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)
One Post Office Square, Boston, Massachusetts 02109
(Address of Principal Executive Offices)
Deidre E. Walsh
One Post Office Square, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(617) 482-8260
(Registrant’s Telephone Number)
October 31
Date of Fiscal Year End
April 30, 2024
Date of Reporting Period
Item 1. Reports to Stockholders
Asset-Backed Securities — 1.9% |
Security | Principal Amount (000's omitted) | Value | |
ARES LVIII CLO Ltd., Series 2020-58A, Class ER, 12.029%, (3 mo. SOFR + 6.70%), 1/15/35(1)(2) | $ | 2,000 | $ 1,998,180 |
Atlas Senior Loan Fund XX Ltd., Series 2022-20A, Class B1, 8.477%, (3 mo. SOFR + 3.15%), 10/19/35(1)(2) | 2,500 | 2,520,490 | |
Benefit Street Partners CLO XVII Ltd., Series 2019-17A, Class ER, 11.94%, (3 mo. SOFR + 6.612%), 7/15/32(1)(2) | 1,000 | 1,004,526 | |
Benefit Street Partners CLO XXV Ltd., Series 2021-25A, Class E, 12.44%, (3 mo. SOFR + 7.112%), 1/15/35(1)(2) | 2,000 | 2,005,776 | |
Brookhaven Park CLO Ltd., Series 2024-1A, Class D, 8.894%, (3 mo. SOFR + 3.60%), 4/19/37(1)(2) | 1,000 | 1,001,648 | |
Canyon Capital CLO Ltd., Series 2022-1A, Class E, 11.728%, (3 mo. SOFR + 6.40%), 4/15/35(1)(2) | 2,000 | 1,952,754 | |
Carlyle U.S. CLO Ltd., Series 2019-4A, Class DR, 11.929%, (3 mo. SOFR + 6.60%), 4/15/35(1)(2) | 2,000 | 1,979,860 | |
Golub Capital Partners CLO 50B-R Ltd., Series 2020-50A, Class ER, 12.425%, (3 mo. SOFR + 7.10%), 4/20/35(1)(2) | 2,000 | 2,005,836 | |
Golub Capital Partners CLO 72 B Ltd., Series 2024-72A, Class D, 9.296%, (3 mo. SOFR + 4.00%), 4/25/37(1)(2) | 1,000 | 1,001,379 | |
Madison Park Funding LIX Ltd., Series 2021-59A, Class E, 12.189%, (3 mo. SOFR + 6.862%), 1/18/34(1)(2) | 2,000 | 2,006,342 | |
Madison Park Funding XXXVII Ltd., Series 2019-37A, Class ER2, 11.922%, (3 mo. SOFR + 6.60%), 4/15/37(1)(2) | 1,000 | 1,005,528 | |
OCP CLO Ltd., Series 2024-32A, Class D1, 9.076%, (3 mo. SOFR + 3.75%), 4/23/37(1)(2) | 1,500 | 1,502,348 | |
Palmer Square CLO Ltd., Series 2018-1A, Class CR, 9.224%, (3 mo. SOFR + 3.90%), 4/18/37(1)(2) | 1,500 | 1,503,208 | |
Wellfleet CLO Ltd.: | |||
Series 2021-2A, Class E, 12.55%, (3 mo. SOFR + 7.222%), 7/15/34(1)(2) | 2,000 | 1,842,712 | |
Series 2021-3A, Class E, 12.69%, (3 mo. SOFR + 7.362%), 1/15/35(1)(2) | 2,000 | 1,892,430 | |
Total Asset-Backed Securities (identified cost $25,418,919) | $ 25,223,017 |
Common Stocks — 0.5% |
Security | Shares | Value | |
Energy — 0.1% | |||
Ascent CNR Corp., Class A(3)(4) | 6,273,462 | $ 1,380,162 | |
$ 1,380,162 |
Security | Shares | Value | |
Entertainment & Film — 0.1% | |||
United Parks & Resorts, Inc.(5) | 27,500 | $ 1,397,550 | |
$ 1,397,550 | |||
Environmental — 0.2% | |||
GFL Environmental, Inc. | 105,500 | $ 3,365,450 | |
$ 3,365,450 | |||
Gaming — 0.0% | |||
New Cotai Participation Corp., Class B(3)(4)(5) | 7 | $ 0 | |
$ 0 | |||
Healthcare — 0.1% | |||
Endo, Inc.(4)(5) | 572 | $ 16,373 | |
Endo, Inc.(5) | 38,022 | 1,088,376 | |
$ 1,104,749 | |||
Leisure — 0.0% | |||
iFIT Health and Fitness, Inc.(3)(4)(5) | 514,080 | $ 0 | |
$ 0 | |||
Total Common Stocks (identified cost $6,497,546) | $ 7,247,911 |
Convertible Bonds — 1.0% |
Security | Principal Amount (000's omitted) | Value | |
Containers — 0.3% | |||
CryoPort, Inc., 0.75%, 12/1/26(1) | $ | 4,643 | $ 4,026,410 |
$ 4,026,410 | |||
Gaming — 0.2% | |||
DraftKings Holdings, Inc., 0.00%, 3/15/28 | $ | 3,900 | $ 3,246,750 |
$ 3,246,750 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., 0.00%, 2/15/26 | $ | 2,611 | $ 2,144,307 |
$ 2,144,307 |
Security | Principal Amount (000's omitted) | Value | |
Utility — 0.3% | |||
NextEra Energy Partners LP, 2.50%, 6/15/26(1) | $ | 4,996 | $ 4,507,466 |
$ 4,507,466 | |||
Total Convertible Bonds (identified cost $14,294,754) | $ 13,924,933 |
Corporate Bonds — 84.4% |
Security | Principal Amount* (000's omitted) | Value | |
Aerospace — 2.5% | |||
Bombardier, Inc.: | |||
7.25%, 7/1/31(1) | 1,980 | $ 1,987,348 | |
7.875%, 4/15/27(1) | 1,123 | 1,116,703 | |
8.75%, 11/15/30(1) | 2,575 | 2,742,730 | |
BWX Technologies, Inc.: | |||
4.125%, 6/30/28(1) | 1,501 | 1,372,776 | |
4.125%, 4/15/29(1) | 1,266 | 1,154,689 | |
Moog, Inc., 4.25%, 12/15/27(1) | 2,796 | 2,612,877 | |
Rolls-Royce PLC, 5.75%, 10/15/27(1) | 5,391 | 5,337,041 | |
Science Applications International Corp., 4.875%, 4/1/28(1) | 4,042 | 3,819,345 | |
Spirit AeroSystems, Inc.: | |||
4.60%, 6/15/28 | 1,081 | 997,226 | |
9.375%, 11/30/29(1) | 403 | 436,357 | |
TransDigm, Inc.: | |||
4.625%, 1/15/29 | 1,677 | 1,537,901 | |
5.50%, 11/15/27 | 4,164 | 4,050,155 | |
6.375%, 3/1/29(1) | 1,490 | 1,480,484 | |
6.625%, 3/1/32(1) | 1,500 | 1,499,325 | |
6.75%, 8/15/28(1) | 3,504 | 3,523,269 | |
$ 33,668,226 | |||
Air Transportation — 0.5% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 4/20/26(1) | 1,853 | $ 1,833,538 | |
United Airlines, Inc., 4.375%, 4/15/26(1) | 1,156 | 1,113,002 | |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 6.375%, 2/1/30(1) | 5,300 | 4,108,737 | |
$ 7,055,277 | |||
Automotive & Auto Parts — 2.6% | |||
Dana Financing Luxembourg SARL, 8.50%, 7/15/31(6) | EUR | 2,500 | $ 2,915,779 |
Security | Principal Amount* (000's omitted) | Value | |
Automotive & Auto Parts (continued) | |||
Ford Motor Co.: | |||
4.75%, 1/15/43 | 2,651 | $ 2,088,494 | |
7.45%, 7/16/31 | 794 | 841,747 | |
9.625%, 4/22/30 | 350 | 402,251 | |
Ford Motor Credit Co. LLC: | |||
2.90%, 2/16/28 | 568 | 505,497 | |
3.625%, 6/17/31 | 2,065 | 1,744,741 | |
3.815%, 11/2/27 | 4,294 | 3,979,805 | |
4.00%, 11/13/30 | 1,461 | 1,273,875 | |
4.125%, 8/17/27 | 6,184 | 5,809,976 | |
4.271%, 1/9/27 | 752 | 717,181 | |
Goodyear Tire & Rubber Co., 5.00%, 7/15/29 | 3,271 | 2,969,972 | |
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) | 4,535 | 3,890,224 | |
Wand NewCo 3, Inc., 7.625%, 1/30/32(1) | 6,491 | 6,604,238 | |
Wheel Pros, Inc., 6.50%, 5/15/29(1) | 2,705 | 841,931 | |
$ 34,585,711 | |||
Banking & Thrifts — 0.2% | |||
JPMorgan Chase & Co., Series HH, 4.60% to 2/1/25(7)(8) | 2,385 | $ 2,351,974 | |
$ 2,351,974 | |||
Broadcasting — 0.7% | |||
Playtika Holding Corp., 4.25%, 3/15/29(1) | 3,549 | $ 3,057,030 | |
Townsquare Media, Inc., 6.875%, 2/1/26(1) | 2,659 | 2,582,942 | |
Univision Communications, Inc.: | |||
4.50%, 5/1/29(1) | 1,183 | 1,030,164 | |
7.375%, 6/30/30(1) | 1,089 | 1,043,628 | |
8.00%, 8/15/28(1) | 1,066 | 1,065,724 | |
$ 8,779,488 | |||
Building Materials — 2.6% | |||
AmeriTex HoldCo Intermediate LLC, 10.25%, 10/15/28(1) | 3,920 | $ 4,134,154 | |
Builders FirstSource, Inc.: | |||
4.25%, 2/1/32(1) | 4,805 | 4,189,156 | |
5.00%, 3/1/30(1) | 2,685 | 2,516,400 | |
CP Atlas Buyer, Inc., 7.00%, 12/1/28(1) | 4,887 | 4,408,394 | |
MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/1/30(1) | 1,774 | 1,608,444 | |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/1/28(1) | 6,410 | 6,206,769 | |
Standard Industries, Inc.: | |||
2.25%, 11/21/26(6) | EUR | 2,443 | 2,474,012 |
3.375%, 1/15/31(1) | 2,618 | 2,146,898 | |
4.375%, 7/15/30(1) | 2,932 | 2,599,122 |
Security | Principal Amount* (000's omitted) | Value | |
Building Materials (continued) | |||
Summit Materials LLC/Summit Materials Finance Corp., 7.25%, 1/15/31(1) | 4,473 | $ 4,598,508 | |
$ 34,881,857 | |||
Cable & Satellite TV — 1.7% | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25%, 2/1/31(1) | 500 | $ 391,694 | |
4.50%, 8/15/30(1) | 8,031 | 6,532,346 | |
4.50%, 5/1/32 | 995 | 764,883 | |
4.75%, 3/1/30(1) | 4,255 | 3,539,098 | |
5.00%, 2/1/28(1) | 1,895 | 1,727,406 | |
5.375%, 6/1/29(1) | 868 | 765,158 | |
6.375%, 9/1/29(1) | 3,715 | 3,408,053 | |
CSC Holdings LLC, 11.75%, 1/31/29(1) | 4,339 | 3,857,588 | |
DISH Network Corp., 11.75%, 11/15/27(1) | 2,454 | 2,475,833 | |
$ 23,462,059 | |||
Capital Goods — 2.4% | |||
Calderys Financing LLC, 11.25%, 6/1/28(1) | 5,117 | $ 5,439,514 | |
Chart Industries, Inc., 9.50%, 1/1/31(1) | 4,318 | 4,639,881 | |
Dornoch Debt Merger Sub, Inc., 6.625%, 10/15/29(1) | 3,505 | 2,899,087 | |
EMRLD Borrower LP/Emerald Co-Issuer, Inc., 6.625%, 12/15/30(1) | 4,336 | 4,302,567 | |
ESAB Corp., 6.25%, 4/15/29(1) | 2,598 | 2,591,499 | |
Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC, 9.00%, 2/15/29(1) | 1,290 | 1,329,465 | |
Madison IAQ LLC, 5.875%, 6/30/29(1) | 6,151 | 5,711,630 | |
Patrick Industries, Inc.: | |||
4.75%, 5/1/29(1) | 5,212 | 4,743,556 | |
7.50%, 10/15/27(1) | 415 | 420,362 | |
$ 32,077,561 | |||
Chemicals — 2.5% | |||
Avient Corp., 7.125%, 8/1/30(1) | 3,831 | $ 3,879,533 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1) | 4,248 | 3,988,611 | |
Herens Holdco SARL, 4.75%, 5/15/28(1) | 2,171 | 1,876,484 | |
Herens Midco SARL, 5.25%, 5/15/29(6) | EUR | 4,145 | 3,176,726 |
NOVA Chemicals Corp., 4.25%, 5/15/29(1) | 144 | 120,672 | |
Nufarm Australia Ltd./Nufarm Americas, Inc., 5.00%, 1/27/30(1) | 3,643 | 3,343,424 | |
Olympus Water U.S. Holding Corp., 9.75%, 11/15/28(1) | 7,592 | 8,065,502 | |
SNF Group SACA: | |||
2.625%, 2/1/29(6) | EUR | 2,960 | 2,949,775 |
Security | Principal Amount* (000's omitted) | Value | |
Chemicals (continued) | |||
SNF Group SACA: (continued) | |||
2.625%, 2/1/29(1) | EUR | 250 | $ 249,136 |
Valvoline, Inc., 3.625%, 6/15/31(1) | 3,976 | 3,348,162 | |
WR Grace Holdings LLC: | |||
4.875%, 6/15/27(1) | 979 | 930,418 | |
7.375%, 3/1/31(1) | 2,211 | 2,243,258 | |
$ 34,171,701 | |||
Consumer Products — 1.7% | |||
Acushnet Co., 7.375%, 10/15/28(1) | 6,279 | $ 6,452,269 | |
Edgewell Personal Care Co., 4.125%, 4/1/29(1) | 2,936 | 2,656,981 | |
Energizer Gamma Acquisition BV, 3.50%, 6/30/29(6) | EUR | 1,221 | 1,166,788 |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 7.00%, 12/31/27(1) | 5,015 | 4,856,049 | |
Spectrum Brands, Inc., 3.875%, 3/15/31(1) | 2,321 | 2,174,046 | |
Tempur Sealy International, Inc.: | |||
3.875%, 10/15/31(1) | 6,209 | 5,117,955 | |
4.00%, 4/15/29(1) | 805 | 716,516 | |
$ 23,140,604 | |||
Containers — 1.8% | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC: | |||
3.00%, 9/1/29(6) | EUR | 1,150 | $ 989,865 |
4.00%, 9/1/29(1) | 230 | 189,805 | |
Ball Corp.: | |||
3.125%, 9/15/31 | 3,800 | 3,160,481 | |
6.875%, 3/15/28 | 1,239 | 1,259,739 | |
Berry Global, Inc., 5.625%, 7/15/27(1) | 2,026 | 1,978,007 | |
Canpack SA/Canpack U.S. LLC, 3.875%, 11/15/29(1) | 3,826 | 3,356,687 | |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 | 2,415 | 2,316,042 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 | 2,500 | 2,448,815 | |
Owens-Brockway Glass Container, Inc., 7.25%, 5/15/31(1) | 4,163 | 4,174,573 | |
Trivium Packaging Finance BV: | |||
5.50%, 8/15/26(1) | 2,613 | 2,570,529 | |
8.50%, 8/15/27(1) | 1,500 | 1,486,999 | |
$ 23,931,542 | |||
Diversified Financial Services — 3.1% | |||
AG TTMT Escrow Issuer LLC, 8.625%, 9/30/27(1) | 3,037 | $ 3,131,390 | |
Ally Financial, Inc., Series B, 4.70% to 5/15/26(7)(8) | 3,182 | 2,711,210 | |
Boost Newco Borrower LLC, 7.50%, 1/15/31(1) | 4,384 | 4,527,848 |
Security | Principal Amount* (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) | 3,714 | $ 3,357,964 | |
Compass Group Diversified Holdings LLC, 5.25%, 4/15/29(1) | 5,221 | 4,885,761 | |
Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29(1) | 3,591 | 3,269,100 | |
Jefferson Capital Holdings LLC, 6.00%, 8/15/26(1) | 3,065 | 3,015,839 | |
Macquarie Airfinance Holdings Ltd.: | |||
6.40%, 3/26/29(1) | 1,095 | 1,092,934 | |
6.50%, 3/26/31(1) | 1,325 | 1,327,222 | |
8.125%, 3/30/29(1) | 3,609 | 3,777,825 | |
MSCI, Inc.: | |||
3.625%, 9/1/30(1) | 867 | 755,496 | |
3.875%, 2/15/31(1) | 2,176 | 1,906,358 | |
PRA Group, Inc., 7.375%, 9/1/25(1) | 645 | 642,588 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | 2,036 | 1,871,038 | |
3.625%, 3/1/29(1) | 5,288 | 4,663,705 | |
4.00%, 10/15/33(1) | 425 | 347,359 | |
$ 41,283,637 | |||
Diversified Media — 1.4% | |||
Arches Buyer, Inc.: | |||
4.25%, 6/1/28(1) | 1,901 | $ 1,631,908 | |
6.125%, 12/1/28(1) | 4,809 | 3,915,823 | |
Cars.com, Inc., 6.375%, 11/1/28(1) | 3,521 | 3,368,965 | |
Clear Channel Outdoor Holdings, Inc.: | |||
7.75%, 4/15/28(1) | 4,167 | 3,536,738 | |
7.875%, 4/1/30(1) | 2,891 | 2,836,648 | |
Stagwell Global LLC, 5.625%, 8/15/29(1) | 3,410 | 3,056,303 | |
$ 18,346,385 | |||
Energy — 8.0% | |||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 2/15/26(1) | 3,619 | $ 3,645,734 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | |||
5.75%, 3/1/27(1) | 3,242 | 3,185,695 | |
7.875%, 5/15/26(1) | 1,283 | 1,307,422 | |
Cheniere Energy Partners LP: | |||
4.00%, 3/1/31 | 2,552 | 2,278,994 | |
4.50%, 10/1/29 | 1,896 | 1,775,446 | |
Civitas Resources, Inc.: | |||
8.625%, 11/1/30(1) | 5,643 | 6,008,985 | |
8.75%, 7/1/31(1) | 738 | 783,750 | |
DT Midstream, Inc., 4.125%, 6/15/29(1) | 4,231 | 3,838,210 |
Security | Principal Amount* (000's omitted) | Value | |
Energy (continued) | |||
Energy Transfer LP, 5.00%, 5/15/50 | 2,087 | $ 1,731,072 | |
EQM Midstream Partners LP: | |||
4.50%, 1/15/29(1) | 2,111 | 1,955,015 | |
4.75%, 1/15/31(1) | 2,377 | 2,173,845 | |
6.00%, 7/1/25(1) | 410 | 409,662 | |
6.50%, 7/1/27(1) | 1,121 | 1,123,460 | |
7.50%, 6/1/30(1) | 3,031 | 3,180,628 | |
Global Partners LP/GLP Finance Corp., 8.25%, 1/15/32(1) | 3,778 | 3,873,180 | |
Kinetik Holdings LP, 5.875%, 6/15/30(1) | 5,259 | 5,088,841 | |
Matador Resources Co., 6.50%, 4/15/32(1) | 3,355 | 3,327,437 | |
Nabors Industries Ltd., 7.50%, 1/15/28(1) | 1,118 | 1,061,102 | |
Occidental Petroleum Corp., 8.50%, 7/15/27 | 3,859 | 4,127,529 | |
Parkland Corp.: | |||
4.50%, 10/1/29(1) | 2,371 | 2,150,756 | |
4.625%, 5/1/30(1) | 2,389 | 2,160,881 | |
Permian Resources Operating LLC: | |||
5.875%, 7/1/29(1) | 4,933 | 4,797,954 | |
7.00%, 1/15/32(1) | 2,551 | 2,602,210 | |
7.75%, 2/15/26(1) | 1,675 | 1,691,539 | |
Plains All American Pipeline LP, Series B, 9.679%, (3 mo. SOFR + 4.372%)(2)(7) | 4,380 | 4,352,394 | |
Precision Drilling Corp.: | |||
6.875%, 1/15/29(1) | 1,307 | 1,294,590 | |
7.125%, 1/15/26(1) | 1,000 | 1,000,778 | |
Southwestern Energy Co.: | |||
4.75%, 2/1/32 | 3,253 | 2,931,833 | |
5.375%, 2/1/29(6) | 2,500 | 1,962,734 | |
Sunoco LP, 7.25%, 5/1/32(1) | 2,835 | 2,881,699 | |
Sunoco LP/Sunoco Finance Corp., 4.50%, 4/30/30 | 2,670 | 2,404,688 | |
Superior Plus LP/Superior General Partner, Inc., 4.50%, 3/15/29(1) | 2,921 | 2,644,769 | |
Transocean Poseidon Ltd., 6.875%, 2/1/27(1) | 1,046 | 1,043,064 | |
Transocean, Inc., 8.75%, 2/15/30(1) | 1,208 | 1,260,211 | |
Venture Global LNG, Inc.: | |||
8.125%, 6/1/28(1) | 2,233 | 2,285,080 | |
8.375%, 6/1/31(1) | 3,572 | 3,667,988 | |
9.50%, 2/1/29(1) | 4,583 | 4,928,957 | |
9.875%, 2/1/32(1) | 3,217 | 3,434,894 | |
Vital Energy, Inc.: | |||
7.875%, 4/15/32(1) | 1,956 | 1,986,063 | |
9.75%, 10/15/30 | 2,151 | 2,345,485 | |
Weatherford International Ltd., 8.625%, 4/30/30(1) | 2,338 | 2,429,499 | |
$ 107,134,073 |
Security | Principal Amount* (000's omitted) | Value | |
Entertainment & Film — 0.3% | |||
Cinemark USA, Inc.: | |||
5.25%, 7/15/28(1) | 4,366 | $ 4,058,766 | |
5.875%, 3/15/26(1) | 588 | 582,493 | |
$ 4,641,259 | |||
Environmental — 1.6% | |||
Clean Harbors, Inc.: | |||
4.875%, 7/15/27(1) | 1,029 | $ 992,090 | |
5.125%, 7/15/29(1) | 1,117 | 1,065,424 | |
6.375%, 2/1/31(1) | 585 | 580,111 | |
Covanta Holding Corp.: | |||
4.875%, 12/1/29(1) | 5,939 | 5,212,218 | |
5.00%, 9/1/30 | 804 | 695,510 | |
GFL Environmental, Inc.: | |||
3.50%, 9/1/28(1) | 5,074 | 4,566,536 | |
3.75%, 8/1/25(1) | 669 | 651,270 | |
4.75%, 6/15/29(1) | 8,593 | 7,936,709 | |
$ 21,699,868 | |||
Food & Drug Retail — 0.5% | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC: | |||
4.875%, 2/15/30(1) | 1,808 | $ 1,687,722 | |
5.875%, 2/15/28(1) | 1,807 | 1,772,329 | |
Ingles Markets, Inc., 4.00%, 6/15/31(1) | 4,305 | 3,709,716 | |
$ 7,169,767 | |||
Food, Beverage & Tobacco — 2.7% | |||
BellRing Brands, Inc., 7.00%, 3/15/30(1) | 3,553 | $ 3,598,701 | |
Chobani LLC/Chobani Finance Corp., Inc.: | |||
4.625%, 11/15/28(1) | 1,650 | 1,529,012 | |
7.625%, 7/1/29(1) | 3,835 | 3,880,353 | |
Darling Ingredients, Inc., 6.00%, 6/15/30(1) | 3,685 | 3,582,066 | |
Fiesta Purchaser, Inc., 7.875%, 3/1/31(1) | 3,692 | 3,764,969 | |
Performance Food Group, Inc.: | |||
4.25%, 8/1/29(1) | 5,135 | 4,606,293 | |
5.50%, 10/15/27(1) | 1,504 | 1,457,232 | |
Pilgrim's Pride Corp.: | |||
3.50%, 3/1/32 | 3,553 | 2,928,388 | |
6.875%, 5/15/34 | 1,755 | 1,821,390 | |
Post Holdings, Inc., 6.25%, 2/15/32(1) | 2,626 | 2,594,219 | |
Triton Water Holdings, Inc., 6.25%, 4/1/29(1) | 3,778 | 3,391,620 | |
U.S. Foods, Inc., 4.75%, 2/15/29(1) | 3,511 | 3,274,834 | |
$ 36,429,077 |
Security | Principal Amount* (000's omitted) | Value | |
Gaming — 2.4% | |||
Allwyn Entertainment Financing U.K. PLC, 7.875%, 4/30/29(1) | 5,839 | $ 5,977,618 | |
Caesars Entertainment, Inc.: | |||
4.625%, 10/15/29(1) | 784 | 700,082 | |
6.50%, 2/15/32(1) | 2,354 | 2,320,875 | |
7.00%, 2/15/30(1) | 2,735 | 2,755,918 | |
8.125%, 7/1/27(1) | 2,617 | 2,654,195 | |
Churchill Downs, Inc., 5.75%, 4/1/30(1) | 4,102 | 3,906,135 | |
International Game Technology PLC: | |||
4.125%, 4/15/26(1) | 1,237 | 1,192,096 | |
5.25%, 1/15/29(1) | 750 | 708,977 | |
6.25%, 1/15/27(1) | 1,848 | 1,846,571 | |
6.50%, 2/15/25(1) | 1,009 | 1,009,791 | |
Jacobs Entertainment, Inc., 6.75%, 2/15/29(1) | 3,759 | 3,571,665 | |
Light & Wonder International, Inc., 7.00%, 5/15/28(1) | 2,834 | 2,845,908 | |
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.875%, 11/1/26(1) | 3,500 | 3,330,350 | |
$ 32,820,181 | |||
Healthcare — 8.9% | |||
AHP Health Partners, Inc., 5.75%, 7/15/29(1) | 3,547 | $ 3,253,355 | |
AMN Healthcare, Inc.: | |||
4.00%, 4/15/29(1) | 2,663 | 2,362,145 | |
4.625%, 10/1/27(1) | 323 | 303,745 | |
athenahealth Group, Inc., 6.50%, 2/15/30(1) | 5,761 | 5,191,681 | |
Avantor Funding, Inc., 3.875%, 7/15/28(6) | EUR | 4,400 | 4,577,070 |
Bausch & Lomb Corp., 8.375%, 10/1/28(1) | 2,780 | 2,874,520 | |
Encompass Health Corp.: | |||
4.625%, 4/1/31 | 2,543 | 2,285,873 | |
4.75%, 2/1/30 | 1,044 | 958,519 | |
Endo Finance Holdings, Inc., 8.50%, 4/15/31(1) | 2,250 | 2,288,964 | |
Fortrea Holdings, Inc., 7.50%, 7/1/30(1) | 5,112 | 5,162,984 | |
Grifols SA, 4.75%, 10/15/28(1) | 1,050 | 849,234 | |
HealthEquity, Inc., 4.50%, 10/1/29(1) | 5,380 | 4,906,960 | |
Heartland Dental LLC/Heartland Dental Finance Corp.: | |||
8.50%, 5/1/26(1) | 750 | 748,043 | |
10.50%, 4/30/28(1) | 7,200 | 7,587,803 | |
IQVIA, Inc.: | |||
2.25%, 3/15/29(6) | EUR | 1,816 | 1,760,260 |
5.00%, 5/15/27(1) | 1,329 | 1,284,300 | |
6.50%, 5/15/30(1) | 1,662 | 1,671,618 | |
Jazz Securities DAC, 4.375%, 1/15/29(1) | 1,910 | 1,739,614 | |
Legacy LifePoint Health LLC, 4.375%, 2/15/27(1) | 2,687 | 2,519,040 |
Security | Principal Amount* (000's omitted) | Value | |
Healthcare (continued) | |||
LifePoint Health, Inc.: | |||
5.375%, 1/15/29(1) | 4,397 | $ 3,520,017 | |
9.875%, 8/15/30(1) | 1,665 | 1,735,843 | |
Medline Borrower LP, 5.25%, 10/1/29(1) | 12,177 | 11,346,941 | |
ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29(1) | 1,664 | 1,157,616 | |
ModivCare, Inc., 5.875%, 11/15/25(1) | 2,104 | 2,054,254 | |
Molina Healthcare, Inc.: | |||
3.875%, 11/15/30(1) | 2,889 | 2,508,453 | |
3.875%, 5/15/32(1) | 2,207 | 1,848,576 | |
Option Care Health, Inc., 4.375%, 10/31/29(1) | 4,735 | 4,244,832 | |
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(1) | 2,307 | 1,956,117 | |
Perrigo Finance Unlimited Co.: | |||
4.65%, 6/15/30 | 4,350 | 3,989,896 | |
4.90%, 12/15/44 | 1,242 | 979,684 | |
Prestige Brands, Inc., 3.75%, 4/1/31(1) | 1,395 | 1,188,071 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26(1) | 1,328 | 1,323,591 | |
Surgery Center Holdings, Inc., 7.25%, 4/15/32(1) | 4,004 | 4,003,538 | |
Team Health Holdings, Inc., 6.375%, 2/1/25(1) | 5,462 | 5,084,794 | |
Tenet Healthcare Corp.: | |||
4.375%, 1/15/30 | 272 | 247,230 | |
5.125%, 11/1/27 | 2,855 | 2,764,610 | |
6.125%, 10/1/28 | 4,735 | 4,679,994 | |
6.875%, 11/15/31 | 2,033 | 2,097,206 | |
U.S. Acute Care Solutions LLC: | |||
6.375%, 3/1/26(1) | 4,919 | 4,985,480 | |
9.75%, 5/15/29(1)(9) | 3,025 | 2,970,200 | |
Varex Imaging Corp., 7.875%, 10/15/27(1) | 2,511 | 2,561,987 | |
$ 119,574,658 | |||
Homebuilders & Real Estate — 4.7% | |||
Artera Services LLC, 8.50%, 2/15/31(1) | 3,065 | $ 3,138,664 | |
Ashton Woods USA LLC/Ashton Woods Finance Co.: | |||
4.625%, 8/1/29(1) | 1,516 | 1,372,658 | |
4.625%, 4/1/30(1) | 1,620 | 1,449,315 | |
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) | 1,227 | 1,208,885 | |
CTR Partnership LP/CareTrust Capital Corp., 3.875%, 6/30/28(1) | 3,770 | 3,416,325 | |
Cushman & Wakefield U.S. Borrower LLC: | |||
6.75%, 5/15/28(1) | 1,049 | 1,035,191 | |
8.875%, 9/1/31(1) | 1,873 | 1,944,891 | |
Dycom Industries, Inc., 4.50%, 4/15/29(1) | 1,923 | 1,776,233 | |
GEO Group, Inc., 10.25%, 4/15/31(1) | 6,000 | 6,189,752 |
Security | Principal Amount* (000's omitted) | Value | |
Homebuilders & Real Estate (continued) | |||
Greystar Real Estate Partners LLC, 7.75%, 9/1/30(1) | 5,638 | $ 5,812,818 | |
HAT Holdings I LLC/HAT Holdings II LLC: | |||
3.375%, 6/15/26(1) | 2,442 | 2,272,350 | |
3.75%, 9/15/30(1) | 3,492 | 2,901,055 | |
M/I Homes, Inc., 4.95%, 2/1/28 | 1,537 | 1,457,369 | |
Meritage Homes Corp., 3.875%, 4/15/29(1) | 2,282 | 2,070,936 | |
National Health Investors, Inc., 3.00%, 2/1/31 | 3,117 | 2,498,463 | |
New Home Co., Inc., 9.25%, 10/1/29(1) | 9,125 | 9,162,230 | |
Outfront Media Capital LLC/Outfront Media Capital Corp.: | |||
4.25%, 1/15/29(1) | 1,850 | 1,648,522 | |
4.625%, 3/15/30(1) | 1,687 | 1,490,730 | |
7.375%, 2/15/31(1) | 4,404 | 4,523,287 | |
TopBuild Corp., 4.125%, 2/15/32(1) | 2,753 | 2,385,988 | |
VICI Properties LP/VICI Note Co., Inc.: | |||
3.75%, 2/15/27(1) | 543 | 509,688 | |
4.125%, 8/15/30(1) | 1,859 | 1,658,158 | |
4.625%, 12/1/29(1) | 4,004 | 3,717,257 | |
$ 63,640,765 | |||
Hotels — 0.2% | |||
Resorts World Las Vegas LLC/RWLV Capital, Inc.: | |||
4.625%, 4/16/29(6) | 500 | $ 444,140 | |
4.625%, 4/6/31(6) | 1,000 | 849,145 | |
8.45%, 7/27/30(1) | 1,900 | 1,991,873 | |
$ 3,285,158 | |||
Insurance — 1.8% | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer: | |||
6.75%, 10/15/27(1) | 5,518 | $ 5,415,604 | |
7.00%, 1/15/31(1) | 1,797 | 1,803,886 | |
AmWINS Group, Inc., 4.875%, 6/30/29(1) | 2,866 | 2,607,977 | |
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) | 2,175 | 1,984,179 | |
Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC: | |||
7.25%, 2/15/31(1) | 2,375 | 2,346,461 | |
8.125%, 2/15/32(1) | 2,231 | 2,197,522 | |
Jones Deslauriers Insurance Management, Inc., 10.50%, 12/15/30(1) | 4,557 | 4,827,950 | |
Panther Escrow Issuer LLC, 7.125%, 6/1/31(1) | 2,605 | 2,620,177 | |
$ 23,803,756 | |||
Leisure — 3.1% | |||
Boyne USA, Inc., 4.75%, 5/15/29(1) | 3,280 | $ 2,986,735 |
Security | Principal Amount* (000's omitted) | Value | |
Leisure (continued) | |||
Carnival Corp.: | |||
5.75%, 3/1/27(1) | 4,215 | $ 4,116,543 | |
6.00%, 5/1/29(1) | 1,820 | 1,764,796 | |
Life Time, Inc.: | |||
5.75%, 1/15/26(1) | 1,452 | 1,437,285 | |
8.00%, 4/15/26(1) | 5,820 | 5,834,864 | |
Lindblad Expeditions Holdings, Inc., 9.00%, 5/15/28(1) | 1,430 | 1,497,088 | |
Lindblad Expeditions LLC, 6.75%, 2/15/27(1) | 764 | 757,481 | |
NCL Corp. Ltd.: | |||
5.875%, 3/15/26(1) | 3,134 | 3,072,983 | |
5.875%, 2/15/27(1) | 946 | 924,804 | |
7.75%, 2/15/29(1) | 1,792 | 1,831,797 | |
NCL Finance Ltd., 6.125%, 3/15/28(1) | 3,432 | 3,351,498 | |
Royal Caribbean Cruises Ltd.: | |||
3.70%, 3/15/28 | 1,390 | 1,278,282 | |
6.25%, 3/15/32(1) | 2,668 | 2,631,895 | |
Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) | 2,674 | 2,519,620 | |
Viking Cruises Ltd.: | |||
5.875%, 9/15/27(1) | 5,004 | 4,855,636 | |
6.25%, 5/15/25(1) | 1,820 | 1,815,520 | |
7.00%, 2/15/29(1) | 753 | 750,761 | |
Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/29(1) | 521 | 498,983 | |
$ 41,926,571 | |||
Metals & Mining — 2.4% | |||
Arsenal AIC Parent LLC, 11.50%, 10/1/31(1) | 7,180 | $ 8,003,826 | |
Eldorado Gold Corp., 6.25%, 9/1/29(1) | 2,968 | 2,798,529 | |
First Quantum Minerals Ltd., 9.375%, 3/1/29(1) | 2,395 | 2,477,448 | |
Freeport-McMoRan, Inc., 5.45%, 3/15/43 | 2,400 | 2,202,294 | |
Hudbay Minerals, Inc.: | |||
4.50%, 4/1/26(1) | 3,109 | 3,010,258 | |
6.125%, 4/1/29(1) | 2,069 | 2,027,606 | |
New Gold, Inc., 7.50%, 7/15/27(1) | 3,006 | 2,990,346 | |
Novelis Corp.: | |||
3.25%, 11/15/26(1) | 1,755 | 1,642,756 | |
4.75%, 1/30/30(1) | 3,948 | 3,616,253 | |
Roller Bearing Co. of America, Inc., 4.375%, 10/15/29(1) | 3,847 | 3,481,590 | |
$ 32,250,906 |
Security | Principal Amount* (000's omitted) | Value | |
Paper — 0.1% | |||
Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 1/15/26(1)(10) | 4,583 | $ 1,999,609 | |
$ 1,999,609 | |||
Publishing & Printing — 0.5% | |||
McGraw-Hill Education, Inc.: | |||
5.75%, 8/1/28(1) | 2,844 | $ 2,640,577 | |
8.00%, 8/1/29(1) | 4,116 | 3,784,366 | |
$ 6,424,943 | |||
Railroad — 0.3% | |||
Watco Cos. LLC/Watco Finance Corp., 6.50%, 6/15/27(1) | 4,400 | $ 4,349,303 | |
$ 4,349,303 | |||
Restaurant — 1.8% | |||
1011778 BC ULC/New Red Finance, Inc.: | |||
3.875%, 1/15/28(1) | 1,761 | $ 1,626,087 | |
4.00%, 10/15/30(1) | 5,316 | 4,587,941 | |
5.75%, 4/15/25(1) | 581 | 578,857 | |
Dave & Buster's, Inc., 7.625%, 11/1/25(1) | 5,483 | 5,523,597 | |
IRB Holding Corp., 7.00%, 6/15/25(1) | 2,978 | 2,974,196 | |
Raising Cane's Restaurants LLC, 9.375%, 5/1/29(1) | 6,406 | 6,878,501 | |
Yum! Brands, Inc., 3.625%, 3/15/31 | 3,102 | 2,682,895 | |
$ 24,852,074 | |||
Services — 6.6% | |||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) | 3,652 | $ 3,463,925 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||
6.625%, 7/15/26(1) | 718 | 716,831 | |
9.75%, 7/15/27(1) | 3,222 | 3,213,279 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL: | |||
4.625%, 6/1/28(1) | 1,961 | 1,761,189 | |
4.625%, 6/1/28(1) | 2,687 | 2,416,525 | |
APi Group DE, Inc., 4.75%, 10/15/29(1) | 4,707 | 4,298,771 | |
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) | 5,163 | 5,029,878 | |
Clarivate Science Holdings Corp., 4.875%, 7/1/29(1) | 3,878 | 3,535,736 | |
EquipmentShare.com, Inc., 8.625%, 5/15/32(1) | 3,350 | 3,412,542 | |
Gartner, Inc.: | |||
3.625%, 6/15/29(1) | 605 | 541,910 | |
3.75%, 10/1/30(1) | 2,100 | 1,829,619 | |
4.50%, 7/1/28(1) | 1,449 | 1,363,926 |
Security | Principal Amount* (000's omitted) | Value | |
Services (continued) | |||
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/26(1) | 5,546 | $ 5,516,096 | |
Hertz Corp.: | |||
4.625%, 12/1/26(1) | 372 | 288,521 | |
5.00%, 12/1/29(1) | 1,933 | 1,329,230 | |
Imola Merger Corp., 4.75%, 5/15/29(1) | 7,106 | 6,549,037 | |
Korn Ferry, 4.625%, 12/15/27(1) | 4,099 | 3,890,498 | |
Neptune Bidco U.S., Inc., 9.29%, 4/15/29(1) | 2,666 | 2,518,905 | |
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) | 2,776 | 2,587,061 | |
Ritchie Bros Holdings, Inc.: | |||
6.75%, 3/15/28(1) | 2,405 | 2,430,741 | |
7.75%, 3/15/31(1) | 972 | 1,009,299 | |
SRS Distribution, Inc., 6.00%, 12/1/29(1) | 1,481 | 1,502,640 | |
Summer BC Bidco B LLC, 5.50%, 10/31/26(1) | 3,354 | 3,205,598 | |
VT Topco, Inc., 8.50%, 8/15/30(1) | 5,167 | 5,352,201 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) | 5,051 | 4,902,102 | |
WESCO Distribution, Inc.: | |||
6.375%, 3/15/29(1) | 2,007 | 1,996,261 | |
6.625%, 3/15/32(1) | 3,343 | 3,331,535 | |
7.25%, 6/15/28(1) | 1,743 | 1,772,237 | |
White Cap Buyer LLC, 6.875%, 10/15/28(1) | 3,243 | 3,136,949 | |
White Cap Parent LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(11) | 1,481 | 1,482,859 | |
Windsor Holdings III LLC, 8.50%, 6/15/30(1) | 4,082 | 4,256,606 | |
$ 88,642,507 | |||
Steel — 0.5% | |||
Allegheny Ludlum LLC, 6.95%, 12/15/25 | 2,155 | $ 2,186,170 | |
ATI, Inc., 5.875%, 12/1/27 | 1,420 | 1,392,421 | |
Big River Steel LLC/BRS Finance Corp., 6.625%, 1/31/29(1) | 1,292 | 1,288,666 | |
TMS International Corp., 6.25%, 4/15/29(1) | 2,504 | 2,310,174 | |
$ 7,177,431 | |||
Super Retail — 3.1% | |||
Asbury Automotive Group, Inc.: | |||
4.625%, 11/15/29(1) | 839 | $ 759,496 | |
4.75%, 3/1/30 | 743 | 674,266 | |
5.00%, 2/15/32(1) | 2,334 | 2,076,771 | |
Bath & Body Works, Inc.: | |||
6.75%, 7/1/36 | 694 | 677,912 | |
6.875%, 11/1/35 | 2,146 | 2,133,873 | |
6.95%, 3/1/33 | 1,621 | 1,567,937 | |
9.375%, 7/1/25(1) | 289 | 299,369 |
Security | Principal Amount* (000's omitted) | Value | |
Super Retail (continued) | |||
Evergreen AcqCo 1 LP/TVI, Inc., 9.75%, 4/26/28(1) | 4,147 | $ 4,397,039 | |
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) | 1,497 | 1,362,952 | |
Ken Garff Automotive LLC, 4.875%, 9/15/28(1) | 2,048 | 1,902,111 | |
LCM Investments Holdings II LLC: | |||
4.875%, 5/1/29(1) | 2,840 | 2,596,551 | |
8.25%, 8/1/31(1) | 529 | 550,041 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1) | 905 | 800,213 | |
4.375%, 1/15/31(1) | 3,144 | 2,755,575 | |
Mavis Tire Express Services Topco Corp., 6.50%, 5/15/29(1) | 6,882 | 6,382,376 | |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/1/26(1) | 3,600 | 3,586,686 | |
PetSmart, Inc./PetSmart Finance Corp.: | |||
4.75%, 2/15/28(1) | 2,825 | 2,609,999 | |
7.75%, 2/15/29(1) | 1,337 | 1,272,188 | |
Sonic Automotive, Inc.: | |||
4.625%, 11/15/29(1) | 1,961 | 1,757,237 | |
4.875%, 11/15/31(1) | 1,634 | 1,427,347 | |
William Carter Co., 5.625%, 3/15/27(1) | 1,510 | 1,471,237 | |
$ 41,061,176 | |||
Technology — 5.2% | |||
Booz Allen Hamilton, Inc., 3.875%, 9/1/28(1) | 2,659 | $ 2,461,975 | |
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, 6/15/29(1) | 2,168 | 2,232,207 | |
Ciena Corp., 4.00%, 1/31/30(1) | 3,592 | 3,154,060 | |
Clarios Global LP, 6.75%, 5/15/25(1) | 653 | 653,841 | |
Clarios Global LP/Clarios U.S. Finance Co.: | |||
4.375%, 5/15/26(6) | EUR | 2,958 | 3,131,667 |
8.50%, 5/15/27(1) | 4,819 | 4,834,386 | |
Cloud Software Group, Inc.: | |||
6.50%, 3/31/29(1) | 3,276 | 3,109,623 | |
9.00%, 9/30/29(1) | 7,346 | 7,074,126 | |
Coherent Corp., 5.00%, 12/15/29(1) | 2,385 | 2,203,188 | |
Fair Isaac Corp., 4.00%, 6/15/28(1) | 2,227 | 2,053,209 | |
McAfee Corp., 7.375%, 2/15/30(1) | 3,642 | 3,376,919 | |
NCR Voyix Corp.: | |||
5.125%, 4/15/29(1) | 1,782 | 1,639,310 | |
5.25%, 10/1/30(1) | 1,566 | 1,396,469 | |
ON Semiconductor Corp., 3.875%, 9/1/28(1) | 3,132 | 2,844,973 | |
Open Text Corp., 3.875%, 2/15/28(1) | 1,596 | 1,458,274 | |
Open Text Holdings, Inc., 4.125%, 2/15/30(1) | 1,481 | 1,302,596 | |
Presidio Holdings, Inc.: | |||
4.875%, 2/1/27(1) | 723 | 724,411 |
Security | Principal Amount* (000's omitted) | Value | |
Technology (continued) | |||
Presidio Holdings, Inc.: (continued) | |||
8.25%, 2/1/28(1) | 6,515 | $ 6,593,851 | |
Rocket Software, Inc., 9.00%, 11/28/28(1)(9) | 1,330 | 1,336,258 | |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 803 | 731,397 | |
9.625%, 12/1/32 | 3,932 | 4,413,825 | |
Sensata Technologies BV, 5.00%, 10/1/25(1) | 842 | 831,920 | |
Sensata Technologies, Inc., 3.75%, 2/15/31(1) | 3,219 | 2,723,393 | |
SS&C Technologies, Inc., 5.50%, 9/30/27(1) | 3,481 | 3,386,432 | |
Viavi Solutions, Inc., 3.75%, 10/1/29(1) | 1,876 | 1,578,153 | |
VM Consolidated, Inc., 5.50%, 4/15/29(1) | 4,657 | 4,387,325 | |
$ 69,633,788 | |||
Telecommunications — 2.3% | |||
Altice Financing SA: | |||
5.00%, 1/15/28(1) | 1,945 | $ 1,537,147 | |
5.75%, 8/15/29(1) | 1,253 | 932,551 | |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/1/26(1) | 5,756 | 5,579,652 | |
Iliad Holding SASU: | |||
6.50%, 10/15/26(1) | 3,437 | 3,423,730 | |
7.00%, 10/15/28(1) | 1,592 | 1,558,215 | |
LCPR Senior Secured Financing DAC: | |||
5.125%, 7/15/29(1) | 1,082 | 904,748 | |
6.75%, 10/15/27(1) | 425 | 394,294 | |
Sprint Capital Corp., 6.875%, 11/15/28 | 1,985 | 2,080,349 | |
Sprint LLC, 7.625%, 2/15/25 | 1,145 | 1,154,468 | |
Viasat, Inc., 5.625%, 4/15/27(1) | 888 | 813,511 | |
Virgin Media Finance PLC, 5.00%, 7/15/30(1) | 2,529 | 2,073,072 | |
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(6) | GBP | 1,106 | 1,237,100 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) | 2,420 | 2,156,708 | |
Vmed O2 U.K. Financing I PLC: | |||
4.75%, 7/15/31(1) | 2,232 | 1,864,878 | |
7.75%, 4/15/32(1) | 1,550 | 1,527,382 | |
Ziggo Bond Co. BV, 5.125%, 2/28/30(1) | 984 | 817,479 | |
Ziggo BV, 4.875%, 1/15/30(1) | 2,756 | 2,414,008 | |
$ 30,469,292 | |||
Transport Excluding Air & Rail — 0.3% | |||
Seaspan Corp., 5.50%, 8/1/29(1) | 4,486 | $ 3,864,396 | |
$ 3,864,396 |
Security | Principal Amount* (000's omitted) | Value | |
Utility — 3.4% | |||
Calpine Corp.: | |||
4.50%, 2/15/28(1) | 1,810 | $ 1,691,821 | |
4.625%, 2/1/29(1) | 2,060 | 1,894,278 | |
5.00%, 2/1/31(1) | 420 | 381,038 | |
5.125%, 3/15/28(1) | 4,304 | 4,086,475 | |
Ferrellgas LP/Ferrellgas Finance Corp., 5.875%, 4/1/29(1) | 5,178 | 4,911,035 | |
Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29(1) | 2,400 | 1,988,915 | |
NextEra Energy Operating Partners LP, 4.50%, 9/15/27(1) | 3,066 | 2,859,813 | |
NRG Energy, Inc.: | |||
3.875%, 2/15/32(1) | 3,164 | 2,668,725 | |
10.25% to 3/15/28(1)(7)(8) | 3,467 | 3,740,626 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 2,196 | 1,965,945 | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 6/1/31(1) | 3,568 | 3,172,645 | |
TerraForm Power Operating LLC, 5.00%, 1/31/28(1) | 3,331 | 3,111,538 | |
TransAlta Corp., 7.75%, 11/15/29 | 3,684 | 3,774,432 | |
Vistra Operations Co. LLC: | |||
4.375%, 5/1/29(1) | 2,094 | 1,908,515 | |
5.00%, 7/31/27(1) | 4,708 | 4,484,828 | |
6.875%, 4/15/32(1) | 3,490 | 3,477,827 | |
$ 46,118,456 | |||
Total Corporate Bonds (identified cost $1,167,719,362) | $1,136,705,036 |
Exchange-Traded Funds — 0.8% |
Security | Shares | Value | |
Fixed Income Funds — 0.8% | |||
iShares Broad USD High Yield Corporate Bond ETF | 285,470 | $ 10,259,792 | |
Total Exchange-Traded Funds (identified cost $10,282,629) | $ 10,259,792 |
Preferred Stocks — 0.3% |
Security | Shares | Value | |
Services — 0.3% | |||
WESCO International, Inc., Series A, 10.625% to 6/22/25(8) | 147,488 | $ 3,892,208 | |
Total Preferred Stocks (identified cost $4,129,729) | $ 3,892,208 |
Senior Floating-Rate Loans — 6.8%(12) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Aerospace — 0.1% | |||
TransDigm, Inc., Term Loan, 8.059%, (SOFR + 2.75%), 8/24/28 | $ | 1,691 | $ 1,702,140 |
$ 1,702,140 | |||
Air Transportation — 0.4% | |||
American Airlines, Inc., Term Loan, 10.336%, (SOFR + 4.75%), 4/20/28 | $ | 2,930 | $ 3,051,821 |
Mileage Plus Holdings LLC, Term Loan, 10.733%, (SOFR + 5.25%), 6/21/27 | 2,823 | 2,900,720 | |
$ 5,952,541 | |||
Broadcasting — 0.2% | |||
ABG Intermediate Holdings 2 LLC, Term Loan, 8.918%, (SOFR + 3.50%), 12/21/28 | $ | 3,223 | $ 3,239,020 |
$ 3,239,020 | |||
Capital Goods — 0.4% | |||
DexKo Global, Inc., Term Loan, 9.559%, (SOFR + 4.25%), 10/4/28 | $ | 1,497 | $ 1,497,481 |
EMRLD Borrower LP, Term Loan, 7.816%, (SOFR + 2.50%), 5/31/30 | 3,167 | 3,175,926 | |
$ 4,673,407 | |||
Energy — 0.3% | |||
Epic Y-Grade Services LP, Term Loan, 6/29/29(13) | $ | 3,603 | $ 3,566,286 |
$ 3,566,286 | |||
Food, Beverage & Tobacco — 0.2% | |||
Triton Water Holdings, Inc., Term Loan, 3/31/28(13) | $ | 2,580 | $ 2,571,937 |
$ 2,571,937 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Gaming — 0.5% | |||
Peninsula Pacific Entertainment LLC, Term Loan, 13.00%, 12/24/29(3)(14) | $ | 2,506 | $ 2,506,014 |
Spectacle Gary Holdings LLC, Term Loan, 9.702%, (SOFR + 4.25%), 12/11/28 | 4,062 | 4,004,159 | |
$ 6,510,173 | |||
Healthcare — 1.4% | |||
athenahealth Group, Inc., Term Loan, 8.566%, (SOFR + 3.25%), 2/15/29 | $ | 1,763 | $ 1,759,381 |
Bausch & Lomb Corp., Term Loan, 8.669%, (SOFR + 3.25%), 5/10/27 | 2,206 | 2,194,910 | |
Jazz Financing Lux SARL, Term Loan, 8.43%, (SOFR + 3.00%), 5/5/28 | 2,584 | 2,602,252 | |
Pluto Acquisition I, Inc.: | |||
Term Loan, 10.687%, (SOFR + 5.50%), 6/20/28 | 967 | 979,585 | |
Term Loan - Second Lien, 9.316%, (SOFR + 4.00%), 9/20/28 | 3,550 | 3,159,440 | |
Team Health Holdings, Inc., Term Loan, 10.58%, (SOFR + 5.25%), 3/2/27(15) | 3,206 | 2,823,537 | |
Verscend Holding Corp., Term Loan, 11.50%, (U.S. (Fed) Prime Rate + 3.00%), 8/27/25 | 5,082 | 5,085,880 | |
$ 18,604,985 | |||
Insurance — 0.6% | |||
Truist Insurance Holdings LLC, Term Loan - Second Lien, 3/8/32(13) | $ | 8,615 | $ 8,693,612 |
$ 8,693,612 | |||
Leisure — 0.2% | |||
Peloton Interactive, Inc., Term Loan, 12.477%, (SOFR + 7.00%), 5/25/27 | $ | 2,050 | $ 2,049,196 |
$ 2,049,196 | |||
Paper — 0.1% | |||
Enviva Partners LP/Enviva Partners Finance Corp.: | |||
Term Loan, 4.00%, 12/13/24(16) | $ | 801 | $ 815,088 |
Term Loan, 4.00%, 12/13/24(16) | 320 | 374,900 | |
Term Loan, 13.297%, (SOFR + 8.00%), 12/13/24 | 481 | 562,350 | |
$ 1,752,338 | |||
Restaurant — 0.6% | |||
IRB Holding Corp., Term Loan, 8.166%, (SOFR + 2.75%), 12/15/27 | $ | 7,946 | $ 7,965,062 |
$ 7,965,062 |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Services — 0.5% | |||
AlixPartners LLP, Term Loan, 7.93%, (SOFR + 2.50%), 2/4/28 | $ | 7,099 | $ 7,126,352 |
$ 7,126,352 | |||
Super Retail — 0.6% | |||
Hanesbrands, Inc., Term Loan, 7.916%, (SOFR + 2.50%), 11/19/26 | $ | 3,286 | $ 3,240,423 |
Mavis Tire Express Services Corp., Term Loan, 9.066%, (SOFR + 3.75%), 5/4/28 | 2,353 | 2,362,272 | |
PetSmart, Inc., Term Loan, 9.166%, (SOFR + 3.75%), 2/11/28 | 2,311 | 2,279,657 | |
$ 7,882,352 | |||
Technology — 0.7% | |||
Central Parent, Inc., Term Loan, 7/6/29(13) | $ | 2,384 | $ 2,395,806 |
Clarios Global LP, Term Loan, 8.316%, (SOFR + 3.00%), 5/6/30 | 3,328 | 3,342,144 | |
Cloud Software Group, Inc., Term Loan, 3/30/29(13) | 1,207 | 1,208,141 | |
Riverbed Technology, Inc., Term Loan, 9.809%, (SOFR + 4.50%), 7.809% cash, 2.00% PIK, 7/1/28 | 505 | 310,665 | |
Travelport Finance (Luxembourg) SARL, Term Loan, 13.564%, (SOFR + 8.00%), 9/30/28 | 2,478 | 2,292,475 | |
$ 9,549,231 | |||
Total Senior Floating-Rate Loans (identified cost $92,014,560) | $ 91,838,632 |
Miscellaneous — 0.3% |
Security | Principal Amount/ Shares | Value | |
Cable & Satellite TV — 0.0% | |||
ACC Claims Holdings LLC(3)(5) | 8,415,190 | $ 0 | |
$ 0 | |||
Diversified Media — 0.0% | |||
National CineMedia, Inc., Escrow Certificates(3)(5) | $ | 1,660,000 | $ 0 |
$ 0 | |||
Gaming — 0.3% | |||
PGP Investors, LLC, Membership Interests(3)(4)(5) | 15,849 | $ 4,285,356 | |
$ 4,285,356 |
Security | Principal Amount/ Shares | Value | |
Healthcare — 0.0% | |||
Endo Design LLC, Escrow Certificates(3)(5) | $ | 1,153,000 | $ 0 |
Endo Luxembourg Finance SARL, Escrow Certificates(3)(5) | 2,774,000 | 0 | |
$ 0 | |||
Services — 0.0%(17) | |||
Hertz Corp., Escrow Certificates(1)(5) | $ | 502,000 | $ 50,199 |
$ 50,199 | |||
Total Miscellaneous (identified cost $65,010) | $ 4,335,555 |
Short-Term Investments — 4.6% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(18) | 61,224,349 | $ 61,224,349 | |
Total Short-Term Investments (identified cost $61,224,349) | $ 61,224,349 | ||
Total Investments — 100.6% (identified cost $1,381,646,858) | $1,354,651,433 | ||
Less Unfunded Loan Commitments — (0.1)% | $ (1,121,496) | ||
Net Investments — 100.5% (identified cost $1,380,525,362) | $1,353,529,937 | ||
Other Assets, Less Liabilities — (0.5)% | $ (6,848,306) | ||
Net Assets — 100.0% | $1,346,681,631 |
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, 2024, the aggregate value of these securities is $1,024,643,008 or 76.1% of the Portfolio's net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at April 30, 2024. |
(3) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9). |
(4) | Restricted security (see Note 5). |
(5) | Non-income producing security. |
(6) | 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, 2024, the aggregate value of these securities is $27,635,061 or 2.1% of the Portfolio's net assets. |
(7) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(8) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(9) | When-issued security. |
(10) | Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. |
(11) | Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion. |
(12) | 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”) 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. |
(13) | This Senior Loan will settle after April 30, 2024, at which time the interest rate will be determined. |
(14) | Fixed-rate loan. |
(15) | The stated interest rate represents the weighted average interest rate at April 30, 2024 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(16) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At April 30, 2024, the total value of unfunded loan commitments is $1,189,988. See Note 1F for description. |
(17) | Amount is less than 0.05%. |
(18) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of April 30, 2024. |
Forward Foreign Currency Exchange Contracts (OTC) | |||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
USD | 6,009,167 | EUR | 5,595,477 | Goldman Sachs International | 7/31/24 | $ 14,577 | $ — |
USD | 10,990,644 | EUR | 10,242,000 | State Street Bank and Trust Company | 7/31/24 | 18,103 | — |
USD | 6,868,595 | EUR | 6,400,796 | State Street Bank and Trust Company | 7/31/24 | 11,243 | — |
USD | 7,456 | GBP | 5,967 | HSBC Bank USA, N.A. | 7/31/24 | — | (3) |
USD | 1,250,060 | GBP | 1,002,744 | State Street Bank and Trust Company | 7/31/24 | — | (3,554) |
$43,923 | $(3,557) |
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 |
April 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $1,319,301,013) | $ 1,292,305,588 |
Affiliated investments, at value (identified cost $61,224,349) | 61,224,349 |
Cash | 3,223,283 |
Deposits for derivatives collateral — forward foreign currency exchange contracts | 220,000 |
Foreign currency, at value (identified cost $1,660) | 1,657 |
Interest receivable | 19,361,943 |
Dividends receivable from affiliated investments | 348,140 |
Receivable for investments sold | 2,800,690 |
Receivable for open forward foreign currency exchange contracts | 43,923 |
Trustees' deferred compensation plan | 202,809 |
Total assets | $1,379,732,382 |
Liabilities | |
Cash collateral due to broker | $ 220,000 |
Payable for investments purchased | 27,546,725 |
Payable for when-issued securities | 4,296,648 |
Payable for open forward foreign currency exchange contracts | 3,557 |
Payable to affiliates: | |
Investment adviser fee | 513,363 |
Trustees' fees | 6,814 |
Trustees' deferred compensation plan | 202,809 |
Accrued expenses | 260,835 |
Total liabilities | $ 33,050,751 |
Net Assets applicable to investors' interest in Portfolio | $1,346,681,631 |
Six Months Ended | |
April 30, 2024 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $712) | $ 571,425 |
Dividend income from affiliated investments | 1,386,038 |
Interest income | 41,141,552 |
Other income | 25,449 |
Total investment income | $ 43,124,464 |
Expenses | |
Investment adviser fee | $ 2,992,743 |
Trustees’ fees and expenses | 41,183 |
Custodian fee | 159,116 |
Legal and accounting services | 69,187 |
Miscellaneous | 1,543 |
Total expenses | $ 3,263,772 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $ 40,246 |
Total expense reductions | $ 40,246 |
Net expenses | $ 3,223,526 |
Net investment income | $ 39,900,938 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $ (13,859,031) |
Foreign currency transactions | 6,183 |
Forward foreign currency exchange contracts | 65,786 |
Net realized loss | $ (13,787,062) |
Change in unrealized appreciation (depreciation): | |
Investments | $ 74,547,697 |
Foreign currency | 916 |
Forward foreign currency exchange contracts | 38,618 |
Net change in unrealized appreciation (depreciation) | $ 74,587,231 |
Net realized and unrealized gain | $ 60,800,169 |
Net increase in net assets from operations | $100,701,107 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 39,900,938 | $ 65,174,311 |
Net realized gain (loss) | (13,787,062) | 10,565,317 |
Net change in unrealized appreciation (depreciation) | 74,587,231 | (10,425,382) |
Net increase in net assets from operations | $ 100,701,107 | $ 65,314,246 |
Capital transactions: | ||
Contributions | $ 279,707,179 | $ 295,215,386 |
Withdrawals | (124,552,332) | (289,977,325) |
Net increase in net assets from capital transactions | $ 155,154,847 | $ 5,238,061 |
Net increase in net assets | $ 255,855,954 | $ 70,552,307 |
Net Assets | ||
At beginning of period | $ 1,090,825,677 | $ 1,020,273,370 |
At end of period | $1,346,681,631 | $1,090,825,677 |
Six Months Ended April 30, 2024 (Unaudited) | Year Ended October 31, | |||||
Ratios/Supplemental Data | 2023 | 2022 | 2021 | 2020 | 2019 | |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 0.51% (1)(2) | 0.53% (1) | 0.49% (1) | 0.49% | 0.51% | 0.50% |
Net investment income | 6.37% (2) | 6.07% | 4.82% | 4.78% | 5.26% | 5.61% |
Portfolio Turnover | 22% (3) | 29% | 19% | 64% | 67% | 32% |
Total Return | 8.58% (3) | 6.66% | (8.20)% | 13.11% | 1.69% | 7.74% |
Net assets, end of period (000’s omitted) | $1,346,682 | $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 Fund's investment in the Liquidity Fund (equal to less than 0.01%, less than 0.01% and less than 0.005% of average daily net assets for the six months ended April 30, 2024 and the years ended October 31, 2023 and 2022, respectively). |
(2) | Annualized. |
(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 | $1,391,072,125 |
Gross unrealized appreciation | $ 19,885,384 |
Gross unrealized depreciation | (57,387,206) |
Net unrealized depreciation | $ (37,501,822) |
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 |
Endo, Inc. | 4/23/24 | 572 | 7,304 | 16,373 |
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 | $2,022,709 | $1,396,535 | ||
Miscellaneous | ||||
PGP Investors, LLC, Membership Interests | 2/18/15, 4/23/18, 12/17/21 | 15,849 | $ 0 | $ 4,285,356 |
Total Miscellaneous | $ 0 | $4,285,356 | ||
Total Restricted Securities | $2,022,709 | $5,681,891 |
Fair Value | ||
Derivative | Asset Derivative | Liability Derivative |
Forward foreign currency exchange contracts | $43,923 (1) | $(3,557) (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) |
Goldman Sachs International | $ 14,577 | $ — | $ — | $ (14,577) | $ — |
State Street Bank and Trust Company | 29,346 | (3,554) | — | — | 25,792 |
$43,923 | $(3,554) | $ — | $(14,577) | $25,792 |
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) |
HSBC Bank USA, N.A. | $ (3) | $ — | $ — | $ — | $ (3) |
State Street Bank and Trust Company | (3,554) | 3,554 | — | — | — |
$(3,557) | $3,554 | $ — | $ — | $ (3) |
(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 | $65,786 | $38,618 |
(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 | $37,843,239 | $374,247,117 | $(350,866,007) | $ — | $ — | $61,224,349 | $1,386,038 | 61,224,349 |
• | 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 | $ — | $ 25,223,017 | $ — | $ 25,223,017 |
Common Stocks | 4,763,000 | 1,104,749 | 1,380,162 | 7,247,911 |
Convertible Bonds | — | 13,924,933 | — | 13,924,933 |
Corporate Bonds | — | 1,136,705,036 | — | 1,136,705,036 |
Exchange-Traded Funds | 10,259,792 | — | — | 10,259,792 |
Preferred Stocks | 3,892,208 | — | — | 3,892,208 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | — | 88,211,122 | 2,506,014 | 90,717,136 |
Miscellaneous | — | 50,199 | 4,285,356 | 4,335,555 |
Short-Term Investments | 61,224,349 | — | — | 61,224,349 |
Total Investments | $ 80,139,349 | $ 1,265,219,056 | $ 8,171,532 | $ 1,353,529,937 |
Forward Foreign Currency Exchange Contracts | $ — | $ 43,923 | $ — | $ 43,923 |
Total | $ 80,139,349 | $ 1,265,262,979 | $ 8,171,532 | $ 1,353,573,860 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ — | $ (3,557) | $ — | $ (3,557) |
Total | $ — | $ (3,557) | $ — | $ (3,557) |
* | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio. |
Officers of Eaton Vance High Income Opportunities Fund and High Income Opportunities Portfolio | |
Kenneth A. Topping President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Laura T. Donovan 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 | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
Anchal Pachnanda* |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
U.S. Customer Privacy Notice | March 2024 |
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 information 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 affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No* |
For our affiliates’ everyday business purposes — information about your creditworthiness | Yes | Yes* |
For our affiliates to market to you | Yes | Yes* |
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 |
U.S. Customer Privacy Notice — continued | March 2024 |
Who we are | |
Who is providing this notice? | Eaton Vance Management and our investment management affiliates (“Eaton Vance”) (see 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.) |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include registered investment advisers such as Eaton Vance Management, Eaton Vance Advisers International Ltd., Boston Management and Research, Calvert Research and Management, Parametric Portfolio Associates LLC, Atlanta Capital Management Company LLC, Morgan Stanley Investment Management Inc., Morgan Stanley Investment Management Co.; registered broker-dealers such as Morgan Stanley Distributors Inc. and Eaton Vance Distributors, Inc. (together, the “Investment Management Affiliates”); and companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. (the “Morgan Stanley Affiliates”). |
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 does not jointly market. |
U.S. Customer Privacy Notice — continued | March 2024 |
Other important information | |
*PLEASE NOTE: Eaton Vance does not share your creditworthiness information or your transactions and experiences information with the Morgan Stanley Affiliates, nor does Eaton Vance enable the Morgan Stanley Affiliates to market to you. Your opt outs will prevent Eaton Vance from sharing your creditworthiness information with the Investment Management Affiliates and will prevent the Investment Management Affiliates from marketing their products to you.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. |
One Post Office Square
Boston, MA 02109
and Eaton Vance High Income Opportunities Fund
125 Old Broad Street
London, EC2N 1AR
United Kingdom
Income Opportunities Fund
One Post Office Square
Boston, MA 02109
One Post Office Square
Boston, MA 02109
(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 02109
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) |
(a)(2)(ii) |
(b) |
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 | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |
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 | ||
Principal Financial Officer | ||
Date: | June 25, 2024 | |
By: | /s/ Kenneth A. Topping | |
Kenneth A. Topping | ||
Principal Executive Officer | ||
Date: | June 25, 2024 |