Description | Shares | Value | |||
Long-Term Investments 97.8% | |||||
Affiliated Mutual Funds 11.6% | |||||
PGIM Short Duration High Yield Income Fund (Class R6) | 2,296,795 | $ 20,602,254 | |||
PGIM Total Return Bond Fund (Class R6) | 1,810,713 | 26,744,237 | |||
Total
Affiliated Mutual Funds (cost $45,761,518) |
47,346,491 | ||||
Common Stocks 36.9% | |||||
Aerospace & Defense 1.0% | |||||
Boeing Co. (The) | 3,159 | 1,077,787 | |||
Lockheed Martin Corp. | 4,306 | 1,559,504 | |||
Safran SA (France) | 10,521 | 1,509,409 | |||
4,146,700 | |||||
Banks 1.2% | |||||
Bank of America Corp. | 50,779 | 1,557,900 | |||
BB&T Corp. | 39,118 | 2,015,750 | |||
JPMorgan Chase & Co. | 12,215 | 1,416,940 | |||
4,990,590 | |||||
Beverages 0.3% | |||||
Keurig Dr. Pepper, Inc. | 49,311 | 1,387,612 | |||
Capital Markets 0.1% | |||||
CME Group, Inc. | 1,289 | 250,607 | |||
Moelis & Co. (Class A Stock) | 8,822 | 321,474 | |||
572,081 | |||||
Chemicals 0.2% | |||||
Akzo Nobel NV (Netherlands) | 9,088 | 856,877 | |||
Hexion Holdings Corp. (Class B Stock)* | 3,950 | 44,438 | |||
901,315 | |||||
Commercial Services & Supplies 0.2% | |||||
Republic Services, Inc. | 7,089 | 628,440 | |||
Communications Equipment 0.8% | |||||
Cisco Systems, Inc. | 30,830 | 1,707,982 | |||
Nokia OYJ (Finland), ADR | 281,382 | 1,522,277 | |||
3,230,259 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Consumer Finance 0.3% | |||||
American Express Co. | 10,104 | $ 1,256,635 | |||
Diversified Telecommunication Services 0.4% | |||||
AT&T, Inc. | 39,086 | 1,330,878 | |||
Verizon Communications, Inc. | 6,718 | 371,304 | |||
1,702,182 | |||||
Electric Utilities 1.1% | |||||
Edison International | 25,426 | 1,895,254 | |||
Entergy Corp. | 7,465 | 788,453 | |||
Exelon Corp. | 27,767 | 1,251,181 | |||
GenOn Energy Holdings, Inc. (Class A Stock)^* | 1,854 | 346,698 | |||
Keycon Power Holdings LLC^ | 350 | 106,750 | |||
4,388,336 | |||||
Entertainment 0.3% | |||||
Walt Disney Co. (The) | 9,370 | 1,340,004 | |||
Equity Real Estate Investment Trusts (REITs) 10.1% | |||||
Activia Properties, Inc. (Japan) | 105 | 481,732 | |||
American Tower Corp. | 2,865 | 606,291 | |||
Americold Realty Trust | 17,813 | 597,270 | |||
Apple Hospitality REIT, Inc. | 164,305 | 2,581,232 | |||
Boston Properties, Inc. | 8,572 | 1,139,647 | |||
CareTrust REIT, Inc. | 23,471 | 545,231 | |||
Crown Castle International Corp. | 3,791 | 505,189 | |||
DiamondRock Hospitality Co. | 181,290 | 1,825,590 | |||
Essential Properties Realty Trust, Inc. | 52,231 | 1,103,119 | |||
Frasers Centrepoint Trust (Singapore) | 21,556 | 40,908 | |||
Frasers Logistics & Industrial Trust (Singapore) | 1,527,658 | 1,333,260 | |||
Green REIT PLC (Ireland) | 656,100 | 1,301,957 | |||
Host Hotels & Resorts, Inc. | 65,838 | 1,144,923 | |||
Invincible Investment Corp. (Japan) | 1,921 | 1,102,833 | |||
Japan Hotel REIT Investment Corp. (Japan) | 598 | 498,522 | |||
Kenedix Retail REIT Corp. (Japan) | 337 | 805,801 | |||
Keppel REIT (Singapore) | 954,652 | 860,275 | |||
LaSalle Logiport REIT (Japan) | 473 | 592,053 | |||
Mapletree Logistics Trust (Singapore) | 936,126 | 1,048,002 | |||
Medical Properties Trust, Inc. | 136,159 | 2,382,783 | |||
MGM Growth Properties LLC (Class A Stock) | 85,068 | 2,540,131 | |||
New Senior Investment Group, Inc. | 372,098 | 2,653,059 | |||
Omega Healthcare Investors, Inc. | 9,208 | 334,250 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) | |||||
Prologis, Inc. | 16,255 | $ 1,310,316 | |||
QTS Realty Trust, Inc. (Class A Stock) | 13,258 | 613,580 | |||
Spirit Realty Capital, Inc. | 44,150 | 1,947,898 | |||
STAG Industrial, Inc. | 64,006 | 1,902,258 | |||
STORE Capital Corp. | 16,851 | 576,473 | |||
Taubman Centers, Inc. | 67,738 | 2,744,744 | |||
Tritax Big Box REIT PLC (United Kingdom) | 314,000 | 584,455 | |||
VICI Properties, Inc. | 88,124 | 1,880,566 | |||
Weingarten Realty Investors | 83,478 | 2,329,871 | |||
Welltower, Inc. | 15,233 | 1,266,167 | |||
41,180,386 | |||||
Food & Staples Retailing 0.2% | |||||
Walmart, Inc. | 9,001 | 993,530 | |||
Food Products 0.3% | |||||
Mondelez International, Inc. (Class A Stock) | 21,682 | 1,159,770 | |||
Health Care Equipment & Supplies 0.6% | |||||
Abbott Laboratories | 20,326 | 1,770,394 | |||
Zimmer Biomet Holdings, Inc. | 6,105 | 824,969 | |||
2,595,363 | |||||
Hotels, Restaurants & Leisure 0.5% | |||||
McDonald’s Corp. | 9,647 | 2,032,816 | |||
Household Products 0.2% | |||||
Procter & Gamble Co. (The) | 8,078 | 953,527 | |||
Independent Power & Renewable Electricity Producers 0.4% | |||||
NextEra Energy Partners LP | 29,636 | 1,441,495 | |||
Industrial Conglomerates 0.2% | |||||
Honeywell International, Inc. | 4,340 | 748,476 | |||
Insurance 0.9% | |||||
Chubb Ltd. | 13,927 | 2,128,603 | |||
MetLife, Inc. | 27,707 | 1,369,280 | |||
3,497,883 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Metals & Mining 0.2% | |||||
Anglo American PLC (South Africa) | 39,206 | $ 962,513 | |||
Mortgage Real Estate Investment Trusts (REITs) 0.4% | |||||
MFA Financial, Inc. | 148,217 | 1,064,198 | |||
Starwood Property Trust, Inc. | 21,666 | 503,301 | |||
1,567,499 | |||||
Multi-Utilities 0.2% | |||||
Dominion Energy, Inc. | 9,436 | 701,000 | |||
Oil, Gas & Consumable Fuels 10.9% | |||||
Antero Midstream Corp.(a) | 82,969 | 756,677 | |||
BP PLC (United Kingdom), ADR | 45,722 | 1,816,992 | |||
Buckeye Partners LP, MLP | 12,564 | 524,296 | |||
Cheniere Energy Partners LP, MLP | 45,368 | 2,046,551 | |||
Crestwood Equity Partners LP, MLP | 17,945 | 672,758 | |||
Enable Midstream Partners LP, MLP | 45,373 | 632,046 | |||
Enbridge, Inc. (Canada) | 48,508 | 1,620,119 | |||
Energy Transfer LP, MLP | 220,524 | 3,171,135 | |||
EnLink Midstream LLC, UTS | 90,049 | 864,470 | |||
Enterprise Products Partners LP, MLP | 111,489 | 3,356,934 | |||
EQM Midstream Partners LP, MLP | 13,940 | 536,829 | |||
Equitrans Midstream Corp. | 10,158 | 168,521 | |||
Frontera Energy Corp. (Colombia) | 2,232 | 22,840 | |||
Gibson Energy, Inc. (Canada) | 67,194 | 1,164,363 | |||
Kinder Morgan, Inc. | 138,984 | 2,865,850 | |||
Magellan Midstream Partners LP, MLP | 13,248 | 876,223 | |||
MPLX LP, MLP | 64,226 | 1,885,033 | |||
Noble Midstream Partners LP, MLP | 13,282 | 411,609 | |||
ONEOK, Inc. | 48,804 | 3,420,184 | |||
Pembina Pipeline Corp. (Canada) | 56,296 | 2,042,982 | |||
Plains All American Pipeline LP, MLP | 108,266 | 2,574,566 | |||
Plains GP Holdings LP (Class A Stock)* | 8,821 | 213,115 | |||
Rattler Midstream LP* | 23,934 | 443,736 | |||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 23,721 | 1,491,814 | |||
Tallgrass Energy LP | 80,797 | 1,548,879 | |||
Targa Resources Corp. | 57,135 | 2,223,123 | |||
TC Energy Corp. (Canada) | 23,835 | 1,167,008 | |||
Western Midstream Partners LP, MLP | 21,462 | 579,474 | |||
Williams Cos., Inc. (The) | 209,757 | 5,168,413 | |||
44,266,540 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Pharmaceuticals 1.2% | |||||
AstraZeneca PLC (United Kingdom), ADR | 53,601 | $ 2,326,819 | |||
Elanco Animal Health, Inc.* | 26,152 | 861,970 | |||
Merck & Co., Inc. | 19,118 | 1,586,603 | |||
4,775,392 | |||||
Real Estate Management & Development 0.4% | |||||
LEG Immobilien AG (Germany) | 4,350 | 503,165 | |||
New World Development Co. Ltd. (Hong Kong) | 363,665 | 513,851 | |||
Sun Hung Kai Properties Ltd. (Hong Kong) | 28,579 | 462,179 | |||
1,479,195 | |||||
Road & Rail 0.3% | |||||
Union Pacific Corp. | 7,238 | 1,302,478 | |||
Semiconductors & Semiconductor Equipment 1.8% | |||||
Advanced Micro Devices, Inc.*(a) | 46,047 | 1,402,131 | |||
Broadcom, Inc. | 2,672 | 774,853 | |||
Intel Corp. | 17,772 | 898,375 | |||
Lam Research Corp. | 5,830 | 1,216,196 | |||
Marvell Technology Group Ltd. | 35,022 | 919,678 | |||
QUALCOMM, Inc. | 31,224 | 2,284,348 | |||
7,495,581 | |||||
Software 0.3% | |||||
Microsoft Corp. | 9,116 | 1,242,237 | |||
Specialty Retail 0.9% | |||||
Foot Locker, Inc. | 17,345 | 712,186 | |||
Lowe’s Cos., Inc. | 7,565 | 767,091 | |||
Ross Stores, Inc. | 19,194 | 2,035,140 | |||
3,514,417 | |||||
Tobacco 0.6% | |||||
Philip Morris International, Inc. | 26,504 | 2,215,999 | |||
Transportation Infrastructure 0.2% | |||||
Atlantia SpA (Italy) | 36,808 | 944,506 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Wireless Telecommunication Services 0.2% | |||||
Tele2 AB (Sweden) (Class B Stock) | 47,861 | $ 685,146 | |||
Total
Common Stocks (cost $133,994,007) |
150,299,903 | ||||
Exchange-Traded Funds 10.1% | |||||
Invesco Preferred ETF | 1,375,288 | 20,505,544 | |||
SPDR Bloomberg Barclays Convertible Securities ETF | 383,042 | 20,542,543 | |||
Total
Exchange-Traded Funds (cost $38,218,647) |
41,048,087 | ||||
Preferred Stocks 3.2% | |||||
Electric Utilities 0.2% | |||||
American Electric Power Co., Inc., CVT, 6.125% | 15,812 | 861,438 | |||
Equity Real Estate Investment Trusts (REITs) 2.3% | |||||
American Homes 4 Rent | 46,967 | 1,270,457 | |||
EPR Properties (Class G Stock) | 39,406 | 996,184 | |||
Investors Real Estate Trust | 28,310 | 728,416 | |||
Monmouth Real Estate Investment Corp. | 40,207 | 1,001,154 | |||
Pebblebrook Hotel Trust | 27,788 | 754,444 | |||
PS Business Parks, Inc. | 29,203 | 734,456 | |||
Public Storage (Class W Stock) | 38,525 | 968,904 | |||
Public Storage (Class X Stock) | 38,625 | 972,191 | |||
UMH Properties, Inc. | 19,593 | 503,932 | |||
Vornado Realty Trust | 54,628 | 1,379,903 | |||
9,310,041 | |||||
Health Care Equipment & Supplies 0.4% | |||||
Danaher Corp., Series A, CVT, 4.750% | 1,513 | 1,717,104 | |||
Multi-Utilities 0.3% | |||||
Sempra Energy, Series A, CVT, 6.000% | 10,352 | 1,150,728 | |||
Total
Preferred Stocks (cost $12,113,145) |
13,039,311 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Asset-Backed Securities 2.1% | |||||
Collateralized Loan Obligations | |||||
Ballyrock
CLO Ltd. (Cayman Islands), Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.350% |
3.653 %(c) | 10/15/28 | 675 | $ 674,765 | |
Battalion
CLO Ltd. (Cayman Islands), Series 2016-10A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
3.533(c) | 01/24/29 | 500 | 499,740 | |
Benefit
Street Partners CLO Ltd. (Cayman Islands), Series 2015-VIIA, Class A1AR, 144A, 3 Month LIBOR + 0.780% |
3.080(c) | 07/18/27 | 500 | 498,319 | |
Catamaran
CLO Ltd. (Cayman Islands), Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.850% |
3.106(c) | 01/27/28 | 750 | 745,293 | |
CBAM
Ltd. (Cayman Islands), Series 2018-06A, Class A, 144A, 3 Month LIBOR + 0.940% |
3.243(c) | 07/15/31 | 500 | 498,824 | |
JMP
Credit Advisors CLO Ltd. (Cayman Islands), Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.280% |
—(p) | 07/17/29 | 500 | 500,000 | |
Mountain
View CLO Ltd. (Cayman Islands), Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.440% |
4.058(c) | 04/15/29 | 650 | 650,914 | |
Ocean
Trails CLO Ltd. (Cayman Islands), Series 2019-07A, Class A1, 144A, 3 Month LIBOR + 1.400% |
3.942(c) | 04/17/30 | 500 | 500,457 | |
OCP
CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 0.800% |
3.103(c) | 07/15/27 | 500 | 499,325 | |
Regatta
Funding LP (Cayman Islands), Series 2013-02A, Class A1R2, 144A, 3 Month LIBOR + 1.250% |
3.553(c) | 01/15/29 | 500 | 499,796 | |
Silvermore
CLO Ltd. (Cayman Islands), Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.170% |
3.688(c) | 05/15/26 | 204 | 203,847 | |
Sound
Point CLO Ltd. (Cayman Islands), Series 2016-02A, Class AR, 144A, 3 Month LIBOR + 1.290% |
3.568(c) | 10/20/28 | 250 | 249,982 | |
TICP
CLO Ltd. (Cayman Islands), Series 2016-06A, Class AR, 144A, 3 Month LIBOR + 1.200% |
3.503(c) | 01/15/29 | 500 | 498,248 | |
Trinitas
CLO Ltd. (Cayman Islands), Series 2016-05A, Class AR, 144A, 3 Month LIBOR + 1.390% |
3.666(c) | 10/25/28 | 500 | 499,750 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
Venture
CLO Ltd. (Cayman Islands), Series 2016-24A, Class A1D, 144A, 3 Month LIBOR + 1.420% |
3.698 %(c) | 10/20/28 | 350 | $ 350,143 | |
Wellfleet CLO Ltd. (Cayman Islands), | |||||
Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% | 3.558(c) | 07/20/29 | 500 | 499,746 | |
Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 0.910% | 3.188(c) | 04/20/28 | 350 | 347,623 | |
Zais
CLO Ltd. (Cayman Islands), Series 2018-02A, Class A, 144A, 3 Month LIBOR + 1.200% |
3.478(c) | 07/20/31 | 500 | 492,176 | |
Total
Asset-Backed Securities (cost $8,724,145) |
8,708,948 | ||||
Bank Loans 0.1% | |||||
Electric 0.1% | |||||
Heritage
Power LLC, Term Loan, ^ |
—(p) | 07/31/26 | 275 | 269,500 | |
269,500 | |||||
Oil & Gas 0.0% | |||||
Citgo Petroleum Corp., | |||||
2019 Incremental Term B Loan | 7.319(c) | 03/27/24 | 100 | 99,812 | |
Term B Loan | 6.819(c) | 07/29/21 | 99 | 99,478 | |
199,290 | |||||
Total
Bank Loans (cost $465,566) |
468,790 | ||||
Convertible Bond 0.2% | |||||
Insurance | |||||
AXA
SA (France), Sr. Unsec’d. Notes, 144A (cost $635,655) |
7.250 | 05/15/21 | 623 | 671,691 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds 19.7% | |||||
Advertising 0.1% | |||||
National
CineMedia LLC, Sr. Unsec’d. Notes |
5.750 % | 08/15/26 | 225 | $ 216,000 | |
Aerospace & Defense 0.4% | |||||
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A | 7.500 | 12/01/24 | 1,200 | 1,237,140 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 50 | 50,844 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 375 | 379,687 | |
Sr. Unsec’d. Notes, 144A | 8.750 | 12/01/21 | 25 | 27,250 | |
TransDigm,
Inc., Gtd. Notes |
6.375 | 06/15/26 | 50 | 50,923 | |
1,745,844 | |||||
Agriculture 0.1% | |||||
JBS
Investments II GmbH, Gtd. Notes, 144A |
5.750 | 01/15/28 | 200 | 203,180 | |
Vector
Group Ltd., Sr. Sec’d. Notes, 144A |
6.125 | 02/01/25 | 275 | 260,582 | |
463,762 | |||||
Auto Manufacturers 0.3% | |||||
Allison
Transmission, Inc., Sr. Unsec’d. Notes, 144A |
4.750 | 10/01/27 | 50 | 50,063 | |
Ford Motor Co., | |||||
Sr. Unsec’d. Notes | 4.750 | 01/15/43 | 150 | 130,407 | |
Sr. Unsec’d. Notes | 5.291 | 12/08/46 | 550 | 509,181 | |
General
Motors Co., Sr. Unsec’d. Notes |
5.000 | 10/01/28 | 250 | 264,261 | |
Navistar
International Corp., Gtd. Notes, 144A |
6.625 | 11/01/25 | 325 | 333,531 | |
1,287,443 | |||||
Auto Parts & Equipment 0.4% | |||||
Adient
Global Holdings Ltd., Gtd. Notes, 144A |
4.875 | 08/15/26 | 400 | 306,000 | |
American Axle & Manufacturing, Inc., | |||||
Gtd. Notes | 6.250 | 04/01/25 | 150 | 150,375 | |
Gtd. Notes | 6.250 | 03/15/26 | 300 | 298,875 | |
Gtd. Notes(a) | 6.500 | 04/01/27 | 200 | 200,000 | |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Auto Parts & Equipment (cont’d.) | |||||
Cooper-Standard
Automotive, Inc., Gtd. Notes, 144A(a) |
5.625 % | 11/15/26 | 225 | $ 204,187 | |
Dana Financing Luxembourg Sarl, | |||||
Gtd. Notes, 144A | 5.750 | 04/15/25 | 225 | 227,812 | |
Gtd. Notes, 144A | 6.500 | 06/01/26 | 200 | 208,500 | |
Titan
International, Inc., Sr. Sec’d. Notes |
6.500 | 11/30/23 | 125 | 109,063 | |
1,704,812 | |||||
Banks 0.6% | |||||
Banque
Centrale de Tunisie International Bond (Tunisia), |
|||||
Sr. Unsec’d. Notes | 5.750 | 01/30/25 | 200 | 185,670 | |
Sr. Unsec’d. Notes | 6.750 | 10/31/23 | EUR | 200 | 228,064 |
Sr. Unsec’d. Notes, 144A | 6.375 | 07/15/26 | EUR | 100 | 110,736 |
BBVA
Bancomer SA/Texas (Mexico), Sub. Notes, 144A |
6.750 | 09/30/22 | 200 | 215,500 | |
CIT
Group, Inc., Sub. Notes |
6.125 | 03/09/28 | 250 | 288,125 | |
Development
Bank of the Republic of Belarus JSC (Belarus), Sr. Unsec’d. Notes, 144A |
6.750 | 05/02/24 | 220 | 230,450 | |
State
Savings Bank of Ukraine Via SSB #1 PLC (Ukraine), Sr. Unsec’d. Notes |
9.625(cc) | 03/20/25 | 200 | 210,600 | |
TC
Ziraat Bankasi AS (Turkey), Sr. Unsec’d. Notes, 144A, MTN |
5.125 | 09/29/23 | 200 | 183,879 | |
Vnesheconombank
Via VEB Finance PLC (Russia), Sr. Unsec’d. Notes |
5.942 | 11/21/23 | 400 | 432,195 | |
VTB
Bank OJSC Via VTB Capital SA (Russia), Sub. Notes |
6.950 | 10/17/22 | 200 | 212,534 | |
2,297,753 | |||||
Beverages 0.0% | |||||
Cott
Holdings, Inc. (Canada), Gtd. Notes, 144A |
5.500 | 04/01/25 | 150 | 153,750 | |
Building Materials 0.4% | |||||
Cemex
SAB de CV (Mexico), Sr. Sec’d. Notes, 144A |
5.700 | 01/11/25 | 200 | 205,250 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Building Materials (cont’d.) | |||||
Cornerstone
Building Brands, Inc., Gtd. Notes, 144A(a) |
8.000 % | 04/15/26 | 250 | $ 243,750 | |
Griffon
Corp., Gtd. Notes |
5.250 | 03/01/22 | 180 | 179,325 | |
Masonite International Corp., | |||||
Gtd. Notes, 144A | 5.375 | 02/01/28 | 70 | 71,805 | |
Gtd. Notes, 144A | 5.750 | 09/15/26 | 100 | 104,250 | |
Standard
Industries, Inc., Sr. Unsec’d. Notes, 144A |
4.750 | 01/15/28 | 200 | 197,684 | |
Summit
Materials LLC/Summit Materials Finance Corp., Gtd. Notes, 144A |
6.500 | 03/15/27 | 225 | 237,938 | |
U.S.
Concrete, Inc., Gtd. Notes |
6.375 | 06/01/24 | 375 | 390,000 | |
1,630,002 | |||||
Chemicals 1.1% | |||||
Alpha
2 BV (Germany), Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500% |
8.750 | 06/01/23 | 225 | 221,062 | |
Alpha
3 BV/Alpha US Bidco, Inc. (United Kingdom), Gtd. Notes, 144A |
6.250 | 02/01/25 | 200 | 197,500 | |
Ashland
LLC, Gtd. Notes |
6.875 | 05/15/43 | 250 | 271,875 | |
Chemours Co. (The), | |||||
Gtd. Notes | 5.375 | 05/15/27 | 125 | 110,000 | |
Gtd. Notes | 7.000 | 05/15/25 | 185 | 181,460 | |
CNAC HK Finbridge Co. Ltd. (China), | |||||
Gtd. Notes | 3.875 | 06/19/29 | 200 | 201,684 | |
Gtd. Notes | 4.875 | 03/14/25 | 340 | 364,786 | |
Cornerstone
Chemical Co., Sr. Sec’d. Notes, 144A |
6.750 | 08/15/24 | 210 | 193,725 | |
Eurochem
Finance DAC (Switzerland), Gtd. Notes, 144A |
5.500 | 03/13/24 | 200 | 211,876 | |
Hexion,
Inc., Gtd. Notes, 144A |
7.875 | 07/15/27 | 130 | 128,700 | |
Mexichem
SAB de CV (Mexico), Gtd. Notes, 144A |
5.500 | 01/15/48 | 225 | 226,125 | |
NOVA
Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A |
5.250 | 06/01/27 | 500 | 521,385 | |
Rain
CII Carbon LLC/CII Carbon Corp., Sec’d. Notes, 144A |
7.250 | 04/01/25 | 350 | 331,625 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Chemicals (cont’d.) | |||||
Sasol
Financing USA LLC (South Africa), Gtd. Notes |
5.875 % | 03/27/24 | 200 | $ 214,308 | |
Starfruit
Finco BV/Starfruit US Holdco LLC (Netherlands), Sr. Unsec’d. Notes, 144A |
8.000 | 10/01/26 | 150 | 148,500 | |
Syngenta
Finance NV (Switzerland), Gtd. Notes |
5.182 | 04/24/28 | 200 | 209,897 | |
TPC
Group, Inc., Sr. Sec’d. Notes, 144A |
10.500 | 08/01/24 | 100 | 105,539 | |
Tronox
Finance PLC, Gtd. Notes, 144A |
5.750 | 10/01/25 | 190 | 178,838 | |
Tronox,
Inc., Gtd. Notes, 144A |
6.500 | 04/15/26 | 160 | 153,216 | |
Venator
Finance Sarl/Venator Materials LLC, Gtd. Notes, 144A |
5.750 | 07/15/25 | 160 | 141,200 | |
4,313,301 | |||||
Coal 0.0% | |||||
Warrior
Met Coal, Inc., Sr. Sec’d. Notes, 144A |
8.000 | 11/01/24 | 113 | 118,082 | |
Commercial Services 0.7% | |||||
Laureate
Education, Inc., Gtd. Notes, 144A |
8.250 | 05/01/25 | 350 | 380,625 | |
Refinitiv US Holdings, Inc., | |||||
Gtd. Notes, 144A | 8.250 | 11/15/26 | 720 | 796,680 | |
Sr. Sec’d. Notes, 144A | 6.250 | 05/15/26 | 285 | 306,375 | |
United Rentals North America, Inc., | |||||
Gtd. Notes | 4.875 | 01/15/28 | 825 | 841,409 | |
Gtd. Notes | 5.250 | 01/15/30 | 225 | 230,159 | |
Gtd. Notes | 5.500 | 05/15/27 | 150 | 157,688 | |
Verscend
Escrow Corp., Sr. Unsec’d. Notes, 144A |
9.750 | 08/15/26 | 125 | 133,254 | |
2,846,190 | |||||
Computers 0.3% | |||||
Banff
Merger Sub, Inc., Sr. Unsec’d. Notes, 144A |
9.750 | 09/01/26 | 855 | 760,950 | |
Everi
Payments, Inc., Gtd. Notes, 144A |
7.500 | 12/15/25 | 200 | 210,500 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Computers (cont’d.) | |||||
MTS
Systems Corp., Gtd. Notes, 144A |
5.750 % | 08/15/27 | 40 | $ 41,100 | |
Tempo
Acquisition LLC/Tempo Acquisition Finance Corp., |
|||||
Sr. Unsec’d. Notes, 144A | 6.750 | 06/01/25 | 110 | 113,437 | |
Sr. Unsec’d. Notes, 144A | 6.750 | 06/01/25 | 75 | 77,344 | |
1,203,331 | |||||
Distribution/Wholesale 0.1% | |||||
Anixter,
Inc., Gtd. Notes |
6.000 | 12/01/25 | 150 | 163,500 | |
H&E
Equipment Services, Inc., Gtd. Notes |
5.625 | 09/01/25 | 100 | 102,750 | |
266,250 | |||||
Diversified Financial Services 0.5% | |||||
Allied
Universal Holdco LLC/Allied Universal Finance Corp., |
|||||
Sr. Sec’d. Notes, 144A | 6.625 | 07/15/26 | 100 | 104,500 | |
Sr. Unsec’d. Notes, 144A | 9.750 | 07/15/27 | 225 | 234,844 | |
Fairstone
Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
7.875 | 07/15/24 | 60 | 61,800 | |
LPL
Holdings, Inc., Gtd. Notes, 144A |
5.750 | 09/15/25 | 150 | 155,625 | |
Nationstar
Mortgage Holdings, Inc., Gtd. Notes, 144A |
9.125 | 07/15/26 | 660 | 691,350 | |
Springleaf Finance Corp., | |||||
Gtd. Notes | 6.625 | 01/15/28 | 125 | 135,312 | |
Gtd. Notes | 7.125 | 03/15/26 | 625 | 701,953 | |
VFH
Parent LLC/Orchestra Co-Issuer, Inc., Sec’d. Notes, 144A |
6.750 | 06/15/22 | 50 | 51,500 | |
2,136,884 | |||||
Electric 1.3% | |||||
Calpine Corp., | |||||
Sr. Unsec’d. Notes | 5.500 | 02/01/24 | 175 | 175,000 | |
Sr. Unsec’d. Notes | 5.750 | 01/15/25 | 1,100 | 1,094,170 | |
Comision
Federal de Electricidad (Mexico), Sr. Unsec’d. Notes |
5.750 | 02/14/42 | 200 | 211,752 | |
Eskom Holdings SOC Ltd. (South Africa), | |||||
Gov’t. Gtd. Notes, MTN | 6.350 | 08/10/28 | 400 | 427,665 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Electric (cont’d.) | |||||
Eskom Holdings SOC Ltd. (South Africa), (cont’d.) | |||||
Sr. Unsec’d. Notes | 5.750 % | 01/26/21 | 340 | $ 340,850 | |
Sr. Unsec’d. Notes | 7.125 | 02/11/25 | 200 | 207,500 | |
Sr. Unsec’d. Notes, EMTN | 6.750 | 08/06/23 | 400 | 412,556 | |
Sr. Unsec’d. Notes, MTN | 8.450 | 08/10/28 | 460 | 507,405 | |
Keystone
Power Pass-Through Holders LLC/Conemaugh Power Pass-Through Holders, |
|||||
Gtd. Notes, 144A | 9.000 | 12/01/23 | 32 | 32,786 | |
Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A | 13.000 | 06/01/24 | 84 | 85,650 | |
Listrindo
Capital BV (Indonesia), Gtd. Notes, 144A |
4.950 | 09/14/26 | 200 | 200,100 | |
NRG Energy, Inc., | |||||
Gtd. Notes | 5.750 | 01/15/28 | 100 | 106,500 | |
Gtd. Notes | 6.625 | 01/15/27 | 100 | 106,619 | |
Gtd. Notes, 144A | 5.250 | 06/15/29 | 50 | 52,750 | |
Perusahaan
Listrik Negara PT (Indonesia), Sr. Unsec’d. Notes, 144A, MTN(a) |
5.450 | 05/21/28 | 420 | 475,552 | |
Vistra Operations Co. LLC, | |||||
Gtd. Notes, 144A | 5.000 | 07/31/27 | 285 | 291,769 | |
Gtd. Notes, 144A | 5.500 | 09/01/26 | 100 | 104,750 | |
Sr. Unsec’d. Notes, 144A | 5.625 | 02/15/27 | 325 | 342,875 | |
5,176,249 | |||||
Electronics 0.1% | |||||
Itron,
Inc., Gtd. Notes, 144A |
5.000 | 01/15/26 | 50 | 51,063 | |
Sensata
Technologies BV, Gtd. Notes, 144A |
5.000 | 10/01/25 | 150 | 157,872 | |
208,935 | |||||
Energy-Alternate Sources 0.0% | |||||
Neerg
Energy Ltd. (Mauritius), Sr. Sec’d. Notes |
6.000 | 02/13/22 | 200 | 197,800 | |
Engineering & Construction 0.2% | |||||
AECOM, | |||||
Gtd. Notes | 5.125 | 03/15/27 | 275 | 288,063 | |
Gtd. Notes | 5.875 | 10/15/24 | 75 | 81,000 | |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Engineering & Construction (cont’d.) | |||||
GMR
Hyderabad International Airport Ltd. (India), Sr. Sec’d. Notes |
4.250 % | 10/27/27 | 200 | $ 184,511 | |
Mexico
City Airport Trust (Mexico), Sr. Sec’d. Notes, 144A |
4.250 | 10/31/26 | 200 | 199,252 | |
TopBuild
Corp., Gtd. Notes, 144A |
5.625 | 05/01/26 | 225 | 230,344 | |
983,170 | |||||
Entertainment 0.6% | |||||
AMC Entertainment Holdings, Inc., | |||||
Gtd. Notes | 5.750 | 06/15/25 | 100 | 94,468 | |
Gtd. Notes | 5.875 | 11/15/26 | 325 | 294,937 | |
Caesars
Resort Collection LLC/CRC Finco, Inc., Gtd. Notes, 144A |
5.250 | 10/15/25 | 400 | 399,120 | |
Golden
Entertainment, Inc., Sr. Unsec’d. Notes, 144A |
7.625 | 04/15/26 | 75 | 77,063 | |
International
Game Technology PLC, Sr. Sec’d. Notes, 144A |
6.500 | 02/15/25 | 350 | 383,250 | |
Jacobs
Entertainment, Inc., Sec’d. Notes, 144A |
7.875 | 02/01/24 | 175 | 185,937 | |
Penn
National Gaming, Inc., Sr. Unsec’d. Notes, 144A |
5.625 | 01/15/27 | 225 | 228,487 | |
Scientific Games International, Inc., | |||||
Gtd. Notes | 6.250 | 09/01/20 | 50 | 50,063 | |
Gtd. Notes | 6.625 | 05/15/21 | 500 | 506,250 | |
Gtd. Notes, 144A | 8.250 | 03/15/26 | 100 | 107,028 | |
Sr. Sec’d. Notes, 144A | 5.000 | 10/15/25 | 125 | 127,812 | |
Twin
River Worldwide Holdings, Inc., Sr. Unsec’d. Notes, 144A |
6.750 | 06/01/27 | 75 | 78,188 | |
2,532,603 | |||||
Foods 0.4% | |||||
B&G
Foods, Inc., Gtd. Notes |
5.250 | 04/01/25 | 100 | 99,500 | |
JBS
Investments GmbH, Gtd. Notes, 144A |
6.250 | 02/05/23 | 200 | 203,502 | |
JBS
USA LUX SA/JBS USA Finance, Inc., Gtd. Notes, 144A |
5.750 | 06/15/25 | 250 | 258,125 | |
JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., |
|||||
Gtd. Notes, 144A | 6.500 | 04/15/29 | 145 | 155,694 | |
Sr. Unsec’d. Notes, 144A | 5.500 | 01/15/30 | 225 | 225,000 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Foods (cont’d.) | |||||
Pilgrim’s
Pride Corp., Gtd. Notes, 144A |
5.875 % | 09/30/27 | 325 | $ 341,250 | |
Post Holdings, Inc., | |||||
Gtd. Notes, 144A | 5.500 | 12/15/29 | 125 | 126,406 | |
Gtd. Notes, 144A | 5.625 | 01/15/28 | 300 | 308,625 | |
1,718,102 | |||||
Gas 0.2% | |||||
AmeriGas Partners LP/AmeriGas Finance Corp., | |||||
Sr. Unsec’d. Notes | 5.500 | 05/20/25 | 50 | 52,500 | |
Sr. Unsec’d. Notes | 5.750 | 05/20/27 | 225 | 236,250 | |
Sr. Unsec’d. Notes | 5.875 | 08/20/26 | 350 | 371,000 | |
659,750 | |||||
Healthcare-Services 0.9% | |||||
CHS/Community
Health Systems, Inc., Sec’d. Notes, 144A(a) |
8.125 | 06/30/24 | 327 | 248,520 | |
Hadrian
Merger Sub, Inc., Sr. Unsec’d. Notes, 144A |
8.500 | 05/01/26 | 150 | 144,187 | |
HCA, Inc., | |||||
Gtd. Notes | 5.375 | 02/01/25 | 495 | 535,323 | |
Gtd. Notes | 5.625 | 09/01/28 | 50 | 55,135 | |
Gtd. Notes | 5.875 | 02/01/29 | 75 | 83,719 | |
MEDNAX,
Inc., Gtd. Notes, 144A(a) |
6.250 | 01/15/27 | 550 | 545,060 | |
RegionalCare
Hospital Partners Holdings, Inc./LifePoint Health, Inc., Gtd. Notes, 144A |
9.750 | 12/01/26 | 500 | 530,625 | |
Surgery Center Holdings, Inc., | |||||
Gtd. Notes, 144A | 6.750 | 07/01/25 | 75 | 66,563 | |
Gtd. Notes, 144A | 10.000 | 04/15/27 | 150 | 148,125 | |
Tenet Healthcare Corp., | |||||
Sec’d. Notes, 144A | 6.250 | 02/01/27 | 175 | 181,650 | |
Sr. Unsec’d. Notes(a) | 6.750 | 06/15/23 | 450 | 461,812 | |
Sr. Unsec’d. Notes | 7.000 | 08/01/25 | 150 | 149,625 | |
Sr. Unsec’d. Notes | 8.125 | 04/01/22 | 300 | 320,625 | |
3,470,969 | |||||
Home Builders 0.8% | |||||
Ashton Woods USA LLC/Ashton Woods Finance Co., | |||||
Sr. Unsec’d. Notes, 144A | 6.750 | 08/01/25 | 225 | 218,812 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Home Builders (cont’d.) | |||||
Ashton Woods USA LLC/Ashton Woods Finance Co., (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A | 9.875 % | 04/01/27 | 150 | $ 159,000 | |
Beazer Homes USA, Inc., | |||||
Gtd. Notes | 5.875 | 10/15/27 | 100 | 91,500 | |
Gtd. Notes | 6.750 | 03/15/25 | 225 | 222,750 | |
Brookfield
Residential Properties, Inc. (Canada), Gtd. Notes, 144A |
6.375 | 05/15/25 | 150 | 151,875 | |
Century
Communities, Inc., Sr. Unsec’d. Notes, 144A |
6.750 | 06/01/27 | 200 | 206,750 | |
KB Home, | |||||
Gtd. Notes | 6.875 | 06/15/27 | 25 | 27,344 | |
Gtd. Notes | 7.000 | 12/15/21 | 125 | 134,375 | |
Lennar
Corp., Gtd. Notes |
5.250 | 06/01/26 | 75 | 79,702 | |
M/I
Homes, Inc., Gtd. Notes |
5.625 | 08/01/25 | 125 | 126,875 | |
Mattamy Group Corp. (Canada), | |||||
Sr. Unsec’d. Notes, 144A | 6.500 | 10/01/25 | 200 | 209,500 | |
Sr. Unsec’d. Notes, 144A | 6.875 | 12/15/23 | 75 | 77,813 | |
Meritage Homes Corp., | |||||
Gtd. Notes | 5.125 | 06/06/27 | 275 | 285,312 | |
Gtd. Notes | 6.000 | 06/01/25 | 50 | 54,375 | |
New
Home Co., Inc. (The), Gtd. Notes |
7.250 | 04/01/22 | 250 | 238,750 | |
Taylor Morrison Communities, Inc., | |||||
Gtd. Notes | 6.625 | 05/15/22 | 75 | 77,588 | |
Gtd. Notes, 144A | 5.875 | 06/15/27 | 325 | 339,625 | |
William Lyon Homes, Inc., | |||||
Gtd. Notes | 5.875 | 01/31/25 | 350 | 350,000 | |
Gtd. Notes | 7.000 | 08/15/22 | 150 | 150,225 | |
Gtd. Notes, 144A | 6.625 | 07/15/27 | 175 | 174,125 | |
3,376,296 | |||||
Household Products/Wares 0.0% | |||||
Spectrum
Brands, Inc., Gtd. Notes |
5.750 | 07/15/25 | 125 | 129,494 | |
Housewares 0.0% | |||||
Scotts
Miracle-Gro Co. (The), Gtd. Notes |
5.250 | 12/15/26 | 100 | 102,500 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Internet 0.1% | |||||
Zayo
Group LLC/Zayo Capital, Inc., Gtd. Notes, 144A(a) |
5.750 % | 01/15/27 | 525 | $ 532,875 | |
Iron/Steel 0.1% | |||||
Cleveland-Cliffs,
Inc., Sr. Unsec’d. Notes, 144A |
5.875 | 06/01/27 | 425 | 427,125 | |
Lodging 0.0% | |||||
Interval
Acquisition Corp., Gtd. Notes |
5.625 | 04/15/23 | 50 | 50,750 | |
Machinery-Diversified 0.1% | |||||
ATS
Automation Tooling Systems, Inc. (Canada), Gtd. Notes, 144A |
6.500 | 06/15/23 | 100 | 103,250 | |
Cloud
Crane LLC, Sec’d. Notes, 144A |
10.125 | 08/01/24 | 300 | 321,000 | |
RBS
Global, Inc./Rexnord LLC, Gtd. Notes, 144A |
4.875 | 12/15/25 | 50 | 50,750 | |
475,000 | |||||
Media 1.2% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/28 | 420 | 431,046 | |
Sr. Unsec’d. Notes, 144A | 5.375 | 06/01/29 | 350 | 362,687 | |
Clear
Channel Worldwide Holdings, Inc., Gtd. Notes, 144A |
9.250 | 02/15/24 | 890 | 965,650 | |
CSC
Holdings LLC, Gtd. Notes, 144A |
5.375 | 07/15/23 | 300 | 307,680 | |
Cumulus
Media New Holdings, Inc., Sr. Sec’d. Notes, 144A |
6.750 | 07/01/26 | 100 | 102,125 | |
Diamond
Sports Group LLC/Diamond Sports Finance Co., |
|||||
Sr. Sec’d. Notes, 144A | 5.375 | 08/15/26 | 100 | 101,625 | |
Sr. Unsec’d. Notes, 144A | 6.625 | 08/15/27 | 110 | 112,406 | |
DISH
DBS Corp., Gtd. Notes(a) |
7.750 | 07/01/26 | 1,300 | 1,274,000 | |
Entercom
Media Corp., Sec’d. Notes, 144A |
6.500 | 05/01/27 | 65 | 68,738 | |
Gray Television, Inc., | |||||
Gtd. Notes, 144A | 5.875 | 07/15/26 | 200 | 207,500 | |
Sr. Unsec’d. Notes, 144A | 7.000 | 05/15/27 | 70 | 76,562 | |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Media (cont’d.) | |||||
Midcontinent
Communications/Midcontinent Finance Corp., Gtd. Notes, 144A |
5.375 % | 08/15/27 | 50 | $ 51,250 | |
Radiate Holdco LLC/Radiate Finance, Inc., | |||||
Sr. Unsec’d. Notes, 144A | 6.625 | 02/15/25 | 150 | 148,125 | |
Sr. Unsec’d. Notes, 144A | 6.875 | 02/15/23 | 215 | 218,225 | |
Scripps
Escrow, Inc., Sr. Unsec’d. Notes, 144A |
5.875 | 07/15/27 | 50 | 50,510 | |
Sinclair
Television Group, Inc., Gtd. Notes, 144A |
5.875 | 03/15/26 | 75 | 77,929 | |
Univision Communications, Inc., | |||||
Sr. Sec’d. Notes, 144A | 5.125 | 05/15/23 | 150 | 148,920 | |
Sr. Sec’d. Notes, 144A | 5.125 | 02/15/25 | 200 | 194,750 | |
4,899,728 | |||||
Metal Fabricate/Hardware 0.0% | |||||
TriMas
Corp., Gtd. Notes, 144A |
4.875 | 10/15/25 | 50 | 50,625 | |
Zekelman
Industries, Inc., Sr. Sec’d. Notes, 144A |
9.875 | 06/15/23 | 100 | 105,375 | |
156,000 | |||||
Mining 0.7% | |||||
Constellium
SE, Gtd. Notes, 144A |
5.875 | 02/15/26 | 250 | 259,375 | |
Corp.
Nacional del Cobre de Chile (Chile), Sr. Unsec’d. Notes |
4.875 | 11/04/44 | 400 | 459,306 | |
Eldorado
Gold Corp. (Canada), Sec’d. Notes, 144A |
9.500 | 06/01/24 | 200 | 206,000 | |
First Quantum Minerals Ltd. (Zambia), | |||||
Gtd. Notes, 144A | 6.500 | 03/01/24 | 250 | 240,505 | |
Gtd. Notes, 144A | 7.500 | 04/01/25 | 200 | 195,750 | |
Freeport-McMoRan,
Inc., Gtd. Notes |
4.550 | 11/14/24 | 350 | 358,820 | |
IAMGOLD
Corp. (Canada), Gtd. Notes, 144A |
7.000 | 04/15/25 | 215 | 225,750 | |
Indonesia
Asahan Aluminium Persero PT (Indonesia), Sr. Unsec’d. Notes |
6.530 | 11/15/28 | 220 | 264,619 | |
New Gold, Inc. (Canada), | |||||
Gtd. Notes, 144A | 6.250 | 11/15/22 | 50 | 47,750 | |
Gtd. Notes, 144A | 6.375 | 05/15/25 | 100 | 86,500 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Mining (cont’d.) | |||||
Nexa
Resources SA (Peru), Gtd. Notes, 144A |
5.375 % | 05/04/27 | 210 | $ 220,765 | |
Novelis Corp., | |||||
Gtd. Notes, 144A | 5.875 | 09/30/26 | 150 | 155,437 | |
Gtd. Notes, 144A | 6.250 | 08/15/24 | 75 | 78,564 | |
2,799,141 | |||||
Miscellaneous Manufacturing 0.1% | |||||
Amsted
Industries, Inc., Gtd. Notes, 144A |
5.625 | 07/01/27 | 50 | 52,125 | |
FXI
Holdings, Inc., Sr. Sec’d. Notes, 144A |
7.875 | 11/01/24 | 175 | 157,500 | |
209,625 | |||||
Oil & Gas 3.3% | |||||
Alta
Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes |
7.875 | 12/15/24 | 700 | 245,000 | |
Antero
Resources Corp., Gtd. Notes(a) |
5.000 | 03/01/25 | 400 | 357,928 | |
Ascent
Resources Utica Holdings LLC/ARU Finance Corp., |
|||||
Sr. Unsec’d. Notes, 144A | 7.000 | 11/01/26 | 275 | 220,000 | |
Sr. Unsec’d. Notes, 144A | 10.000 | 04/01/22 | 276 | 272,550 | |
Centennial
Resource Production LLC, Gtd. Notes, 144A |
5.375 | 01/15/26 | 75 | 69,375 | |
Chesapeake
Energy Corp., Gtd. Notes(a) |
8.000 | 06/15/27 | 600 | 480,000 | |
Citgo
Holding, Inc., Sr. Sec’d. Notes, 144A |
9.250 | 08/01/24 | 175 | 182,219 | |
CNX Resources Corp., | |||||
Gtd. Notes | 5.875 | 04/15/22 | 180 | 171,513 | |
Gtd. Notes, 144A | 7.250 | 03/14/27 | 150 | 128,625 | |
CrownRock
LP/CrownRock Finance, Inc., Sr. Unsec’d. Notes, 144A |
5.625 | 10/15/25 | 125 | 123,125 | |
Denbury
Resources, Inc., Sec’d. Notes, 144A |
9.000 | 05/15/21 | 50 | 47,125 | |
Endeavor
Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A |
5.750 | 01/30/28 | 70 | 74,200 | |
Extraction Oil & Gas, Inc., | |||||
Gtd. Notes, 144A | 5.625 | 02/01/26 | 325 | 239,856 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
Extraction Oil & Gas, Inc., (cont’d.) | |||||
Gtd. Notes, 144A | 7.375 % | 05/15/24 | 130 | $105,625 | |
Gazprom
OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, EMTN |
8.625 | 04/28/34 | 365 | 504,227 | |
Hilcorp Energy I LP/Hilcorp Finance Co., | |||||
Sr. Unsec’d. Notes, 144A | 5.000 | 12/01/24 | 50 | 47,875 | |
Sr. Unsec’d. Notes, 144A | 5.750 | 10/01/25 | 125 | 121,563 | |
Sr. Unsec’d. Notes, 144A | 6.250 | 11/01/28 | 150 | 145,500 | |
KazMunayGas National Co. JSC (Kazakhstan), | |||||
Sr. Unsec’d. Notes | 6.375 | 10/24/48 | 200 | 241,640 | |
Sr. Unsec’d. Notes, 144A | 6.375 | 10/24/48 | 400 | 483,280 | |
MEG Energy Corp. (Canada), | |||||
Gtd. Notes, 144A | 6.375 | 01/30/23 | 450 | 429,750 | |
Gtd. Notes, 144A | 7.000 | 03/31/24 | 225 | 214,825 | |
Nabors
Industries, Inc., Gtd. Notes |
5.750 | 02/01/25 | 450 | 393,750 | |
Oil
& Gas Holding Co. BSCC (The) (Bahrain), Sr. Unsec’d. Notes |
8.375 | 11/07/28 | 200 | 234,002 | |
Pertamina Persero PT (Indonesia), | |||||
Sr. Unsec’d. Notes, 144A, MTN | 4.700 | 07/30/49 | 200 | 199,152 | |
Sr. Unsec’d. Notes, MTN | 6.500 | 11/07/48 | 400 | 505,446 | |
Petrobras Global Finance BV (Brazil), | |||||
Gtd. Notes | 5.999 | 01/27/28 | 128 | 139,776 | |
Gtd. Notes | 6.900 | 03/19/49 | 50 | 56,110 | |
Gtd. Notes | 7.375 | 01/17/27 | 663 | 783,467 | |
Gtd. Notes | 8.750 | 05/23/26 | 610 | 766,160 | |
Petroleos de Venezuela SA (Venezuela), | |||||
First Lien, 144A | 8.500 | 10/27/20 | 385 | 250,250 | |
Sr. Unsec’d. Notes | 5.375 | 04/12/27(d) | 625 | 87,500 | |
Sr. Unsec’d. Notes | 6.000 | 05/16/24(d) | 115 | 16,100 | |
Sr. Unsec’d. Notes | 6.000 | 11/15/26(d) | 670 | 93,800 | |
Sr. Unsec’d. Notes | 9.000 | 11/17/21(d) | 150 | 20,250 | |
Sr. Unsec’d. Notes | 9.750 | 05/17/35(d) | 200 | 28,000 | |
Petroleos Mexicanos (Mexico), | |||||
Gtd. Notes | 5.375 | 03/13/22 | 100 | 101,850 | |
Gtd. Notes | 5.625 | 01/23/46 | 250 | 204,125 | |
Gtd. Notes | 6.350 | 02/12/48 | 804 | 701,651 | |
Gtd. Notes | 6.500 | 03/13/27 | 340 | 337,178 | |
Gtd. Notes | 6.500 | 01/23/29 | 130 | 127,043 | |
Gtd. Notes | 6.500 | 06/02/41 | 530 | 476,459 | |
Gtd. Notes, MTN | 6.875 | 08/04/26 | 220 | 224,257 | |
Precision
Drilling Corp. (Canada), Gtd. Notes, 144A(a) |
7.125 | 01/15/26 | 275 | 261,250 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
Range Resources Corp., | |||||
Gtd. Notes(a) | 4.875 % | 05/15/25 | 250 | $ 210,000 | |
Gtd. Notes | 5.000 | 03/15/23 | 100 | 88,000 | |
Gtd. Notes | 5.875 | 07/01/22 | 135 | 126,900 | |
Saka
Energi Indonesia PT (Indonesia), Sr. Unsec’d. Notes, 144A |
4.450 | 05/05/24 | 200 | 200,994 | |
Sinopec
Group Overseas Development 2012 Ltd. (China), Gtd. Notes(a) |
4.875 | 05/17/42 | 400 | 470,044 | |
Sinopec
Group Overseas Development 2017 Ltd. (China), Gtd. Notes |
4.000 | 09/13/47 | 200 | 209,465 | |
State
Oil Co. of the Azerbaijan Republic (Azerbaijan), Sr. Unsec’d. Notes, EMTN |
4.750 | 03/13/23 | 200 | 209,190 | |
Sunoco
LP/Sunoco Finance Corp., Gtd. Notes |
5.500 | 02/15/26 | 100 | 103,750 | |
Transocean
Pontus Ltd., Sr. Sec’d. Notes, 144A |
6.125 | 08/01/25 | 71 | 73,001 | |
Transocean, Inc., | |||||
Gtd. Notes, 144A | 7.250 | 11/01/25 | 350 | 329,000 | |
Gtd. Notes, 144A | 7.500 | 01/15/26 | 100 | 94,750 | |
Trinidad
Petroleum Holdings Ltd. (Trinidad & Tobago), Sr. Sec’d. Notes, 144A |
9.750 | 06/15/26 | 75 | 83,906 | |
Valaris PLC, | |||||
Sr. Unsec’d. Notes | 5.750 | 10/01/44 | 50 | 28,500 | |
Sr. Unsec’d. Notes | 7.750 | 02/01/26 | 275 | 200,750 | |
WPX Energy, Inc., | |||||
Sr. Unsec’d. Notes | 5.250 | 09/15/24 | 100 | 100,500 | |
Sr. Unsec’d. Notes | 5.750 | 06/01/26 | 50 | 51,375 | |
13,493,502 | |||||
Packaging & Containers 0.2% | |||||
ARD
Finance SA (Luxembourg), Sr. Sec’d. Notes, Cash coupon 7.125% or PIK 7.875% |
7.125 | 09/15/23 | 400 | 412,000 | |
ARD
Securities Finance SARL (Luxembourg), Sr. Sec’d. Notes, 144A, Cash coupon 8.750% or PIK 8.750% |
8.750 | 01/31/23 | 218 | 225,381 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Packaging & Containers (cont’d.) | |||||
Ardagh
Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A |
7.250 % | 05/15/24 | 225 | $ 237,492 | |
Reynolds
Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA, Gtd. Notes, 144A |
7.000 | 07/15/24 | 125 | 129,375 | |
1,004,248 | |||||
Pharmaceuticals 0.3% | |||||
Bausch
Health Americas, Inc., Gtd. Notes, 144A |
8.500 | 01/31/27 | 85 | 93,615 | |
Bausch Health Cos., Inc., | |||||
Gtd. Notes, 144A | 6.125 | 04/15/25 | 400 | 411,500 | |
Gtd. Notes, 144A | 7.000 | 01/15/28 | 100 | 103,625 | |
Gtd. Notes, 144A | 7.250 | 05/30/29 | 110 | 114,332 | |
Sr. Sec’d. Notes, 144A | 5.750 | 08/15/27 | 35 | 36,837 | |
Endo
Dac/Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A |
6.000 | 02/01/25 | 200 | 120,000 | |
NVA
Holdings, Inc., Gtd. Notes, 144A |
6.875 | 04/01/26 | 200 | 214,000 | |
1,093,909 | |||||
Pipelines 0.6% | |||||
Abu
Dhabi Crude Oil Pipeline LLC (United Arab Emirates), Sr. Sec’d. Notes |
4.600 | 11/02/47 | 200 | 225,750 | |
Antero
Midstream Partners LP/Antero Midstream Finance Corp., |
|||||
Gtd. Notes | 5.375 | 09/15/24 | 50 | 48,125 | |
Sr. Unsec’d. Notes, 144A | 5.750 | 01/15/28 | 275 | 256,781 | |
CNX
Midstream Partners LP/CNX Midstream Finance Corp., Sr. Unsec’d. Notes, 144A |
6.500 | 03/15/26 | 100 | 95,250 | |
DCP Midstream Operating LP, | |||||
Gtd. Notes | 5.125 | 05/15/29 | 100 | 103,000 | |
Gtd. Notes, 144A | 6.450 | 11/03/36 | 75 | 79,500 | |
Global Partners LP/GLP Finance Corp., | |||||
Gtd. Notes | 7.000 | 06/15/23 | 200 | 205,000 | |
Sr. Unsec’d. Notes, 144A | 7.000 | 08/01/27 | 140 | 140,350 | |
NGPL
PipeCo LLC, Sr. Unsec’d. Notes, 144A |
7.768 | 12/15/37 | 100 | 131,375 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Pipelines (cont’d.) | |||||
Rockies Express Pipeline LLC, | |||||
Sr. Unsec’d. Notes, 144A | 6.875 % | 04/15/40 | 300 | $ 332,790 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 07/15/38 | 100 | 114,330 | |
Southern
Gas Corridor CJSC (Azerbaijan), Gov’t. Gtd. Notes, 144A |
6.875 | 03/24/26 | 250 | 293,683 | |
Tallgrass
Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes, 144A |
5.500 | 01/15/28 | 325 | 322,465 | |
Targa
Resources Partners LP/Targa Resources Partners Finance Corp., |
|||||
Gtd. Notes | 5.125 | 02/01/25 | 75 | 77,250 | |
Gtd. Notes | 5.375 | 02/01/27 | 25 | 26,000 | |
2,451,649 | |||||
Real Estate 0.3% | |||||
Country
Garden Holdings Co. Ltd. (China), Sr. Sec’d. Notes |
8.000 | 01/27/24 | 200 | 217,336 | |
Five
Point Operating Co. LP/Five Point Capital Corp., Gtd. Notes, 144A |
7.875 | 11/15/25 | 250 | 250,005 | |
Forestar
Group, Inc., Gtd. Notes, 144A |
8.000 | 04/15/24 | 100 | 106,500 | |
Greystar
Real Estate Partners LLC, Sr. Sec’d. Notes, 144A |
5.750 | 12/01/25 | 200 | 204,500 | |
Howard
Hughes Corp. (The), Sr. Unsec’d. Notes, 144A |
5.375 | 03/15/25 | 75 | 76,875 | |
Hunt
Cos., Inc., Sr. Sec’d. Notes, 144A |
6.250 | 02/15/26 | 200 | 189,000 | |
1,044,216 | |||||
Real Estate Investment Trusts (REITs) 0.1% | |||||
MGM
Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., |
|||||
Gtd. Notes | 4.500 | 09/01/26 | 100 | 102,650 | |
Gtd. Notes | 4.500 | 01/15/28 | 150 | 149,812 | |
MPT Operating Partnership LP/MPT Finance Corp., | |||||
Gtd. Notes | 5.000 | 10/15/27 | 125 | 129,375 | |
Gtd. Notes | 5.250 | 08/01/26 | 75 | 78,000 | |
Sabra
Health Care LP, Gtd. Notes |
5.125 | 08/15/26 | 50 | 52,336 | |
512,173 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Retail 0.9% | |||||
Brinker
International, Inc., Gtd. Notes, 144A |
5.000 % | 10/01/24 | 150 | $ 153,000 | |
CEC
Entertainment, Inc., Gtd. Notes |
8.000 | 02/15/22 | 375 | 355,312 | |
Ferrellgas LP/Ferrellgas Finance Corp., | |||||
Gtd. Notes | 6.750 | 06/15/23 | 150 | 129,750 | |
Sr. Unsec’d. Notes | 6.500 | 05/01/21 | 75 | 66,000 | |
Sr. Unsec’d. Notes | 6.750 | 01/15/22 | 200 | 174,000 | |
Ferrellgas
Partners LP/Ferrellgas Partners Finance Corp., |
|||||
Sr. Unsec’d. Notes | 8.625 | 06/15/20 | 450 | 326,250 | |
Sr. Unsec’d. Notes | 8.625 | 06/15/20 | 175 | 126,875 | |
Golden Nugget, Inc., | |||||
Gtd. Notes, 144A | 8.750 | 10/01/25 | 350 | 366,625 | |
Sr. Unsec’d. Notes, 144A | 6.750 | 10/15/24 | 100 | 102,938 | |
L Brands, Inc., | |||||
Gtd. Notes | 5.625 | 10/15/23 | 50 | 51,875 | |
Gtd. Notes | 6.750 | 07/01/36 | 225 | 197,438 | |
Gtd. Notes | 6.875 | 11/01/35 | 150 | 133,500 | |
Michaels
Stores, Inc., Gtd. Notes, 144A |
8.000 | 07/15/27 | 150 | 145,125 | |
PetSmart,
Inc., Sr. Sec’d. Notes, 144A |
5.875 | 06/01/25 | 334 | 330,192 | |
Rite
Aid Corp., Gtd. Notes, 144A |
6.125 | 04/01/23 | 475 | 400,781 | |
Sally
Holdings LLC/Sally Capital, Inc., Gtd. Notes(a) |
5.625 | 12/01/25 | 450 | 446,625 | |
Suburban
Propane Partners LP/Suburban Energy Finance Corp., |
|||||
Sr. Unsec’d. Notes | 5.500 | 06/01/24 | 150 | 153,000 | |
Sr. Unsec’d. Notes | 5.750 | 03/01/25 | 25 | 25,313 | |
Superior
Plus LP/Superior General Partner, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
7.000 | 07/15/26 | 125 | 131,875 | |
3,816,474 | |||||
Software 0.2% | |||||
Dun
& Bradstreet Corp. (The), Sr. Sec’d. Notes, 144A |
6.875 | 08/15/26 | 165 | 175,882 | |
Infor
US, Inc., Gtd. Notes |
6.500 | 05/15/22 | 295 | 300,162 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Software (cont’d.) | |||||
Informatica
LLC, Sr. Unsec’d. Notes, 144A |
7.125 % | 07/15/23 | 40 | $ 40,750 | |
RP
Crown Parent LLC, Gtd. Notes, 144A |
7.375 | 10/15/24 | 230 | 239,200 | |
755,994 | |||||
Telecommunications 1.7% | |||||
C&W
Senior Financing DAC (Ireland), Sr. Unsec’d. Notes, 144A |
6.875 | 09/15/27 | 200 | 209,260 | |
CenturyLink, Inc., | |||||
Sr. Unsec’d. Notes | 5.625 | 04/01/25 | 150 | 151,950 | |
Sr. Unsec’d. Notes, Series P | 7.600 | 09/15/39 | 180 | 167,850 | |
Sr. Unsec’d. Notes, Series U | 7.650 | 03/15/42 | 215 | 200,488 | |
CommScope
Technologies LLC, Gtd. Notes, 144A |
6.000 | 06/15/25 | 330 | 300,300 | |
CommScope,
Inc., Gtd. Notes, 144A |
8.250 | 03/01/27 | 150 | 147,750 | |
Digicel
Group One Ltd. (Jamaica), Sr. Sec’d. Notes, 144A |
8.250 | 12/30/22 | 157 | 95,868 | |
Digicel
Group Two Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A |
8.250 | 09/30/22 | 98 | 19,600 | |
Digicel Ltd. (Jamaica), | |||||
Gtd. Notes, 144A | 6.750 | 03/01/23 | 800 | 383,008 | |
Sr. Unsec’d. Notes | 6.000 | 04/15/21 | 200 | 137,500 | |
Sr. Unsec’d. Notes, 144A | 6.000 | 04/15/21 | 200 | 137,500 | |
Embarq
Corp., Sr. Unsec’d. Notes |
7.995 | 06/01/36 | 350 | 340,375 | |
Intelsat
Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A |
9.750 | 07/15/25 | 200 | 206,750 | |
Iridium
Communications, Inc., Sr. Unsec’d. Notes, 144A |
10.250 | 04/15/23 | 175 | 189,875 | |
MTN
Mauritius Investments Ltd. (South Africa), Gtd. Notes, 144A |
6.500 | 10/13/26 | 200 | 218,129 | |
ORBCOMM,
Inc., Sr. Sec’d. Notes, 144A |
8.000 | 04/01/24 | 265 | 274,937 | |
Sprint Capital Corp., | |||||
Gtd. Notes | 6.875 | 11/15/28 | 186 | 204,600 | |
Gtd. Notes | 8.750 | 03/15/32 | 455 | 564,769 | |
Sprint
Corp., Gtd. Notes |
7.625 | 02/15/25 | 655 | 725,432 | |
West
Corp., Gtd. Notes, 144A |
8.500 | 10/15/25 | 560 | 471,800 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Telecommunications (cont’d.) | |||||
Wind
Tre SpA (Italy), Sr. Sec’d. Notes, 144A |
5.000 % | 01/20/26 | 1,225 | $ 1,213,056 | |
Xplornet
Communications, Inc. (Canada), Gtd. Notes, 144A, Cash coupon 9.625% or PIK 10.625% |
9.625 | 06/01/22 | 427 | 435,825 | |
6,796,622 | |||||
Transportation 0.2% | |||||
Kazakhstan
Temir Zholy Finance BV (Kazakhstan), Gtd. Notes |
6.950 | 07/10/42 | 200 | 256,348 | |
Pelabuhan
Indonesia III Persero PT (Indonesia), Sr. Unsec’d. Notes |
4.875 | 10/01/24 | 200 | 215,000 | |
XPO
Logistics, Inc., Gtd. Notes, 144A |
6.750 | 08/15/24 | 300 | 319,785 | |
791,133 | |||||
Water 0.1% | |||||
Aegea
Finance Sarl (Brazil), Gtd. Notes |
5.750 | 10/10/24 | 200 | 207,752 | |
Total
Corporate Bonds (cost $79,621,957) |
80,457,188 | ||||
Sovereign Bonds 13.9% | |||||
1MDB
Global Investments Ltd. (Malaysia), Sr. Unsec’d. Notes |
4.400 | 03/09/23 | 1,000 | 966,000 | |
Angolan Government International Bond (Angola), | |||||
Sr. Unsec’d. Notes | 8.250 | 05/09/28 | 200 | 212,635 | |
Sr. Unsec’d. Notes | 9.375 | 05/08/48 | 200 | 220,650 | |
Sr. Unsec’d. Notes | 9.500 | 11/12/25 | 600 | 694,500 | |
Argentina
Bonar Bonds (Argentina), Unsec’d. Notes |
8.750 | 05/07/24 | 250 | 221,655 | |
Argentine
Republic Government International Bond (Argentina), |
|||||
Sr. Unsec’d. Notes | 3.380(cc) | 12/31/38 | EUR | 200 | 129,692 |
Sr. Unsec’d. Notes | 3.750(cc) | 12/31/38 | 180 | 107,370 | |
Sr. Unsec’d. Notes | 5.625 | 01/26/22 | 540 | 464,940 | |
Sr. Unsec’d. Notes | 6.875 | 01/11/48 | 75 | 56,700 | |
Sr. Unsec’d. Notes | 7.500 | 04/22/26 | 210 | 179,550 | |
Sr. Unsec’d. Notes | 7.820 | 12/31/33 | EUR | 1,170 | 1,098,909 |
Sr. Unsec’d. Notes | 8.280 | 12/31/33 | 680 | 587,850 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Sovereign Bonds (Continued) | |||||
Bahrain Government International Bond (Bahrain), | |||||
Sr. Unsec’d. Notes | 6.750 % | 09/20/29 | 400 | $ 444,580 | |
Sr. Unsec’d. Notes | 7.000 | 01/26/26 | 200 | 224,464 | |
Sr. Unsec’d. Notes | 7.000 | 10/12/28 | 200 | 226,000 | |
Sr. Unsec’d. Notes | 7.500 | 09/20/47 | 400 | 454,500 | |
Brazil
Minas SPE via State of Minas Gerais (Brazil), Gov’t. Gtd. Notes |
5.333 | 02/15/28 | 270 | 287,550 | |
Brazilian Government International Bond (Brazil), | |||||
Sr. Unsec’d. Notes | 5.625 | 01/07/41 | 150 | 166,802 | |
Sr. Unsec’d. Notes | 7.125 | 01/20/37 | 135 | 172,633 | |
Sr. Unsec’d. Notes | 8.250 | 01/20/34 | 773 | 1,065,781 | |
Colombia Government International Bond (Colombia), | |||||
Sr. Unsec’d. Notes | 6.125 | 01/18/41 | 225 | 280,409 | |
Sr. Unsec’d. Notes | 7.375 | 09/18/37 | 640 | 880,806 | |
Sr. Unsec’d. Notes | 10.375 | 01/28/33 | 200 | 314,000 | |
Congolese
International Bond (Congo (Republic)), Sr. Unsec’d. Notes |
6.000(cc) | 06/30/29 | 200 | 178,492 | |
Costa
Rica Government International Bond (Costa Rica), |
|||||
Sr. Unsec’d. Notes | 4.250 | 01/26/23 | 400 | 396,504 | |
Sr. Unsec’d. Notes | 7.000 | 04/04/44 | 200 | 203,752 | |
Sr. Unsec’d. Notes | 7.158 | 03/12/45 | 200 | 206,752 | |
Dominican
Republic International Bond (Dominican Republic), |
|||||
Sr. Unsec’d. Notes | 5.875 | 04/18/24 | 630 | 674,919 | |
Sr. Unsec’d. Notes | 6.850 | 01/27/45 | 100 | 111,626 | |
Sr. Unsec’d. Notes | 7.450 | 04/30/44 | 760 | 895,858 | |
Sr. Unsec’d. Notes, 144A | 6.000 | 07/19/28 | 150 | 164,064 | |
Ecuador Government International Bond (Ecuador), | |||||
Sr. Unsec’d. Notes | 7.950 | 06/20/24 | 200 | 208,000 | |
Sr. Unsec’d. Notes | 8.750 | 06/02/23 | 200 | 215,300 | |
Sr. Unsec’d. Notes | 8.875 | 10/23/27 | 420 | 433,125 | |
Sr. Unsec’d. Notes | 10.500 | 03/24/20 | 200 | 206,752 | |
Sr. Unsec’d. Notes | 10.750 | 03/28/22 | 400 | 442,504 | |
Sr. Unsec’d. Notes | 10.750 | 01/31/29 | 200 | 224,000 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 01/23/28 | 200 | 196,000 | |
Sr. Unsec’d. Notes, 144A | 8.750 | 06/02/23 | 265 | 285,273 | |
Sr. Unsec’d. Notes, 144A | 8.875 | 10/23/27 | 200 | 206,250 | |
Sr. Unsec’d. Notes, 144A | 9.650 | 12/13/26 | 420 | 452,550 | |
Egypt Government International Bond (Egypt), | |||||
Sr. Unsec’d. Notes | 7.903 | 02/21/48 | 200 | 207,650 | |
Sr. Unsec’d. Notes, 144A | 8.700 | 03/01/49 | 210 | 229,425 | |
Sr. Unsec’d. Notes, 144A, MTN | 4.750 | 04/11/25 | EUR | 100 | 115,606 |
Sr. Unsec’d. Notes, 144A, MTN | 4.750 | 04/16/26 | EUR | 300 | 344,165 |
Sr. Unsec’d. Notes, 144A, MTN | 6.375 | 04/11/31 | EUR | 220 | 258,079 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Sovereign Bonds (Continued) | |||||
Egypt Government International Bond (Egypt), (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A, MTN | 7.600 % | 03/01/29 | 200 | $ 214,124 | |
Sr. Unsec’d. Notes, 144A, MTN | 8.500 | 01/31/47 | 455 | 496,041 | |
Sr. Unsec’d. Notes, EMTN | 5.625 | 04/16/30 | EUR | 100 | 112,719 |
Sr. Unsec’d. Notes, MTN | 7.600 | 03/01/29 | 200 | 214,124 | |
El
Salvador Government International Bond (El Salvador), |
|||||
Sr. Unsec’d. Notes | 5.875 | 01/30/25 | 420 | 431,550 | |
Sr. Unsec’d. Notes | 7.625 | 02/01/41 | 300 | 324,003 | |
Sr. Unsec’d. Notes | 8.250 | 04/10/32 | 280 | 319,200 | |
Emirate
of Dubai Government International Bonds (United Arab Emirates), Sr. Unsec’d. Notes, EMTN |
5.250 | 01/30/43 | 200 | 220,308 | |
Ethiopia
International Bond (Ethiopia), Sr. Unsec’d. Notes |
6.625 | 12/11/24 | 200 | 207,588 | |
Export Credit Bank of Turkey (Turkey), | |||||
Sr. Unsec’d. Notes | 6.125 | 05/03/24 | 200 | 193,754 | |
Sr. Unsec’d. Notes, 144A | 5.000 | 09/23/21 | 200 | 195,406 | |
Export-Import
Bank of India (India), Sr. Unsec’d. Notes, 144A |
3.375 | 08/05/26 | 200 | 201,037 | |
Gabon Government International Bond (Gabon), | |||||
Bonds | 6.375 | 12/12/24 | 400 | 397,000 | |
Sr. Unsec’d. Notes | 6.950 | 06/16/25 | 200 | 199,900 | |
Ghana Government International Bond (Ghana), | |||||
Bank Gtd. Notes | 10.750 | 10/14/30 | 200 | 253,476 | |
Sr. Unsec’d. Notes | 7.875 | 08/07/23 | 300 | 328,063 | |
Sr. Unsec’d. Notes | 8.125 | 01/18/26 | 400 | 431,209 | |
Sr. Unsec’d. Notes, 144A | 8.950 | 03/26/51 | 205 | 211,605 | |
Hellenic Republic Government Bond (Greece), | |||||
Bonds | 3.000(cc) | 02/24/38 | EUR | 240 | 298,786 |
Bonds | 3.000(cc) | 02/24/39 | EUR | 75 | 93,169 |
Bonds | 3.000(cc) | 02/24/40 | EUR | 115 | 143,118 |
Honduras
Government International Bond (Honduras), Sr. Unsec’d. Notes |
7.500 | 03/15/24 | 400 | 441,004 | |
Hungary
Government International Bond (Hungary), Sr. Unsec’d. Notes |
7.625 | 03/29/41 | 328 | 519,530 | |
Indonesia
Government International Bond (Indonesia), |
|||||
Sr. Unsec’d. Notes | 5.350 | 02/11/49 | 200 | 241,795 | |
Sr. Unsec’d. Notes | 7.750 | 01/17/38 | 200 | 291,865 | |
Sr. Unsec’d. Notes | 8.500 | 10/12/35 | 220 | 333,851 | |
Sr. Unsec’d. Notes, 144A | 4.350 | 01/08/27 | 200 | 216,007 | |
Sr. Unsec’d. Notes, EMTN | 3.750 | 06/14/28 | EUR | 200 | 272,045 |
Sr. Unsec’d. Notes, EMTN | 5.125 | 01/15/45 | 200 | 229,582 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Sovereign Bonds (Continued) | |||||
Indonesia Government International Bond (Indonesia), (cont’d.) | |||||
Sr. Unsec’d. Notes, EMTN | 5.250 % | 01/17/42 | 200 | $ 231,197 | |
Iraq International Bond (Iraq), | |||||
Sr. Unsec’d. Notes | 5.800 | 01/15/28 | 500 | 496,250 | |
Sr. Unsec’d. Notes | 6.752 | 03/09/23 | 600 | 621,072 | |
Ivory
Coast Government International Bond (Ivory Coast), |
|||||
Sr. Unsec’d. Notes | 5.125 | 06/15/25 | EUR | 200 | 235,392 |
Sr. Unsec’d. Notes | 6.375 | 03/03/28 | 200 | 200,722 | |
Sr. Unsec’d. Notes | 6.625 | 03/22/48 | EUR | 440 | 493,305 |
Jamaica Government International Bond (Jamaica), | |||||
Sr. Unsec’d. Notes | 7.875 | 07/28/45 | 200 | 253,502 | |
Sr. Unsec’d. Notes | 9.250 | 10/17/25 | 200 | 254,000 | |
Jordan Government International Bond (Jordan), | |||||
Sr. Unsec’d. Notes | 7.375 | 10/10/47 | 200 | 212,084 | |
Sr. Unsec’d. Notes, 144A | 7.375 | 10/10/47 | 200 | 212,084 | |
Kazakhstan
Government International Bond (Kazakhstan), Sr. Unsec’d. Notes, MTN |
6.500 | 07/21/45 | 200 | 277,525 | |
Kenya Government International Bond (Kenya), | |||||
Sr. Unsec’d. Notes | 6.875 | 06/24/24 | 600 | 644,640 | |
Sr. Unsec’d. Notes, 144A | 8.000 | 05/22/32 | 200 | 212,113 | |
Sr. Unsec’d. Notes, 144A | 8.250 | 02/28/48 | 200 | 208,052 | |
Lebanon Government International Bond (Lebanon), | |||||
Sr. Unsec’d. Notes | 6.000 | 01/27/23 | 89 | 73,850 | |
Sr. Unsec’d. Notes | 6.650 | 04/22/24 | 120 | 97,500 | |
Sr. Unsec’d. Notes | 6.750 | 11/29/27 | 140 | 107,450 | |
Sr. Unsec’d. Notes, EMTN | 6.100 | 10/04/22 | 10 | 8,463 | |
Sr. Unsec’d. Notes, EMTN | 6.250 | 05/27/22 | 130 | 111,198 | |
Sr. Unsec’d. Notes, GMTN | 6.250 | 11/04/24 | 320 | 252,000 | |
Sr. Unsec’d. Notes, GMTN | 6.375 | 03/09/20 | 220 | 214,500 | |
Sr. Unsec’d. Notes, GMTN | 6.600 | 11/27/26 | 30 | 23,225 | |
Sr. Unsec’d. Notes, GMTN | 6.650 | 02/26/30 | 320 | 240,400 | |
Sr. Unsec’d. Notes, MTN | 6.400 | 05/26/23 | 100 | 82,766 | |
Sr. Unsec’d. Notes, MTN | 6.850 | 05/25/29 | 80 | 60,640 | |
Sr. Unsec’d. Notes, MTN | 8.250 | 04/12/21 | 91 | 84,899 | |
Malaysia
Sukuk Global Bhd (Malaysia), Sr. Unsec’d. Notes, 144A |
4.080 | 04/27/46 | 250 | 283,385 | |
Mexican
Bonos (Mexico), Bonds, Series M30 |
10.000 | 11/20/36 | MXN | 1,800 | 113,383 |
Mexico Government International Bond (Mexico), | |||||
Sr. Unsec’d. Notes, MTN | 6.050 | 01/11/40 | 546 | 654,523 | |
Sr. Unsec’d. Notes, MTN | 6.750 | 09/27/34 | 203 | 260,246 | |
Mongolia Government International Bond (Mongolia), | |||||
Sr. Unsec’d. Notes, EMTN | 5.125 | 12/05/22 | 200 | 201,760 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Sovereign Bonds (Continued) | |||||
Mongolia Government International Bond (Mongolia), (cont’d.) | |||||
Sr. Unsec’d. Notes, EMTN | 8.750 % | 03/09/24 | 200 | $ 226,744 | |
Sr. Unsec’d. Notes, EMTN | 10.875 | 04/06/21 | 200 | 221,500 | |
Namibia
International Bonds (Namibia), Sr. Unsec’d. Notes |
5.250 | 10/29/25 | 200 | 203,824 | |
Nigeria Government International Bond (Nigeria), | |||||
Sr. Unsec’d. Notes | 7.143 | 02/23/30 | 400 | 412,816 | |
Sr. Unsec’d. Notes | 7.625 | 11/21/25 | 200 | 222,464 | |
Sr. Unsec’d. Notes | 7.875 | 02/16/32 | 440 | 467,236 | |
Sr. Unsec’d. Notes, 144A | 7.696 | 02/23/38 | 200 | 206,370 | |
Sr. Unsec’d. Notes, 144A | 8.747 | 01/21/31 | 215 | 242,623 | |
Sr. Unsec’d. Notes, EMTN | 6.500 | 11/28/27 | 200 | 204,588 | |
Oman Government International Bond (Oman), | |||||
Sr. Unsec’d. Notes | 4.750 | 06/15/26 | 630 | 604,800 | |
Sr. Unsec’d. Notes | 6.500 | 03/08/47 | 400 | 369,311 | |
Sr. Unsec’d. Notes | 6.750 | 01/17/48 | 200 | 188,284 | |
Sr. Unsec’d. Notes, 144A | 6.500 | 03/08/47 | 205 | 189,272 | |
Pakistan
Government International Bond (Pakistan), Sr. Unsec’d. Notes |
6.875 | 12/05/27 | 400 | 416,080 | |
Panama Government International Bond (Panama), | |||||
Sr. Unsec’d. Notes | 3.870 | 07/23/60 | 200 | 200,702 | |
Sr. Unsec’d. Notes(a) | 4.300 | 04/29/53 | 250 | 275,625 | |
Sr. Unsec’d. Notes | 6.700 | 01/26/36 | 155 | 212,739 | |
Sr. Unsec’d. Notes | 9.375 | 04/01/29 | 80 | 120,001 | |
Papua
New Guinea Government International Bond (Papua New Guinea), Sr. Unsec’d. Notes, 144A |
8.375 | 10/04/28 | 200 | 216,000 | |
Paraguay
Government International Bond (Paraguay), Sr. Unsec’d. Notes |
6.100 | 08/11/44 | 200 | 241,502 | |
Peruvian Government International Bond (Peru), | |||||
Sr. Unsec’d. Notes(a) | 5.625 | 11/18/50 | 150 | 207,752 | |
Sr. Unsec’d. Notes | 6.550 | 03/14/37 | 485 | 687,492 | |
Sr. Unsec’d. Notes | 8.750 | 11/21/33 | 175 | 285,688 | |
Philippine
Government International Bond (Philippines), |
|||||
Sr. Unsec’d. Notes | 3.950 | 01/20/40 | 100 | 112,349 | |
Sr. Unsec’d. Notes | 7.750 | 01/14/31 | 420 | 620,682 | |
Provincia de Buenos Aires (Argentina), | |||||
Sr. Unsec’d. Notes | 4.000(cc) | 05/01/20 | EUR | 30 | 32,214 |
Sr. Unsec’d. Notes | 9.125 | 03/16/24 | 300 | 252,003 | |
Sr. Unsec’d. Notes | 9.950 | 06/09/21 | 620 | 551,490 | |
Qatar Government International Bond (Qatar), | |||||
Sr. Unsec’d. Notes | 5.103 | 04/23/48 | 200 | 240,357 | |
Sr. Unsec’d. Notes, 144A | 4.817 | 03/14/49 | 355 | 410,912 | |
Sr. Unsec’d. Notes, 144A | 5.103 | 04/23/48 | 400 | 480,714 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Sovereign Bonds (Continued) | |||||
Republic
of Belarus International Bond (Belarus), Sr. Unsec’d. Notes |
7.625 % | 06/29/27 | 225 | $ 253,890 | |
Republic
of Cameroon International Bond (Cameroon), Sr. Unsec’d. Notes |
9.500 | 11/19/25 | 200 | 217,193 | |
Republic
of South Africa Government International Bond (South Africa), |
|||||
Sr. Unsec’d. Notes | 6.250 | 03/08/41 | 110 | 119,900 | |
Sr. Unsec’d. Notes | 6.300 | 06/22/48 | 200 | 214,448 | |
Republic of Venezuela (Venezuela), | |||||
Sr. Unsec’d. Notes | 7.000 | 03/31/38(d) | 220 | 33,550 | |
Sr. Unsec’d. Notes | 7.750 | 10/13/19(d) | 110 | 16,775 | |
Sr. Unsec’d. Notes | 9.000 | 05/07/23(d) | 100 | 15,250 | |
Sr. Unsec’d. Notes | 11.950 | 08/05/31(d) | 300 | 45,750 | |
Romanian
Government International Bond (Romania), |
|||||
Sr. Unsec’d. Notes | 5.125 | 06/15/48 | 200 | 222,000 | |
Sr. Unsec’d. Notes, 144A, MTN | 4.625 | 04/03/49 | EUR | 182 | 250,381 |
Sr. Unsec’d. Notes, EMTN | 3.875 | 10/29/35 | EUR | 20 | 25,717 |
Sr. Unsec’d. Notes, EMTN | 4.125 | 03/11/39 | EUR | 195 | 250,943 |
Sr. Unsec’d. Notes, MTN | 4.625 | 04/03/49 | EUR | 83 | 114,185 |
Sr. Unsec’d. Notes, MTN | 6.125 | 01/22/44 | 296 | 375,411 | |
Russian Foreign Bond (Russia), | |||||
Sr. Unsec’d. Notes | 5.100 | 03/28/35 | 200 | 217,275 | |
Sr. Unsec’d. Notes | 5.250 | 06/23/47 | 400 | 448,800 | |
Sr. Unsec’d. Notes | 5.625 | 04/04/42 | 200 | 236,503 | |
Sr. Unsec’d. Notes | 12.750 | 06/24/28 | 255 | 421,512 | |
Sr. Unsec’d. Notes, 144A | 5.100 | 03/28/35 | 200 | 217,275 | |
Saudi Government International Bond (Saudi Arabia), | |||||
Sr. Unsec’d. Notes | 5.250 | 01/16/50 | 600 | 704,250 | |
Sr. Unsec’d. Notes, 144A | 5.250 | 01/16/50 | 230 | 269,963 | |
Sr. Unsec’d. Notes, EMTN | 5.000 | 04/17/49 | 200 | 226,902 | |
Sr. Unsec’d. Notes, MTN | 4.625 | 10/04/47 | 200 | 214,360 | |
Senegal
Government International Bond (Senegal), Sr. Unsec’d. Notes, 144A |
6.750 | 03/13/48 | 200 | 191,884 | |
Sri Lanka Government International Bond (Sri Lanka), | |||||
Sr. Unsec’d. Notes | 5.750 | 04/18/23 | 200 | 200,248 | |
Sr. Unsec’d. Notes | 6.250 | 07/27/21 | 550 | 559,605 | |
Sr. Unsec’d. Notes | 6.850 | 11/03/25 | 200 | 203,504 | |
Sr. Unsec’d. Notes, 144A | 5.750 | 04/18/23 | 200 | 200,248 | |
Sr. Unsec’d. Notes, 144A | 6.750 | 04/18/28 | 200 | 196,006 | |
Sr. Unsec’d. Notes, 144A | 6.850 | 03/14/24 | 265 | 272,288 | |
Sr. Unsec’d. Notes, 144A | 7.850 | 03/14/29 | 400 | 415,477 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Sovereign Bonds (Continued) | |||||
Third
Pakistan International Sukuk Co. Ltd. (The) (Pakistan), |
|||||
Sr. Unsec’d. Notes | 5.625 % | 12/05/22 | 520 | $ 529,854 | |
Sr. Unsec’d. Notes, 144A | 5.625 | 12/05/22 | 200 | 203,790 | |
Turkey Government International Bond (Turkey), | |||||
Sr. Unsec’d. Notes | 4.875 | 10/09/26 | 640 | 584,000 | |
Sr. Unsec’d. Notes | 5.200 | 02/16/26 | EUR | 200 | 231,086 |
Sr. Unsec’d. Notes | 6.000 | 03/25/27 | 480 | 464,400 | |
Sr. Unsec’d. Notes | 6.000 | 01/14/41 | 200 | 175,496 | |
Sr. Unsec’d. Notes | 6.350 | 08/10/24 | 200 | 201,596 | |
Sr. Unsec’d. Notes | 6.750 | 05/30/40 | 200 | 191,337 | |
Sr. Unsec’d. Notes | 6.875 | 03/17/36 | 404 | 395,350 | |
Sr. Unsec’d. Notes | 7.250 | 12/23/23 | 200 | 209,999 | |
Sr. Unsec’d. Notes | 7.375 | 02/05/25 | 60 | 63,043 | |
Sr. Unsec’d. Notes | 7.625 | 04/26/29 | 400 | 419,600 | |
Ukraine Government International Bond (Ukraine), | |||||
Sr. Unsec’d. Notes | —(p) | 05/31/40 | 86 | 73,100 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/20 | 170 | 175,301 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/21 | 114 | 119,303 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/23 | 265 | 283,285 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/24 | 360 | 384,099 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/25 | 610 | 644,587 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/26 | 250 | 264,000 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/27 | 100 | 105,512 | |
Sr. Unsec’d. Notes | 8.994 | 02/01/24 | 400 | 443,822 | |
Sr. Unsec’d. Notes | 9.750 | 11/01/28 | 535 | 624,612 | |
Sr. Unsec’d. Notes, 144A | —(p) | 05/31/40 | 35 | 29,750 | |
Ukreximbank
Via Biz Finance PLC (Ukraine), Sr. Unsec’d. Notes |
9.625 | 04/27/22 | 100 | 104,937 | |
Uruguay Government International Bond (Uruguay), | |||||
Sr. Unsec’d. Notes | 5.100 | 06/18/50 | 315 | 361,463 | |
Sr. Unsec’d. Notes | 7.625 | 03/21/36 | 255 | 369,753 | |
Zambia Government International Bond (Zambia), | |||||
Sr. Unsec’d. Notes | 8.500 | 04/14/24 | 200 | 143,480 | |
Unsec’d. Notes | 5.375 | 09/20/22 | 400 | 280,600 | |
Total
Sovereign Bonds (cost $53,669,018) |
56,521,389 | ||||
Total
Long-Term Investments (cost $373,203,658) |
398,561,798 |
Description | Shares | Value | |||
Short-Term Investments 3.8% | |||||
Affiliated Mutual Funds | |||||
PGIM Core Ultra Short Bond Fund(w) | 7,522,603 | $ 7,522,603 | |||
PGIM
Institutional Money Market Fund (cost $7,904,954; includes $7,884,057 of cash collateral for securities on loan)(b)(w) |
7,905,497 | 7,907,078 | |||
Total
Short-Term Investments (cost $15,427,557) |
15,429,681 | ||||
TOTAL
INVESTMENTS 101.6% (cost $388,631,215) |
413,991,479 | ||||
Liabilities in excess of other assets(z) (1.6)% | (6,710,318) | ||||
Net Assets 100.0% | $ 407,281,161 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
ARS—Argentine Peso | |
AUD—Australian Dollar | |
BRL—Brazilian Real | |
CAD—Canadian Dollar | |
CHF—Swiss Franc | |
CLP—Chilean Peso | |
CNH—Chinese Renminbi | |
COP—Colombian Peso | |
CZK—Czech Koruna | |
EGP—Egyptian Pound | |
EUR—Euro | |
HUF—Hungarian Forint | |
IDR—Indonesian Rupiah | |
ILS—Israeli Shekel | |
INR—Indian Rupee | |
JPY—Japanese Yen | |
KRW—South Korean Won | |
MXN—Mexican Peso | |
NZD—New Zealand Dollar | |
PEN—Peruvian Nuevo Sol | |
PHP—Philippine Peso | |
PLN—Polish Zloty | |
RUB—Russian Ruble | |
SGD—Singapore Dollar | |
THB—Thai Baht | |
TRY—Turkish Lira | |
TWD—New Taiwanese Dollar | |
USD—US Dollar | |
ZAR—South African Rand |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. |
ADR—American Depositary Receipt | |
CLO—Collateralized Loan Obligation | |
CVT—Convertible Security | |
EMTN—Euro Medium Term Note | |
ETF—Exchange-Traded Fund | |
GMTN—Global Medium Term Note | |
LIBOR—London Interbank Offered Rate | |
MLP—Master Limited Partnership | |
MTN—Medium Term Note | |
OJSC—Open Joint-Stock Company | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
REITs—Real Estate Investment Trust | |
SPDR—Standard & Poor’s Depositary Receipts | |
UTS—Unit Trust Security | |
Q—Quarterly payment frequency for swaps |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $722,948 and 0.2% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $7,570,088; cash collateral of $7,884,057 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at July 31, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of July 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(p) | Interest rate not available as of July 31, 2019. |
(w) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Futures contracts outstanding at July 31, 2019: | ||||||||
Number
of Contracts |
Type | Expiration
Date |
Current
Notional Amount |
Value
/ Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
16 | 2 Year U.S. Treasury Notes | Sep. 2019 | $3,430,500 | $ 6,792 | ||||
9 | 5 Year U.S. Treasury Notes | Sep. 2019 | 1,057,992 | 10,872 | ||||
1 | 20 Year U.S. Treasury Bonds | Sep. 2019 | 155,594 | 4,186 | ||||
21,850 |
Futures contracts outstanding at July 31, 2019 (continued): | ||||||||
Number
of Contracts |
Type | Expiration
Date |
Current
Notional Amount |
Value
/ Unrealized Appreciation (Depreciation) | ||||
Short Positions: | ||||||||
4 | 10 Year U.S. Treasury Notes | Sep. 2019 | $ 509,687 | $ 16,437 | ||||
2 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2019 | 355,125 | (16,104) | ||||
333 | ||||||||
$ 22,183 |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Argentine Peso, | |||||||||||||
Expiring 08/20/19 | BNP Paribas S.A. | ARS | 1,640 | $ 37,515 | $ 36,337 | $ — | $ (1,178) | ||||||
Expiring 08/20/19 | Goldman Sachs International | ARS | 1,577 | 36,056 | 34,944 | — | (1,112) | ||||||
Expiring 08/28/19 | BNP Paribas S.A. | ARS | 4,616 | 102,543 | 101,080 | — | (1,463) | ||||||
Expiring 08/28/19 | Citibank, N.A. | ARS | 2,816 | 62,863 | 61,663 | — | (1,200) | ||||||
Australian Dollar, | |||||||||||||
Expiring 10/22/19 | Barclays Bank PLC | AUD | 508 | 358,318 | 348,410 | — | (9,908) | ||||||
Expiring 10/22/19 | Morgan Stanley & Co. International PLC | AUD | 135 | 94,736 | 92,557 | — | (2,179) | ||||||
Brazilian Real, | |||||||||||||
Expiring 08/02/19 | BNP Paribas S.A. | BRL | 532 | 141,132 | 139,492 | — | (1,640) | ||||||
Expiring 08/02/19 | Morgan Stanley & Co. International PLC | BRL | 1,499 | 398,032 | 392,621 | — | (5,411) | ||||||
Chilean Peso, | |||||||||||||
Expiring 09/23/19 | Citibank, N.A. | CLP | 58,543 | 86,000 | 83,182 | — | (2,818) | ||||||
Expiring 09/23/19 | UBS AG | CLP | 57,058 | 83,500 | 81,071 | — | (2,429) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 10/25/19 | HSBC Bank USA, N.A. | CNH | 1,048 | 152,000 | 151,587 | — | (413) | ||||||
Expiring 10/25/19 | HSBC Bank USA, N.A. | CNH | 996 | 145,000 | 144,144 | — | (856) | ||||||
Expiring 10/25/19 | HSBC Bank USA, N.A. | CNH | 874 | 127,000 | 126,431 | — | (569) | ||||||
Expiring 10/25/19 | HSBC Bank USA, N.A. | CNH | 599 | 87,000 | 86,636 | — | (364) | ||||||
Expiring 10/25/19 | HSBC Bank USA, N.A. | CNH | 544 | 79,000 | 78,630 | — | (370) | ||||||
Expiring 10/25/19 | Morgan Stanley & Co. International PLC | CNH | 826 | 120,000 | 119,552 | — | (448) | ||||||
Expiring 05/14/21 | Citibank, N.A. | CNH | 2,567 | 367,933 | 366,276 | — | (1,657) | ||||||
Colombian Peso, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | COP | 276,060 | 86,000 | 83,883 | — | (2,117) | ||||||
Expiring 09/18/19 | Barclays Bank PLC | COP | 215,084 | 67,050 | 65,355 | — | (1,695) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | COP | 270,311 | 81,675 | 82,136 | 461 | — |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Colombian Peso (cont’d.), | |||||||||||||
Expiring 09/18/19 | BNP Paribas S.A. | COP | 193,795 | $ 60,500 | $ 58,886 | $ — | $ (1,614) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | COP | 192,865 | 56,700 | 58,603 | 1,903 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | COP | 242,063 | 75,000 | 73,552 | — | (1,448) | ||||||
Expiring 09/18/19 | Citibank, N.A. | COP | 143,484 | 43,434 | 43,599 | 165 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | COP | 333,788 | 98,000 | 101,424 | 3,424 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | COP | 302,311 | 94,456 | 91,859 | — | (2,597) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | COP | 269,124 | 82,000 | 81,775 | — | (225) | ||||||
Expiring 09/18/19 | UBS AG | COP | 312,785 | 94,000 | 95,042 | 1,042 | — | ||||||
Czech Koruna, | |||||||||||||
Expiring 10/18/19 | HSBC Bank USA, N.A. | CZK | 1,771 | 78,000 | 76,386 | — | (1,614) | ||||||
Expiring 10/18/19 | Morgan Stanley & Co. International PLC | CZK | 6,641 | 291,884 | 286,372 | — | (5,512) | ||||||
Egyptian Pound, | |||||||||||||
Expiring 09/18/19 | Citibank, N.A. | EGP | 1,209 | 66,120 | 72,116 | 5,996 | — | ||||||
Expiring 10/01/19 | Citibank, N.A. | EGP | 3,540 | 192,400 | 210,510 | 18,110 | — | ||||||
Expiring 10/08/19 | Citibank, N.A. | EGP | 674 | 37,100 | 39,971 | 2,871 | — | ||||||
Expiring 11/27/19 | Citibank, N.A. | EGP | 587 | 34,046 | 34,348 | 302 | — | ||||||
Expiring 11/27/19 | Citibank, N.A. | EGP | 382 | 22,164 | 22,354 | 190 | — | ||||||
Expiring 01/21/20 | Citibank, N.A. | EGP | 302 | 17,277 | 17,391 | 114 | — | ||||||
Expiring 01/30/20 | Citibank, N.A. | EGP | 737 | 42,282 | 42,386 | 104 | — | ||||||
Hungarian Forint, | |||||||||||||
Expiring 10/18/19 | Barclays Bank PLC | HUF | 7,081 | 24,513 | 24,151 | — | (362) | ||||||
Indian Rupee, | |||||||||||||
Expiring 09/18/19 | Bank of America, N.A. | INR | 6,139 | 88,643 | 88,788 | 145 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | INR | 6,475 | 92,000 | 93,647 | 1,647 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | INR | 7,060 | 102,432 | 102,116 | — | (316) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | INR | 6,126 | 87,501 | 88,606 | 1,105 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | INR | 6,113 | 87,025 | 88,420 | 1,395 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 44,086 | 627,430 | 637,667 | 10,237 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 13,316 | 189,880 | 192,607 | 2,727 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 13,171 | 188,000 | 190,510 | 2,510 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 8,421 | 120,000 | 121,796 | 1,796 | — |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Indian Rupee (cont’d.), | |||||||||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 7,792 | $ 111,000 | $ 112,707 | $ 1,707 | $ — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 6,235,647 | 419,922 | 442,487 | 22,565 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 3,550,322 | 239,159 | 251,933 | 12,774 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 3,550,322 | 239,968 | 251,934 | 11,966 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,151,362 | 82,000 | 81,702 | — | (298) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | IDR | 1,843,262 | 131,000 | 130,799 | — | (201) | ||||||
Israeli Shekel, | |||||||||||||
Expiring 08/26/19 | Citibank, N.A. | ILS | 286 | 82,000 | 81,503 | — | (497) | ||||||
Expiring 08/26/19 | Citibank, N.A. | ILS | 254 | 72,000 | 72,500 | 500 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 10/18/19 | Bank of America, N.A. | JPY | 11,710 | 108,924 | 108,290 | — | (634) | ||||||
Expiring 10/18/19 | Citibank, N.A. | JPY | 10,336 | 95,606 | 95,580 | — | (26) | ||||||
Mexican Peso, | |||||||||||||
Expiring 09/18/19 | Citibank, N.A. | MXN | 1,708 | 87,631 | 88,395 | 764 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | MXN | 1,705 | 88,643 | 88,241 | — | (402) | ||||||
Expiring 09/18/19 | Goldman Sachs International | MXN | 9,744 | 487,363 | 504,335 | 16,972 | — | ||||||
Expiring 09/18/19 | Goldman Sachs International | MXN | 2,466 | 128,000 | 127,657 | — | (343) | ||||||
Expiring 09/18/19 | HSBC Bank USA, N.A. | MXN | 1,160 | 60,130 | 60,038 | — | (92) | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 09/18/19 | HSBC Bank USA, N.A. | TWD | 3,171 | 102,000 | 102,243 | 243 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 26,492 | 839,020 | 854,277 | 15,257 | — | ||||||
Expiring 09/18/19 | UBS AG | TWD | 2,383 | 77,000 | 76,851 | — | (149) | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 2,769 | 822,867 | 836,168 | 13,301 | — | ||||||
Philippine Peso, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | PHP | 4,671 | 91,000 | 91,629 | 629 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | PHP | 6,029 | 118,000 | 118,260 | 260 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | PHP | 4,646 | 91,000 | 91,129 | 129 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | PHP | 4,794 | 93,000 | 94,035 | 1,035 | — |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Philippine Peso (cont’d.), | |||||||||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | PHP | 1,882 | $ 35,999 | $ 36,912 | $ 913 | $ — | ||||||
Polish Zloty, | |||||||||||||
Expiring 10/18/19 | Citibank, N.A. | PLN | 419 | 111,000 | 108,420 | — | (2,580) | ||||||
Expiring 10/18/19 | Morgan Stanley & Co. International PLC | PLN | 652 | 172,116 | 168,438 | — | (3,678) | ||||||
Russian Ruble, | |||||||||||||
Expiring 09/18/19 | Bank of America, N.A. | RUB | 5,098 | 78,000 | 79,554 | 1,554 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | RUB | 5,609 | 85,858 | 87,537 | 1,679 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | RUB | 4,632 | 73,000 | 72,287 | — | (713) | ||||||
Expiring 09/18/19 | Citibank, N.A. | RUB | 4,689 | 73,939 | 73,176 | — | (763) | ||||||
Expiring 09/18/19 | Citibank, N.A. | RUB | 4,460 | 70,001 | 69,609 | — | (392) | ||||||
Expiring 09/18/19 | Citibank, N.A. | RUB | 4,457 | 70,029 | 69,561 | — | (468) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | RUB | 49,860 | 753,180 | 778,104 | 24,924 | — | ||||||
Singapore Dollar, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | SGD | 97 | 72,000 | 70,835 | — | (1,165) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | SGD | 106 | 77,920 | 77,124 | — | (796) | ||||||
Expiring 09/18/19 | Citibank, N.A. | SGD | 225 | 165,173 | 163,787 | — | (1,386) | ||||||
Expiring 09/18/19 | Citibank, N.A. | SGD | 161 | 117,000 | 117,186 | 186 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | SGD | 134 | 98,000 | 97,658 | — | (342) | ||||||
Expiring 09/18/19 | HSBC Bank USA, N.A. | SGD | 149 | 110,000 | 108,453 | — | (1,547) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | SGD | 200 | 148,000 | 145,773 | — | (2,227) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | SGD | 165 | 121,702 | 120,431 | — | (1,271) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 246 | 182,000 | 179,248 | — | (2,752) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 217 | 159,000 | 157,908 | — | (1,092) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 193 | 143,000 | 140,754 | — | (2,246) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 168 | 124,000 | 122,390 | — | (1,610) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 166 | 122,000 | 120,751 | — | (1,249) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 134 | 98,000 | 97,498 | — | (502) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 132 | 97,000 | 96,208 | — | (792) | ||||||
Expiring 09/18/19 | UBS AG | SGD | 120 | 89,000 | 87,583 | — | (1,417) | ||||||
South African Rand, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | ZAR | 1,415 | 94,000 | 98,068 | 4,068 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | ZAR | 560 | 38,675 | 38,816 | 141 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | ZAR | 1,652 | 109,100 | 114,456 | 5,356 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | ZAR | 1,629 | 112,500 | 112,877 | 377 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | ZAR | 1,320 | 94,386 | 91,468 | — | (2,918) | ||||||
Expiring 09/18/19 | Citibank, N.A. | ZAR | 1,262 | 88,432 | 87,482 | — | (950) |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
South African Rand (cont’d.), | |||||||||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | ZAR | 3,220 | $ 229,339 | $ 223,181 | $ — | $ (6,158) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | ZAR | 1,758 | 122,000 | 121,847 | — | (153) | ||||||
Expiring 09/18/19 | UBS AG | ZAR | 1,509 | 100,000 | 104,602 | 4,602 | — | ||||||
South Korean Won, | |||||||||||||
Expiring 09/18/19 | Citibank, N.A. | KRW | 50,131 | 42,765 | 42,437 | — | (328) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | KRW | 116,582 | 99,000 | 98,689 | — | (311) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | KRW | 104,927 | 89,000 | 88,822 | — | (178) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 220,239 | 187,000 | 186,436 | — | (564) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 168,778 | 143,000 | 142,874 | — | (126) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 135,041 | 115,000 | 114,315 | — | (685) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 117,707 | 100,000 | 99,641 | — | (359) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 115,483 | 100,000 | 97,758 | — | (2,242) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 101,207 | 87,000 | 85,674 | — | (1,326) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 98,767 | 84,000 | 83,608 | — | (392) | ||||||
Thai Baht, | |||||||||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 15,783 | 496,592 | 513,284 | 16,692 | — | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 4,274 | 134,000 | 138,989 | 4,989 | — | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 3,971 | 129,000 | 129,130 | 130 | — | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 2,703 | 88,000 | 87,909 | — | (91) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 2,414 | 79,000 | 78,502 | — | (498) | ||||||
Expiring 08/09/19 | JPMorgan Chase Bank, N.A. | THB | 15,783 | 494,624 | 513,284 | 18,660 | — | ||||||
Expiring 08/09/19 | JPMorgan Chase Bank, N.A. | THB | 5,227 | 163,000 | 169,982 | 6,982 | — | ||||||
Turkish Lira, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | TRY | 683 | 110,000 | 120,015 | 10,015 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | TRY | 540 | 91,000 | 94,894 | 3,894 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | TRY | 536 | 92,000 | 94,253 | 2,253 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | TRY | 459 | 81,000 | 80,668 | — | (332) | ||||||
Expiring 09/18/19 | Citibank, N.A. | TRY | 591 | 99,200 | 103,866 | 4,666 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | TRY | 394 | 64,439 | 69,299 | 4,860 | — |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Turkish Lira (cont’d.), | |||||||||||||
Expiring 09/18/19 | HSBC Bank USA, N.A. | TRY | 553 | $ 85,000 | $ 97,157 | $ 12,157 | $ — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TRY | 444 | 75,509 | 77,986 | 2,477 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TRY | 821 | 134,000 | 144,208 | 10,208 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TRY | 542 | 82,000 | 95,279 | 13,279 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TRY | 517 | 88,207 | 90,831 | 2,624 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TRY | 413 | 70,645 | 72,635 | 1,990 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TRY | 303 | 49,500 | 53,265 | 3,765 | — | ||||||
$18,562,203 | $18,779,234 | 317,787 | (100,756) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Brazilian Real, | |||||||||||||
Expiring 08/02/19 | Goldman Sachs International | BRL | 2,031 | $ 528,739 | $ 532,113 | $ — | $ (3,374) | ||||||
Expiring 10/02/19 | Morgan Stanley & Co. International PLC | BRL | 1,499 | 395,960 | 390,721 | 5,239 | — | ||||||
Canadian Dollar, | |||||||||||||
Expiring 10/22/19 | Barclays Bank PLC | CAD | 250 | 191,520 | 189,338 | 2,182 | — | ||||||
Chilean Peso, | |||||||||||||
Expiring 09/23/19 | BNP Paribas S.A. | CLP | 71,144 | 102,000 | 101,085 | 915 | — | ||||||
Expiring 09/23/19 | BNP Paribas S.A. | CLP | 47,557 | 69,950 | 67,572 | 2,378 | — | ||||||
Expiring 09/23/19 | Citibank, N.A. | CLP | 526,870 | 758,403 | 748,608 | 9,795 | — | ||||||
Expiring 09/23/19 | Citibank, N.A. | CLP | 71,571 | 105,362 | 101,692 | 3,670 | — | ||||||
Expiring 09/23/19 | Citibank, N.A. | CLP | 66,827 | 95,543 | 94,952 | 591 | — | ||||||
Expiring 09/23/19 | Citibank, N.A. | CLP | 53,494 | 78,335 | 76,008 | 2,327 | — | ||||||
Expiring 09/23/19 | Citibank, N.A. | CLP | 52,588 | 77,029 | 74,720 | 2,309 | — | ||||||
Expiring 09/23/19 | JPMorgan Chase Bank, N.A. | CLP | 66,069 | 95,380 | 93,874 | 1,506 | — | ||||||
Expiring 09/23/19 | JPMorgan Chase Bank, N.A. | CLP | 54,196 | 80,000 | 77,005 | 2,995 | — | ||||||
Expiring 09/23/19 | Morgan Stanley & Co. International PLC | CLP | 48,239 | 70,645 | 68,541 | 2,104 | — |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Chinese Renminbi, | |||||||||||||
Expiring 10/25/19 | JPMorgan Chase Bank, N.A. | CNH | 4,013 | $ 583,225 | $ 580,564 | $ 2,661 | $ — | ||||||
Expiring 05/14/21 | JPMorgan Chase Bank, N.A. | CNH | 2,567 | 368,530 | 366,276 | 2,254 | — | ||||||
Colombian Peso, | |||||||||||||
Expiring 09/18/19 | Citibank, N.A. | COP | 1,459,968 | 440,336 | 443,622 | — | (3,286) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | COP | 1,459,968 | 441,946 | 443,622 | — | (1,676) | ||||||
Czech Koruna, | |||||||||||||
Expiring 10/18/19 | Barclays Bank PLC | CZK | 2,950 | 129,000 | 127,198 | 1,802 | — | ||||||
Euro, | |||||||||||||
Expiring 10/18/19 | Barclays Bank PLC | EUR | 144 | 161,650 | 160,291 | 1,359 | — | ||||||
Expiring 10/18/19 | Goldman Sachs International | EUR | 208 | 233,724 | 232,246 | 1,478 | — | ||||||
Expiring 10/18/19 | HSBC Bank USA, N.A. | EUR | 1,834 | 2,072,479 | 2,043,006 | 29,473 | — | ||||||
Expiring 10/18/19 | JPMorgan Chase Bank, N.A. | EUR | 35 | 40,009 | 39,435 | 574 | — | ||||||
Expiring 10/18/19 | Morgan Stanley & Co. International PLC | EUR | 456 | 511,200 | 508,011 | 3,189 | — | ||||||
Expiring 10/18/19 | UBS AG | EUR | 1,834 | 2,072,235 | 2,043,005 | 29,230 | — | ||||||
Indian Rupee, | |||||||||||||
Expiring 09/18/19 | Credit Suisse International | INR | 6,478 | 94,000 | 93,705 | 295 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | INR | 8,598 | 124,000 | 124,364 | — | (364) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 7,675 | 111,000 | 111,013 | — | (13) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | INR | 7,020 | 100,000 | 101,538 | — | (1,538) | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | IDR | 1,649,520 | 116,000 | 117,051 | — | (1,051) | ||||||
Expiring 09/18/19 | Barclays Bank PLC | IDR | 1,047,418 | 73,503 | 74,326 | — | (823) | ||||||
Expiring 09/18/19 | Barclays Bank PLC | IDR | 774,917 | 54,437 | 54,989 | — | (552) | ||||||
Expiring 09/18/19 | Citibank, N.A. | IDR | 2,187,515 | 155,000 | 155,228 | — | (228) | ||||||
Expiring 09/18/19 | Citibank, N.A. | IDR | 626,701 | 44,139 | 44,471 | — | (332) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 2,511,960 | 173,000 | 178,251 | — | (5,251) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 2,068,066 | 143,000 | 146,751 | — | (3,751) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,955,678 | 135,000 | 138,776 | — | (3,776) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Indonesian Rupiah (cont’d.), | |||||||||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,813,482 | $ 126,600 | $ 128,686 | $ — | $ (2,086) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,612,623 | 113,000 | 114,433 | — | (1,433) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,482,927 | 102,000 | 105,230 | — | (3,230) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,434,807 | 99,000 | 101,815 | — | (2,815) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,372,693 | 95,000 | 97,407 | — | (2,407) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 1,158,260 | 81,000 | 82,191 | — | (1,191) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 680,585 | 47,646 | 48,295 | — | (649) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | IDR | 626,312 | 43,000 | 44,444 | — | (1,444) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | IDR | 1,404,830 | 98,000 | 99,688 | — | (1,688) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | IDR | 935,121 | 64,447 | 66,357 | — | (1,910) | ||||||
Israeli Shekel, | |||||||||||||
Expiring 08/26/19 | Bank of America, N.A. | ILS | 1,459 | 412,829 | 416,088 | — | (3,259) | ||||||
Mexican Peso, | |||||||||||||
Expiring 09/18/19 | Citibank, N.A. | MXN | 1,392 | 72,000 | 72,042 | — | (42) | ||||||
Expiring 09/18/19 | Citibank, N.A. | MXN | 974 | 48,500 | 50,388 | — | (1,888) | ||||||
Expiring 09/18/19 | UBS AG | MXN | 2,150 | 112,000 | 111,277 | 723 | — | ||||||
Expiring 09/18/19 | UBS AG | MXN | 1,449 | 75,000 | 75,000 | — | — | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | TWD | 8,359 | 271,000 | 269,545 | 1,455 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | TWD | 7,144 | 231,000 | 230,366 | 634 | — | ||||||
Expiring 09/18/19 | Barclays Bank PLC | TWD | 5,125 | 164,000 | 165,253 | — | (1,253) | ||||||
Expiring 09/18/19 | Citibank, N.A. | TWD | 5,041 | 163,000 | 162,558 | 442 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | TWD | 2,821 | 91,000 | 90,983 | 17 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | TWD | 2,111 | 68,274 | 68,075 | 199 | — | ||||||
Expiring 09/18/19 | Goldman Sachs International | TWD | 5,610 | 181,000 | 180,906 | 94 | — | ||||||
Expiring 09/18/19 | HSBC Bank USA, N.A. | TWD | 3,220 | 104,000 | 103,829 | 171 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 8,662 | 280,000 | 279,313 | 687 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 7,696 | 249,000 | 248,168 | 832 | — |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
New Taiwanese Dollar (cont’d.), | |||||||||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 7,471 | $ 241,000 | $ 240,914 | $ 86 | $ — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 7,015 | 222,000 | 226,223 | — | (4,223) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 5,083 | 162,000 | 163,897 | — | (1,897) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 2,705 | 87,501 | 87,216 | 285 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TWD | 927 | 29,493 | 29,900 | — | (407) | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TWD | 7,803 | 253,000 | 251,630 | 1,370 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TWD | 7,042 | 228,000 | 227,066 | 934 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TWD | 6,290 | 203,000 | 202,829 | 171 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TWD | 5,976 | 193,000 | 192,719 | 281 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | TWD | 3,321 | 106,000 | 107,075 | — | (1,075) | ||||||
New Zealand Dollar, | |||||||||||||
Expiring 10/22/19 | JPMorgan Chase Bank, N.A. | NZD | 144 | 95,606 | 94,605 | 1,001 | — | ||||||
Expiring 10/22/19 | Morgan Stanley & Co. International PLC | NZD | 141 | 95,086 | 93,063 | 2,023 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | PEN | 258 | 76,766 | 77,775 | — | (1,009) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 593 | 180,000 | 179,151 | 849 | — | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 426 | 127,000 | 128,550 | — | (1,550) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 295 | 88,000 | 89,090 | — | (1,090) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 268 | 80,000 | 80,888 | — | (888) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 260 | 79,000 | 78,652 | 348 | — | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | PEN | 238 | 71,000 | 71,933 | — | (933) | ||||||
Philippine Peso, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | PHP | 6,106 | 117,000 | 119,783 | — | (2,783) | ||||||
Expiring 09/18/19 | Barclays Bank PLC | PHP | 5,911 | 113,000 | 115,954 | — | (2,954) | ||||||
Expiring 09/18/19 | Barclays Bank PLC | PHP | 3,928 | 75,000 | 77,062 | — | (2,062) | ||||||
Expiring 09/18/19 | Citibank, N.A. | PHP | 4,826 | 94,000 | 94,678 | — | (678) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | PHP | 6,972 | 135,000 | 136,768 | — | (1,768) | ||||||
Russian Ruble, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | RUB | 5,143 | 77,835 | 80,268 | — | (2,433) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Singapore Dollar, | |||||||||||||
Expiring 09/18/19 | Bank of America, N.A. | SGD | 236 | $ 172,000 | $ 172,077 | $ — | $ (77) | ||||||
Expiring 09/18/19 | Bank of America, N.A. | SGD | 161 | 117,000 | 117,470 | — | (470) | ||||||
Expiring 09/18/19 | BNP Paribas S.A. | SGD | 144 | 106,000 | 104,935 | 1,065 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | SGD | 167 | 123,000 | 121,964 | 1,036 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | SGD | 101 | 73,914 | 73,557 | 357 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | SGD | 506 | 371,585 | 368,753 | 2,832 | — | ||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | SGD | 186 | 137,000 | 135,422 | 1,578 | — | ||||||
Expiring 09/18/19 | UBS AG | SGD | 182 | 133,000 | 132,326 | 674 | — | ||||||
Expiring 09/18/19 | UBS AG | SGD | 144 | 106,000 | 104,995 | 1,005 | — | ||||||
South African Rand, | |||||||||||||
Expiring 09/18/19 | Barclays Bank PLC | ZAR | 6,193 | 411,807 | 429,165 | — | (17,358) | ||||||
Expiring 09/18/19 | Barclays Bank PLC | ZAR | 2,287 | 158,590 | 158,488 | 102 | — | ||||||
Expiring 09/18/19 | Citibank, N.A. | ZAR | 593 | 42,282 | 41,093 | 1,189 | — | ||||||
South Korean Won, | |||||||||||||
Expiring 09/18/19 | Morgan Stanley & Co. International PLC | KRW | 84,415 | 72,000 | 71,459 | 541 | — | ||||||
Expiring 09/18/19 | UBS AG | KRW | 212,912 | 181,194 | 180,234 | 960 | — | ||||||
Swiss Franc, | |||||||||||||
Expiring 10/18/19 | Bank of America, N.A. | CHF | 279 | 285,420 | 283,051 | 2,369 | — | ||||||
Thai Baht, | |||||||||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 6,197 | 197,000 | 201,543 | — | (4,543) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 6,149 | 195,000 | 199,985 | — | (4,985) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 5,658 | 178,000 | 184,018 | — | (6,018) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 5,109 | 163,000 | 166,152 | — | (3,152) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 4,103 | 131,000 | 133,433 | — | (2,433) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 2,780 | 89,000 | 90,414 | — | (1,414) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 2,527 | 80,722 | 82,173 | — | (1,451) | ||||||
Expiring 08/09/19 | Citibank, N.A. | THB | 2,410 | 77,000 | 78,384 | — | (1,384) | ||||||
Expiring 08/09/19 | JPMorgan Chase Bank, N.A. | THB | 5,884 | 184,000 | 191,359 | — | (7,359) | ||||||
Expiring 08/09/19 | JPMorgan Chase Bank, N.A. | THB | 5,825 | 183,000 | 189,449 | — | (6,449) | ||||||
Expiring 08/09/19 | JPMorgan Chase Bank, N.A. | THB | 2,813 | 89,000 | 91,475 | — | (2,475) | ||||||
Turkish Lira, | |||||||||||||
Expiring 09/18/19 | BNP Paribas S.A. | TRY | 428 | 68,802 | 75,170 | — | (6,368) | ||||||
Expiring 09/18/19 | Citibank, N.A. | TRY | 4,690 | 697,287 | 824,196 | — | (126,909) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Turkish Lira (cont’d.), | |||||||||||||
Expiring 09/18/19 | Citibank, N.A. | TRY | 293 | $ 45,507 | $ 51,543 | $ — | $ (6,036) | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TRY | 538 | 95,550 | 94,633 | 917 | — | ||||||
Expiring 09/18/19 | JPMorgan Chase Bank, N.A. | TRY | 303 | 45,017 | 53,246 | — | (8,229) | ||||||
$22,657,539 | $22,806,156 | 135,553 | (284,170) | ||||||||||
$453,340 | $(384,926) |
Cross currency exchange contracts outstanding at July 31, 2019: | ||||||||||||||
Settlement | Type | Notional
Amount (000) |
In
Exchange For (000) |
Unrealized
Appreciation |
Unrealized
Depreciation |
Counterparty | ||||||||
OTC Cross Currency Exchange Contracts: | ||||||||||||||
10/18/19 | Buy | CHF | 141 | EUR | 128 | $268 | $— | Citibank, N.A. | ||||||
10/18/19 | Buy | HUF | 2,208 | EUR | 7 | — | (7) | UBS AG | ||||||
$268 | $ (7) |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Value
at Trade Date |
Value
at July 31, 2019 |
Unrealized
Appreciation (Depreciation) | |||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | |||||||||||||||
CDX.NA.HY.32.V1 | 06/20/24 | 5.000%(Q) | 2,970 | $(207,405) | $(239,399) | $(31,994) |
(1) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |