | | | | | | | 12,630 | | | | 10,684,694 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 68,048,915 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Automotive – 4.5% | |
Allison Transmission, Inc. 5.875%, 06/01/2029(a) | | | | | | | 3,279 | | | | 3,182,391 | |
Aston Martin Capital Holdings Ltd. 10.50%, 11/30/2025(a) | | | | | | | 3,409 | | | | 3,433,480 | |
15.00% (8.89% Cash and 6.11% PIK), 11/30/2026(a) (f) | | | | | | | 4,764 | | | | 5,194,865 | |
Clarios Global LP/Clarios US Finance Co. 4.375%, 05/15/2026(a) | | | EUR | | | | 1,055 | | | | 1,123,129 | |
Dana, Inc. 4.25%, 09/01/2030 | | | U.S.$ | | | | 3,854 | | | | 3,295,762 | |
Dealer Tire LLC/DT Issuer LLC 8.00%, 02/01/2028(a) | | | | | | | 8,346 | | | | 7,712,694 | |
Exide Technologies | | | | | | | | | | | | |
(Exchange Priority) 11.00%, 10/31/2024(c) (d) (e) (g) | | | | | | | 18,493 | | | | 0 | |
(First Lien) 11.00%, 10/31/2024(c) (d) (e) (g) | | | | | | | 7,590 | | | | 0 | |
Ford Motor Co. 6.10%, 08/19/2032 | | | | | | | 17,381 | | | | 16,818,614 | |
5
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Ford Motor Credit Co. LLC 2.70%, 08/10/2026 | | | U.S.$ | | | | 388 | | | $ | 347,769 | |
5.113%, 05/03/2029 | | | | | | | 1,800 | | | | 1,678,025 | |
5.125%, 06/16/2025 | | | | | | | 538 | | | | 523,922 | |
6.80%, 05/12/2028 | | | | | | | 9,197 | | | | 9,280,721 | |
7.35%, 11/04/2027 | | | | | | | 14,621 | | | | 15,024,147 | |
Goodyear Tire & Rubber Co. (The) 5.25%, 07/15/2031 | | | | | | | 3,843 | | | | 3,426,708 | |
IHO Verwaltungs GmbH 4.75% (4.75% Cash or 5.50% PIK), 09/15/2026(a) (f) | | | | | | | 1,575 | | | | 1,457,216 | |
6.00% (6.00% Cash or 6.75% PIK), 05/15/2027(a) (f) | | | | | | | 7,018 | | | | 6,729,866 | |
8.75% (8.75% Cash or 9.50% PIK), 05/15/2028(a) (f) | | | EUR | | | | 1,751 | | | | 2,018,776 | |
Jaguar Land Rover Automotive PLC 5.50%, 07/15/2029(a) | | | U.S.$ | | | | 6,351 | | | | 5,611,802 | |
5.875%, 01/15/2028(a) | | | | | | | 6,393 | | | | 5,956,115 | |
7.75%, 10/15/2025(a) | | | | | | | 4,597 | | | | 4,645,481 | |
Mclaren Finance PLC 7.50%, 08/01/2026(a) | | | | | | | 9,232 | | | | 8,232,423 | |
PM General Purchaser LLC 9.50%, 10/01/2028(a) | | | | | | | 5,980 | | | | 5,867,623 | |
Real Hero Merger Sub 2, Inc. 6.25%, 02/01/2029(a) | | | | | | | 6,620 | | | | 5,367,352 | |
Titan International, Inc. 7.00%, 04/30/2028 | | | | | | | 7,168 | | | | 6,904,914 | |
ZF Europe Finance BV 2.00%, 02/23/2026(a) (h) | | | EUR | | | | 1,200 | | | | 1,222,027 | |
ZF Finance GmbH Series E 2.00%, 05/06/2027(a) | | | | | | | 200 | | | | 197,180 | |
3.75%, 09/21/2028(a) | | | | | | | 100 | | | | 101,778 | |
ZF North America Capital, Inc. 4.75%, 04/29/2025(a) | | | U.S.$ | | | | 9,312 | | | | 9,035,962 | |
6.875%, 04/14/2028(a) | | | | | | | 1,539 | | | | 1,563,324 | |
7.125%, 04/14/2030(a)
| | | | | | | 1,539 | | | | 1,583,310 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 137,537,376 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Entertainment – 3.3% | |
Carnival Corp. 4.00%, 08/01/2028(a) | | | | | | | 8,433 | | | | 7,490,417 | |
5.75%, 03/01/2027(a) | | | | | | | 5,811 | | | | 5,373,793 | |
7.625%, 03/01/2026(a) | | | EUR | | | | 1,630 | | | | 1,756,341 | |
9.875%, 08/01/2027(a) | | | U.S.$ | | | | 5,639 | | | | 5,884,023 | |
10.125%, 02/01/2026(a) | | | EUR | | | | 1,630 | | | | 1,886,275 | |
Carnival PLC 1.00%, 10/28/2029 | | | | | | | 737 | | | | 536,015 | |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op 5.50%, 05/01/2025(a) | | | U.S.$ | | | | 12,465 | | | | 12,327,011 | |
Cinemark USA, Inc. 5.25%, 07/15/2028(a) | | | | | | | 2,584 | | | | 2,270,412 | |
6
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Lindblad Expeditions LLC 6.75%, 02/15/2027(a) | | | U.S.$ | | | | 1,512 | | | $ | 1,461,843 | |
Motion Bondco DAC 4.50%, 11/15/2027(a) | | | EUR | | | | 2,973 | | | | 2,847,108 | |
NCL Corp., Ltd. 5.875%, 03/15/2026(a) | | | U.S.$ | | | | 4,832 | | | | 4,575,926 | |
8.375%, 02/01/2028(a) | | | | | | | 768 | | | | 801,132 | |
Royal Caribbean Cruises Ltd. | | | | | | | | | | | | |
5.375%, 07/15/2027(a) | | | | | | | 6,220 | | | | 5,914,813 | |
5.50%, 08/31/2026(a) | | | | | | | 5,098 | | | | 4,895,357 | |
5.50%, 04/01/2028(a) | | | | | | | 20,172 | | | | 19,013,310 | |
SeaWorld Parks & Entertainment, Inc. 5.25%, 08/15/2029(a) | | | | | | | 4,269 | | | | 3,856,730 | |
Six Flags Entertainment Corp. 7.25%, 05/15/2031(a) | | | | | | | 3,967 | | | | 3,793,330 | |
Viking Cruises Ltd. | | | | | | | | | | | | |
5.875%, 09/15/2027(a) | | | | | | | 6,453 | | | | 6,030,072 | |
7.00%, 02/15/2029(a) (i) | | | | | | | 6,171 | | | | 5,827,607 | |
9.125%, 07/15/2031(a) | | | | | | | 3,056 | | | | 3,136,615 | |
VOC Escrow Ltd. 5.00%, 02/15/2028(a) | | | | | | | 3,318 | | | | 3,083,936 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 102,762,066 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Other – 3.3% | |
Adams Homes, Inc. 7.50%, 02/15/2025(a) | | | | | | | 3,468 | | | | 3,409,717 | |
Brookfield Residential Properties, Inc./Brookfield Residential US LLC 4.875%, 02/15/2030(a) | | | | | | | 5,889 | | | | 4,799,535 | |
6.25%, 09/15/2027(a) | | | | | | | 5,404 | | | | 4,988,073 | |
Builders FirstSource, Inc. 6.375%, 06/15/2032(a) | | | | | | | 2,339 | | | | 2,331,424 | |
Caesars Entertainment, Inc. 6.25%, 07/01/2025(a) | | | | | | | 3,735 | | | | 3,711,046 | |
7.00%, 02/15/2030(a) | | | | | | | 4,502 | | | | 4,546,997 | |
Castle UK Finco PLC 7.00%, 05/15/2029 | | | GBP | | | | 2,900 | | | | 2,905,982 | |
8.573% (EURIBOR 3 Month + 5.25%), 05/15/2028(l) | | | EUR | | | | 2,233 | | | | 2,091,592 | |
Churchill Downs, Inc. 4.75%, 01/15/2028(a) | | | U.S.$ | | | | 2,523 | | | | 2,331,111 | |
Five Point Operating Co. LP/Five Point Capital Corp. 7.875%, 11/15/2025(a) | | | | | | | 6,001 | | | | 5,715,639 | |
Forestar Group, Inc. 3.85%, 05/15/2026(a) | | | | | | | 2,881 | | | | 2,678,765 | |
Hilton Domestic Operating Co., Inc. 3.625%, 02/15/2032(a) | | | | | | | 6,167 | | | | 5,171,436 | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc 4.875%, 07/01/2031(a) | | | | | | | 1,162 | | | | 991,446 | |
5.00%, 06/01/2029(a) | | | | | | | 6,848 | | | | 6,125,428 | |
7
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Installed Building Products, Inc. 5.75%, 02/01/2028(a) | | | U.S.$ | | | | 838 | | | $ | 795,161 | |
Mattamy Group Corp. 4.625%, 03/01/2030(a) | | | | | | | 6,691 | | | | 5,873,184 | |
MGM Resorts International 4.75%, 10/15/2028 | | | | | | | 4,015 | | | | 3,705,265 | |
5.50%, 04/15/2027 | | | | | | | 4,386 | | | | 4,227,881 | |
Playtech PLC 4.25%, 03/07/2026(a) | | | EUR | | | | 776 | | | | 836,148 | |
Shea Homes LP/Shea Homes Funding Corp. 4.75%, 02/15/2028 | | | U.S.$ | | | | 3,292 | | | | 2,999,709 | |
4.75%, 04/01/2029 | | | | | | | 4,530 | | | | 4,022,179 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875%, 05/15/2025(a) | | | | | | | 4,781 | | | | 4,607,193 | |
Travel + Leisure Co. 4.50%, 12/01/2029(a) | | | | | | | 3,509 | | | | 3,024,022 | |
4.625%, 03/01/2030(a) | | | | | | | 10,068 | | | | 8,700,069 | |
6.625%, 07/31/2026(a) | | | | | | | 3,533 | | | | 3,516,759 | |
Wyndham Hotels & Resorts, Inc. 4.375%, 08/15/2028(a) | | | | | | | 628 | | | | 578,939 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25%, 05/15/2027(a) | | | | | | | 2,353 | | | | 2,232,916 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. 5.125%, 10/01/2029(a) | | | | | | | 5,631 | | | | 5,102,108 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 102,019,724 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Restaurants – 0.4% | |
1011778 BC ULC/New Red Finance, Inc. 3.875%, 01/15/2028(a) | | | | | | | 4,965 | | | | 4,543,992 | |
4.00%, 10/15/2030(a) | | | | | | | 1,843 | | | | 1,581,068 | |
4.375%, 01/15/2028(a) | | | | | | | 83 | | | | 76,645 | |
Stonegate Pub Co. Financing 2019 PLC 8.00%, 07/13/2025(a) | | | GBP | | | | 963 | | | | 1,140,089 | |
8.25%, 07/31/2025(a) | | | | | | | 4,036 | | | | 4,842,149 | |
Yum! Brands, Inc. 4.625%, 01/31/2032
| | | U.S.$ | | | | 867 | | | | 785,318 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,969,261 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Retailers – 2.6% | |
Arko Corp. 5.125%, 11/15/2029(a) | | | | | | | 4,612 | | | | 3,837,956 | |
Asbury Automotive Group, Inc. 4.625%, 11/15/2029(a) | | | | | | | 3,368 | | | | 2,986,515 | |
Bath & Body Works, Inc. 6.625%, 10/01/2030(a) | | | | | | | 2,465 | | | | 2,380,918 | |
6.75%, 07/01/2036 | | | | | | | 1,479 | | | | 1,345,065 | |
6.875%, 11/01/2035 | | | | | | | 9,394 | | | | 8,713,960 | |
Beacon Roofing Supply, Inc. 6.50%, 08/01/2030(a) | | | | | | | 1,082 | | | | 1,084,629 | |
8
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Carvana Co. 5.50%, 04/15/2027(a) | | | U.S.$ | | | | 1,469 | | | $ | 1,076,538 | |
5.875%, 10/01/2028(a) | | | | | | | 4,527 | | | | 2,745,479 | |
FirstCash, Inc. 5.625%, 01/01/2030(a) | | | | | | | 160 | | | | 147,743 | |
Foundation Building Materials, Inc. 6.00%, 03/01/2029(a) | | | | | | | 1,246 | | | | 1,080,820 | |
Group 1 Automotive, Inc. 4.00%, 08/15/2028(a) | | | | | | | 99 | | | | 87,285 | |
Kontoor Brands, Inc. 4.125%, 11/15/2029(a) | | | | | | | 3,885 | | | | 3,342,959 | |
LCM Investments Holdings II LLC 8.25%, 08/01/2031(a) | | | | | | | 1,588 | | | | 1,613,472 | |
Levi Strauss & Co. 3.50%, 03/01/2031(a) | | | | | | | 3,914 | | | | 3,221,943 | |
Michaels Cos., Inc. (The) 5.25%, 05/01/2028(a) | | | | | | | 7,693 | | | | 6,539,138 | |
7.875%, 05/01/2029(a) | | | | | | | 4,330 | | | | 3,086,022 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC 7.125%, 04/01/2026(a) | | | | | | | 6,621 | | | | 6,198,779 | |
Penske Automotive Group, Inc. 3.75%, 06/15/2029 | | | | | | | 885 | | | | 765,762 | |
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 02/15/2029(a) | | | | | | | 2,529 | | | | 2,467,922 | |
Sonic Automotive, Inc. 4.625%, 11/15/2029(a) | | | | | | | 6,301 | | | | 5,398,725 | |
4.875%, 11/15/2031(a) | | | | | | | 525 | | | | 436,348 | |
Specialty Building Products Holdings LLC/SBP Finance Corp. 6.375%, 09/30/2026(a) | | | | | | | 4,261 | | | | 4,069,204 | |
Staples, Inc. 7.50%, 04/15/2026(a) | | | | | | | 8,741 | | | | 7,203,450 | |
10.75%, 04/15/2027(a) | | | | | | | 6,383 | | | | 3,654,268 | |
TPro Acquisition Corp. 11.00%, 10/15/2024(a) | | | | | | | 3,220 | | | | 3,208,478 | |
White Cap Buyer LLC 6.875%, 10/15/2028(a) | | | | | | | 2,257 | | | | 2,039,870 | |
William Carter Co. (The) 5.625%, 03/15/2027(a) | | | | | | | 1,991 | | | | 1,946,944 | |
Wolverine World Wide, Inc. 4.00%, 08/15/2029(a) | | | | | | | 798 | | | | 626,642 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 81,306,834 | |
| | | | | | | | | | | | |
|
Consumer Non-Cyclical – 6.1% | |
AdaptHealth LLC 5.125%, 03/01/2030(a) | | | | | | | 2,000 | | | | 1,661,736 | |
6.125%, 08/01/2028(a) | | | | | | | 132 | | | | 118,848 | |
AHP Health Partners, Inc. 5.75%, 07/15/2029(a) | | | | | | | 817 | | | | 711,108 | |
9
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 4.625%, 01/15/2027(a) | | | U.S.$ | | | | 3,290 | | | $ | 3,118,388 | |
4.875%, 02/15/2030(a) | | | | | | | 2,263 | | | | 2,081,762 | |
5.875%, 02/15/2028(a) | | | | | | | 1,997 | | | | 1,953,420 | |
6.50%, 02/15/2028(a) | | | | | | | 6,117 | | | | 6,094,396 | |
7.50%, 03/15/2026(a) | | | | | | | 333 | | | | 338,729 | |
Bausch Health Cos., Inc. 4.875%, 06/01/2028(a) | | | | | | | 10,910 | | | | 6,619,418 | |
6.25%, 02/15/2029(a) | | | | | | | 4,938 | | | | 2,296,761 | |
CAB SELAS 3.375%, 02/01/2028(a) | | | EUR | | | | 3,859 | | | | 3,618,466 | |
CHS/Community Health Systems, Inc. 4.75%, 02/15/2031(a) | | | U.S.$ | | | | 1,291 | | | | 978,635 | |
5.625%, 03/15/2027(a) | | | | | | | 697 | | | | 621,587 | |
6.125%, 04/01/2030(a) | | | | | | | 11,875 | | | | 7,490,872 | |
6.875%, 04/01/2028(a) | | | | | | | 2,898 | | | | 1,811,291 | |
8.00%, 03/15/2026(a) | | | | | | | 2,265 | | | | 2,225,301 | |
DaVita, Inc. 3.75%, 02/15/2031(a) | | | | | | | 823 | | | | 657,747 | |
4.625%, 06/01/2030(a) | | | | | | | 14,083 | | | | 12,025,647 | |
Elanco Animal Health, Inc. 6.65%, 08/28/2028(h) (i) | | | | | | | 8,007 | | | | 7,911,813 | |
Embecta Corp. 5.00%, 02/15/2030(a) | | | | | | | 9,223 | | | | 7,610,299 | |
Emergent BioSolutions, Inc. 3.875%, 08/15/2028(a) | | | | | | | 7,410 | | | | 4,033,230 | |
Fortrea Holdings, Inc. 7.50%, 07/01/2030(a) | | | | | | | 1,196 | | | | 1,223,047 | |
Garden Spinco Corp. 8.625%, 07/20/2030(a) | | | | | | | 3,395 | | | | 3,678,856 | |
Grifols Escrow Issuer SA 3.875%, 10/15/2028(a) | | | EUR | | | | 6,477 | | | | 6,139,121 | |
Gruenenthal GmbH 4.125%, 05/15/2028(a) | | | | | | | 3,656 | | | | 3,803,588 | |
Iceland Bondco PLC 9.25%, (EURIBOR 3 Month + 5.50%), 12/15/2027(l) | | | | | | | 1,447 | | | | 1,568,584 | |
10.875%, 12/15/2027 | | | GBP | | | | 430 | | | | 556,006 | |
IQVIA, Inc. 2.25%, 03/15/2029(a) | | | EUR | | | | 3,948 | | | | 3,781,498 | |
6.50%, 05/15/2030(a) | | | U.S.$ | | | | 898 | | | | 906,842 | |
Jazz Securities DAC 4.375%, 01/15/2029(a) | | | | | | | 3,447 | | | | 3,066,863 | |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. 7.00%, 12/31/2027(a) | | | | | | | 9,238 | | | | 8,128,940 | |
Lamb Weston Holdings, Inc. 4.125%, 01/31/2030(a) | | | | | | | 3,671 | | | | 3,239,761 | |
Legacy LifePoint Health LLC 6.75%, 04/15/2025(a) | | | | | | | 333 | | | | 337,956 | |
Medline Borrower LP | | | | | | | | | | | | |
3.875%, 04/01/2029(a) | | | | | | | 6,982 | | | | 6,117,985 | |
5.25%, 10/01/2029(a) | | | | | | | 14,103 | | | | 12,522,588 | |
10
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
ModivCare, Inc. 5.875%, 11/15/2025(a) | | | U.S.$ | | | | 249 | | | $ | 231,439 | |
Newell Brands, Inc. 4.70%, 04/01/2026(h) | | | | | | | 736 | | | | 701,171 | |
4.875%, 06/01/2025 | | | | | | | 748 | | | | 723,615 | |
6.00%, 04/01/2046(h) | | | | | | | 1,969 | | | | 1,599,510 | |
6.375%, 09/15/2027 | | | | | | | 1,346 | | | | 1,322,708 | |
Organon & Co./Organon Foreign Debt Co-Issuer BV 4.125%, 04/30/2028(a) | | | | | | | 5,828 | | | | 5,223,439 | |
5.125%, 04/30/2031(a) | | | | | | | 3,884 | | | | 3,291,687 | |
Perrigo Finance Unlimited Co. 4.65%, 06/15/2030(h) | | | | | | | 200 | | | | 179,168 | |
Post Holdings, Inc. 4.50%, 09/15/2031(a) | | | | | | | 5,969 | | | | 5,085,092 | |
4.625%, 04/15/2030(a) | | | | | | | 414 | | | | 364,939 | |
Primo Water Holdings, Inc. 4.375%, 04/30/2029(a) | | | | | | | 9,327 | | | | 8,188,789 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/01/2026(a) | | | | | | | 9,903 | | | | 9,283,718 | |
Spectrum Brands, Inc. 3.875%, 03/15/2031(a) | | | | | | | 6,864 | | | | 5,664,874 | |
Tenet Healthcare Corp. 6.125%, 06/15/2030 | | | | | | | 1,026 | | | | 997,618 | |
Triton Water Holdings, Inc. 6.25%, 04/01/2029(a) | | | | | | | 5,317 | | | | 4,520,022 | |
US Acute Care Solutions LLC 6.375%, 03/01/2026(a) | | | | | | | 10,570 | | | | 9,239,503 | |
US Renal Care, Inc. 10.625%, 07/15/2027(a) | | | | | | | 1,739 | | | | 636,584 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 186,304,965 | |
| | | | | | | | | | | | |
|
Energy – 4.6% | |
Berry Petroleum Co. LLC 7.00%, 02/15/2026(a) | | | | | | | 1,215 | | | | 1,157,800 | |
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.625%, 12/15/2025(a) | | | | | | | 2,179 | | | | 2,194,504 | |
Callon Petroleum Co. 7.50%, 06/15/2030(a) | | | | | | | 4,640 | | | | 4,503,395 | |
8.25%, 07/15/2025 | | | | | | | 253 | | | | 253,000 | |
Citgo Holding, Inc. 9.25%, 08/01/2024(a) | | | | | | | 2,595 | | | | 2,593,581 | |
CITGO Petroleum Corp. 6.375%, 06/15/2026(a) | | | | | | | 2,387 | | | | 2,330,419 | |
7.00%, 06/15/2025(a) | | | | | | | 9,430 | | | | 9,317,025 | |
Civitas Resources, Inc. 5.00%, 10/15/2026(a) | | | | | | | 3,111 | | | | 2,935,139 | |
8.375%, 07/01/2028(a) | | | | | | | 4,027 | | | | 4,142,704 | |
8.75%, 07/01/2031(a) | | | | | | | 3,909 | | | | 4,045,667 | |
11
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
CNX Resources Corp. 6.00%, 01/15/2029(a) | | | U.S.$ | | | | 635 | | | $ | 594,046 | |
7.25%, 03/14/2027(a) | | | | | | | 81 | | | | 80,917 | |
Comstock Resources, Inc. 6.75%, 03/01/2029(a) | | | | | | | 1,289 | | | | 1,202,776 | |
Crescent Energy Finance LLC 7.25%, 05/01/2026(a) | | | | | | | 4,001 | | | | 3,940,301 | |
9.25%, 02/15/2028(a) | | | | | | | 538 | | | | 547,307 | |
Encino Acquisition Partners Holdings LLC 8.50%, 05/01/2028(a) | | | | | | | 6,469 | | | | 5,942,782 | |
EnLink Midstream Partners LP Series C 9.618% (LIBOR 3 Month + 4.11%), 08/31/2023(l) (m) | | | | | | | 12,323 | | | | 10,636,450 | |
EQM Midstream Partners LP 4.50%, 01/15/2029(a) | | | | | | | 3,942 | | | | 3,600,995 | |
4.75%, 01/15/2031(a) | | | | | | | 2,497 | | | | 2,227,545 | |
Genesis Energy LP/Genesis Energy Finance Corp. 6.25%, 05/15/2026 | | | | | | | 1,230 | | | | 1,179,454 | |
7.75%, 02/01/2028 | | | | | | | 5,793 | | | | 5,612,209 | |
8.00%, 01/15/2027 | | | | | | | 1,883 | | | | 1,852,059 | |
Global Partners LP/GLP Finance Corp. 6.875%, 01/15/2029 | | | | | | | 2,289 | | | | 2,145,121 | |
7.00%, 08/01/2027 | | | | | | | 2,149 | | | | 2,103,519 | |
Gulfport Energy Corp. 6.00%, 10/15/2024(c) | | | | | | | 2,508 | | | | 1,580 | |
6.375%, 05/15/2025(c) | | | | | | | 9,574 | | | | 6,032 | |
6.375%, 01/15/2026(c) | | | | | | | 9,247 | | | | 5,826 | |
6.625%, 05/01/2023(b) (c) | | | | | | | 619 | | | | 390 | |
8.00%, 05/17/2026(a) | | | | | | | 3,335 | | | | 3,378,239 | |
Harbour Energy PLC 5.50%, 10/15/2026(a) | | | | | | | 2,718 | | | | 2,529,289 | |
Hess Midstream Operations LP 4.25%, 02/15/2030(a) | | | | | | | 499 | | | | 438,595 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5.75%, 02/01/2029(a) | | | | | | | 1,024 | | | | 948,236 | |
6.00%, 02/01/2031(a) | | | | | | | 1,461 | | | | 1,330,675 | |
Howard Midstream Energy Partners LLC 8.875%, 07/15/2028(a) | | | | | | | 2,299 | | | | 2,349,444 | |
ITT Holdings LLC 6.50%, 08/01/2029(a) | | | | | | | 10,492 | | | | 9,035,899 | |
Moss Creek Resources Holdings, Inc. 7.50%, 01/15/2026(a) | | | | | | | 2,391 | | | | 2,234,838 | |
Nabors Industries Ltd. 7.25%, 01/15/2026(a) | | | | | | | 1,898 | | | | 1,826,118 | |
7.50%, 01/15/2028(a) | | | | | | | 7,663 | | | | 7,031,578 | |
New Fortress Energy, Inc. 6.75%, 09/15/2025(a) | | | | | | | 6,051 | | | | 5,758,178 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 02/01/2026(a) | | | | | | | 6,914 | | | | 6,849,472 | |
12
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
NuStar Logistics LP 6.375%, 10/01/2030 | | | U.S.$ | | | | 873 | | | $ | 842,118 | |
Southwestern Energy Co. | | | | | | | | | | | | |
5.375%, 02/01/2029 | | | | | | | 1,481 | | | | 1,399,195 | |
8.375%, 09/15/2028 | | | | | | | 153 | | | | 159,245 | |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 9.00%, 10/15/2026(a) (h) | | | | | | | 4,596 | | | | 4,524,259 | |
Sunoco LP/Sunoco Finance Corp. 5.875%, 03/15/2028 | | | | | | | 1,917 | | | | 1,865,608 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | | | | | | | | | | | | |
6.00%, 12/31/2030(a) | | | | | | | 614 | | | | 546,835 | |
6.00%, 09/01/2031(a) | | | | | | | 269 | | | | 235,527 | |
Transocean Poseidon Ltd. 6.875%, 02/01/2027(a) | | | | | | | 1,558 | | | | 1,555,165 | |
Venture Global LNG, Inc. | | | | | | | | | | | | |
8.125%, 06/01/2028(a) | | | | | | | 5,462 | | | | 5,552,752 | |
8.375%, 06/01/2031(a) | | | | | | | 5,455 | | | | 5,536,425 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 141,080,233 | |
| | | | | | | | | | | | |
|
Other Industrial – 0.2% | |
American Builders & Contractors Supply Co., Inc. 4.00%, 01/15/2028(a) | | | | | | | 361 | | | | 330,853 | |
Ritchie Bros Holdings, Inc. 6.75%, 03/15/2028(a) | | | | | | | 2,847 | | | | 2,885,528 | |
7.75%, 03/15/2031(a) | | | | | | | 2,629 | | | | 2,748,793 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,965,174 | |
| | | | | | | | | | | | |
|
Services – 3.0% | |
ADT Security Corp. (The) 4.875%, 07/15/2032(a) | | | | | | | 3,671 | | | | 3,173,920 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp. 6.00%, 06/01/2029(a) | | | | | | | 1,397 | | | | 1,067,475 | |
6.625%, 07/15/2026(a) | | | | | | | 1,699 | | | | 1,624,429 | |
9.75%, 07/15/2027(a) | | | | | | | 4,763 | | | | 4,369,931 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL 3.625%, 06/01/2028(a) | | | EUR | | | | 1,105 | | | | 959,809 | |
4.625%, 06/01/2028(a) | | | U.S.$ | | | | 4,924 | | | | 4,179,411 | |
4.875%, 06/01/2028(a) | | | GBP | | | | 3,580 | | | | 3,540,735 | |
ANGI Group LLC 3.875%, 08/15/2028(a) | | | U.S.$ | | | | 8,847 | | | | 7,439,316 | |
APX Group, Inc. 5.75%, 07/15/2029(a) | | | | | | | 5,963 | | | | 5,180,060 | |
6.75%, 02/15/2027(a) | �� | | | | | | 2,153 | | | | 2,107,921 | |
Aramark Services, Inc. 5.00%, 02/01/2028(a) | | | | | | | 3,832 | | | | 3,621,354 | |
Block, Inc. 3.50%, 06/01/2031 | | | | | | | 1,017 | | | | 851,973 | |
13
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Cars.com, Inc. 6.375%, 11/01/2028(a) | | | U.S.$ | | | | 4,403 | | | $ | 4,168,266 | |
Garda World Security Corp. 4.625%, 02/15/2027(a) | | | | | | | 378 | | | | 349,110 | |
7.75%, 02/15/2028(a) | | | | | | | 4,912 | | | | 4,883,387 | |
9.50%, 11/01/2027(a) | | | | | | | 495 | | | | 484,413 | |
ION Trading Technologies SARL 5.75%, 05/15/2028(a) | | | | | | | 2,109 | | | | 1,838,951 | |
Korn Ferry 4.625%, 12/15/2027(a) | | | | | | | 2,404 | | | | 2,260,431 | |
Millennium Escrow Corp. 6.625%, 08/01/2026(a) | | | | | | | 5,653 | | | | 4,217,303 | |
Monitronics International, Inc. 0.00%, 04/01/2020(b) (c) (d) (e) | | | | | | | 6,914 | | | | 0 | |
MPH Acquisition Holdings LLC 5.50%, 09/01/2028(a) | | | | | | | 3,721 | | | | 3,243,463 | |
5.75%, 11/01/2028(a) (i) | | | | | | | 13,626 | | | | 10,434,032 | |
Neptune Bidco US, Inc. 9.29%, 04/15/2029(a) | | | | | | | 7,757 | | | | 7,135,503 | |
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.25%, 04/15/2024(a) | | | | | | | 109 | | | | 107,891 | |
6.25%, 01/15/2028(a) | | | | | | | 13,331 | | | | 12,569,530 | |
Q-Park Holding I BV 1.50%, 03/01/2025(a) | | | EUR | | | | 586 | | | | 620,278 | |
2.00%, 03/01/2027(a) | | | | | | | 946 | | | | 916,736 | |
WASH Multifamily Acquisition, Inc. 5.75%, 04/15/2026(a) | | | U.S.$ | | | | 265 | | | | 248,471 | |
ZipRecruiter, Inc. 5.00%, 01/15/2030(a) | | | | | | | 2,000 | | | | 1,707,877 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 93,301,976 | |
| | | | | | | | | | | | |
|
Technology – 2.7% | |
AthenaHealth Group, Inc. 6.50%, 02/15/2030(a) (i) | | | | | | | 7,398 | | | | 6,271,832 | |
Cablevision Lightpath LLC 5.625%, 09/15/2028(a) | | | | | | | 4,374 | | | | 3,355,049 | |
CommScope, Inc. 4.75%, 09/01/2029(a) | | | | | | | 7,709 | | | | 5,926,216 | |
Entegris Escrow Corp. 5.95%, 06/15/2030(a) | | | | | | | 7,475 | | | | 7,164,721 | |
Gen Digital, Inc. 6.75%, 09/30/2027(a) | | | | | | | 4,989 | | | | 5,005,926 | |
7.125%, 09/30/2030(a) | | | | | | | 3,489 | | | | 3,514,377 | |
GoTo Group, Inc. 5.50%, 09/01/2027(a) | | | | | | | 5,905 | | | | 3,389,730 | |
Imola Merger Corp. 4.75%, 05/15/2029(a) | | | | | | | 2,868 | | | | 2,518,504 | |
NCR Corp. 5.125%, 04/15/2029(a) | | | | | | | 5,205 | | | | 4,658,278 | |
6.125%, 09/01/2029(a) | | | | | | | 1,207 | | | | 1,226,718 | |
14
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Playtika Holding Corp. 4.25%, 03/15/2029(a) | | | U.S.$ | | | | 3,976 | | | $ | 3,508,503 | |
Presidio Holdings, Inc. 8.25%, 02/01/2028(a) | | | | | | | 7,310 | | | | 7,091,732 | |
Rackspace Technology Global, Inc. 3.50%, 02/15/2028(a) | | | | | | | 14,232 | | | | 6,373,464 | |
Seagate HDD Cayman 8.25%, 12/15/2029(a) | | | | | | | 5,469 | | | | 5,728,171 | |
8.50%, 07/15/2031(a) | | | | | | | 5,795 | | | | 6,067,987 | |
Veritas US, Inc./Veritas Bermuda Ltd. 7.50%, 09/01/2025(a) | | | | | | | 8,701 | | | | 7,138,014 | |
Virtusa Corp. 7.125%, 12/15/2028(a) | | | | | | | 3,521 | | | | 2,957,751 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 81,896,973 | |
| | | | | | | | | | | | |
|
Transportation - Airlines – 0.6% | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd. 5.50%, 04/20/2026(a) | | | | | | | 3,490 | | | | 3,438,547 | |
5.75%, 04/20/2029(a) | | | | | | | 3,296 | | | | 3,195,171 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. 5.75%, 01/20/2026(a) | | | | | | | 4,795 | | | | 4,528,528 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. 8.00%, 09/20/2025(a) | | | | | | | 5,914 | | | | 5,977,697 | |
United Airlines, Inc. 4.625%, 04/15/2029(a) | | | | | | | 1,152 | | | | 1,044,381 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,184,324 | |
| | | | | | | | | | | | |
|
Transportation - Services – 1.0% | |
Albion Financing 1 SARL/Aggreko Holdings, Inc. 5.25%, 10/15/2026(a) | | | EUR | | | | 2,713 | | | | 2,869,657 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 4.75%, 04/01/2028(a) | | | U.S.$ | | | | 6,655 | | | | 6,038,436 | |
5.375%, 03/01/2029(a) | | | | | | | 837 | | | | 778,305 | |
5.75%, 07/15/2027(a) | | | | | | | 1,477 | | | | 1,422,981 | |
BCP V Modular Services Finance II PLC 4.75%, 11/30/2028(a) | | | EUR | | | | 538 | | | | 501,677 | |
BCP V Modular Services Finance PLC 6.75%, 11/30/2029 | | | | | | | 5,428 | | | | 4,467,140 | |
Hertz Corp. (The) 4.625%, 12/01/2026(a) | | | U.S.$ | | | | 5,020 | | | | 4,537,618 | |
5.00%, 12/01/2029(a) | | | | | | | 6,811 | | | | 5,625,900 | |
Loxam SAS 2.875%, 04/15/2026(a) | | | EUR | | | | 934 | | | | 951,405 | |
15
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
PROG Holdings, Inc. 6.00%, 11/15/2029(a) | | | U.S.$ | | | | 2,240 | | | $ | 2,030,164 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,223,283 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,492,480,500 | |
| | | | | | | | | | | | |
| | | |
Financial Institutions – 4.9% | | | | | | | | | | | | |
Banking – 0.5% | | | | | | | | | | | | |
Ally Financial, Inc. Series B 4.70%, 05/15/2026(m) | | | | | | | 14,614 | | | | 11,129,488 | |
Series C 4.70%, 05/15/2028(m) | | | | | | | 993 | | | | 697,046 | |
Bread Financial Holdings, Inc. 7.00%, 01/15/2026(a) (i) | | | | | | | 4,441 | | | | 4,296,943 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,123,477 | |
| | | | | | | | | | | | |
|
Brokerage – 0.5% | |
Advisor Group Holdings, Inc. 10.75%, 08/01/2027(a) | | | | | | | 6,141 | | | | 6,293,450 | |
AG Issuer LLC 6.25%, 03/01/2028(a) | | | | | | | 3,354 | | | | 3,238,316 | |
AG TTMT Escrow Issuer LLC 8.625%, 09/30/2027(a) | | | | | | | 897 | | | | 925,143 | |
NFP Corp. 4.875%, 08/15/2028(a) | | | | | | | 479 | | | | 433,446 | |
6.875%, 08/15/2028(a) | | | | | | | 4,358 | | | | 3,861,981 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,752,336 | |
| | | | | | | | | | | | |
|
Finance – 1.8% | |
Aircastle Ltd. 5.25%, 06/15/2026(a) (m) | | | | | | | 2,836 | | | | 2,166,736 | |
Castlelake Aviation Finance DAC 5.00%, 04/15/2027(a) | | | | | | | 4,612 | | | | 4,254,944 | |
CNG Holdings, Inc. 12.50%, 06/15/2024(g) | | | | | | | 4,791 | | | | 4,057,563 | |
Compass Group Diversified Holdings LLC 5.25%, 04/15/2029(a) | | | | | | | 2,417 | | | | 2,199,978 | |
Curo Group Holdings Corp. 7.50%, 08/01/2028(a) | | | | | | | 13,768 | | | | 5,272,766 | |
Enova International, Inc. 8.50%, 09/01/2024(a) | | | | | | | 2,537 | | | | 2,520,393 | |
8.50%, 09/15/2025(a) | | | | | | | 6,750 | | | | 6,655,939 | |
GGAM Finance Ltd. 7.75%, 05/15/2026(a) | | | | | | | 2,431 | | | | 2,453,012 | |
8.00%, 06/15/2028(a) | | | | | | | 3,646 | | | | 3,713,837 | |
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5.00%, 08/15/2028(a) | | | | | | | 4,831 | | | | 4,124,261 | |
Navient Corp. 4.875%, 03/15/2028 | | | | | | | 6,959 | | | | 6,081,075 | |
5.00%, 03/15/2027 | | | | | | | 1,471 | | | | 1,331,305 | |
5.625%, 08/01/2033 | | | | | | | 1,834 | | | | 1,404,791 | |
6.75%, 06/25/2025 | | | | | | | 2,395 | | | | 2,368,867 | |
16
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
SLM Corp. 3.125%, 11/02/2026 | | | U.S.$ | | | | 1,440 | | | $ | 1,266,577 | |
Synchrony Financial 7.25%, 02/02/2033 | | | | | | | 5,285 | | | | 4,943,384 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,815,428 | |
| | | | | | | | | | | | |
|
Insurance – 0.5% | |
Ardonagh Midco 2 PLC 11.50% (11.50% Cash or 12.75% PIK), 01/15/2027(a) (f) (i) | | | | | | | 11,605 | | | | 10,823,352 | |
AssuredPartners, Inc. 5.625%, 01/15/2029(a) | | | | | | | 1,000 | | | | 870,877 | |
HUB International Ltd. 7.25%, 06/15/2030(a) | | | | | | | 5,382 | | | | 5,492,803 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,187,032 | |
| | | | | | | | | | | | |
|
Other Finance – 0.6% | |
Armor Holdco, Inc. 8.50%, 11/15/2029(a) | | | | | | | 8,586 | | | | 7,354,294 | |
Coinbase Global, Inc. 3.375%, 10/01/2028(a) | | | | | | | 5,564 | | | | 3,896,681 | |
3.625%, 10/01/2031(a) | | | | | | | 2,379 | | | | 1,497,805 | |
CURO SPV LLC 18.00%, 08/02/2027(e) | | | | | | | 5,246 | | | | 5,035,934 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,784,714 | |
| | | | | | | | | | | | |
|
REITs – 1.0% | |
Aedas Homes Opco SLU 4.00%, 08/15/2026 | | | EUR | | | | 8,929 | | | | 9,088,292 | |
Agps Bondco PLC 5.50%, 11/13/2026(a) (h) | | | | | | | 1,200 | | | | 429,128 | |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL 4.50%, 04/01/2027(a) | | | U.S.$ | | | | 8,411 | | | | 7,270,258 | |
5.75%, 05/15/2026(a) | | | | | | | 2,813 | | | | 2,637,826 | |
Office Properties Income Trust 3.45%, 10/15/2031 | | | | | | | 3,882 | | | | 2,047,373 | |
Via Celere Desarrollos Inmobiliarios SA 5.25%, 04/01/2026 | | | EUR | | | | 5,665 | | | | 5,830,594 | |
Vivion Investments SARL 3.00%, 08/08/2024(a) | | | | | | | 2,500 | | | | 2,311,584 | |
3.50%, 11/01/2025(a) | | | | | | | 2,400 | | | | 1,834,507 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,449,562 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 152,112,549 | |
| | | | | | | | | | | | |
| | | |
Utility – 0.9% | | | | | | | | | | | | |
Electric – 0.6% | | | | | | | | | | | | |
ContourGlobal Power Holdings SA 3.125%, 01/01/2028(a) | | | | | | | 813 | | | | 741,850 | |
NRG Energy, Inc. 3.875%, 02/15/2032(a) | | | U.S.$ | | | | 7,731 | | | | 5,979,918 | |
10.25%, 03/15/2028(a) (m) | | | | | | | 3,572 | | | | 3,472,689 | |
17
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Vistra Corp. 7.00%, 12/15/2026(a) (m) | | | U.S.$ | | | | 3,713 | | | $ | 3,345,612 | |
8.00%, 10/15/2026(a) (m) | | | | | | | 4,495 | | | | 4,275,525 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,815,594 | |
| | | | | | | | | | | | |
|
Natural Gas – 0.2% | |
AmeriGas Partners LP/AmeriGas Finance Corp. 5.75%, 05/20/2027 | | | | | | | 710 | | | | 648,473 | |
5.875%, 08/20/2026 | | | | | | | 530 | | | | 499,208 | |
UGI International LLC 2.50%, 12/01/2029(a) | | | EUR | | | | 4,535 | | | | 3,848,920 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,996,601 | |
| | | | | | | | | | | | |
|
Other Utility – 0.1% | |
Solaris Midstream Holdings LLC 7.625%, 04/01/2026(a) | | | U.S.$ | | | | 4,331 | | | | 4,247,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,059,418 | |
| | | | | | | | | | | | |
| | | |
Total Corporates - Non-Investment Grade (cost $1,874,891,801) | | | | | | | | | | | 1,671,652,467 | |
| | | | | | | | | | | | |
| | | |
CORPORATES - INVESTMENT GRADE – 15.1% | | | | | | | | | | | | |
Industrial – 7.4% | | | | | | | | | | | | |
Basic – 0.5% | | | | | | | | | | | | |
Braskem Netherlands Finance BV 4.50%, 01/31/2030(a) | | | | | | | 4,684 | | | | 3,982,572 | |
7.25%, 02/13/2033(a) | | | | | | | 899 | | | | 882,463 | |
Freeport Indonesia PT 4.763%, 04/14/2027(a) | | | | | | | 696 | | | | 673,296 | |
INEOS Finance PLC 3.375%, 03/31/2026(a) | | | EUR | | | | 1,428 | | | | 1,464,190 | |
Nexa Resources SA 6.50%, 01/18/2028(a) | | | U.S.$ | | | | 3,219 | | | | 3,121,046 | |
Olin Corp. 5.125%, 09/15/2027 | | | | | | | 540 | | | | 516,125 | |
5.625%, 08/01/2029 | | | | | | | 3,127 | | | | 3,027,696 | |
UPL Corp., Ltd. 4.50%, 03/08/2028(a) | | | | | | | 1,084 | | | | 971,394 | |
4.625%, 06/16/2030(a) | | | | | | | 2,376 | | | | 2,030,767 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,669,549 | |
| | | | | | | | | | | | |
|
Capital Goods – 0.3% | |
General Electric Co. Series D 8.882% (LIBOR 3 Month + 3.33%), 09/15/2023(l) (m) | | | | | | | 5,563 | | | | 5,578,320 | |
Howmet Aerospace, Inc. 5.90%, 02/01/2027 | | | | | | | 805 | | | | 811,704 | |
Regal Rexnord Corp. 6.30%, 02/15/2030(a) | | | | | | | 852 | | | | 848,550 | |
6.40%, 04/15/2033(a) | | | | | | | 1,008 | | | | 1,004,116 | |
18
| | | | | | | | | | | | |
| |
| Principal Amount (000) |
| | | U.S. $ Value | |
| | | |
Textron Financial Corp. 7.056% (LIBOR 3 Month + 1.74%), 02/15/2042(a) (l) | | | U.S.$ | | | | 125 | | | $ | 94,747 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,337,437 | |
| | | | | | | | | | | | |
|
Communications - Media – 0.7% | |
Cox Communications, Inc. 5.70%, 06/15/2033(a) | | | | | | | 1,610 | | | | 1,617,491 | |
DirecTV Financing LLC/DirecTV Financing Co-Obligor, Inc. 5.875%, 08/15/2027(a) | | | | | | | 8,766 | | | | 7,912,774 | |
Discovery Communications LLC 4.125%, 05/15/2029 | | | | | | | 736 | | | | 676,308 | |
Prosus NV 3.061%, 07/13/2031(a) | | | | | | | 2,872 | | | | 2,248,747 | |
4.027%, 08/03/2050(a) | | | | | | | 1,341 | | | | 856,631 | |
Telecomunicaciones Digitales SA 4.50%, 01/30/2030(a) | | | | | | | 443 | | | | 376,811 | |
Warnermedia Holdings, Inc. 3.755%, 03/15/2027 | | | | | | | 3,059 | | | | 2,863,579 | |
4.279%, 03/15/2032 | | | | | | | 4,249 | | | | 3,764,985 | |
Weibo Corp. 3.375%, 07/08/2030 | | | | | | | 1,896 | | | | 1,529,124 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,846,450 | |
| | | | | | | | | | | | |
|
Communications - Telecommunications – 0.2% | |
Sprint Capital Corp. 8.75%, 03/15/2032 | | | | | | | 3,300 | | | | 3,977,517 | |
Sprint LLC 7.625%, 03/01/2026 | | | | | | | 137 | | | | 142,454 | |
Xiaomi Best Time International Ltd. 3.375%, 04/29/2030(a) | | | | | | | 2,112 | | | | 1,736,170 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,856,141 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Automotive – 1.6% | |
Ford Motor Co. 3.25%, 02/12/2032 | | | | | | | 9,212 | | | | 7,279,219 | |
Ford Motor Credit Co. LLC 4.95%, 05/28/2027 | | | | | | | 6,465 | | | | 6,137,613 | |
General Motors Financial Co., Inc. 5.85%, 04/06/2030 | | | | | | | 7,425 | | | | 7,417,463 | |
6.40%, 01/09/2033 | | | | | | | 6,351 | | | | 6,530,237 | |
Harley-Davidson Financial Services, Inc. 6.50%, 03/10/2028(a) | | | | | | | 13,050 | | | | 13,186,731 | |
Nissan Motor Acceptance Co. LLC 1.85%, 09/16/2026(a) | | | | | | | 393 | | | | 341,927 | |
2.45%, 09/15/2028(a) | | | | | | | 3,310 | | | | 2,712,575 | |
2.75%, 03/09/2028(a) | | | | | | | 5,326 | | | | 4,535,168 | |
Nissan Motor Co., Ltd. 4.81%, 09/17/2030(a) | | | | | | | 434 | | | | 390,876 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 48,531,809 | |
| | | | | | | | | | | | |
19
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Consumer Cyclical - Entertainment – 0.2% | | | | | | | | | | | | |
Mattel, Inc. 3.75%, 04/01/2029(a) | | | U.S.$ | | | | 5,792 | | | $ | 5,179,248 | |
| | | | | | | | | | | | |
| | | |
Consumer Cyclical - Other – 0.7% | | | | | | | | | | | | |
International Game Technology PLC 3.50%, 06/15/2026(a) | | | EUR | | | | 1,026 | | | | 1,091,776 | |
Las Vegas Sands Corp. 3.50%, 08/18/2026 | | | U.S.$ | | | | 268 | | | | 250,696 | |
MDC Holdings, Inc. 6.00%, 01/15/2043 | | | | | | | 9,963 | | | | 8,915,963 | |
Resorts World Las Vegas LLC/RWLV Capital, Inc. 4.625%, 04/16/2029(a) | | | | | | | 900 | | | | 745,878 | |
4.625%, 04/06/2031(a) | | | | | | | 5,800 | | | | 4,558,641 | |
8.45%, 07/27/2030(a) | | | | | | | 900 | | | | 899,111 | |
Sands China Ltd. 3.75%, 08/08/2031(h) | | | | | | | 675 | | | | 562,781 | |
4.875%, 06/18/2030(h) | | | | | | | 2,225 | | | | 2,025,249 | |
5.90%, 08/08/2028(h) | | | | | | | 1,104 | | | | 1,072,260 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,122,355 | |
| | | | | | | | | | | | |
|
Consumer Cyclical - Retailers – 0.2% | |
Macy’s Retail Holdings LLC 5.875%, 04/01/2029(a) | | | | | | | 1,195 | | | | 1,105,614 | |
5.875%, 03/15/2030(a) | | | | | | | 4,253 | | | | 3,839,057 | |
6.125%, 03/15/2032(a) | | | | | | | 2,121 | | | | 1,900,752 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,845,423 | |
| | | | | | | | | | | | |
|
Consumer Non-Cyclical – 0.6% | |
180 Medical, Inc. 3.875%, 10/15/2029(a) | | | | | | | 2,968 | | | | 2,598,867 | |
BAT Capital Corp. 6.421%, 08/02/2033 | | | | | | | 4,171 | | | | 4,171,000 | |
7.75%, 10/19/2032 | | | | | | | 2,504 | | | | 2,767,738 | |
Charles River Laboratories International, Inc. 3.75%, 03/15/2029(a) | | | | | | | 3,048 | | | | 2,697,504 | |
4.00%, 03/15/2031(a) | | | | | | | 2,554 | | | | 2,225,758 | |
IQVIA, Inc. 5.70%, 05/15/2028(a) | | | | | | | 958 | | | | 954,847 | |
Pilgrim’s Pride Corp. 3.50%, 03/01/2032 | | | | | | | 5,244 | | | | 4,236,527 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,652,241 | |
| | | | | | | | | | | | |
|
Energy – 1.5% | |
Apache Corp. 5.10%, 09/01/2040 | | | | | | | 1,548 | | | | 1,314,296 | |
Continental Resources, Inc./OK 5.75%, 01/15/2031(a) | | | | | | | 1,103 | | | | 1,067,023 | |
Ecopetrol SA 4.625%, 11/02/2031 | | | | | | | 2,197 | | | | 1,740,848 | |
8.625%, 01/19/2029 | | | | | | | 3,103 | | | | 3,190,660 | |
8.875%, 01/13/2033 | | | | | | | 1,720 | | | | 1,757,195 | |
20
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Hunt Oil Co. of Peru LLC Sucursal Del Peru 6.375%, 06/01/2028(a) | | | U.S.$ | | | | 1,711 | | | $ | 1,639,767 | |
KazMunayGas National Co. JSC 5.375%, 04/24/2030(a) | | | | | | | 5,100 | | | | 4,789,563 | |
Occidental Petroleum Corp. 5.875%, 09/01/2025 | | | | | | | 346 | | | | 346,995 | |
7.50%, 05/01/2031 | | | | | | | 3,487 | | | | 3,837,350 | |
8.875%, 07/15/2030 | | | | | | | 558 | | | | 647,139 | |
Oleoducto Central SA 4.00%, 07/14/2027(a) | | | | | | | 610 | | | | 542,278 | |
Ovintiv, Inc. 5.65%, 05/15/2028 | | | | | | | 2,842 | | | | 2,825,157 | |
6.25%, 07/15/2033 | | | | | | | 4,048 | | | | 4,086,104 | |
Tengizchevroil Finance Co. International Ltd. 3.25%, 08/15/2030(a) | | | | | | | 4,529 | | | | 3,464,685 | |
TransCanada PipeLines Ltd. 7.531% (LIBOR 3 Month + 2.21%), 05/15/2067(l) | | | | | | | 2,500 | | | | 2,024,694 | |
Var Energi ASA 7.50%, 01/15/2028(a) | | | | | | | 2,151 | | | | 2,237,181 | |
8.00%, 11/15/2032(a) | | | | | | | 4,260 | | | | 4,596,122 | |
Western Midstream Operating LP 3.95%, 06/01/2025 | | | | | | | 1,033 | | | | 997,732 | |
4.05%, 02/01/2030(h) | | | | | | | 2,516 | | | | 2,286,931 | |
4.75%, 08/15/2028 | | | | | | | 1,563 | | | | 1,498,625 | |
5.45%, 04/01/2044 | | | | | | | 916 | | | | 801,090 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 45,691,435 | |
| | | | | | | | | | | | |
|
Other Industrial – 0.2% | |
LKQ Corp. 5.75%, 06/15/2028(a) | | | | | | | 3,902 | | | | 3,879,057 | |
6.25%, 06/15/2033(a) | | | | | | | 3,459 | | | | 3,481,653 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,360,710 | |
| | | | | | | | | | | | |
|
Services – 0.0% | |
Elis SA Series E 1.625%, 04/03/2028(a) | | | EUR | | | | 900 | | | | 884,660 | |
| | | | | | | | | | | | |
| | | |
Technology – 0.4% | | | | | | | | | | | | |
HP, Inc. 5.50%, 01/15/2033 | | | U.S.$ | | | | 5,346 | | | | 5,272,564 | |
Lenovo Group Ltd. 3.421%, 11/02/2030(a) | | | | | | | 735 | | | | 620,825 | |
5.831%, 01/27/2028(a) | | | | | | | 2,591 | | | | 2,578,304 | |
SK Hynix, Inc. 2.375%, 01/19/2031(a) | | | | | | | 1,492 | | | | 1,158,046 | |
6.25%, 01/17/2026(a) | | | | | | | 679 | | | | 682,286 | |
6.50%, 01/17/2033(a) (i) | | | | | | | 934 | | | | 951,606 | |
Western Digital Corp. 2.85%, 02/01/2029 | | | | | | | 203 | | | | 163,384 | |
3.10%, 02/01/2032 | | | | | | | 541 | | | | 398,011 | |
21
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Xiaomi Best Time International Ltd. 2.875%, 07/14/2031(a) | | | U.S.$ | | | | 1,689 | | | $ | 1,297,946 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,122,972 | |
| | | | | | | | | | | | |
| | | |
Transportation - Airlines – 0.1% | | | | | | | | | | | | |
Delta Air Lines, Inc./SkyMiles IP Ltd. 4.75%, 10/20/2028(a) | | | | | | | 2,971 | | | | 2,876,891 | |
| | | | | | | | | | | | |
| | | |
Transportation - Railroads – 0.1% | | | | | | | | | | | | |
Lima Metro Line 2 Finance Ltd. 4.35%, 04/05/2036(a) | | | | | | | 1,739 | | | | 1,579,835 | |
| | | | | | | | | | | | |
| | | |
Transportation - Services – 0.1% | | | | | | | | | | | | |
AerCap Global Aviation Trust 6.50%, 06/15/2045(a) | | | | | | | 3,384 | | | | 3,316,066 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 227,873,222 | |
| | | | | | | | | | | | |
| | | |
Financial Institutions – 7.3% | | | | | | | | | | | | |
Banking – 5.3% | | | | | | | | | | | | |
AIB Group PLC 4.263%, 04/10/2025(a) | | | | | | | 887 | | | | 871,552 | |
7.583%, 10/14/2026(a) | | | | | | | 5,343 | | | | 5,477,603 | |
Ally Financial, Inc. 6.70%, 02/14/2033 | | | | | | | 1,485 | | | | 1,380,002 | |
8.00%, 11/01/2031 | | | | | | | 1,002 | | | | 1,061,480 | |
Banco Santander SA 3.225%, 11/22/2032 | | | | | | | 200 | | | | 157,935 | |
6.921%, 08/08/2033 | | | | | | | 4,800 | | | | 4,800,000 | |
Bank of America Corp. Series B 8.05%, 06/15/2027 | | | | | | | 8,700 | | | | 9,402,449 | |
Bank of Ireland Group PLC 6.253%, 09/16/2026(a) | | | | | | | 2,592 | | | | 2,583,668 | |
Barclays PLC 6.125%, 12/15/2025(m) | | | | | | | 3,519 | | | | 3,217,190 | |
7.119%, 06/27/2034 | | | | | | | 2,695 | | | | 2,732,439 | |
7.385%, 11/02/2028 | | | | | | | 6,480 | | | | 6,816,447 | |
BNP Paribas SA 4.625%, 02/25/2031(a) (m) | | | | | | | 2,811 | | | | 2,159,655 | |
7.375%, 08/19/2025(a) (m) | | | | | | | 3,758 | | | | 3,702,077 | |
Capital One Financial Corp. 6.312%, 06/08/2029 | | | | | | | 4,531 | | | | 4,549,041 | |
Citigroup, Inc. 9.699% (SOFR + 4.33%), 10/30/2023(l) (m) | | | | | | | 6,097 | | | | 6,116,746 | |
Credit Agricole SA 8.125%, 12/23/2025(a) (m) | | | | | | | 1,767 | | | | 1,771,930 | |
8.125%, 03/23/2172(m) | | | | | | | 4,862 | | | | 4,882,433 | |
Credit Suisse Group AG 3.091%, 05/14/2032(a) | | | | | | | 3,095 | | | | 2,556,121 | |
6.373%, 07/15/2026(a) | | | | | | | 2,253 | | | | 2,256,558 | |
22
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Deutsche Bank AG/New York NY 1.447%, 04/01/2025 | | | U.S.$ | | | | 150 | | | $ | 144,360 | |
6.72%, 01/18/2029 | | | | | | | 4,598 | | | | 4,684,804 | |
7.079%, 02/10/2034 | | | | | | | 4,299 | | | | 4,126,288 | |
7.146%, 07/13/2027 | | | | | | | 2,202 | | | | 2,245,376 | |
Dresdner Funding Trust I 8.151%, 06/30/2031(a) | | | | | | | 816 | | | | 872,545 | |
Goldman Sachs Group, Inc. (The) Series P 8.211% (LIBOR 3 Month + 2.87%), 08/31/2023(l) (m) | | | | | | | 5,043 | | | | 5,014,883 | |
HSBC Holdings PLC 4.041%, 03/13/2028 | | | | | | | 2,129 | | | | 2,008,281 | |
4.60%, 12/17/2030(m) | | | | | | | 986 | | | | 789,096 | |
4.762%, 03/29/2033 | | | | | | | 3,458 | | | | 3,136,654 | |
6.375%, 03/30/2025(m) | | | | | | | 418 | | | | 403,370 | |
7.336%, 11/03/2026 | | | | | | | 1,903 | | | | 1,967,143 | |
7.39%, 11/03/2028 | | | | | | | 2,206 | | | | 2,331,116 | |
8.113%, 11/03/2033 | | | | | | | 6,060 | | | | 6,710,815 | |
Intesa Sanpaolo SpA 5.017%, 06/26/2024(a) | | | | | | | 3,198 | | | | 3,120,874 | |
5.71%, 01/15/2026(a) | | | | | | | 860 | | | | 829,761 | |
6.625%, 06/20/2033(a) | | | | | | | 3,768 | | | | 3,774,326 | |
7.00%, 11/21/2025(a) | | | | | | | 972 | | | | 986,696 | |
Lloyds Banking Group PLC 7.50%, 06/27/2024(m) | | | | | | | 2,076 | | | | 2,021,244 | |
7.953%, 11/15/2033 | | | | | | | 2,680 | | | | 2,924,621 | |
8.00%, 09/27/2029(m) | | | | | | | 3,551 | | | | 3,317,150 | |
NatWest Group PLC 7.472%, 11/10/2026 | | | | | | | 2,715 | | | | 2,800,883 | |
Santander Holdings USA, Inc. 6.565%, 06/12/2029 | | | | | | | 5,218 | | | | 5,207,312 | |
Santander UK Group Holdings PLC 6.833%, 11/21/2026 | | | | | | | 12,101 | | | | 12,276,999 | |
Standard Chartered PLC 7.141% (LIBOR 3 Month + 1.51%), 01/30/2027(a) (l) (m) | | | | | | | 3,500 | | | | 3,228,487 | |
7.776%, 11/16/2025(a) | | | | | | | 4,220 | | | | 4,324,118 | |
Swedbank AB Series NC5 5.625%, 09/17/2024(a) (m) | | | | | | | 600 | | | | 573,086 | |
Synchrony Bank 5.625%, 08/23/2027 | | | | | | | 1,521 | | | | 1,443,068 | |
UBS Group AG 3.75%, 03/26/2025 | | | | | | | 1,186 | | | | 1,146,710 | |
7.00%, 02/19/2025(a) (m) | | | | | | | 6,302 | | | | 6,070,684 | |
UniCredit SpA 1.982%, 06/03/2027(a) | | | | | | | 3,605 | | | | 3,185,654 | |
Wells Fargo & Co. 7.625%, 09/15/2028(m) | | | | | | | 3,117 | | | | 3,205,308 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 161,367,038 | |
| | | | | | | | | | | | |
| | | |
Finance – 0.8% | | | | | | | | | | | | |
Air Lease Corp. Series B 4.65%, 06/15/2026(m) | | | | | | | 5,818 | | | | 5,185,944 | |
23
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Aircastle Ltd. 2.85%, 01/26/2028(a) | | | U.S.$ | | | | 1,274 | | | $ | 1,104,302 | |
Aviation Capital Group LLC 1.95%, 09/20/2026(a) | | | | | | | 3,301 | | | | 2,896,712 | |
4.125%, 08/01/2025(a) | | | | | | | 2,077 | | | | 1,972,291 | |
4.875%, 10/01/2025(a) | | | | | | | 1,585 | | | | 1,525,450 | |
6.375%, 07/15/2030(a) | | | | | | | 3,889 | | | | 3,885,284 | |
Huarong Finance 2017 Co., Ltd. 4.75%, 04/27/2027(a) | | | | | | | 751 | | | | 656,382 | |
Series E | | | | | | | | | | | | |
4.25%, 11/07/2027(a) | | | | | | | 270 | | | | 229,222 | |
Huarong Finance 2019 Co., Ltd. Series E 3.25%, 11/13/2024(a) | | | | | | | 708 | | | | 670,179 | |
3.75%, 05/29/2024(a) | | | | | | | 412 | | | | 398,214 | |
Huarong Finance II Co., Ltd. Series E 4.625%, 06/03/2026(a) | | | | | | | 2,519 | | | | 2,263,901 | |
4.875%, 11/22/2026(a) | | | | | | | 710 | | | | 633,121 | |
5.50%, 01/16/2025(a) | | | | | | | 3,149 | | | | 3,025,307 | |
ILFC E-Capital Trust II 7.314% (LIBOR 3 Month + 1.80%), 12/21/2065(a) (l) | | | | | | | 1,500 | | | | 1,081,702 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,528,011 | |
| | | | | | | | | | | | |
| | | |
Insurance – 1.0% | | | | | | | | | | | | |
Liberty Mutual Group, Inc. 7.80%, 03/15/2037(a) | | | | | | | 12,355 | | | | 12,786,829 | |
MetLife Capital Trust IV 7.875%, 12/15/2037(a) | | | | | | | 9,269 | | | | 9,731,526 | |
MetLife, Inc. 10.75%, 08/01/2039 | | | | | | | 1,745 | | | | 2,267,466 | |
Nationwide Mutual Insurance Co. 7.842% (LIBOR 3 Month + 2.29%), 12/15/2024(a) (l) | | | | | | | 5,000 | | | | 5,000,075 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,785,896 | |
| | | | | | | | | | | | |
| | | |
REITs – 0.2% | | | | | | | | | | | | |
Trust Fibra Uno 4.869%, 01/15/2030(a) | | | | | | | 3,370 | | | | 3,047,323 | |
VICI Properties LP/VICI Note Co., Inc. 4.625%, 06/15/2025(a) | | | | | | | 1,279 | | | | 1,243,522 | |
5.625%, 05/01/2024(a) | | | | | | | 2,333 | | | | 2,321,702 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,612,547 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 223,293,492 | |
| | | | | | | | | | | | |
| | | |
Utility – 0.4% | | | | | | | | | | | | |
Electric – 0.4% | | | | | | | | | | | | |
Cometa Energia SA de CV 6.375%, 04/24/2035(a) | | | | | | | 1,688 | | | | 1,630,855 | |
24
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Electricite de France SA 9.125%, 03/15/2033(a) (m) | | | U.S.$ | | | | 1,365 | | | $ | 1,438,917 | |
Enel Finance International NV 7.50%, 10/14/2032(a) | | | | | | | 2,963 | | | | 3,306,910 | |
NRG Energy, Inc. 7.00%, 03/15/2033(a) | | | | | | | 1,192 | | | | 1,192,821 | |
Palomino Funding Trust I 7.233%, 05/17/2028(a) | | | | | | | 5,475 | | | | 5,531,260 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,100,763 | |
| | | | | | | | | | | | |
| | | |
Total Corporates - Investment Grade (cost $470,075,643) | | | | | | | | | | | 464,267,477 | |
| | | | | | | | | | | | |
| | | |
EMERGING MARKETS - CORPORATE BONDS – 6.3% | | | | | | | | | | | | |
Industrial – 5.9% | | | | | | | | | | | | |
Basic – 1.6% | | | | | | | | | | | | |
Braskem Idesa SAPI 6.99%, 02/20/2032(a) | | | | | | | 2,258 | | | | 1,433,875 | |
7.45%, 11/15/2029(a) | | | | | | | 5,151 | | | | 3,491,090 | |
Cia de Minas Buenaventura SAA 5.50%, 07/23/2026(a) | | | | | | | 3,245 | | | | 2,827,206 | |
CSN Inova Ventures 6.75%, 01/28/2028(a) | | | | | | | 10,898 | | | | 10,310,489 | |
Eldorado Gold Corp. 6.25%, 09/01/2029(a) | | | | | | | 4,648 | | | | 4,177,344 | |
First Quantum Minerals Ltd. 6.875%, 10/15/2027(a) | | | | | | | 8,370 | | | | 8,186,906 | |
Indika Energy Capital IV Pte Ltd. 8.25%, 10/22/2025(a) | | | | | | | 6,367 | | | | 6,327,079 | |
JSW Steel Ltd. 3.95%, 04/05/2027(a) | | | | | | | 813 | | | | 722,318 | |
5.05%, 04/05/2032(a) | | | | | | | 2,171 | | | | 1,763,894 | |
Sasol Financing USA LLC 8.75%, 05/03/2029(a) | | | | | | | 2,588 | | | | 2,589,985 | |
Stillwater Mining Co. 4.00%, 11/16/2026(a) | | | | | | | 2,031 | | | | 1,826,681 | |
4.50%, 11/16/2029(a) | | | | | | | 1,878 | | | | 1,522,570 | |
Vedanta Resources Finance II PLC 13.875%, 01/21/2024(a) | | | | | | | 2,536 | | | | 2,259,475 | |
Volcan Cia Minera SAA 4.375%, 02/11/2026(a) | | | | | | | 1,384 | | | | 989,989 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 48,428,901 | |
| | | | | | | | | | | | |
| | | |
Capital Goods – 0.6% | | | | | | | | | | | | |
Cemex SAB de CV 5.125%, 06/08/2026(a) (m) | | | | | | | 4,107 | | | | 3,766,529 | |
Embraer Netherlands Finance BV 5.40%, 02/01/2027 | | | | | | | 8,145 | | | | 7,983,648 | |
6.95%, 01/17/2028(a) | | | | | | | 1,955 | | | | 1,977,756 | |
7.00%, 07/28/2030(a) | | | | | | | 1,066 | | | | 1,078,023 | |
25
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
IHS Holding Ltd. 5.625%, 11/29/2026(a) | | | U.S.$ | | | | 1,729 | | | $ | 1,506,218 | |
6.25%, 11/29/2028(a) | | | | | | | 537 | | | | 441,951 | |
Odebrecht Holdco Finance Ltd. Zero Coupon, 09/10/2058(a) | | | | | | | 17,592 | | | | 70,367 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,824,492 | |
| | | | | | | | | | | | |
| | | |
Communications - Media – 0.1% | | | | | | | | | | | | |
Globo Comunicacao e Participacoes SA 4.875%, 01/22/2030(a) | | | | | | | 4,541 | | | | 3,795,232 | |
VTR Finance NV 6.375%, 07/15/2028(g) | | | | | | | 632 | | | | 267,020 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,062,252 | |
| | | | | | | | | | | | |
| | | |
Communications - Telecommunications – 0.2% | | | | | | | | | | | | |
CT Trust 5.125%, 02/03/2032(a) | | | | | | | 1,871 | | | | 1,549,104 | |
Digicel Group Holdings Ltd. 7.00%, 08/16/2023(f) (g) (m) | | | | | | | 716 | | | | 78,775 | |
Digicel International Finance Ltd./Digicel international Holdings Ltd. 8.75%, 05/25/2024(a) | | | | | | | 1,816 | | | | 1,643,706 | |
HTA Group Ltd./Mauritius 7.00%, 12/18/2025(a) | | | | | | | 1,600 | | | | 1,525,536 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,797,121 | |
| | | | | | | | | | | | |
| | | |
Consumer Cyclical - Other – 1.2% | | | | | | | | | | | | |
Allwyn Entertainment Financing UK PLC 7.448% (EURIBOR 3 Month + 4.12%), 02/15/2028(l) | | | EUR | | | | 3,827 | | | | 4,216,451 | |
Allwyn International AS 3.875%, 02/15/2027(a) | | | | | | | 744 | | | | 767,924 | |
Melco Resorts Finance Ltd. 5.375%, 12/04/2029(a) | | | U.S.$ | | | | 6,251 | | | | 5,297,410 | |
5.625%, 07/17/2027(a) | | | | | | | 3,599 | | | | 3,250,797 | |
5.75%, 07/21/2028(a) | | | | | | | 3,277 | | | | 2,928,819 | |
MGM China Holdings Ltd. 4.75%, 02/01/2027(a) | | | | | | | 8,457 | | | | 7,743,441 | |
5.25%, 06/18/2025(a) | | | | | | | 437 | | | | 421,159 | |
5.375%, 05/15/2024(a) | | | | | | | 2,104 | | | | 2,075,470 | |
Studio City Co., Ltd. 7.00%, 02/15/2027 (a) | | | | | | | 1,338 | | | | 1,270,792 | |
Studio City Finance Ltd. 5.00%, 01/15/2029(a) | | | | | | | 2,502 | | | | 1,910,902 | |
6.00%, 07/15/2025(a) | | | | | | | 1,011 | | | | 953,838 | |
6.50%, 01/15/2028(a) | | | | | | | 224 | | | | 192,080 | |
Wynn Macau Ltd. 5.125%, 12/15/2029(a) | | | | | | | 2,333 | | | | 1,956,734 | |
5.50%, 01/15/2026(a) | | | | | | | 825 | | | | 772,117 | |
5.50%, 10/01/2027(a) | | | | | | | 1,100 | | | | 994,125 | |
5.625%, 08/26/2028(a) | | | | | | | 2,442 | | | | 2,173,380 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,925,439 | |
| | | | | | | | | | | | |
26
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Consumer Cyclical - Retailers – 0.0% | | | | | | | | | | | | |
K201640219 South Africa Ltd. Zero Coupon, 06/25/2024(d) (e) | | | ZAR | | | | 230 | | | $ | 0 | |
K2016470219 South Africa Ltd. 3.00%, 12/31/2022(b) (c) (d) (e) (g) | | | U.S.$ | | | | 5,622 | | | | 0 | |
K2016470260 South Africa Ltd. 25.00%, 12/31/2022(a) (b) (c) (d) (e) | | | | | | | 3,942 | | | | 0 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 0 | |
| | | | | | | | | | | | |
| | | |
Consumer Non-Cyclical – 1.0% | | | | | | | | | | | | |
BBFI Liquidating Trust Zero Coupon, 12/30/2099(a) (d) (e) (g) | | | | | | | 2,174 | | | | 1,010,213 | |
BRF SA 4.875%, 01/24/2030(a) | | | | | | | 1,952 | | | | 1,621,722 | |
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 5.25%, 04/27/2029(a) | | | | | | | 1,443 | | | | 1,332,914 | |
MARB BondCo PLC 3.95%, 01/29/2031(a) | | | | | | | 8,907 | | | | 6,542,191 | |
Natura Cosmeticos SA 4.125%, 05/03/2028(a) | | | | | | | 4,733 | | | | 4,149,658 | |
Rede D’or Finance SARL 4.50%, 01/22/2030(a) | | | | | | | 1,785 | | | | 1,541,722 | |
4.95%, 01/17/2028(a) | | | | | | | 1,820 | | | | 1,677,385 | |
Teva Pharmaceutical Finance Netherlands II BV 3.75%, 05/09/2027 | | | EUR | | | | 2,758 | | | | 2,746,312 | |
Teva Pharmaceutical Finance Netherlands III BV 4.75%, 05/09/2027 | | | U.S.$ | | | | 2,251 | | | | 2,085,642 | |
5.125%, 05/09/2029(i) | | | | | | | 2,251 | | | | 2,054,015 | |
7.875%, 09/15/2029 | | | | | | | 2,840 | | | | 2,956,973 | |
8.125%, 09/15/2031 | | | | | | | 2,840 | | | | 3,007,896 | |
Tonon Luxembourg SA 6.50%, 10/31/2024(c) (d) (g) (k) | | | | | | | 2,437 | | | | 244 | |
Ulker Biskuvi Sanayi AS 6.95%, 10/30/2025(a) | | | | | | | 1,248 | | | | 1,177,650 | |
Virgolino de Oliveira Finance SA 10.50%, 01/28/2018(b) (c) (d) (e) (g) | | | | | | | 13,674 | | | | 1,367 | |
10.875%, 01/13/2020(b) (c) (d) (e) (g) | | | | | | | 2,500 | | | | 250 | |
11.75%, 02/09/2022(b) (c) (d) (e) (g) | | | | | | | 13,613 | | | | 1,361 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,907,515 | |
| | | | | | | | | | | | |
| | | |
Energy – 0.9% | | | | | | | | | | | | |
Acu Petroleo Luxembourg SARL 7.50%, 01/13/2032(a) | | | | | | | 2,105 | | | | 1,873,444 | |
Canacol Energy Ltd. 5.75%, 11/24/2028(a) | | | | | | | 1,100 | | | | 959,363 | |
Cosan SA 5.50%, 09/20/2029(a) | | | | | | | 2,027 | | | | 1,885,151 | |
Geopark Ltd. 5.50%, 01/17/2027(a) | | | | | | | 1,883 | | | | 1,614,202 | |
27
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Gran Tierra Energy, Inc. 7.75%, 05/23/2027(a) | | | U.S.$ | | | | 2,731 | | | $ | 2,169,548 | |
Greenko Wind Projects Mauritius Ltd. 5.50%, 04/06/2025(a) | | | | | | | 3,868 | | | | 3,733,587 | |
Kosmos Energy Ltd. 7.50%, 03/01/2028(a) | | | | | | | 2,896 | | | | 2,557,139 | |
Leviathan Bond Ltd. 6.125%, 06/30/2025(a) | | | | | | | 2,565 | | | | 2,514,441 | |
6.50%, 06/30/2027(a) | | | | | | | 3,495 | | | | 3,367,806 | |
Medco Platinum Road Pte Ltd. 6.75%, 01/30/2025(a) | | | | | | | 1,011 | | | | 1,001,638 | |
MV24 Capital BV 6.748%, 06/01/2034(a) | | | | | | | 2,668 | | | | 2,452,255 | |
ReNew Power Pvt Ltd. 5.875%, 03/05/2027(a) | | | | | | | 121 | | | | 113,573 | |
SEPLAT Energy PLC 7.75%, 04/01/2026(a) | | | | | | | 1,739 | | | | 1,549,223 | |
SierraCol Energy Andina LLC 6.00%, 06/15/2028(a) | | | | | | | 2,354 | | | | 1,852,598 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,643,968 | |
| | | | | | | | | | | | |
| | | |
Services – 0.1% | | | | | | | | | | | | |
Bidvest Group UK PLC (The) 3.625%, 09/23/2026(a) | | | | | | | 1,631 | | | | 1,466,171 | |
| | | | | | | | | | | | |
| | | |
Technology – 0.2% | | | | | | | | | | | | |
CA Magnum Holdings 5.375%, 10/31/2026(a) | | | | | | | 8,243 | | | | 7,562,953 | |
| | | | | | | | | | | | |
| | | |
Transportation - Services – 0.0% | | | | | | | | | | | | |
JSW Infrastructure Ltd. 4.95%, 01/21/2029(a) | | | | | | | 564 | | | | 493,348 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 180,112,160 | |
| | | | | | | | | | | | |
| | | |
Utility – 0.4% | | | | | | | | | | | | |
Electric – 0.4% | | | | | | | | | | | | |
Adani Green Energy Ltd. 4.375%, 09/08/2024(a) | | | | | | | 2,044 | | | | 1,911,304 | |
AES Andes SA 6.35%, 10/07/2079(a) | | | | | | | 2,632 | | | | 2,484,582 | |
Diamond II Ltd. 7.95%, 07/28/2026(a) | | | | | | | 2,614 | | | | 2,604,639 | |
India Clean Energy Holdings 4.50%, 04/18/2027(a) | | | | | | | 2,606 | | | | 2,187,841 | |
Investment Energy Resources Ltd. 6.25%, 04/26/2029(a) | | | | | | | 1,321 | | | | 1,236,099 | |
JSW Hydro Energy Ltd. 4.125%, 05/18/2031(a) | | | | | | | 1,432 | | | | 1,208,003 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,632,468 | |
| | | | | | | | | | | | |
28
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Financial Institutions – 0.0% | | | | | | | | | | | | |
Other Finance – 0.0% | | | | | | | | | | | | |
OEC Finance Ltd. 4.375%, 10/25/2029(a) (f) (h) | | | U.S.$ | | | | 319 | | | $ | 12,753 | |
5.25%, 12/27/2033(a) (f) (h) | | | | | | | 5,738 | | | | 229,233 | |
7.125%, 12/26/2046(a) (f) (h) | | | | | | | 12,011 | | | | 758,493 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,000,479 | |
| | | | | | | | | | | | |
| | | |
REITs – 0.0% | | | | | | | | | | | | |
China Aoyuan Group Ltd. 5.88%, 03/01/2027(a) (c) (k) | | | | | | | 1,125 | | | | 50,625 | |
5.98%, 08/18/2025(a) (c) (k) | | | | | | | 380 | | | | 17,100 | |
7.95%, 02/19/2023(a) (b) (c) | | | | | | | 579 | | | | 26,055 | |
Country Garden Holdings Co., Ltd. 3.125%, 10/22/2025(a) | | | | | | | 400 | | | | 78,000 | |
Yango Justice International Ltd. 7.50%, 04/15/2024(a) (c) (k) | | | | | | | 344 | | | | 3,440 | |
7.50%, 02/17/2025(a) (c) (k) | | | | | | | 918 | | | | 9,180 | |
7.875%, 09/04/2024(a) (c) (k) | | | | | | | 251 | | | | 2,510 | |
8.25%, 11/25/2023(a) (c) (k) | | | | | | | 400 | | | | 4,000 | |
10.25%, 09/15/2022(b) (c) | | | | | | | 264 | | | | 2,640 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 193,550 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,194,029 | |
| | | | | | | | | | | | |
| | | |
Total Emerging Markets - Corporate Bonds (cost $271,006,747) | | | | | | | | | | | 192,938,657 | |
| | | | | | | | | | | | |
| | | |
BANK LOANS – 5.2% | | | | | | | | | | | | |
Industrial – 4.8% | | | | | | | | | | | | |
Capital Goods – 0.7% | | | | | | | | | | | | |
ACProducts Holdings, Inc. 9.754% (SOFR 3 Month + 4.25%), 05/17/2028(n) | | | | | | | 10,277 | | | | 8,817,889 | |
Apex Tool Group, LLC 10.605% (SOFR 1 Month + 5.25%), 02/08/2029(n) | | | | | | | 12,334 | | | | 11,474,745 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,292,634 | |
| | | | | | | | | | | | |
| | | |
Communications - Media – 0.3% | | | | | | | | | | | | |
Advantage Sales & Marketing, Inc. 9.760% (SOFR 1 Month + 4.50%), 10/28/2027(n) | | | | | | | 14 | | | | 12,540 | |
10.038% (SOFR 3 Month + 4.50%), 10/28/2027(n) | | | | | | | 9,248 | | | | 8,589,419 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,601,959 | |
| | | | | | | | | | | | |
| | | |
Communications - Telecommunications – 0.8% | | | | | | | | | | | | |
Crown Subsea Communications Holding, Inc. 10.433% (SOFR 1 Month + 5.00%), 04/27/2027(n) | | | | | | | 7,268 | | | | 7,273,004 | |
DIRECTV Financing, LLC 10.433% (SOFR 1 Month + 5.00%), 08/02/2027(n) | | | | | | | 2,603 | | | | 2,584,216 | |
29
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Proofpoint, Inc. 11.683% (SOFR 1 Month + 6.25%), 08/31/2029(n) | | | U.S.$ | | | | 6,492 | | | $ | 6,429,125 | |
Zacapa SARL 9.242% (SOFR 3 Month + 4.00%), 03/22/2029(n) | | | | | | | 7,611 | | | | 7,537,023 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,823,368 | |
| | | | | | | | | | | | |
| | | |
Consumer Cyclical - Automotive – 0.1% | | | | | | | | | | | | |
Garret Motion SARL 9.869% (SOFR 3 Month + 4.50%), 04/30/2028(e) (n) | | | | | | | 1,254 | | | | 1,248,014 | |
10.131% (SOFR 3 Month + 4.50%), 04/30/2028(e) (n) | | | | | | | 1,881 | | | | 1,872,022 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,120,036 | |
| | | | | | | | | | | | |
| | | |
Consumer Cyclical - Other – 0.1% | | | | | | | | | | | | |
Caesars Entertainment, Inc. 8.669% (SOFR 1 Month + 3.25%), 02/06/2030(n) | | | | | | | 2,893 | | | | 2,890,783 | |
| | | | | | | | | | | | |
| | | |
Consumer Non-Cyclical – 0.9% | | | | | | | | | | | | |
Gainwell Acquisition Corp. 9.342% (SOFR 3 Month + 4.00%), 10/01/2027(n) | | | | | | | 6,796 | | | | 6,675,126 | |
Kronos Acquisition Holdings, Inc. 9.254% (SOFR 3 Month + 3.75%), 12/22/2026(n) | | | | | | | 4,592 | | | | 4,495,721 | |
PetSmart, LLC 9.169% (SOFR 1 Month + 3.75%), 02/11/2028(n) | | | | | | | 5,721 | | | | 5,711,509 | |
US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.) 10.669% (SOFR 1 Month + 5.25%), 12/15/2027(n) | | | | | | | 10,803 | | | | 10,324,602 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,206,958 | |
| | | | | | | | | | | | |
| | | |
Energy – 0.5% | | | | | | | | | | | | |
GIP II Blue Holding, L.P. 9.717% (SOFR 1 Month + 4.50%), 09/29/2028(n) | | | | | | | 10,747 | | | | 10,765,334 | |
Parkway Generation, LLC 10.280% (SOFR 3 Month + 4.75%), 02/18/2029(n) | | | | | | | 5,645 | | | | 5,563,031 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,328,365 | |
| | | | | | | | | | | | |
| | | |
Other Industrial – 0.3% | | | | | | | | | | | | |
American Tire Distributors, Inc. 11.813% (SOFR 3 Month + 6.25%), 10/20/2028(n) | | | | | | | 5,056 | | | | 4,462,734 | |
Dealer Tire Financial, LLC 9.819% (SOFR 1 Month + 4.50%), 12/14/2027(n) | | | | | | | 1,587 | | | | 1,583,625 | |
30
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
FCG Acquisitions, Inc. 12.254% (SOFR 3 Month + 6.75%), 03/30/2029(n) | | | U.S.$ | | | | 3,390 | | | $ | 3,180,939 | |
Rockwood Service Corporation 9.433% (SOFR 1 Month + 4.00%), 01/23/2027(n) | | | | | | | 493 | | | | 492,096 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,719,394 | |
| | | | | | | | | | | | |
| | | |
Services – 0.2% | | | | | | | | | | | | |
Verscend Holding Corp. 9.433% (SOFR 1 Month + 4.00%), 08/27/2025(n) | | | | | | | 7,625 | | | | 7,612,154 | |
| | | | | | | | | | | | |
| | | |
Technology – 0.9% | | | | | | | | | | | | |
Ascend Learning, LLC 11.169% (SOFR 1 Month + 5.75%), 12/10/2029(n) | | | | | | | 2,940 | | | | 2,502,058 | |
Banff Guarantor, Inc. 10.933% (SOFR 1 Month + 5.50%), 02/27/2026(n) | | | | | | | 2,470 | | | | 2,422,650 | |
Boxer Parent Company, Inc. 9.183% (SOFR 1 Month + 3.75%), 10/02/2025(n) | | | | | | | 8,518 | | | | 8,493,978 | |
Endurance International Group Holdings, Inc. 8.792% (LIBOR 3 Month + 3.50%), 02/10/2028(e) (n) | | | | | | | 10,112 | | | | 9,599,905 | |
FINThrive Software Intermediate Holdings, Inc. 12.569% (SOFR 1 Month + 6.75%), 12/17/2029(n) | | | | | | | 2,810 | | | | 1,629,800 | |
Loyalty Ventures, Inc. 14.000% (PRIME 3 Month + 5.50%), 11/03/2027(c) (k) (n) | | | | | | | 5,905 | | | | 590,452 | |
Veritas US, Inc. 10.433% (SOFR 1 Month + 5.00%), 09/01/2025(n) | | | | | | | 3,532 | | | | 2,961,707 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,200,550 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 147,796,201 | |
| | | | | | | | | | | | |
| | | |
Utility – 0.2% | | | | | | | | | | | | |
Electric – 0.2% | | | | | | | | | | | | |
Granite Generation, LLC 9.183% (SOFR 1 Month + 3.75%), 11/09/2026(n) | | | | | | | 7,077 | | | | 6,982,214 | |
| | | | | | | | | | | | |
| | | |
Financial Institutions – 0.2% | | | | | | | | | | | | |
Finance – 0.0% | | | | | | | | | | | | |
Orbit Private Holdings I Ltd. 10.087% (SOFR 6 Month + 4.50%), 12/11/2028(e) (n) | | | | | | | 887 | | | | 886,500 | |
| | | | | | | | | | | | |
31
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Insurance – 0.2% | | | | | | | | | | | | |
Asurion, LLC 9.467% (SOFR 1 Month + 4.25%), 08/19/2028(n) | | | U.S.$ | | | | 6,214 | | | $ | 5,950,312 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,836,812 | |
| | | | | | | | | | | | |
| | | |
Total Bank Loans (cost $171,996,084) | | | | | | | | | | | 161,615,227 | |
| | | | | | | | | | | | |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS – 4.9% | | | | | | | | | | | | |
Risk Share Floating Rate – 4.5% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class B 14.384% (SOFR + 9.31%), 10/25/2027(l) | | | | | | | 896 | | | | 962,439 | |
Series 2015-DNA2, Class B 12.734% (SOFR + 7.66%), 12/25/2027(l) | | | | | | | 14,329 | | | | 14,727,740 | |
Series 2015-DNA3, Class B 14.534% (SOFR + 9.46%), 04/25/2028(l) | | | | | | | 7,456 | | | | 7,996,788 | |
Series 2015-HQ2, Class B 13.134% (SOFR + 8.06%), 05/25/2025(l) | | | | | | | 283 | | | | 289,367 | |
Series 2015-HQA1, Class B 13.984% (SOFR + 8.91%), 03/25/2028(l) | | | | | | | 12,401 | | | | 13,010,050 | |
Series 2015-HQA2, Class B 15.684% (SOFR + 10.61%), 05/25/2028(l) | | | | | | | 6,957 | | | | 7,580,363 | |
Series 2016-DNA2, Class B 15.684% (SOFR + 10.61%), 10/25/2028(l) | | | | | | | 5,011 | | | | 5,644,765 | |
Series 2016-DNA3, Class B 16.434% (SOFR + 11.36%), 12/25/2028(l) | | | | | | | 4,434 | | | | 5,086,895 | |
Series 2016-DNA4, Class B 13.784% (SOFR + 8.71%), 03/25/2029(l) | | | | | | | 1,814 | | | | 1,955,956 | |
Series 2016-HQA1, Class B 17.934% (SOFR + 12.86%), 09/25/2028(l) | | | | | | | 2,978 | | | | 3,513,122 | |
Series 2016-HQA2, Class B 16.684% (SOFR + 11.61%), 11/25/2028(l) | | | | | | | 3,909 | | | | 4,508,877 | |
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C01, Class 1B 16.934% (SOFR + 11.86%), 08/25/2028(l) | | | | | | | 4,005 | | | | 4,534,573 | |
Series 2016-C02, Class 1B | | | | | | | | | | | | |
17.434% (SOFR + 12.36%), 09/25/2028(l) | | | | | | | 2,875 | | | | 3,343,706 | |
Series 2016-C03, Class 1B | | | | | | | | | | | | |
16.934% (SOFR + 11.86%), 10/25/2028(l) | | | | | | | 7,088 | | | | 8,120,890 | |
Series 2016-C03, Class 2B | | | | | | | | | | | | |
17.934% (SOFR + 12.86%), 10/25/2028(l) | | | | | | | 3,932 | | | | 4,582,252 | |
32
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Series 2016-C04, Class 1B 15.434% (SOFR + 10.36%), 01/25/2029(l) | | | U.S.$ | | | | 13,223 | | | $ | 14,572,948 | |
Series 2016-C05, Class 2B 15.93% (SOFR + 10.86%), 01/25/2029(l) | | | | | | | 11,987 | | | | 13,377,019 | |
Series 2016-C06, Class 1B 14.434% (SOFR + 9.36%), 04/25/2029(l) | | | | | | | 8,452 | | | | 9,093,363 | |
Series 2016-C07, Class 2B 14.684% (SOFR + 9.61%), 05/25/2029(l) | | | | | | | 10,249 | | | | 11,194,439 | |
JPMorgan Madison Avenue Securities Trust Series 2015-CH1, Class M2 10.684% (SOFR + 5.61%), 10/25/2025(g) (l) | | | | | | | 2,090 | | | | 2,054,365 | |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2 10.434% (SOFR + 5.36%), 11/25/2025(g) (l) | | | | | | | 1,409 | | | | 1,329,908 | |
Series 2015-WF1, Class 2M2 10.684% (SOFR + 5.61%), 11/25/2025(g) (l) | | | | | | | 682 | | | | 657,668 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 138,137,493 | |
| | | | | | | | | | | | |
Non-Agency Fixed Rate – 0.3% | |
Alternative Loan Trust Series 2006-24CB, Class A15 5.75%, 08/25/2036 | | | | | | | 1,948 | | | | 1,071,556 | |
Series 2006-24CB, Class A16 5.75%, 08/25/2036 | | | | | | | 373 | | | | 204,874 | |
Series 2006-26CB, Class A6 6.25%, 09/25/2036 | | | | | | | 192 | | | | 101,335 | |
Series 2006-26CB, Class A8 6.25%, 09/25/2036 | | | | | | | 726 | | | | 382,933 | |
Series 2006-42, Class 1A6 6.00%, 01/25/2047 | | | | | | | 845 | | | | 477,358 | |
Series 2006-HY12, Class A5 4.151%, 08/25/2036 | | | | | | | 2,046 | | | | 1,919,761 | |
Series 2006-J1, Class 1A10 5.50%, 02/25/2036 | | | | | | | 688 | | | | 489,075 | |
Series 2006-J5, Class 1A1 6.50%, 09/25/2036 | | | | | | | 635 | | | | 370,772 | |
Series 2007-15CB, Class A19 5.75%, 07/25/2037 | | | | | | | 357 | | | | 206,400 | |
Series 2007-16CB, Class 1A7 6.00%, 08/25/2037 | | | | | | | 353 | | | | 268,131 | |
Bear Stearns ARM Trust Series 2007-3, Class 1A1 3.884%, 05/25/2047 | | | | | | | 315 | | | | 282,605 | |
Series 2007-4, Class 22A1 4.068%, 06/25/2047 | | | | | | | 1,277 | | | | 1,154,091 | |
ChaseFlex Trust Series 2007-1, Class 1A3 6.50%, 02/25/2037 | | | | | | | 474 | | | | 178,297 | |
CHL Mortgage Pass-Through Trust Series 2007-HY4, Class 1A1 3.762%, 09/25/2047 | | | | | | | 340 | | | | 299,933 | |
33
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Citigroup Mortgage Loan Trust Series 2007-AR4, Class 1A1A 4.00%, 03/25/2037 | | | U.S.$ | | | | 207 | | | $ | 179,433 | |
CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A4 5.75%, 03/25/2037 | | | | | | | 555 | | | | 498,572 | |
First Horizon Alternative Mortgage Securities Trust Series 2006-AA3, Class A1 5.515%, 06/25/2036 | | | | | | | 263 | | | | 206,965 | |
Residential Accredit Loans, Inc. Trust Series 2005-QA10, Class A31 4.654%, 09/25/2035 | | | | | | | 1,202 | | | | 805,012 | |
Series 2005-QS14, Class 3A1 6.00%, 09/25/2035 | | | | | | | 746 | | | | 645,840 | |
Residential Asset Securitization Trust Series 2006-A8, Class 3A4 6.00%, 08/25/2036 | | | | | | | 495 | | | | 243,686 | |
Series 2007-A1, Class A8 6.00%, 03/25/2037 | | | | | | | 856 | | | | 286,794 | |
Series 2007-A5, Class 2A3 6.00%, 05/25/2037 | | | | | | | 214 | | | | 118,712 | |
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2006-9, Class A4 4.299%, 10/25/2036 | | | | | | | 1,567 | | | | 440,357 | |
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR7, Class A1 4.379%, 12/28/2037 | | | | | | | 1,148 | | | | 1,036,544 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,869,036 | |
| | | | | | | | | | | | |
|
Non-Agency Floating Rate – 0.1% | |
Alternative Loan Trust Series 2007-7T2, Class A3 6.00% (SOFR + 0.71%), 04/25/2037(l) | | | | | | | 2,055 | | | | 674,590 | |
CHL Mortgage Pass-Through Trust Series 2007-13, Class A7 6.00% (SOFR + 0.71%), 08/25/2037(l) | | | | | | | 305 | | | | 116,447 | |
First Horizon Alternative Mortgage Securities Trust Series 2007-FA2, Class 1A10 5.663% (SOFR + 0.36%), 04/25/2037(l) | | | | | | | 905 | | | | 221,218 | |
Lehman Mortgage Trust Series 2007-1, Class 3A1 5.663% (SOFR + 0.36%), 02/25/2037(l) | | | | | | | 2,853 | | | | 343,009 | |
Series 2007-1, Class 3A2 1.838% (7.14% - SOFR), 02/25/2037(l) (o) | | | | | | | 2,853 | | | | 217,169 | |
Lehman XS Trust Series 2007-16N, Class 2A2 7.113% (SOFR + 1.81%), 09/25/2047 (l) | | | | | | | 360 | | | | 311,367 | |
PHH Alternative Mortgage Trust Series 2007-1, Class 1A1 5.733% (SOFR + 0.43%), 02/25/2037(l) | | | | | | | 389 | | | | 290,279 | |
34
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Series 2007-2, Class 1A3 6.073% (SOFR + 0.77%), 05/25/2037(l) | | U.S.$ | | | | | 208 | | | $ | 192,106 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,366,185 | |
| | | | | | | | | | | | |
| | | |
Total Collateralized Mortgage Obligations (cost $148,141,278) | | | | | | | | | | | 152,372,714 | |
| | | | | | | | | | | | |
| | | |
COLLATERALIZED LOAN OBLIGATIONS – 3.4% | | | | | | | | | | | | |
CLO - Floating Rate – 3.4% | | | | | | | | | | | | |
Ares XXXIV CLO Ltd. Series 2015-2A, Class CR 7.57% (SOFR + 2.26%), 04/17/2033(a) (l) | | | | | | | 11,494 | | | | 11,090,084 | |
Ballyrock CLO 15 Ltd. Series 2021-1A, Class D 11.79% (SOFR + 6.48%), 04/15/2034(a) (l) | | | | | | | 2,000 | | | | 1,917,124 | |
Bristol Park CLO Ltd. Series 2016-1A, Class DR 8.52% (SOFR + 3.21%), 04/15/2029(a) (l) | | | | | | | 5,000 | | | | 4,824,885 | |
Dryden 49 Senior Loan Fund Series 2017-49A, Class E 11.872% (SOFR + 6.56%), 07/18/2030(a) (l) | | | | | | | 2,424 | | | | 2,057,486 | |
Dryden 57 CLO Ltd. Series 2018-57A, Class E 10.521% (LIBOR 3 Month + 5.20%), 05/15/2031(a) (l) | | | | | | | 1,741 | | | | 1,491,656 | |
Dryden 78 CLO Ltd. Series 2020-78A, Class C 7.52% (SOFR + 2.21%), 04/17/2033(a) (l) | | | | | | | 2,270 | | | | 2,186,242 | |
Series 2020-78A, Class D 8.57% (SOFR + 3.26%), 04/17/2033(a) (l) | | | | | | | 11,286 | | | | 10,859,980 | |
Dryden 98 CLO Ltd. Series 2022-98A, Class E 11.726% (SOFR + 6.40%), 04/20/2035(a) (l) | | | | | | | 4,009 | | | | 3,639,685 | |
Elevation CLO Ltd. Series 2020-11A, Class C 7.77% (LIBOR 3 Month + 2.20%), 04/15/2033(a) (l) | | | | | | | 3,505 | | | | 3,327,299 | |
Series 2020-11A, Class D1 9.42% (LIBOR 3 Month + 3.85%), 04/15/2033(a) (l) | | | | | | | 5,438 | | | | 4,955,363 | |
Elmwood CLO IX Ltd. Series 2021-2A, Class E 11.538% (SOFR + 6.21%), 07/20/2034(a) (l) | | | | | | | 800 | | | | 790,375 | |
Elmwood CLO VII Ltd. Series 2020-4A, Class E 12.67% (SOFR + 7.36%), 01/17/2034(a) (l) | | | | | | | 2,122 | | | | 2,123,230 | |
35
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Elmwood CLO VIII Ltd. Series 2021-1A, Class E1 11.588% (SOFR + 6.26%), 01/20/2034(a) (l) | | | U.S.$ | | | | 1,786 | | | $ | 1,721,653 | |
Elmwood CLO XII Ltd. Series 2021-5A, Class E 11.938% (SOFR + 6.61%), 01/20/2035(a) (l) | | | | | | | 3,650 | | | | 3,649,905 | |
Flatiron CLO 21 Ltd. Series 2021-1A, Class E 11.582% (LIBOR 3 Month + 6.00%), 07/19/2034(a) (l) | | | | | | | 350 | | | | 338,177 | |
LCM 28 Ltd. Series 28A, Class D 8.538% (SOFR + 3.21%), 10/20/2030(a) (l) | | | | | | | 500 | | | | 418,562 | |
Madison Park Funding LI Ltd. Series 2021-51A, Class E 11.852% (SOFR + 6.53%), 07/19/2034(a) (l) | | | | | | | 1,600 | | | | 1,526,966 | |
OCP CLO Ltd. Series 2021-21A, Class E 11.868% (SOFR + 6.54%), 07/20/2034(a) (l) | | | | | | | 2,250 | | | | 2,086,695 | |
Octagon Investment Partners 29 Ltd. Series 2016-1A, Class CR 7.557% (SOFR + 2.21%), 01/24/2033(a) (l) | | | | | | | 8,719 | | | | 8,400,019 | |
Series 2016-1A, Class DR 8.707% (SOFR + 3.36%), 01/24/2033(a) (l) | | | | | | | 7,987 | | | | 7,518,969 | |
OZLM XXII Ltd. Series 2018-22A, Class D 10.87% (SOFR + 5.56%), 01/17/2031(a) (l) | | | | | | | 968 | | | | 803,317 | |
Palmer Square CLO Ltd. Series 2021-1A, Class D 11.588% (SOFR + 6.26%), 04/20/2034(a) (l) | | | | | | | 6,063 | | | | 5,740,101 | |
Rad CLO 4 Ltd. Series 2019-4A, Class E 12.363% (SOFR + 7.01%), 04/25/2032(a) (l) | | | | | | | 3,086 | | | | 2,962,489 | |
Rad CLO 7 Ltd. Series 2020-7A, Class C 7.57% (SOFR + 2.26%), 04/17/2033(a) (l) | | | | | | | 2,940 | | | | 2,875,908 | |
Rad CLO 10 Ltd. Series 2021-10A, Class E 11.457% (SOFR + 6.11%), 04/23/2034(a) (l) | | | | | | | 3,793 | | | | 3,549,582 | |
36
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Rad CLO 11 Ltd. Series 2021-11A, Class E 11.82% (SOFR + 6.51%), 04/15/2034(a) (l) | | | U.S.$ | | | | 1,545 | | | $ | 1,456,557 | |
Regatta XIX Funding Ltd. Series 2022-1A, Class E 12.206% (SOFR + 6.88%), 04/20/2035(a) (l) | | | | | | | 1,451 | | | | 1,369,085 | |
Rockford Tower CLO Ltd. Series 2019-1A, Class ER 11.908% (SOFR + 6.58%), 04/20/2034(a) (l) | | | | | | | 2,000 | | | | 1,733,002 | |
Series 2021-2A, Class E 11.988% (SOFR + 6.66%), 07/20/2034(a) (l) | | | | | | | 1,100 | | | | 985,931 | |
Series 2021-3A, Class E 12.308% (SOFR + 6.98%), 10/20/2034(a) (l) | | | | | | | 4,738 | | | | 4,161,026 | |
Sixth Street CLO XX Ltd. Series 2021-20A, Class E 11.738% (SOFR + 6.41%), 10/20/2034 (a) (l) | | | | | | | 3,021 | | | | 2,862,492 | |
Trimaran Cavu Ltd. Series 2019-1A, Class E 12.628% (SOFR + 7.30%), 07/20/2032(a) (l) | | | | | | | 2,469 | | | | 2,213,806 | |
| | | | | | | | | | | | |
| | | |
Total Collateralized Loan Obligations (cost $111,320,004) | | | | | | | | | | | 105,637,651 | |
| | | | | | | | | | | | |
| | | |
EMERGING MARKETS - SOVEREIGNS – 3.0% | | | | | | | | | | | | |
Angola – 0.4% | | | | | | | | | | | | |
Angolan Government International Bond 8.00%, 11/26/2029(a) | | | | | | | 6,204 | | | | 5,473,231 | |
9.125%, 11/26/2049(a) | | | | | | | 286 | | | | 231,002 | |
9.50%, 11/12/2025(a) | | | | | | | 5,861 | | | | 5,870,084 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,574,317 | |
| | | | | | | | | | | | |
Argentina – 0.1% | |
Argentine Republic Government International Bond 0.75%, 07/09/2030(h) | | | | | | | 1,687 | | | | 579,812 | |
1.00%, 07/09/2029 | | | | | | | 2,895 | | | | 968,224 | |
3.50%, 07/09/2041(h) | | | | | | | 991 | | | | 320,092 | |
3.625%, 07/09/2035(h) | | | | | | | 2,063 | | | | 642,774 | |
4.25%, 01/09/2038(h) | | | | | | | 4,145 | | | | 1,490,074 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,000,976 | |
| | | | | | | | | | | | |
Bahrain – 0.3% | |
Bahrain Government International Bond 5.45%, 09/16/2032(a) | | | | | | | 468 | | | | 428,300 | |
6.75%, 09/20/2029(a) | | | | | | | 1,973 | | | | 1,981,721 | |
7.00%, 10/12/2028(a) | | | | | | | 1,673 | | | | 1,725,883 | |
7.375%, 05/14/2030(a) | | | | | | | 571 | | | | 590,391 | |
37
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
CBB International Sukuk Programme Co. WLL 6.25%, 11/14/2024(a) | | | U.S.$ | | | | 3,791 | | | $ | 3,788,498 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,514,793 | |
| | | | | | | | | | | | |
Dominican Republic – 0.4% | |
Dominican Republic International Bond 8.625%, 04/20/2027(a) | | | | | | | 12,151 | | | | 12,725,256 | |
| | | | | | | | | | | | |
| | | |
Ecuador – 0.0% | | | | | | | | | | | | |
Ecuador Government International Bond 3.50%, 07/31/2035(a) (h) | | | | | | | 2,564 | | | | 878,351 | |
| | | | | | | | | | | | |
| | | |
Egypt – 0.1% | | | | | | | | | | | | |
Egypt Government International Bond 8.70%, 03/01/2049(a) | | | | | | | 612 | | | | 356,276 | |
8.875%, 05/29/2050(a) | | | | | | | 4,471 | | | | 2,629,395 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,985,671 | |
| | | | | | | | | | | | |
El Salvador – 0.1% | |
El Salvador Government International Bond 6.375%, 01/18/2027(a) | | | | | | | 3,407 | | | | 2,481,352 | |
7.125%, 01/20/2050(a) | | | | | | | 2,430 | | | | 1,491,364 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,972,716 | |
| | | | | | | | | | | | |
Gabon – 0.1% | |
Gabon Government International Bond 6.625%, 02/06/2031(a) | | | | | | | 4,626 | | | | 3,906,981 | |
| | | | | | | | | | | | |
| | | |
Ivory Coast – 0.4% | | | | | | | | | | | | |
Ivory Coast Government International Bond 4.875%, 01/30/2032(a) | | | EUR | | | | 7,815 | | | | 6,958,368 | |
6.375%, 03/03/2028(a) | | | U.S.$ | | | | 3,087 | | | | 3,010,689 | |
6.625%, 03/22/2048(a) | | | EUR | | | | 732 | | | | 604,889 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,573,946 | |
| | | | | | | | | | | | |
|
Nigeria – 0.5% | |
Nigeria Government International Bond 6.125%, 09/28/2028(a) | | | U.S.$ | | | | 7,667 | | | | 6,635,789 | |
7.143%, 02/23/2030(a) | | | | | | | 5,188 | | | | 4,534,001 | |
7.625%, 11/28/2047(a) | | | | | | | 1,784 | | | | 1,327,992 | |
7.696%, 02/23/2038(a) | | | | | | | 671 | | | | 528,258 | |
7.875%, 02/16/2032(a) | | | | | | | 1,321 | | | | 1,152,823 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,178,863 | |
| | | | | | | | | | | | |
|
Oman – 0.1% | |
Oman Government International Bond 4.875%, 02/01/2025(a) | | | | | | | 415 | | | | 408,555 | |
6.25%, 01/25/2031(a) | | | | | | | 1,630 | | | | 1,671,272 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,079,827 | |
| | | | | | | | | | | | |
38
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
|
Senegal – 0.3% | |
Senegal Government International Bond 4.75%, 03/13/2028(a) | | | EUR | | | | 1,709 | | | $ | 1,671,561 | |
6.25%, 05/23/2033(a) | | | U.S.$ | | | | 5,674 | | | | 4,877,313 | |
6.75%, 03/13/2048(a) | | | | | | | 3,641 | | | | 2,717,388 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,266,262 | |
| | | | | | | | | | | | |
|
Ukraine – 0.1% | |
Ukraine Government International Bond 7.253%, 03/15/2035(a) (h) | | | | | | | 3,980 | | | | 1,190,935 | |
7.375%, 09/25/2034(a) (h) | | | | | | | 3,486 | | | | 1,028,370 | |
7.75%, 09/01/2025(a) (h) | | | | | | | 5,795 | | | | 1,909,453 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,128,758 | |
| | | | | | | | | | | | |
|
Venezuela – 0.1% | |
Venezuela Government International Bond 7.65%, 04/21/2025(a) (c) (k) | | | | | | | 6,636 | | | | 530,880 | |
9.00%, 05/07/2023(a) (b) (c) | | | | | | | 538 | | | | 43,040 | |
9.25%, 09/15/2027(c) (k) | | | | | | | 34,020 | | | | 2,721,600 | |
9.25%, 05/07/2028(a) (c) (k) | | | | | | | 1,500 | | | | 120,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,415,520 | |
| | | | | | | | | | | | |
| | | |
Total Emerging Markets - Sovereigns (cost $139,300,974) | | | | | | | | | | | 92,202,237 | |
| | | | | | | | | | | | |
| | | |
GOVERNMENTS - TREASURIES – 1.4% | | | | | | | | | | | | |
United States – 1.4% | | | | | | | | | | | | |
U.S. Treasury Bonds 6.125%, 11/15/2027(p) (q) | | | | | | | 9,763 | | | | 10,441,726 | |
U.S. Treasury Notes 2.375%, 05/15/2029(i) (p) (q) | | | | | | | 15,542 | | | | 14,128,831 | |
3.125%, 11/15/2028(p) (q) | | | | | | | 12,054 | | | | 11,451,110 | |
4.00%, 02/29/2028(q) | | | | | | | 7,478 | | | | 7,406,924 | |
| | | | | | | | | | | | |
| | | |
Total Governments - Treasuries (cost $46,609,822) | | | | | | | | | | | 43,428,591 | |
| | | | | | | | | | | | |
| | |
| | Shares | | | | |
| | | |
COMMON STOCKS – 1.2% | | | | | | | | | | | | |
Energy – 0.4% | | | | | | | | | | | | |
Energy Equipment & Services – 0.0% | | | | | | | | | | | | |
BIS Industries Holdings Ltd.(c) (d) (e) | | | | | | | 5,004,988 | | | | 5 | |
CHC Group LLC(c) | | | | | | | 104,383 | | | | 157 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 162 | |
| | | | | | | | | | | | |
|
Oil, Gas & Consumable Fuels – 0.4% | |
Athabasca Oil Corp.(c) | | | | | | | 953,516 | | | | 2,458,540 | |
Battalion Oil Corp.(c) | | | | | | | 135 | | | | 1,131 | |
Berry Corp. | | | | | | | 211,000 | | | | 1,645,800 | |
Civitas Resources, Inc. | | | | | | | 24,592 | | | | 1,840,957 | |
Golden Energy Offshore Services AS^(c) | | | | | | | 3,360,247 | | | | 405,814 | |
39
| | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | |
Gulfport Energy Corp.(c) | | | 58,376 | | | $ | 5,980,621 | |
SandRidge Energy, Inc. | | | 1,446 | | | | 24,698 | |
| | | | | | | | |
| | | | | | | 12,357,561 | |
| | | | | | | | |
| | | | | | | 12,357,723 | |
| | | | | | | | |
| | |
Consumer Staples – 0.3% | | | | | | | | |
Household Products – 0.3% | | | | | | | | |
Southeastern Grocers, Inc.(c) (d) (e) | | | 508,189 | | | | 11,815,394 | |
| | | | | | | | |
| | |
Consumer Discretionary – 0.2% | | | | | | | | |
Broadline Retail – 0.2% | | | | | | | | |
ATD New Holdings, Inc.(c) (e) | | | 161,762 | | | | 6,470,480 | |
K201640219 South Africa Ltd. A Shares(c) (d) (e) | | | 64,873,855 | | | | 65 | |
K201640219 South Africa Ltd. B Shares(c) (d) (e) | | | 10,275,684 | | | | 10 | |
| | | | | | | | |
| | | | | | | 6,470,555 | |
| | | | | | | | |
| | |
Diversified Consumer Services – 0.0% | | | | | | | | |
AG Tracker(c) (d) (e) | | | 341,874 | | | | 0 | |
Monitronics International, Inc.(c) | | | 129,032 | | | | 13 | |
| | | | | | | | |
| | | | | | | 13 | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure – 0.0% | |
Caesars Entertainment, Inc.(c) | | | 4,628 | | | | 273,145 | |
| | | | | | | | |
|
Leisure Products – 0.0% | |
New Cotai LLC/New Cotai Capital Corp.(c) (d) (e) | | | 14 | | | | 0 | |
| | | | | | | | |
| | | | | | | 6,743,713 | |
| | | | | | | | |
|
Communication Services – 0.1% | |
Diversified Telecommunication Services – 0.1% | |
Intelsat Emergence SA(c) (e) | | | 87,947 | | | | 1,788,227 | |
Intelsat Jackson Holdings SA(c) (d) (e) | | | 9,209 | | | | 0 | |
| | | | | | | | |
| | | | | | | 1,788,227 | |
| | | | | | | | |
|
Media – 0.0% | |
iHeartMedia, Inc. - Class A(c) | | | 164,799 | | | | 779,499 | |
| | | | | | | | |
| | | | | | | 2,567,726 | |
| | | | | | | | |
|
Financials – 0.1% | |
Financial Services – 0.0% | |
Paysafe Ltd.(c) | | | 46,898 | | | | 564,183 | |
| | | | | | | | |
| | |
Insurance – 0.1% | | | | | | | | |
Mt Logan Re Ltd. (Special Investment)(c) (d) (e) | | | 2,575 | | | | 1,800,976 | |
| | | | | | | | |
| | | | | | | 2,365,159 | |
| | | | | | | | |
40
| | | | | | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | |
Industrials – 0.1% | | | | | | | | | | | | |
Electrical Equipment – 0.1% | | | | | | | | | | | | |
Exide Corp.(c) (d) (e) | | | | | | | 4,045 | | | $ | 1,921,375 | |
| | | | | | | | | | | | |
| | | |
Information Technology – 0.0% | | | | | | | | | | | | |
IT Services – 0.0% | | | | | | | | | | | | |
GOLO Mobile, Inc.(c) (d) (e) | | | | | | | 168,790 | | | | 0 | |
| | | | | | | | | | | | |
| | | |
Total Common Stocks (cost $83,993,958) | | | | | | | | | | | 37,771,090 | |
| | | | | | | | | | | | |
| | |
| | Principal Amount (000) | | | | |
| | | |
QUASI-SOVEREIGNS – 0.8% | | | | | | | | | | | | |
Quasi-Sovereign Bonds – 0.8% | | | | | | | | | | | | |
Mexico – 0.5% | | | | | | | | | | | | |
Comision Federal de Electricidad 4.688%, 05/15/2029(a) | | U.S.$ | | | | | 2,363 | | | | 2,149,408 | |
Petroleos Mexicanos 5.95%, 01/28/2031 | | | | | | | 3,818 | | | | 2,825,320 | |
6.49%, 01/23/2027 | | | | | | | 1,276 | | | | 1,132,131 | |
6.50%, 01/23/2029 | | | | | | | 1,268 | | | | 1,053,391 | |
6.70%, 02/16/2032 | | | | | | | 3,899 | | | | 3,001,840 | |
6.75%, 09/21/2047 | | | | | | | 6,363 | | | | 4,078,683 | |
7.69%, 01/23/2050 | | | | | | | 2,298 | | | | 1,583,667 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,824,440 | |
| | | | | | | | | | | | |
Panama – 0.0% | |
Aeropuerto Internacional de Tocumen SA 5.125%, 08/11/2061(a) | | | | | | | 223 | | | | 180,389 | |
| | | | | | | | | | | | |
| | | |
South Africa – 0.3% | | | | | | | | | | | | |
Eskom Holdings SOC Ltd. 7.125%, 02/11/2025(a) | | | | | | | 1,951 | | | | 1,935,938 | |
Transnet SOC Ltd. 8.25%, 02/06/2028(a) | | | | | | | 4,870 | | | | 4,841,170 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,777,108 | |
| | | | | | | | | | | | |
Trinidad & Tobago – 0.0% | |
Trinidad Generation UnLtd. 5.25%, 11/04/2027(a) | | | | | | | 202 | | | | 195,039 | |
| | | | | | | | | | | | |
| | | |
Venezuela – 0.0% | | | | | | | | | | | | |
Petroleos de Venezuela SA 6.00%, 11/15/2026(a) (c) (k) | | | | | | | 5,000 | | | | 175,000 | |
| | | | | | | | | | | | |
| | | |
Total Quasi-Sovereigns (cost $27,435,318) | | | | | | | | | | | 23,151,976 | |
| | | | | | | | | | | | |
| | | |
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.4% | | | | | | | | | | | | |
United States – 0.4% | | | | | | | | | | | | |
State of California Series 2010 7.60%, 11/01/2040 | | | | | | | 1,200 | | | | 1,503,790 | |
7.625%, 03/01/2040 | | | | | | | 1,250 | | | | 1,547,218 | |
State of Illinois Series 2010 7.35%, 07/01/2035 | | | | | | | 3,531 | | | | 3,779,258 | |
41
| | | | | | | | | | | | |
| | Principal Amount (000) | | | U.S. $ Value | |
| | | |
Wisconsin Public Finance Authority (Catholic Bishop of Chicago (The)) Series 2021 5.75%, 07/25/2041(g) | | | U.S.$ | | | | 7,240 | | | $ | 6,361,107 | |
| | | | | | | | | | | | |
| | | |
Total Local Governments - US Municipal Bonds (cost $13,263,967) | | | | | | | | | | | 13,191,373 | |
| | | | | | | | | | | | |
| | | |
INFLATION-LINKED SECURITIES – 0.4% | | | | | | | | | | | | |
Colombia – 0.4% | | | | | | | | | | | | |
Fideicomiso PA Concesion Ruta al Mar 6.75%, 02/15/2044(r) | | | COP | | | | 14,562,910 | | | | 2,154,167 | |
Fideicomiso PA Costera 6.25%, 01/15/2034(a) | | | | | | | 7,580,000 | | | | 1,862,059 | |
Fideicomiso PA Pacifico Tres 7.00%, 01/15/2035(g) | | | | | | | 36,247,335 | | | | 7,765,305 | |
| | | | | | | | | | | | |
| | | |
Total Inflation-Linked Securities (cost $18,047,672) | | | | | | | | | | | 11,781,531 | |
| | | | | | | | | | | | |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.4% | | | | | | | | | | | | |
Non-Agency Fixed Rate CMBS – 0.3% | | | | | | | | | | | | |
Commercial Mortgage Trust Series 2012-CR3, Class F 4.75%, 10/15/2045(a) | | | U.S.$ | | | | 1,000 | | | | 183,118 | |
Series 2014-CR15, Class XA 0.605%, 02/10/2047(s) | | | | | | | 5,968 | | | | 5,604 | |
GS Mortgage Securities Trust Series 2011-GC5, Class C 5.152%, 08/10/2044(a) | | | | | | | 7,937 | | | | 5,515,980 | |
Series 2013-GC13, Class D 3.946%, 07/10/2046(a) | | | | | | | 1,500 | | | | 595,306 | |
Series 2014-GC18, Class D 5.056%, 01/10/2047(a) | | | | | | | 908 | | | | 244,581 | |
WF-RBS Commercial Mortgage Trust Series 2011-C4, Class D 4.847%, 06/15/2044(a) | | | | | | | 2,576 | | | | 2,112,320 | |
Series 2014-C20, Class D 3.986%, 05/15/2047(a) | | | | | | | 3,701 | | | | 1,066,929 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,723,838 | |
| | | | | | | | | | | | |
| | | |
Non-Agency Floating Rate CMBS – 0.1% | | | | | | | | | | | | |
Morgan Stanley Capital I Trust Series 2019-BPR, Class E 10.564% (SOFR + 5.34%), 05/15/2036(a) (l) | | | | | | | 1,702 | | | | 1,496,287 | |
| | | | | | | | | | | | |
| | | |
Total Commercial Mortgage-Backed Securities (cost $17,329,670) | | | | | | | | | | | 11,220,125 | |
| | | | | | | | | | | | |
42
| | | | | | | | | | | | |
Company | | Shares | | | U.S. $ Value | |
| | | |
PREFERRED STOCKS – 0.2% | | | | | | | | | | | | |
Industrials – 0.2% | | | | | | | | | | | | |
Industrial Conglomerates – 0.2% | | | | | | | | | | | | |
WESCO International, Inc. Series A 10.625% (cost $5,716,711) | | | | | | | 211,900 | | | $ | 5,746,728 | |
| | | | | | | | | | | | |
| | |
| | Principal Amount (000) | | | | |
| | | |
ASSET-BACKED SECURITIES – 0.1% | | | | | | | | | | | | |
Other ABS - Fixed Rate – 0.1% | | | | | | | | | | | | |
Consumer Loan Underlying Bond Club Certificate Issuer Trust I | | | | | | | | | | | | |
Series 2018-12, Class PT 0.00%, 06/15/2043(g) | | U.S.$ | | | | | 6 | | | | 5,395 | |
Series 2019-24, Class PT 10.201%, 08/15/2044(g) | | | | | | | 135 | | | | 129,982 | |
Series 2019-36, Class PT 12.609%, 10/17/2044(g) | | | | | | | 263 | | | | 255,179 | |
Pagaya AI Debt Trust Series 2022-6, Class A 11.00%, 05/15/2030(a) | | | | | | | 2,006 | | | | 2,016,249 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,406,805 | |
| | | | | | | | | | | | |
Autos - Fixed Rate – 0.0% | | | | | | | | | | | | |
Flagship Credit Auto Trust Series 2019-1, Class E 5.06%, 06/15/2026(a) | | | | | | | 791 | | | | 767,928 | |
| | | | | | | | | | | | |
| | | |
Total Asset-Backed Securities (cost $3,195,258) | | | | | | | | | | | 3,174,733 | |
| | | | | | | | | | | | |
| | |
| | Shares | | | | |
| | | |
RIGHTS – 0.0% | | | | | | | | | | | | |
Vistra Energy Corp., expiring 12/31/2049(c) (e) | | | | | | | 45,881 | | | | 48,175 | |
Intelsat Jackson Holdings SA, Series B, expiring 12/31/2049(c) (d) (e) | | | | | | | 9,209 | | | | 0 | |
| | | | | | | | | | | | |
| | | |
Total Rights (cost $0) | | | | | | | | | | | 48,175 | |
| | | | | | | | | | | | |
| | |
| | Principal Amount (000) | | | | |
| | | |
GOVERNMENTS - SOVEREIGN BONDS – 0.0% | | | | | | | | | | | | |
Netherlands – 0.0% | | | | | | | | | | | | |
SNS Bank NV 11.25%, 12/31/2049(c) (d) (e) (m) (cost $1,373,314) | | | EUR | | | | 1,001 | | | | 0 | |
| | | | | | | | | | | | |
43
| | | | | | | | | | |
Company | | | | Shares | | | U.S. $ Value | |
| | | |
SHORT-TERM INVESTMENTS – 2.9% | | | | | | | | | | |
Investment Companies – 2.5% | | | | | | | | | | |
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(t) (u) (v) (cost $75,991,286) | | | | | 75,991,286 | | | $ | 75,991,286 | |
| | | | | | | | | | |
| | | |
| | | | Principal Amount (000) | | | | |
Time Deposits – 0.4% | | | | | | | | | | |
BBH, Grand Cayman | | | | | | | | | | |
3.83%, 08/01/2023 | | CAD | | | 77 | | | | 58,199 | |
6.27%, 08/01/2023 | | ZAR | | | 107 | | | | 5,992 | |
Citibank, New York 4.68%, 08/01/2023 | | U.S.$ | | | 11,175 | | | | 11,174,620 | |
SEB, Stockholm 2.37%, 08/01/2023 | | EUR | | | 282 | | | | 310,303 | |
3.90%, 08/01/2023 | | GBP | | | 321 | | | | 411,320 | |
| | | | | | | | | | |
| | | |
Total Time Deposits (cost $11,960,434) | | | | | | | | | 11,960,434 | |
| | | | | | | | | | |
| | | |
Total Short-Term Investments (cost $87,951,720) | | | | | | | | | 87,951,720 | |
| | | | | | | | | | |
| | | |
Total Investments – 100.0% (cost $3,491,649,941)(w) | | | | | | | | | 3,078,152,472 | |
Other assets less liabilities – 0.0% | | | | | | | | | 1,511,691 | |
| | | | | | | | | | |
| | | |
Net Assets – 100.0% | | | | | | | | $ | 3,079,664,163 | |
| | | | | | | | | | |
FUTURES
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of Contracts | | Expiration Month | | Current Notional | | Value and Unrealized Appreciation (Depreciation) |
Purchased Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Long Bond (CBT) Futures | | | | 62 | | | | | September 2023 | | | | $ | 7,715,125 | | | | $ | (76,656 | ) |
U.S. T-Note 5 Yr (CBT) Futures | | | | 2,501 | | | | | September 2023 | | | | | 267,157,603 | | | | | (5,744,444 | ) |
U.S. T-Note 10 Yr (CBT) Futures | | | | 141 | | | | | September 2023 | | | | | 15,708,281 | | | | | (291,422 | ) |
U.S. Ultra Bond (CBT) Futures | | | | 156 | | | | | September 2023 | | | | | 20,626,125 | | | | | (230,258 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (6,342,780 | ) |
| | | | | | | | | | | | | | | | | | | | |
44
FORWARD CURRENCY EXCHANGE CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Contracts to Deliver (000) | | In Exchange For (000) | | Settlement Date | | Unrealized Appreciation (Depreciation) |
Bank of America, NA | | | | COP | | | | | 65,115,083 | | | | | USD | | | | | 15,285 | | | | | 09/15/2023 | | | | $ | (1,104,871 | ) |
Morgan Stanley Capital Services LLC | | | | EUR | | | | | 105,377 | | | | | USD | | | | | 116,217 | | | | | 10/12/2023 | | | | | (55,512 | ) |
UBS AG | | | | GBP | | | | | 11,860 | | | | | USD | | | | | 15,283 | | | | | 09/14/2023 | | | | | 59,801 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,100,582 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description | | Fixed Rate (Pay) Receive | | | Payment Frequency | | | Implied Credit Spread at July 31, 2023 | | | Notional Amount (000) | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
Sale Contracts | |
CDX-NAHY Series 40, 5 Year Index, 06/20/2028* | | | 5.00 | % | | | Quarterly | | | | 4.09% | | | | USD | | | | 92,796 | | | $ | 3,803,149 | | | $ | 661,125 | | | $ | 3,142,024 | |
iTraxx Europe Crossover Series 39, 5 Year Index, 06/20/2028* | | | 5.00 | | | | Quarterly | | | | 3.81 | | | | EUR | | | | 14,870 | | | | 865,608 | | | | (72,715 | ) | | | 938,323 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 4,668,757 | | | $ | 588,410 | | | $ | 4,080,347 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* Termination date
CREDIT DEFAULT SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty & Referenced Obligation | | Fixed Rate (Pay) Receive | | | Payment Frequency | | | Implied Credit Spread at July 31, 2023 | | | Notional Amount (000) | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
Sale Contracts | |
Citigroup Global Markets, Inc. | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | % | | | Monthly | | | | 7.50 | % | | | USD | | | | 2,109 | | | $ | (437,774 | ) | | $ | (717,541 | ) | | $ | 279,767 | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 2,088 | | | | (433,397 | ) | | | (246,560 | ) | | | (186,837 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 3,443 | | | | (714,393 | ) | | | (398,345 | ) | | | (316,048 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 4,918 | | | | (1,020,595 | ) | | | (566,941 | ) | | | (453,654 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 8,832 | | | | (1,832,777 | ) | | | (1,027,233 | ) | | | (805,544 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 22,493 | | | | (4,667,712 | ) | | | (2,448,302 | ) | | | (2,219,410 | ) |
45
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swap Counterparty & Referenced Obligation | | Fixed Rate (Pay) Receive | | | Payment Frequency | | | Implied Credit Spread at July 31, 2023 | | | Notional Amount (000) | | | Market Value | | | Upfront Premiums Paid (Received) | | | Unrealized Appreciation (Depreciation) | |
Credit Suisse International | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | % | | | Monthly | | | | 7.50% | | | | USD | | | | 139 | | | $ | (28,823 | ) | | $ | (15,902 | ) | | $ | (12,921 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 4,251 | | | | (882,198 | ) | | | (483,559 | ) | | | (398,639 | ) |
Deutsche Bank AG | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 1,347 | | | | (279,704 | ) | | | (144,758 | ) | | | (134,946 | ) |
Goldman Sachs International | |
Avis Budget Car Rental LLC, 5.250%, 03/15/2025, 12/20/2023* | | | 5.00 | | | | Quarterly | | | | 0.68 | | | | USD | | | | 1,300 | | | | 29,261 | | | | 6,508 | | | | 22,753 | |
Avis Budget Car Rental LLC, 5.250%, 03/15/2025, 12/20/2023* | | | 5.00 | | | | Quarterly | | | | 0.68 | | | | USD | | | | 1,440 | | | | 32,412 | | | | 11,282 | | | | 21,130 | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 315 | | | | (65,465 | ) | | | (78,568 | ) | | | 13,103 | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 631 | | | | (131,034 | ) | | | (135,320 | ) | | | 4,286 | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 631 | | | | (131,034 | ) | | | (135,319 | ) | | | 4,285 | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 315 | | | | (65,517 | ) | | | (65,490 | ) | | | (27 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 806 | | | | (167,221 | ) | | | (94,746 | ) | | | (72,475 | ) |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 15,049 | | | | (3,122,933 | ) | | | (1,993,674 | ) | | | (1,129,259 | ) |
JPMorgan Securities, LLC | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 3,565 | | | | (739,832 | ) | | | (417,053 | ) | | | (322,779 | ) |
Morgan Stanley & Co. International PLC | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 1,577 | | | | (327,586 | ) | | | (400,089 | ) | | | 72,503 | |
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | | | 3.00 | | | | Monthly | | | | 7.50 | | | | USD | | | | 1,577 | | | | (327,323 | ) | | | (371,015 | ) | | | 43,692 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (15,313,645 | ) | | $ | (9,722,625 | ) | | $ | (5,591,020 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
46
TOTAL RETURN SWAPS
| | | | | | | | | | | | | | | | | | | | |
Counterparty & Referenced Obligation | | Rate Paid/ Received | | Payment Frequency | | Current Notional (000) | | | Maturity Date | | | Unrealized Appreciation (Depreciation) | |
Receive Total Return on Reference Obligation | |
Goldman Sachs International Markit iBoxx EUR Contingent Convertible Liquid Developed Market AT1 | | 3 Month EURIBOR | | Maturity | | | EUR | | | | 28,395 | | | | 09/20/2023 | | | $ | 2,293,286 | |
REVERSE REPURCHASE AGREEMENTS
| | | | | | | | | | | | | | | | | | | | | | | | | |
Broker | | Principal Amount (000) | | Currency | | Interest Rate | | Maturity | | U.S. $ Value at July 31, 2023 |
Barclays Capital, Inc.† | | USD | | | | 9,196 | | | | | (2.00 | )%* | | | | — | | | | $ | 9,193,796 | |
Barclays Capital, Inc.† | | USD | | | | 1,236 | | | | | (2.00 | )%* | | | | — | | | | | 1,235,931 | |
Barclays Capital, Inc.† | | USD | | | | 1,178 | | | | | 2.50 | % | | | | — | | | | | 1,181,374 | |
Barclays Capital, Inc.† | | USD | | | | 3,000 | | | | | 3.00 | % | | | | — | | | | | 3,007,667 | |
Barclays Capital, Inc.† | | USD | | | | 2,984 | | | | | 3.00 | % | | | | — | | | | | 2,993,235 | |
Barclays Capital, Inc.† | | USD | | | | 2,030 | | | | | 3.00 | % | | | | — | | | | | 2,030,169 | |
Barclays Capital, Inc.† | | USD | | | | 278 | | | | | 3.00 | % | | | | — | | | | | 277,593 | |
Barclays Capital, Inc.† | | USD | | | | 3,151 | | | | | 4.25 | % | | | | — | | | | | 3,152,676 | |
Barclays Capital, Inc.† | | USD | | | | 5,007 | | | | | 4.50 | % | | | | — | | | | | 5,009,671 | |
HSBC Securities (USA), Inc.† | | USD | | | | 4,188 | | | | | 5.43 | % | | | | — | | | | | 4,190,902 | |
Jefferies LLC† | | EUR | | | | 3,132 | | | | | 1.75 | % | | | | — | | | | | 3,446,677 | |
Jefferies LLC† | | USD | | | | 955 | | | | | 2.25 | % | | | | — | | | | | 955,439 | |
Jefferies LLC† | | USD | | | | 875 | | | | | 4.75 | % | | | | — | | | | | 875,115 | |
RBC Capital Markets† | | USD | | | | 1,478 | | | | | 1.25 | % | | | | — | | | | | 1,480,577 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 39,030,822 | |
| | | | | | | | | | | | | | | | | | | | | | |
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on July 31, 2023. |
* | Interest payment due from counterparty. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements as follows:
| | | | | | | | | | | | | | | | | | | | |
| | Overnight and Continuous | | | Up to 30 Days | | | 31-90 Days | | | Greater than 90 Days | | | Total | |
| | | | |
Corporates - Investment Grade | | $ | 955,439 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 955,439 | |
Corporates - Non-Investment Grade | | | 33,606,888 | | | | 0 | | | | 0 | | | | 0 | | | | 33,606,888 | |
Emerging Markets - Corporate Bonds | | | 277,593 | | | | 0 | | | | 0 | | | | 0 | | | | 277,593 | |
Governments - Treasuries | | | 4,190,902 | | | | 0 | | | | 0 | | | | 0 | | | | 4,190,902 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 39,030,822 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 39,030,822 | |
| | | | | | | | | | | | | | | | | | | | |
^ | Deemed an affiliated company as defined by the Investment Company Act of 1940 since the Fund owns 5% or more of the outstanding voting securities. |
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At July 31, 2023, the aggregate market value of these securities amounted to $2,045,519,626 or 66.4% of net assets. |
(b) | Defaulted matured security. |
47
(c) | Non-income producing security. |
(d) | Fair valued by the Adviser. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at July 31, 2023. |
(g) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.77% of net assets as of July 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows: |
| | | | | | | | | | | | | | |
144A/Restricted & Illiquid Securities | | Acquisition Date | | Cost | | | Market Value | | | Percentage of Net Assets | |
BBFI Liquidating Trust Zero Coupon, 12/30/2099 | | 02/04/2013 – 11/12/2019 | | $ | 1,858,018 | | | $ | 1,010,213 | | | | 0.03 | % |
CNG Holdings, Inc. 12.50%, 06/15/2024 | | 05/21/2019 | | | 4,754,178 | | | | 4,057,563 | | | | 0.13 | % |
Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2018-12, Class PT 0.00%, 06/15/2043 | | 06/26/2018 | | | 2,903 | | | | 5,395 | | | | 0.00 | % |
Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2019-24, Class PT 10.201%, 08/15/2044 | | 06/27/2019 | | | 131,657 | | | | 129,982 | | | | 0.00 | % |
Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2019-36, Class PT 12.609%, 10/17/2044 | | 09/04/2019 | | | 262,662 | | | | 255,179 | | | | 0.01 | % |
Digicel Group Holdings Ltd. 7.00%, 08/16/2023 | | 11/28/2016 – 04/03/2023 | | | 767,091 | | | | 78,775 | | | | 0.00 | % |
Exide Technologies (Exchange Priority) 11.00%, 10/31/2024 | | 10/29/2020 | | | 0 | | | | 0 | | | | 0.00 | % |
Exide Technologies (First Lien) 11.00%, 10/31/2024 | | 10/29/2020 | | | 0 | | | | 0 | | | | 0.00 | % |
Fideicomiso PA Pacifico Tres 7.00%, 01/15/2035 | | 03/04/2016 | | | 10,774,021 | | | | 7,765,305 | | | | 0.25 | % |
Intelsat Jackson Holdings SA 9.75%, 07/15/2025 | | 06/21/2017 – 11/20/2017 | | | 0 | | | | 0 | | | | 0.00 | % |
JPMorgan Madison Avenue Securities Trust Series 2015-CH1, Class M2 10.684%, 10/25/2025 | | 09/18/2015 | | | 2,090,151 | | | | 2,054,365 | | | | 0.07 | % |
K2016470219 South Africa Ltd. 3.00%, 12/31/2023 | | 01/31/2017 – 06/30/2022 | | | 5,622,018 | | | | 0 | | | | 0.00 | % |
Magnetation LLC/Mag Finance Corp. 11.00%, 05/15/2018 | | 05/15/2013 – 02/19/2015 | | | 12,955,188 | | | | 0 | | | | 0.00 | % |
Tonon Luxembourg SA 6.50%, 10/31/2024 | | 05/03/2019 – 10/31/2021 | | | 4,733,143 | | | | 244 | | | | 0.00 | % |
VTR Finance NV 6.375%, 07/15/2028 | | 06/24/2020 | | | 632,000 | | | | 267,020 | | | | 0.01 | % |
Virgolino de Oliveira Finance SA 10.50%, 01/28/2018 | | 10/19/2012 – 02/27/2014 | | | 8,550,341 | | | | 1,367 | | | | 0.00 | % |
Virgolino de Oliveira Finance SA 10.875%, 01/13/2020 | | 06/09/2014 | | | 2,486,550 | | | | 250 | | | | 0.00 | % |
Virgolino de Oliveira Finance SA 11.75%, 02/09/2022 | | 07/26/2012 – 02/05/2014 | | | 11,383,331 | | | | 1,361 | | | | 0.00 | % |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2 10.434%, 11/25/2025 | | 09/06/2016 | | | 1,408,636 | | | | 1,329,908 | | | | 0.04 | % |
48
| | | | | | | | | | | | |
144A/Restricted & Illiquid Securities | | Acquisition Date | | Cost | | | Market Value | | | Percentage of Net Assets |
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 10.684%, 11/25/2025 | | 09/28/2015 – 02/26/2018 | | $ | 681,727 | | | $ | 657,668 | | | 0.02% |
Wisconsin Public Finance Authority (Catholic Bishop of Chicago (The)) Series 2021 5.75%, 07/25/2041 | | 08/03/2021 | | | 7,240,000 | | | | 6,361,107 | | | 0.21% |
(h) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2023. |
(i) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(l) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2023. |
(m) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(n) | The stated coupon rate represents the greater of the LIBOR or an alternate base rate such as the SOFR/PRIME or the LIBOR/SOFR/PRIME floor rate plus spread July 31, 2023. |
(o) | Inverse interest only security. |
(p) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps. |
(q) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(r) | Restricted and illiquid security. |
| | | | | | | | | | | | |
Restricted & Illiquid Securities | | Acquisition Date | | Cost | | | Market Value | | | Percentage of Net Assets |
Fideicomiso PA Concesion Ruta al Mar 6.75%, 02/15/2044 | | 12/14/2017 | | $ | 4,831,867 | | | $ | 2,154,167 | | | 0.07% |
(t) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(u) | The rate shown represents the 7-day yield as of period end. |
(v) | Affiliated investments. |
(w) | As of July 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $67,766,182 and gross unrealized depreciation of investments was $(487,924,400), resulting in net unrealized depreciation of $(420,158,218). |
Currency Abbreviations:
CAD – Canadian Dollar
COP – Colombian Peso
EUR – Euro
GBP – Great British Pound
USD – United States Dollar
ZAR – South African Rand
Glossary:
ABS – Asset-Backed Securities
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
49
EURIBOR – Euro Interbank Offered Rate
JSC – Joint Stock Company
LIBOR – London Interbank Offered Rate
REIT – Real Estate Investment Trust
SOFR – Secured Overnight Financing Rate
COUNTRY BREAKDOWN1
July 31, 2023 (unaudited)
| | | | |
| 68.6 | % | | United States |
| 4.8 | % | | United Kingdom |
| 2.3 | % | | Canada |
| 1.7 | % | | Brazil |
| 1.6 | % | | Germany |
| 1.5 | % | | France |
| 1.4 | % | | Luxembourg |
| 1.0 | % | | Italy |
| 1.0 | % | | Spain |
| 0.9 | % | | Mexico |
| 0.9 | % | | India |
| 0.8 | % | | Colombia |
| 0.7 | % | | Hong Kong |
| 9.9 | % | | Other |
| 2.9 | % | | Short-Term Investments |
| | | | |
| 100.0 | % | | Total Investments |
| | | | |
1 | The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.6% or less in the following: Angola, Argentina, Australia, Bahrain, Cayman Islands, Chile, China, Czech Republic, Dominican Republic, Ecuador, Egypt, El Salvador, Gabon, Ghana, Guatemala, Indonesia, Ireland, Israel, Ivory Coast, Jamaica, Japan, Jersey (Channel Islands), Kazakhstan, Macau, Netherlands, Nigeria, Norway, Oman, Panama, Peru, Senegal, Slovenia, South Africa, South Korea, Sweden, Switzerland, Trinidad & Tobago, Turkey, Ukraine, United Republic of Tanzania, Venezuela and Zambia. |
50
AB High Income Fund
July 31, 2023 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
| • | | Level 1 - 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.) |
| • | | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
51
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2023:
| | | | | | | | | | | | | | | | |
Investments in Securities | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Corporates - Non-Investment Grade | | $ | -0- | | | $ | 1,666,182,961 | | | $ | 5,469,506 | # | | $ | 1,671,652,467 | |
Corporates - Investment Grade | | | 8,971,000 | | | | 455,296,477 | | | | -0- | | | | 464,267,477 | |
Emerging Markets - Corporate Bonds | | | -0- | | | | 191,925,466 | | | | 1,013,191 | # | | | 192,938,657 | |
Bank Loans | | | -0- | | | | 148,008,786 | | | | 13,606,441 | | | | 161,615,227 | |
Collateralized Mortgage Obligations | | | -0- | | | | 152,372,714 | | | | -0- | | | | 152,372,714 | |
Collateralized Loan Obligations | | | -0- | | | | 105,637,651 | | | | -0- | | | | 105,637,651 | |
Emerging Markets - Sovereigns | | | -0- | | | | 92,202,237 | | | | -0- | | | | 92,202,237 | |
Governments - Treasuries | | | -0- | | | | 43,428,591 | | | | -0- | | | | 43,428,591 | |
Common Stocks | | | 13,974,388 | | | | 170 | | | | 23,796,532 | # | | | 37,771,090 | |
Quasi-Sovereigns | | | -0- | | | | 23,151,976 | | | | -0- | | | | 23,151,976 | |
Local Governments - US Municipal Bonds | | | -0- | | | | 13,191,373 | | | | -0- | | | | 13,191,373 | |
Inflation-Linked Securities | | | -0- | | | | 11,781,531 | | | | -0- | | | | 11,781,531 | |
Commercial Mortgage-Backed Securities | | | -0- | | | | 11,220,125 | | | | -0- | | | | 11,220,125 | |
Preferred Stocks | | | 5,746,728 | | | | -0- | | | | -0- | | | | 5,746,728 | |
Asset-Backed Securities | | | -0- | | | | 3,174,733 | | | | -0- | | | | 3,174,733 | |
Rights | | | -0- | | | | -0- | | | | 48,175 | # | | | 48,175 | |
Governments - Sovereign Bonds | | | -0- | | | | -0- | | | | 0 | # | | | 0 | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Investment Companies | | | 75,991,286 | | | | -0- | | | | -0- | | | | 75,991,286 | |
Time Deposits | | | -0- | | | | 11,960,434 | | | | -0- | | | | 11,960,434 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | | 104,683,402 | | | | 2,929,535,225 | | | | 43,933,845 | | | | 3,078,152,472 | |
Other Financial Instruments*: | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | -0- | | | | 59,801 | | | | -0- | | | | 59,801 | |
Centrally Cleared Credit Default Swaps | | | -0- | | | | 4,668,757 | | | | -0- | | | | 4,668,757 | |
Credit Default Swaps | | | -0- | | | | 61,673 | | | | -0- | | | | 61,673 | |
Total Return Swaps | | | -0- | | | | 2,293,286 | | | | -0- | | | | 2,293,286 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures | | | (6,342,780 | ) | | | -0- | | | | -0- | | | | (6,342,780 | ) |
Forward Currency Exchange Contracts | | | -0- | | | | (1,160,383 | ) | | | -0- | | | | (1,160,383 | ) |
Credit Default Swaps | | | -0- | | | | (15,375,318 | ) | | | -0- | | | | (15,375,318 | ) |
Reverse Repurchase Agreements | | | (39,030,861 | ) | | | -0- | | | | -0- | | | | (39,030,861 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 59,309,761 | | | $ | 2,920,083,041 | | | $ | 43,933,845 | | | $ | 3,023,326,647 | |
| | | | | | | | | | | | | | | | |
# | The Fund held securities with zero market value at period end. |
* | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
52
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
| | | | | | | | | | | | | | | | |
| | Corporates - Non- Investment Grade# | | | Emerging Markets - Corporate Bonds# | | | Bank Loans | | | Common Stocks# | |
Balance as of 10/31/22 | | $ | 903,863 | | | $ | 1,307,709 | | | $ | 26,419,137 | | | $ | 12,067,358 | |
Accrued discounts/(premiums) | | | 899 | | | | 2,855 | | | | - 0 - | | | | - 0 - | |
Realized gain (loss) | | | - 0 - | | | | 6,034 | | | | (273,990 | ) | | | 88,519 | |
Change in unrealized appreciation (depreciation) | | | (495,297 | ) | | | (300,538 | ) | | | 2,209,404 | | | | (2,030,401 | ) |
Purchases | | | 5,060,041 | | | | - 0 - | | | | 4,236,350 | | | | - 0 - | |
Sales | | | - 0 - | | | | (6,034 | ) | | | (16,887,087 | ) | | | (88,702 | ) |
Transfers into Level 3 | | | - 0 - | | | | 3,165 | | | | 8,649,874 | | | | 13,759,758 | |
Transfers out of Level 3 | | | - 0 - | | | | - 0 - | | | | (10,747,247 | ) | | | - 0 - | |
| | | | | | | | | | | | | | | | |
Balance as of 07/31/23 | | $ | 5,469,506 | | | $ | 1,013,191 | | | $ | 13,606,441 | | | $ | 23,796,532 | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments held as of 07/31/23 | | $ | (495,297 | ) | | $ | (300,538 | ) | | $ | 1,145,986 | | | $ | (2,030,401 | ) |
| | | | |
| | Preferred Stocks | | | Asset-Backed Securities | | | Rights# | | | Governments - Sovereign Bonds# | |
Balance as of 10/31/22 | | $ | 4,734,000 | | | $ | 158,281 | | | $ | 51,616 | | | $ | - 0 - | |
Accrued discounts/(premiums) | | | - 0 - | | | | 2,967 | | | | - 0 - | | | | - 0 - | |
Realized gain (loss) | | | - 0 - | | | | 34,420 | | | | - 0 - | | | | - 0 - | |
Change in unrealized appreciation (depreciation) | | | (4,089,680 | ) | | | (32,345 | ) | | | (3,441 | ) | | | - 0 - | |
Purchases | | | 26,703 | | | | - 0 - | | | | - 0 - | | | | - 0 - | |
Sales/Paydowns | | | (671,023 | ) | | | (163,323 | ) | | | - 0 - | | | | - 0 - | |
Transfers into Level 3 | | | - 0 - | | | | - 0 - | | | | - 0 - | | | | - 0 - | |
Transfers out of Level 3 | | | - 0 - | | | | - 0 - | | | | - 0 - | | | | - 0 - | |
| | | | | | | | | | | | | | | | |
Balance as of 07/31/23 | | $ | - 0 - | | | $ | - 0 - | | | $ | 48,175 | | | $ | - 0 - | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments held as of 07/31/23 | | $ | - 0 - | | | $ | - 0 - | | | $ | (3,441 | ) | | $ | - 0 - | |
| | | | |
| | Warrants | | | Total | | | | | | | |
Balance as of 10/31/22 | | $ | 4,585,073 | | | $ | 50,227,037 | | | | | | | | | |
Accrued discounts/(premiums) | | | - 0 - | | | | 6,721 | | | | | | | | | |
Realized gain (loss) | | | (772,300 | ) | | | (917,317 | ) | | | | | | | | |
Change in unrealized appreciation (depreciation) | | | (3,812,773 | ) | | | (8,555,071 | ) | | | | | | | | |
Purchases | | | - 0 - | | | | 9,323,094 | | | | | | | | | |
Sales/Paydowns | | | - 0 - | | | | (17,816,169 | ) | | | | | | | | |
Transfers into Level 3 | | | - 0 - | | | | 22,412,797 | | | | | | | | | |
Transfers out of Level 3 | | | - 0 - | | | | (10,747,247 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | |
Balance as of 07/31/23 | | $ | - 0 - | | | $ | 43,933,845 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) from investments held as of 07/31/23 | | $ | - 0 - | | | $ | (1,683,691 | ) | | | | | | | | |
# | The Fund held securities with zero market value that were sold/expired/written off during the reporting period. |
53
The following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at July 31, 2023. Securities priced (i) by third party vendors, (ii) by brokers or (iii) using prior transaction prices, which approximates fair value, are excluded from the following table.
| | | | | | | | | | | | |
| | Quantitative Information about Level 3 Fair Value Measurements | |
| | Fair Value at 7/31/23 | | | Valuation Technique | | Unobservable Input | | Input | |
Corporates - Non-Investment Grade | | $ | 433,572 | | | Recovery | | Discount Rate and Assumed Recovery on Claim | | | 20% & 50 | % |
| | $ | -0- | | | Qualitative Assessment | | Expected Sale Price | | $ | 0.00 | |
| | | | | | | | | | | | |
| | $ | 433,572 | | | | | | | | | |
| | | | | | | | | | | | |
Emerging Markets - Corporate Bonds | | $ | 1,010,213 | | | Recovery | | Expected Sale Price | | $ | 46.47 | |
| | $ | -0- | | | Qualitative Assessment | | Expected Sale Price | | $ | 0.00 | |
| | $ | -0- | | | Qualitative Assessment | | Expected Sale Price | | $ | 0.00 | |
| | | | | | | | | | | | |
| | $ | 1,010,213 | | | | | | | | | |
| | | | | | | | | | | | |
Common Stocks | | $ | 1,921,375 | | | Guideline Public Company, Discounted Cash Flow, and Optional Value | | Volatility and Weighted Average Cost of Capital | | | 30% & 14.5 | % |
| | $ | 1,800,976 | | | NAV Calculation | | Catastrophe Claims | | $ | 699.50 | |
| | $ | 5 | | | Qualitative Assessment | | Expected Sale Price | | $ | 0.00 | |
| | $ | -0- | | | Qualitative Assessment | | Expected Sale Price | | $ | 0.00 | |
| | | | | | | | | | | | |
| | $ | 3,722,356 | | | | | | | | | |
| | | | | | | | | | | | |
Governments - Sovereign Bonds | | $ | -0- | | | Qualitative Assessment | | Expected Sale Price | | $ | 0.00 | |
Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. Significant increases (decreases) in Discount Rate and Assumed Recovery on Claim, Expected Sale Price, Volatility and Weighted Average Cost of Capital and Catastrophe Claims in isolation would be expected to result in a significantly higher (lower) fair value measurement.
A summary of the Fund’s transactions in AB mutual funds for the nine months ended July 31, 2023 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Market Value 10/31/22 (000) | | | Purchases at Cost (000) | | | Sales Proceeds (000) | | | Realized Gain (000) | | | Change in Unrealized Appr. (Depr.) (000) | | | Market Value 7/31/23 (000) | | | Dividend Income (000) | |
Government Money Market Portfolio | | $ | 10,097 | | | $ | 725,775 | | | $ | 659,881 | | | $ | -0- | | | $ | -0- | | | $ | 75,991 | | | $ | 924 | |
Golden Energy Offshore Services AS | | | 564 | | | | -0- | | | | -0- | | | | -0- | | | | (158 | ) | | | 406 | | | | -0- | |
Total | | | | | | | | | | | | | | $ | -0- | | | $ | (158 | ) | | $ | 76,397 | | | $ | 924 | |
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