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
October 31, 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, 12.094%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | $ | 2,000 | $ 1,822,554 |
Atlas Senior Loan Fund XX, Ltd., Series 2022-20A, Class B1, 8.547%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 2,500 | 2,514,620 | |
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class ER, 12.006%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | 1,000 | 958,782 | |
Benefit Street Partners CLO XXV, Ltd., Series 2021-25A, Class E, 12.506%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 2,000 | 1,896,804 | |
Canyon Capital CLO, Ltd., Series 2022-1A, Class E, 11.803%, (3 mo. SOFR + 6.40%), 4/15/35(1)(2) | 2,000 | 1,811,636 | |
Carlyle US CLO, Ltd., Series 2019-4A, Class DR, 11.994%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,772,646 | |
Golub Capital Partners CLO 50B-R, Ltd., Series 2020-50A, Class ER, 12.516%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 1,843,070 | |
Madison Park Funding LIX, Ltd., Series 2021-59A, Class E, 12.257%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 2,000 | 1,868,022 | |
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class ER, 11.806%, (3 mo. SOFR + 6.412%), 7/15/33(1)(2) | 1,000 | 970,182 | |
Wellfleet CLO, Ltd.: | |||
Series 2021-2A, Class E, 12.616%, (3 mo. SOFR + 7.222%), 7/15/34(1)(2) | 2,000 | 1,657,774 | |
Series 2021-3A, Class E, 12.756%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 2,000 | 1,684,756 | |
Total Asset-Backed Securities (identified cost $20,415,091) | $ 18,800,846 |
Common Stocks — 0.5% |
Security | Shares | Value | |
Diversified Media — 0.1% | |||
National CineMedia, Inc.(3) | 214,423 | $ 838,394 | |
$ 838,394 | |||
Energy — 0.1% | |||
Ascent CNR Corp., Class A(3)(4)(5) | 6,273,462 | $ 1,380,162 | |
$ 1,380,162 | |||
Environmental — 0.3% | |||
GFL Environmental, Inc. | 105,500 | $ 3,040,510 | |
$ 3,040,510 |
Security | Shares | Value | |
Gaming — 0.0% | |||
New Cotai Participation Corp., Class B(3)(4)(5) | 7 | $ 0 | |
$ 0 | |||
Leisure — 0.0% | |||
iFIT Health and Fitness, Inc.(3)(4)(5) | 514,080 | $ 0 | |
$ 0 | |||
Total Common Stocks (identified cost $4,989,091) | $ 5,259,066 |
Convertible Bonds — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
Containers — 0.3% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 4,643 | $ 3,659,151 |
$ 3,659,151 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 3,289 | $ 2,442,332 |
$ 2,442,332 | |||
Utility — 0.3% | |||
NextEra Energy Partners, L.P., 2.50%, 6/15/26(1) | $ | 3,136 | $ 2,718,912 |
$ 2,718,912 | |||
Total Convertible Bonds (identified cost $9,641,016) | $ 8,820,395 |
Corporate Bonds — 86.0% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 2.9% | |||
Bombardier, Inc.: | |||
7.125%, 6/15/26(1) | 2,033 | $ 1,958,605 | |
7.875%, 4/15/27(1) | 1,357 | 1,307,263 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 1,501 | 1,322,569 | |
4.125%, 4/15/29(1) | 1,016 | 869,853 | |
Moog, Inc., 4.25%, 12/15/27(1) | 2,796 | 2,492,378 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 4,991 | 4,735,510 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 3,792 | 3,387,722 |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace (continued) | |||
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 1,081 | $ 856,256 | |
9.375%, 11/30/29(1) | 403 | 414,357 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 1,677 | 1,447,871 | |
5.50%, 11/15/27 | 3,914 | 3,647,709 | |
6.25%, 3/15/26(1) | 4,436 | 4,337,985 | |
6.75%, 8/15/28(1) | 3,504 | 3,406,706 | |
7.50%, 3/15/27 | 1,705 | 1,704,669 | |
$ 31,889,453 | |||
Air Transportation — 1.0% | |||
American Airlines, Inc., 7.25%, 2/15/28(1) | 908 | $ 845,368 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd., 5.50%, 4/20/26(1) | 2,317 | 2,255,121 | |
United Airlines, Inc.: | |||
4.375%, 4/15/26(1) | 1,156 | 1,073,473 | |
4.625%, 4/15/29(1) | 1,799 | 1,521,240 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc.: | |||
6.375%, 2/1/30(1) | 5,300 | 3,540,201 | |
9.50%, 6/1/28(1) | 1,892 | 1,451,650 | |
$ 10,687,053 | |||
Automotive & Auto Parts — 2.7% | |||
Ford Motor Co.: | |||
3.25%, 2/12/32 | 6,249 | $ 4,721,331 | |
4.75%, 1/15/43 | 2,651 | 1,844,822 | |
6.10%, 8/19/32 | 2,830 | 2,619,743 | |
7.45%, 7/16/31 | 794 | 801,866 | |
9.625%, 4/22/30 | 350 | 390,652 | |
Ford Motor Credit Co., LLC: | |||
2.90%, 2/16/28 | 568 | 483,774 | |
3.37%, 11/17/23 | 881 | 880,744 | |
3.625%, 6/17/31 | 2,065 | 1,633,519 | |
3.815%, 11/2/27 | 4,294 | 3,832,800 | |
4.00%, 11/13/30 | 1,461 | 1,204,620 | |
4.125%, 8/17/27 | 6,184 | 5,621,057 | |
4.271%, 1/9/27 | 752 | 696,569 | |
5.584%, 3/18/24 | 403 | 401,522 | |
Goodyear Tire & Rubber Co. (The), 5.00%, 7/15/29 | 1,995 | 1,718,758 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 2,806 | 2,234,937 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 2,705 | 823,775 | |
$ 29,910,489 |
Security | Principal Amount* (000's omitted) | Value | |
Banking & Thrifts — 0.2% | |||
JPMorgan Chase & Co., Series HH, 4.60% to 2/1/25(6)(7) | 2,385 | $ 2,227,980 | |
$ 2,227,980 | |||
Broadcasting — 0.6% | |||
Audacy Capital Corp., 6.75%, 3/31/29(1)(8) | 2,316 | $ 39,418 | |
Playtika Holding Corp., 4.25%, 3/15/29(1) | 2,349 | 1,896,958 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 2,038 | 1,885,727 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,183 | 941,673 | |
7.375%, 6/30/30(1) | 1,804 | 1,590,214 | |
$ 6,353,990 | |||
Building Materials — 2.2% | |||
AmeriTex HoldCo Intermediate, LLC, 10.25%, 10/15/28(1) | 3,920 | $ 3,711,260 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 3,014 | 2,402,315 | |
5.00%, 3/1/30(1) | 2,685 | 2,346,133 | |
MIWD Holdco II, LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 2,234 | 1,775,382 | |
PGT Innovations, Inc., 4.375%, 10/1/29(1) | 3,160 | 2,953,020 | |
Smyrna Ready Mix Concrete, LLC, 6.00%, 11/1/28(1) | 5,000 | 4,627,634 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(9) | EUR | 2,443 | 2,274,736 |
3.375%, 1/15/31(1) | 863 | 654,069 | |
4.375%, 7/15/30(1) | 2,932 | 2,398,325 | |
5.00%, 2/15/27(1) | 690 | 638,551 | |
$ 23,781,425 | |||
Cable & Satellite TV — 1.8% | |||
CCO Holdings, LLC/CCO Holdings Capital Corp.: | |||
4.50%, 8/15/30(1) | 5,982 | $ 4,804,535 | |
4.50%, 5/1/32 | 2,500 | 1,915,755 | |
4.75%, 3/1/30(1) | 4,255 | 3,516,131 | |
4.75%, 2/1/32(1) | 1,825 | 1,426,292 | |
5.00%, 2/1/28(1) | 1,895 | 1,703,060 | |
5.375%, 6/1/29(1) | 868 | 760,923 | |
6.375%, 9/1/29(1) | 3,715 | 3,403,527 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 2,454 | 2,432,871 | |
$ 19,963,094 | |||
Capital Goods — 1.6% | |||
Calderys Financing, LLC, 11.25%, 6/1/28(1) | 2,992 | $ 3,021,920 | |
Chart Industries, Inc., 9.50%, 1/1/31(1) | 4,038 | 4,163,885 |
Security | Principal Amount* (000's omitted) | Value | |
Capital Goods (continued) | |||
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(1) | 3,255 | $ 2,564,207 | |
Emerald Debt Merger Sub, LLC, 6.625%, 12/15/30(1) | 748 | 712,470 | |
Madison IAQ, LLC, 5.875%, 6/30/29(1) | 4,701 | 3,646,920 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 3,142 | 2,556,016 | |
7.50%, 10/15/27(1) | 415 | 395,750 | |
$ 17,061,168 | |||
Chemicals — 3.1% | |||
ASP Unifrax Holdings, Inc., 5.25%, 9/30/28(1) | 2,220 | $ 1,502,067 | |
Avient Corp., 7.125%, 8/1/30(1) | 3,581 | 3,449,081 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 5,435 | 5,124,662 | |
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) | 2,171 | 1,683,682 | |
Herens Midco S.a.r.l., 5.25%, 5/15/29(9) | EUR | 3,000 | 1,808,025 |
NOVA Chemicals Corp.: | |||
4.25%, 5/15/29(1) | 2,428 | 1,798,057 | |
4.875%, 6/1/24(1) | 2,442 | 2,402,498 | |
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 3,643 | 3,164,382 | |
Olympus Water US Holding Corp., 9.75%, 11/15/28(1) | 4,100 | 4,009,599 | |
SNF Group SACA: | |||
2.625%, 2/1/29(9) | EUR | 2,960 | 2,745,278 |
2.625%, 2/1/29(1) | EUR | 250 | 231,865 |
Valvoline, Inc., 3.625%, 6/15/31(1) | 2,654 | 2,020,848 | |
W.R. Grace Holdings, LLC: | |||
4.875%, 6/15/27(1) | 1,829 | 1,645,383 | |
7.375%, 3/1/31(1) | 2,211 | 2,051,565 | |
$ 33,636,992 | |||
Consumer Products — 1.1% | |||
Acushnet Co., 7.375%, 10/15/28(1) | 1,620 | $ 1,624,512 | |
CD&R Smokey Buyer, Inc., 6.75%, 7/15/25(1) | 1,545 | 1,478,086 | |
Edgewell Personal Care Co., 4.125%, 4/1/29(1) | 2,936 | 2,459,238 | |
Energizer Gamma Acquisition B.V., 3.50%, 6/30/29(9) | EUR | 2,600 | 2,178,829 |
Spectrum Brands, Inc., 3.875%, 3/15/31(1) | 1,773 | 1,421,006 | |
Tempur Sealy International, Inc., 3.875%, 10/15/31(1) | 3,954 | 2,966,206 | |
$ 12,127,877 | |||
Containers — 2.0% | |||
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(9) | EUR | 1,150 | $ 901,138 |
4.00%, 9/1/29(1) | 2,256 | 1,695,100 |
Security | Principal Amount* (000's omitted) | Value | |
Containers (continued) | |||
Ball Corp.: | |||
3.125%, 9/15/31 | 3,800 | $ 2,946,704 | |
6.875%, 3/15/28 | 989 | 987,119 | |
Berry Global, Inc., 5.625%, 7/15/27(1) | 2,026 | 1,936,050 | |
Canpack S.A./Canpack US, LLC, 3.875%, 11/15/29(1) | 3,826 | 3,008,460 | |
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 2,415 | 2,285,797 | |
Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31(1) | 4,733 | 4,336,611 | |
Sealed Air Corp./Sealed Air Corp. US, 6.125%, 2/1/28(1) | 467 | 445,081 | |
Trivium Packaging Finance B.V.: | |||
5.50%, 8/15/26(1) | 2,613 | 2,372,797 | |
8.50%, 8/15/27(1) | 1,500 | 1,253,883 | |
$ 22,168,740 | |||
Diversified Financial Services — 3.2% | |||
AG TTMT Escrow Issuer, LLC, 8.625%, 9/30/27(1) | 3,011 | $ 3,027,922 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(6)(7) | 3,182 | 2,075,376 | |
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 3,714 | 3,282,006 | |
Compass Group Diversified Holdings, LLC, 5.25%, 4/15/29(1) | 3,332 | 2,848,787 | |
GTCR W-2 Merger Sub, LLC, 7.50%, 1/15/31(1) | 2,784 | 2,751,288 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 3,591 | 3,064,108 | |
Jefferson Capital Holdings, LLC, 6.00%, 8/15/26(1) | 3,288 | 2,874,820 | |
Macquarie Airfinance Holdings, Ltd., 8.125%, 3/30/29(1) | 1,695 | 1,671,278 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 867 | 718,422 | |
3.875%, 2/15/31(1) | 2,176 | 1,798,208 | |
Oxford Finance, LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/1/27(1) | 2,769 | 2,526,159 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 1,906 | 1,784,064 | |
PROG Holdings, Inc., 6.00%, 11/15/29(1) | 1,660 | 1,408,809 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 2,036 | 1,774,801 | |
3.625%, 3/1/29(1) | 3,127 | 2,545,388 | |
4.00%, 10/15/33(1) | 425 | 312,872 | |
$ 34,464,308 | |||
Diversified Media — 1.7% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 1,226 | $ 1,016,757 | |
6.125%, 12/1/28(1) | 4,809 | 3,889,111 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Media (continued) | |||
Cars.com, Inc., 6.375%, 11/1/28(1) | 3,521 | $ 3,137,616 | |
Clear Channel Outdoor Holdings, Inc., 7.75%, 4/15/28(1) | 4,167 | 3,189,923 | |
Match Group Holdings II, LLC, 3.625%, 10/1/31(1) | 4,396 | 3,377,842 | |
Stagwell Global, LLC, 5.625%, 8/15/29(1) | 2,447 | 2,025,235 | |
Urban One, Inc., 7.375%, 2/1/28(1) | 2,139 | 1,760,751 | |
$ 18,397,235 | |||
Energy — 9.5% | |||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) | 3,039 | $ 3,021,283 | |
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 3,242 | 3,101,711 | |
7.875%, 5/15/26(1) | 1,283 | 1,293,345 | |
Callon Petroleum Co.: | |||
7.50%, 6/15/30(1) | 1,157 | 1,121,884 | |
8.00%, 8/1/28(1) | 3,002 | 2,969,943 | |
Cheniere Energy Partners, L.P.: | |||
4.00%, 3/1/31 | 2,552 | 2,139,217 | |
4.50%, 10/1/29 | 1,896 | 1,699,134 | |
Chord Energy Corp., 6.375%, 6/1/26(1) | 1,560 | 1,533,082 | |
Civitas Resources, Inc., 8.625%, 11/1/30(1) | 971 | 989,338 | |
CrownRock, L.P./CrownRock Finance, Inc., 5.00%, 5/1/29(1) | 2,637 | 2,489,592 | |
CVR Energy, Inc., 5.75%, 2/15/28(1) | 4,038 | 3,631,797 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 2,690 | 2,315,455 | |
Energy Transfer, L.P., 5.00%, 5/15/50 | 2,087 | 1,566,217 | |
EQM Midstream Partners, L.P.: | |||
4.50%, 1/15/29(1) | 2,111 | 1,853,344 | |
4.75%, 1/15/31(1) | 2,377 | 2,004,055 | |
6.00%, 7/1/25(1) | 410 | 401,348 | |
6.50%, 7/1/27(1) | 1,121 | 1,090,704 | |
7.50%, 6/1/30(1) | 1,881 | 1,847,501 | |
Kinetik Holdings, L.P., 5.875%, 6/15/30(1) | 4,659 | 4,279,429 | |
Nabors Industries, Ltd., 7.50%, 1/15/28(1) | 1,118 | 988,424 | |
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) | 5,066 | 5,020,019 | |
New Fortress Energy, Inc., 6.50%, 9/30/26(1) | 3,895 | 3,492,361 | |
Occidental Petroleum Corp.: | |||
8.50%, 7/15/27 | 3,859 | 4,115,180 | |
8.875%, 7/15/30 | 3,417 | 3,797,620 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 2,371 | 2,041,621 | |
4.625%, 5/1/30(1) | 2,389 | 2,039,238 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Permian Resources Operating, LLC: | |||
5.875%, 7/1/29(1) | 4,333 | $ 4,036,844 | |
7.00%, 1/15/32(1) | 2,551 | 2,475,383 | |
7.75%, 2/15/26(1) | 1,675 | 1,675,306 | |
Plains All American Pipeline, L.P., Series B, 9.736%, (3 mo. SOFR + 4.372%)(2)(6) | 4,050 | 3,826,088 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 1,307 | 1,211,436 | |
7.125%, 1/15/26(1) | 1,095 | 1,079,966 | |
Seadrill Finance, Ltd., 8.375%, 8/1/30(1) | 1,026 | 1,027,447 | |
Southwestern Energy Co.: | |||
4.75%, 2/1/32 | 2,583 | 2,223,853 | |
5.375%, 2/1/29(9) | 2,500 | 1,864,575 | |
Sunoco, L.P./Sunoco Finance Corp., 4.50%, 4/30/30 | 2,000 | 1,710,338 | |
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) | 2,921 | 2,494,432 | |
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) | 1,162 | 1,139,584 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 1,275 | 1,272,223 | |
Venture Global Calcasieu Pass, LLC: | |||
3.875%, 11/1/33(1) | 1,117 | 845,254 | |
4.125%, 8/15/31(1) | 1,449 | 1,166,491 | |
Venture Global LNG, Inc.: | |||
8.125%, 6/1/28(1) | 2,233 | 2,169,552 | |
8.375%, 6/1/31(1) | 3,572 | 3,411,260 | |
9.50%, 2/1/29(1) | 2,297 | 2,335,050 | |
9.875%, 2/1/32(1) | 2,312 | 2,345,787 | |
Vital Energy, Inc., 9.75%, 10/15/30 | 2,151 | 2,110,102 | |
Weatherford International, Ltd., 8.625%, 4/30/30(1) | 2,338 | 2,364,662 | |
Western Midstream Operating, L.P.: | |||
4.50%, 3/1/28 | 224 | 207,075 | |
4.75%, 8/15/28 | 224 | 208,591 | |
$ 104,044,141 | |||
Entertainment & Film — 0.3% | |||
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 3,166 | $ 2,737,220 | |
5.875%, 3/15/26(1) | 588 | 558,925 | |
8.75%, 5/1/25(1) | 247 | 249,846 | |
$ 3,545,991 | |||
Environmental — 1.7% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 1,029 | $ 960,356 | |
5.125%, 7/15/29(1) | 1,117 | 1,005,909 | |
6.375%, 2/1/31(1) | 585 | 556,734 |
Security | Principal Amount* (000's omitted) | Value | |
Environmental (continued) | |||
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 5,189 | $ 4,055,411 | |
5.00%, 9/1/30 | 804 | 623,652 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 5,074 | 4,350,400 | |
3.75%, 8/1/25(1) | 669 | 633,491 | |
4.75%, 6/15/29(1) | 7,293 | 6,391,674 | |
$ 18,577,627 | |||
Food & Drug Retail — 0.9% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | |||
4.875%, 2/15/30(1) | 2,492 | $ 2,227,687 | |
5.875%, 2/15/28(1) | 1,807 | 1,732,685 | |
Arko Corp., 5.125%, 11/15/29(1) | 4,001 | 3,248,332 | |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 3,410 | 2,715,110 | |
$ 9,923,814 | |||
Food, Beverage & Tobacco — 2.3% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 3,553 | $ 3,454,511 | |
Chobani, LLC/Chobani Finance Corp., Inc.: | |||
4.625%, 11/15/28(1) | 1,650 | 1,428,152 | |
7.50%, 4/15/25(1) | 3,194 | 3,140,465 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 3,482 | 3,270,118 | |
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) | 2,154 | 2,029,046 | |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 4,485 | 3,789,042 | |
5.50%, 10/15/27(1) | 1,504 | 1,407,931 | |
6.875%, 5/1/25(1) | 890 | 886,409 | |
Pilgrim's Pride Corp., 3.50%, 3/1/32 | 3,553 | 2,711,081 | |
US Foods, Inc., 4.75%, 2/15/29(1) | 3,511 | 3,100,572 | |
$ 25,217,327 | |||
Gaming — 3.0% | |||
Allwyn Entertainment Financing UK PLC, 7.875%, 4/30/29(1) | 3,554 | $ 3,521,872 | |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 784 | 645,108 | |
6.25%, 7/1/25(1) | 4,206 | 4,141,574 | |
7.00%, 2/15/30(1) | 1,535 | 1,482,838 | |
8.125%, 7/1/27(1) | 2,617 | 2,595,224 | |
CDI Escrow Issuer, Inc., 5.75%, 4/1/30(1) | 3,852 | 3,445,401 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc., 4.625%, 1/15/29(1) | 1,303 | 1,096,364 |
Security | Principal Amount* (000's omitted) | Value | |
Gaming (continued) | |||
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 1,237 | $ 1,165,155 | |
6.25%, 1/15/27(1) | 1,848 | 1,802,727 | |
6.50%, 2/15/25(1) | 1,009 | 1,003,161 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 3,759 | 3,198,420 | |
Light & Wonder International, Inc., 7.00%, 5/15/28(1) | 2,834 | 2,765,243 | |
MGM Resorts International: | |||
4.75%, 10/15/28 | 2,206 | 1,926,938 | |
5.50%, 4/15/27 | 779 | 727,494 | |
Raptor Acquisition Corp./Raptor Co.-Issuer, LLC, 4.875%, 11/1/26(1) | 3,500 | 3,260,302 | |
$ 32,777,821 | |||
Healthcare — 8.9% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(1) | 1,193 | $ 979,382 | |
athenahealth Group, Inc., 6.50%, 2/15/30(1) | 3,988 | 3,262,467 | |
Avantor Funding, Inc., 3.875%, 7/15/28(9) | EUR | 4,400 | 4,265,731 |
Bausch & Lomb Escrow Corp., 8.375%, 10/1/28(1) | ��� 2,780 | 2,764,710 | |
Catalent Pharma Solutions, Inc., 3.50%, 4/1/30(1) | 3,895 | 3,061,353 | |
Centene Corp.: | |||
3.00%, 10/15/30 | 2,015 | 1,596,460 | |
3.375%, 2/15/30 | 2,589 | 2,143,043 | |
4.625%, 12/15/29 | 507 | 453,329 | |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 2,543 | 2,119,772 | |
4.75%, 2/1/30 | 1,044 | 903,315 | |
Endo DAC/Endo Finance, LLC/Endo Finco, Inc., 5.875%, 10/15/24(1)(8) | 1,153 | 775,393 | |
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1)(8) | 2,774 | 1,833,767 | |
Fortrea Holdings, Inc., 7.50%, 7/1/30(1) | 3,977 | 3,842,776 | |
Grifols Escrow Issuer S.A., 4.75%, 10/15/28(1) | 4,906 | 4,125,259 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 5,695 | 4,885,452 | |
Heartland Dental, LLC/Heartland Dental Finance Corp., 10.50%, 4/30/28(1) | 6,200 | 5,966,756 | |
IQVIA, Inc.: | |||
2.25%, 3/15/29(9) | EUR | 1,816 | 1,618,694 |
5.00%, 5/15/27(1) | 1,329 | 1,251,684 | |
6.50%, 5/15/30(1) | 1,662 | 1,614,218 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,910 | 1,662,719 | |
Legacy LifePoint Health, LLC, 4.375%, 2/15/27(1) | 587 | 485,936 | |
LifePoint Health, Inc.: | |||
5.375%, 1/15/29(1) | 4,397 | 2,668,246 | |
9.875%, 8/15/30(1) | 1,665 | 1,506,825 | |
Medline Borrower, L.P., 5.25%, 10/1/29(1) | 7,014 | 5,977,378 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare (continued) | |||
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 1,586 | $ 1,157,463 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 2,104 | 1,990,510 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 2,889 | 2,359,720 | |
3.875%, 5/15/32(1) | 2,207 | 1,736,808 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 4,735 | 3,962,615 | |
P&L Development, LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 3,054 | 2,054,288 | |
Perrigo Finance Unlimited Co.: | |||
4.65%, 6/15/30 | 4,350 | 3,637,505 | |
4.90%, 12/15/44 | 1,242 | 849,731 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 1,328 | 1,243,022 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 3,962 | 3,143,728 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 272 | 230,322 | |
5.125%, 11/1/27 | 2,855 | 2,638,269 | |
6.125%, 10/1/28 | 3,985 | 3,699,594 | |
6.875%, 11/15/31 | 1,683 | 1,553,580 | |
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) | 5,799 | 4,939,265 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 2,282 | 2,239,336 | |
$ 97,200,421 | |||
Homebuilders & Real Estate — 3.4% | |||
Ashton Woods USA, LLC/Ashton Woods Finance Co.: | |||
4.625%, 8/1/29(1) | 1,516 | $ 1,228,181 | |
4.625%, 4/1/30(1) | 780 | 604,717 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,227 | 1,161,392 | |
CTR Partnership, L.P./CareTrust Capital Corp., 3.875%, 6/30/28(1) | 3,770 | 3,171,665 | |
Cushman & Wakefield US Borrower, LLC, 8.875%, 9/1/31(1) | 1,762 | 1,672,217 | |
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,923 | 1,661,626 | |
Greystar Real Estate Partners, LLC, 7.75%, 9/1/30(1) | 3,748 | 3,687,339 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 2,442 | 2,152,216 | |
3.75%, 9/15/30(1) | 3,492 | 2,510,515 | |
KB Home: | |||
4.00%, 6/15/31 | 162 | 126,697 | |
4.80%, 11/15/29 | 1,044 | 905,780 | |
M/I Homes, Inc., 4.95%, 2/1/28 | 1,537 | 1,376,129 | |
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc., 5.625%, 5/1/24 | 585 | 581,081 | |
National Health Investors, Inc., 3.00%, 2/1/31 | 3,117 | 2,248,943 |
Security | Principal Amount* (000's omitted) | Value | |
Homebuilders & Real Estate (continued) | |||
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | |||
4.625%, 3/15/30(1) | 1,687 | $ 1,355,445 | |
6.25%, 6/15/25(1) | 2,319 | 2,289,340 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 2,753 | 2,181,546 | |
VICI Properties, L.P./VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 543 | 489,107 | |
4.125%, 8/15/30(1) | 1,859 | 1,535,357 | |
4.625%, 12/1/29(1) | 4,004 | 3,467,145 | |
5.625%, 5/1/24(1) | 2,505 | 2,490,218 | |
$ 36,896,656 | |||
Hotels — 0.2% | |||
Resorts World Las Vegas, LLC/RWLV Capital, Inc.: | |||
4.625%, 4/16/29(9) | 500 | $ 384,525 | |
4.625%, 4/6/31(9) | 1,000 | ��� 706,095 | |
8.45%, 7/27/30(1) | 1,300 | 1,199,924 | |
$ 2,290,544 | |||
Insurance — 1.3% | |||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) | 4,758 | $ 4,349,430 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 2,466 | 2,113,972 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 4,700 | 4,101,887 | |
Jones DesLauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 3,252 | 3,230,675 | |
$ 13,795,964 | |||
Leisure — 3.4% | |||
Boyne USA, Inc., 4.75%, 5/15/29(1) | 3,617 | $ 3,152,602 | |
Carnival Corp., 5.75%, 3/1/27(1) | 3,536 | 3,159,547 | |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,452 | 1,407,515 | |
8.00%, 4/15/26(1) | 3,220 | 3,142,173 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1) | 1,430 | 1,376,813 | |
Lindblad Expeditions, LLC, 6.75%, 2/15/27(1) | 764 | 696,905 | |
NCL Corp., Ltd.: | |||
3.625%, 12/15/24(1) | 842 | 797,139 | |
5.875%, 3/15/26(1) | 2,292 | 2,059,110 | |
5.875%, 2/15/27(1) | 946 | 871,714 | |
7.75%, 2/15/29(1) | 1,792 | 1,565,446 | |
NCL Finance, Ltd., 6.125%, 3/15/28(1) | 1,732 | 1,449,826 | |
Royal Caribbean Cruises, Ltd., 11.625%, 8/15/27(1) | 3,713 | 4,030,610 | |
SeaWorld Parks & Entertainment, Inc., 5.25%, 8/15/29(1) | 4,227 | 3,686,367 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure (continued) | |||
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 2,674 | $ 2,389,313 | |
Viking Cruises, Ltd.: | |||
5.875%, 9/15/27(1) | 4,354 | 3,926,459 | |
6.25%, 5/15/25(1) | 1,820 | 1,780,155 | |
7.00%, 2/15/29(1) | 753 | 682,101 | |
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) | 521 | 462,304 | |
$ 36,636,099 | |||
Metals & Mining — 1.8% | |||
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 2,968 | $ 2,548,650 | |
First Quantum Minerals, Ltd.: | |||
6.875%, 3/1/26(1) | 1,448 | 1,274,240 | |
7.50%, 4/1/25(1) | 1,695 | 1,592,519 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 2,400 | 1,977,912 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 2,459 | 2,291,172 | |
6.125%, 4/1/29(1) | 2,069 | 1,853,943 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 983 | 923,337 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 1,755 | 1,564,200 | |
4.75%, 1/30/30(1) | 2,548 | 2,164,639 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 3,847 | 3,267,103 | |
$ 19,457,715 | |||
Paper — 0.3% | |||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) | 4,583 | $ 3,224,576 | |
$ 3,224,576 | |||
Publishing & Printing — 0.6% | |||
LABL, Inc.: | |||
5.875%, 11/1/28(1) | 767 | $ 650,509 | |
8.25%, 11/1/29(1) | 2,037 | 1,516,292 | |
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 1,405 | 1,185,679 | |
8.00%, 8/1/29(1) | 3,566 | 2,943,020 | |
$ 6,295,500 | |||
Railroad — 0.4% | |||
Watco Cos., LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 4,400 | $ 4,104,295 | |
$ 4,104,295 |
Security | Principal Amount* (000's omitted) | Value | |
Restaurant — 1.5% | |||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,761 | $ 1,573,749 | |
4.00%, 10/15/30(1) | 4,616 | 3,785,015 | |
5.75%, 4/15/25(1) | 581 | 576,800 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 4,883 | 4,851,309 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 2,978 | 2,958,477 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 2,452 | 1,993,690 | |
$ 15,739,040 | |||
Services — 6.4% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 3,652 | $ 3,329,600 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 2,712 | 2,542,025 | |
9.75%, 7/15/27(1) | 2,000 | 1,739,532 | |
Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l.: | |||
4.625%, 6/1/28(1) | 1,076 | 877,852 | |
4.625%, 6/1/28(1) | 1,231 | 1,008,133 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 4,407 | 3,778,259 | |
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 5,653 | 5,190,330 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 4,889 | 4,129,494 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 605 | 511,541 | |
3.75%, 10/1/30(1) | 2,100 | 1,741,288 | |
4.50%, 7/1/28(1) | 1,449 | 1,305,880 | |
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC, 7.125%, 7/31/26(1) | 5,546 | 5,344,237 | |
Hertz Corp. (The): | |||
4.625%, 12/1/26(1) | 372 | 311,951 | |
5.00%, 12/1/29(1) | 2,980 | 2,143,139 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 4,502 | 3,928,707 | |
Korn Ferry, 4.625%, 12/15/27(1) | 4,099 | 3,732,609 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 2,776 | 2,383,154 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 1,082 | 1,061,689 | |
7.75%, 3/15/31(1) | 1,945 | 1,952,294 | |
SRS Distribution, Inc.: | |||
6.00%, 12/1/29(1) | 1,481 | 1,234,517 | |
6.125%, 7/1/29(1) | 2,668 | 2,236,891 | |
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1) | 2,854 | 2,487,846 | |
VT Topco, Inc., 8.50%, 8/15/30(1) | 3,907 | 3,815,361 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 4,401 | 4,074,930 | |
WESCO Distribution, Inc., 7.25%, 6/15/28(1) | 1,743 | 1,733,797 | |
White Cap Buyer, LLC, 6.875%, 10/15/28(1) | 2,393 | 2,090,848 |
Security | Principal Amount* (000's omitted) | Value | |
Services (continued) | |||
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(10) | 1,481 | $ 1,391,305 | |
Windsor Holdings III, LLC, 8.50%, 6/15/30(1) | 4,082 | 3,978,793 | |
$ 70,056,002 | |||
Steel — 0.8% | |||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 | 2,155 | $ 2,148,276 | |
ATI, Inc., 5.875%, 12/1/27 | 86 | 79,884 | |
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,292 | 1,277,646 | |
Cleveland-Cliffs, Inc., 6.75%, 3/15/26(1) | 3,792 | 3,774,451 | |
TMS International Corp., 6.25%, 4/15/29(1) | 2,204 | 1,741,154 | |
$ 9,021,411 | |||
Super Retail — 3.7% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 839 | $ 710,769 | |
4.75%, 3/1/30 | 743 | 631,460 | |
5.00%, 2/15/32(1) | 2,334 | 1,895,455 | |
Bath & Body Works, Inc.: | |||
6.75%, 7/1/36 | 694 | 599,319 | |
6.875%, 11/1/35 | 2,146 | 1,895,920 | |
6.95%, 3/1/33 | 1,621 | 1,403,345 | |
7.60%, 7/15/37 | 198 | 168,084 | |
9.375%, 7/1/25(1) | 289 | 297,922 | |
Evergreen AcqCo 1, L.P./TVI, Inc., 9.75%, 4/26/28(1) | 4,308 | 4,350,972 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,497 | 1,290,141 | |
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) | 2,048 | 1,733,897 | |
Kohl's Corp., 4.625%, 5/1/31 | 1,685 | 1,154,057 | |
LCM Investments Holdings II, LLC: | |||
4.875%, 5/1/29(1) | 2,840 | 2,382,980 | |
8.25%, 8/1/31(1) | 529 | 503,715 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 905 | 749,697 | |
4.375%, 1/15/31(1) | 3,144 | 2,548,839 | |
Macy's Retail Holdings, LLC, 5.875%, 4/1/29(1) | 1,169 | 1,031,789 | |
Metis Merger Sub, LLC, 6.50%, 5/15/29(1) | 5,932 | 4,853,453 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 2,225 | 1,971,258 | |
7.75%, 2/15/29(1) | 3,088 | 2,845,923 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,961 | 1,635,071 | |
4.875%, 11/15/31(1) | 1,634 | 1,303,306 |
Security | Principal Amount* (000's omitted) | Value | |
Super Retail (continued) | |||
William Carter Co. (The), 5.625%, 3/15/27(1) | 1,510 | $ 1,432,283 | |
Wolverine World Wide, Inc., 4.00%, 8/15/29(1) | 3,600 | 2,688,038 | |
$ 40,077,693 | |||
Technology — 5.0% | |||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) | 2,048 | $ 1,827,840 | |
Booz Allen Hamilton, Inc.: | |||
3.875%, 9/1/28(1) | 2,659 | 2,378,941 | |
4.00%, 7/1/29(1) | 1,006 | 888,937 | |
Central Parent, LLC/CDK Global II, LLC/CDK Financing Co., Inc., 8.00%, 6/15/29(1) | 2,168 | 2,143,605 | |
Ciena Corp., 4.00%, 1/31/30(1) | 1,543 | 1,287,425 | |
Clarios Global, L.P., 6.75%, 5/15/25(1) | 653 | 648,444 | |
Clarios Global, L.P./Clarios US Finance Co.: | |||
4.375%, 5/15/26(9) | EUR | 2,958 | 3,002,854 |
8.50%, 5/15/27(1) | 3,369 | 3,323,349 | |
Cloud Software Group, Inc.: | |||
6.50%, 3/31/29(1) | 1,976 | 1,736,722 | |
9.00%, 9/30/29(1) | 4,217 | 3,595,014 | |
Coherent Corp., 5.00%, 12/15/29(1) | 3,540 | 3,008,734 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 2,227 | 1,985,633 | |
McAfee Corp., 7.375%, 2/15/30(1) | 3,642 | 2,916,771 | |
NCR Voyix Corp.: | |||
5.125%, 4/15/29(1) | 1,782 | 1,534,287 | |
5.25%, 10/1/30(1) | 1,566 | 1,298,623 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 3,132 | 2,694,037 | |
Open Text Corp., 3.875%, 2/15/28(1) | 1,596 | 1,388,935 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 1,481 | 1,229,014 | |
Presidio Holdings, Inc.: | |||
4.875%, 2/1/27(1) | 412 | 377,998 | |
8.25%, 2/1/28(1) | 4,481 | 4,244,844 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 803 | 693,151 | |
9.625%, 12/1/32(1) | 2,132 | 2,275,182 | |
Sensata Technologies B.V., 5.00%, 10/1/25(1) | 842 | 819,572 | |
Sensata Technologies, Inc., 3.75%, 2/15/31(1) | 3,219 | 2,580,679 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 961 | 902,641 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 2,295 | 1,788,971 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 4,657 | 4,128,593 | |
$ 54,700,796 | |||
Telecommunications — 2.6% | |||
Altice Financing S.A., 5.00%, 1/15/28(1) | 1,945 | $ 1,583,389 | |
Altice France S.A.: | |||
5.125%, 7/15/29(1) | 1,060 | 726,467 |
Security | Principal Amount* (000's omitted) | Value | |
Telecommunications (continued) | |||
Altice France S.A.: (continued) | |||
5.50%, 1/15/28(1) | 1,052 | $ 782,648 | |
8.125%, 2/1/27(1) | 3,263 | 2,754,299 | |
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) | 5,756 | 5,371,995 | |
Iliad Holding SASU: | |||
6.50%, 10/15/26(1) | 2,687 | 2,513,290 | |
7.00%, 10/15/28(1) | 1,592 | 1,441,966 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 2,163 | 1,687,184 | |
6.75%, 10/15/27(1) | 425 | 385,058 | |
Level 3 Financing, Inc., 4.25%, 7/1/28(1) | 2,084 | 1,180,384 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 1,985 | 2,038,617 | |
Sprint, LLC, 7.625%, 2/15/25 | 1,145 | 1,162,205 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 888 | 776,032 | |
Virgin Media Finance PLC, 5.00%, 7/15/30(1) | 1,029 | 810,002 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(9) | GBP | 1,106 | 1,130,555 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 2,420 | 2,056,687 | |
Ziggo B.V., 4.875%, 1/15/30(1) | 2,756 | 2,203,583 | |
$ 28,604,361 | |||
Transport Excluding Air & Rail — 0.2% | |||
Seaspan Corp., 5.50%, 8/1/29(1) | 3,386 | $ 2,601,057 | |
$ 2,601,057 | |||
Utility — 3.7% | |||
Calpine Corp.: | |||
4.50%, 2/15/28(1) | 1,810 | $ 1,633,758 | |
4.625%, 2/1/29(1) | 2,060 | 1,741,601 | |
5.00%, 2/1/31(1) | 420 | 339,185 | |
5.125%, 3/15/28(1) | 3,554 | 3,183,964 | |
Ferrellgas, L.P./Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 4,428 | 3,911,447 | |
FirstEnergy Corp.: | |||
2.65%, 3/1/30 | 750 | 605,687 | |
Series B, 4.15%, 7/15/27 | 2,275 | 2,107,620 | |
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1) | 2,400 | 1,962,915 | |
NextEra Energy Operating Partners, L.P., 4.50%, 9/15/27(1) | 1,628 | 1,459,266 | |
NRG Energy, Inc.: | |||
3.375%, 2/15/29(1) | 970 | 790,620 | |
3.625%, 2/15/31(1) | 1,617 | 1,222,253 |
Security | Principal Amount* (000's omitted) | Value | |
Utility (continued) | |||
NRG Energy, Inc.: (continued) | |||
3.875%, 2/15/32(1) | 3,164 | $ 2,356,073 | |
5.25%, 6/15/29(1) | 3,247 | 2,868,434 | |
10.25% to 3/15/28(1)(6)(7) | 2,762 | 2,669,272 | |
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 1,596 | 1,392,801 | |
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 2,345 | 1,944,823 | |
TerraForm Power Operating, LLC, 5.00%, 1/31/28(1) | 2,981 | 2,733,890 | |
TransAlta Corp., 7.75%, 11/15/29 | 3,684 | 3,669,348 | |
Vistra Operations Co., LLC: | |||
4.375%, 5/1/29(1) | 2,094 | 1,780,968 | |
5.00%, 7/31/27(1) | 2,344 | 2,146,392 | |
$ 40,520,317 | |||
Total Corporate Bonds (identified cost $1,040,839,756) | $ 937,978,972 |
Preferred Stocks — 0.3% |
Security | Shares | Value | |
Services — 0.3% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(7) | 147,488 | $ 3,932,030 | |
Total Preferred Stocks (identified cost $4,129,729) | $ 3,932,030 |
Senior Floating-Rate Loans — 5.2%(11) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace — 0.2% | |||
TransDigm, Inc., Term Loan, 8.64%, (SOFR + 3.25%), 8/24/28 | $ | 1,696 | $ 1,695,414 |
$ 1,695,414 | |||
Air Transportation — 0.6% | |||
Air Canada, Term Loan, 9.128%, (SOFR + 3.50%), 8/11/28 | $ | 2,669 | $ 2,668,183 |
Mileage Plus Holdings, LLC, Term Loan, 10.798%, (SOFR + 5.25%), 6/21/27 | 3,258 | 3,360,784 | |
$ 6,028,967 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Broadcasting — 0.1% | |||
ABG Intermediate Holdings 2, LLC, Term Loan, 8.924%, (SOFR + 3.50%), 12/21/28 | $ | 1,253 | $ 1,251,540 |
$ 1,251,540 | |||
Capital Goods — 0.3% | |||
DexKo Global, Inc., Term Loan, 9.64%, (SOFR + 4.25%), 10/4/28 | $ | 1,501 | $ 1,453,625 |
EMRLD Borrower, L.P., Term Loan, 8.38%, (SOFR + 3.00%), 5/31/30 | 1,631 | 1,629,761 | |
$ 3,083,386 | |||
Gaming — 0.6% | |||
Peninsula Pacific Entertainment, LLC, Term Loan, 13.00%, 12/24/29(12) | $ | 2,351 | $ 2,351,333 |
Spectacle Gary Holdings, LLC, Term Loan, 9.674%, (SOFR + 4.25%), 12/10/28 | 4,255 | 4,158,048 | |
$ 6,509,381 | |||
Healthcare — 1.1% | |||
athenahealth Group, Inc., Term Loan, 8.577%, (SOFR + 3.25%), 2/15/29 | $ | 1,772 | $ 1,717,384 |
Jazz Financing Lux S.a.r.l., Term Loan, 8.939%, (SOFR + 3.50%), 5/5/28 | 2,599 | 2,601,949 | |
Pearl Intermediate Parent, LLC, Term Loan - Second Lien, 11.674%, (SOFR + 6.25%), 2/13/26 | 819 | 818,318 | |
Pluto Acquisition I, Inc., Term Loan, 9.684%, (SOFR + 4.00%), 6/22/26 | 4,178 | 3,551,048 | |
Verscend Holding Corp., Term Loan, 9.439%, (SOFR + 4.00%), 8/27/25 | 3,706 | 3,708,336 | |
$ 12,397,035 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., Term Loan, 12.263%, (SOFR + 6.50%), 5/25/27 | $ | 2,061 | $ 2,073,278 |
$ 2,073,278 | |||
Restaurant — 0.5% | |||
IRB Holding Corp., Term Loan, 8.424%, (SOFR + 3.00%), 12/15/27 | $ | 5,221 | $ 5,171,762 |
$ 5,171,762 | |||
Services — 0.6% | |||
AlixPartners, LLP, Term Loan, 8.189%, (SOFR + 2.75%), 2/4/28 | $ | 5,614 | $ 5,614,164 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Services (continued) | |||
Spin Holdco, Inc., Term Loan, 9.664%, (SOFR + 4.00%), 3/4/28 | $ | 1,676 | $ 1,440,540 |
$ 7,054,704 | |||
Super Retail — 0.6% | |||
Mavis Tire Express Services Corp., Term Loan, 9.439%, (SOFR + 4.00%), 5/4/28 | $ | 2,365 | $ 2,333,912 |
Michaels Companies, Inc., Term Loan, 9.902%, (SOFR + 4.25%), 4/15/28 | 1,856 | 1,555,657 | |
PetSmart, Inc., Term Loan, 9.174%, (SOFR + 3.75%), 2/11/28 | 2,323 | 2,299,569 | |
$ 6,189,138 | |||
Technology — 0.4% | |||
Clarios Global, L.P., Term Loan, 9.074%, (SOFR + 3.75%), 5/6/30 | $ | 1,878 | $ 1,877,414 |
Riverbed Technology, Inc., Term Loan, 9.89%, (SOFR + 4.50%), 7/1/28 | 500 | 326,736 | |
Travelport Finance (Luxembourg) S.a.r.l., Term Loan, 12.652%, (SOFR + 7.00%), 2/28/25 | 2,764 | 2,634,429 | |
$ 4,838,579 | |||
Total Senior Floating-Rate Loans (identified cost $57,061,054) | $ 56,293,184 |
Miscellaneous — 0.4% |
Security | Principal Amount/ Shares | Value | |
Cable & Satellite TV — 0.0% | |||
ACC Claims Holdings, LLC(4) | 8,415,190 | $ 0 | |
$ 0 | |||
Diversified Media — 0.0% | |||
National CineMedia, Inc., Escrow Certificates(3)(4) | $ | 1,660,000 | $ 0 |
$ 0 | |||
Gaming — 0.4% | |||
PGP Investors, LLC, Membership Interests(3)(4)(5) | 15,849 | $ 4,402,942 | |
$ 4,402,942 |
Security | Principal Amount/ Shares | Value | |
Services — 0.0%(13) | |||
Hertz Corp., Escrow Certificates(3) | $ | 502,000 | $ 45,180 |
$ 45,180 | |||
Total Miscellaneous (identified cost $0) | $ 4,448,122 |
Short-Term Investments — 3.5% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(14) | 37,843,239 | $ 37,843,239 | |
Total Short-Term Investments (identified cost $37,843,239) | $ 37,843,239 | ||
Total Investments — 98.4% (identified cost $1,174,918,976) | $1,073,375,854 | ||
Other Assets, Less Liabilities — 1.6% | $ 17,449,823 | ||
Net Assets — 100.0% | $1,090,825,677 |
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 October 31, 2023, the aggregate value of these securities is $816,345,128 or 74.8% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at October 31, 2023. |
(3) | Non-income producing security. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(5) | Restricted security. |
(6) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(8) | Issuer is in default with respect to interest and/or principal payments. |
(9) | 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 October 31, 2023, the aggregate value of these securities is $22,881,035 or 2.1% of the Portfolio's net assets. |
(10) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(11) | 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 Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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. |
(12) | Fixed-rate loan. |
(13) | Amount is less than 0.05%. |
(14) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 9,090,545 | EUR | 8,549,684 | State Street Bank and Trust Company | 1/31/24 | $ 5,421 | $ — |
USD | 10,267,930 | EUR | 9,665,938 | State Street Bank and Trust Company | 1/31/24 | — | (3,355) |
USD | 1,136,684 | GBP | 934,777 | State Street Bank and Trust Company | 1/31/24 | — | (318) |
$5,421 | $(3,673) |
Abbreviations: | |
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 |
October 31, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,137,075,737) | $ 1,035,532,615 |
Affiliated investments, at value (identified cost $37,843,239) | 37,843,239 |
Cash | 166,789 |
Foreign currency, at value (identified cost $1,637) | 1,639 |
Interest receivable | 16,637,591 |
Dividends receivable from affiliated investments | 180,866 |
Receivable for investments sold | 2,906,492 |
Receivable for open forward foreign currency exchange contracts | 5,421 |
Trustees' deferred compensation plan | 194,037 |
Total assets | $1,093,468,689 |
Liabilities | |
Payable for investments purchased | $ 1,736,977 |
Payable for open forward foreign currency exchange contracts | 3,673 |
Payable to affiliates: | |
Investment adviser fee | 449,401 |
Trustees' fees | 5,865 |
Trustees' deferred compensation plan | 194,037 |
Accrued expenses | 253,059 |
Total liabilities | $ 2,643,012 |
Net Assets applicable to investors' interest in Portfolio | $1,090,825,677 |
Year Ended | |
October 31, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $1,345) | $ 867,132 |
Dividend income from affiliated investments | 2,059,660 |
Interest and other income | 67,898,902 |
Total investment income | $ 70,825,694 |
Expenses | |
Investment adviser fee | $ 5,153,891 |
Trustees’ fees and expenses | 68,398 |
Custodian fee | 279,789 |
Legal and accounting services | 132,226 |
Interest expense on securities sold short | 43,196 |
Miscellaneous | 40,164 |
Total expenses | $ 5,717,664 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 66,281 |
Total expense reductions | $ 66,281 |
Net expenses | $ 5,651,383 |
Net investment income | $ 65,174,311 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ 11,290,872 |
Securities sold short | (232,492) |
Foreign currency transactions | 35,530 |
Forward foreign currency exchange contracts | (528,593) |
Net realized gain | $ 10,565,317 |
Change in unrealized appreciation (depreciation): | |
Investments | $ (10,228,619) |
Foreign currency | 1,418 |
Forward foreign currency exchange contracts | (198,181) |
Net change in unrealized appreciation (depreciation) | $(10,425,382) |
Net realized and unrealized gain | $ 139,935 |
Net increase in net assets from operations | $ 65,314,246 |
Year Ended October 31, | ||
2023 | 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 65,174,311 | $ 51,594,657 |
Net realized gain (loss) | 10,565,317 | (5,282,108) |
Net change in unrealized appreciation (depreciation) | (10,425,382) | (141,360,652) |
Net increase (decrease) in net assets from operations | $ 65,314,246 | $ (95,048,103) |
Capital transactions: | ||
Contributions | $ 295,215,386 | $ 343,450,718 |
Withdrawals | (289,977,325) | (228,224,245) |
Net increase in net assets from capital transactions | $ 5,238,061 | $ 115,226,473 |
Net increase in net assets | $ 70,552,307 | $ 20,178,370 |
Net Assets | ||
At beginning of year | $ 1,020,273,370 | $ 1,000,095,000 |
At end of year | $1,090,825,677 | $1,020,273,370 |
Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 |
Ratios (as a percentage of average daily net assets): | |||||
Expenses | 0.53% (1) | 0.49% (1) | 0.49% | 0.51% | 0.50% |
Net investment income | 6.07% | 4.82% | 4.78% | 5.26% | 5.61% |
Portfolio Turnover | 29% | 19% | 64% | 67% | 32% |
Total Return | 6.66% | (8.20)% | 13.11% | 1.69% | 7.74% |
Net assets, end of year (000’s omitted) | $1,090,826 | $1,020,273 | $1,000,095 | $949,751 | $1,088,999 |
(1) | 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 years ended October 31, 2023 and 2022, respectively). |
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 | $1,184,986,070 |
Gross unrealized appreciation | $ 8,453,602 |
Gross unrealized depreciation | (120,063,818) |
Net unrealized depreciation | $ (111,610,216) |
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 | $ 1,380,162 |
iFIT Health and Fitness, Inc. | 10/6/22 | 514,080 | 1,799,280 | 0 |
New Cotai Participation Corp., Class B | 4/12/13 | 7 | 216,125 | 0 |
Total Common Stocks | $2,015,405 | $1,380,162 | ||
Miscellaneous | ||||
PGP Investors, LLC, Membership Interests | 2/18/15, 4/23/18, 12/17/21 | 15,849 | $ 0 | $ 4,402,942 |
Total Miscellaneous | $ 0 | $4,402,942 | ||
Total Restricted Securities | $2,015,405 | $5,783,104 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $5,421 (1) | $(3,673) (2) |
(1) | Statement of Assets and Liabilities location: Receivable for 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) |
State Street Bank and Trust Company | $5,421 | $(3,673) | $ — | $ — | $1,748 |
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) |
State Street Bank and Trust Company | $(3,673) | $3,673 | $ — | $ — | $ — |
(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 | $(528,593) | $(198,181) |
(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 | $420,330,355 | $(420,396,832) | $ — | $ — | $37,843,239 | $2,059,660 | 37,843,239 |
• | 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 | $ — | $ 18,800,846 | $ — | $ 18,800,846 |
Common Stocks | 3,878,904 | — | 1,380,162 | 5,259,066 |
Convertible Bonds | — | 8,820,395 | — | 8,820,395 |
Corporate Bonds | — | 937,978,972 | — | 937,978,972 |
Preferred Stocks | 3,932,030 | — | — | 3,932,030 |
Senior Floating-Rate Loans | — | 56,293,184 | — | 56,293,184 |
Miscellaneous | — | 45,180 | 4,402,942 | 4,448,122 |
Asset Description (continued) | Level 1 | Level 2 | Level 3* | Total |
Short-Term Investments | $ 37,843,239 | $ — | $ — | $ 37,843,239 |
Total Investments | $ 45,654,173 | $ 1,021,938,577 | $ 5,783,104 | $ 1,073,375,854 |
Forward Foreign Currency Exchange Contracts | $ — | $ 5,421 | $ — | $ 5,421 |
Total | $ 45,654,173 | $ 1,021,943,998 | $ 5,783,104 | $ 1,073,381,275 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (3,673) | $ — | $ (3,673) |
Total | $ — | $ (3,673) | $ — | $ (3,673) |
* | 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) | (2,037,720) | (1,261,487) | 37,689,526 | 34,390,319 |
Change in net unrealized appreciation (depreciation) | 1,408,847 | 1,239,137 | (29,665,729) | (27,017,745) |
Cost of purchases | — | — | 0 | 0 |
Proceeds from sales, including return of capital | — | — | (37,984,898) | (37,984,898) |
Accrued discount (premium) | — | — | — | — |
Transfers to Level 3(1) | 18,079 | 22,350 | — | 40,429 |
Transfers from Level 3 | — | — | — | — |
Balance as of October 31, 2023 | $ 1,380,162 | $ — | $ 4,402,942 | $ 5,783,104 |
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2023 | $ (610,794) | $ — | $ (3,800,964) | $ (4,411,758) |
(1) | Transferred to Level 3 due to a decrease in observable inputs. |
Type of Investment | Fair Value as of October 31, 2023 | Valuation Technique | Unobservable Input | Input | Impact to Valuation from an Increase to Input* |
Common Stocks | $1,380,162 | Market approach | EBITDA multiple discount rate | 15% | Decrease |
Miscellaneous | 4,402,942 | Market approach | Liquidity discount | 15% | Decrease |
Included in common stocks and miscellaneous are securites 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. |
Boston, Massachusetts
December 22, 2023
Directors pertaining to the operation, adequacy, and effectiveness of implementation of the Program, as well as the operation of the highly liquid investment minimum (if applicable) for the period January 1, 2022 through December 31, 2022 (Review Period). The Program operated effectively during the Review Period, supporting the administrator’s ability to assess, manage and monitor Fund liquidity risk, including during periods of market volatility and net redemptions. During the Review Period, the Fund met redemption requests on a timely basis.
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Interested Trustee | |||
Anchal Pachnanda(1) 1980 | Trustee | Since 2023 | Co-Head of Strategy of MSIM (since 2019). Formerly, Head of Strategy of MSIM (2017-2019). Ms. Pachnanda is an interested person because of her position with MSIM, which is an affiliate of the Trust. Other Directorships. None. |
Noninterested Trustees | |||
Alan C. Bowser 1962 | Trustee | Since 2022 | Private investor. Formerly, Chief Diversity Officer, Partner and a member of the Operating Committee, and formerly served as Senior Advisor on Diversity and Inclusion for the firm’s chief executive officer, Co-Head of the Americas Region, and Senior Client Advisor of Bridgewater Associates, an asset management firm (2011- 2023). Other Directorships. Independent Director of Stout Risius Ross (a middle market professional services advisory firm) (since 2021). |
Mark R. Fetting 1954 | Trustee | Since 2016 | Private investor. Formerly held various positions at Legg Mason, Inc. (investment management firm) (2000-2012), including President, Chief Executive Officer, Director and Chairman (2008-2012), Senior Executive Vice President (2004-2008) and Executive Vice President (2001-2004). Formerly, President of Legg Mason family of funds (2001-2008). Formerly, Division President and Senior Officer of Prudential Financial Group, Inc. and related companies (investment management firm) (1991-2000). Other Directorships. None. |
Cynthia E. Frost 1961 | Trustee | Since 2014 | Private investor. Formerly, Chief Investment Officer of Brown University (university endowment) (2000-2012). Formerly, Portfolio Strategist for Duke Management Company (university endowment manager) (1995-2000). Formerly, Managing Director, Cambridge Associates (investment consulting company) (1989-1995). Formerly, Consultant, Bain and Company (management consulting firm) (1987-1989). Formerly, Senior Equity Analyst, BA Investment Management Company (1983-1985). Other Directorships. None. |
George J. Gorman 1952 | Chairperson of the Board and Trustee | Since 2021 (Chairperson) and 2014 (Trustee) | Principal at George J. Gorman LLC (consulting firm). Formerly, Senior Partner at Ernst & Young LLP (a registered public accounting firm) (1974-2009). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) and Other Directorships During Past Five Years and Other Relevant Experience |
Noninterested Trustees (continued) | |||
Valerie A. Mosley 1960 | Trustee | Since 2014 | Chairwoman and Chief Executive Officer of Valmo Ventures (a consulting and investment firm). Founder of Upward Wealth, Inc., dba BrightUp, a fintech platform. Formerly, Partner and Senior Vice President, Portfolio Manager and Investment Strategist at Wellington Management Company, LLP (investment management firm) (1992-2012). Formerly, Chief Investment Officer, PG Corbin Asset Management (1990-1992). Formerly worked in institutional corporate bond sales at Kidder Peabody (1986-1990). Other Directorships. Director of DraftKings, Inc. (digital sports entertainment and gaming company) (since September 2020). Director of Envestnet, Inc. (provider of intelligent systems for wealth management and financial wellness) (since 2018). Formerly, Director of Dynex Capital, Inc. (mortgage REIT) (2013-2020) and Director of Groupon, Inc. (ecommerce provider) (2020-2022). |
Keith Quinton 1958 | Trustee | Since 2018 | Private investor, researcher and lecturer. Formerly, Independent Investment Committee Member at New Hampshire Retirement System (2017-2021). Formerly, Portfolio Manager and Senior Quantitative Analyst at Fidelity Investments (investment management firm) (2001-2014). Other Directorships. Formerly, Director (2016-2021) and Chairman (2019-2021) of New Hampshire Municipal Bond Bank. |
Marcus L. Smith 1966 | Trustee | Since 2018 | Private investor and independent corporate director. Formerly, Chief Investment Officer, Canada (2012-2017), Chief Investment Officer, Asia (2010-2012), Director of Asian Research (2004-2010) and portfolio manager (2001-2017) at MFS Investment Management (investment management firm). Other Directorships. Director of First Industrial Realty Trust, Inc. (an industrial REIT) (since 2021). Director of MSCI Inc. (global provider of investment decision support tools) (since 2017). Formerly, Director of DCT Industrial Trust Inc. (logistics real estate company) (2017-2018). |
Susan J. Sutherland 1957 | Trustee | Since 2015 | Private investor. Director of Ascot Group Limited and certain of its subsidiaries (insurance and reinsurance) (since 2017). Formerly, Director of Hagerty Holding Corp. (insurance) (2015-2018) and Montpelier Re Holdings Ltd. (insurance and reinsurance) (2013-2015). Formerly, Associate, Counsel and Partner at Skadden, Arps, Slate, Meagher & Flom LLP (law firm) (1982-2013). Other Directorships. Formerly, Director of Kairos Acquisition Corp. (insurance/InsurTech acquisition company) (2021-2023). |
Scott E. Wennerholm 1959 | Trustee | Since 2016 | Private investor. Formerly, Trustee at Wheelock College (postsecondary institution) (2012-2018). Formerly, Consultant at GF Parish Group (executive recruiting firm) (2016-2017). Formerly, Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm) (2005-2011). Formerly, Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm) (1997-2004). Formerly, Vice President at Fidelity Investments Institutional Services (investment management firm) (1994-1997). Other Directorships. None. |
Nancy A. Wiser 1967 | Trustee | Since 2022 | Formerly, Executive Vice President and the Global Head of Operations at Wells Fargo Asset Management (2011-2021). Other Directorships. None. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees | |||
Kenneth A. Topping 1966 | President | Since 2023 | Vice President and Chief Administrative Officer of EVM and BMR and Chief Operating Officer for Public Markets at MSIM. Also Vice President of Calvert Research and Management (“CRM”) since 2021. Formerly, Chief Operating Officer for Goldman Sachs Asset Management 'Classic’ (2009-2020). |
Deidre E. Walsh 1971 | Vice President and Chief Legal Officer | Since 2009 | Vice President of EVM and BMR. Also Vice President of CRM. |
James F. Kirchner 1967 | Treasurer | Since 2007 | Vice President of EVM and BMR. Also Vice President of CRM. |
Name and Year of Birth | Trust/Portfolio Position(s) | Length of Service | Principal Occupation(s) During Past Five Years |
Principal Officers who are not Trustees (continued) | |||
Nicholas S. Di Lorenzo 1987 | Secretary | Since 2022 | Formerly, associate (2012-2021) and counsel (2022) at Dechert LLP. |
Richard F. Froio 1968 | Chief Compliance Officer | Since 2017 | Vice President of EVM and BMR since 2017. Formerly, Deputy Chief Compliance Officer (Adviser/Funds) and Chief Compliance Officer (Distribution) at PIMCO (2012-2017) and Managing Director at BlackRock/Barclays Global Investors (2009-2012). |
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
200 Berkeley Street
Boston, MA 02116-5022
Boston, MA 02110
Item 2. Code of Ethics
The registrant (sometimes referred to as the “Fund”) has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122. The registrant has not amended the code of ethics as described in Form N-CSR during the period covered by this report. The registrant has not granted any waiver, including an implicit waiver, from a provision of the code of ethics as described in Form N-CSR during the period covered by this report.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees (the “Board”) has designated George J. Gorman and Scott E. Wennerholm, each an independent trustee, as audit committee financial experts. Mr. Gorman is a certified public accountant who is the Principal at George J. Gorman LLC (a consulting firm). Previously, Mr. Gorman served in various capacities at Ernst & Young LLP (a registered public accounting firm), including as Senior Partner. Mr. Gorman also has experience serving as an independent trustee and audit committee financial expert of other mutual fund complexes. Mr. Wennerholm is a private investor. Previously, Mr. Wennerholm served as a Trustee at Wheelock College (postsecondary institution), as a Consultant at GF Parish Group (executive recruiting firm), Chief Operating Officer and Executive Vice President at BNY Mellon Asset Management (investment management firm), Chief Operating Officer and Chief Financial Officer at Natixis Global Asset Management (investment management firm), and Vice President at Fidelity Investments Institutional Services (investment management firm).
Item 4. Principal Accountant Fees and Services
(a)-(d)
The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2022 and October 31, 2023 by the registrant’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Audit Fees | $ | 87,333 | $ | 86,500 | ||||
Audit-Related Fees(1) | $ | 0 | $ | 0 | ||||
Tax Fees(2) | $ | 350 | $ | 0 | ||||
All Other Fees(3) | $ | 0 | $ | 0 | ||||
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|
|
| |||||
Total | $ | 87,683 | $ | 86,500 | ||||
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(1) | Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees. |
(2) | Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other related tax compliance/planning matters. |
(3) | All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the Audit Committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2022 and October 31, 2023; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.
Fiscal Years Ended | 10/31/22 | 10/31/23 | ||||||
Registrant | $ | 350 | $ | 0 | ||||
Eaton Vance(1) | $ | 52,836 | $ | 0 |
(1) | Certain entities that provide ongoing services to the registrant are subsidiaries of Morgan Stanley. |
(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
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/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: December 22, 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: December 22, 2023
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
President |
Date: December 22, 2023