Description | Shares | Value | |||
Long-Term Investments 97.3% | |||||
Affiliated Mutual Funds 15.7% | |||||
PGIM QMA International Equity Fund (Class R6) | 1,048,558 | $ 7,266,510 | |||
PGIM Short Duration High Yield Income Fund (Class R6) | 2,314,873 | 20,139,394 | |||
PGIM Total Return Bond Fund (Class R6) | 1,695,107 | 25,511,354 | |||
Total
Affiliated Mutual Funds (cost $51,093,686)(w) |
52,917,258 | ||||
Common Stocks 24.9% | |||||
Aerospace & Defense 0.5% | |||||
Lockheed Martin Corp. | 2,922 | 1,107,350 | |||
Raytheon Technologies Corp. | 11,461 | 649,610 | |||
1,756,960 | |||||
Auto Components 0.1% | |||||
Aptiv PLC | 4,324 | 336,191 | |||
Banks 0.9% | |||||
BNP Paribas SA (France)* | 8,313 | 332,040 | |||
JPMorgan Chase & Co. | 12,969 | 1,253,324 | |||
Truist Financial Corp. | 35,849 | 1,342,904 | |||
2,928,268 | |||||
Biotechnology 0.6% | |||||
AbbVie, Inc. | 19,826 | 1,881,686 | |||
Capital Markets 0.4% | |||||
Goldman Sachs Group, Inc. (The) | 7,290 | 1,443,128 | |||
Chemicals 0.7% | |||||
Akzo Nobel NV (Netherlands) | 8,377 | 786,550 | |||
FMC Corp. | 7,420 | 786,891 | |||
Hexion Holdings Corp. (Class B Stock)* | 3,950 | 26,268 | |||
Linde PLC (United Kingdom) | 3,358 | 823,079 | |||
2,422,788 | |||||
Consumer Finance 0.4% | |||||
American Express Co. | 6,087 | 568,039 | |||
Capital One Financial Corp. | 12,848 | 819,702 | |||
1,387,741 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Diversified Telecommunication Services 0.2% | |||||
Telefonica Deutschland Holding AG (Germany) | 294,396 | $ 814,592 | |||
Electric Utilities 0.4% | |||||
Brookfield Renewable Corp. (Class A Stock)* | 1,431 | 64,309 | |||
Edison International | 5,596 | 311,529 | |||
FirstEnergy Corp. | 22,356 | 648,324 | |||
GenOn Energy Holdings, Inc. (Class A Stock)*^ | 1,853 | 352,070 | |||
Keycon Power Holdings LLC*^ | 350 | 86,800 | |||
1,463,032 | |||||
Entertainment 0.2% | |||||
Walt Disney Co. (The) | 5,806 | 678,954 | |||
Equity Real Estate Investment Trusts (REITs) 6.7% | |||||
Activia Properties, Inc. (Japan) | 73 | 241,424 | |||
alstria office REIT-AG (Germany)* | 15,171 | 226,569 | |||
American Campus Communities, Inc. | 65,308 | 2,327,577 | |||
American Tower Corp. | 2,380 | 622,108 | |||
AvalonBay Communities, Inc. | 1,800 | 275,616 | |||
Brandywine Realty Trust(a) | 124,613 | 1,349,559 | |||
Community Healthcare Trust, Inc. | 5,792 | 264,868 | |||
Corporate Office Properties Trust | 15,025 | 397,862 | |||
Cousins Properties, Inc. | 6,147 | 188,836 | |||
Equinix, Inc. | 788 | 618,958 | |||
Four Corners Property Trust, Inc.(a) | 46,359 | 1,168,247 | |||
Frasers Centrepoint Trust (Singapore) | 326,793 | 572,405 | |||
Global Medical REIT, Inc. | 116,242 | 1,382,117 | |||
Japan Retail Fund Investment Corp. (Japan) | 793 | 951,696 | |||
Keppel REIT (Singapore) | 833,526 | 673,035 | |||
Life Storage, Inc. | 4,124 | 404,688 | |||
Link REIT (Hong Kong) | 58,136 | 449,711 | |||
Mapletree Industrial Trust (Singapore) | 79,334 | 189,888 | |||
Mapletree Logistics Trust (Singapore) | 404,360 | 630,894 | |||
Medical Properties Trust, Inc. | 26,577 | 534,995 | |||
MGM Growth Properties LLC (Class A Stock) | 51,652 | 1,412,166 | |||
Nomura Real Estate Master Fund, Inc. (Japan) | 212 | 261,695 | |||
NSI NV (Netherlands) | 12,614 | 449,964 | |||
Omega Healthcare Investors, Inc. | 31,799 | 1,029,652 | |||
Primary Health Properties PLC (United Kingdom) | 162,428 | 328,508 | |||
Prologis, Inc. | 14,164 | 1,493,169 | |||
Realty Income Corp. | 9,872 | 592,814 | |||
Regency Centers Corp. | 20,739 | 850,921 | |||
Spirit Realty Capital, Inc. | 28,416 | 979,215 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Equity Real Estate Investment Trusts (REITs) (cont’d.) | |||||
Stockland (Australia) | 251,439 | $ 574,748 | |||
Summit Industrial Income REIT (Canada) | 40,262 | 362,206 | |||
Supermarket Income REIT PLC (United Kingdom) | 260,282 | 375,583 | |||
Welltower, Inc. | 7,697 | 412,251 | |||
22,593,945 | |||||
Food & Staples Retailing 0.2% | |||||
Walmart, Inc. | 4,506 | 583,076 | |||
Health Care Equipment & Supplies 0.3% | |||||
Zimmer Biomet Holdings, Inc. | 7,596 | 1,024,397 | |||
Hotels, Restaurants & Leisure 0.4% | |||||
McDonald’s Corp. | 3,313 | 643,650 | |||
Six Flags Entertainment Corp. | 41,603 | 723,476 | |||
1,367,126 | |||||
Household Durables 0.4% | |||||
KB Home | 41,218 | 1,386,573 | |||
Household Products 0.2% | |||||
Procter & Gamble Co. (The) | 5,935 | 778,197 | |||
Independent Power & Renewable Electricity Producers 0.4% | |||||
Atlantica Sustainable Infrastructure PLC (Spain) | 6,831 | 204,725 | |||
Brookfield Renewable Partners LP (Canada) | 5,726 | 246,733 | |||
Clearway Energy, Inc. (Class C Stock) | 12,413 | 304,615 | |||
NextEra Energy Partners LP | 11,394 | 708,707 | |||
1,464,780 | |||||
Insurance 0.6% | |||||
Marsh & McLennan Cos., Inc. | 6,720 | 783,552 | |||
MetLife, Inc. | 36,219 | 1,370,889 | |||
2,154,441 | |||||
Machinery 0.2% | |||||
Deere & Co. | 3,406 | 600,512 | |||
Mortgage Real Estate Investment Trusts (REITs) 0.3% | |||||
Starwood Property Trust, Inc.(a) | 66,975 | 1,001,276 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Multi-Utilities 0.3% | |||||
Dominion Energy, Inc. | 10,511 | $ 851,706 | |||
DTE Energy Co. | 988 | 114,243 | |||
Sempra Energy | 700 | 87,122 | |||
1,053,071 | |||||
Oil, Gas & Consumable Fuels 3.4% | |||||
BP PLC (United Kingdom), ADR | 32,884 | 724,763 | |||
Cheniere Energy Partners LP, MLP | 9,104 | 308,444 | |||
Cheniere Energy, Inc.* | 6,591 | 326,123 | |||
ConocoPhillips | 13,454 | 503,045 | |||
Enbridge, Inc. (Canada) | 21,496 | 687,994 | |||
Energy Transfer LP, MLP | 48,581 | 318,206 | |||
Enterprise Products Partners LP, MLP | 41,059 | 722,638 | |||
Equitrans Midstream Corp. | 50,517 | 487,489 | |||
Frontera Energy Corp. (Colombia) | 2,232 | 4,686 | |||
Gibson Energy, Inc. (Canada) | 23,946 | 394,377 | |||
Keyera Corp. (Canada) | 5,378 | 81,747 | |||
Kinder Morgan, Inc. | 44,050 | 621,105 | |||
Magellan Midstream Partners LP, MLP | 9,738 | 394,292 | |||
MPLX LP, MLP | 39,329 | 718,541 | |||
ONEOK, Inc. | 10,693 | 298,442 | |||
Pembina Pipeline Corp. (Canada) | 15,935 | 387,858 | |||
Phillips 66 Partners LP, MLP | 9,663 | 268,631 | |||
Plains All American Pipeline LP, MLP | 26,039 | 198,938 | |||
Plains GP Holdings LP (Class A Stock)* | 17,748 | 140,919 | |||
Targa Resources Corp. | 28,244 | 516,300 | |||
TC Energy Corp. (Canada) | 9,334 | 425,429 | |||
TC PipeLines LP, MLP | 2,886 | 88,485 | |||
TOTAL SE (France), ADR | 20,147 | 758,736 | |||
Williams Cos., Inc. (The) | 102,079 | 1,952,771 | |||
11,329,959 | |||||
Pharmaceuticals 0.9% | |||||
AstraZeneca PLC (United Kingdom), ADR | 34,864 | 1,944,714 | |||
Bristol-Myers Squibb Co. | 17,191 | 1,008,424 | |||
2,953,138 | |||||
Real Estate Management & Development 0.2% | |||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 29,435 | 358,478 | |||
Swire Properties Ltd. (Hong Kong) | 121,333 | 280,072 | |||
638,550 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Road & Rail 0.8% | |||||
Knight-Swift Transportation Holdings, Inc. | 13,376 | $ 581,722 | |||
Norfolk Southern Corp. | 4,720 | 907,231 | |||
Union Pacific Corp. | 7,230 | 1,253,321 | |||
2,742,274 | |||||
Semiconductors & Semiconductor Equipment 2.5% | |||||
Advanced Micro Devices, Inc.* | 25,320 | 1,960,527 | |||
ASML Holding NV (Netherlands) | 1,860 | 657,919 | |||
Intel Corp. | 9,603 | 458,351 | |||
Lam Research Corp. | 5,495 | 2,072,494 | |||
QUALCOMM, Inc. | 16,047 | 1,694,724 | |||
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan), ADR | 10,376 | 818,563 | |||
Texas Instruments, Inc. | 5,043 | 643,235 | |||
8,305,813 | |||||
Software 0.4% | |||||
Microsoft Corp. | 6,542 | 1,341,175 | |||
Specialty Retail 0.6% | |||||
Lowe’s Cos., Inc. | 9,438 | 1,405,413 | |||
TJX Cos., Inc. (The) | 8,655 | 449,973 | |||
1,855,386 | |||||
Technology Hardware, Storage & Peripherals 0.8% | |||||
Apple, Inc. | 5,960 | 2,533,239 | |||
Western Digital Corp. | 6,803 | 293,209 | |||
2,826,448 | |||||
Tobacco 0.5% | |||||
Altria Group, Inc. | 19,495 | 802,219 | |||
Philip Morris International, Inc. | 9,103 | 699,202 | |||
1,501,421 | |||||
Wireless Telecommunication Services 0.4% | |||||
Tele2 AB (Sweden) (Class B Stock) | 50,508 | 712,748 | |||
Vodafone Group PLC (United Kingdom), ADR | 49,248 | 748,570 | |||
1,461,318 | |||||
Total
Common Stocks (cost $75,109,440) |
84,076,216 |
Description | Shares | Value | |||
Exchange-Traded Funds 20.0% | |||||
Invesco Preferred ETF | 1,724,488 | $ 25,384,463 | |||
iShares Core MSCI Emerging Markets ETF | 38,900 | 2,011,519 | |||
PGIM QMA Strategic Alpha International Equity ETF(g) | 200,000 | 9,766,080 | |||
SPDR Bloomberg Barclays Convertible Securities ETF | 468,742 | 30,416,669 | |||
Total
Exchange-Traded Funds (cost $59,021,478) |
67,578,731 | ||||
Preferred Stocks 3.0% | |||||
Auto Components 0.2% | |||||
Aptiv PLC, Series A, CVT, 5.500% | 5,991 | 612,340 | |||
Equity Real Estate Investment Trusts (REITs) 1.7% | |||||
American Homes 4 Rent | 31,492 | 818,792 | |||
EPR Properties | 20,732 | 351,615 | |||
Gladstone Commercial Corp. | 25,039 | 605,944 | |||
Investors Real Estate Trust | 21,312 | 554,751 | |||
Monmouth Real Estate Investment Corp. | 26,082 | 655,180 | |||
Office Properties Income Trust | 25,409 | 636,750 | |||
PS Business Parks, Inc. | 18,548 | 483,175 | |||
Rexford Industrial Realty, Inc. | 22,517 | 573,508 | |||
UMH Properties, Inc. | 21,813 | 534,419 | |||
Vornado Realty Trust | 28,585 | 654,596 | |||
5,868,730 | |||||
Health Care Equipment & Supplies 0.9% | |||||
Boston Scientific Corp., CVT, 5.500% | 11,000 | 1,235,190 | |||
Danaher Corp., Series A, CVT, 4.750% | 1,272 | 1,805,121 | |||
3,040,311 | |||||
Multi-Utilities 0.2% | |||||
Sempra Energy, Series A, CVT, 6.000% | 6,645 | 678,720 | |||
Total
Preferred Stocks (cost $9,595,359) |
10,200,101 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Asset-Backed Security 0.1% | ||||||
Collateralized Loan Obligations | ||||||
Zais
CLO Ltd. (Cayman Islands), Series 2018-02A, Class A, 144A, 3 Month LIBOR + 1.200% (Cap N/A, Floor 0.000%) (cost $492,019) |
1.472 %(c) | 07/20/31 | 492 | $ 471,338 | ||
Bank Loans 0.4% | ||||||
Computers 0.0% | ||||||
Everi
Payments, Inc., Term Loan, 3 Month LIBOR + 10.500%^ |
11.500 (c) | 05/09/24 | 25 | 25,125 | ||
Electric 0.1% | ||||||
Heritage
Power LLC, Term Loan B, 3 Month LIBOR + 6.000%^ |
7.000 (c) | 07/30/26 | 273 | 253,832 | ||
Electronics 0.0% | ||||||
Tiger
Merger Sub Co., Non-FILO Term Loan, 1 Month LIBOR + 3.500% |
3.667 (c) | 06/30/25 | 75 | 74,312 | ||
Engineering & Construction 0.0% | ||||||
Landry’s
Finance Acquisition Co., Term Loan^ |
— (p) | 10/04/23 | 75 | 86,250 | ||
Entertainment 0.1% | ||||||
Playtika
Holding Corp., Term B Loan, 3 Month LIBOR + 6.000% |
7.072 (c) | 12/10/24 | 244 | 245,578 | ||
Twin
River Worldwide Holdings, Inc., Term B-1 Facility Loan, 1 Month LIBOR + 8.000%^ |
9.000 (c) | 05/11/26 | 50 | 51,250 | ||
296,828 | ||||||
Oil & Gas 0.1% | ||||||
Chesapeake
Energy Corp., Class A Loan, 1 Month LIBOR + 8.000% (Cap N/A, Floor 10.000%) |
9.000 (c) | 06/24/24 | 400 | 195,600 | ||
Citgo
Petroleum Corp., 2019 Incremental Term B Loan, 3 Month LIBOR + 5.000% |
6.000 (c) | 03/27/24 | 90 | 86,871 | ||
282,471 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Bank Loans (Continued) | ||||||
Software 0.1% | ||||||
Informatica
LLC, Second Lien Initial Loan |
7.125 % | 02/25/25 | 50 | $ 50,500 | ||
TIBCO
Software, Inc., Term Loan |
— (p) | 03/04/28 | 100 | 95,167 | ||
145,667 | ||||||
Telecommunications 0.0% | ||||||
Xplornet
Communications, Inc. (Canada), Initial Term Loan, 1 Month LIBOR + 4.750% |
4.911 (c) | 06/10/27 | 150 | 145,625 | ||
Total
Bank Loans (cost $1,500,629) |
1,310,110 | |||||
Convertible Bonds 0.2% | ||||||
Insurance 0.2% | ||||||
AXA
SA (France), Sr. Unsec’d. Notes, 144A |
7.250 | 05/15/21 | 623 | 592,953 | ||
Telecommunications 0.0% | ||||||
Digicel
Group 0.5 Ltd. (Jamaica), Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A |
7.000 | –(rr) | 5 | 649 | ||
Total
Convertible Bonds (cost $628,755) |
593,602 | |||||
Corporate Bonds 20.0% | ||||||
Advertising 0.1% | ||||||
National
CineMedia LLC, Sr. Unsec’d. Notes |
5.750 | 08/15/26 | 225 | 145,976 | ||
Outfront
Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes, 144A |
6.250 | 06/15/25 | 50 | 50,983 | ||
Terrier
Media Buyer, Inc., Gtd. Notes, 144A |
8.875 | 12/15/27 | 235 | 240,412 | ||
437,371 | ||||||
Aerospace & Defense 0.5% | ||||||
Boeing Co. (The), | ||||||
Sr. Unsec’d. Notes | 5.150 | 05/01/30 | 225 | 246,441 | ||
Sr. Unsec’d. Notes | 5.805 | 05/01/50 | 275 | 322,584 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Aerospace & Defense (cont’d.) | ||||||
Bombardier, Inc. (Canada), | ||||||
Sr. Unsec’d. Notes, 144A | 7.500 % | 12/01/24 | 725 | $ 586,888 | ||
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 50 | 40,419 | ||
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 425 | 339,360 | ||
Howmet
Aerospace, Inc., Sr. Unsec’d. Notes |
6.875 | 05/01/25 | 25 | 28,319 | ||
Spirit
AeroSystems, Inc., Sec’d. Notes, 144A |
7.500 | 04/15/25 | 75 | 73,810 | ||
SSL
Robotics LLC, Sr. Sec’d. Notes, 144A |
9.750 | 12/31/23 | 125 | 138,747 | ||
1,776,568 | ||||||
Agriculture 0.1% | ||||||
Vector Group Ltd., | ||||||
Gtd. Notes, 144A | 10.500 | 11/01/26 | 50 | 51,261 | ||
Sr. Sec’d. Notes, 144A | 6.125 | 02/01/25 | 225 | 223,456 | ||
274,717 | ||||||
Apparel 0.0% | ||||||
William
Carter Co. (The), Gtd. Notes, 144A |
5.500 | 05/15/25 | 75 | 79,762 | ||
Wolverine World Wide, Inc., | ||||||
Gtd. Notes, 144A | 5.000 | 09/01/26 | 50 | 49,212 | ||
Gtd. Notes, 144A | 6.375 | 05/15/25 | 50 | 52,838 | ||
181,812 | ||||||
Auto Manufacturers 0.3% | ||||||
Ford Motor Co., | ||||||
Sr. Unsec’d. Notes | 4.750 | 01/15/43 | 175 | 159,723 | ||
Sr. Unsec’d. Notes | 5.291 | 12/08/46 | 550 | 523,372 | ||
Sr. Unsec’d. Notes | 9.000 | 04/22/25 | 75 | 88,352 | ||
Sr. Unsec’d. Notes | 9.625 | 04/22/30 | 40 | 52,791 | ||
Navistar International Corp., | ||||||
Gtd. Notes, 144A | 6.625 | 11/01/25 | 300 | 307,383 | ||
Sr. Sec’d. Notes, 144A | 9.500 | 05/01/25 | 50 | 57,077 | ||
1,188,698 | ||||||
Auto Parts & Equipment 0.3% | ||||||
Adient
Global Holdings Ltd., Gtd. Notes, 144A |
4.875 | 08/15/26 | 200 | 186,460 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Auto Parts & Equipment (cont’d.) | ||||||
Adient
US LLC, Sr. Sec’d. Notes, 144A |
9.000 % | 04/15/25 | 25 | $ 27,883 | ||
American Axle & Manufacturing, Inc., | ||||||
Gtd. Notes | 6.250 | 03/15/26 | 75 | 75,972 | ||
Gtd. Notes | 6.500 | 04/01/27 | 155 | 158,800 | ||
Cooper-Standard
Automotive, Inc., Gtd. Notes, 144A |
5.625 | 11/15/26 | 100 | 54,286 | ||
Dana
Financing Luxembourg Sarl, Gtd. Notes, 144A |
6.500 | 06/01/26 | 200 | 210,180 | ||
Dana, Inc., | ||||||
Sr. Unsec’d. Notes | 5.375 | 11/15/27 | 75 | 78,590 | ||
Sr. Unsec’d. Notes | 5.625 | 06/15/28 | 15 | 15,750 | ||
Titan
International, Inc., Sr. Sec’d. Notes |
6.500 | 11/30/23 | 150 | 99,835 | ||
907,756 | ||||||
Banks 0.3% | ||||||
Banque
Centrale de Tunisie International Bond (Tunisia), |
||||||
Sr. Unsec’d. Notes | 5.750 | 01/30/25 | 200 | 184,025 | ||
Sr. Unsec’d. Notes | 6.750 | 10/31/23 | EUR | 100 | 111,540 | |
CIT
Group, Inc., Sr. Unsec’d. Notes |
5.000 | 08/01/23 | 175 | 182,977 | ||
Grupo
Aval Ltd. (Colombia), Gtd. Notes, 144A |
4.375 | 02/04/30 | 200 | 190,924 | ||
State
Savings Bank of Ukraine Via SSB #1 PLC (Ukraine), Sr. Unsec’d. Notes |
9.625 | 03/20/25 | 100 | 102,985 | ||
Turkiye
Sinai Kalkinma Bankasi A/S (Turkey), Sr. Unsec’d. Notes, 144A |
6.000 | 01/23/25 | 200 | 187,516 | ||
959,967 | ||||||
Building Materials 0.4% | ||||||
Cornerstone
Building Brands, Inc., Gtd. Notes, 144A |
8.000 | 04/15/26 | 200 | 206,223 | ||
Forterra
Finance LLC/FRTA Finance Corp., Sr. Sec’d. Notes, 144A |
6.500 | 07/15/25 | 25 | 26,684 | ||
Griffon
Corp., Gtd. Notes |
5.750 | 03/01/28 | 150 | 157,006 | ||
JELD-WEN,
Inc., Gtd. Notes, 144A |
4.625 | 12/15/25 | 25 | 25,251 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Building Materials (cont’d.) | ||||||
Masonite
International Corp., Gtd. Notes, 144A |
5.375 % | 02/01/28 | 45 | $ 48,241 | ||
Patrick
Industries, Inc., Gtd. Notes, 144A |
7.500 | 10/15/27 | 100 | 106,620 | ||
Standard Industries, Inc., | ||||||
Sr. Unsec’d. Notes, 144A | 4.375 | 07/15/30 | 75 | 80,988 | ||
Sr. Unsec’d. Notes, 144A | 4.750 | 01/15/28 | 150 | 160,056 | ||
Sr. Unsec’d. Notes, 144A | 5.000 | 02/15/27 | 30 | 32,078 | ||
Summit
Materials LLC/Summit Materials Finance Corp., |
||||||
Gtd. Notes | 6.125 | 07/15/23 | 75 | 75,077 | ||
Gtd. Notes, 144A | 5.250 | 01/15/29 | 20 | 20,745 | ||
Gtd. Notes, 144A | 6.500 | 03/15/27 | 100 | 110,301 | ||
U.S.
Concrete, Inc., Gtd. Notes |
6.375 | 06/01/24 | 225 | 229,762 | ||
1,279,032 | ||||||
Chemicals 1.1% | ||||||
Ashland
LLC, Gtd. Notes |
6.875 | 05/15/43 | 50 | 62,465 | ||
Atotech
Alpha 2 BV (Germany), Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500% |
8.750 | 06/01/23 | 225 | 227,250 | ||
Braskem
America Finance Co. (Brazil), Gtd. Notes, 144A |
7.125 | 07/22/41 | 200 | 209,071 | ||
Chemours Co. (The), | ||||||
Gtd. Notes | 5.375 | 05/15/27 | 200 | 195,937 | ||
Gtd. Notes(a) | 7.000 | 05/15/25 | 245 | 251,167 | ||
CNAC
HK Finbridge Co. Ltd. (China), Gtd. Notes |
3.875 | 06/19/29 | 400 | 447,789 | ||
Cornerstone
Chemical Co., Sr. Sec’d. Notes, 144A |
6.750 | 08/15/24 | 85 | 78,228 | ||
Hexion,
Inc., Gtd. Notes, 144A |
7.875 | 07/15/27 | 160 | 158,692 | ||
MEGlobal
Canada ULC (Kuwait), Gtd. Notes, 144A, MTN |
5.875 | 05/18/30 | 200 | 237,071 | ||
Minerals
Technologies, Inc., Gtd. Notes, 144A |
5.000 | 07/01/28 | 40 | 41,398 | ||
Nouryon
Holding BV (Netherlands), Sr. Unsec’d. Notes, 144A |
8.000 | 10/01/26 | 200 | 213,492 | ||
NOVA
Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A |
5.250 | 06/01/27 | 175 | 165,541 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Chemicals (cont’d.) | ||||||
Olin
Corp., Sr. Unsec’d. Notes, 144A |
9.500 % | 06/01/25 | 75 | $ 85,610 | ||
Orbia
Advance Corp. SAB de CV (Mexico), Gtd. Notes, 144A(a) |
5.500 | 01/15/48 | 225 | 247,594 | ||
Rain
CII Carbon LLC/CII Carbon Corp., Sec’d. Notes, 144A |
7.250 | 04/01/25 | 125 | 124,006 | ||
TPC
Group, Inc., Sr. Sec’d. Notes, 144A |
10.500 | 08/01/24 | 175 | 155,754 | ||
Tronox
Finance PLC, Gtd. Notes, 144A |
5.750 | 10/01/25 | 115 | 114,784 | ||
Tronox, Inc., | ||||||
Gtd. Notes, 144A(a) | 6.500 | 04/15/26 | 120 | 120,300 | ||
Sr. Sec’d. Notes, 144A | 6.500 | 05/01/25 | 160 | 170,359 | ||
Valvoline,
Inc., Gtd. Notes, 144A |
4.375 | 08/15/25 | 30 | 30,983 | ||
Venator Finance Sarl/Venator Materials LLC, | ||||||
Gtd. Notes, 144A | 5.750 | 07/15/25 | 160 | 119,121 | ||
Sr. Sec’d. Notes, 144A | 9.500 | 07/01/25 | 50 | 51,204 | ||
WR
Grace & Co-Conn, Gtd. Notes, 144A |
4.875 | 06/15/27 | 50 | 53,243 | ||
3,561,059 | ||||||
Commercial Services 0.9% | ||||||
Allied
Universal Holdco LLC/Allied Universal Finance Corp., |
||||||
Sr. Sec’d. Notes, 144A | 6.625 | 07/15/26 | 10 | 10,702 | ||
Sr. Unsec’d. Notes, 144A | 9.750 | 07/15/27 | 325 | 360,778 | ||
AMN
Healthcare, Inc., Gtd. Notes, 144A |
4.625 | 10/01/27 | 75 | 74,595 | ||
Brink’s
Co. (The), Gtd. Notes, 144A |
5.500 | 07/15/25 | 75 | 79,665 | ||
DP
World PLC (United Arab Emirates), Sr. Unsec’d. Notes, EMTN |
6.850 | 07/02/37 | 200 | 267,720 | ||
Gartner,
Inc., Gtd. Notes, 144A |
4.500 | 07/01/28 | 30 | 31,604 | ||
Laureate
Education, Inc., Gtd. Notes, 144A |
8.250 | 05/01/25 | 400 | 426,965 | ||
Nielsen
Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A |
5.000 | 04/15/22 | 95 | 95,418 | ||
Refinitiv
US Holdings, Inc., Gtd. Notes, 144A |
8.250 | 11/15/26 | 350 | 386,238 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Commercial Services (cont’d.) | ||||||
United Rentals North America, Inc., | ||||||
Gtd. Notes | 3.875 % | 02/15/31 | 50 | $ 50,000 | ||
Gtd. Notes(a) | 4.875 | 01/15/28 | 600 | 644,335 | ||
Gtd. Notes | 5.250 | 01/15/30 | 225 | 246,305 | ||
Verscend
Escrow Corp., Sr. Unsec’d. Notes, 144A |
9.750 | 08/15/26 | 280 | 310,349 | ||
2,984,674 | ||||||
Computers 0.2% | ||||||
Banff
Merger Sub, Inc., Sr. Unsec’d. Notes, 144A |
9.750 | 09/01/26 | 378 | 399,456 | ||
Everi
Payments, Inc., Gtd. Notes, 144A |
7.500 | 12/15/25 | 202 | 196,828 | ||
NCR Corp., | ||||||
Gtd. Notes, 144A | 5.750 | 09/01/27 | 50 | 51,843 | ||
Gtd. Notes, 144A | 8.125 | 04/15/25 | 25 | 27,746 | ||
Tempo
Acquisition LLC/Tempo Acquisition Finance Corp., |
||||||
Sr. Sec’d. Notes, 144A | 5.750 | 06/01/25 | 25 | 26,254 | ||
Sr. Unsec’d. Notes, 144A | 6.750 | 06/01/25 | 125 | 129,546 | ||
831,673 | ||||||
Distribution/Wholesale 0.1% | ||||||
Core
& Main Holdings LP, Sr. Unsec’d. Notes, 144A, Cash coupon 8.625% or PIK 9.375% |
8.625 | 09/15/24 | 150 | 152,660 | ||
H&E
Equipment Services, Inc., Gtd. Notes |
5.625 | 09/01/25 | 125 | 129,999 | ||
Performance
Food Group, Inc., Gtd. Notes, 144A |
5.500 | 10/15/27 | 50 | 51,569 | ||
334,228 | ||||||
Diversified Financial Services 0.6% | ||||||
Alliance
Data Systems Corp., Gtd. Notes, 144A |
4.750 | 12/15/24 | 100 | 92,996 | ||
Fairstone
Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
7.875 | 07/15/24 | 110 | 111,394 | ||
LPL
Holdings, Inc., Gtd. Notes, 144A |
5.750 | 09/15/25 | 125 | 130,365 | ||
Nationstar Mortgage Holdings, Inc., | ||||||
Gtd. Notes, 144A | 6.000 | 01/15/27 | 75 | 77,434 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Diversified Financial Services (cont’d.) | ||||||
Nationstar Mortgage Holdings, Inc., (cont’d.) | ||||||
Gtd. Notes, 144A | 9.125 % | 07/15/26 | 660 | $ 718,921 | ||
OneMain Finance Corp., | ||||||
Gtd. Notes | 6.625 | 01/15/28 | 175 | 200,435 | ||
Gtd. Notes | 7.125 | 03/15/26 | 425 | 498,758 | ||
Power
Finance Corp. Ltd. (India), Sr. Unsec’d. Notes, 144A, MTN |
6.150 | 12/06/28 | 200 | 227,252 | ||
2,057,555 | ||||||
Electric 1.3% | ||||||
Abu
Dhabi National Energy Co. PJSC (United Arab Emirates), Sr. Unsec’d. Notes, 144A |
4.000 | 10/03/49 | 200 | 242,917 | ||
Calpine Corp., | ||||||
Sr. Unsec’d. Notes, 144A | 4.625 | 02/01/29 | 125 | 126,393 | ||
Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/31 | 175 | 179,610 | ||
Sr. Unsec’d. Notes, 144A | 5.125 | 03/15/28 | 500 | 519,948 | ||
Eskom Holdings SOC Ltd. (South Africa), | ||||||
Gov’t. Gtd. Notes, MTN | 6.350 | 08/10/28 | 400 | 403,023 | ||
Sr. Unsec’d. Notes | 7.125 | 02/11/25 | 200 | 191,450 | ||
Sr. Unsec’d. Notes, EMTN | 6.750 | 08/06/23 | 200 | 192,200 | ||
Sr. Unsec’d. Notes, MTN | 8.450 | 08/10/28 | 460 | 449,193 | ||
Keystone
Power Pass-Through Holders LLC/Conemaugh Power Pass-Through Holders, |
||||||
Gtd. Notes, 144A | 9.000 | 12/01/23 | 32 | 30,536 | ||
Sub. Notes, 144A, Cash coupon 13.000% or PIK N/A | 13.000 | 06/01/24 | 94 | 94,303 | ||
Listrindo
Capital BV (Indonesia), Gtd. Notes, 144A |
4.950 | 09/14/26 | 200 | 206,321 | ||
NRG
Energy, Inc., Gtd. Notes |
6.625 | 01/15/27 | 250 | 268,168 | ||
Perusahaan
Listrik Negara PT (Indonesia), Sr. Unsec’d. Notes, 144A, MTN |
5.450 | 05/21/28 | 420 | 499,968 | ||
PG&E Corp., | ||||||
Sr. Sec’d. Notes | 5.000 | 07/01/28 | 45 | 46,338 | ||
Sr. Sec’d. Notes | 5.250 | 07/01/30 | 185 | 192,476 | ||
Vistra Operations Co. LLC, | ||||||
Gtd. Notes, 144A | 5.000 | 07/31/27 | 360 | 382,952 | ||
Gtd. Notes, 144A | 5.625 | 02/15/27 | 275 | 294,931 | ||
4,320,727 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Electrical Components & Equipment 0.0% | ||||||
WESCO Distribution, Inc., | ||||||
Gtd. Notes, 144A | 7.125 % | 06/15/25 | 50 | $ 54,906 | ||
Gtd. Notes, 144A | 7.250 | 06/15/28 | 70 | 76,490 | ||
131,396 | ||||||
Energy-Alternate Sources 0.1% | ||||||
Azure
Power Solar Energy Private Ltd. (India), Sr. Sec’d. Notes, 144A, MTN |
5.650 | 12/24/24 | 200 | 204,279 | ||
Enviva
Partners LP/Enviva Partners Finance Corp., Gtd. Notes, 144A |
6.500 | 01/15/26 | 50 | 54,057 | ||
258,336 | ||||||
Engineering & Construction 0.2% | ||||||
AECOM,
Gtd. Notes |
5.125 | 03/15/27 | 175 | 191,453 | ||
GMR
Hyderabad International Airport Ltd. (India), Sr. Sec’d. Notes |
4.250 | 10/27/27 | 200 | 177,665 | ||
Mexico
City Airport Trust (Mexico), Sr. Sec’d. Notes |
5.500 | 07/31/47 | 200 | 168,115 | ||
PowerTeam
Services LLC, Sr. Sec’d. Notes, 144A |
9.033 | 12/04/25 | 50 | 52,940 | ||
TopBuild
Corp., Gtd. Notes, 144A |
5.625 | 05/01/26 | 125 | 130,333 | ||
720,506 | ||||||
Entertainment 0.8% | ||||||
AMC Entertainment Holdings, Inc., | ||||||
Gtd. Notes | 5.750 | 06/15/25 | 125 | 35,002 | ||
Gtd. Notes | 5.875 | 11/15/26 | 400 | 112,000 | ||
Sr. Sec’d. Notes, 144A | 10.500 | 04/24/26 | 45 | 39,394 | ||
Caesars
Resort Collection LLC/CRC Finco, Inc., Gtd. Notes, 144A |
5.250 | 10/15/25 | 400 | 360,249 | ||
Colt Merger Sub, Inc., | ||||||
Sr. Sec’d. Notes, 144A | 6.250 | 07/01/25 | 65 | 67,974 | ||
Sr. Unsec’d. Notes, 144A | 8.125 | 07/01/27 | 90 | 91,908 | ||
Golden
Entertainment, Inc., Sr. Unsec’d. Notes, 144A |
7.625 | 04/15/26 | 225 | 197,245 | ||
International Game Technology PLC, | ||||||
Sr. Sec’d. Notes, 144A | 5.250 | 01/15/29 | 200 | 204,060 | ||
Sr. Sec’d. Notes, 144A | 6.500 | 02/15/25 | 150 | 161,230 | ||
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Entertainment (cont’d.) | ||||||
Jacobs
Entertainment, Inc., Sec’d. Notes, 144A |
7.875 % | 02/01/24 | 175 | $ 159,074 | ||
Penn
National Gaming, Inc., Sr. Unsec’d. Notes, 144A |
5.625 | 01/15/27 | 200 | 197,184 | ||
Scientific Games International, Inc., | ||||||
Gtd. Notes, 144A | 7.250 | 11/15/29 | 50 | 46,218 | ||
Gtd. Notes, 144A | 8.250 | 03/15/26 | 450 | 448,973 | ||
Gtd. Notes, 144A | 8.625 | 07/01/25 | 125 | 125,387 | ||
Six Flags Entertainment Corp., | ||||||
Gtd. Notes, 144A | 4.875 | 07/31/24 | 50 | 47,790 | ||
Gtd. Notes, 144A | 5.500 | 04/15/27 | 75 | 70,878 | ||
Twin
River Worldwide Holdings, Inc., Sr. Unsec’d. Notes, 144A |
6.750 | 06/01/27 | 125 | 121,609 | ||
Wynn
Resorts Finance LLC/Wynn Resorts Capital Corp., |
||||||
Gtd. Notes, 144A | 5.125 | 10/01/29 | 60 | 57,805 | ||
Sr. Unsec’d. Notes, 144A | 7.750 | 04/15/25 | 25 | 26,280 | ||
2,570,260 | ||||||
Food Service 0.0% | ||||||
Aramark
Services, Inc., Gtd. Notes, 144A |
6.375 | 05/01/25 | 25 | 26,365 | ||
Foods 0.4% | ||||||
B&G
Foods, Inc., Gtd. Notes |
5.250 | 09/15/27 | 180 | 191,255 | ||
JBS USA LUX SA/JBS USA Finance, Inc., | ||||||
Gtd. Notes, 144A | 5.750 | 06/15/25 | 274 | 282,321 | ||
Gtd. Notes, 144A | 5.875 | 07/15/24 | 150 | 153,081 | ||
JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., Gtd. Notes, 144A |
6.500 | 04/15/29 | 170 | 192,508 | ||
Pilgrim’s Pride Corp., | ||||||
Gtd. Notes, 144A | 5.750 | 03/15/25 | 25 | 25,701 | ||
Gtd. Notes, 144A | 5.875 | 09/30/27 | 250 | 264,569 | ||
Post
Holdings, Inc., Gtd. Notes, 144A |
5.500 | 12/15/29 | 175 | 192,048 | ||
US
Foods, Inc., Gtd. Notes, 144A |
5.875 | 06/15/24 | 175 | 174,830 | ||
1,476,313 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Gas 0.2% | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp., | ||||||
Sr. Unsec’d. Notes | 5.500 % | 05/20/25 | 100 | $ 108,011 | ||
Sr. Unsec’d. Notes | 5.750 | 05/20/27 | 225 | 246,638 | ||
Sr. Unsec’d. Notes | 5.875 | 08/20/26 | 225 | 248,155 | ||
602,804 | ||||||
Healthcare-Services 0.6% | ||||||
Acadia
Healthcare Co., Inc., Gtd. Notes |
6.500 | 03/01/24 | 25 | 25,810 | ||
DaVita,
Inc., Gtd. Notes, 144A |
4.625 | 06/01/30 | 175 | 186,326 | ||
Hadrian
Merger Sub, Inc., Sr. Unsec’d. Notes, 144A |
8.500 | 05/01/26 | 25 | 22,910 | ||
HCA,
Inc., Gtd. Notes |
5.875 | 02/01/29 | 102 | 124,321 | ||
MEDNAX,
Inc., Gtd. Notes, 144A |
6.250 | 01/15/27 | 50 | 52,759 | ||
Polaris
Intermediate Corp., Sr. Unsec’d. Notes, 144A, Cash coupon 8.500% or PIK 9.250% |
8.500 | 12/01/22 | 75 | 76,384 | ||
RegionalCare
Hospital Partners Holdings, Inc./LifePoint Health, Inc., Gtd. Notes, 144A |
9.750 | 12/01/26 | 325 | 360,304 | ||
Surgery
Center Holdings, Inc., Gtd. Notes, 144A |
10.000 | 04/15/27 | 130 | 137,974 | ||
Tenet Healthcare Corp., | ||||||
Sec’d. Notes | 5.125 | 05/01/25 | 200 | 205,934 | ||
Sec’d. Notes, 144A | 6.250 | 02/01/27 | 75 | 79,616 | ||
Sr. Sec’d. Notes, 144A | 4.875 | 01/01/26 | 25 | 26,136 | ||
Sr. Unsec’d. Notes(a) | 6.750 | 06/15/23 | 550 | 580,345 | ||
Sr. Unsec’d. Notes | 6.875 | 11/15/31 | 50 | 47,990 | ||
1,926,809 | ||||||
Home Builders 0.9% | ||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., | ||||||
Sr. Unsec’d. Notes, 144A | 6.750 | 08/01/25 | 225 | 229,362 | ||
Sr. Unsec’d. Notes, 144A | 9.875 | 04/01/27 | 75 | 80,491 | ||
Beazer Homes USA, Inc., | ||||||
Gtd. Notes | 5.875 | 10/15/27 | 175 | 176,195 | ||
Gtd. Notes | 6.750 | 03/15/25 | 100 | 103,168 | ||
Gtd. Notes | 7.250 | 10/15/29 | 125 | 134,062 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Home Builders (cont’d.) | ||||||
Brookfield
Residential Properties, Inc./Brookfield Residential US Corp. (Canada), |
||||||
Gtd. Notes, 144A | 4.875 % | 02/15/30 | 100 | $ 91,397 | ||
Gtd. Notes, 144A | 6.250 | 09/15/27 | 125 | 125,610 | ||
Gtd. Notes, 144A | 6.375 | 05/15/25 | 200 | 203,247 | ||
Century
Communities, Inc., Gtd. Notes |
6.750 | 06/01/27 | 150 | 160,570 | ||
Forestar Group, Inc., | ||||||
Gtd. Notes, 144A | 5.000 | 03/01/28 | 50 | 49,554 | ||
Gtd. Notes, 144A | 8.000 | 04/15/24 | 100 | 107,672 | ||
KB
Home, Gtd. Notes |
6.875 | 06/15/27 | 200 | 226,731 | ||
M/I
Homes, Inc., Gtd. Notes |
4.950 | 02/01/28 | 100 | 103,182 | ||
Mattamy Group Corp. (Canada), | ||||||
Sr. Unsec’d. Notes, 144A | 4.625 | 03/01/30 | 100 | 101,848 | ||
Sr. Unsec’d. Notes, 144A | 5.250 | 12/15/27 | 75 | 78,000 | ||
Meritage
Homes Corp., Gtd. Notes |
5.125 | 06/06/27 | 227 | 245,518 | ||
New
Home Co., Inc. (The), Gtd. Notes |
7.250 | 04/01/22 | 79 | 73,982 | ||
Taylor Morrison Communities, Inc., | ||||||
Gtd. Notes, 144A | 5.875 | 01/31/25 | 56 | 57,524 | ||
Gtd. Notes, 144A | 5.875 | 06/15/27 | 350 | 388,256 | ||
Gtd. Notes, 144A | 6.625 | 07/15/27 | 175 | 190,262 | ||
Sr. Unsec’d. Notes, 144A | 5.125 | 08/01/30 | 40 | 43,661 | ||
TRI
Pointe Group, Inc., Gtd. Notes |
5.700 | 06/15/28 | 25 | 27,537 | ||
2,997,829 | ||||||
Household Products/Wares 0.0% | ||||||
Spectrum Brands, Inc., | ||||||
Gtd. Notes | 5.750 | 07/15/25 | 100 | 103,459 | ||
Gtd. Notes, 144A | 5.000 | 10/01/29 | 50 | 51,311 | ||
154,770 | ||||||
Housewares 0.0% | ||||||
Scotts
Miracle-Gro Co. (The), Gtd. Notes |
4.500 | 10/15/29 | 75 | 79,417 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Iron/Steel 0.1% | ||||||
Cleveland-Cliffs, Inc., | ||||||
Sr. Sec’d. Notes, 144A | 6.750 % | 03/15/26 | 25 | $ 25,095 | ||
Sr. Sec’d. Notes, 144A | 9.875 | 10/17/25 | 110 | 120,147 | ||
Vale
Overseas Ltd. (Brazil), Gtd. Notes |
3.750 | 07/08/30 | 55 | 59,039 | ||
204,281 | ||||||
Leisure Time 0.1% | ||||||
NCL Corp. Ltd., | ||||||
Sr. Sec’d. Notes, 144A | 10.250 | 02/01/26 | 90 | 89,658 | ||
Sr. Sec’d. Notes, 144A | 12.250 | 05/15/24 | 30 | 32,611 | ||
Sr. Unsec’d. Notes, 144A | 3.625 | 12/15/24 | 100 | 65,936 | ||
Royal Caribbean Cruises Ltd., | ||||||
Gtd. Notes, 144A | 9.125 | 06/15/23 | 15 | 15,282 | ||
Sr. Sec’d. Notes, 144A | 10.875 | 06/01/23 | 25 | 26,339 | ||
Sr. Unsec’d. Notes | 2.650 | 11/28/20 | 25 | 24,844 | ||
Viking
Cruises Ltd., Gtd. Notes, 144A |
5.875 | 09/15/27 | 125 | 81,217 | ||
335,887 | ||||||
Lodging 0.3% | ||||||
Boyd Gaming Corp., | ||||||
Gtd. Notes | 6.000 | 08/15/26 | 150 | 151,870 | ||
Gtd. Notes | 6.375 | 04/01/26 | 50 | 51,205 | ||
Hilton Domestic Operating Co., Inc., | ||||||
Gtd. Notes | 5.125 | 05/01/26 | 200 | 206,393 | ||
Gtd. Notes, 144A | 5.375 | 05/01/25 | 25 | 26,130 | ||
Gtd. Notes, 144A | 5.750 | 05/01/28 | 25 | 26,688 | ||
Marriott
International, Inc., Sr. Unsec’d. Notes, Series EE |
5.750 | 05/01/25 | 25 | 27,783 | ||
MGM Resorts International, | ||||||
Gtd. Notes | 6.000 | 03/15/23 | 50 | 52,335 | ||
Gtd. Notes | 6.750 | 05/01/25 | 400 | 414,882 | ||
Station Casinos LLC, | ||||||
Gtd. Notes, 144A | 4.500 | 02/15/28 | 125 | 111,875 | ||
Gtd. Notes, 144A | 5.000 | 10/01/25 | 25 | 23,636 | ||
Wyndham
Destinations, Inc., Sr. Sec’d. Notes, 144A |
4.625 | 03/01/30 | 50 | 46,003 | ||
1,138,800 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Machinery-Diversified 0.1% | ||||||
Maxim
Crane Works Holdings Capital LLC, Sec’d. Notes, 144A |
10.125 % | 08/01/24 | 275 | $ 269,348 | ||
Media 1.5% | ||||||
AMC
Networks, Inc., Gtd. Notes |
4.750 | 08/01/25 | 200 | 204,832 | ||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||
Sr. Unsec’d. Notes, 144A | 4.250 | 02/01/31 | 175 | 183,553 | ||
Sr. Unsec’d. Notes, 144A | 4.750 | 03/01/30 | 225 | 240,362 | ||
Sr. Unsec’d. Notes, 144A | 5.375 | 06/01/29 | 200 | 219,234 | ||
Sr. Unsec’d. Notes, 144A | 5.875 | 05/01/27 | 442 | 467,262 | ||
Clear
Channel Worldwide Holdings, Inc., Gtd. Notes |
9.250 | 02/15/24 | 897 | 814,052 | ||
CSC Holdings LLC, | ||||||
Gtd. Notes, 144A | 4.125 | 12/01/30 | 225 | 237,388 | ||
Sr. Unsec’d. Notes, 144A | 10.875 | 10/15/25 | 300 | 321,759 | ||
Cumulus
Media New Holdings, Inc., Sr. Sec’d. Notes, 144A |
6.750 | 07/01/26 | 50 | 45,413 | ||
Diamond
Sports Group LLC/Diamond Sports Finance Co., |
||||||
Gtd. Notes, 144A(a) | 6.625 | 08/15/27 | 505 | 276,458 | ||
Sr. Sec’d. Notes, 144A | 5.375 | 08/15/26 | 460 | 352,609 | ||
DISH DBS Corp., | ||||||
Gtd. Notes(a) | 7.750 | 07/01/26 | 330 | 370,375 | ||
Gtd. Notes, 144A | 7.375 | 07/01/28 | 65 | 68,932 | ||
Entercom Media Corp., | ||||||
Gtd. Notes, 144A | 7.250 | 11/01/24 | 100 | 83,522 | ||
Sec’d. Notes, 144A | 6.500 | 05/01/27 | 90 | 80,468 | ||
Gray Television, Inc., | ||||||
Gtd. Notes, 144A | 5.875 | 07/15/26 | 75 | 77,720 | ||
Gtd. Notes, 144A | 7.000 | 05/15/27 | 45 | 49,198 | ||
iHeartCommunications,
Inc., Gtd. Notes |
8.375 | 05/01/27 | 175 | 173,809 | ||
Radiate Holdco LLC/Radiate Finance, Inc., | ||||||
Sr. Unsec’d. Notes, 144A | 6.625 | 02/15/25 | 150 | 153,750 | ||
Sr. Unsec’d. Notes, 144A | 6.875 | 02/15/23 | 140 | 141,675 | ||
Scripps
Escrow, Inc., Gtd. Notes, 144A |
5.875 | 07/15/27 | 50 | 50,177 | ||
Sinclair
Television Group, Inc., Gtd. Notes, 144A |
5.125 | 02/15/27 | 175 | 171,144 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Media (cont’d.) | ||||||
Univision Communications, Inc., | ||||||
Sr. Sec’d. Notes, 144A | 5.125 % | 02/15/25 | 235 | $ 227,975 | ||
Sr. Sec’d. Notes, 144A | 6.625 | 06/01/27 | 155 | 155,516 | ||
5,167,183 | ||||||
Mining 0.9% | ||||||
Constellium
SE, Gtd. Notes, 144A |
5.875 | 02/15/26 | 250 | 261,171 | ||
Corp.
Nacional del Cobre de Chile (Chile), Sr. Unsec’d. Notes |
4.875 | 11/04/44 | 400 | 512,830 | ||
Eldorado
Gold Corp. (Turkey), Sec’d. Notes, 144A |
9.500 | 06/01/24 | 200 | 218,744 | ||
First Quantum Minerals Ltd. (Zambia), | ||||||
Gtd. Notes, 144A | 6.500 | 03/01/24 | 250 | 245,220 | ||
Gtd. Notes, 144A | 7.250 | 05/15/22 | 200 | 199,859 | ||
Freeport-McMoRan, Inc., | ||||||
Gtd. Notes | 4.375 | 08/01/28 | 100 | 106,024 | ||
Gtd. Notes | 4.625 | 08/01/30 | 85 | 90,950 | ||
Hecla
Mining Co., Gtd. Notes |
7.250 | 02/15/28 | 50 | 53,439 | ||
IAMGOLD
Corp. (Burkina Faso), Gtd. Notes, 144A |
7.000 | 04/15/25 | 215 | 224,022 | ||
Indonesia Asahan Aluminium Persero PT (Indonesia), | ||||||
Sr. Unsec’d. Notes | 6.530 | 11/15/28 | 220 | 273,247 | ||
Sr. Unsec’d. Notes, 144A | 4.750 | 05/15/25 | 200 | 220,524 | ||
New Gold, Inc. (Canada), | ||||||
Gtd. Notes, 144A | 6.375 | 05/15/25 | 150 | 155,793 | ||
Sr. Unsec’d. Notes, 144A | 7.500 | 07/15/27 | 75 | 81,486 | ||
Nexa
Resources SA (Peru), Gtd. Notes, 144A |
5.375 | 05/04/27 | 210 | 217,540 | ||
Novelis
Corp., Gtd. Notes, 144A |
5.875 | 09/30/26 | 150 | 159,946 | ||
3,020,795 | ||||||
Miscellaneous Manufacturing 0.1% | ||||||
Amsted
Industries, Inc., Sr. Unsec’d. Notes, 144A |
4.625 | 05/15/30 | 190 | 193,839 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Oil & Gas 3.3% | ||||||
Alta
Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes |
7.875 % | 12/15/24(d) | 775 | $ 512 | ||
Antero Resources Corp., | ||||||
Gtd. Notes | 5.000 | 03/01/25 | 475 | 301,095 | ||
Gtd. Notes | 5.125 | 12/01/22 | 50 | 40,116 | ||
Gtd. Notes | 5.375 | 11/01/21 | 150 | 143,625 | ||
Gtd. Notes | 5.625 | 06/01/23 | 50 | 35,866 | ||
Ascent
Resources Utica Holdings LLC/ARU Finance Corp., |
||||||
Sr. Unsec’d. Notes, 144A (original cost $272,481; purchased 09/26/18 - 04/18/19)(f) | 7.000 | 11/01/26 | 275 | 176,458 | ||
Sr. Unsec’d. Notes, 144A (original cost $201,000; purchased 03/29/17)(f) | 10.000 | 04/01/22 | 201 | 166,252 | ||
Chesapeake
Energy Corp., Gtd. Notes |
4.875 | 04/15/22(d) | 25 | 1,203 | ||
Citgo
Holding, Inc., Sr. Sec’d. Notes, 144A |
9.250 | 08/01/24 | 250 | 250,776 | ||
CITGO
Petroleum Corp., Sr. Sec’d. Notes, 144A |
7.000 | 06/15/25 | 100 | 102,739 | ||
CNX Resources Corp., | ||||||
Gtd. Notes | 5.875 | 04/15/22 | 53 | 52,683 | ||
Gtd. Notes, 144A | 7.250 | 03/14/27 | 275 | 269,587 | ||
CrownRock
LP/CrownRock Finance, Inc., Sr. Unsec’d. Notes, 144A |
5.625 | 10/15/25 | 50 | 49,095 | ||
Diamond
Offshore Drilling, Inc., Sr. Unsec’d. Notes |
7.875 | 08/15/25(d) | 125 | 13,310 | ||
Endeavor Energy Resources LP/EER Finance, Inc., | ||||||
Sr. Unsec’d. Notes, 144A | 5.750 | 01/30/28 | 145 | 149,861 | ||
Sr. Unsec’d. Notes, 144A | 6.625 | 07/15/25 | 25 | 26,272 | ||
Extraction Oil & Gas, Inc., | ||||||
Gtd. Notes, 144A | 5.625 | 02/01/26(d) | 325 | 69,597 | ||
Gtd. Notes, 144A | 7.375 | 05/15/24(d) | 130 | 28,600 | ||
Gazprom PJSC Via Gaz Capital SA (Russia), | ||||||
Sr. Unsec’d. Notes, EMTN | 7.288 | 08/16/37 | 100 | 144,086 | ||
Sr. Unsec’d. Notes, EMTN | 8.625 | 04/28/34 | 330 | 505,395 | ||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||
Sr. Unsec’d. Notes, 144A | 5.750 | 10/01/25 | 100 | 94,935 | ||
Sr. Unsec’d. Notes, 144A | 6.250 | 11/01/28 | 150 | 139,141 | ||
KazMunayGas National Co. JSC (Kazakhstan), | ||||||
Sr. Unsec’d. Notes | 5.750 | 04/19/47 | 200 | 249,308 | ||
Sr. Unsec’d. Notes | 6.375 | 10/24/48 | 200 | 267,790 | ||
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Oil & Gas (cont’d.) | ||||||
MEG
Energy Corp. (Canada), Gtd. Notes, 144A |
7.000 % | 03/31/24 | 110 | $ 104,755 | ||
Nabors Industries Ltd., | ||||||
Gtd. Notes, 144A | 7.250 | 01/15/26 | 50 | 32,192 | ||
Gtd. Notes, 144A | 7.500 | 01/15/28 | 100 | 63,542 | ||
Nabors
Industries, Inc., Gtd. Notes |
5.750 | 02/01/25 | 275 | 106,470 | ||
NAK
Naftogaz Ukraine via Kondor Finance PLC (Ukraine), Sr. Unsec’d. Notes |
7.125 | 07/19/24 | EUR | 200 | 229,413 | |
Occidental Petroleum Corp., | ||||||
Sr. Unsec’d. Notes | 2.700 | 02/15/23 | 150 | 144,136 | ||
Sr. Unsec’d. Notes | 2.900 | 08/15/24 | 100 | 94,109 | ||
Sr. Unsec’d. Notes | 3.125 | 02/15/22 | 25 | 24,615 | ||
Oil
& Gas Holding Co. BSCC (The) (Bahrain), Sr. Unsec’d. Notes |
8.375 | 11/07/28 | 400 | 451,169 | ||
PBF
Holding Co. LLC/PBF Finance Corp., Sr. Sec’d. Notes, 144A |
9.250 | 05/15/25 | 95 | 106,264 | ||
Pertamina
Persero PT (Indonesia), Sr. Unsec’d. Notes, EMTN |
6.500 | 11/07/48 | 200 | 282,383 | ||
Petrobras Global Finance BV (Brazil), | ||||||
Gtd. Notes | 6.900 | 03/19/49 | 110 | 122,915 | ||
Gtd. Notes | 7.375 | 01/17/27 | 243 | 285,855 | ||
Gtd. Notes | 8.750 | 05/23/26 | 200 | 249,855 | ||
Petroleos de Venezuela SA (Venezuela), | ||||||
First Lien, 144A | 8.500 | 10/27/20 | 385 | 38,500 | ||
Sr. Unsec’d. Notes | 5.375 | 04/12/27(d) | 625 | 15,625 | ||
Sr. Unsec’d. Notes | 6.000 | 05/16/24(d) | 115 | 2,875 | ||
Sr. Unsec’d. Notes | 6.000 | 11/15/26(d) | 670 | 16,750 | ||
Sr. Unsec’d. Notes | 9.000 | 11/17/21(d) | 150 | 3,750 | ||
Sr. Unsec’d. Notes | 9.750 | 05/17/35(d) | 200 | 5,000 | ||
Petroleos Mexicanos (Mexico), | ||||||
Gtd. Notes | 4.750 | 02/26/29 | EUR | 100 | 99,583 | |
Gtd. Notes | 6.350 | 02/12/48 | 554 | 436,671 | ||
Gtd. Notes | 6.500 | 03/13/27 | 370 | 353,016 | ||
Gtd. Notes | 6.500 | 01/23/29 | 230 | 212,200 | ||
Gtd. Notes(a) | 6.500 | 06/02/41 | 270 | 218,698 | ||
Gtd. Notes, 144A | 5.950 | 01/28/31 | 175 | 150,533 | ||
Gtd. Notes, 144A | 6.490 | 01/23/27 | 295 | 281,725 | ||
Gtd. Notes, 144A | 7.690 | 01/23/50 | 245 | 214,869 | ||
Gtd. Notes, MTN | 6.875 | 08/04/26 | 255 | 253,616 | ||
Petronas
Capital Ltd. (Malaysia), Gtd. Notes, 144A, MTN |
4.550 | 04/21/50 | 600 | 825,568 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Oil & Gas (cont’d.) | ||||||
Precision
Drilling Corp. (Canada), Gtd. Notes, 144A |
7.125 % | 01/15/26 | 225 | $ 158,451 | ||
Range Resources Corp., | ||||||
Gtd. Notes | 4.875 | 05/15/25 | 300 | 250,828 | ||
Gtd. Notes | 5.000 | 03/15/23 | 50 | 46,418 | ||
Gtd. Notes, 144A | 9.250 | 02/01/26 | 100 | 96,523 | ||
Saka
Energi Indonesia PT (Indonesia), Sr. Unsec’d. Notes, 144A |
4.450 | 05/05/24 | 200 | 189,302 | ||
Sinopec
Group Overseas Development 2012 Ltd. (China), Gtd. Notes |
4.875 | 05/17/42 | 200 | 273,667 | ||
Sinopec
Group Overseas Development 2017 Ltd. (China), Gtd. Notes |
4.000 | 09/13/47 | 200 | 252,666 | ||
Sinopec
Group Overseas Development 2018 Ltd. (China), Gtd. Notes, 144A |
3.680 | 08/08/49 | 200 | 240,718 | ||
Sunoco
LP/Sunoco Finance Corp., Gtd. Notes |
5.500 | 02/15/26 | 100 | 102,971 | ||
Thaioil
Treasury Center Co. Ltd. (Thailand), Gtd. Notes, 144A, MTN |
3.750 | 06/18/50 | 200 | 208,843 | ||
Transocean, Inc., | ||||||
Gtd. Notes, 144A | 7.250 | 11/01/25 | 375 | 183,340 | ||
Gtd. Notes, 144A | 8.000 | 02/01/27 | 75 | 36,604 | ||
Trinidad
Petroleum Holdings Ltd. (Trinidad & Tobago), Sr. Sec’d. Notes, 144A |
9.750 | 06/15/26 | 75 | 77,973 | ||
Valaris PLC (Saudi Arabia), | ||||||
Sr. Unsec’d. Notes | 5.750 | 10/01/44 | 50 | 2,842 | ||
Sr. Unsec’d. Notes | 7.750 | 02/01/26 | 225 | 12,234 | ||
WPX Energy, Inc., | ||||||
Sr. Unsec’d. Notes | 5.250 | 09/15/24 | 150 | 154,541 | ||
Sr. Unsec’d. Notes | 5.250 | 10/15/27 | 150 | 148,265 | ||
11,141,140 | ||||||
Packaging & Containers 0.2% | ||||||
Ardagh
Packaging Finance PLC/Ardagh Holdings USA, Inc., Sr. Unsec’d. Notes, 144A |
5.250 | 08/15/27 | 200 | 207,899 | ||
GPC
Merger Sub, Inc., Sr. Unsec’d. Notes, 144A |
7.125 | 08/15/28 | 25 | 26,042 | ||
Owens-Brockway Glass Container, Inc., | ||||||
Gtd. Notes, 144A | 6.375 | 08/15/25 | 75 | 81,072 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Packaging & Containers (cont’d.) | ||||||
Owens-Brockway Glass Container, Inc., (cont’d.) | ||||||
Gtd. Notes, 144A | 6.625 % | 05/13/27 | 75 | $81,535 | ||
Reynolds
Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A |
5.125 | 07/15/23 | 175 | 177,852 | ||
574,400 | ||||||
Pharmaceuticals 0.3% | ||||||
AdaptHealth
LLC, Gtd. Notes, 144A |
6.125 | 08/01/28 | 40 | 41,678 | ||
Bausch
Health Americas, Inc., Gtd. Notes, 144A |
8.500 | 01/31/27 | 185 | 206,857 | ||
Bausch Health Cos., Inc., | ||||||
Gtd. Notes, 144A | 5.000 | 01/30/28 | 75 | 75,333 | ||
Gtd. Notes, 144A | 5.250 | 01/30/30 | 25 | 25,526 | ||
Gtd. Notes, 144A | 6.125 | 04/15/25 | 150 | 154,980 | ||
Gtd. Notes, 144A | 6.250 | 02/15/29 | 200 | 212,612 | ||
Gtd. Notes, 144A | 7.000 | 01/15/28 | 100 | 109,057 | ||
Gtd. Notes, 144A | 7.250 | 05/30/29 | 110 | 121,825 | ||
947,868 | ||||||
Pipelines 0.6% | ||||||
Abu
Dhabi Crude Oil Pipeline LLC (United Arab Emirates), Sr. Sec’d. Notes |
4.600 | 11/02/47 | 200 | 251,000 | ||
Antero
Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A |
5.750 | 01/15/28 | 250 | 215,755 | ||
DCP
Midstream Operating LP, Gtd. Notes |
5.625 | 07/15/27 | 40 | 41,377 | ||
Energy
Transfer Operating LP, Jr. Sub. Notes, Series G |
7.125 (ff) | –(rr) | 100 | 83,019 | ||
EQM Midstream Partners LP, | ||||||
Sr. Unsec’d. Notes, 144A | 6.000 | 07/01/25 | 30 | 31,703 | ||
Sr. Unsec’d. Notes, 144A | 6.500 | 07/01/27 | 40 | 44,088 | ||
Global
Partners LP/GLP Finance Corp., Gtd. Notes |
7.000 | 08/01/27 | 40 | 38,713 | ||
Rattler
Midstream LP, Gtd. Notes, 144A |
5.625 | 07/15/25 | 30 | 31,773 | ||
Rockies
Express Pipeline LLC, Sr. Unsec’d. Notes, 144A |
6.875 | 04/15/40 | 225 | 227,507 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Pipelines (cont’d.) | |||||
Southern
Gas Corridor CJSC (Azerbaijan), Gov’t. Gtd. Notes, 144A |
6.875 % | 03/24/26 | 250 | $ 295,015 | |
Tallgrass
Energy Partners LP/Tallgrass Energy Finance Corp., |
|||||
Gtd. Notes, 144A | 5.500 | 09/15/24 | 50 | 48,156 | |
Gtd. Notes, 144A | 5.500 | 01/15/28 | 275 | 244,732 | |
Targa
Resources Partners LP/Targa Resources Partners Finance Corp., |
|||||
Gtd. Notes | 5.250 | 05/01/23 | 50 | 50,320 | |
Gtd. Notes | 6.500 | 07/15/27 | 100 | 107,277 | |
Western Midstream Operating LP, | |||||
Sr. Unsec’d. Notes | 3.100 | 02/01/25 | 75 | 74,814 | |
Sr. Unsec’d. Notes | 3.950 | 06/01/25 | 50 | 49,796 | |
Sr. Unsec’d. Notes | 4.000 | 07/01/22 | 75 | 77,455 | |
Sr. Unsec’d. Notes | 4.050 | 02/01/30 | 25 | 25,269 | |
1,937,769 | |||||
Real Estate 0.2% | |||||
Five
Point Operating Co. LP/Five Point Capital Corp., Gtd. Notes, 144A |
7.875 | 11/15/25 | 225 | 218,267 | |
Greystar
Real Estate Partners LLC, Sr. Sec’d. Notes, 144A |
5.750 | 12/01/25 | 200 | 202,895 | |
Hunt
Cos., Inc., Sr. Sec’d. Notes, 144A |
6.250 | 02/15/26 | 225 | 211,655 | |
632,817 | |||||
Real Estate Investment Trusts (REITs) 0.3% | |||||
Diversified
Healthcare Trust, Gtd. Notes |
9.750 | 06/15/25 | 150 | 165,559 | |
ESH
Hospitality, Inc., Gtd. Notes, 144A |
5.250 | 05/01/25 | 150 | 153,177 | |
GLP
Capital LP/GLP Financing II, Inc., Gtd. Notes |
5.300 | 01/15/29 | 150 | 166,833 | |
Host
Hotels & Resorts LP, Sr. Unsec’d. Notes, Series H |
3.375 | 12/15/29 | 50 | 48,542 | |
MGM
Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., |
|||||
Gtd. Notes | 4.500 | 01/15/28 | 150 | 153,187 | |
Gtd. Notes, 144A | 4.625 | 06/15/25 | 25 | 26,319 | |
Park
Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Sec’d. Notes, 144A |
7.500 | 06/01/25 | 215 | 228,773 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Real Estate Investment Trusts (REITs) (cont’d.) | ||||||
RHP Hotel Properties LP/RHP Finance Corp., | ||||||
Gtd. Notes | 4.750 % | 10/15/27 | 50 | $ 46,497 | ||
Gtd. Notes | 5.000 | 04/15/23 | 25 | 24,495 | ||
VICI
Properties LP/VICI Note Co., Inc., Gtd. Notes, 144A |
4.250 | 12/01/26 | 95 | 97,798 | ||
1,111,180 | ||||||
Retail 0.7% | ||||||
Brinker
International, Inc., Gtd. Notes, 144A |
5.000 | 10/01/24 | 150 | 141,385 | ||
CEC
Entertainment, Inc., Gtd. Notes |
8.000 | 02/15/22(d) | 275 | 32,222 | ||
eG
Global Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A |
8.500 | 10/30/25 | 200 | 218,759 | ||
Ferrellgas
LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes |
6.750 | 01/15/22 | 200 | 174,327 | ||
Ferrellgas
Partners LP/Ferrellgas Partners Finance Corp., |
||||||
Sr. Unsec’d. Notes | 8.625 | 08/15/20 | 450 | 135,563 | ||
Sr. Unsec’d. Notes | 8.625 | 08/15/20 | 225 | 67,781 | ||
Golden
Nugget, Inc., Gtd. Notes, 144A |
8.750 | 10/01/25 | 500 | 261,875 | ||
L
Brands, Inc., Gtd. Notes |
5.625 | 10/15/23 | 185 | 187,518 | ||
PetSmart, Inc., | ||||||
Gtd. Notes, 144A | 7.125 | 03/15/23 | 175 | 176,698 | ||
Sr. Sec’d. Notes, 144A | 5.875 | 06/01/25 | 234 | 240,517 | ||
Rite
Aid Corp., Sr. Sec’d. Notes, 144A |
8.000 | 11/15/26 | 152 | 156,859 | ||
Sally
Holdings LLC/Sally Capital, Inc., Gtd. Notes |
5.625 | 12/01/25 | 275 | 282,183 | ||
Suburban
Propane Partners LP/Suburban Energy Finance Corp., |
||||||
Sr. Unsec’d. Notes | 5.750 | 03/01/25 | 25 | 25,477 | ||
Sr. Unsec’d. Notes | 5.875 | 03/01/27 | 250 | 253,900 | ||
Superior
Plus LP/Superior General Partner, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
7.000 | 07/15/26 | 100 | 105,758 | ||
2,460,822 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Semiconductors 0.0% | ||||||
Microchip
Technology, Inc., Gtd. Notes, 144A |
4.250 % | 09/01/25 | 35 | $ 36,653 | ||
Software 0.1% | ||||||
Boxer
Parent Co., Inc., Sr. Sec’d. Notes, 144A |
7.125 | 10/02/25 | 75 | 81,967 | ||
BY
Crown Parent LLC, Gtd. Notes, 144A |
7.375 | 10/15/24 | 130 | 132,603 | ||
Dun
& Bradstreet Corp. (The), Sr. Sec’d. Notes, 144A |
6.875 | 08/15/26 | 65 | 71,173 | ||
285,743 | ||||||
Telecommunications 1.5% | ||||||
CenturyLink, Inc., | ||||||
Sr. Unsec’d. Notes | 5.625 | 04/01/25 | 100 | 106,899 | ||
Sr. Unsec’d. Notes, Series P | 7.600 | 09/15/39 | 180 | 206,590 | ||
Sr. Unsec’d. Notes, Series S | 6.450 | 06/15/21 | 75 | 77,703 | ||
CommScope
Technologies LLC, Gtd. Notes, 144A |
6.000 | 06/15/25 | 200 | 204,429 | ||
CommScope, Inc., | ||||||
Gtd. Notes, 144A | 7.125 | 07/01/28 | 80 | 84,667 | ||
Sr. Sec’d. Notes, 144A | 6.000 | 03/01/26 | 100 | 106,565 | ||
Digicel Group 0.5 Ltd. (Jamaica), | ||||||
Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% or PIK 10.000% | 10.000 | 04/01/24 | 148 | 112,648 | ||
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% or PIK 8.000% | 8.000 | 04/01/25 | 31 | 10,439 | ||
Digicel
International Finance Ltd./Digicel Holdings Bermuda Ltd. (Jamaica), |
||||||
Gtd. Notes, 144A | 8.000 | 12/31/26 | 77 | 55,605 | ||
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% | 13.000 | 12/31/25 | 123 | 111,795 | ||
Sr. Sec’d. Notes, 144A | 8.750 | 05/25/24 | 200 | 202,016 | ||
Sr. Sec’d. Notes, 144A | 8.750 | 05/25/24 | 194 | 195,870 | ||
Digicel
Ltd. (Jamaica), Gtd. Notes, 144A |
6.750 | 03/01/23 | 800 | 542,345 | ||
Embarq
Corp., Sr. Unsec’d. Notes |
7.995 | 06/01/36 | 590 | 698,187 | ||
Intelsat Jackson Holdings SA (Luxembourg), | ||||||
Gtd. Notes | 5.500 | 08/01/23(d) | 95 | 59,505 | ||
Gtd. Notes, 144A | 9.750 | 07/15/25(d) | 635 | 421,932 | ||
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Corporate Bonds (Continued) | ||||||
Telecommunications (cont’d.) | ||||||
Intelsat
Luxembourg SA (Luxembourg), Gtd. Notes |
8.125 % | 06/01/23(d) | 95 | $ 4,892 | ||
Intrado
Corp., Gtd. Notes, 144A(a) |
8.500 | 10/15/25 | 485 | 410,820 | ||
Level
3 Financing, Inc., Gtd. Notes |
5.625 | 02/01/23 | 70 | 70,274 | ||
MTN
Mauritius Investments Ltd. (South Africa), Gtd. Notes, 144A |
6.500 | 10/13/26 | 200 | 215,415 | ||
ORBCOMM,
Inc., Sr. Sec’d. Notes, 144A |
8.000 | 04/01/24 | 110 | 106,018 | ||
Sprint Capital Corp., | ||||||
Gtd. Notes | 6.875 | 11/15/28 | 96 | 124,449 | ||
Gtd. Notes | 8.750 | 03/15/32 | 140 | 215,986 | ||
Sprint
Corp., Gtd. Notes |
7.875 | 09/15/23 | 425 | 493,280 | ||
ViaSat,
Inc., Sr. Unsec’d. Notes, 144A |
6.500 | 07/15/28 | 35 | 35,945 | ||
Zayo
Group Holdings, Inc., Sr. Unsec’d. Notes, 144A |
6.125 | 03/01/28 | 175 | 180,616 | ||
5,054,890 | ||||||
Transportation 0.3% | ||||||
Kazakhstan
Temir Zholy Finance BV (Kazakhstan), Gtd. Notes |
6.950 | 07/10/42 | 200 | 274,765 | ||
Pelabuhan
Indonesia III Persero PT (Indonesia), Sr. Unsec’d. Notes |
4.875 | 10/01/24 | 200 | 217,173 | ||
XPO Logistics, Inc., | ||||||
Gtd. Notes, 144A | 6.125 | 09/01/23 | 175 | 178,551 | ||
Gtd. Notes, 144A | 6.250 | 05/01/25 | 95 | 102,814 | ||
Gtd. Notes, 144A | 6.750 | 08/15/24 | 100 | 107,498 | ||
880,801 | ||||||
Total
Corporate Bonds (cost $69,469,821) |
67,434,858 | |||||
Sovereign Bonds 13.0% | ||||||
1MDB
Global Investments Ltd. (Malaysia), Sr. Unsec’d. Notes |
4.400 | 03/09/23 | 1,000 | 989,920 | ||
Abu
Dhabi Government International Bond (United Arab Emirates), Sr. Unsec’d. Notes, 144A |
3.125 | 09/30/49 | 200 | 223,916 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Angolan Government International Bond (Angola), | ||||||
Sr. Unsec’d. Notes | 8.250 % | 05/09/28 | 200 | $ 169,020 | ||
Sr. Unsec’d. Notes | 9.375 | 05/08/48 | 200 | 164,034 | ||
Sr. Unsec’d. Notes | 9.500 | 11/12/25 | 600 | 547,311 | ||
Sr. Unsec’d. Notes, 144A, MTN | 8.000 | 11/26/29 | 200 | 166,627 | ||
Argentina
Bonar Bonds (Argentina), Unsec’d. Notes |
8.750 | 05/07/24 | 167 | 76,638 | ||
Argentine
Republic Government International Bond (Argentina), |
||||||
Sr. Unsec’d. Notes | 3.375 | 01/15/23 | EUR | 390 | 194,190 | |
Sr. Unsec’d. Notes | 3.380 | 12/31/38 | EUR | 200 | 94,236 | |
Sr. Unsec’d. Notes | 3.750 | 12/31/38 | 180 | 74,918 | ||
Sr. Unsec’d. Notes | 5.625 | 01/26/22 | 500 | 220,763 | ||
Sr. Unsec’d. Notes | 6.875 | 04/22/21 | 210 | 94,379 | ||
Sr. Unsec’d. Notes | 6.875 | 01/11/48 | 75 | 30,787 | ||
Sr. Unsec’d. Notes | 7.820 | 12/31/33 | EUR | 826 | 460,956 | |
Sr. Unsec’d. Notes | 8.280 | 12/31/33 | 561 | 284,793 | ||
Bahrain Government International Bond (Bahrain), | ||||||
Sr. Unsec’d. Notes | 7.000 | 01/26/26 | 200 | 224,188 | ||
Sr. Unsec’d. Notes | 7.000 | 10/12/28 | 200 | 223,969 | ||
Sr. Unsec’d. Notes | 7.375 | 05/14/30 | 200 | 228,817 | ||
Sr. Unsec’d. Notes | 7.500 | 09/20/47 | 200 | 223,480 | ||
Brazilian Government International Bond (Brazil), | ||||||
Sr. Unsec’d. Notes | 5.625 | 01/07/41 | 150 | 170,263 | ||
Sr. Unsec’d. Notes | 7.125 | 01/20/37 | 355 | 456,478 | ||
Sr. Unsec’d. Notes | 8.250 | 01/20/34 | 683 | 943,532 | ||
Colombia Government International Bond (Colombia), | ||||||
Sr. Unsec’d. Notes | 6.125 | 01/18/41 | 225 | 302,199 | ||
Sr. Unsec’d. Notes | 7.375 | 09/18/37 | 440 | 642,032 | ||
Sr. Unsec’d. Notes | 10.375 | 01/28/33 | 200 | 318,263 | ||
Congolese
International Bond (Congo (Republic)), Sr. Unsec’d. Notes |
6.000 | 06/30/29 | 182 | 142,986 | ||
Costa
Rica Government International Bond (Costa Rica), |
||||||
Sr. Unsec’d. Notes | 4.250 | 01/26/23 | 200 | 192,045 | ||
Sr. Unsec’d. Notes | 4.375 | 04/30/25 | 200 | 185,119 | ||
Sr. Unsec’d. Notes | 7.000 | 04/04/44 | 200 | 179,972 | ||
Sr. Unsec’d. Notes | 7.158 | 03/12/45 | 200 | 178,663 | ||
Croatia
Government International Bond (Croatia), Sr. Unsec’d. Notes |
2.750 | 01/27/30 | EUR | 185 | 254,143 | |
Dominican
Republic International Bond (Dominican Republic), |
||||||
Sr. Unsec’d. Notes | 5.875 | 04/18/24 | 350 | 367,566 | ||
Sr. Unsec’d. Notes | 7.450 | 04/30/44 | 760 | 856,140 | ||
Sr. Unsec’d. Notes, 144A | 6.000 | 07/19/28 | 320 | 340,741 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Ecuador Government International Bond (Ecuador), | ||||||
Sr. Unsec’d. Notes | 7.950 % | 06/20/24 | 200 | $ 109,528 | ||
Sr. Unsec’d. Notes | 8.875 | 10/23/27 | 220 | 112,504 | ||
Sr. Unsec’d. Notes | 9.650 | 12/13/26 | 200 | 102,360 | ||
Sr. Unsec’d. Notes | 10.750 | 03/28/22 | 200 | 108,925 | ||
Sr. Unsec’d. Notes, 144A | 7.875 | 01/23/28 | 200 | 100,277 | ||
Sr. Unsec’d. Notes, 144A | 8.750 | 06/02/23 | 265 | 141,081 | ||
Sr. Unsec’d. Notes, 144A | 8.875 | 10/23/27 | 200 | 102,277 | ||
Sr. Unsec’d. Notes, 144A | 9.650 | 12/13/26 | 420 | 214,957 | ||
Egypt Government International Bond (Egypt), | ||||||
Sr. Unsec’d. Notes | 7.903 | 02/21/48 | 200 | 183,631 | ||
Sr. Unsec’d. Notes, 144A | 8.700 | 03/01/49 | 210 | 207,329 | ||
Sr. Unsec’d. Notes, 144A, MTN | 4.750 | 04/11/25 | EUR | 100 | 114,136 | |
Sr. Unsec’d. Notes, 144A, MTN | 4.750 | 04/16/26 | EUR | 200 | 223,222 | |
Sr. Unsec’d. Notes, 144A, MTN | 6.375 | 04/11/31 | EUR | 220 | 240,239 | |
Sr. Unsec’d. Notes, 144A, MTN | 7.600 | 03/01/29 | 200 | 204,103 | ||
Sr. Unsec’d. Notes, 144A, MTN | 8.500 | 01/31/47 | 255 | 251,682 | ||
El
Salvador Government International Bond (El Salvador), |
||||||
Sr. Unsec’d. Notes | 5.875 | 01/30/25 | 355 | 321,095 | ||
Sr. Unsec’d. Notes | 7.625 | 02/01/41 | 150 | 132,226 | ||
Sr. Unsec’d. Notes | 8.250 | 04/10/32 | 280 | 265,934 | ||
Emirate
of Dubai Government International Bonds (United Arab Emirates), Sr. Unsec’d. Notes, EMTN |
5.250 | 01/30/43 | 200 | 229,660 | ||
Ethiopia
International Bond (Ethiopia), Sr. Unsec’d. Notes |
6.625 | 12/11/24 | 200 | 198,329 | ||
Export-Import
Bank of India (India), Sr. Unsec’d. Notes, 144A, MTN |
3.250 | 01/15/30 | 200 | 202,819 | ||
Gabon Government International Bond (Gabon), | ||||||
Bonds | 6.375 | 12/12/24 | 200 | 197,181 | ||
Sr. Unsec’d. Notes | 6.950 | 06/16/25 | 200 | 196,724 | ||
Sr. Unsec’d. Notes, 144A | 6.625 | 02/06/31 | 215 | 204,349 | ||
Ghana Government International Bond (Ghana), | ||||||
Bank Gtd. Notes | 10.750 | 10/14/30 | 200 | 239,508 | ||
Sr. Unsec’d. Notes | 7.875 | 03/26/27 | 200 | 194,945 | ||
Sr. Unsec’d. Notes | 8.125 | 01/18/26 | 200 | 201,366 | ||
Sr. Unsec’d. Notes | 8.125 | 03/26/32 | 200 | 187,321 | ||
Sr. Unsec’d. Notes, 144A(a) | 8.950 | 03/26/51 | 205 | 186,199 | ||
Guatemala
Government Bond (Guatemala), Sr. Unsec’d. Notes |
4.875 | 02/13/28 | 200 | 221,896 | ||
Honduras
Government International Bond (Honduras), Sr. Unsec’d. Notes |
7.500 | 03/15/24 | 200 | 218,524 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Hungary Government International Bond (Hungary), | ||||||
Sr. Unsec’d. Notes | 1.750 % | 06/05/35 | EUR | 208 | $ 257,462 | |
Sr. Unsec’d. Notes | 7.625 | 03/29/41 | 306 | 536,818 | ||
Indonesia
Government International Bond (Indonesia), |
||||||
Sr. Unsec’d. Notes | 7.750 | 01/17/38 | 200 | 316,744 | ||
Sr. Unsec’d. Notes | 8.500 | 10/12/35 | 300 | 490,830 | ||
Sr. Unsec’d. Notes, EMTN | 5.125 | 01/15/45 | 200 | 262,183 | ||
Sr. Unsec’d. Notes, EMTN | 5.250 | 01/17/42 | 200 | 262,655 | ||
Iraq International Bond (Iraq), | ||||||
Sr. Unsec’d. Notes | 5.800 | 01/15/28 | 234 | 216,539 | ||
Sr. Unsec’d. Notes | 6.752 | 03/09/23 | 400 | 381,229 | ||
Israel Government International Bond (Israel), | ||||||
Sr. Unsec’d. Notes | 3.875 | 07/03/50 | 200 | 249,623 | ||
Sr. Unsec’d. Notes | 4.500 | 04/03/2120 | 200 | 292,695 | ||
Ivory
Coast Government International Bond (Ivory Coast), |
||||||
Sr. Unsec’d. Notes | 5.125 | 06/15/25 | EUR | 100 | 119,399 | |
Sr. Unsec’d. Notes | 5.250 | 03/22/30 | EUR | 100 | 109,068 | |
Sr. Unsec’d. Notes | 5.875 | 10/17/31 | EUR | 100 | 109,740 | |
Sr. Unsec’d. Notes | 6.375 | 03/03/28 | 200 | 204,132 | ||
Sr. Unsec’d. Notes | 6.625 | 03/22/48 | EUR | 140 | 146,154 | |
Sr. Unsec’d. Notes | 6.875 | 10/17/40 | EUR | 100 | 109,560 | |
Jamaica Government International Bond (Jamaica), | ||||||
Sr. Unsec’d. Notes | 7.875 | 07/28/45 | 200 | 260,871 | ||
Sr. Unsec’d. Notes | 9.250 | 10/17/25 | 200 | 235,517 | ||
Jordan
Government International Bond (Jordan), Sr. Unsec’d. Notes |
7.375 | 10/10/47 | 200 | 208,769 | ||
Kazakhstan
Government International Bond (Kazakhstan), Sr. Unsec’d. Notes, EMTN |
6.500 | 07/21/45 | 200 | 312,311 | ||
Kenya Government International Bond (Kenya), | ||||||
Sr. Unsec’d. Notes | 7.000 | 05/22/27 | 200 | 196,873 | ||
Sr. Unsec’d. Notes, 144A | 8.250 | 02/28/48 | 200 | 195,428 | ||
Lebanon Government International Bond (Lebanon), | ||||||
Sr. Unsec’d. Notes | 6.000 | 01/27/23(d) | 89 | 15,215 | ||
Sr. Unsec’d. Notes | 6.650 | 04/22/24(d) | 120 | 20,195 | ||
Sr. Unsec’d. Notes | 6.750 | 11/29/27(d) | 150 | 24,843 | ||
Sr. Unsec’d. Notes | 7.000 | 04/22/31(d) | 80 | 12,852 | ||
Sr. Unsec’d. Notes, EMTN | 6.100 | 10/04/22(d) | 10 | 1,800 | ||
Sr. Unsec’d. Notes, EMTN | 6.850 | 05/25/29(d) | 195 | 31,326 | ||
Sr. Unsec’d. Notes, GMTN | 6.250 | 05/27/22(d) | 130 | 23,132 | ||
Sr. Unsec’d. Notes, GMTN | 6.250 | 11/04/24(d) | 320 | 53,740 | ||
Sr. Unsec’d. Notes, GMTN | 6.375 | 03/09/20(d) | 220 | 42,049 | ||
Sr. Unsec’d. Notes, GMTN | 6.400 | 05/26/23(d) | 100 | 16,856 | ||
Sr. Unsec’d. Notes, GMTN | 6.600 | 11/27/26(d) | 30 | 4,959 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Lebanon Government International Bond (Lebanon), (cont’d.) | ||||||
Sr. Unsec’d. Notes, GMTN | 6.650 % | 02/26/30(d) | 315 | $ 51,443 | ||
Sr. Unsec’d. Notes, GMTN | 7.150 | 11/20/31(d) | 70 | 10,765 | ||
Mexico Government International Bond (Mexico), | ||||||
Sr. Unsec’d. Notes, MTN | 6.050 | 01/11/40 | 236 | 305,933 | ||
Sr. Unsec’d. Notes, MTN | 6.750 | 09/27/34 | 203 | 280,306 | ||
Morocco
Government International Bond (Morocco), Sr. Unsec’d. Notes |
1.500 | 11/27/31 | EUR | 100 | 113,341 | |
Mozambique International Bond (Mozambique), | ||||||
Unsec’d. Notes | 5.000 | 09/15/31 | 200 | 171,035 | ||
Unsec’d. Notes, 144A | 5.000 | 09/15/31 | 200 | 171,035 | ||
Nigeria Government International Bond (Nigeria), | ||||||
Sr. Unsec’d. Notes | 7.625 | 11/21/25 | 200 | 206,080 | ||
Sr. Unsec’d. Notes | 7.875 | 02/16/32 | 440 | 424,358 | ||
Sr. Unsec’d. Notes | 8.747 | 01/21/31 | 400 | 411,504 | ||
Sr. Unsec’d. Notes, EMTN | 6.500 | 11/28/27 | 200 | 190,412 | ||
Oman Government International Bond (Oman), | ||||||
Sr. Unsec’d. Notes | 4.750 | 06/15/26 | 230 | 214,619 | ||
Sr. Unsec’d. Notes | 6.500 | 03/08/47 | 600 | 532,118 | ||
Sr. Unsec’d. Notes | 6.750 | 01/17/48 | 200 | 177,394 | ||
Pakistan Government International Bond (Pakistan), | ||||||
Sr. Unsec’d. Notes | 6.875 | 12/05/27 | 200 | 196,805 | ||
Sr. Unsec’d. Notes | 8.250 | 09/30/25 | 400 | 421,555 | ||
Panama Government International Bond (Panama), | ||||||
Sr. Unsec’d. Notes | 3.870 | 07/23/60 | 200 | 248,323 | ||
Sr. Unsec’d. Notes | 4.500 | 04/01/56 | 200 | 268,957 | ||
Sr. Unsec’d. Notes | 6.700 | 01/26/36 | 345 | 530,260 | ||
Sr. Unsec’d. Notes | 9.375 | 04/01/29 | 80 | 125,636 | ||
Papua
New Guinea Government International Bond (Papua New Guinea), Sr. Unsec’d. Notes, 144A |
8.375 | 10/04/28 | 200 | 191,551 | ||
Paraguay
Government International Bond (Paraguay), Sr. Unsec’d. Notes |
6.100 | 08/11/44 | 200 | 265,103 | ||
Peruvian Government International Bond (Peru), | ||||||
Sr. Unsec’d. Notes | 2.783 | 01/23/31 | 55 | 61,328 | ||
Sr. Unsec’d. Notes | 5.625 | 11/18/50 | 50 | 85,133 | ||
Sr. Unsec’d. Notes | 6.550 | 03/14/37 | 200 | 320,743 | ||
Sr. Unsec’d. Notes | 8.750 | 11/21/33 | 335 | 584,850 | ||
Philippine
Government International Bond (Philippines), |
||||||
Sr. Unsec’d. Notes | 2.950 | 05/05/45 | 200 | 223,886 | ||
Sr. Unsec’d. Notes | 3.950 | 01/20/40 | 300 | 371,166 | ||
Sr. Unsec’d. Notes | 7.750 | 01/14/31 | 220 | 342,602 | ||
Provincia
de Buenos Aires (Argentina), Sr. Unsec’d. Notes |
4.000 | 05/01/20(d) | EUR | 15 | 6,586 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Provincia
de Buenos Aires/Government Bonds (Argentina), |
||||||
Sr. Unsec’d. Notes | 9.125 % | 03/16/24 | 300 | $ 131,390 | ||
Sr. Unsec’d. Notes | 9.950 | 06/09/21 | 620 | 269,385 | ||
Qatar Government International Bond (Qatar), | ||||||
Sr. Unsec’d. Notes | 4.400 | 04/16/50 | 200 | 271,780 | ||
Sr. Unsec’d. Notes | 5.103 | 04/23/48 | 400 | 588,660 | ||
Sr. Unsec’d. Notes, 144A | 4.400 | 04/16/50 | 200 | 271,780 | ||
Sr. Unsec’d. Notes, 144A | 4.817 | 03/14/49 | 355 | 507,376 | ||
Sr. Unsec’d. Notes, 144A | 5.103 | 04/23/48 | 200 | 294,330 | ||
Republic
of Belarus International Bond (Belarus), Sr. Unsec’d. Notes |
7.625 | 06/29/27 | 225 | 234,647 | ||
Republic
of Cameroon International Bond (Cameroon), Sr. Unsec’d. Notes |
9.500 | 11/19/25 | 200 | 209,270 | ||
Republic
of South Africa Government Bond (South Africa), |
||||||
Sr. Unsec’d. Notes, Series 2030 | 8.000 | 01/31/30 | ZAR | 625 | 33,742 | |
Sr. Unsec’d. Notes, Series 2032 | 8.250 | 03/31/32 | ZAR | 1,395 | 71,010 | |
Republic
of South Africa Government International Bond (South Africa), |
||||||
Sr. Unsec’d. Notes | 5.000 | 10/12/46 | 200 | 167,035 | ||
Sr. Unsec’d. Notes | 5.650 | 09/27/47 | 200 | 179,016 | ||
Romanian
Government International Bond (Romania), |
||||||
Sr. Unsec’d. Notes | 5.125 | 06/15/48 | 244 | 302,754 | ||
Sr. Unsec’d. Notes, 144A | 4.000 | 02/14/51 | 30 | 31,554 | ||
Sr. Unsec’d. Notes, 144A, MTN | 4.625 | 04/03/49 | EUR | 48 | 67,879 | |
Sr. Unsec’d. Notes, EMTN | 3.875 | 10/29/35 | EUR | 10 | 13,079 | |
Sr. Unsec’d. Notes, EMTN | 4.125 | 03/11/39 | EUR | 97 | 129,743 | |
Sr. Unsec’d. Notes, EMTN | 4.625 | 04/03/49 | EUR | 104 | 147,072 | |
Sr. Unsec’d. Notes, EMTN | 6.125 | 01/22/44 | 264 | 361,336 | ||
Russian Foreign Bond - Eurobond (Russia), | ||||||
Sr. Unsec’d. Notes | 5.100 | 03/28/35 | 600 | 750,704 | ||
Sr. Unsec’d. Notes | 5.625 | 04/04/42 | 600 | 820,410 | ||
Saudi Government International Bond (Saudi Arabia), | ||||||
Sr. Unsec’d. Notes | 5.250 | 01/16/50 | 200 | 284,787 | ||
Sr. Unsec’d. Notes, EMTN | 4.500 | 10/26/46 | 600 | 761,029 | ||
Sr. Unsec’d. Notes, EMTN | 4.625 | 10/04/47 | 200 | 258,883 | ||
Sr. Unsec’d. Notes, EMTN | 5.000 | 04/17/49 | 200 | 274,046 | ||
Senegal
Government International Bond (Senegal), Sr. Unsec’d. Notes, 144A |
6.750 | 03/13/48 | 200 | 189,843 | ||
Serbia
International Bond (Serbia), Sr. Unsec’d. Notes |
1.500 | 06/26/29 | EUR | 200 | 225,621 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Sri Lanka Government International Bond (Sri Lanka), | ||||||
Sr. Unsec’d. Notes | 5.750 % | 04/18/23 | 600 | $ 485,095 | ||
Sr. Unsec’d. Notes | 5.875 | 07/25/22 | 200 | 169,150 | ||
Sr. Unsec’d. Notes | 6.250 | 10/04/20 | 100 | 97,001 | ||
Sr. Unsec’d. Notes | 6.850 | 11/03/25 | 200 | 154,231 | ||
Sr. Unsec’d. Notes, 144A | 5.750 | 04/18/23 | 200 | 161,698 | ||
Sr. Unsec’d. Notes, 144A | 6.750 | 04/18/28 | 200 | 146,991 | ||
Sr. Unsec’d. Notes, 144A | 6.850 | 03/14/24 | 265 | 210,833 | ||
Sr. Unsec’d. Notes, 144A | 7.850 | 03/14/29 | 200 | 149,737 | ||
Turkey Government International Bond (Turkey), | ||||||
Sr. Unsec’d. Notes | 4.875 | 10/09/26 | 300 | 267,164 | ||
Sr. Unsec’d. Notes | 6.000 | 03/25/27 | 280 | 262,836 | ||
Sr. Unsec’d. Notes | 6.000 | 01/14/41 | 400 | 333,806 | ||
Sr. Unsec’d. Notes | 6.875 | 03/17/36 | 209 | 193,970 | ||
Sr. Unsec’d. Notes | 7.375 | 02/05/25 | 125 | 127,058 | ||
Turkiye
Ihracat Kredi Bankasi A/S (Turkey), Sr. Unsec’d. Notes |
8.250 | 01/24/24 | 200 | 204,703 | ||
Ukraine Government International Bond (Ukraine), | ||||||
Sr. Unsec’d. Notes | 6.750 | 06/20/26 | EUR | 200 | 236,801 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/25 | 110 | 113,535 | ||
Sr. Unsec’d. Notes | 7.750 | 09/01/26 | 250 | 256,358 | ||
Sr. Unsec’d. Notes | 7.750 | 09/01/27 | 300 | 306,455 | ||
Sr. Unsec’d. Notes | 8.994 | 02/01/24 | 200 | 215,052 | ||
Sr. Unsec’d. Notes | 9.750 | 11/01/28 | 535 | 597,542 | ||
Sr. Unsec’d. Notes, 144A | 4.375 | 01/27/30 | EUR | 100 | 98,948 | |
Sr. Unsec’d. Notes, 144A, GDP Linked | — (p) | 05/31/40 | 35 | 30,657 | ||
Sr. Unsec’d. Notes, GDP Linked | — (p) | 05/31/40 | 171 | 149,783 | ||
Ukreximbank
Via Biz Finance PLC (Ukraine), Sr. Unsec’d. Notes |
9.750 | 01/22/25 | 200 | 206,823 | ||
Uruguay Government International Bond (Uruguay), | ||||||
Sr. Unsec’d. Notes | 4.125 | 11/20/45 | 80 | 98,839 | ||
Sr. Unsec’d. Notes | 4.975 | 04/20/55 | 100 | 138,991 | ||
Sr. Unsec’d. Notes | 5.100 | 06/18/50 | 230 | 321,709 | ||
Sr. Unsec’d. Notes | 7.625 | 03/21/36 | 325 | 517,740 | ||
Venezuela
Government International Bond (Venezuela), |
||||||
Sr. Unsec’d. Notes | 7.000 | 03/31/38(d) | 220 | 15,321 | ||
Sr. Unsec’d. Notes | 7.750 | 10/13/19(d) | 110 | 7,535 | ||
Sr. Unsec’d. Notes | 9.000 | 05/07/23(d) | 100 | 6,958 | ||
Sr. Unsec’d. Notes | 11.950 | 08/05/31(d) | 300 | 21,003 | ||
Zambia Government International Bond (Zambia), | ||||||
Sr. Unsec’d. Notes | 8.500 | 04/14/24 | 400 | 222,405 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||
Sovereign Bonds (Continued) | ||||||
Zambia Government International Bond (Zambia), (cont’d.) | ||||||
Unsec’d. Notes | 5.375 % | 09/20/22 | 200 | $ 111,634 | ||
Total
Sovereign Bonds (cost $44,961,022) |
43,750,328 | |||||
Total
Long-Term Investments (cost $311,872,209) |
328,332,542 |
Shares | ||||||
Short-Term Investments 3.9% | ||||||
Affiliated Mutual Funds | ||||||
PGIM Core Ultra Short Bond Fund(w) | 7,559,057 | 7,559,057 | ||||
PGIM
Institutional Money Market Fund (cost $5,784,018; includes $5,782,034 of cash collateral for securities on loan)(b)(w) |
5,796,391 | 5,795,811 | ||||
Total
Short-Term Investments (cost $13,343,075) |
13,354,868 | |||||
TOTAL
INVESTMENTS 101.2% (cost $325,215,284) |
341,687,410 | |||||
Liabilities in excess of other assets(z) (1.2)% | (4,120,037) | |||||
Net Assets 100.0% | $ 337,567,373 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
AUD—Australian Dollar | |
BRL—Brazilian Real | |
CLP—Chilean Peso | |
CNH—Chinese Renminbi | |
COP—Colombian Peso | |
CZK—Czech Koruna | |
EUR—Euro | |
HUF—Hungarian Forint | |
IDR—Indonesian Rupiah | |
ILS—Israeli Shekel | |
INR—Indian Rupee | |
JPY—Japanese Yen | |
KRW—South Korean Won | |
MXN—Mexican Peso | |
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 | |
GDP—Gross Domestic Product | |
GMTN—Global Medium Term Note | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
M—Monthly payment frequency for swaps | |
MLP—Master Limited Partnership | |
MSCI—Morgan Stanley Capital International | |
MTN—Medium Term Note | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
PJSC—Public Joint-Stock Company | |
Q—Quarterly payment frequency for swaps | |
REITs—Real Estate Investment Trust | |
SPDR—Standard & Poor’s Depositary Receipts |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $855,327 and 0.3% 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 $5,698,410; cash collateral of $5,782,034 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, 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, 2020. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $473,481. The aggregate value of $342,710 is 0.1% of net assets. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(g) | An affiliated security. |
(p) | Interest rate not available as of July 31, 2020. |
(rr) | Perpetual security with no stated maturity date. |
(w) | PGIM Investments LLC, the manager of the Fund, also serves as the manager of the underlying funds in which the Fund invests. |
(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, 2020: | ||||||||
Number
of Contracts |
Type | Expiration
Date |
Current
Notional Amount |
Value
/ Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
13 | 2 Year U.S. Treasury Notes | Sep. 2020 | $2,872,797 | $ 2,419 | ||||
8 | 5 Year U.S. Treasury Notes | Sep. 2020 | 1,009,000 | 6,049 | ||||
17 | 10 Year U.S. Treasury Notes | Sep. 2020 | 2,381,328 | 23,565 | ||||
7 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 1,275,969 | 29,115 | ||||
61,148 | ||||||||
Short Positions: | ||||||||
5 | 2 Year U.S. Treasury Notes | Sep. 2020 | 1,104,922 | (944) | ||||
8 | 10 Year Euro-Bund | Sep. 2020 | 1,672,877 | (20,975) | ||||
16 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 2,916,500 | (71,407) | ||||
2 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 455,375 | (31,089) | ||||
(124,415) | ||||||||
$ (63,267) |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Brazilian Real, | |||||||||||||
Expiring 08/04/20 | Citibank, N.A. | BRL | 416 | $ 76,479 | $ 79,687 | $ 3,208 | $ — | ||||||
Expiring 08/04/20 | JPMorgan Chase Bank, N.A. | BRL | 481 | 90,100 | 92,258 | 2,158 | — | ||||||
Expiring 08/04/20 | JPMorgan Chase Bank, N.A. | BRL | 236 | 44,000 | 45,182 | 1,182 | — | ||||||
Expiring 08/04/20 | Morgan Stanley & Co. International PLC | BRL | 661 | 125,858 | 126,715 | 857 | — | ||||||
Expiring 08/04/20 | Morgan Stanley & Co. International PLC | BRL | 266 | 50,000 | 51,002 | 1,002 | — | ||||||
Expiring 09/02/20 | BNP Paribas S.A. | BRL | 452 | 87,000 | 86,484 | — | (516) | ||||||
Expiring 09/02/20 | Morgan Stanley & Co. International PLC | BRL | 323 | 62,300 | 61,838 | — | (462) | ||||||
Chilean Peso, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | CLP | 71,668 | 92,000 | 94,708 | 2,708 | — | ||||||
Expiring 09/16/20 | Citibank, N.A. | CLP | 62,489 | 76,798 | 82,578 | 5,780 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | CLP | 58,235 | 76,000 | 76,957 | 957 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | CLP | 94,066 | 118,000 | 124,307 | 6,307 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | CLP | 52,042 | 68,000 | 68,772 | 772 | — |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Chilean Peso (cont’d.), | |||||||||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | CLP | 92,254 | $ 120,000 | $ 121,912 | $ 1,912 | $ — | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 08/07/20 | BNP Paribas S.A. | CNH | 1,237 | 176,000 | 176,838 | 838 | — | ||||||
Expiring 08/07/20 | BNP Paribas S.A. | CNH | 932 | 130,000 | 133,304 | 3,304 | — | ||||||
Expiring 08/07/20 | Citibank, N.A. | CNH | 1,756 | 247,000 | 251,036 | 4,036 | — | ||||||
Expiring 08/07/20 | Citibank, N.A. | CNH | 1,346 | 190,000 | 192,409 | 2,409 | — | ||||||
Expiring 08/07/20 | Citibank, N.A. | CNH | 1,282 | 181,000 | 183,371 | 2,371 | — | ||||||
Expiring 08/07/20 | Citibank, N.A. | CNH | 972 | 139,000 | 139,045 | 45 | — | ||||||
Expiring 08/07/20 | Citibank, N.A. | CNH | 517 | 72,485 | 73,958 | 1,473 | — | ||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 1,444 | 204,000 | 206,439 | 2,439 | — | ||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 1,099 | 155,000 | 157,201 | 2,201 | — | ||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 1,091 | 155,537 | 156,003 | 466 | — | ||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 1,080 | 152,000 | 154,483 | 2,483 | — | ||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 966 | 138,000 | 138,197 | 197 | — | ||||||
Expiring 08/07/20 | JPMorgan Chase Bank, N.A. | CNH | 1,082 | 153,004 | 154,726 | 1,722 | — | ||||||
Expiring 05/14/21 | Citibank, N.A. | CNH | 2,567 | 367,933 | 361,267 | — | (6,666) | ||||||
Colombian Peso, | |||||||||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | COP | 387,925 | 104,000 | 103,547 | — | (453) | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | COP | 206,048 | 55,000 | 54,999 | — | (1) | ||||||
Czech Koruna, | |||||||||||||
Expiring 10/19/20 | Barclays Bank PLC | CZK | 1,858 | 84,000 | 83,447 | — | (553) | ||||||
Expiring 10/19/20 | Citibank, N.A. | CZK | 1,539 | 69,000 | 69,102 | 102 | — | ||||||
Expiring 10/19/20 | Goldman Sachs International | CZK | 4,276 | 180,716 | 192,019 | 11,303 | — | ||||||
Expiring 10/19/20 | HSBC Bank USA, N.A. | CZK | 1,520 | 68,000 | 68,230 | 230 | — | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | CZK | 2,908 | 129,000 | 130,574 | 1,574 | — | ||||||
Expiring 10/19/20 | UBS AG | CZK | 1,535 | 69,000 | 68,919 | — | (81) | ||||||
Euro, | |||||||||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 193 | 218,852 | 227,995 | 9,143 | — | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 79 | 92,950 | 92,904 | — | (46) | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 64 | 72,820 | 75,365 | 2,545 | — | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 63 | 75,031 | 74,660 | — | (371) |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Hungarian Forint, | |||||||||||||
Expiring 10/19/20 | Barclays Bank PLC | HUF | 30,813 | $ 106,000 | $ 105,342 | $ — | $ (658) | ||||||
Expiring 10/19/20 | HSBC Bank USA, N.A. | HUF | 30,123 | 102,000 | 102,981 | 981 | — | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | HUF | 31,858 | 107,000 | 108,913 | 1,913 | — | ||||||
Expiring 10/19/20 | UBS AG | HUF | 19,678 | 67,000 | 67,274 | 274 | — | ||||||
Indian Rupee, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | INR | 5,831 | 76,479 | 77,413 | 934 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | INR | 9,039 | 119,000 | 120,007 | 1,007 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | INR | 11,125 | 147,000 | 147,707 | 707 | — | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | INR | 14,041 | 186,000 | 186,416 | 416 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 1,739,066 | 119,000 | 117,250 | — | (1,750) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 1,695,340 | 116,000 | 114,302 | — | (1,698) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 1,555,681 | 103,094 | 104,886 | 1,792 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 1,489,363 | 97,727 | 100,414 | 2,687 | — | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | IDR | 1,134,480 | 77,784 | 76,488 | — | (1,296) | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | IDR | 803,626 | 53,256 | 54,182 | 926 | — | ||||||
Expiring 09/16/20 | The Toronto-Dominion Bank | IDR | 2,110,180 | 139,673 | 142,271 | 2,598 | — | ||||||
Israeli Shekel, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | ILS | 414 | 121,720 | 121,722 | 2 | — | ||||||
Expiring 09/16/20 | Citibank, N.A. | ILS | 489 | 142,000 | 143,839 | 1,839 | — | ||||||
Expiring 09/16/20 | Goldman Sachs International | ILS | 477 | 140,000 | 140,173 | 173 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | ILS | 652 | 189,156 | 191,747 | 2,591 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 10/19/20 | Citibank, N.A. | JPY | 29,938 | 280,690 | 283,104 | 2,414 | — | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | JPY | 7,893 | 74,658 | 74,642 | — | (16) | ||||||
Mexican Peso, | |||||||||||||
Expiring 09/17/20 | HSBC Bank USA, N.A. | MXN | 3,191 | 144,593 | 142,480 | — | (2,113) | ||||||
Expiring 09/17/20 | JPMorgan Chase Bank, N.A. | MXN | 1,762 | 76,660 | 78,696 | 2,036 | — |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Mexican Peso (cont’d.), | |||||||||||||
Expiring 09/17/20 | JPMorgan Chase Bank, N.A. | MXN | 1,657 | $ 72,770 | $ 73,993 | $ 1,223 | $ — | ||||||
Expiring 09/17/20 | Morgan Stanley & Co. International PLC | MXN | 1,665 | 75,019 | 74,363 | — | (656) | ||||||
Expiring 09/17/20 | Morgan Stanley & Co. International PLC | MXN | 1,608 | 73,715 | 71,787 | — | (1,928) | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | TWD | 4,528 | 155,000 | 154,990 | — | (10) | ||||||
Expiring 09/16/20 | Credit Suisse International | TWD | 5,213 | 178,000 | 178,446 | 446 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TWD | 5,588 | 191,000 | 191,272 | 272 | — | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | TWD | 9,307 | 317,369 | 318,560 | 1,191 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | PEN | 336 | 96,033 | 95,119 | — | (914) | ||||||
Expiring 09/16/20 | Citibank, N.A. | PEN | 242 | 68,548 | 68,387 | — | (161) | ||||||
Expiring 09/16/20 | Goldman Sachs International | PEN | 256 | 74,800 | 72,431 | — | (2,369) | ||||||
Philippine Peso, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | PHP | 8,943 | 178,000 | 181,582 | 3,582 | — | ||||||
Expiring 09/16/20 | Goldman Sachs International | PHP | 10,070 | 200,000 | 204,464 | 4,464 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | PHP | 6,578 | 132,000 | 133,563 | 1,563 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 10/19/20 | Barclays Bank PLC | PLN | 290 | 76,260 | 77,413 | 1,153 | — | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | PLN | 756 | 190,263 | 201,879 | 11,616 | — | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | PLN | 240 | 64,050 | 64,010 | — | (40) | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | PLN | 236 | 63,000 | 63,102 | 102 | — | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | PLN | 181 | 47,740 | 48,466 | 726 | — | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | PLN | 371 | 98,000 | 99,084 | 1,084 | — | ||||||
Expiring 10/19/20 | UBS AG | PLN | 316 | 85,001 | 84,430 | — | (571) | ||||||
Russian Ruble, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | RUB | 6,185 | 88,384 | 82,840 | — | (5,544) | ||||||
Expiring 09/16/20 | Barclays Bank PLC | RUB | 2,604 | 37,363 | 34,877 | — | (2,486) | ||||||
Expiring 09/16/20 | Barclays Bank PLC | RUB | 2,434 | 34,933 | 32,604 | — | (2,329) |
Purchase
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Russian Ruble (cont’d.), | |||||||||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | RUB | 17,587 | $ 244,504 | $ 235,563 | $ — | $ (8,941) | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | RUB | 17,587 | 249,481 | 235,563 | — | (13,918) | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | RUB | 4,070 | 58,000 | 54,510 | — | (3,490) | ||||||
Singapore Dollar, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | SGD | 236 | 170,000 | 171,848 | 1,848 | — | ||||||
Expiring 09/16/20 | Credit Suisse International | SGD | 288 | 209,000 | 209,297 | 297 | — | ||||||
Expiring 09/16/20 | Credit Suisse International | SGD | 256 | 185,000 | 186,675 | 1,675 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | SGD | 757 | 545,173 | 551,138 | 5,965 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | SGD | 207 | 149,317 | 150,340 | 1,023 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | SGD | 202 | 145,000 | 146,691 | 1,691 | — | ||||||
South African Rand, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | ZAR | 1,474 | 89,000 | 85,788 | — | (3,212) | ||||||
Expiring 09/16/20 | Barclays Bank PLC | ZAR | 999 | 60,000 | 58,124 | — | (1,876) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | ZAR | 1,491 | 89,000 | 86,754 | — | (2,246) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | ZAR | 915 | 55,000 | 53,256 | — | (1,744) | ||||||
South Korean Won, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | KRW | 91,128 | 75,418 | 76,269 | 851 | — | ||||||
Expiring 09/16/20 | Credit Suisse International | KRW | 127,528 | 107,000 | 106,734 | — | (266) | ||||||
Expiring 09/16/20 | Credit Suisse International | KRW | 101,745 | 85,000 | 85,155 | 155 | — | ||||||
Expiring 09/16/20 | Goldman Sachs International | KRW | 207,263 | 173,000 | 173,468 | 468 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | KRW | 215,498 | 180,000 | 180,361 | 361 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | KRW | 193,118 | 160,000 | 161,630 | 1,630 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | KRW | 177,947 | 147,430 | 148,932 | 1,502 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | KRW | 158,700 | 133,000 | 132,823 | — | (177) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | KRW | 102,349 | 86,000 | 85,661 | — | (339) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | KRW | 177,066 | 147,430 | 148,196 | 766 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | KRW | 164,378 | 137,000 | 137,576 | 576 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | KRW | 105,300 | 88,239 | 88,131 | — | (108) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | KRW | 92,242 | 76,798 | 77,202 | 404 | — |
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 Korean Won (cont’d.), | |||||||||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | KRW | 91,970 | $ 77,157 | $ 76,975 | $ — | $ (182) | ||||||
Thai Baht, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | THB | 2,179 | 69,100 | 69,855 | 755 | — | ||||||
Expiring 09/16/20 | BNP Paribas S.A. | THB | 1,843 | 59,760 | 59,096 | — | (664) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | THB | 7,950 | 252,061 | 254,912 | 2,851 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | THB | 7,399 | 239,000 | 237,239 | — | (1,761) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | THB | 3,911 | 126,000 | 125,417 | — | (583) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | THB | 5,449 | 175,000 | 174,720 | — | (280) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | THB | 4,657 | 150,000 | 149,332 | — | (668) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | THB | 3,758 | 121,000 | 120,490 | — | (510) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | THB | 3,276 | 106,240 | 105,059 | — | (1,181) | ||||||
Turkish Lira, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 633 | 90,000 | 87,376 | — | (2,624) | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 605 | 86,000 | 83,510 | — | (2,490) | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 438 | 62,000 | 60,453 | — | (1,547) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TRY | 779 | 110,000 | 107,614 | — | (2,386) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TRY | 417 | 59,000 | 57,585 | — | (1,415) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TRY | 383 | 54,000 | 52,871 | — | (1,129) | ||||||
$15,830,709 | $15,892,538 | 149,254 | (87,425) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 10/20/20 | HSBC Bank USA, N.A. | AUD | 671 | $ 466,240 | $ 479,562 | $ — | $ (13,322) | ||||||
Brazilian Real, | |||||||||||||
Expiring 08/04/20 | Citibank, N.A. | BRL | 408 | 76,798 | 78,258 | — | (1,460) | ||||||
Expiring 08/04/20 | JPMorgan Chase Bank, N.A. | BRL | 407 | 76,593 | 78,082 | — | (1,489) | ||||||
Expiring 08/04/20 | Morgan Stanley & Co. International PLC | BRL | 1,244 | 236,760 | 238,504 | — | (1,744) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Brazilian Real (cont’d.), | |||||||||||||
Expiring 09/02/20 | Morgan Stanley & Co. International PLC | BRL | 661 | $ 125,716 | $ 126,557 | $ — | $ (841) | ||||||
Chilean Peso, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | CLP | 150,212 | 194,073 | 198,504 | — | (4,431) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | CLP | 509,931 | 625,760 | 673,868 | — | (48,108) | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | CLP | 116,608 | 142,000 | 154,095 | — | (12,095) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 1,556 | 222,000 | 222,430 | — | (430) | ||||||
Expiring 08/07/20 | HSBC Bank USA, N.A. | CNH | 1,223 | 174,000 | 174,903 | — | (903) | ||||||
Expiring 05/14/21 | JPMorgan Chase Bank, N.A. | CNH | 2,567 | 368,530 | 361,268 | 7,262 | — | ||||||
Colombian Peso, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | COP | 260,918 | 69,000 | 69,646 | — | (646) | ||||||
Expiring 09/16/20 | BNP Paribas S.A. | COP | 431,075 | 120,328 | 115,065 | 5,263 | — | ||||||
Expiring 09/16/20 | Citibank, N.A. | COP | 289,855 | 76,479 | 77,370 | — | (891) | ||||||
Expiring 09/16/20 | Goldman Sachs International | COP | 432,073 | 120,435 | 115,331 | 5,104 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | COP | 475,950 | 126,000 | 127,043 | — | (1,043) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | COP | 410,339 | 113,904 | 109,530 | 4,374 | — | ||||||
Euro, | |||||||||||||
Expiring 10/19/20 | Bank of America, N.A. | EUR | 19 | 22,311 | 22,694 | — | (383) | ||||||
Expiring 10/19/20 | BNP Paribas S.A. | EUR | 121 | 137,820 | 143,181 | — | (5,361) | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 77 | 87,630 | 90,438 | — | (2,808) | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 64 | 72,955 | 75,420 | — | (2,465) | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 26 | 30,127 | 31,051 | — | (924) | ||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | EUR | 26 | 29,287 | 30,155 | — | (868) | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | EUR | 118 | 134,005 | 139,785 | — | (5,780) | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | EUR | 118 | 139,120 | 139,694 | — | (574) | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | EUR | 99 | 116,589 | 117,068 | — | (479) | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | EUR | 87 | 102,211 | 102,242 | — | (31) |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Euro (cont’d.), | |||||||||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | EUR | 26 | $ 29,964 | $ 30,598 | $ — | $ (634) | ||||||
Expiring 10/19/20 | Morgan Stanley & Co. International PLC | EUR | 18 | 21,204 | 21,243 | — | (39) | ||||||
Expiring 11/03/20 | Morgan Stanley & Co. International PLC | EUR | 1,912 | 2,162,540 | 2,257,181 | — | (94,641) | ||||||
Hungarian Forint, | |||||||||||||
Expiring 10/19/20 | Citibank, N.A. | HUF | 14,664 | 46,840 | 50,131 | — | (3,291) | ||||||
Indian Rupee, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | INR | 11,732 | 154,000 | 155,764 | — | (1,764) | ||||||
Expiring 09/16/20 | Citibank, N.A. | INR | 10,469 | 137,000 | 138,990 | — | (1,990) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | INR | 9,828 | 128,000 | 130,492 | — | (2,492) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | INR | 15,253 | 198,000 | 202,512 | — | (4,512) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | INR | 13,558 | 178,000 | 180,007 | — | (2,007) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | INR | 13,372 | 174,000 | 177,542 | — | (3,542) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | INR | 9,060 | 118,000 | 120,290 | — | (2,290) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | INR | 8,551 | 112,000 | 113,534 | — | (1,534) | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | INR | 2,318 | 30,200 | 30,774 | — | (574) | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | IDR | 1,207,040 | 84,919 | 81,380 | 3,539 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | IDR | 1,711,000 | 116,000 | 115,358 | 642 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | IDR | 1,684,032 | 112,000 | 113,539 | — | (1,539) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | IDR | 1,675,654 | 113,000 | 112,975 | 25 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | IDR | 1,584,601 | 108,000 | 106,836 | 1,164 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | IDR | 1,290,819 | 87,000 | 87,029 | — | (29) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 1,890,304 | 128,000 | 127,447 | 553 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 983,250 | 69,000 | 66,292 | 2,708 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | IDR | 954,357 | 67,000 | 64,344 | 2,656 | — | ||||||
Israeli Shekel, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | ILS | 641 | 186,000 | 188,535 | — | (2,535) | ||||||
Expiring 09/16/20 | Citibank, N.A. | ILS | 486 | 141,000 | 142,919 | — | (1,919) | ||||||
Mexican Peso, | |||||||||||||
Expiring 09/17/20 | Barclays Bank PLC | MXN | 345 | 15,807 | 15,412 | 395 | — |
Sale
Contracts |
Counterparty | Notional
Amount (000) |
Value
at Settlement Date |
Current
Value |
Unrealized
Appreciation |
Unrealized
Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Mexican Peso (cont’d.), | |||||||||||||
Expiring 09/17/20 | JPMorgan Chase Bank, N.A. | MXN | 2,550 | $ 113,000 | $ 113,857 | $ — | $ (857) | ||||||
Expiring 09/17/20 | JPMorgan Chase Bank, N.A. | MXN | 1,680 | 75,030 | 75,017 | 13 | — | ||||||
Expiring 09/17/20 | Morgan Stanley & Co. International PLC | MXN | 1,763 | 76,798 | 78,719 | — | (1,921) | ||||||
Expiring 09/17/20 | Morgan Stanley & Co. International PLC | MXN | 1,698 | 72,770 | 75,818 | — | (3,048) | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | TWD | 5,297 | 182,000 | 181,322 | 678 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | TWD | 4,766 | 163,000 | 163,137 | — | (137) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TWD | 6,042 | 206,000 | 206,822 | — | (822) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TWD | 5,042 | 172,000 | 172,584 | — | (584) | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TWD | 4,551 | 156,000 | 155,784 | 216 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TWD | 4,310 | 147,000 | 147,516 | — | (516) | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 09/16/20 | BNP Paribas S.A. | PEN | 341 | 98,560 | 96,460 | 2,100 | — | ||||||
Expiring 09/16/20 | Citibank, N.A. | PEN | 494 | 141,000 | 139,649 | 1,351 | — | ||||||
Expiring 09/16/20 | Citibank, N.A. | PEN | 472 | 133,000 | 133,594 | — | (594) | ||||||
Expiring 09/16/20 | Citibank, N.A. | PEN | 465 | 134,000 | 131,601 | 2,399 | — | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | PEN | 384 | 109,000 | 108,667 | 333 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | PEN | 480 | 136,000 | 135,650 | 350 | — | ||||||
Philippine Peso, | |||||||||||||
Expiring 09/16/20 | BNP Paribas S.A. | PHP | 8,170 | 162,000 | 165,885 | — | (3,885) | ||||||
Expiring 09/16/20 | Citibank, N.A. | PHP | 7,272 | 144,677 | 147,662 | — | (2,985) | ||||||
Expiring 09/16/20 | Citibank, N.A. | PHP | 5,299 | 104,236 | 107,597 | — | (3,361) | ||||||
Expiring 09/16/20 | Citibank, N.A. | PHP | 2,898 | 57,763 | 58,843 | — | (1,080) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | PHP | 11,138 | 222,734 | 226,165 | — | (3,431) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | PHP | 5,664 | 111,713 | 115,014 | — | (3,301) | ||||||
Polish Zloty, | |||||||||||||
Expiring 10/19/20 | JPMorgan Chase Bank, N.A. | PLN | 365 | 93,000 | 97,634 | — | (4,634) | ||||||
Russian Ruble, | |||||||||||||
Expiring 09/16/20 | Barclays Bank PLC | RUB | 6,747 | 94,000 | 90,379 | 3,621 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | RUB | 5,162 | 72,770 | 69,142 | 3,628 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | RUB | 3,843 | 54,000 | 51,469 | 2,531 | — | ||||||
Expiring 09/16/20 | UBS AG | RUB | 3,565 | 51,000 | 47,750 | 3,250 | — |
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 09/16/20 | HSBC Bank USA, N.A. | SGD | 230 | $ 165,000 | $ 167,235 | $ — | $ (2,235) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | SGD | 227 | 163,000 | 165,245 | — | (2,245) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | SGD | 221 | 159,000 | 160,884 | — | (1,884) | ||||||
South African Rand, | |||||||||||||
Expiring 09/16/20 | Citibank, N.A. | ZAR | 6,714 | 394,702 | 390,739 | 3,963 | — | ||||||
Expiring 09/16/20 | Citibank, N.A. | ZAR | 888 | 52,000 | 51,708 | 292 | — | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | ZAR | 1,256 | 75,019 | 73,121 | 1,898 | — | ||||||
Expiring 09/16/20 | Morgan Stanley & Co. International PLC | ZAR | 727 | 41,976 | 42,320 | — | (344) | ||||||
South Korean Won, | |||||||||||||
Expiring 09/16/20 | Credit Suisse International | KRW | 149,766 | 124,000 | 125,346 | — | (1,346) | ||||||
Expiring 09/16/20 | Goldman Sachs International | KRW | 151,748 | 127,000 | 127,006 | — | (6) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | KRW | 126,247 | 105,351 | 105,663 | — | (312) | ||||||
Thai Baht, | |||||||||||||
Expiring 09/16/20 | Credit Suisse International | THB | 3,433 | 110,000 | 110,085 | — | (85) | ||||||
Expiring 09/16/20 | HSBC Bank USA, N.A. | THB | 3,609 | 116,000 | 115,725 | 275 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | THB | 829 | 26,610 | 26,568 | 42 | — | ||||||
Turkish Lira, | |||||||||||||
Expiring 08/12/20 | Barclays Bank PLC | TRY | 536 | 76,347 | 75,677 | 670 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 1,966 | 281,956 | 271,598 | 10,358 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 869 | 124,000 | 120,046 | 3,954 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 627 | 88,000 | 86,579 | 1,421 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 606 | 87,000 | 83,686 | 3,314 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 579 | 82,000 | 80,053 | 1,947 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 538 | 77,000 | 74,257 | 2,743 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 518 | 73,000 | 71,499 | 1,501 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 488 | 69,000 | 67,365 | 1,635 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 468 | 67,000 | 64,668 | 2,332 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 466 | 67,000 | 64,423 | 2,577 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 448 | 64,000 | 61,894 | 2,106 | — | ||||||
Expiring 09/16/20 | Barclays Bank PLC | TRY | 414 | 59,000 | 57,257 | 1,743 | — | ||||||
Expiring 09/16/20 | JPMorgan Chase Bank, N.A. | TRY | 820 | 117,651 | 113,265 | 4,386 | — | ||||||
$15,199,808 | $15,370,517 | 101,312 | (272,021) | ||||||||||
$250,566 | $(359,446) |
Cross currency exchange contracts outstanding at July 31, 2020: | ||||||||||||||
Settlement | Type | Notional
Amount (000) |
In
Exchange For (000) |
Unrealized
Appreciation |
Unrealized
Depreciation |
Counterparty | ||||||||
OTC Cross Currency Exchange Contracts: | ||||||||||||||
10/19/20 | Buy | CZK | 1,697 | EUR | 64 | $377 | $— | HSBC Bank USA, N.A. |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Value
at Trade Date |
Value
at July 31, 2020 |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
CDX.NA.HY.34.V7 | 06/20/25 | 5.000%(Q) | 5,255 | $186,067 | $(172,175) | $(358,242) |
(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. |
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating
Rate |
Value
at Trade Date |
Value
at July 31, 2020 |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
CNH | 3,800 | 05/11/25 | 1.900%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | $ (4) | $(16,625) | $(16,621) | |||||||
CNH | 3,700 | 05/29/25 | 2.020%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | 7 | (13,554) | (13,561) | |||||||
CNH | 1,500 | 07/24/25 | 2.525%(Q) | 7 Day China Fixing Repo Rates(2)(Q) | (6) | (618) | (612) | |||||||
MXN | 22,980 | 04/28/27 | 5.930%(M) | 28 Day Mexican Interbank Rate(2)(M) | 13,439 | 46,176 | 32,737 | |||||||
$13,436 | $ 15,379 | $ 1,943 |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |