UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-08464
High Income Opportunities Portfolio
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Deidre E. Walsh
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2023
Date of Reporting Period
Item 1. Reports to Stockholders
Asset-Backed Securities — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
Ares LVlll CLO, Ltd., Series 2020-58A, Class ER, 11.686%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | $ | 2,000 | $ 1,761,098 |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.178%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 2,500 | 2,505,030 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 11.61%, (3 mo. USD LIBOR + 6.35%), 7/15/32(1)(2) | 1,000 | 918,749 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.11%, (3 mo. USD LIBOR + 6.85%), 1/15/35(1)(2) | 2,000 | 1,892,980 | |
Canyon Capital CLO, Ltd., Series 2022-1A, Class E, 11.382%, (3 mo. SOFR + 6.40%), 4/15/35(1)(2) | 2,000 | 1,778,970 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.586%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,760,132 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.149%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,828,016 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 11.862%, (3 mo. USD LIBOR + 6.60%), 1/18/34(1)(2) | 2,000 | 1,874,700 | |
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class ER, 11.41%, (3 mo. USD LIBOR + 6.15%), 7/15/33(1)(2) | 1,000 | 936,912 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-2A, Class E, 12.22%, (3 mo. USD LIBOR + 6.96%), 7/15/34(1)(2) | 2,000 | 1,614,874 | |
Series 2021-3A, Class E, 12.36%, (3 mo. USD LIBOR + 7.10%), 1/15/35(1)(2) | 2,000 | 1,707,088 | |
Total Asset-Backed Securities (identified cost $20,411,222) | $ 18,578,549 |
Common Stocks — 1.3% |
Security | Shares | Value | |
Energy — 0.4% | |||
Ascent CNR Corp., Class A(3)(4)(5) | 6,273,462 | $ 1,254,692 | |
Energy Transfer, L.P. | 280,000 | 3,606,400 | |
$ 4,861,092 | |||
Environmental — 0.4% | |||
GFL Environmental, Inc. | 105,500 | $ 3,829,650 | |
$ 3,829,650 | |||
Gaming — 0.3% | |||
Caesars Entertainment, Inc.(4) | 60,000 | $ 2,717,400 |
Security | Shares | Value | |
Gaming (continued) | |||
New Cotai Participation Corp., Class B(3)(4)(5) | 7 | $ 0 | |
$ 2,717,400 | |||
Leisure — 0.0%(6) | |||
iFIT Health and Fitness, Inc.(3)(4)(5) | 514,080 | $ 359,856 | |
$ 359,856 | |||
Technology — 0.0%(6) | |||
Riverbed Technology, Inc.(4)(7) | 35,977 | $ 18,079 | |
$ 18,079 | |||
Utility — 0.2% | |||
NextEra Energy Partners, L.P. | 45,000 | $ 2,587,950 | |
$ 2,587,950 | |||
Total Common Stocks (identified cost $14,631,455) | $ 14,374,027 |
Convertible Bonds — 0.5% |
Security | Principal Amount (000's omitted) | Value | |
Containers — 0.3% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 4,245 | $ 3,345,604 |
$ 3,345,604 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 3,289 | $ 2,453,486 |
$ 2,453,486 | |||
Total Convertible Bonds (identified cost $6,395,479) | $ 5,799,090 |
Convertible Preferred Stocks — 0.0%(6) |
Security | Shares | Value | |
Technology — 0.0%(6) | |||
Riverbed Technology, Inc., Series A, 6.50%, (1.50% cash, 5.00% PIK)(7) | 22,350 | $ 5,699 | |
Total Convertible Preferred Stocks (identified cost $670,487) | $ 5,699 |
Corporate Bonds — 86.7% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 3.4% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 2,033 | $ 2,028,745 | |
7.875%, 4/15/27(1) | 1,357 | 1,354,572 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 1,501 | 1,381,133 | |
4.125%, 4/15/29(1) | 1,016 | 920,608 | |
Moog, Inc., 4.25%, 12/15/27(1) | 2,796 | 2,632,993 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 4,991 | 4,986,206 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 3,792 | 3,582,833 | |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 1,081 | 918,266 | |
9.375%, 11/30/29(1) | 1,902 | 2,046,860 | |
TransDigm UK Holdings PLC, 6.875%, 5/15/26 | 1,585 | 1,596,989 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 1,677 | 1,519,781 | |
5.50%, 11/15/27 | 3,914 | 3,762,375 | |
6.25%, 3/15/26(1) | 4,436 | 4,463,912 | |
6.75%, 8/15/28(1) | 3,504 | 3,562,836 | |
7.50%, 3/15/27 | 1,705 | 1,715,888 | |
$ 36,473,997 | |||
Air Transportation — 1.3% | |||
American Airlines, Inc., 7.25%, 2/15/28(1) | 908 | $ 883,968 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | |||
5.50%, 4/20/26(1) | 2,780 | 2,733,140 | |
5.75%, 4/20/29(1) | 3,580 | 3,406,639 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 1,156 | 1,105,395 | |
4.625%, 4/15/29(1) | 1,799 | 1,630,032 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.375%, 2/1/30(1) | 5,300 | 4,591,045 | |
$ 14,350,219 | |||
Automotive & Auto Parts — 2.7% | |||
Ford Motor Co.: | |||
3.25%, 2/12/32 | 6,249 | $ 4,851,828 | |
4.75%, 1/15/43 | 2,651 | 1,994,954 | |
7.45%, 7/16/31 | 794 | 836,569 | |
9.625%, 4/22/30 | 350 | 407,449 | |
Ford Motor Credit Co., LLC: | |||
2.90%, 2/16/28 | 568 | 492,400 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive & Auto Parts (continued) | |||
Ford Motor Credit Co., LLC: (continued) | |||
3.37%, 11/17/23 | 881 | $ 867,192 | |
3.625%, 6/17/31 | 2,065 | 1,704,823 | |
3.815%, 11/2/27 | 4,294 | 3,856,766 | |
4.00%, 11/13/30 | 1,461 | 1,254,226 | |
4.125%, 8/17/27 | 6,184 | 5,681,945 | |
4.271%, 1/9/27 | 752 | 697,393 | |
5.584%, 3/18/24 | 403 | 401,092 | |
Goodyear Tire & Rubber Co. (The): | |||
5.00%, 7/15/29 | 1,995 | 1,765,819 | |
5.25%, 7/15/31 | 735 | 634,599 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 2,587 | 1,949,304 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 3,302 | 1,568,450 | |
$ 28,964,809 | |||
Banking & Thrifts — 0.2% | |||
JPMorgan Chase & Co., Series HH, 4.60% to 2/1/25(8)(9) | 2,385 | $ 2,218,050 | |
$ 2,218,050 | |||
Broadcasting — 1.8% | |||
Audacy Capital Corp., 6.75%, 3/31/29(1) | 2,316 | $ 175,785 | |
Banijay Entertainment SASU, 5.375%, 3/1/25(1) | 2,022 | 1,973,958 | |
Netflix, Inc., 5.875%, 2/15/25 | 2,155 | 2,188,719 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 2,349 | 1,998,764 | |
Sirius XM Radio, Inc.: | |||
3.125%, 9/1/26(1) | 1,394 | 1,249,066 | |
3.875%, 9/1/31(1) | 1,401 | 1,060,264 | |
4.125%, 7/1/30(1) | 3,608 | 2,897,973 | |
5.00%, 8/1/27(1) | 2,980 | 2,744,473 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 2,038 | 1,902,290 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,183 | 1,020,649 | |
7.375%, 6/30/30(1) | 1,804 | 1,732,833 | |
$ 18,944,774 | |||
Building Materials — 2.0% | |||
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 3,014 | $ 2,644,304 | |
5.00%, 3/1/30(1) | 2,685 | 2,511,540 | |
Masonite International Corp., 5.375%, 2/1/28(1) | 1,059 | 1,020,818 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 2,025 | 1,703,450 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 2,368 | 2,149,374 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 5,000 | 4,685,857 |
Security | Principal Amount* (000's omitted) | Value | |
Building Materials (continued) | |||
Standard Industries, Inc.: | |||
2.25%, 11/21/26(10) | EUR | 2,443 | $ 2,370,487 |
3.375%, 1/15/31(1) | 863 | 683,959 | |
4.375%, 7/15/30(1) | 2,932 | 2,534,373 | |
5.00%, 2/15/27(1) | 690 | 660,937 | |
$ 20,965,099 | |||
Cable & Satellite TV — 1.9% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.50%, 8/15/30(1) | 5,982 | $ 5,029,663 | |
4.50%, 5/1/32 | 2,500 | 2,004,536 | |
4.75%, 3/1/30(1) | 4,255 | 3,666,815 | |
4.75%, 2/1/32(1) | 1,825 | 1,512,179 | |
5.00%, 2/1/28(1) | 1,895 | 1,754,898 | |
5.375%, 6/1/29(1) | 868 | 797,056 | |
6.375%, 9/1/29(1) | 3,715 | 3,533,929 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 2,454 | 2,320,869 | |
$ 20,619,945 | |||
Capital Goods — 1.3% | |||
Chart Industries, Inc., 9.50%, 1/1/31(1) | 4,038 | $ 4,279,957 | |
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 3,851 | 3,018,068 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 3,142 | 2,736,823 | |
7.50%, 10/15/27(1) | 415 | 408,377 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 3,847 | 3,494,293 | |
$ 13,937,518 | |||
Chemicals — 2.6% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 2,220 | $ 1,831,500 | |
Avient Corp., 7.125%, 8/1/30(1) | 2,496 | 2,553,286 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 3,935 | 3,777,629 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 2,171 | 1,802,147 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(10) | EUR | 3,000 | 2,239,811 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(1) | 2,428 | 1,965,905 | |
4.875%, 6/1/24(1) | 1,632 | 1,608,422 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 3,494 | 3,108,884 | |
SPCM S.A.: | |||
2.625%, 2/1/29(10) | EUR | 2,960 | 2,835,983 |
2.625%, 2/1/29(1) | EUR | 250 | 239,526 |
Valvoline, Inc., 3.625%, 6/15/31(1) | 2,654 | 2,209,190 |
Security | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 1,829 | $ 1,739,287 | |
7.375%, 3/1/31(1) | 2,211 | 2,218,194 | |
$ 28,129,764 | |||
Consumer Products — 1.4% | |||
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 790 | $ 697,175 | |
Central Garden & Pet Co.: | |||
4.125%, 10/15/30 | 1,215 | 1,042,756 | |
5.125%, 2/1/28 | 1,391 | 1,319,038 | |
Diamond BC B.V., 4.625%, 10/1/29(1) | 3,360 | 3,304,403 | |
Edgewell Personal Care Co., 4.125%, 4/1/29(1) | 2,936 | 2,603,825 | |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(10) | EUR | 2,600 | 2,275,139 |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 3,954 | 3,283,651 | |
$ 14,525,987 | |||
Containers — 1.5% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(10) | EUR | 1,150 | $ 934,407 |
4.00%, 9/1/29(1) | 1,068 | 871,130 | |
Ball Corp., 3.125%, 9/15/31 | 3,800 | 3,168,262 | |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 3,826 | 3,072,845 | |
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 2,415 | 2,315,478 | |
Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/1/28(1) | 2,249 | 2,285,020 | |
Trivium Packaging Finance B.V.: | |||
5.50%, 8/15/26(1) | 2,613 | 2,539,192 | |
8.50%, 8/15/27(1) | 1,500 | 1,450,272 | |
$ 16,636,606 | |||
Diversified Financial Services — 3.0% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 3,011 | $ 3,098,394 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(8)(9) | 3,182 | 2,356,669 | |
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 2,114 | 1,899,831 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 2,786 | 2,510,179 | |
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | |||
5.25%, 5/15/27 | 1,126 | 1,062,860 | |
6.25%, 5/15/26 | 2,030 | 2,000,159 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 3,426 | 3,069,572 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 3,288 | 2,810,221 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 867 | $ 749,205 | |
3.875%, 2/15/31(1) | 2,176 | 1,908,994 | |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 2,769 | 2,575,439 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 2,428 | 2,422,565 | |
PROG Holdings, Inc., 6.00%, 11/15/29(1) | 1,660 | 1,495,602 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 2,036 | 1,815,116 | |
3.625%, 3/1/29(1) | 3,127 | 2,647,037 | |
4.00%, 10/15/33(1) | 425 | 333,057 | |
$ 32,754,900 | |||
Diversified Media — 1.9% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 1,226 | $ 1,056,487 | |
6.125%, 12/1/28(1) | 2,905 | 2,523,021 | |
Cars.com, Inc., 6.375%, 11/1/28(1) | 3,521 | 3,321,081 | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(1) | 3,782 | 2,873,980 | |
CMG Media Corp., 8.875%, 12/15/27(1) | 4,934 | 3,831,399 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 4,396 | 3,596,236 | |
National CineMedia, LLC: | |||
5.75%, 8/15/26(11) | 1,660 | 51,842 | |
5.875%, 4/15/28(1)(11) | 2,260 | 816,425 | |
Urban One, Inc., 7.375%, 2/1/28(1) | 2,139 | 1,944,843 | |
$ 20,015,314 | |||
Energy — 9.9% | |||
Aethon III BR, LLC, 12.40%, (1 mo. USD LIBOR + 7.50%), 10/1/25(2) | 3,437 | $ 3,426,153 | |
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 3,039 | 2,954,292 | |
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 3,242 | 3,140,307 | |
7.875%, 5/15/26(1) | 1,283 | 1,318,638 | |
Archrock Partners, L.P./Archrock Partners Finance Corp., 6.25%, 4/1/28(1) | 1,272 | 1,222,634 | |
Callon Petroleum Co.: | |||
7.50%, 6/15/30(1) | 1,157 | 1,100,233 | |
8.00%, 8/1/28(1) | 3,002 | 2,965,280 | |
Cheniere Energy Partners, L.P.: | |||
4.00%, 3/1/31 | 2,552 | 2,285,764 | |
4.50%, 10/1/29 | 1,896 | 1,786,149 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Cheniere Energy, Inc., 4.625%, 10/15/28 | 2,512 | $ 2,396,700 | |
Chord Energy Corp., 6.375%, 6/1/26(1) | 1,560 | 1,556,379 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 2,637 | 2,493,893 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 4,038 | 3,613,485 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 2,690 | 2,387,020 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 2,087 | 1,774,103 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 2,111 | 1,796,749 | |
4.75%, 1/15/31(1) | 2,377 | 1,950,913 | |
6.00%, 7/1/25(1) | 410 | 403,330 | |
6.50%, 7/1/27(1) | 1,121 | 1,094,476 | |
7.50%, 6/1/30(1) | 1,881 | 1,827,779 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 3,659 | 3,509,127 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(1) | 1,118 | 1,018,785 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 5,066 | 5,000,497 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 3,895 | 3,591,620 | |
Occidental Petroleum Corp.: | |||
6.125%, 1/1/31 | 1,739 | 1,820,011 | |
6.20%, 3/15/40 | 736 | 756,639 | |
8.50%, 7/15/27 | 3,859 | 4,253,197 | |
8.875%, 7/15/30 | 3,417 | 4,018,290 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 2,371 | 2,080,268 | |
4.625%, 5/1/30(1) | 2,389 | 2,081,497 | |
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(1) | 4,333 | 4,104,753 | |
7.75%, 2/15/26(1) | 1,675 | 1,695,661 | |
Plains All American Pipeline, L.P., Series B, 8.974%, (3 mo. USD LIBOR + 4.11%)(2)(8) | 2,885 | 2,567,650 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 1,307 | 1,200,447 | |
7.125%, 1/15/26(1) | 1,095 | 1,064,790 | |
Shelf Drilling Holdings, Ltd.: | |||
8.25%, 2/15/25(1) | 2,176 | 1,982,847 | |
8.875%, 11/15/24(1) | 630 | 630,630 | |
Southwestern Energy Co.: | |||
4.75%, 2/1/32 | 2,583 | 2,281,214 | |
5.375%, 2/1/29(10) | 2,500 | 1,870,130 | |
Sunoco, L.P./Sunoco Finance Corp.: | |||
4.50%, 5/15/29 | 1,297 | 1,169,971 | |
4.50%, 4/30/30 | 2,000 | 1,787,278 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 2,921 | 2,590,255 | |
Tap Rock Resources, LLC, 7.00%, 10/1/26(1) | 4,270 | 4,106,907 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 1,259 | $ 1,229,092 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 1,342 | 1,355,420 | |
Venture Global Calcasieu Pass, LLC: | |||
3.875%, 8/15/29(1) | 2,380 | 2,140,343 | |
3.875%, 11/1/33(1) | 1,117 | 943,070 | |
4.125%, 8/15/31(1) | 1,449 | 1,285,317 | |
Weatherford International, Ltd., 8.625%, 4/30/30(1) | 2,338 | 2,384,013 | |
Western Midstream Operating, L.P.: | |||
4.50%, 3/1/28 | 224 | 213,983 | |
4.75%, 8/15/28 | 224 | 215,200 | |
$ 106,443,179 | |||
Entertainment & Film — 0.3% | |||
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 2,166 | $ 1,933,528 | |
5.875%, 3/15/26(1) | 588 | 562,413 | |
8.75%, 5/1/25(1) | 247 | 252,272 | |
$ 2,748,213 | |||
Environmental — 1.8% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 1,029 | $ 997,549 | |
5.125%, 7/15/29(1) | 1,117 | 1,074,811 | |
6.375%, 2/1/31(1) | 585 | 597,501 | |
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 4,689 | 4,177,430 | |
5.00%, 9/1/30 | 804 | 712,806 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 5,074 | 4,617,650 | |
3.75%, 8/1/25(1) | 669 | 647,561 | |
4.75%, 6/15/29(1) | 7,293 | 6,794,814 | |
$ 19,620,122 | |||
Food & Drug Retail — 1.1% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(1) | 2,492 | $ 2,327,142 | |
5.875%, 2/15/28(1) | 1,807 | 1,791,134 | |
Arko Corp., 5.125%, 11/15/29(1) | 4,194 | 3,402,173 | |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 3,410 | 2,948,831 | |
Murphy Oil USA, Inc.: | |||
4.75%, 9/15/29 | 210 | 195,063 | |
5.625%, 5/1/27 | 1,190 | 1,174,209 | |
$ 11,838,552 |
Security | Principal Amount* (000's omitted) | Value | |
Food, Beverage & Tobacco — 2.6% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 3,553 | $ 3,643,169 | |
Chobani, LLC/Chobani Finance Corp., Inc.: | |||
4.625%, 11/15/28(1) | 1,650 | 1,515,631 | |
7.50%, 4/15/25(1) | 3,194 | 3,135,294 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 2,700 | 2,673,512 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 2,154 | 2,064,609 | |
Kraft Heinz Foods Co.: | |||
4.375%, 6/1/46 | 525 | 459,901 | |
4.625%, 10/1/39 | 1,361 | 1,255,209 | |
5.50%, 6/1/50 | 369 | 372,937 | |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 4,485 | 4,086,973 | |
5.50%, 10/15/27(1) | 1,504 | 1,475,494 | |
6.875%, 5/1/25(1) | 890 | 898,426 | |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 3,553 | 2,863,522 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 3,511 | 3,269,066 | |
$ 27,713,743 | |||
Gaming — 3.1% | |||
Allwyn Entertainment Financing UK PLC, 7.875%, 4/30/29(1) | 2,654 | $ 2,687,440 | |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 784 | 688,505 | |
6.25%, 7/1/25(1) | 4,206 | 4,214,919 | |
7.00%, 2/15/30(1) | 1,535 | 1,550,081 | |
8.125%, 7/1/27(1) | 2,617 | 2,672,538 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 3,352 | 3,235,103 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.: | |||
4.625%, 1/15/29(1) | 1,303 | 1,142,041 | |
6.75%, 1/15/30(1) | 1,101 | 892,901 | |
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 1,237 | 1,188,701 | |
6.25%, 1/15/27(1) | 1,848 | 1,875,600 | |
6.50%, 2/15/25(1) | 1,009 | 1,022,702 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 3,759 | 3,273,713 | |
MGM Resorts International: | |||
4.75%, 10/15/28 | 2,206 | 2,064,997 | |
5.50%, 4/15/27 | 779 | 763,086 | |
Raptor Acquisition Corp./Raptor Co.-Issuer, LLC, 4.875%, 11/1/26(1) | 3,500 | 3,276,140 | |
Scientific Games International, Inc., 7.00%, 5/15/28(1) | 2,834 | 2,830,699 | |
$ 33,379,166 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare — 9.3% | |||
Athenahealth Group, Inc., 6.50%, 2/15/30(1) | 3,988 | $ 3,279,366 | |
Avantor Funding, Inc., 3.875%, 7/15/28(10) | EUR | 4,400 | 4,472,226 |
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(1) | 3,593 | 3,049,914 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 3,104 | 2,532,238 | |
3.00%, 10/15/30 | 3,896 | 3,324,320 | |
3.375%, 2/15/30 | 3,616 | 3,196,038 | |
4.25%, 12/15/27 | 1,716 | 1,641,388 | |
4.625%, 12/15/29 | 3,802 | 3,586,807 | |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 2,043 | 1,833,832 | |
4.75%, 2/1/30 | 1,044 | 964,032 | |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(11) | 1,153 | 821,513 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1)(11) | 2,774 | 1,946,240 | |
Grifols Escrow Issuer S.A., 4.75%, 10/15/28(1) | 4,906 | 3,938,872 | |
HCA, Inc.: | |||
5.875%, 2/15/26 | 2,349 | 2,386,429 | |
5.875%, 2/1/29 | 2,038 | 2,101,896 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 3,483 | 3,118,852 | |
Horizon Therapeutics USA, Inc., 5.50%, 8/1/27(1) | 3,070 | 3,156,344 | |
IQVIA, Inc.: | |||
2.25%, 3/15/29(10) | EUR | 1,816 | 1,672,156 |
5.00%, 5/15/27(1) | 1,329 | 1,298,667 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,910 | 1,757,257 | |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1) | 587 | 500,268 | |
LifePoint Health, Inc., 5.375%, 1/15/29(1) | 4,397 | 2,760,571 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 7,014 | 6,073,760 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 1,123 | 906,823 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 2,469 | 2,361,623 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 2,889 | 2,551,082 | |
3.875%, 5/15/32(1) | 2,207 | 1,893,590 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 3,864 | 3,477,760 | |
Organon & Co./Organon Foreign Debt Co.-Issuer B.V., 5.125%, 4/30/31(1) | 1,850 | 1,650,243 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 3,441 | 2,756,465 | |
Perrigo Finance Unlimited Co.: | |||
4.40%, 6/15/30 | 4,350 | 3,932,911 | |
4.90%, 12/15/44 | 685 | 498,659 | |
PRA Health Sciences, Inc., 2.875%, 7/15/26(1) | 866 | 791,427 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 1,328 | 1,106,157 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 2,682 | 1,386,398 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare (continued) | |||
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 272 | $ 250,255 | |
4.625%, 9/1/24 | 1,476 | 1,468,583 | |
5.125%, 11/1/27 | 2,855 | 2,773,677 | |
6.125%, 10/1/28 | 3,985 | 3,871,062 | |
6.875%, 11/15/31 | 1,683 | 1,650,880 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 5,799 | 5,181,868 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 1,905 | 1,887,979 | |
$ 99,810,428 | |||
Homebuilders & Real Estate — 3.3% | |||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC, 4.50%, 4/1/27(1) | 2,058 | $ 1,704,477 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,227 | 1,154,650 | |
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 3,770 | 3,296,846 | |
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,923 | 1,757,420 | |
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(1) | 2,000 | 1,958,400 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 1,155 | 1,026,457 | |
3.75%, 9/15/30(1) | 3,492 | 2,747,888 | |
6.00%, 4/15/25(1) | 1,287 | 1,252,542 | |
KB Home: | |||
4.00%, 6/15/31 | 162 | 140,350 | |
4.80%, 11/15/29 | 1,044 | 975,227 | |
M/I Homes, Inc., 4.95%, 2/1/28 | 1,537 | 1,441,791 | |
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 585 | 576,357 | |
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(1) | 929 | 785,163 | |
6.25%, 6/15/25(1) | 2,319 | 2,323,911 | |
Taylor Morrison Communities, Inc.: | |||
5.75%, 1/15/28(1) | 1,071 | 1,062,764 | |
5.875%, 6/15/27(1) | 1,493 | 1,490,872 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 2,753 | 2,369,701 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 543 | 508,164 | |
4.125%, 8/15/30(1) | 1,859 | 1,659,891 | |
4.625%, 12/1/29(1) | 4,004 | 3,723,598 | |
5.625%, 5/1/24(1) | 2,505 | 2,495,133 | |
Vivion Investments S.a.r.l., 3.00%, 8/8/24(10) | EUR | 800 | 645,833 |
$ 35,097,435 |
Security | Principal Amount* (000's omitted) | Value | |
Insurance — 1.0% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 2,488 | $ 2,325,803 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 2,466 | 2,239,933 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 3,811 | 3,309,576 | |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 3,051 | 3,103,859 | |
$ 10,979,171 | |||
Leisure — 3.2% | |||
Boyne USA, Inc., 4.75%, 5/15/29(1) | 2,268 | $ 2,056,404 | |
Carnival Corp., 5.75%, 3/1/27(1) | 1,786 | 1,471,842 | |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,452 | 1,419,298 | |
8.00%, 4/15/26(1) | 2,979 | 2,965,149 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1)(12) | 1,830 | 1,837,278 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 2,637 | 2,481,198 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 842 | 790,353 | |
5.875%, 3/15/26(1) | 792 | 683,058 | |
5.875%, 2/15/27(1) | 946 | 893,248 | |
7.75%, 2/15/29(1) | 792 | 671,331 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 1,732 | 1,400,218 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 2,973 | 3,165,591 | |
Sabre GLBL, Inc.: | |||
9.25%, 4/15/25(1) | 1,100 | 1,015,845 | |
11.25%, 12/15/27(1) | 1,880 | 1,653,225 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 3,227 | 2,907,301 | |
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 2,674 | 2,485,309 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 4,354 | 3,740,456 | |
6.25%, 5/15/25(1) | 1,820 | 1,730,013 | |
7.00%, 2/15/29(1) | 753 | 636,993 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 521 | 440,807 | |
$ 34,444,917 | |||
Metals & Mining — 1.4% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 2,968 | $ 2,762,956 | |
First Quantum Minerals, Ltd.: | |||
6.875%, 3/1/26(1) | 448 | 440,288 | |
7.50%, 4/1/25(1) | 2,180 | 2,176,948 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 2,400 | 2,256,524 |
Security | Principal Amount* (000's omitted) | Value | |
Metals & Mining (continued) | |||
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 2,459 | $ 2,292,201 | |
6.125%, 4/1/29(1) | 1,069 | 1,000,825 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 1,761 | 1,699,171 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 1,755 | 1,608,561 | |
4.75%, 1/30/30(1) | 1,281 | 1,161,084 | |
$ 15,398,558 | |||
Paper — 0.4% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 4,583 | $ 3,913,780 | |
$ 3,913,780 | |||
Publishing & Printing — 0.8% | |||
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 767 | $ 708,995 | |
8.25%, 11/1/29(1) | 2,037 | 1,772,190 | |
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 2,092 | 1,860,034 | |
8.00%, 8/1/29(1) | 4,629 | 3,985,106 | |
$ 8,326,325 | |||
Railroad — 0.0%(6) | |||
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 376 | $ 365,019 | |
$ 365,019 | |||
Restaurant — 1.5% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,761 | $ 1,654,156 | |
4.00%, 10/15/30(1) | 4,616 | 4,033,837 | |
5.75%, 4/15/25(1) | 581 | 582,907 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 4,883 | 4,969,527 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 2,978 | 3,017,443 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 2,452 | 2,169,057 | |
$ 16,426,927 | |||
Services — 5.1% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 3,652 | $ 3,473,180 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 2,712 | 2,617,884 | |
9.75%, 7/15/27(1) | 2,000 | 1,863,076 |
Security | Principal Amount* (000's omitted) | Value | |
Services (continued) | |||
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 1,076 | $ 937,750 | |
4.625%, 6/1/28(1) | 1,231 | 1,070,675 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 3,657 | 3,316,570 | |
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 5,653 | 5,192,422 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 2,780 | 2,506,939 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 605 | 536,328 | |
3.75%, 10/1/30(1) | 2,100 | 1,836,165 | |
4.50%, 7/1/28(1) | 1,449 | 1,364,210 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(1) | 5,546 | 5,412,078 | |
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 372 | 335,425 | |
5.00%, 12/1/29(1) | 2,980 | 2,440,679 | |
Korn Ferry, 4.625%, 12/15/27(1) | 4,099 | 3,898,661 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 1,776 | 1,606,374 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 1,082 | 1,121,223 | |
7.75%, 3/15/31(1) | 1,945 | 2,068,994 | |
SRS Distribution, Inc.: | |||
6.00%, 12/1/29(1) | 1,481 | 1,208,229 | |
6.125%, 7/1/29(1) | 2,668 | 2,203,875 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 2,854 | 2,397,740 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 4,401 | 4,130,523 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(1) | 1,743 | 1,791,506 | |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 755 | 655,481 | |
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(13) | 1,481 | 1,359,538 | |
$ 55,345,525 | |||
Steel — 0.8% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 2,155 | $ 2,181,140 | |
ATI, Inc., 5.875%, 12/1/27 | 86 | 84,082 | |
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,292 | 1,282,652 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 3,792 | 3,861,444 | |
TMS International Corp., 6.25%, 4/15/29(1) | 2,204 | 1,710,862 | |
$ 9,120,180 | |||
Super Retail — 3.6% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 839 | $ 747,718 | |
4.75%, 3/1/30 | 743 | 660,258 |
Security | Principal Amount* (000's omitted) | Value | |
Super Retail (continued) | |||
Asbury Automotive Group, Inc.: (continued) | |||
5.00%, 2/15/32(1) | 2,334 | $ 2,013,330 | |
Bath & Body Works, Inc.: | |||
6.75%, 7/1/36 | 694 | 618,631 | |
6.875%, 11/1/35 | 2,146 | 1,945,243 | |
6.95%, 3/1/33 | 1,621 | 1,431,860 | |
7.60%, 7/15/37 | 855 | 760,456 | |
9.375%, 7/1/25(1) | 289 | 309,615 | |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 3,149 | 3,156,211 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,497 | 1,329,847 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 2,048 | 1,790,689 | |
Kohl's Corp., 3.625%, 5/1/31 | 2,208 | 1,508,248 | |
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(1) | 2,840 | 2,423,978 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 905 | 784,667 | |
4.375%, 1/15/31(1) | 3,144 | 2,702,955 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 1,169 | 1,071,891 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 5,141 | 4,362,440 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 2,225 | 2,105,537 | |
7.75%, 2/15/29(1) | 3,088 | 3,047,966 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,961 | 1,647,318 | |
4.875%, 11/15/31(1) | 1,634 | 1,321,040 | |
Victoria's Secret & Co., 4.625%, 7/15/29(1) | 1,811 | 1,466,530 | |
William Carter Co. (The), 5.625%, 3/15/27(1) | 1,510 | 1,493,126 | |
$ 38,699,554 | |||
Technology — 4.7% | |||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) | 2,048 | $ 1,853,440 | |
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(1) | 2,659 | 2,439,152 | |
4.00%, 7/1/29(1) | 1,006 | 914,713 | |
Ciena Corp., 4.00%, 1/31/30(1) | 1,543 | 1,357,265 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 653 | 654,837 | |
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(10) | EUR | 2,958 | 3,126,509 |
8.50%, 5/15/27(1) | 3,369 | 3,395,014 | |
Cloud Software Group, Inc., 9.00%, 9/30/29(1) | 2,284 | 1,964,731 | |
Coherent Corp., 5.00%, 12/15/29(1) | 2,538 | 2,287,537 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 2,227 | 2,077,852 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 4,502 | 3,903,489 | |
McAfee Corp., 7.375%, 2/15/30(1) | 2,042 | 1,697,033 | |
NCR Corp.: | |||
5.125%, 4/15/29(1) | �� 1,021 | 884,287 |
Security | Principal Amount* (000's omitted) | Value | |
Technology (continued) | |||
NCR Corp.: (continued) | |||
5.25%, 10/1/30(1) | 1,566 | $ 1,318,198 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 3,132 | 2,822,710 | |
Open Text Corp., 3.875%, 2/15/28(1) | 1,596 | 1,417,017 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 1,481 | 1,266,895 | |
Presidio Holdings, Inc.: | |||
4.875%, 2/1/27(1) | 412 | 390,718 | |
8.25%, 2/1/28(1) | 4,481 | 4,224,033 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 803 | 697,422 | |
9.625%, 12/1/32(1) | 2,132 | 2,340,293 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 842 | 830,245 | |
Sensata Technologies, Inc., 3.75%, 2/15/31(1) | 3,219 | 2,800,007 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 961 | 931,465 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 2,295 | 1,919,125 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 3,657 | 3,423,135 | |
$ 50,937,122 | |||
Telecommunications — 4.1% | |||
Altice France Holding S.A., 10.50%, 5/15/27(1) | 1,614 | $ 1,193,495 | |
Altice France S.A.: | |||
5.125%, 7/15/29(1) | 1,060 | 784,666 | |
5.50%, 1/15/28(1) | 1,052 | 829,238 | |
8.125%, 2/1/27(1) | 4,715 | 4,214,401 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 5,056 | 4,825,310 | |
Iliad Holding SASU: | |||
6.50%, 10/15/26(1) | 2,687 | 2,587,877 | |
7.00%, 10/15/28(1) | 1,592 | 1,507,841 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 2,163 | 1,855,054 | |
6.75%, 10/15/27(1) | 425 | 404,282 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 2,084 | 1,217,256 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 3,985 | 4,299,743 | |
Sprint, LLC: | |||
7.125%, 6/15/24 | 1,813 | 1,844,312 | |
7.625%, 2/15/25 | 3,285 | 3,388,109 | |
7.625%, 3/1/26 | 1,199 | 1,270,716 | |
7.875%, 9/15/23 | 2,800 | 2,825,186 | |
T-Mobile USA, Inc.: | |||
2.25%, 2/15/26 | 844 | 786,211 | |
2.625%, 2/15/29 | 1,121 | 991,666 | |
2.875%, 2/15/31 | 903 | 783,366 | |
4.75%, 2/1/28 | 1,095 | 1,090,570 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 888 | 824,521 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Virgin Media Finance PLC, 5.00%, 7/15/30(1) | 1,029 | $ 868,068 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(10) | GBP | 1,106 | 1,146,330 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 2,420 | 2,172,151 | |
Ziggo B.V., 4.875%, 1/15/30(1) | 2,756 | 2,376,377 | |
$ 44,086,746 | |||
Transport Excluding Air & Rail — 0.3% | |||
Seaspan Corp., 5.50%, 8/1/29(1) | 3,386 | $ 2,712,999 | |
$ 2,712,999 | |||
Utility — 3.4% | |||
Calpine Corp.: | |||
4.50%, 2/15/28(1) | 1,810 | $ 1,688,554 | |
4.625%, 2/1/29(1) | 1,060 | 922,292 | |
5.00%, 2/1/31(1) | 420 | 354,309 | |
5.125%, 3/15/28(1) | 3,554 | 3,287,500 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 2,398 | 2,028,543 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 750 | 648,570 | |
Series B, 4.15%, 7/15/27 | 2,275 | 2,215,702 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 2,400 | 2,162,396 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1) | 1,628 | 1,532,982 | |
NRG Energy, Inc.: | |||
3.375%, 2/15/29(1) | 970 | 822,263 | |
3.625%, 2/15/31(1) | 1,617 | 1,311,289 | |
3.875%, 2/15/32(1) | 3,164 | 2,558,837 | |
5.25%, 6/15/29(1) | 1,247 | 1,151,684 | |
10.25% to 3/15/28(1)(8)(9) | 2,762 | 2,712,855 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,596 | 1,486,237 | |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 2,345 | 2,055,920 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(1) | 2,981 | 2,857,587 | |
TransAlta Corp., 7.75%, 11/15/29 | 2,044 | 2,148,837 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 2,094 | 1,874,042 | |
5.00%, 7/31/27(1) | 2,344 | 2,231,315 | |
$ 36,051,714 | |||
Total Corporate Bonds (identified cost $1,007,068,485) | $ 931,996,357 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Services — 0.4% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(9) | 147,488 | $ 4,011,674 | |
Total Preferred Stocks (identified cost $4,129,729) | $ 4,011,674 |
Senior Floating-Rate Loans — 3.8%(14) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Air Transportation — 0.4% | |||
Mileage Plus Holdings, LLC, Term Loan, 10.213%, (3 mo. USD LIBOR + 5.25%), 6/21/27 | $ | 3,692 | $ 3,847,961 |
$ 3,847,961 | |||
Gaming — 0.6% | |||
Peninsula Pacific Entertainment, LLC, Term Loan, 13.00%, 12/24/29(15) | $ | 2,225 | $ 2,225,044 |
Spectacle Gary Holdings, LLC, Term Loan, 9.275%, (1 mo. USD LIBOR + 4.25%), 12/10/28 | 4,513 | 4,383,252 | |
$ 6,608,296 | |||
Healthcare — 0.7% | |||
Jazz Financing Lux S.a.r.l., Term Loan, 8.525%, (1 mo. USD LIBOR + 3.50%), 5/5/28 | $ | 2,614 | $ 2,613,613 |
Pluto Acquisition I, Inc., Term Loan, 6/22/26(16) | 2,827 | 2,059,997 | |
Verscend Holding Corp., Term Loan, 9.025%, (1 mo. USD LIBOR + 4.00%), 8/27/25 | 2,408 | 2,408,371 | |
$ 7,081,981 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., Term Loan, 11.757%, (SOFR + 6.50%), 5/25/27 | $ | 2,071 | $ 2,072,383 |
$ 2,072,383 | |||
Restaurant — 0.3% | |||
IRB Holding Corp., Term Loan, 8.082%, (SOFR + 3.00%), 12/15/27 | $ | 3,835 | $ 3,781,886 |
$ 3,781,886 | |||
Services — 0.8% | |||
AlixPartners, LLP, Term Loan, 7.775%, (1 mo. USD LIBOR + 2.75%), 2/4/28 | $ | 2,874 | $ 2,871,160 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Services (continued) | |||
Spin Holdco, Inc., Term Loan, 8.986%, (3 mo. USD LIBOR + 4.00%), 3/4/28 | $ | 3,471 | $ 2,897,178 |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 13.775%, (1 mo. USD LIBOR + 8.75%), 6.525% cash, 7.25% PIK, 2/28/25 | 2,695 | 2,732,556 | |
$ 8,500,894 | |||
Super Retail — 0.6% | |||
Hanesbrands, Inc., Term Loan, 3/8/30(16) | $ | 2,258 | $ 2,249,533 |
Michaels Companies, Inc., Term Loan, 9.409%, (3 mo. USD LIBOR + 4.25%), 4/15/28 | 2,330 | 2,142,456 | |
PetSmart, Inc., Term Loan, 8.832%, (SOFR + 3.75%), 2/11/28 | 2,334 | 2,322,588 | |
$ 6,714,577 | |||
Technology — 0.2% | |||
Ciena Corporation, Term Loan, 7.444%, (SOFR + 2.50%), 1/18/30 | $ | 670 | $ 671,047 |
Clarios Global, L.P., Term Loan, 4/26/30(16) | 934 | 932,832 | |
Riverbed Technology, Inc., Term Loan, 12.84%, (3 mo. USD LIBOR + 8.00%), 10.84% cash, 2.00% PIK, 12/7/26 | 1,229 | 392,512 | |
$ 1,996,391 | |||
Total Senior Floating-Rate Loans (identified cost $42,409,821) | $ 40,604,369 |
Miscellaneous — 0.4% |
Security | Principal Amount/ Shares | Value | |
Containers — 0.0% | |||
ACC Claims Holdings, LLC(3)(4) | 8,415,190 | $ 0 | |
$ 0 | |||
Gaming — 0.4% | |||
PGP Investors, LLC, Membership Interests(3)(4)(5) | 15,849 | $ 4,343,090 | |
$ 4,343,090 |
Security | Principal Amount/ Shares | Value | |
Services — 0.0%(6) | |||
Hertz Corp., Escrow Certificates(4) | $ | 502,000 | $ 40,160 |
$ 40,160 | |||
Total Miscellaneous (identified cost $0) | $ 4,383,250 |
Short-Term Investments — 4.2% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.78%(17) | 44,545,419 | $ 44,545,419 | |
Total Short-Term Investments (identified cost $44,545,419) | $ 44,545,419 | ||
Total Investments — 99.0% (identified cost $1,140,262,097) | $1,064,298,434 | ||
Other Assets, Less Liabilities — 1.0% | $ 10,922,785 | ||
Net Assets — 100.0% | $1,075,221,219 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2023, the aggregate value of these securities is $759,276,103 or 70.6% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2023. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(4) | Non-income producing security. |
(5) | Restricted security (see Note 5). |
(6) | Amount is less than 0.05%. |
(7) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(8) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(9) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(10) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At April 30, 2023, the aggregate value of these securities is $23,589,011 or 2.2% of the Portfolio's net assets. |
(11) | Issuer is in default with respect to interest and/or principal payments. |
(12) | When-issued security. |
(13) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(14) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(15) | Fixed-rate loan. |
(16) | This Senior Loan will settle after April 30, 2023, at which time the interest rate will be determined. |
(17) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 11,222,150 | EUR | 10,106,862 | HSBC Bank USA, N.A. | 7/31/23 | $ 30,358 | $ — |
USD | 10,105,325 | EUR | 9,098,889 | HSBC Bank USA, N.A. | 7/31/23 | 29,708 | — |
USD | 1,163,293 | GBP | 931,371 | Citibank, N.A. | 7/31/23 | — | (9,177) |
$60,066 | $(9,177) |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
OTC | – Over-the-counter |
PIK | – Payment In Kind |
SOFR | – Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | – Euro |
GBP | – British Pound Sterling |
USD | – United States Dollar |
April 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,095,716,678) | $ 1,019,753,015 |
Affiliated investment, at value (identified cost $44,545,419) | 44,545,419 |
Cash | 177,808 |
Foreign currency, at value (identified cost $2,285) | 2,283 |
Interest receivable | 15,502,485 |
Dividends receivable from affiliated investment | 200,820 |
Receivable for investments sold | 3,441,805 |
Receivable for open forward foreign currency exchange contracts | 60,066 |
Total assets | $1,083,683,701 |
Liabilities | |
Payable for investments purchased | $ 5,907,794 |
Payable for when-issued securities | 1,830,000 |
Payable for open forward foreign currency exchange contracts | 9,177 |
Payable to affiliates: | |
Investment adviser fee | 407,811 |
Trustees' fees | 5,824 |
Accrued expenses | 301,876 |
Total liabilities | $ 8,462,482 |
Net Assets applicable to investors' interest in Portfolio | $1,075,221,219 |
Six Months Ended | |
April 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $659) | $ 501,397 |
Dividend income from affiliated investment | 898,011 |
Interest and other income | 32,206,159 |
Total investment income | $33,605,567 |
Expenses | |
Investment adviser fee | $ 2,491,767 |
Trustees’ fees and expenses | 33,856 |
Custodian fee | 158,013 |
Legal and accounting services | 62,071 |
Interest expense on securities sold short | 43,196 |
Miscellaneous | 18,082 |
Total expenses | $ 2,806,985 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliate | $ 34,639 |
Total expense reductions | $ 34,639 |
Net expenses | $ 2,772,346 |
Net investment income | $30,833,221 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 25,982,505 |
Securities sold short | (232,492) |
Foreign currency transactions | 4,579 |
Forward foreign currency exchange contracts | (1,607,982) |
Net realized gain | $24,146,610 |
Change in unrealized appreciation (depreciation): | |
Investments | $ 15,350,840 |
Foreign currency | 18,368 |
Forward foreign currency exchange contracts | (149,040) |
Net change in unrealized appreciation (depreciation) | $15,220,168 |
Net realized and unrealized gain | $39,366,778 |
Net increase in net assets from operations | $70,199,999 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 30,833,221 | $ 51,594,657 |
Net realized gain (loss) | 24,146,610 | (5,282,108) |
Net change in unrealized appreciation (depreciation) | 15,220,168 | (141,360,652) |
Net increase (decrease) in net assets from operations | $ 70,199,999 | $ (95,048,103) |
Capital transactions: | ||
Contributions | $ 128,840,598 | $ 343,450,718 |
Withdrawals | (144,092,748) | (228,224,245) |
Net increase (decrease) in net assets from capital transactions | $ (15,252,150) | $ 115,226,473 |
Net increase in net assets | $ 54,947,849 | $ 20,178,370 |
Net Assets | ||
At beginning of period | $ 1,020,273,370 | $ 1,000,095,000 |
At end of period | $1,075,221,219 | $1,020,273,370 |
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2022 | 2021 | 2020 | 2019 | 2018 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.53% (1)(2) | 0.49% | 0.49% | 0.51% | 0.50% | 0.48% |
Net investment income | 5.89% (1) | 4.82% | 4.78% | 5.26% | 5.61% | 5.61% |
Portfolio Turnover | 16% (3) | 19% | 64% | 67% | 32% | 39% |
Total Return | 6.91% (3) | (8.20)% | 13.11% | 1.69% | 7.74% | 0.59% |
Net assets, end of period (000’s omitted) | $1,075,221 | $1,020,273 | $1,000,095 | $949,751 | $1,088,999 | $1,373,102 |
(1) | Annualized. |
(2) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Portfolio’s investment in the Liquidity Fund (equal to less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2023 and for the year ended October 31, 2022, respectively). |
(3) | Not annualized. |
Total Daily Net Assets | Annual Asset Rate | Daily Income Rate |
Up to $500 million | 0.300% | 3.000% |
$500 million but less than $1 billion | 0.275% | 2.750% |
$1 billion but less than $1.5 billion | 0.250% | 2.500% |
$1.5 billion but less than $2 billion | 0.225% | 2.250% |
$2 billion but less than $3 billion | 0.200% | 2.000% |
$3 billion and over | 0.175% | 1.750% |
Aggregate cost | $1,146,009,462 |
Gross unrealized appreciation | $ 14,161,985 |
Gross unrealized depreciation | (95,822,124) |
Net unrealized depreciation | $ (81,660,139) |
Description | Date(s) of Acquisition | Shares | Cost | Value |
Common Stocks | ||||
Ascent CNR Corp., Class A | 4/25/16, 11/16/16 | 6,273,462 | $ 0 | $ 1,254,692 |
iFIT Health and Fitness, Inc. | 10/6/22 | 514,080 | 1,799,280 | 359,856 |
New Cotai Participation Corp., Class B | 4/12/13 | 7 | 216,125 | 0 |
Total Common Stocks | $2,015,405 | $1,614,548 | ||
Miscellaneous | ||||
PGP Investors, LLC, Membership Interests | 2/18/15, 4/23/18, 12/17/21 | 15,849 | $ 0 | $ 4,343,090 |
Total Miscellaneous | $ 0 | $4,343,090 | ||
Total Restricted Securities | $2,015,405 | $5,957,638 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $60,066 (1) | $(9,177) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for open forward foreign currency exchange contracts. |
(2) | Statement of Assets and Liabilities location: Payable for open forward foreign currency exchange contracts. |
Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
HSBC Bank USA, N.A. | $60,066 | $ — | $ — | $ — | $60,066 |
Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
Citibank, N.A. | $(9,177) | $ — | $ — | $ — | $(9,177) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Forward foreign currency exchange contracts | $(1,607,982) | $(149,040) |
(1) | Statement of Operations location: Net realized gain (loss) - Forward foreign currency exchange contracts. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) - Forward foreign currency exchange contracts. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $37,909,716 | $232,171,385 | $(225,535,682) | $ — | $ — | $44,545,419 | $898,011 | 44,545,419 |
• | 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 a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3* | Total |
Asset-Backed Securities | $ — | $ 18,578,549 | $ — | $ 18,578,549 |
Common Stocks | 12,741,400 | 18,079 | 1,614,548 | 14,374,027 |
Convertible Bonds | — | 5,799,090 | — | 5,799,090 |
Convertible Preferred Stocks | — | 5,699 | 0 | 5,699 |
Corporate Bonds | — | 931,996,357 | — | 931,996,357 |
Preferred Stocks | 4,011,674 | — | — | 4,011,674 |
Senior Floating-Rate Loans | — | 40,604,369 | — | 40,604,369 |
Miscellaneous | — | 40,160 | 4,343,090 | 4,383,250 |
Short-Term Investments | 44,545,419 | — | — | 44,545,419 |
Total Investments | $ 61,298,493 | $ 997,042,303 | $ 5,957,638 | $ 1,064,298,434 |
Forward Foreign Currency Exchange Contracts | $ — | $ 60,066 | $ — | $ 60,066 |
Total | $ 61,298,493 | $ 997,102,369 | $ 5,957,638 | $ 1,064,358,500 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (9,177) | $ — | $ (9,177) |
Total | $ — | $ (9,177) | $ — | $ (9,177) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Common Stocks | Convertible Preferred Stocks | Miscellaneous | Total | |
Balance as of October 31, 2022 | $ 1,990,956 | $ — | $ 34,364,043 | $ 36,354,999 |
Realized gains (losses) | (1,460,742) | (591,000) | 37,689,526 | 35,637,784 |
Change in net unrealized appreciation (depreciation) | 1,084,334 | 591,000 | (29,725,581) | (28,050,247) |
Cost of purchases | — | — | — | — |
Proceeds from sales, including return of capital | 0 | 0 | (37,984,898) | (37,984,898) |
Accrued discount (premium) | — | — | — | — |
Transfers to Level 3 | — | — | — | — |
Transfers from Level 3 | — | — | — | — |
Balance as of April 30, 2023 | $ 1,614,548 | $ — | $ 4,343,090 | $ 5,957,638 |
Change in net unrealized appreciation (depreciation) on investments still held as of April 30, 2023 | $ (376,408) | $ — | $ (3,756,859) | $ (4,133,267) |
Type of Investment | Fair Value as of April 30, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $1,254,692 | Market approach | EBITDA multiple discount rate | 15% | Decrease |
Common Stocks | 359,856 | Discounted cash flow blended terminal value | Discount rate | 25% | Increase |
Miscellaneous | 4,343,090 | Market approach | Liquidity discount | 15% | Decrease |
Included in foreign corporate bonds are securities valued at $0 based on their estimated recovery value percentage. | |
* | Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Officers of Eaton Vance High Income Opportunities Fund and High Income Opportunities Portfolio | |
Eric A. Stein President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees of Eaton Vance High Income Opportunities Fund and High Income Opportunities Portfolio |
George J. Gorman Chairperson | |
Alan C. Bowser | |
Thomas E. Faust Jr.* | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley |
Anchal Pachnanda*(1) | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our investment management affiliates to market to you | Yes | Yes |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease note:If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? | We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance doesn’t jointly market. |
Other important information | |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information.California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
and Eaton Vance High Income Opportunities Fund
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Income Opportunities Fund
Two International Place
Boston, MA 02110
Two International Place
Boston, MA 02110
(617) 482-8260
One Congress Street, Suite 1
Boston, MA 02114-2016
Attn: Eaton Vance Funds
P.O. Box 534439
Pittsburgh, PA 15253-4439
(800) 262-1122
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
High Income Opportunities Portfolio | ||
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | June 23, 2023 | |
By: | /s/ Eric A. Stein | |
Eric A. Stein | ||
President | ||
Date: | June 23, 2023 |