Eaton Vance

Limited Duration Income Fund

June 30, 2019

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 48.8%⁽¹⁾

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.5%
Dynasty Acquisition Co., Inc.
Term Loan, 6.33%, (3 mo. USD LIBOR + 4.00%), Maturing April 6, 2026		553	$	555,820
IAP Worldwide Services, Inc.
Revolving Loan, 1.46%, (3 mo. USD LIBOR + 5.50%), Maturing July 18, 2019(2)		172		172,212
Term Loan - Second Lien, 8.83%, (3 mo. USD LIBOR + 6.50%), Maturing July 18, 2020(3)		226		181,416
TransDigm, Inc.
Term Loan, 4.83%, (3 mo. USD LIBOR + 2.50%), Maturing June 9, 2023		5,572		5,478,962
Term Loan, 4.83%, (3 mo. USD LIBOR + 2.50%), Maturing August 22, 2024		1,385		1,357,536
Wesco Aircraft Hardware Corp.
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.00%), Maturing November 30, 2020		992		986,916
WP CPP Holdings, LLC
Term Loan, 6.34%, (3 mo. USD LIBOR + 3.75%), Maturing April 30, 2025		546		546,103
			$	9,278,965
Automotive — 1.4%
Adient US, LLC
Term Loan, 6.87%, (USD LIBOR + 4.25%), Maturing May 6, 2024(4)		725	$	708,537
American Axle and Manufacturing, Inc.
Term Loan, 4.72%, (USD LIBOR + 2.25%), Maturing April 6, 2024(4)		3,477		3,408,457
Apro, LLC
Term Loan, 6.41%, (1 mo. USD LIBOR + 4.00%), Maturing August 8, 2024		289		289,612
Belron Finance US, LLC
Term Loan, 5.07%, (3 mo. USD LIBOR + 2.50%), Maturing November 7, 2024		591		591,362
Chassix, Inc.
Term Loan, 8.06%, (USD LIBOR + 5.50%), Maturing November 15, 2023(4)		1,478		1,479,347
Dayco Products, LLC
Term Loan, 6.77%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023		1,175		1,144,515
Garrett LX III S.a.r.l.
Term Loan, 4.82%, (3 mo. USD LIBOR + 2.50%), Maturing September 27, 2025		298		293,466
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing March 7, 2025		2,258		2,224,458
IAA Spinco, Inc.
Term Loan, Maturing May 22, 2026(5)		600		603,000
L&W, Inc.
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing May 22, 2025		842		824,670
Panther BF Aggregator 2 L.P.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing April 30, 2026		3,700		3,674,100
Tenneco, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		3,756		3,474,416
Thor Industries, Inc.
Term Loan, 6.25%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026		1,374		1,357,081

1

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
TI Group Automotive Systems, LLC
Term Loan, 3.50%, (3 mo. EURIBOR + 2.75%, Floor 0.75%), Maturing June 30, 2022	EUR	914	$	1,039,086
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing June 30, 2022		1,065		1,057,112
Tower Automotive Holdings USA, LLC
Term Loan, 5.19%, (1 mo. USD LIBOR + 2.75%), Maturing March 7, 2024		1,528		1,496,932
			$	23,666,151
Beverage and Tobacco — 0.3%
Arterra Wines Canada, Inc.
Term Loan, 5.17%, (3 mo. USD LIBOR + 2.75%), Maturing December 15, 2023		2,905	$	2,883,464
Flavors Holdings, Inc.
Term Loan, 8.08%, (3 mo. USD LIBOR + 5.75%), Maturing April 3, 2020		760		714,165
Term Loan - Second Lien, 12.33%, (3 mo. USD LIBOR + 10.00%), Maturing October 3, 2021		1,000		825,000
			$	4,422,629
Brokerage/Securities Dealers/Investment Houses — 0.0%(6)
Advisor Group, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing August 15, 2025		596	$	596,059
OZ Management L.P.
Term Loan, 7.19%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023		154		154,000
			$	750,059
Building and Development — 1.5%
American Builders & Contractors Supply Co., Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing October 31, 2023		2,981	$	2,942,477
Beacon Roofing Supply, Inc.
Term Loan, 4.66%, (1 mo. USD LIBOR + 2.25%), Maturing January 2, 2025		642		635,274
Brookfield Property REIT, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025		1,017		995,412
Core & Main L.P.
Term Loan, 5.52%, (3 mo. USD LIBOR + 3.00%), Maturing August 1, 2024		1,187		1,186,013
CPG International, Inc.
Term Loan, 5.93%, (6 mo. USD LIBOR + 3.75%), Maturing May 5, 2024		1,703		1,676,336
DTZ U.S. Borrower, LLC
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing August 21, 2025		5,856		5,846,205
Henry Company, LLC
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing October 5, 2023		2,316		2,315,046
NCI Building Systems, Inc.
Term Loan, 6.35%, (3 mo. USD LIBOR + 3.75%), Maturing April 12, 2025		794		774,135
Quikrete Holdings, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing November 15, 2023		3,005		2,957,623
RE/MAX International, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing December 15, 2023		2,228		2,225,009
Realogy Group, LLC
Term Loan, 4.63%, (1 mo. USD LIBOR + 2.25%), Maturing February 8, 2025		908		863,275
Summit Materials Companies I, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing November 21, 2024		690		686,914
Werner FinCo L.P.
Term Loan, 6.33%, (3 mo. USD LIBOR + 4.00%), Maturing July 24, 2024		1,032		992,301

2

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
WireCo WorldGroup, Inc.
Term Loan, 7.40%, (1 mo. USD LIBOR + 5.00%), Maturing September 30, 2023		681	$	682,664
Term Loan - Second Lien, 11.40%, (1 mo. USD LIBOR + 9.00%), Maturing September 30, 2024		1,425		1,424,109
			$	26,202,793
Business Equipment and Services — 4.4%
Acosta Holdco, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing September 26, 2021		1,545	$	576,192
Adtalem Global Education, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing April 11, 2025		421		420,881
AlixPartners, LLP
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), Maturing April 4, 2024	EUR	773		880,698
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing April 4, 2024		2,496		2,493,852
Allied Universal Holdco, LLC
Term Loan, Maturing June 26, 2026(5)		137		137,244
Term Loan, Maturing June 26, 2026(5)		1,388		1,386,167
Altran Technologies S.A.
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing March 20, 2025	EUR	1,541		1,759,478
AppLovin Corporation
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025		2,290		2,287,383
ASGN Incorporated
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing April 2, 2025		503		502,556
Belfor Holdings, Inc.
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing April 6, 2026		475		478,563
Blitz F18-675 GmbH
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 31, 2025	EUR	1,675		1,921,070
Bracket Intermediate Holding Corp.
Term Loan, 6.82%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025		943		940,518
Brand Energy & Infrastructure Services, Inc.
Term Loan, 6.79%, (USD LIBOR + 4.25%), Maturing June 21, 2024(4)		588		571,536
Camelot UK Holdco Limited
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing October 3, 2023		1,304		1,308,065
Ceridian HCM Holding, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing April 30, 2025		1,538		1,543,173
Change Healthcare Holdings, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing March 1, 2024		7,397		7,348,920
Crossmark Holdings, Inc.
DIP Loan, 9.90%, (1 mo. USD LIBOR + 7.50%), Maturing July 15, 2019		167		166,646
Term Loan, 0.00%, Maturing December 20, 2019(7)		1,958		695,236
Cypress Intermediate Holdings III, Inc.
Term Loan, 5.16%, (1 mo. USD LIBOR + 2.75%), Maturing April 26, 2024		1,421		1,405,724
EAB Global, Inc.
Term Loan, 6.38%, (USD LIBOR + 3.75%), Maturing November 15, 2024(4)		1,407		1,399,272
Education Management, LLC
Term Loan, 0.00%, Maturing July 2, 2020(3)(7)		568		0
Term Loan, 0.00%, Maturing July 2, 2020(3)(7)		710		134,060
EIG Investors Corp.
Term Loan, 6.27%, (3 mo. USD LIBOR + 3.75%), Maturing February 9, 2023		3,365		3,346,559
Element Materials Technology Group US Holdings, Inc.
Term Loan, 6.15%, (3 mo. USD LIBOR + 3.50%), Maturing June 28, 2024		419		417,753
First Data Corporation
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing July 8, 2022		2,731		2,730,513

3

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Garda World Security Corporation
Term Loan, 6.03%, (3 mo. USD LIBOR + 3.50%), Maturing May 24, 2024		2,161	$	2,149,668
Term Loan, 6.26%, (CIDOR + 4.25%), Maturing May 24, 2024	CAD	1,005		759,387
Global Payments, Inc.
Term Loan, 4.15%, (1 mo. USD LIBOR + 1.75%), Maturing April 21, 2023		1,039		1,039,877
IG Investment Holdings, LLC
Term Loan, 6.37%, (USD LIBOR + 4.00%), Maturing May 23, 2025(4)		2,925		2,903,301
IRI Holdings, Inc.
Term Loan, 7.02%, (3 mo. USD LIBOR + 4.50%), Maturing December 1, 2025		1,617		1,615,864
Iron Mountain, Inc.
Term Loan, 4.15%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026		913		888,889
J.D. Power and Associates
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing September 7, 2023		1,169		1,166,474
KAR Auction Services, Inc.
Term Loan, 4.63%, (3 mo. USD LIBOR + 2.25%), Maturing March 11, 2021		572		572,138
Kronos Incorporated
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2023		6,835		6,827,268
KUEHG Corp.
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.75%), Maturing February 21, 2025		2,306		2,302,304
Term Loan - Second Lien, 10.58%, (3 mo. USD LIBOR + 8.25%), Maturing August 18, 2025		425		424,469
Monitronics International, Inc.
Term Loan, 10.00%, (USD Prime + 4.50%), Maturing September 30, 2022		2,392		2,285,840
PGX Holdings, Inc.
Term Loan, 7.66%, (1 mo. USD LIBOR + 5.25%), Maturing September 29, 2020		1,482		1,408,317
Ping Identity Corporation
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing January 24, 2025		371		370,786
Pre-Paid Legal Services, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2025		458		457,500
Prime Security Services Borrower, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing May 2, 2022		1,728		1,718,721
Red Ventures, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing November 8, 2024		1,550		1,548,541
SMG US Midco 2, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing January 23, 2025		247		245,718
Solera, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing March 3, 2023		862		857,931
Spin Holdco, Inc.
Term Loan, 5.85%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2022		3,887		3,819,103
Tempo Acquisition, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024		980		976,937
Trans Union, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing April 10, 2023		266		266,436
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing June 19, 2025		446		445,082
Vestcom Parent Holdings, Inc.
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing December 19, 2023		603		575,442
WASH Multifamily Laundry Systems, LLC
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing May 14, 2022		306		305,391
West Corporation
Term Loan, 6.02%, (3 mo. USD LIBOR + 3.50%), Maturing October 10, 2024		347		319,863
Term Loan, 6.52%, (3 mo. USD LIBOR + 4.00%), Maturing October 10, 2024		1,207		1,127,943

4

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Worldpay, LLC
Term Loan, 4.14%, (USD LIBOR + 1.75%), Maturing August 9, 2024(4)		926	$	926,466
ZPG PLC
Term Loan, 5.22%, (1 mo. GBP LIBOR + 4.50%), Maturing June 30, 2025	GBP	775		969,294
			$	74,127,009
Cable and Satellite Television — 2.4%
Charter Communications Operating, LLC
Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), Maturing April 30, 2025		4,986	$	4,985,496
CSC Holdings, LLC
Term Loan, 4.64%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025		3,984		3,928,756
Term Loan, 4.64%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026		1,072		1,058,015
Term Loan, 4.89%, (1 mo. USD LIBOR + 2.50%), Maturing January 25, 2026		1,361		1,347,801
MCC Iowa, LLC
Term Loan, 4.39%, (1 week USD LIBOR + 2.00%), Maturing January 15, 2025		1,082		1,081,396
Mediacom Illinois, LLC
Term Loan, 4.14%, (1 week USD LIBOR + 1.75%), Maturing February 15, 2024		623		619,608
Numericable Group S.A.
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing July 31, 2025	EUR	515		567,182
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025		2,107		2,012,185
Radiate Holdco, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024		2,136		2,091,057
Telenet Financing USD, LLC
Term Loan, 4.64%, (1 mo. USD LIBOR + 2.25%), Maturing August 15, 2026		2,725		2,699,736
Unitymedia Finance, LLC
Term Loan, 4.64%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026		1,050		1,048,228
Unitymedia Hessen GmbH & Co. KG
Term Loan, 2.75%, (6 mo. EURIBOR + 2.75%), Maturing January 15, 2027	EUR	1,000		1,138,521
UPC Financing Partnership
Term Loan, 4.89%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026		2,332		2,331,655
Virgin Media Bristol, LLC
Term Loan, 4.89%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026		8,050		8,030,994
Ziggo Secured Finance B.V.
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing April 15, 2025	EUR	2,625		2,983,530
Ziggo Secured Finance Partnership
Term Loan, 4.89%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2025		4,150		4,072,474
			$	39,996,634
Chemicals and Plastics — 2.7%
Alpha 3 B.V.
Term Loan, 5.33%, (3 mo. USD LIBOR + 3.00%), Maturing January 31, 2024		681	$	667,633
Aruba Investments, Inc.
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.25%), Maturing February 2, 2022		362		359,982
Ashland, LLC
Term Loan, 4.15%, (1 mo. USD LIBOR + 1.75%), Maturing May 17, 2024		613		611,925
Axalta Coating Systems US Holdings, Inc.
Term Loan, 4.08%, (3 mo. USD LIBOR + 1.75%), Maturing June 1, 2024		2,823		2,795,213
Emerald Performance Materials, LLC
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2021		639		637,312
Term Loan - Second Lien, 10.15%, (1 mo. USD LIBOR + 7.75%), Maturing August 1, 2022		725		712,916
Ferro Corporation
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		342		339,558

5

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		349	$	346,940
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		489		485,452
Flint Group GmbH
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021		189		158,431
Flint Group US, LLC
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021		1,144		958,376
Gemini HDPE, LLC
Term Loan, 5.09%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024		1,926		1,921,716
H.B. Fuller Company
Term Loan, 4.38%, (1 mo. USD LIBOR + 2.00%), Maturing October 20, 2024		1,982		1,952,619
Hexion, Inc.
DIP Loan, 5.35%, (3 mo. USD LIBOR + 2.75%), Maturing October 1, 2020		375		375,464
Term Loan, Maturing June 25, 2026(5)		775		767,250
Term Loan, Maturing June 25, 2026(5)	EUR	1,575		1,792,052
Ineos Finance PLC
Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing March 31, 2024	EUR	3,251		3,684,594
Ineos US Finance, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing March 31, 2024		1,576		1,558,598
Invictus U.S., LLC
Term Loan, 5.52%, (3 mo. USD LIBOR + 3.00%), Maturing March 28, 2025		518		515,198
Kraton Polymers, LLC
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing March 5, 2025		1,158		1,156,485
Messer Industries GmbH
Term Loan, 4.83%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026		1,621		1,599,663
Minerals Technologies, Inc.
Term Loan, 4.65%, (USD LIBOR + 2.25%), Maturing February 14, 2024(4)		1,107		1,107,212
Momentive Performance Materials, Inc.
Term Loan, 5.59%, (3 mo. USD LIBOR + 3.25%), Maturing April 16, 2024		475		472,328
Orion Engineered Carbons GmbH
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing July 25, 2024	EUR	973		1,107,962
Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), Maturing July 25, 2024		713		709,100
Platform Specialty Products Corporation
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing January 30, 2026		672		670,646
PMHC II, Inc.
Term Loan, 6.10%, (USD LIBOR + 3.50%), Maturing March 31, 2025(4)		395		361,425
Polar US Borrower, LLC
Term Loan, 7.34%, (3 mo. USD LIBOR + 4.75%), Maturing October 15, 2025		970		959,187
PQ Corporation
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.50%), Maturing February 8, 2025		2,127		2,120,247
Spectrum Holdings III Corp.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2025		359		338,782
Starfruit Finco B.V.
Term Loan, 5.67%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		3,042		3,001,796
Tata Chemicals North America, Inc.
Term Loan, 5.13%, (3 mo. USD LIBOR + 2.75%), Maturing August 7, 2020		1,019		1,017,940
Trinseo Materials Operating S.C.A.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing September 6, 2024		2,792		2,765,738
Tronox Finance, LLC
Term Loan, 5.37%, (USD LIBOR + 3.00%), Maturing September 23, 2024(4)		3,377		3,346,279
Univar, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing July 1, 2024		2,376		2,372,579

6

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Venator Materials Corporation
Term Loan, 5.52%, (3 mo. USD LIBOR + 3.00%), Maturing August 8, 2024		418	$	412,865
Versum Materials, Inc.
Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), Maturing September 29, 2023		705		705,282
			$	44,866,745
Conglomerates — 0.0%(6)
Penn Engineering & Manufacturing Corp.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2024		262	$	261,715
			$	261,715
Containers and Glass Products — 1.5%
Berlin Packaging, LLC
Term Loan, 5.43%, (USD LIBOR + 3.00%), Maturing November 7, 2025(4)		248	$	240,926
Berry Global, Inc.
Term Loan, 4.41%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2022		961		955,426
Term Loan, Maturing May 15, 2026(5)	EUR	300		342,232
Term Loan, Maturing May 15, 2026(5)		1,000		994,773
BWAY Holding Company
Term Loan, 5.85%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024		2,584		2,500,447
Consolidated Container Company, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024		442		436,615
Flex Acquisition Company, Inc.
Term Loan, 5.44%, (1 mo. USD LIBOR + 3.00%), Maturing December 29, 2023		2,234		2,128,679
Term Loan, 5.69%, (1 mo. USD LIBOR + 3.25%), Maturing June 29, 2025		1,525		1,452,296
Libbey Glass, Inc.
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.00%), Maturing April 9, 2021		975		775,754
Pelican Products, Inc.
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing May 1, 2025		644		633,848
Reynolds Group Holdings, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2023		9,864		9,804,202
Ring Container Technologies Group, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing October 31, 2024		903		894,271
Trident TPI Holdings, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing October 17, 2024		838		795,512
Verallia Packaging S.A.S.
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing October 29, 2022	EUR	1,575		1,792,211
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing August 1, 2025	EUR	1,500		1,707,567
			$	25,454,759
Cosmetics/Toiletries — 0.1%
KIK Custom Products, Inc.
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing May 15, 2023		2,115	$	2,003,817
			$	2,003,817
Drugs — 1.8%
Alkermes, Inc.
Term Loan, 4.67%, (1 mo. USD LIBOR + 2.25%), Maturing March 23, 2023		1,124	$	1,120,331
Amneal Pharmaceuticals, LLC
Term Loan, 5.94%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025		3,712		3,694,590
Arbor Pharmaceuticals, Inc.
Term Loan, 7.33%, (3 mo. USD LIBOR + 5.00%), Maturing July 5, 2023		2,325		2,176,143

7

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Bausch Health Companies, Inc.
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025		5,901	$	5,904,758
Catalent Pharma Solutions, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing May 18, 2026		848		848,928
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 6.69%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024		5,317		5,000,833
Horizon Pharma, Inc.
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing May 22, 2026		810		810,863
Jaguar Holding Company II
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing August 18, 2022		6,346		6,315,742
Mallinckrodt International Finance S.A.
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024		3,705		3,340,180
Term Loan, 5.53%, (3 mo. USD LIBOR + 3.00%), Maturing February 24, 2025		624		562,177
			$	29,774,545
Ecological Services and Equipment — 0.4%
Advanced Disposal Services, Inc.
Term Loan, 4.64%, (1 week USD LIBOR + 2.25%), Maturing November 10, 2023		2,346	$	2,346,162
EnergySolutions, LLC
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.75%), Maturing May 9, 2025		1,287		1,229,085
GFL Environmental, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing May 30, 2025		2,550		2,511,069
Patriot Container Corp.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing March 20, 2025		148		148,495
			$	6,234,811
Electronics/Electrical — 5.8%
Almonde, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing June 13, 2024		2,801	$	2,734,874
Applied Systems, Inc.
Term Loan, 5.33%, (3 mo. USD LIBOR + 3.00%), Maturing September 19, 2024		3,101		3,080,975
Aptean, Inc.
Term Loan, 6.58%, (3 mo. USD LIBOR + 4.25%), Maturing April 23, 2026		549		548,282
Term Loan - Second Lien, 10.83%, (3 mo. USD LIBOR + 8.50%), Maturing April 23, 2027		1,450		1,435,500
Avast Software B.V.
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.25%), Maturing September 30, 2023		842		841,554
Barracuda Networks, Inc.
Term Loan, 5.77%, (3 mo. USD LIBOR + 3.25%), Maturing February 12, 2025		970		970,158
Blackhawk Network Holdings, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing June 15, 2025		842		836,616
BMC Software Finance, Inc.
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing October 2, 2025	EUR	299		333,166
Banff Merger Sub, Inc.
Term Loan, 6.58%, (3 mo. USD LIBOR + 4.25%), Maturing October 2, 2025		3,010		2,861,262
Canyon Valor Companies, Inc.
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing June 16, 2023		1,707		1,696,214
Carbonite, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing March 26, 2026		450		451,781
Celestica, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing June 27, 2025		373		365,663
Cohu, Inc.
Term Loan, 5.20%, (6 mo. USD LIBOR + 3.00%), Maturing September 20, 2025		819		792,201

8

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
CommScope, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026		1,825	$	1,825,228
CPI International, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing July 26, 2024		712		706,970
Cypress Semiconductor Corporation
Term Loan, 4.41%, (1 mo. USD LIBOR + 2.00%), Maturing July 5, 2021		1,168		1,168,629
Datto, Inc.
Term Loan, 6.58%, (3 mo. USD LIBOR + 4.25%), Maturing April 2, 2026		375		378,750
DigiCert, Inc.
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing October 31, 2024		1,188		1,186,166
Electro Rent Corporation
Term Loan, 7.58%, (3 mo. USD LIBOR + 5.00%), Maturing January 31, 2024		1,438		1,444,417
Energizer Holdings, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 2.25%), Maturing December 17, 2025		574		572,487
Epicor Software Corporation
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing June 1, 2022		222		220,325
Exact Merger Sub, LLC
Term Loan, 6.58%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024		663		663,188
EXC Holdings III Corp.
Term Loan, 5.83%, (3 mo. USD LIBOR + 3.50%), Maturing December 2, 2024		517		516,789
Financial & Risk US Holdings, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing October 1, 2025		1,219		1,184,051
Flexera Software, LLC
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing February 26, 2025		272		270,945
GlobalLogic Holdings, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing August 1, 2025		456		455,645
Go Daddy Operating Company, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing February 15, 2024		4,709		4,714,592
Hyland Software, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing July 1, 2024		4,937		4,927,454
Infoblox, Inc.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023		1,007		1,008,653
Infor (US), Inc.
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing February 1, 2022		8,910		8,890,028
Informatica, LLC
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing August 5, 2022	EUR	345		394,435
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing August 5, 2022		3,674		3,680,870
MA FinanceCo., LLC
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing November 19, 2021		4,336		4,299,018
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024		533		524,028
MACOM Technology Solutions Holdings, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing May 17, 2024		1,473		1,326,899
Microchip Technology Incorporated
Term Loan, 4.41%, (1 mo. USD LIBOR + 2.00%), Maturing May 29, 2025		1,567		1,561,480
Mirion Technologies, Inc.
Term Loan, 6.33%, (3 mo. USD LIBOR + 4.00%), Maturing March 6, 2026		399		400,642
MKS Instruments, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing February 2, 2026		374		374,857
MTS Systems Corporation
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023		1,349		1,349,447
Prometric Holdings, Inc.
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.00%), Maturing January 29, 2025		321		318,940

9

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Renaissance Holding Corp.
Term Loan, 5.73%, (2 mo. USD LIBOR + 3.25%), Maturing May 30, 2025		1,287	$	1,251,607
Term Loan - Second Lien, 9.48%, (2 mo. USD LIBOR + 7.00%), Maturing May 29, 2026		200		191,500
Seattle Spinco, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024		3,602		3,538,888
SGS Cayman L.P.
Term Loan, 7.70%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021		252		249,436
SkillSoft Corporation
Term Loan, 7.15%, (1 mo. USD LIBOR + 4.75%), Maturing April 28, 2021		5,005		4,342,181
SolarWinds Holdings, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024		1,182		1,177,075
SS&C Technologies Holdings Europe S.a.r.l.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing April 16, 2025		1,306		1,302,727
SS&C Technologies, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing April 16, 2025		1,905		1,899,599
SurveyMonkey, Inc.
Term Loan, 6.14%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025		728		725,104
Sutherland Global Services, Inc.
Term Loan, 7.70%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021		1,082		1,071,563
Switch, Ltd.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing June 27, 2024		270		268,405
Tibco Software, Inc.
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing December 4, 2020		612		613,325
Term Loan, Maturing June 11, 2026(5)		700		701,896
TriTech Software Systems
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing August 29, 2025		896		886,266
TTM Technologies, Inc.
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2024		297		294,659
Uber Technologies
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023		3,550		3,549,256
Term Loan, 6.41%, (1 mo. USD LIBOR + 4.00%), Maturing April 4, 2025		3,069		3,074,754
Ultimate Software Group, Inc. (The)
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.75%), Maturing May 4, 2026		1,725		1,729,959
Ultra Clean Holdings, Inc.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		905		859,792
Verifone Systems, Inc.
Term Loan, 6.45%, (2 mo. USD LIBOR + 4.00%), Maturing August 20, 2025		275		269,500
Term Loan, 6.52%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025		995		967,638
Veritas Bermuda, Ltd.
Term Loan, 6.89%, (USD LIBOR + 4.50%), Maturing January 27, 2023(4)		2,679		2,437,741
Vero Parent, Inc.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing August 16, 2024		2,604		2,598,400
Wall Street Systems Delaware, Inc.
Term Loan, 5.65%, (6 mo. USD LIBOR + 3.00%), Maturing November 21, 2024		749		728,336
Western Digital Corporation
Term Loan, 4.15%, (1 mo. USD LIBOR + 1.75%), Maturing April 29, 2023		2,198		2,154,813
			$	98,197,599
Equipment Leasing — 0.5%
Avolon TLB Borrower 1 (US), LLC
Term Loan, 4.13%, (1 mo. USD LIBOR + 1.75%), Maturing January 15, 2025		1,169	$	1,168,548
Delos Finance S.a.r.l.
Term Loan, 4.08%, (3 mo. USD LIBOR + 1.75%), Maturing October 6, 2023		2,729		2,730,305

10

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Flying Fortress, Inc.
Term Loan, 4.08%, (3 mo. USD LIBOR + 1.75%), Maturing October 30, 2022		4,712	$	4,714,192
IBC Capital Limited
Term Loan, 6.15%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023		617		616,673
			$	9,229,718
Financial Intermediaries — 1.6%
Apollo Commercial Real Estate Finance, Inc.
Term Loan, 5.14%, (1 mo. USD LIBOR + 2.75%), Maturing May 15, 2026		450	$	447,176
Aretec Group, Inc.
Term Loan, 6.65%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025		1,394		1,367,740
Blackstone Mortgage Trust, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing April 23, 2026		400		402,000
Citco Funding, LLC
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2023		3,986		3,983,102
Clipper Acquisitions Corp.
Term Loan, 4.18%, (1 mo. USD LIBOR + 1.75%), Maturing December 27, 2024		1,256		1,243,316
Ditech Holding Corporation
Term Loan, 0.00%, Maturing June 30, 2022(7)		4,058		1,481,122
Donnelley Financial Solutions, Inc.
Term Loan, 5.41%, (1 mo. USD LIBOR + 3.00%), Maturing October 2, 2023		440		438,803
EIG Management Company, LLC
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing February 22, 2025		272		272,581
Evergood 4 ApS
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing February 6, 2025	EUR	750		857,556
FinCo. I, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing December 27, 2022		955		955,760
Focus Financial Partners, LLC
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing July 3, 2024		1,955		1,955,555
Franklin Square Holdings L.P.
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing August 1, 2025		546		547,240
Greenhill & Co., Inc.
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024		1,225		1,222,958
GreenSky Holdings, LLC
Term Loan, 5.69%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025		1,531		1,528,712
Guggenheim Partners, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023		2,730		2,737,207
Harbourvest Partners, LLC
Term Loan, 4.75%, (2 mo. USD LIBOR + 2.25%), Maturing March 1, 2025		1,136		1,131,717
LPL Holdings, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing September 23, 2024		1,568		1,566,599
MIP Delaware, LLC
Term Loan, 5.33%, (3 mo. USD LIBOR + 3.00%), Maturing March 9, 2020		113		112,928
Ocwen Loan Servicing, LLC
Term Loan, 7.40%, (1 mo. USD LIBOR + 5.00%), Maturing December 4, 2020		316		316,173
Sesac Holdco II, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing February 23, 2024		635		623,727
StepStone Group L.P.
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing March 14, 2025		642		644,282
Victory Capital Holdings, Inc.
Term Loan, 7.25%, (USD Prime + 1.75%), Maturing February 12, 2025		292		291,849
Term Loan, Maturing July 1, 2026(5)		1,450		1,453,625

11

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Virtus Investment Partners, Inc.
Term Loan, 4.75%, (3 mo. USD LIBOR + 2.25%), Maturing June 1, 2024		670	$	669,178
Walker & Dunlop, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing November 7, 2025		871		870,625
			$	27,121,531
Food Products — 1.4%
Alphabet Holding Company, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024		2,628	$	2,487,742
Badger Buyer Corp.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing September 30, 2024		393		377,280
CHG PPC Parent, LLC
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing March 31, 2025		495		492,210
Del Monte Foods, Inc.
Term Loan, 5.78%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021		3,749		2,668,737
Dole Food Company, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing April 6, 2024		1,900		1,858,675
Froneri International, Ltd.
Term Loan, 2.38%, (6 mo. EURIBOR + 2.38%), Maturing January 31, 2025	EUR	3,075		3,493,086
Hearthside Food Solutions, LLC
Term Loan, 6.09%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025		767		750,707
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025		473		468,490
High Liner Foods Incorporated
Term Loan, 5.82%, (3 mo. USD LIBOR + 3.25%), Maturing April 24, 2021		964		910,984
HLF Financing S.a.r.l.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing August 18, 2025		1,092		1,092,432
Jacobs Douwe Egberts International B.V.
Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing November 1, 2025	EUR	421		481,797
Term Loan, 4.50%, (1 mo. USD LIBOR + 2.00%), Maturing November 1, 2025		1,787		1,785,477
JBS USA Lux S.A.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing May 1, 2026		4,763		4,760,748
Nomad Foods Europe Midco Limited
Term Loan, 4.64%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024		1,305		1,291,812
Post Holdings, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing May 24, 2024		1,116		1,112,364
Restaurant Technologies, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		224		223,735
			$	24,256,276
Food Service — 1.0%
1011778 B.C. Unlimited Liability Company
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing February 16, 2024		7,480	$	7,439,516
Aramark Services, Inc.
Term Loan, 4.08%, (3 mo. USD LIBOR + 1.75%), Maturing March 11, 2025		933		931,201
Del Frisco’s Restaurant Group, Inc.
Term Loan, 8.44%, (1 mo. USD LIBOR + 6.00%), Maturing June 27, 2025		644		645,109
Dhanani Group, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing July 20, 2025		644		622,586
IRB Holding Corp.
Term Loan, 5.64%, (1 mo. USD LIBOR + 3.25%), Maturing February 5, 2025		2,005		1,985,426
KFC Holding Co.
Term Loan, 4.13%, (1 mo. USD LIBOR + 1.75%), Maturing April 3, 2025		1,167		1,166,642

12

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
NPC International, Inc.
Term Loan, 5.94%, (1 mo. USD LIBOR + 3.50%), Maturing April 19, 2024		983	$	795,825
US Foods, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing June 27, 2023		864		859,394
Welbilt, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing October 23, 2025		1,767		1,744,792
			$	16,190,491
Food/Drug Retailers — 0.4%
Albertsons, LLC
Term Loan, 5.31%, (3 mo. USD LIBOR + 3.00%), Maturing December 21, 2022		683	$	683,617
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing June 22, 2023		3,201		3,202,972
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing November 17, 2025		2,650		2,640,822
Diplomat Pharmacy, Inc.
Term Loan, 6.91%, (1 mo. USD LIBOR + 4.50%), Maturing December 20, 2024		500		460,000
			$	6,987,411
Health Care — 4.4%
Acadia Healthcare Company, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing February 11, 2022		280	$	279,041
Accelerated Health Systems, LLC
Term Loan, 5.92%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025		572		575,701
ADMI Corp.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing April 30, 2025		1,832		1,806,317
Akorn, Inc.
Term Loan, 9.44%, (1 mo. USD LIBOR + 7.00%), Maturing April 16, 2021		1,135		1,070,012
Alliance Healthcare Services, Inc.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing October 24, 2023		842		812,711
Term Loan - Second Lien, 12.40%, (1 mo. USD LIBOR + 10.00%), Maturing April 24, 2024		525		521,062
Argon Medical Devices, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing January 23, 2025		420		419,818
athenahealth, Inc.
Term Loan, 7.05%, (3 mo. USD LIBOR + 4.50%), Maturing February 11, 2026		1,970		1,969,448
Avantor, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing November 21, 2024		1,287		1,290,870
BioClinica, Inc.
Term Loan, 6.81%, (3 mo. USD LIBOR + 4.25%), Maturing October 20, 2023		780		737,100
BW NHHC Holdco, Inc.
Term Loan, 7.40%, (1 mo. USD LIBOR + 5.00%), Maturing May 15, 2025		1,064		993,078
Carestream Dental Equipment, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing September 1, 2024		418		411,647
CHG Healthcare Services, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing June 7, 2023		3,719		3,706,004
Concentra, Inc.
Term Loan, 5.21%, (3 mo. USD LIBOR + 2.75%), Maturing June 1, 2022		894		896,249
Convatec, Inc.
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.25%), Maturing October 31, 2023		683		682,500
CPI Holdco, LLC
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.50%), Maturing March 21, 2024		906		906,046
CryoLife, Inc.
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2024		542		543,556

13

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
CTC AcquiCo GmbH
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), Maturing March 7, 2025	EUR	903	$	1,010,092
DaVita, Inc.
Term Loan, 5.14%, (1 week USD LIBOR + 2.75%), Maturing June 24, 2021		3,697		3,699,570
Envision Healthcare Corporation
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025		4,826		4,201,419
Equian, LLC
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing May 20, 2024		710		709,633
Gentiva Health Services, Inc.
Term Loan, 6.19%, (1 mo. USD LIBOR + 3.75%), Maturing July 2, 2025		2,534		2,538,788
GHX Ultimate Parent Corporation
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.25%), Maturing June 28, 2024		958		944,803
Greatbatch Ltd.
Term Loan, 5.42%, (1 mo. USD LIBOR + 3.00%), Maturing October 27, 2022		1,220		1,223,652
Grifols Worldwide Operations USA, Inc.
Term Loan, 4.64%, (1 week USD LIBOR + 2.25%), Maturing January 31, 2025		3,934		3,927,729
Hanger, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025		1,136		1,137,044
Inovalon Holdings, Inc.
Term Loan, 5.94%, (1 mo. USD LIBOR + 3.50%), Maturing April 2, 2025		1,290		1,291,325
IQVIA, Inc.
Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), Maturing March 7, 2024		1,503		1,502,706
Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), Maturing January 17, 2025		1,498		1,498,044
Kinetic Concepts, Inc.
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.25%), Maturing February 2, 2024		3,136		3,143,840
Medical Solutions, LLC
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing June 9, 2024		812		812,219
MPH Acquisition Holdings, LLC
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing June 7, 2023		2,323		2,227,091
National Mentor Holdings, Inc.
Term Loan, 6.66%, (1 mo. USD LIBOR + 4.25%), Maturing March 9, 2026		28		27,946
Term Loan, 6.66%, (1 mo. USD LIBOR + 4.25%), Maturing March 9, 2026		446		448,799
Navicure, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing November 1, 2024		838		833,402
One Call Corporation
Term Loan, 7.64%, (1 mo. USD LIBOR + 5.25%), Maturing November 25, 2022		1,505		1,218,818
Ortho-Clinical Diagnostics S.A.
Term Loan, 5.68%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025		3,932		3,788,419
Parexel International Corporation
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024		2,732		2,621,172
Phoenix Guarantor, Inc.
Term Loan, 6.92%, (1 mo. USD LIBOR + 4.50%), Maturing March 5, 2026		1,950		1,943,093
Press Ganey Holdings, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing October 23, 2023		853		852,992
Prospect Medical Holdings, Inc.
Term Loan, 7.94%, (1 mo. USD LIBOR + 5.50%), Maturing February 22, 2024		985		931,826
Radiology Partners Holdings, LLC
Term Loan, 7.36%, (USD LIBOR + 4.75%), Maturing July 9, 2025(4)		624		624,266
RadNet, Inc.
Term Loan, 6.11%, (3 mo. USD LIBOR + 3.50%), Maturing June 30, 2023		1,906		1,901,731
Select Medical Corporation
Term Loan, 4.85%, (3 mo. USD LIBOR + 2.50%), Maturing March 6, 2025		1,747		1,744,903

14

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Sotera Health Holdings, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing May 15, 2022		990	$	980,018
Sound Inpatient Physicians
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2025		495		495,309
Surgery Center Holdings, Inc.
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing September 2, 2024		1,081		1,046,526
Team Health Holdings, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing February 6, 2024		2,370		2,088,948
Tecomet, Inc.
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing May 1, 2024		882		881,172
U.S. Anesthesia Partners, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing June 23, 2024		1,697		1,672,671
Verscend Holding Corp.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		1,588		1,592,208
Viant Medical Holdings, Inc.
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.75%), Maturing July 2, 2025		496		495,164
Wink Holdco, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing December 2, 2024		493		483,266
			$	74,161,764
Home Furnishings — 0.3%
Bright Bidco B.V.
Term Loan, 5.85%, (USD LIBOR + 3.50%), Maturing June 30, 2024(4)		1,766	$	1,253,513
Serta Simmons Bedding, LLC
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing November 8, 2023		5,205		3,363,852
			$	4,617,365
Industrial Equipment — 2.3%
AI Alpine AT Bidco GmbH
Term Loan, 5.64%, (1 mo. USD LIBOR + 3.25%), Maturing October 31, 2025		224	$	220,797
Altra Industrial Motion Corp.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025		758		745,414
Apex Tool Group, LLC
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2022		2,527		2,438,133
Carlisle Foodservice Products, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing March 20, 2025		272		262,429
Clark Equipment Company
Term Loan, 4.33%, (3 mo. USD LIBOR + 2.00%), Maturing May 18, 2024		1,530		1,519,966
CPM Holdings, Inc.
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing November 15, 2025		323		320,141
Delachaux Group S.A.
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing March 28, 2026	EUR	375		430,753
Term Loan, 7.10%, (3 mo. USD LIBOR + 4.50%), Maturing March 28, 2026		475		472,625
DexKo Global, Inc.
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024	EUR	323		367,698
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024	EUR	808		919,248
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing July 24, 2024		931		928,264
DXP Enterprises, Inc.
Term Loan, 7.15%, (1 mo. USD LIBOR + 4.75%), Maturing August 29, 2023		565		566,350
Engineered Machinery Holdings, Inc.
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.25%), Maturing July 19, 2024		1,601		1,562,610
Term Loan, 6.58%, (3 mo. USD LIBOR + 4.25%), Maturing July 19, 2024		323		323,644
EWT Holdings III Corp.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing December 20, 2024		2,274		2,266,745

15

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Filtration Group Corporation
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 29, 2025	EUR	395	$	452,523
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing March 29, 2025		1,728		1,726,582
Gardner Denver, Inc.
Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), Maturing July 30, 2024	EUR	449		513,069
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing July 30, 2024		1,046		1,048,905
Gates Global, LLC
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing April 1, 2024	EUR	978		1,105,779
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing April 1, 2024		4,971		4,951,574
Hayward Industries, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing August 5, 2024		491		482,346
LTI Holdings, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing September 6, 2025		471		446,392
Milacron, LLC
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2023		2,945		2,871,437
Pro Mach Group, Inc.
Term Loan, 5.14%, (1 mo. USD LIBOR + 2.75%), Maturing March 7, 2025		247		238,080
Quimper AB
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing February 13, 2026	EUR	87		99,049
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing February 13, 2026	EUR	1,788		2,045,674
Rexnord, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing August 21, 2024		3,105		3,105,463
Robertshaw US Holding Corp.
Term Loan, 5.94%, (1 mo. USD LIBOR + 3.50%), Maturing February 28, 2025		1,037		959,109
Shape Technologies Group, Inc.
Term Loan, 5.49%, (3 mo. USD LIBOR + 3.00%), Maturing April 21, 2025		248		238,064
Tank Holding Corp.
Term Loan, 6.63%, (USD LIBOR + 4.00%), Maturing March 26, 2026(4)		500		500,860
Thermon Industries, Inc.
Term Loan, 6.19%, (1 mo. USD LIBOR + 3.75%), Maturing October 24, 2024		329		329,812
Titan Acquisition Limited
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing March 28, 2025		3,135		2,998,143
Wittur GmbH
Term Loan, 5.00%, (3 mo. EURIBOR + 4.00%, Floor 1.00%), Maturing March 31, 2022	EUR	1,100		1,260,713
			$	38,718,391
Insurance — 1.8%
Alliant Holdings Intermediate, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing May 9, 2025		2,750	$	2,677,890
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025		475		469,538
AmWINS Group, Inc.
Term Loan, 5.16%, (1 mo. USD LIBOR + 2.75%), Maturing January 25, 2024		3,253		3,234,343
Asurion, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022		5,160		5,154,320
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023		2,692		2,689,294
Term Loan - Second Lien, 8.90%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025		2,750		2,792,397
Financiere CEP S.A.S.
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing January 16, 2025	EUR	550		626,578
FrontDoor, Inc.
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing August 14, 2025		471		471,438

16

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Hub International Limited
Term Loan, 5.59%, (3 mo. USD LIBOR + 3.00%), Maturing April 25, 2025		5,148	$	5,028,149
NFP Corp.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing January 8, 2024		2,675		2,604,109
Sedgwick Claims Management Services, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025		1,269		1,253,560
USI, Inc.
Term Loan, 5.33%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024		3,193		3,119,284
			$	30,120,900
Leisure Goods/Activities/Movies — 2.4%
AMC Entertainment Holdings, Inc.
Term Loan, 5.23%, (6 mo. USD LIBOR + 3.00%), Maturing April 22, 2026		1,870	$	1,869,289
Amer Sports Oyj
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing February 26, 2026	EUR	3,550		4,049,740
Ancestry.com Operations, Inc.
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing October 19, 2023		4,288		4,282,214
Bombardier Recreational Products, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing May 23, 2025		5,328		5,261,422
CDS U.S. Intermediate Holdings, Inc.
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.75%), Maturing July 8, 2022		1,117		1,086,333
ClubCorp Holdings, Inc.
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024		1,959		1,816,542
Crown Finance US, Inc.
Term Loan, 2.38%, (1 mo. EURIBOR + 2.38%), Maturing February 28, 2025	EUR	913		1,037,372
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing February 28, 2025		1,788		1,760,883
Delta 2 (LUX) S.a.r.l.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2024		725		709,954
Emerald Expositions Holding, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024		1,204		1,187,807
Etraveli Holding AB
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), Maturing August 2, 2024	EUR	850		969,435
Kasima, LLC
Term Loan, 4.99%, (2 mo. USD LIBOR + 2.50%), Maturing May 17, 2021		41		41,412
Lindblad Expeditions, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025		469		471,072
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025		1,875		1,884,288
Live Nation Entertainment, Inc.
Term Loan, 4.19%, (1 mo. USD LIBOR + 1.75%), Maturing October 31, 2023		3,709		3,708,102
Match Group, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing November 16, 2022		974		976,433
Sabre GLBL, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing February 22, 2024		1,132		1,130,299
SeaWorld Parks & Entertainment, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing March 31, 2024		2,214		2,212,057
SRAM, LLC
Term Loan, 5.23%, (2 mo. USD LIBOR + 2.75%), Maturing March 15, 2024		1,310		1,310,278
Steinway Musical Instruments, Inc.
Term Loan, 6.14%, (1 mo. USD LIBOR + 3.75%), Maturing February 14, 2025		913		895,169
Travel Leaders Group, LLC
Term Loan, 6.38%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024		965		967,663
UFC Holdings, LLC
Term Loan, 5.66%, (1 mo. USD LIBOR + 3.25%), Maturing April 29, 2026		2,714		2,715,586

17

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Vue International Bidco PLC
Term Loan, Maturing June 14, 2026(5)	EUR	657	$	750,523
Term Loan, Maturing June 18, 2026(5)	EUR	118		133,637
			$	41,227,510
Lodging and Casinos — 2.0%
Aimbridge Acquisition Co., Inc.
Term Loan, 6.19%, (1 mo. USD LIBOR + 3.75%), Maturing February 2, 2026		274	$	275,684
Aristocrat Technologies, Inc.
Term Loan, 4.34%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024		1,147		1,138,097
Azelis Finance S.A.
Term Loan, 4.00%, (1 mo. EURIBOR + 4.00%), Maturing November 7, 2025	EUR	1,925		2,209,712
Boyd Gaming Corporation
Term Loan, 4.62%, (1 week USD LIBOR + 2.25%), Maturing September 15, 2023		1,040		1,036,662
CityCenter Holdings, LLC
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing April 18, 2024		2,797		2,791,079
Eldorado Resorts, LLC
Term Loan, 4.69%, (1 mo. USD LIBOR + 2.25%), Maturing April 17, 2024		940		939,267
ESH Hospitality, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing August 30, 2023		2,088		2,084,134
Four Seasons Hotels Limited
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing November 30, 2023		1,073		1,071,579
Golden Nugget, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing October 4, 2023		3,595		3,569,560
GVC Holdings PLC
Term Loan, 2.50%, (1 mo. EURIBOR + 2.50%), Maturing March 29, 2024	EUR	1,350		1,535,564
Term Loan, 3.97%, (1 mo. GBP LIBOR + 3.25%), Maturing March 29, 2024	GBP	700		886,881
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing March 29, 2024		1,160		1,157,896
Hanjin International Corp.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020		550		545,875
Las Vegas Sands, LLC
Term Loan, 4.15%, (1 mo. USD LIBOR + 1.75%), Maturing March 27, 2025		1,111		1,104,500
MGM Growth Properties Operating Partnership L.P.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing March 21, 2025		2,274		2,263,678
Playa Resorts Holding B.V.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing April 29, 2024		2,676		2,569,878
Stars Group Holdings B.V. (The)
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 10, 2025	EUR	975		1,118,512
Term Loan, 5.83%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025		3,836		3,840,816
VICI Properties 1, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing December 20, 2024		2,315		2,292,831
Wyndham Hotels & Resorts, Inc.
Term Loan, 4.15%, (1 mo. USD LIBOR + 1.75%), Maturing May 30, 2025		1,365		1,363,088
			$	33,795,293
Nonferrous Metals/Minerals — 0.4%
CD&R Hydra Buyer, Inc.
Term Loan, 7.50%, (0.00% cash, 7.50% PIK), Maturing August 15, 2021(3)(8)		148	$	121,353
Dynacast International, LLC
Term Loan, 5.58%, (3 mo. USD LIBOR + 3.25%), Maturing January 28, 2022		1,450		1,404,374
Global Brass & Copper, Inc.
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing May 29, 2025		997		996,788
Murray Energy Corporation
Term Loan, 9.77%, (3 mo. USD LIBOR + 7.25%), Maturing October 17, 2022		2,267		1,570,100

18

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Noranda Aluminum Acquisition Corporation
Term Loan, 0.00%, Maturing February 28, 2020(7)		452	$	1,977
Oxbow Carbon, LLC
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing January 4, 2023		648		650,737
Term Loan - Second Lien, 9.90%, (1 mo. USD LIBOR + 7.50%), Maturing January 4, 2024		480		481,200
Rain Carbon GmbH
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 16, 2025	EUR	1,025		1,137,118
			$	6,363,647
Oil and Gas — 1.0%
Ameriforge Group, Inc.
Term Loan, 9.33%, (3 mo. USD LIBOR + 7.00%), Maturing June 8, 2022		741	$	737,309
Apergy Corporation
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025		289		288,615
Blackstone CQP Holdco L.P.
Term Loan, 5.89%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024		1,025		1,027,563
Centurion Pipeline Company, LLC
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing September 29, 2025		274		274,309
CITGO Petroleum Corporation
Term Loan, 7.10%, (3 mo. USD LIBOR + 4.50%), Maturing July 29, 2021		1,728		1,728,585
Term Loan, 7.60%, (3 mo. USD LIBOR + 5.00%), Maturing March 22, 2024		2,550		2,554,781
Delek US Holdings, Inc.
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.25%), Maturing March 31, 2025		594		588,554
Fieldwood Energy, LLC
Term Loan, 7.65%, (1 mo. USD LIBOR + 5.25%), Maturing April 11, 2022		2,771		2,581,591
Matador Bidco S.a.r.l.
Term Loan, Maturing June 12, 2026(5)		575		574,821
McDermott Technology Americas, Inc.
Term Loan, 7.40%, (1 mo. USD LIBOR + 5.00%), Maturing May 9, 2025		1,308		1,288,675
MEG Energy Corp.
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing December 31, 2023		1,207		1,207,289
Prairie ECI Acquiror L.P.
Term Loan, 7.08%, (3 mo. USD LIBOR + 4.75%), Maturing March 11, 2026		898		899,994
PSC Industrial Holdings Corp.
Term Loan, 6.14%, (1 mo. USD LIBOR + 3.75%), Maturing October 3, 2024		788		786,851
Sheridan Investment Partners II, L.P.
Term Loan, 0.00%, Maturing December 16, 2020(7)		45		28,602
Term Loan, 0.00%, Maturing December 16, 2020(7)		122		76,693
Term Loan, 0.00%, Maturing December 16, 2020(7)		875		551,322
Sheridan Production Partners I, LLC
Term Loan, 5.98%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019		108		77,477
Term Loan, 5.98%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019		177		126,844
Term Loan, 5.98%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019		1,339		957,255
Ultra Resources, Inc.
Term Loan, 6.40%, (6.15% cash (1 mo. USD LIBOR + 3.75%), 0.25% PIK), Maturing April 12, 2024		1,647		1,276,388
			$	17,633,518
Publishing — 0.4%
Ascend Learning, LLC
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing July 12, 2024		1,204	$	1,186,261

19

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Getty Images, Inc.
Term Loan, 6.94%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026		1,095	$	1,091,764
Harland Clarke Holdings Corp.
Term Loan, 7.08%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023		368		312,029
Lamar Media Corporation
Term Loan, 4.13%, (3 mo. USD LIBOR + 1.75%), Maturing March 14, 2025		568		569,229
LSC Communications, Inc.
Term Loan, 7.87%, (1 week USD LIBOR + 5.50%), Maturing September 30, 2022		924		907,707
Multi Color Corporation
Term Loan, 6.50%, (USD Prime + 1.00%), Maturing October 31, 2024		369		369,990
ProQuest, LLC
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing October 24, 2021		1,826		1,824,121
Tweddle Group, Inc.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing September 17, 2023		657		619,691
			$	6,880,792
Radio and Television — 1.1%
ALM Media Holdings, Inc.
Term Loan, 6.83%, (3 mo. USD LIBOR + 4.50%), Maturing July 31, 2020		502	$	461,447
Cumulus Media New Holdings, Inc.
Term Loan, 6.91%, (1 mo. USD LIBOR + 4.50%), Maturing May 15, 2022		1,940		1,932,943
E.W. Scripps Company (The)
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing October 2, 2024		418		406,776
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing May 1, 2026		299		299,063
Entercom Media Corp.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing November 18, 2024		1,149		1,150,745
Entravision Communications Corporation
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing November 29, 2024		959		925,053
Gray Television, Inc.
Term Loan, 4.68%, (1 mo. USD LIBOR + 2.25%), Maturing February 7, 2024		278		277,381
Term Loan, 4.93%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026		746		745,850
Hubbard Radio, LLC
Term Loan, 5.91%, (1 mo. USD LIBOR + 3.50%), Maturing March 28, 2025		878		877,226
iHeartCommunications, Inc.
Term Loan, 6.58%, (3 mo. USD LIBOR + 4.00%), Maturing May 1, 2026		783		785,229
Mission Broadcasting, Inc.
Term Loan, 4.69%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		36		35,427
Nexstar Broadcasting, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		108		107,099
Term Loan, Maturing June 20, 2026(5)		525		523,797
Sinclair Television Group, Inc.
Term Loan, 4.66%, (1 mo. USD LIBOR + 2.25%), Maturing January 3, 2024		493		487,785
Townsquare Media, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing April 1, 2022		2,276		2,278,672
Univision Communications, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing March 15, 2024		7,656		7,302,255
			$	18,596,748
Retailers (Except Food and Drug) — 1.3%
Ascena Retail Group, Inc.
Term Loan, 6.94%, (1 mo. USD LIBOR + 4.50%), Maturing August 21, 2022		3,226	$	2,127,263

20

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Bass Pro Group, LLC
Term Loan, 7.40%, (1 mo. USD LIBOR + 5.00%), Maturing September 25, 2024		1,523	$	1,457,667
BJ’s Wholesale Club, Inc.
Term Loan, 5.16%, (1 mo. USD LIBOR + 2.75%), Maturing February 3, 2024		1,058		1,060,829
CDW, LLC
Term Loan, 4.16%, (1 mo. USD LIBOR + 1.75%), Maturing August 17, 2023		2,506		2,507,733
Coinamatic Canada, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 3.25%), Maturing May 14, 2022		54		53,483
David’s Bridal, Inc.
Term Loan, 9.89%, (1 mo. USD LIBOR + 7.50%), Maturing July 17, 2023		465		470,074
Term Loan, 10.39%, (1 mo. USD LIBOR + 8.00%), Maturing January 18, 2024		1,769		1,397,133
Global Appliance, Inc.
Term Loan, 6.41%, (1 mo. USD LIBOR + 4.00%), Maturing September 29, 2024		1,045		1,038,278
Hoya Midco, LLC
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing June 30, 2024		2,097		2,075,554
J. Crew Group, Inc.
Term Loan, 5.42%, (USD LIBOR + 3.00%), Maturing March 5, 2021(3)(4)		3,733		2,866,650
LSF9 Atlantis Holdings, LLC
Term Loan, 8.42%, (1 mo. USD LIBOR + 6.00%), Maturing May 1, 2023		1,093		1,021,487
PetSmart, Inc.
Term Loan, 6.67%, (1 mo. USD LIBOR + 4.25%), Maturing March 11, 2022		3,638		3,538,587
PFS Holding Corporation
Term Loan, 5.92%, (1 mo. USD LIBOR + 3.50%), Maturing January 31, 2021		2,225		867,556
Pier 1 Imports (U.S.), Inc.
Term Loan, 5.70%, (6 mo. USD LIBOR + 3.50%), Maturing April 30, 2021		641		262,913
Radio Systems Corporation
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing May 2, 2024		466		461,427
			$	21,206,634
Steel — 0.4%
Atkore International, Inc.
Term Loan, 5.07%, (3 mo. USD LIBOR + 2.75%), Maturing December 22, 2023		412	$	411,081
GrafTech Finance, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2025		2,781		2,736,991
Neenah Foundry Company
Term Loan, 8.91%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022		779		770,950
Phoenix Services International, LLC
Term Loan, 6.16%, (1 mo. USD LIBOR + 3.75%), Maturing March 1, 2025		888		888,965
Zekelman Industries, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing June 14, 2021		1,292		1,290,747
			$	6,098,734
Surface Transport — 0.3%
1199169 B.C. Unlimited Liability Company
Term Loan, 6.33%, (3 mo. USD LIBOR + 4.00%), Maturing April 6, 2026		297	$	298,828
Agro Merchants NAI Holdings, LLC
Term Loan, 6.08%, (3 mo. USD LIBOR + 3.75%), Maturing December 6, 2024		394		392,689
Hertz Corporation (The)
Term Loan, 5.16%, (1 mo. USD LIBOR + 2.75%), Maturing June 30, 2023		1,214		1,211,908
Kenan Advantage Group, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022		129		124,691
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022		424		410,036

21

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
PODS, LLC
Term Loan, 5.16%, (1 mo. USD LIBOR + 2.75%), Maturing December 6, 2024		663	$	654,624
Stena International S.a.r.l.
Term Loan, 5.33%, (3 mo. USD LIBOR + 3.00%), Maturing March 3, 2021		1,990		1,949,955
XPO Logistics, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), Maturing February 24, 2025		650		645,716
			$	5,688,447
Telecommunications — 1.9%
CenturyLink, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 2.75%), Maturing January 31, 2025		5,615	$	5,489,925
Colorado Buyer, Inc.
Term Loan, 5.42%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024		931		869,903
Digicel International Finance Limited
Term Loan, 5.78%, (3 mo. USD LIBOR + 3.25%), Maturing May 28, 2024		860		752,229
eircom Finco S.a.r.l.
Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), Maturing April 19, 2024	EUR	1,529		1,741,581
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing April 23, 2026	EUR	575		654,803
Frontier Communications Corp.
Term Loan, 6.16%, (1 mo. USD LIBOR + 3.75%), Maturing June 15, 2024		2,107		2,071,006
Gamma Infrastructure III B.V.
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), Maturing January 9, 2025	EUR	1,700		1,912,933
Global Eagle Entertainment, Inc.
Term Loan, 10.35%, (6 mo. USD LIBOR + 7.50%), Maturing January 6, 2023		2,190		2,097,277
Intelsat Jackson Holdings S.A.
Term Loan, 6.90%, (1 mo. USD LIBOR + 4.50%), Maturing January 2, 2024		1,500		1,508,625
IPC Corp.
Term Loan, 7.09%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021		1,088		940,979
Level 3 Financing, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.25%), Maturing February 22, 2024		700		695,115
Onvoy, LLC
Term Loan, 6.83%, (3 mo. USD LIBOR + 4.50%), Maturing February 10, 2024		831		693,781
Plantronics, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing July 2, 2025		1,333		1,326,819
Sprint Communications, Inc.
Term Loan, 4.94%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024		4,032		3,978,426
Term Loan, 5.44%, (1 mo. USD LIBOR + 3.00%), Maturing February 2, 2024		796		790,024
Syniverse Holdings, Inc.
Term Loan, 7.40%, (1 mo. USD LIBOR + 5.00%), Maturing March 9, 2023		1,062		984,157
Telesat Canada
Term Loan, 4.83%, (3 mo. USD LIBOR + 2.50%), Maturing November 17, 2023		5,443		5,391,060
			$	31,898,643
Utilities — 1.1%
Brookfield WEC Holdings, Inc.
Term Loan, 5.90%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2025		2,363	$	2,364,602
Calpine Construction Finance Company L.P.
Term Loan, 4.90%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2025		2,764		2,747,209
Calpine Corporation
Term Loan, 4.83%, (3 mo. USD LIBOR + 2.50%), Maturing January 15, 2024		3,624		3,610,635
Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), Maturing April 5, 2026		925		924,422

22

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Granite Acquisition, Inc.
Term Loan, 5.83%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021		141	$	141,723
Term Loan, 6.09%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021		3,125		3,130,769
Lightstone Holdco, LLC
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024		59		58,292
Term Loan, 6.15%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024		1,045		1,033,518
Longview Power, LLC
Term Loan, 8.59%, (3 mo. USD LIBOR + 6.00%), Maturing April 13, 2021		336		294,840
Talen Energy Supply, LLC
Term Loan, Maturing June 28, 2026(5)		775		767,250
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing April 15, 2024		791		792,243
Term Loan, 6.40%, (1 mo. USD LIBOR + 4.00%), Maturing April 15, 2024		800		800,750
USIC Holdings, Inc.
Term Loan, 5.40%, (1 mo. USD LIBOR + 3.00%), Maturing December 8, 2023		198		196,007
Vistra Operations Company, LLC
Term Loan, 4.40%, (USD LIBOR + 2.00%), Maturing December 31, 2025(4)		1,043		1,043,329
			$	17,905,589
Total Senior Floating-Rate Loans (identified cost $851,754,821)			$	823,937,633
Corporate Bonds & Notes — 47.1%
Security	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 1.6%
Bombardier, Inc.
6.00%, 10/15/22(9)		4,999	$	5,045,441
6.125%, 1/15/23(9)		1,286		1,306,897
7.875%, 4/15/27(9)		1,102		1,106,132
Booz Allen Hamilton, Inc.
5.125%, 5/1/25(9)		345		351,900
BWX Technologies, Inc.
5.375%, 7/15/26(9)		1,305		1,353,872
Huntington Ingalls Industries, Inc.
5.00%, 11/15/25(9)		415		430,563
Lockheed Martin Corp.
3.55%, 1/15/26		960		1,020,960
Northrop Grumman Corp.
2.93%, 1/15/25		770		785,693
TransDigm UK Holdings PLC
6.875%, 5/15/26		725		735,422
TransDigm, Inc.
6.50%, 7/15/24		7,535		7,657,444
6.50%, 5/15/25		185		187,775
6.25%, 3/15/26(9)		2,408		2,525,390
6.375%, 6/15/26		670		680,888
7.50%, 3/15/27(9)		3,449		3,608,516
			$	26,796,893

23

Security	Principal Amount* (000’s omitted)		Value
Air Transport — 0.1%
Azul Investments LLP
5.875%, 10/26/24(9)		1,030	$	1,018,412
			$	1,018,412
Automotive — 0.8%
Adient Global Holdings, Ltd.
3.50%, 8/15/24(10)	EUR	150	$	142,624
Fiat Chrysler Finance Europe SA
4.75%, 3/22/21(10)	EUR	325		398,718
Garrett LX I S.a.r.l./Garrett Borrowing, LLC
5.125%, 10/15/26(10)	EUR	200		220,092
General Motors Co.
5.00%, 4/1/35		1,095		1,077,456
Gestamp Funding Luxembourg SA
3.50%, 5/15/23(10)	EUR	300		347,946
IHO Verwaltungs GmbH
6.00%, (6.00% cash or 6.75% PIK), 5/15/27(9)(11)		951		958,133
6.375%, (6.375% cash or 7.125% PIK), 5/15/29(9)(11)		949		950,871
Navistar International Corp.
6.625%, 11/1/25(9)		3,015		3,173,287
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc.
4.375%, 5/15/26(10)	EUR	300		353,155
6.25%, 5/15/26(9)		1,671		1,739,929
8.50%, 5/15/27(9)		3,311		3,418,607
RAC Bond Co. PLC
5.00%, 11/6/22(10)	GBP	250		286,985
ZF North America Capital, Inc.
4.50%, 4/29/22(9)		392		399,510
			$	13,467,313
Banks and Thrifts — 0.7%
Banco Comercial Portugues SA
4.50% to 12/7/22, 12/7/27(10)(12)	EUR	500	$	576,956
Banco Mercantil del Norte SA/Grand Cayman
5.75% to 10/4/26, 10/4/31(9)(12)		1,160		1,135,362
Bank of America Corp.
4.443% to 1/20/47, 1/20/48(12)		580		658,886
Bank of Montreal
3.803% to 12/15/27, 12/15/32(12)		1,325		1,344,888
BBVA Bancomer SA
5.125% to 1/18/28, 1/18/33(9)(12)		1,515		1,463,490
Danske Bank A/S
5.375%, 1/12/24(9)		2,000		2,162,236
First Midwest Bancorp, Inc.
5.875%, 9/29/26		1,000		1,078,020
Flagstar Bancorp, Inc.
6.125%, 7/15/21		650		685,665
Goldman Sachs Group, Inc. (The)
4.75%, 10/21/45		575		660,167
HSBC Holdings PLC
5.25%, 3/14/44		665		779,763

24

Security	Principal Amount* (000’s omitted)		Value
Wells Fargo & Co.
3.584% to 5/22/27, 5/22/28(12)		1,500	$	1,568,057
			$	12,113,490
Beverage and Tobacco — 0.1%
Anheuser-Busch InBev Finance, Inc.
4.625%, 2/1/44		860	$	922,404
			$	922,404
Brokerage/Securities Dealers/Investment Houses — 0.2%
Alliance Data Systems Corp.
5.875%, 11/1/21(9)		1,620	$	1,668,641
BP Capital Markets America, Inc.
3.017%, 1/16/27		1,000		1,021,780
Intrum Justitia AB
3.125%, 7/15/24(10)	EUR	400		461,947
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp.
4.875%, 4/15/45(9)		500		478,928
			$	3,631,296
Building and Development — 1.2%
ADLER Real Estate AG
1.875%, 4/27/23(10)	EUR	500	$	576,300
AT Securities B.V.
5.25% to 7/21/23(10)(12)(13)		500		491,438
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC
5.75%, 5/15/26(9)		1,592		1,645,730
Builders FirstSource, Inc.
5.625%, 9/1/24(9)		1,292		1,336,471
6.75%, 6/1/27(9)		318		337,080
DEMIRE Deutsche Mittelstand Real Estate AG
2.875%, 7/15/22(10)	EUR	400		462,375
Five Point Operating Co., L.P./Five Point Capital Corp.
7.875%, 11/15/25(9)		1,213		1,222,122
Greystar Real Estate Partners, LLC
5.75%, 12/1/25(9)		1,731		1,769,947
Hillman Group, Inc. (The)
6.375%, 7/15/22(9)		2,695		2,398,550
LSF9 Balta Issuer S.a.r.l.
7.75%, 9/15/22(10)	EUR	122		137,985
MDC Holdings, Inc.
6.00%, 1/15/43		982		923,080
Miller Homes Group Holdings PLC
5.50%, 10/15/24(10)	GBP	100		128,576
Owens Corning
3.40%, 8/15/26		310		302,058
Reliance Intermediate Holdings, L.P.
6.50%, 4/1/23(9)		4,610		4,771,350
Standard Industries, Inc.
5.50%, 2/15/23(9)		140		144,200
6.00%, 10/15/25(9)		2,330		2,484,362
Taylor Morrison Communities, Inc.
5.875%, 6/15/27(9)		808		826,180

25

Security	Principal Amount* (000’s omitted)		Value
TRI Pointe Group, Inc./TRI Pointe Homes, Inc.
5.875%, 6/15/24		280	$	289,716
			$	20,247,520
Business Equipment and Services — 1.2%
Allied Universal Holdco, LLC
6.625%, 7/15/26(9)(14)		580	$	590,875
9.75%, 7/15/27(9)(14)		670		671,675
Arena Luxembourg Finance S.a.r.l.
2.75%, (3 mo. EURIBOR + 2.75%), 11/1/23(10)(15)	EUR	500		574,943
Carriage Services, Inc.
6.625%, 6/1/26(9)		1,025		1,055,750
EC Finance PLC
2.375%, 11/15/22(10)	EUR	500		581,399
EIG Investors Corp.
10.875%, 2/1/24		3,810		4,057,650
First Data Corp.
5.00%, 1/15/24(9)		815		835,477
KAR Auction Services, Inc.
5.125%, 6/1/25(9)		2,833		2,896,742
Prime Security Services Borrower, LLC/Prime Finance, Inc.
9.25%, 5/15/23(9)		1,024		1,077,325
ServiceMaster Co., LLC (The)
7.45%, 8/15/27		4,075		4,385,719
Solera, LLC/Solera Finance, Inc.
10.50%, 3/1/24(9)		1,035		1,124,269
Vantiv, LLC/Vanity Issuer Corp.
3.875%, 11/15/25(10)	GBP	350		465,275
4.375%, 11/15/25(9)		945		985,162
West Corp.
8.50%, 10/15/25(9)		1,286		1,131,680
			$	20,433,941
Cable and Satellite Television — 2.2%
Altice France S.A.
7.375%, 5/1/26(9)		965	$	991,538
8.125%, 2/1/27(9)		2,382		2,507,055
Cablevision Systems Corp.
8.00%, 4/15/20		635		657,435
5.875%, 9/15/22		1,085		1,151,456
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.25%, 9/30/22		707		719,001
5.75%, 1/15/24		1,980		2,029,252
5.875%, 4/1/24(9)		230		240,925
5.375%, 5/1/25(9)		3,605		3,735,681
5.75%, 2/15/26(9)		1,885		1,981,606
5.00%, 2/1/28(9)		1,755		1,796,594
5.375%, 6/1/29(9)		595		615,825
Comcast Corp.
3.999%, 11/1/49		780		822,266

26

Security	Principal Amount* (000’s omitted)		Value
CSC Holdings, LLC
6.75%, 11/15/21		2,780	$	2,981,550
5.25%, 6/1/24		355		369,644
10.875%, 10/15/25(9)		2,816		3,234,894
5.50%, 5/15/26(9)		2,000		2,102,400
7.50%, 4/1/28(9)		619		682,633
6.50%, 2/1/29(9)		543		593,567
DISH DBS Corp.
6.75%, 6/1/21		410		431,525
5.875%, 7/15/22		2,395		2,439,906
5.875%, 11/15/24		530		503,500
7.75%, 7/1/26		454		446,055
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
4.00%, 1/15/25(10)	EUR	500		591,446
UPC Holding B.V.
5.50%, 1/15/28(9)		1,412		1,422,590
Virgin Media Secured Finance PLC
5.25%, 1/15/26(9)		1,937		1,992,127
Ziggo B.V.
4.25%, 1/15/27(10)	EUR	575		695,681
5.50%, 1/15/27(9)		1,432		1,463,805
Ziggo Bond Co., B.V.
6.00%, 1/15/27(9)		745		750,588
			$	37,950,545
Chemicals and Plastics — 0.9%
Chemours Co. (The)
7.00%, 5/15/25		971	$	1,017,122
4.00%, 5/15/26	EUR	200		228,417
5.375%, 5/15/27		3,698		3,540,835
Hexion, Inc.
7.875%, 7/15/27(9)(14)		667		672,003
Huntsman International, LLC
4.50%, 5/1/29		500		516,196
Monitchem HoldCo 2 S.A.
6.875%, 6/15/22(10)	EUR	400		458,333
Monitchem HoldCo 3 S.A.
5.25%, 6/15/21(10)	EUR	250		285,968
Nufarm Australia, Ltd./Nufarm Americas, Inc.
5.75%, 4/30/26(9)		1,268		1,210,940
OCI N.V.
6.625%, 4/15/23(9)		215		224,675
SPCM S.A.
4.875%, 9/15/25(9)		1,356		1,366,170
Tronox, Inc.
6.50%, 4/15/26(9)		316		313,933
Valvoline, Inc.
5.50%, 7/15/24		375		389,625
Venator Finance S.a.r.l./Venator Materials, LLC
5.75%, 7/15/25(9)		835		769,244
Versum Materials, Inc.
5.50%, 9/30/24(9)		1,270		1,363,662

27

Security	Principal Amount* (000’s omitted)		Value
W.R. Grace & Co.
5.125%, 10/1/21(9)		2,170	$	2,262,225
5.625%, 10/1/24(9)		490		530,425
Westlake Chemical Corp.
5.00%, 8/15/46		550		570,527
			$	15,720,300
Clothing/Textiles — 0.3%
PrestigeBidCo GmbH
6.25%, 12/15/23(10)	EUR	265	$	318,269
PVH Corp.
7.75%, 11/15/23		3,740		4,228,874
William Carter Co. (The)
5.625%, 3/15/27(9)		811		852,564
			$	5,399,707
Commercial Services — 0.1%
Intertrust Group B.V.
3.375%, 11/15/25(10)	EUR	340	$	411,194
IPD 3 B.V.
4.50%, 7/15/22(10)	EUR	475		554,383
Loxam SAS
2.875%, 4/15/26(10)	EUR	130		148,477
4.50%, 4/15/27(10)	EUR	125		142,047
Service Corp. International
5.125%, 6/1/29		795		840,712
Verisure Holding AB
3.50%, 5/15/23(10)	EUR	140		166,333
Verisure Midholding AB
5.75%, 12/1/23(10)	EUR	200		236,150
			$	2,499,296
Computers — 0.2%
Apple, Inc.
3.75%, 11/13/47		500	$	525,485
DXC Technology Co.
4.75%, 4/15/27		1,000		1,064,370
Seagate HDD Cayman
4.875%, 6/1/27		969		972,863
			$	2,562,718
Conglomerates — 0.3%
Spectrum Brands, Inc.
5.75%, 7/15/25		3,470	$	3,621,812
TMS International Corp.
7.25%, 8/15/25(9)		1,047		1,015,590
			$	4,637,402
Consumer Products — 0.1%
Central Garden & Pet Co.
6.125%, 11/15/23		575	$	599,437
5.125%, 2/1/28		285		280,725
			$	880,162

28

Security	Principal Amount* (000’s omitted)		Value
Containers and Glass Products — 0.7%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
4.25%, 9/15/22(9)		375	$	379,688
2.75%, 3/15/24(10)	EUR	500		587,383
7.25%, 5/15/24(9)		214		226,305
Ball Corp.
4.375%, 12/15/20		2,375		2,433,188
Berry Global Escrow Corp.
5.625%, 7/15/27(9)		540		562,950
Berry Global, Inc.
6.00%, 10/15/22		970		991,825
4.50%, 2/15/26(9)		440		435,050
Crown Americas, LLC/Crown Americas Capital Corp. V
4.25%, 9/30/26		660		675,675
Crown Americas, LLC/Crown Americas Capital Corp. VI
4.75%, 2/1/26		750		772,500
Owens-Brockway Glass Container, Inc.
5.875%, 8/15/23(9)		980		1,060,654
6.375%, 8/15/25(9)		700		766,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
5.75%, 10/15/20		242		243,185
5.125%, 7/15/23(9)		1,015		1,036,569
7.00%, 7/15/24(9)		1,426		1,477,186
Smurfit Kappa Acquisitions ULC
2.375%, 2/1/24(10)	EUR	200		244,595
2.875%, 1/15/26(10)	EUR	100		124,029
			$	12,017,282
Distribution & Wholesale — 0.1%
IAA, Inc.
5.50%, 6/15/27(9)		537	$	559,823
LKQ Italia Bondco SpA
3.875%, 4/1/24(10)	EUR	375		473,135
Parts Europe SA
4.375%, (3 mo. EURIBOR + 4.375%), 5/1/22(10)(15)	EUR	335		383,199
			$	1,416,157
Diversified Financial Services — 0.7%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
3.65%, 7/21/27		575	$	572,235
Arrow Global Finance PLC
2.875%, (3 mo. EURIBOR + 2.875%), 4/1/25(10)(15)	EUR	250		271,601
Barclays PLC
5.088% to 6/20/29, 6/20/30(12)		2,000		2,046,840
BrightSphere Investment Group PLC
4.80%, 7/27/26		2,195		2,235,448
Cabot Financial Luxembourg II SA
6.375%, (3 mo. EURIBOR + 6.375%), 6/14/24(10)(15)	EUR	500		575,870
Credito Real SAB de CV SOFOM ER
9.50%, 2/7/26(9)		1,000		1,105,000
Discover Bank
4.682% to 8/9/23, 8/9/28(12)		1,000		1,037,160

29

Security	Principal Amount* (000’s omitted)		Value
GE Capital UK Funding Unlimited Co.
5.875%, 11/4/20	GBP	106	$	142,313
Grupo KUO SAB de CV
5.75%, 7/7/27(9)		1,000		1,017,500
Louvre Bidco SAS
4.25%, 9/30/24(10)	EUR	390		439,072
LSF10 Wolverine Investments SCA
4.625%, (3 mo. EURIBOR + 4.625%), 3/15/24(10)(15)	EUR	200		229,978
UniCredit SpA
5.861% to 6/19/27, 6/19/32(9)(12)		715		685,393
7.296% to 4/2/29, 4/2/34(9)(12)		500		530,608
Unifin Financiera SAB de CV SOFOM ER
8.875% to 1/29/25(9)(12)(13)		248		228,782
7.375%, 2/12/26(9)		400		390,504
			$	11,508,304
Drugs — 1.5%
Bausch Health Companies, Inc.
6.50%, 3/15/22(9)		2,419	$	2,509,712
5.50%, 3/1/23(9)		264		267,102
5.875%, 5/15/23(9)		846		859,003
7.00%, 3/15/24(9)		3,810		4,058,031
6.125%, 4/15/25(9)		345		352,763
5.50%, 11/1/25(9)		2,880		3,013,200
9.00%, 12/15/25(9)		2,340		2,623,257
9.25%, 4/1/26(9)		670		751,271
8.50%, 1/31/27(9)		2,504		2,759,458
5.75%, 8/15/27(9)		412		434,034
7.00%, 1/15/28(9)		664		689,730
7.25%, 5/30/29(9)		544		567,120
Catalent Pharma Solutions, Inc.
4.875%, 1/15/26(9)		2,700		2,754,000
5.00%, 7/15/27(9)		370		377,400
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC
6.375%, 8/1/23(9)		3,240		3,361,500
			$	25,377,581
Ecological Services and Equipment — 0.9%
Advanced Disposal Services, Inc.
5.625%, 11/15/24(9)		1,405	$	1,477,006
Clean Harbors, Inc.
5.125%, 6/1/21		900		902,250
4.875%, 7/15/27(9)(14)		551		561,387
5.125%, 7/15/29(9)(14)		332		339,470
Covanta Holding Corp.
5.875%, 3/1/24		1,900		1,961,750
5.875%, 7/1/25		860		897,625
GFL Environmental, Inc.
5.375%, 3/1/23(9)		1,695		1,686,525
7.00%, 6/1/26(9)		2,405		2,468,131
8.50%, 5/1/27(9)		2,204		2,377,565

30

Security	Principal Amount* (000’s omitted)		Value
Waste Pro USA, Inc.
5.50%, 2/15/26(9)		2,432	$	2,498,880
			$	15,170,589
Electric Utilities — 0.3%
Consolidated Edison Co. of New York, Inc.
4.125%, 5/15/49		800	$	862,678
ContourGlobal Power Holdings SA
4.125%, 8/1/25(10)	EUR	390		471,740
Drax Finco PLC
4.25%, 5/1/22(10)	GBP	325		421,675
6.625%, 11/1/25(9)		806		827,819
Edison International
2.40%, 9/15/22		644		613,436
EDP – Energias de Portugal SA
4.496% to 4/30/24, 4/30/79(10)(12)	EUR	300		373,614
Engie Energia Chile SA
4.50%, 1/29/25(9)		1,652		1,741,892
TenneT Holding B.V.
2.995% to 6/1/24(10)(12)(13)	EUR	350		421,083
			$	5,733,937
Electronics/Electrical — 1.6%
Avnet, Inc.
4.625%, 4/15/26		985	$	1,030,661
Duke Energy Progress, LLC
3.45%, 3/15/29		1,000		1,054,665
Enel Finance International NV
3.625%, 5/25/27(9)		2,310		2,321,737
Energizer Gamma Acquisition B.V.
4.625%, 7/15/26(10)	EUR	155		184,933
Energizer Holdings, Inc.
6.375%, 7/15/26(9)		3,857		3,972,710
7.75%, 1/15/27(9)		829		899,324
Entegris, Inc.
4.625%, 2/10/26(9)		517		523,463
Exelon Corp.
5.625%, 6/15/35		819		987,753
Go Daddy Operating Co., LLC/GD Finance Co., Inc.
5.25%, 12/1/27(9)		945		981,619
Infor (US), Inc.
6.50%, 5/15/22		1,760		1,797,576
Ingram Micro, Inc.
5.45%, 12/15/24		1,889		1,930,960
Jabil, Inc.
3.95%, 1/12/28		1,040		1,022,767
Marvell Technology Group, Ltd.
4.875%, 6/22/28		1,000		1,060,536
Microchip Technology, Inc.
4.333%, 6/1/23		527		549,102
Perusahaan Listrik Negara PT
5.25%, 10/24/42(10)		4,400		4,653,000

31

Security	Principal Amount* (000’s omitted)		Value
Resideo Funding, Inc.
6.125%, 11/1/26(9)		616	$	642,180
Trimble, Inc.
4.90%, 6/15/28		967		1,036,457
Veritas US, Inc./Veritas Bermuda, Ltd.
7.50%, 2/1/23(9)		605		568,700
10.50%, 2/1/24(9)		524		451,950
Western Digital Corp.
4.75%, 2/15/26		1,058		1,040,596
			$	26,710,689
Energy — 0.1%
Sunoco, L.P./Sunoco Finance Corp.
4.875%, 1/15/23		950	$	972,562
5.50%, 2/15/26		412		430,025
			$	1,402,587
Engineering & Construction — 0.0%(6)
Abengoa Abenewco 2 SAU
1.50%, (0.25% cash, 1.25% PIK), 12/31/49(9)		377	$	5,661
			$	5,661
Entertainment — 0.1%
CPUK Finance, Ltd.
4.875%, 2/28/47(10)	GBP	485	$	619,472
Entertainment One, Ltd.
4.625%, 7/15/26(10)	GBP	155		202,897
Merlin Entertainments PLC
5.75%, 6/15/26(9)		870		918,937
Pinewood Finance Co., Ltd.
3.75%, 12/1/23(10)	GBP	250		324,997
			$	2,066,303
Equipment Leasing — 0.1%
Ashtead Capital, Inc.
4.125%, 8/15/25(9)		2,120	$	2,157,100
			$	2,157,100
Financial Intermediaries — 1.2%
CIT Group, Inc.
6.125%, 3/9/28		650	$	741,000
Citigroup, Inc.
3.98% to 3/20/29, 3/20/30(12)		1,200		1,283,241
Credit Acceptance Corp.
7.375%, 3/15/23		925		963,156
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.25%, 2/1/22		2,385		2,456,550
6.375%, 12/15/25		820		839,106
6.25%, 5/15/26(9)		1,615		1,637,206
JPMorgan Chase & Co.
4.26% to 2/22/47, 2/22/48(12)		700		773,415
Series S, 6.75% to 2/1/24(12)(13)		3,325		3,677,267

32

Security	Principal Amount* (000’s omitted)		Value
KKR Group Finance Co. VI, LLC
3.75%, 7/1/29(9)(14)		1,000	$	1,026,998
Navient Corp.
8.00%, 3/25/20		2,150		2,230,625
5.00%, 10/26/20		995		1,017,388
7.25%, 1/25/22		215		232,738
6.75%, 6/15/26		680		707,200
Springleaf Finance Corp.
7.125%, 3/15/26		998		1,092,511
Synchrony Financial
4.50%, 7/23/25		895		939,825
Synovus Financial Corp.
5.90% to 2/7/24, 2/7/29(12)		1,031		1,069,662
UPCB Finance IV, Ltd.
5.375%, 1/15/25(9)		200		206,062
			$	20,893,950
Financial Services — 0.6%
Brookfield Finance, Inc.
4.70%, 9/20/47		1,050	$	1,098,069
Debt and Asset Trading Corp.
1.00%, 10/10/25(10)		2,600		1,956,500
Deutsche Bank AG
4.25%, 2/4/21		2,295		2,315,525
Nordea Bank ABP
4.625% to 9/13/28, 9/13/33(9)(12)		1,000		1,056,176
Sensata Technologies UK Financing Co. PLC
6.25%, 2/15/26(9)		2,735		2,919,612
Yapi ve Kredi Bankasi AS
8.25%, 10/15/24(9)		1,500		1,524,097
			$	10,869,979
Food Products — 0.7%
Dole Food Co., Inc.
7.25%, 6/15/25(9)		3,550	$	3,452,375
Iceland Bondco PLC
5.071%, (3 mo. GBP LIBOR + 4.25%), 7/15/20(9)(15)	GBP	210		267,022
PepsiCo, Inc.
2.85%, 2/24/26		750		771,128
Post Holdings, Inc.
5.50%, 3/1/25(9)		1,680		1,740,900
8.00%, 7/15/25(9)		745		800,875
5.00%, 8/15/26(9)		2,275		2,314,813
5.625%, 1/15/28(9)		1,193		1,230,281
5.50%, 12/15/29(9)(14)		535		538,344
Smithfield Foods, Inc.
2.65%, 10/3/21(9)		550		542,147
Tesco PLC
6.125%, 2/24/22	GBP	200		284,204
			$	11,942,089

33

Security	Principal Amount* (000’s omitted)		Value
Food Service — 0.7%
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.
4.625%, 1/15/22(9)		2,410	$	2,416,025
4.25%, 5/15/24(9)		2,720		2,757,400
5.00%, 10/15/25(9)		3,470		3,505,741
US Foods, Inc.
5.875%, 6/15/24(9)		2,560		2,640,000
Welbilt, Inc.
9.50%, 2/15/24		815		885,294
			$	12,204,460
Forest Products — 0.0%(6)
Mercer International, Inc.
5.50%, 1/15/26		450	$	449,438
			$	449,438
Health Care — 3.9%
Abbott Laboratories
4.90%, 11/30/46		360	$	444,039
Amgen, Inc.
2.60%, 8/19/26		840		827,411
Centene Corp.
4.75%, 5/15/22		870		891,750
6.125%, 2/15/24		200		209,750
4.75%, 1/15/25		2,450		2,535,039
5.375%, 6/1/26(9)		2,690		2,834,587
Charles River Laboratories International, Inc.
5.50%, 4/1/26(9)		545		574,866
Eagle Holding Co. II, LLC
7.625%, (7.625% cash or 8.375% PIK), 5/15/22(9)(11)		1,461		1,471,957
7.75%, (7.75% cash or 8.50% PIK), 5/15/22(9)(11)		2,276		2,298,760
Gilead Sciences, Inc.
2.95%, 3/1/27		800		811,022
Grifols S.A.
3.20%, 5/1/25(10)	EUR	550		646,513
HCA Healthcare, Inc.
6.25%, 2/15/21		1,710		1,795,500
HCA, Inc.
6.50%, 2/15/20		3,215		3,289,110
7.50%, 2/15/22		2,930		3,237,650
5.00%, 3/15/24		675		735,812
5.875%, 2/15/26		2,705		2,995,787
5.375%, 9/1/26		1,610		1,738,800
5.625%, 9/1/28		1,990		2,159,150
5.875%, 2/1/29		1,076		1,180,910
Hologic, Inc.
4.375%, 10/15/25(9)		1,665		1,696,219
IQVIA, Inc.
3.25%, 3/15/25(10)	EUR	300		352,589
5.00%, 10/15/26(9)		850		884,000
5.00%, 5/15/27(9)		577		597,195

34

Security	Principal Amount* (000’s omitted)		Value
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21(9)		1,230	$	1,262,497
12.50%, 11/1/21(9)		2,480		2,737,300
Medtronic Global Holdings SCA
3.35%, 4/1/27		750		797,335
MPH Acquisition Holdings, LLC
7.125%, 6/1/24(9)		6,957		6,558,364
Polaris Intermediate Corp.
8.50%, (8.50% cash or 9.25% PIK), 12/1/22(9)(11)		2,591		2,299,512
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc.
9.75%, 12/1/26(9)		828		869,400
Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.
7.50%, 10/1/24(9)		3,367		3,535,350
Synlab Bondco PLC
3.50%, (3 mo. EURIBOR + 3.50%), 7/1/22(10)(15)	EUR	580		662,003
Team Health Holdings, Inc.
6.375%, 2/1/25(9)		703		541,310
Teleflex, Inc.
5.25%, 6/15/24		790		812,466
4.625%, 11/15/27		1,055		1,089,288
Tenet Healthcare Corp.
6.00%, 10/1/20		2,435		2,520,225
8.125%, 4/1/22		2,040		2,149,650
6.75%, 6/15/23		325		327,438
UnitedHealth Group, Inc.
3.375%, 4/15/27		475		496,216
WellCare Health Plans, Inc.
5.25%, 4/1/25		2,775		2,903,344
5.375%, 8/15/26(9)		1,706		1,812,625
			$	65,582,739
Home Furnishings — 0.1%
Harman International Industries, Inc.
4.15%, 5/15/25		940	$	998,806
			$	998,806
Industrial Equipment — 0.2%
Colfax Escrow Corp.
6.00%, 2/15/24(9)		478	$	507,278
6.375%, 2/15/26(9)		780		837,525
Harsco Corp.
5.75%, 7/31/27(9)		549		573,079
Orano SA
4.875%, 9/23/24	EUR	200		259,893
Wabtec Corp.
3.45%, 11/15/26		1,000		977,671
			$	3,155,446
Insurance — 0.9%
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer
8.25%, 8/1/23(9)		5,430	$	5,591,271

35

Security	Principal Amount* (000’s omitted)		Value
Ardonagh Midco 3 PLC
8.375%, 7/15/23(10)	GBP	200	$	233,805
8.625%, 7/15/23(9)		1,433		1,354,185
Athene Holding, Ltd.
4.125%, 1/12/28		1,000		1,008,642
Berkshire Hathaway Energy Co.
4.50%, 2/1/45		680		766,374
GTCR AP Finance, Inc.
8.00%, 5/15/27(9)		824		830,180
Hub International, Ltd.
7.00%, 5/1/26(9)		2,479		2,519,284
Metropolitan Life Global Funding I
3.45%, 12/18/26(9)		975		1,026,596
Radian Group, Inc.
4.875%, 3/15/27		562		566,917
USI, Inc.
6.875%, 5/1/25(9)		948		940,890
			$	14,838,144
Internet Software & Services — 0.7%
CDK Global, Inc.
5.25%, 5/15/29(9)		531	$	550,913
eDreams Odigeo SA
5.50%, 9/1/23(10)	EUR	180		214,717
Netflix, Inc.
5.50%, 2/15/22		1,825		1,925,375
4.875%, 4/15/28		1,665		1,725,356
5.875%, 11/15/28		1,810		2,008,412
Oracle Corp.
3.25%, 11/15/27		1,180		1,236,107
Riverbed Technology, Inc.
8.875%, 3/1/23(9)		2,966		1,994,635
Symantec Corp.
5.00%, 4/15/25(9)		2,643		2,710,617
United Group B.V.
4.875%, 7/1/24(10)(14)	EUR	125		147,591
			$	12,513,723
Leisure Goods/Activities/Movies — 1.2%
AMC Entertainment Holdings, Inc.
6.375%, 11/15/24	GBP	225	$	279,786
5.875%, 11/15/26		710		639,000
6.125%, 5/15/27		2,545		2,277,775
Cedar Fair, L.P.
5.25%, 7/15/29(9)		526		537,835
Cinemark USA, Inc.
4.875%, 6/1/23		2,730		2,770,950
Dometic Group AB
3.00%, 5/8/26(10)	EUR	300		343,586
Mattel, Inc.
6.75%, 12/31/25(9)		3,044		3,139,125

36

Security	Principal Amount* (000’s omitted)		Value
National CineMedia, LLC
6.00%, 4/15/22		725	$	734,063
NCL Corp., Ltd.
4.75%, 12/15/21(9)		1,086		1,103,647
Sabre GLBL, Inc.
5.375%, 4/15/23(9)		855		878,512
Viking Cruises, Ltd.
6.25%, 5/15/25(9)		1,690		1,749,150
5.875%, 9/15/27(9)		4,760		4,831,400
WMG Acquisition Corp.
3.625%, 10/15/26(10)	EUR	165		198,621
			$	19,483,450
Lodging and Casinos — 2.3%
Caesars Resort Collection, LLC/CRC Finco, Inc.
5.25%, 10/15/25(9)		2,832	$	2,839,080
Eldorado Resorts, Inc.
6.00%, 4/1/25		930		982,312
ESH Hospitality, Inc.
5.25%, 5/1/25(9)		1,260		1,294,650
Gateway Casinos & Entertainment, Ltd.
8.25%, 3/1/24(9)		255		269,663
GLP Capital, L.P./GLP Financing II, Inc.
4.875%, 11/1/20		2,650		2,702,629
5.75%, 6/1/28		1,125		1,243,935
Golden Entertainment, Inc.
7.625%, 4/15/26(9)		557		570,925
Golden Nugget, Inc.
6.75%, 10/15/24(9)		2,526		2,608,095
8.75%, 10/1/25(9)		1,995		2,099,737
Hilton Domestic Operating Co., Inc.
4.25%, 9/1/24		1,410		1,434,675
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp.
10.25%, 11/15/22(9)		766		823,450
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc.
5.625%, 5/1/24		480		519,000
4.50%, 9/1/26		895		919,612
5.75%, 2/1/27(9)		573		618,124
MGM Resorts International
6.625%, 12/15/21		2,455		2,657,537
7.75%, 3/15/22		3,340		3,732,450
5.75%, 6/15/25		1,445		1,578,634
NH Hotel Group S.A.
3.75%, 10/1/23(10)	EUR	225		263,333
RHP Hotel Properties, L.P./RHP Finance Corp.
5.00%, 4/15/23		1,596		1,625,925
Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC
7.00%, 7/15/26(9)		3,930		4,165,800
Studio City Co., Ltd.
7.25%, 11/30/21(9)		845		875,631

37

Security	Principal Amount* (000’s omitted)		Value
TVL Finance PLC
(3 mo. GBP LIBOR + 5.375%), 7/15/25(10)(14)	GBP	300	$	379,080
VICI Properties 1, LLC/VICI FC, Inc.
8.00%, 10/15/23		2,969		3,284,179
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
5.25%, 5/15/27(9)		1,523		1,530,615
Wynn Macau, Ltd.
5.50%, 10/1/27(9)		215		209,625
			$	39,228,696
Machinery — 0.2%
Cloud Crane, LLC
10.125%, 8/1/24(9)		1,625	$	1,750,937
Nvent Finance S.a.r.l.
4.55%, 4/15/28		1,000		1,016,450
			$	2,767,387
Manufacturing — 0.2%
Novelis Corp.
6.25%, 8/15/24(9)		1,065	$	1,119,272
5.875%, 9/30/26(9)		1,530		1,552,950
			$	2,672,222
Media — 0.1%
McGraw-Hill Global Education Holdings, LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24(9)		141	$	131,130
MDC Partners, Inc.
6.50%, 5/1/24(9)		122		112,723
Nexstar Escrow, Inc.
5.625%, 7/15/27(9)(14)		797		818,918
Telenet Finance Luxembourg S.a.r.l.
3.50%, 3/1/28(10)	EUR	200		236,230
			$	1,299,001
Metals/Mining — 0.4%
Alcoa Nederland Holding B.V.
6.75%, 9/30/24(9)		670	$	711,038
7.00%, 9/30/26(9)		200		215,750
6.125%, 5/15/28(9)		970		1,016,075
Constellium N.V.
5.875%, 2/15/26(9)		1,205		1,241,150
Freeport-McMoRan, Inc.
5.40%, 11/14/34		775		742,062
5.45%, 3/15/43		1,258		1,157,360
Hudbay Minerals, Inc.
7.25%, 1/15/23(9)		1,015		1,049,256
			$	6,132,691
Nonferrous Metals/Minerals — 0.4%
Eldorado Gold Corp.
9.50%, 6/1/24(9)		537	$	539,685

38

Security	Principal Amount* (000’s omitted)		Value
First Quantum Minerals, Ltd.
7.25%, 4/1/23(9)		1,851	$	1,809,352
7.50%, 4/1/25(9)		1,559		1,490,794
6.875%, 3/1/26(9)		636		592,275
Gold Fields Orogen Holdings BVI, Ltd.
6.125%, 5/15/29(9)		1,000		1,100,000
New Gold, Inc.
6.25%, 11/15/22(9)		775		726,562
6.375%, 5/15/25(9)		695		578,588
			$	6,837,256
Oil and Gas — 6.2%
Aker BP ASA
6.00%, 7/1/22(9)		150	$	154,875
4.75%, 6/15/24(9)		1,106		1,142,719
5.875%, 3/31/25(9)		675		716,344
AmeriGas Partners, L.P./AmeriGas Finance Corp.
5.625%, 5/20/24		216		231,120
5.50%, 5/20/25		880		930,600
Antero Resources Corp.
5.375%, 11/1/21		2,715		2,691,244
5.625%, 6/1/23		270		261,900
Apache Corp.
4.25%, 1/15/30		1,000		1,031,084
Ascent Resources Utica Holdings, LLC/ARU Finance Corp.
10.00%, 4/1/22(9)		862		916,866
7.00%, 11/1/26(9)		1,951		1,790,042
Berry Petroleum Co., LLC
7.00%, 2/15/26(9)		722		703,950
Brazos Valley Longhorn, LLC/Brazos Valley Longhorn Finance Corp.
6.875%, 2/1/25		2,394		2,262,330
Centennial Resource Production, LLC
5.375%, 1/15/26(9)		2,175		2,077,125
6.875%, 4/1/27(9)		1,604		1,628,060
Cheniere Corpus Christi Holdings, LLC
7.00%, 6/30/24		340		391,884
5.875%, 3/31/25		2,065		2,305,056
Cheniere Energy Partners, L.P.
5.25%, 10/1/25		1,590		1,649,625
5.625%, 10/1/26(9)		1,265		1,337,737
CrownRock, L.P./CrownRock Finance, Inc.
5.625%, 10/15/25(9)		4,165		4,180,619
CVR Refining, LLC/Coffeyville Finance, Inc.
6.50%, 11/1/22		5,412		5,524,299
Denbury Resources, Inc.
9.00%, 5/15/21(9)		173		171,270
Diamondback Energy, Inc.
4.75%, 11/1/24		490		504,700
5.375%, 5/31/25		1,235		1,299,837
Endeavor Energy Resources, L.P./EER Finance, Inc.
5.50%, 1/30/26(9)		1,045		1,088,106
5.75%, 1/30/28(9)		1,390		1,469,925

39

Security	Principal Amount* (000’s omitted)		Value
Energy Transfer Operating, L.P.
7.50%, 10/15/20		1,950	$	2,068,789
5.875%, 1/15/24		875		973,200
Series A, 6.25% to 2/15/23(12)(13)		1,345		1,252,894
Eni SpA
4.75%, 9/12/28(9)		1,000		1,094,565
EP Energy, LLC/Everest Acquisition Finance, Inc.
7.75%, 5/15/26(9)		630		565,425
Extraction Oil & Gas, Inc.
7.375%, 5/15/24(9)		535		460,100
5.625%, 2/1/26(9)		1,716		1,394,250
Gran Tierra Energy International Holdings, Ltd.
6.25%, 2/15/25(9)		550		514,250
Gran Tierra Energy, Inc.
7.75%, 5/23/27(9)		1,000		985,500
Great Western Petroleum, LLC/Great Western Finance Corp.
9.00%, 9/30/21(9)		2,485		2,031,487
Gulfport Energy Corp.
6.625%, 5/1/23		2,085		1,803,525
6.00%, 10/15/24		1,175		913,563
Hilcorp Energy I, L.P./Hilcorp Finance Co.
5.75%, 10/1/25(9)		10		10,075
6.25%, 11/1/28(9)		1,387		1,402,604
Holly Energy Partners, L.P./Holly Energy Finance Corp.
6.00%, 8/1/24(9)		525		548,625
Jagged Peak Energy, LLC
5.875%, 5/1/26		507		501,930
Kinder Morgan Energy Partners, L.P.
4.70%, 11/1/42		460		467,792
Matador Resources Co.
5.875%, 9/15/26		2,220		2,253,300
Moss Creek Resources Holdings, Inc.
7.50%, 1/15/26(9)		1,915		1,642,112
Nabors Industries, Inc.
5.75%, 2/1/25		426		379,673
Neptune Energy Bondco PLC
6.625%, 5/15/25(9)		1,490		1,519,800
6.625%, 5/15/25(10)		450		459,000
Nine Energy Service, Inc.
8.75%, 11/1/23(9)		600		588,000
Oceaneering International, Inc.
4.65%, 11/15/24		1,915		1,886,275
Parsley Energy, LLC/Parsley Finance Corp.
6.25%, 6/1/24(9)		345		359,663
5.375%, 1/15/25(9)		1,240		1,277,200
5.25%, 8/15/25(9)		1,170		1,193,400
5.625%, 10/15/27(9)		923		969,150
Patterson-UTI Energy, Inc.
3.95%, 2/1/28		1,310		1,288,757
PBF Holding Co., LLC/PBF Finance Corp.
7.00%, 11/15/23		730		761,032
7.25%, 6/15/25		3,219		3,383,974

40

Security	Principal Amount* (000’s omitted)		Value
PBF Logistics, L.P./PBF Logistics Finance Corp.
6.875%, 5/15/23		1,800	$	1,865,250
Petroleos Mexicanos
6.50%, 3/13/27		2,700		2,669,490
Precision Drilling Corp.
6.50%, 12/15/21		72		72,787
7.75%, 12/15/23		90		92,223
7.125%, 1/15/26(9)		500		486,250
QEP Resources, Inc.
5.625%, 3/1/26		288		272,160
Sabine Pass Liquefaction, LLC
5.625%, 2/1/21		935		971,181
Seven Generations Energy, Ltd.
6.875%, 6/30/23(9)		1,250		1,273,438
5.375%, 9/30/25(9)		1,710		1,652,287
Shelf Drilling Holdings, Ltd.
8.25%, 2/15/25(9)		2,715		2,519,520
Shell International Finance B.V.
3.75%, 9/12/46		400		423,633
SM Energy Co.
6.125%, 11/15/22		561		559,598
6.75%, 9/15/26		1,010		951,925
6.625%, 1/15/27		930		864,900
Tallgrass Energy Partners, L.P./Tallgrass Energy Finance Corp.
5.50%, 1/15/28(9)		3,241		3,293,666
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.
5.875%, 4/15/26		985		1,047,794
6.50%, 7/15/27(9)		566		618,355
6.875%, 1/15/29(9)		1,132		1,256,520
Tervita Escrow Corp.
7.625%, 12/1/21(9)		2,381		2,433,882
Transocean Guardian, Ltd.
5.875%, 1/15/24(9)		1,002		1,022,986
Transocean Pontus, Ltd.
6.125%, 8/1/25(9)		685		709,104
Transocean Poseidon, Ltd.
6.875%, 2/1/27(9)		294		311,456
Transocean, Inc.
7.25%, 11/1/25(9)		1,292		1,229,015
7.50%, 1/15/26(9)		523		500,773
Whiting Petroleum Corp.
5.75%, 3/15/21		650		650,813
6.25%, 4/1/23		65		65,163
6.625%, 1/15/26		912		884,070
Williams Cos., Inc. (The)
3.70%, 1/15/23		1,605		1,659,324
4.55%, 6/24/24		1,240		1,336,208
5.75%, 6/24/44		790		922,370
Woodside Finance, Ltd.
3.70%, 9/15/26(9)		1,000		1,016,730
			$	105,044,098

41

Security	Principal Amount* (000’s omitted)		Value
Packaging & Containers — 0.1%
ARD Finance S.A.
7.125%, (7.125% cash or 7.875% PIK), 9/15/23(11)		708	$	727,470
Guala Closures SpA
3.50%, (3 mo. EURIBOR + 3.50%), 4/15/24(10)(15)	EUR	200		231,514
			$	958,984
Pharmaceuticals — 0.4%
AbbVie, Inc.
4.45%, 5/14/46		380	$	373,421
CVS Health Corp.
4.78%, 3/25/38		2,245		2,343,623
Diocle SpA
3.875%, (3 mo. EURIBOR + 3.875%), 6/30/26(10)(15)	EUR	140		161,383
Pfizer, Inc.
2.95%, 3/15/24		1,000		1,031,165
Rossini S.a.r.l.
6.25%, (3 mo. EURIBOR + 6.25%), 10/30/25(10)(15)	EUR	300		351,722
6.75%, 10/30/25(10)	EUR	100		123,934
Teva Pharmaceutical Finance Netherlands III B.V.
6.00%, 4/15/24		2,500		2,367,187
Vizient, Inc.
6.25%, 5/15/27(9)		372		393,874
			$	7,146,309
Pipelines — 0.4%
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.
5.375%, 9/15/24		620	$	619,225
5.75%, 3/1/27(9)		1,378		1,381,445
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.
5.625%, 5/1/27(9)		1,060		1,060,000
EnLink Midstream, LLC
5.375%, 6/1/29		926		951,465
Enterprise Products Operating, LLC
4.45%, 2/15/43		400		418,075
Georgian Oil and Gas Corp. JSC
6.75%, 4/26/21(10)		615		640,716
NGPL PipeCo, LLC
4.375%, 8/15/22(9)		340		351,900
Plains All American Pipeline, L.P.
Series B, 6.125% to 11/15/22(12)(13)		1,850		1,764,937
TransCanada PipeLines, Ltd.
4.75%, 5/15/38		390		427,811
			$	7,615,574
Publishing — 0.3%
Laureate Education, Inc.
8.25%, 5/1/25(9)		4,048	$	4,442,680
Tribune Media Co.
5.875%, 7/15/22		1,390		1,421,136
			$	5,863,816

42

Security	Principal Amount* (000’s omitted)		Value
Radio and Television — 0.7%
Clear Channel Worldwide Holdings, Inc.
Series A, 6.50%, 11/15/22		1,100	$	1,130,250
Series B, 6.50%, 11/15/22		2,130		2,177,925
9.25%, 2/15/24(9)		280		304,500
iHeartCommunications, Inc.
6.375%, 5/1/26		179		190,894
8.375%, 5/1/27		324		341,541
Nielsen Co. Luxembourg S.a.r.l. (The)
5.50%, 10/1/21(9)		1,250		1,257,813
Sirius XM Radio, Inc.
4.625%, 7/15/24(9)(14)		1,595		1,636,119
6.00%, 7/15/24(9)		2,830		2,919,145
5.00%, 8/1/27 (9)		1,609		1,643,030
			$	11,601,217
Real Estate Investment Trusts (REITs) — 0.2%
CBL & Associates, L.P.
5.25%, 12/1/23		1,465	$	1,062,125
EPR Properties
4.50%, 6/1/27		1,100		1,148,016
VEREIT Operating Partnership, L.P.
3.95%, 8/15/27		1,060		1,093,236
WP Carey, Inc.
3.85%, 7/15/29		618		626,565
			$	3,929,942
Retail — 0.1%
Newmark Group, Inc.
6.125%, 11/15/23		2,126	$	2,250,169
			$	2,250,169
Retailers (Except Food and Drug) — 1.0%
Best Buy Co., Inc.
4.45%, 10/1/28		1,000	$	1,057,247
Dollar Tree, Inc.
4.00%, 5/15/25		1,200		1,251,210
Macy’s Retail Holdings, Inc.
4.30%, 2/15/43		1,252		997,305
Murphy Oil USA, Inc.
6.00%, 8/15/23		4,165		4,295,156
5.625%, 5/1/27		560		585,200
Nordstrom, Inc.
5.00%, 1/15/44		775		723,562
Party City Holdings, Inc.
6.125%, 8/15/23(9)		3,565		3,600,650
6.625%, 8/1/26 (9)		635		617,538
Signet UK Finance PLC
4.70%, 6/15/24		1,064		888,440
Tapestry, Inc.
4.125%, 7/15/27		1,000		1,006,066

43

Security	Principal Amount* (000’s omitted)		Value
Walmart, Inc.
3.55%, 6/26/25		1,000	$	1,068,734
			$	16,091,108
Road & Rail — 0.1%
Watco Cos., LLC/Watco Finance Corp.
6.375%, 4/1/23(9)		1,990	$	2,029,800
			$	2,029,800
Software and Services — 0.5%
Camelot Finance S.A.
7.875%, 10/15/24(9)		2,282	$	2,404,658
Gartner, Inc.
5.125%, 4/1/25(9)		795		821,958
IHS Markit, Ltd.
5.00%, 11/1/22(9)		2,240		2,384,480
InterXion Holding N.V.
4.75%, 6/15/25(10)	EUR	300		372,358
j2 Cloud Services, LLC/j2 Global Co-Obligor, Inc.
6.00%, 7/15/25(9)		1,915		2,013,144
Microsoft Corp.
3.75%, 2/12/45		750		817,917
			$	8,814,515
Steel — 0.4%
ABJA Investment Co. Pte, Ltd.
5.45%, 1/24/28(10)		200	$	191,925
Allegheny Ludlum, LLC
6.95%, 12/15/25		225		234,703
Allegheny Technologies, Inc.
5.95%, 1/15/21		745		769,213
7.875%, 8/15/23		4,896		5,264,669
			$	6,460,510
Super Retail — 0.0%(6)
Dufry Finance SCA
4.50%, 8/1/23(10)	EUR	500	$	585,578
			$	585,578
Surface Transport — 0.8%
Anglian Water Osprey Financing PLC
4.00%, 3/8/26(10)	GBP	325	$	379,323
CMA CGM S.A.
7.75%, 1/15/21(10)	EUR	200		212,050
5.25%, 1/15/25(10)	EUR	185		163,278
DAE Funding, LLC
4.50%, 8/1/22(9)		1,050		1,068,375
5.00%, 8/1/24(9)		1,745		1,821,344
Moto Finance PLC
4.50%, 10/1/22(10)	GBP	250		317,963
Park Aerospace Holdings, Ltd.
5.25%, 8/15/22(9)		2,990		3,163,749
5.50%, 2/15/24(9)		1,333		1,438,613

44

Security	Principal Amount* (000’s omitted)		Value
XPO Logistics, Inc.
6.50%, 6/15/22(9)		2,276	$	2,327,210
6.125%, 9/1/23(9)		2,221		2,307,064
			$	13,198,969
Technology — 0.4%
Dell International, LLC/EMC Corp.
5.875%, 6/15/21(9)		100	$	101,694
7.125%, 6/15/24(9)		2,440		2,575,980
6.02%, 6/15/26(9)		1,945		2,146,589
Israel Electric Corp., Ltd.
5.00%, 11/12/24(9)(10)		1,800		1,952,460
Western Union Co. (The)
6.20%, 11/17/36		637		689,646
			$	7,466,369
Telecommunications — 4.0%
Altice Financing S.A.
6.625%, 2/15/23(9)		865	$	888,788
Altice Finco SA
8.125%, 1/15/24(9)		727		752,445
Altice Luxembourg S.A.
7.25%, 5/15/22(10)	EUR	44		51,119
7.75%, 5/15/22(9)		1,083		1,103,306
7.625%, 2/15/25(9)		306		288,979
8.00%, 5/15/27(10)	EUR	140		162,326
10.50%, 5/15/27(9)		1,166		1,200,980
AT&T, Inc.
3.80%, 2/15/27		500		520,295
4.75%, 5/15/46		910		958,265
Cellnex Telecom SA
2.375%, 1/16/24(10)	EUR	200		240,101
CenturyLink, Inc.
6.75%, 12/1/23		3,083		3,333,494
7.50%, 4/1/24		263		291,601
CommScope Finance, LLC
8.25%, 3/1/27(9)		655		670,458
CommScope Technologies, LLC
6.00%, 6/15/25(9)		2,546		2,398,867
5.00%, 3/15/27(9)		4,689		4,102,875
Digicel, Ltd.
6.00%, 4/15/21(9)		2,305		1,763,325
eircom Finance DAC
3.50%, 5/15/26(10)	EUR	490		577,377
Equinix, Inc.
5.875%, 1/15/26		2,725		2,891,906
2.875%, 2/1/26	EUR	440		525,213
5.375%, 5/15/27		1,010		1,085,215
Frontier Communications Corp.
7.625%, 4/15/24		285		163,163
6.875%, 1/15/25		1,845		1,042,425

45

Security	Principal Amount* (000’s omitted)		Value
Hughes Satellite Systems Corp.
5.25%, 8/1/26		1,245	$	1,283,906
6.625%, 8/1/26		770		811,388
Intelsat Jackson Holdings S.A.
5.50%, 8/1/23		995		912,912
8.00%, 2/15/24(9)		490		512,050
8.50%, 10/15/24(9)		1,236		1,229,820
Intelsat Luxembourg S.A.
7.75%, 6/1/21		606		583,275
Level 3 Financing, Inc.
5.375%, 1/15/24		2,190		2,242,012
Level 3 Parent, LLC
5.75%, 12/1/22		330		333,713
Qualitytech, L.P./QTS Finance Corp.
4.75%, 11/15/25(9)		795		791,025
Sable International Finance, Ltd.
5.75%, 9/7/27(9)		818		824,646
SBA Communications Corp.
4.00%, 10/1/22		1,020		1,039,125
4.875%, 9/1/24		460		475,525
Sprint Capital Corp.
6.875%, 11/15/28		840		871,500
Sprint Communications, Inc.
7.00%, 8/15/20		1,055		1,095,881
6.00%, 11/15/22		365		381,425
Sprint Corp.
7.25%, 9/15/21		3,265		3,477,225
7.875%, 9/15/23		9,822		10,705,980
7.625%, 2/15/25		1,785		1,903,256
7.625%, 3/1/26		993		1,061,020
T-Mobile USA, Inc.
6.375%, 3/1/25		1,395		1,452,195
6.50%, 1/15/26		595		644,718
4.50%, 2/1/26		980		1,006,950
4.75%, 2/1/28		1,045		1,080,582
TalkTalk Telecom Group PLC
5.375%, 1/15/22(10)	GBP	250		323,062
Telecom Italia SpA
2.50%, 7/19/23(10)	EUR	400		469,781
4.00%, 4/11/24(10)	EUR	140		172,292
5.303%, 5/30/24(9)		1,593		1,654,729
Verizon Communications, Inc.
4.522%, 9/15/48		790		883,687
ViaSat, Inc.
5.625%, 4/15/27(9)		796		829,830
Wind Tre SpA
2.75%, (3 mo. EURIBOR + 2.75%), 1/20/24(9)(15)	EUR	650		730,846
5.00%, 1/20/26(9)		1,030		1,002,035
Zayo Group, LLC/Zayo Capital, Inc.
6.375%, 5/15/25		1,349		1,380,971
			$	67,179,885

46

Security	Principal Amount* (000’s omitted)		Value
Transportation — 0.2%
A.P. Moller – Maersk A/S
4.50%, 6/20/29(9)		1,000	$	1,018,244
JSL Europe S.A.
7.75%, 7/26/24(9)		1,000		1,022,500
XPO CNW, Inc.
6.70%, 5/1/34		1,000		925,000
			$	2,965,744
Utilities — 1.4%
AES Corp. (The)
4.00%, 3/15/21		1,060	$	1,081,200
5.50%, 4/15/25		309		321,746
6.00%, 5/15/26		1,655		1,762,575
Calpine Corp.
5.50%, 2/1/24		285		283,219
5.75%, 1/15/25		40		36,700
5.25%, 6/1/26(9)		1,040		1,062,100
ITC Holdings Corp.
5.30%, 7/1/43		660		792,252
NextEra Energy Operating Partners, L.P.
4.25%, 9/15/24(9)		660		665,973
4.50%, 9/15/27(9)		851		843,554
NRG Energy, Inc.
7.25%, 5/15/26		3,000		3,315,000
5.75%, 1/15/28		1,455		1,565,944
5.25%, 6/15/29(9)		673		718,428
Pattern Energy Group, Inc.
5.875%, 2/1/24(9)		970		989,400
Southern Co. (The)
3.25%, 7/1/26		1,000		1,016,019
Southwestern Electric Power Co.
6.20%, 3/15/40		696		893,493
TerraForm Power Operating, LLC
4.25%, 1/31/23(9)		655		659,094
6.625%, 6/15/25(9)		580		611,175
5.00%, 1/31/28(9)		985		992,387
Thames Water Kemble Finance PLC
5.875%, 7/15/22(10)	GBP	450		578,576
Vistra Energy Corp.
8.125%, 1/30/26(9)		2,315		2,500,200
Vistra Operations Co., LLC
5.00%, 7/31/27(9)		2,239		2,321,496
			$	23,010,531
Total Corporate Bonds & Notes (identified cost $780,182,681)			$	795,930,184

47

Foreign Government Securities — 4.6%
Security	Principal Amount* (000’s omitted)		Value
Albania — 0.3%
Republic of Albania
3.50%, 10/9/25(10)	EUR	3,700	$	4,470,999
Total Albania			$	4,470,999
Argentina — 0.2%
Republic of Argentina
3.875%, 1/15/22(10)	EUR	425	$	396,270
6.25%, 11/9/47	EUR	2,322		1,918,053
6.875%, 1/11/48		2,418		1,798,412
Total Argentina			$	4,112,735
Bahrain — 0.3%
Kingdom of Bahrain
6.75%, 9/20/29(10)		1,696	$	1,797,504
7.00%, 10/12/28(10)		1,839		1,985,461
7.50%, 9/20/47(10)		1,723		1,829,275
Total Bahrain			$	5,612,240
Barbados — 0.1%
Government of Barbados
6.625%, 12/5/35(7)(10)		2,300	$	1,419,560
7.00%, 8/4/22(7)(10)		712		446,210
7.25%, 12/15/21(7)(10)		892		549,651
Total Barbados			$	2,415,421
Benin — 0.2%
Benin Government International Bond
5.75%, 3/26/26(10)	EUR	2,600	$	3,022,981
Total Benin			$	3,022,981
Brazil — 0.0%(6)
Federative Republic of Brazil
5.00%, 1/27/45		200	$	197,877
Total Brazil			$	197,877
Colombia — 0.2%
Republic of Colombia
5.00%, 6/15/45		2,750	$	3,041,500
Total Colombia			$	3,041,500
Costa Rica — 0.1%
Costa Rica Government International Bond
9.20%, 2/21/24(10)		1,666	$	1,802,279
Total Costa Rica			$	1,802,279
Dominican Republic — 0.2%
Dominican Republic
8.625%, 4/20/27(10)		2,671	$	3,198,549
Total Dominican Republic			$	3,198,549

48

Security	Principal Amount* (000’s omitted)		Value
Egypt — 0.3%
Arab Republic of Egypt
4.75%, 4/16/26(10)	EUR	1,388	$	1,589,943
8.50%, 1/31/47(10)		2,700		2,868,734
Total Egypt			$	4,458,677
El Salvador — 0.2%
Republic of El Salvador
7.65%, 6/15/35(10)		1,254	$	1,308,875
8.25%, 4/10/32(10)		647		714,133
8.625%, 2/28/29(10)		769		877,629
Total El Salvador			$	2,900,637
Ethiopia — 0.1%
Ethiopia International Bond
6.625%, 12/11/24(10)		1,768	$	1,847,896
Total Ethiopia			$	1,847,896
Fiji — 0.2%
Republic of Fiji
6.625%, 10/2/20(10)		2,443	$	2,442,984
Total Fiji			$	2,442,984
Honduras — 0.2%
Republic of Honduras
6.25%, 1/19/27(10)		3,020	$	3,257,855
7.50%, 3/15/24(10)		200		220,752
Total Honduras			$	3,478,607
Hungary — 0.1%
Hungary Government Bond
5.75%, 11/22/23		820	$	930,892
Total Hungary			$	930,892
Ivory Coast — 0.0%(6)
Ivory Coast
5.125%, 6/15/25(10)	EUR	435	$	517,402
Total Ivory Coast			$	517,402
Kenya — 0.2%
Republic of Kenya
7.25%, 2/28/28(10)		2,900	$	3,013,048
Total Kenya			$	3,013,048
Lebanon — 0.0%(6)
Lebanese Republic
6.60%, 11/27/26(10)		642	$	510,960
6.85%, 3/23/27(10)		221		175,336
Total Lebanon			$	686,296
Macedonia — 0.2%
Republic of Macedonia
2.75%, 1/18/25(10)	EUR	110	$	131,912

49

Security	Principal Amount* (000’s omitted)		Value
3.975%, 7/24/21(10)	EUR	1,346	$	1,618,172
4.875%, 12/1/20(10)	EUR	788		947,889
Total Macedonia			$	2,697,973
Nigeria — 0.0%(6)
Republic of Nigeria
6.75%, 1/28/21(10)		550	$	574,742
Total Nigeria			$	574,742
Poland — 0.1%
Republic of Poland
4.00%, 1/22/24		890	$	959,413
Total Poland			$	959,413
Rwanda — 0.2%
Republic of Rwanda
6.625%, 5/2/23(10)		3,896	$	4,130,660
Total Rwanda			$	4,130,660
Senegal — 0.0%(6)
Republic of Senegal
4.75%, 3/13/28(10)	EUR	315	$	360,233
Total Senegal			$	360,233
Seychelles — 0.1%
Republic of Seychelles
8.00%, 1/1/26(10)		1,568	$	1,611,081
Total Seychelles			$	1,611,081
Sri Lanka — 0.3%
Republic of Sri Lanka
6.125%, 6/3/25(10)		4,230	$	4,131,886
6.85%, 11/3/25(10)		1,000		1,004,766
Total Sri Lanka			$	5,136,652
Turkey — 0.2%
Republic of Turkey
7.625%, 4/26/29		3,814	$	3,914,259
Total Turkey			$	3,914,259
Ukraine — 0.6%
Ukraine Government International Bond
0.00%, 5/31/40(10)		810	$	582,908
7.75%, 9/1/20(10)		900		931,500
9.75%, 11/1/28(10)		7,115		8,052,579
Total Ukraine			$	9,566,987
Total Foreign Government Securities (identified cost $75,377,040)			$	77,103,020

50

Sovereign Loans — 0.7%
Borrower	Principal Amount (000’s omitted)		Value
Barbados — 0.0%(6)
Government of Barbados
Term Loan, 0.00%, Maturing December 20, 2019(7)(16)	$	1,200	$	714,360
Total Barbados			$	714,360
Kenya — 0.3%
Republic of Kenya
Term Loan, 8.65%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(15)	$	4,500	$	4,616,136
Total Kenya			$	4,616,136
Nigeria — 0.1%
Bank of Industry Limited
Term Loan, 8.47%, (3 mo. USD LIBOR + 6.00%), Maturing May 21, 2021(15)(16)	$	1,900	$	1,920,987
Total Nigeria			$	1,920,987
Tanzania — 0.3%
Government of the United Republic of Tanzania
Term Loan, 7.42%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(15)	$	3,064	$	3,126,987
Term Loan, 7.76%, (3 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(15)		1,700		1,725,752
Total Tanzania			$	4,852,739
Total Sovereign Loans (identified cost $12,322,573)			$	12,104,222
Mortgage Pass-Throughs — 12.4%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
4.50%, with various maturities to 2048	$	1,850	$	1,911,317
5.50%, with maturity at 2032		492		540,553
6.00%, with maturity at 2021		4		3,956
6.50%, with various maturities to 2036		4,497		5,035,111
7.00%, with various maturities to 2036		4,244		4,777,651
7.13%, with maturity at 2023		48		49,630
7.50%, with various maturities to 2035		2,963		3,272,304
7.65%, with maturity at 2022		32		31,933
8.00%, with various maturities to 2030		918		966,078
8.30%, with maturity at 2020		10		10,131
8.50%, with various maturities to 2031		884		990,837
9.00%, with various maturities to 2031		100		105,941
9.50%, with various maturities to 2025		26		26,407
10.00%, with maturity at 2020		2		1,775
			$	17,723,624
Federal National Mortgage Association:
2.981%, (COF + 1.25%), with maturity at 2036(17)	$	878	$	871,346
4.192%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(15)		1,396		1,449,374
4.50%, with various maturities to 2049(18)		71,333		75,012,422

51

Security	Principal Amount (000’s omitted)		Value
4.685%, (1 yr. CMT + 2.259%), with maturity at 2036(17)	$	7,411	$	7,788,802
5.00%, with various maturities to 2040(18)		7,971		8,649,322
5.50%, with various maturities to 2033		851		939,762
6.00%, with various maturities to 2029		1,488		1,580,451
6.327%, (COF + 2.00%), with maturity at 2032(17)		2,178		2,375,364
6.50%, with various maturities to 2036(18)		18,020		20,193,217
6.75%, with maturity at 2023		38		39,929
7.00%, with various maturities to 2037		6,550		7,414,604
7.50%, with various maturities to 2035		3,522		4,014,036
7.887%, with maturity at 2027(19)		220		241,364
8.00%, with various maturities to 2034		994		1,099,913
8.236%, with maturity at 2028(19)		56		62,642
8.241%, with maturity at 2024(19)		12		12,423
8.293%, with maturity at 2029(19)		51		56,668
8.315%, with maturity at 2027(19)		66		73,497
8.50%, with various maturities to 2037		834		931,503
9.00%, with various maturities to 2032		973		1,069,050
9.168%, with maturity at 2025(19)		6		6,393
9.50%, with various maturities to 2030		268		294,444
10.50%, with maturity at 2021		24		25,372
			$	134,201,898
Government National Mortgage Association:
4.50%, with maturity at 2047(18)	$	8,397	$	8,981,314
5.00%, with various maturities to 2049(18)		36,080		37,764,909
6.00%, with maturity at 2024		332		350,850
6.50%, with maturity at 2024(18)		2,059		2,192,364
7.00%, with maturity at 2026		179		197,553
7.50%, with various maturities to 2032(18)		3,938		4,319,155
8.00%, with various maturities to 2034(18)		2,760		3,106,405
8.30%, with maturity at 2020		1		677
8.50%, with maturity at 2022		69		72,348
9.00%, with various maturities to 2025		451		491,616
9.50%, with various maturities to 2021		80		82,916
			$	57,560,107
Total Mortgage Pass-Throughs (identified cost $206,072,979)			$	209,485,629
Collateralized Mortgage Obligations — 24.9%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 24, Class J, 6.25%, 11/25/23	$	201	$	211,369
Series 1497, Class K, 7.00%, 4/15/23		161		171,370
Series 1529, Class Z, 7.00%, 6/15/23		270		288,990
Series 1620, Class Z, 6.00%, 11/15/23		184		194,921
Series 1677, Class Z, 7.50%, 7/15/23		151		162,560

52

Security	Principal Amount (000’s omitted)		Value
Series 1702, Class PZ, 6.50%, 3/15/24	$	1,883	$	2,021,906
Series 2113, Class QG, 6.00%, 1/15/29		456		505,452
Series 2122, Class K, 6.00%, 2/15/29		87		96,640
Series 2130, Class K, 6.00%, 3/15/29		59		65,475
Series 2167, Class BZ, 7.00%, 6/15/29		69		77,209
Series 2182, Class ZB, 8.00%, 9/15/29		688		788,906
Series 2198, Class ZA, 8.50%, 11/15/29		769		878,803
Series 2458, Class ZB, 7.00%, 6/15/32		779		908,989
Series 3762, Class SH, 5.12%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(20)		746		882,165
Series 4097, Class PE, 3.00%, 11/15/40		1,471		1,495,279
Series 4273, Class PU, 4.00%, 11/15/43		2,263		2,464,971
Series 4273, Class SP, 5.493%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(20)		503		700,424
Series 4337, Class YT, 3.50%, 4/15/49		5,385		5,474,388
Series 4407, Class LN, 3.635%, (9.32% - 1 mo. USD LIBOR x 2.33), 12/15/43(20)		108		110,387
Series 4416, Class SU, 3.72%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(20)		2,118		2,107,329
Series 4452, Class ZJ, 3.00%, 11/15/44		3,067		3,002,662
Series 4584, Class PM, 3.00%, 5/15/46		4,450		4,523,440
Series 4594, Class FM, 3.44%, (1 mo. USD LIBOR + 1.00%), 6/15/46(15)		585		590,487
Series 4608, Class TV, 3.50%, 1/15/55		6,892		6,935,595
Series 4617, Class CZ, 3.50%, 5/15/46		840		844,046
Series 4630, Class CZ, 3.00%, 12/15/43		9,273		9,361,989
Series 4637, Class CU, 3.00%, 8/15/44		6,466		6,498,916
Series 4637, Class QF, 3.44%, (1 mo. USD LIBOR + 1.00%), 4/15/44(15)		11,910		11,929,373
Series 4639, Class KF, 3.74%, (1 mo. USD LIBOR + 1.30%), 12/15/44(15)		4,004		4,073,328
Series 4648, Class WF, 3.44%, (1 mo. USD LIBOR + 1.00%), 1/15/47(15)		127		127,368
Series 4677, Class SB, 6.24%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(20)		2,924		3,240,915
Series 4678, Class PC, 3.00%, 1/15/46		11,827		11,926,046
Series 4746, Class CZ, 4.00%, 11/15/47		1,210		1,212,759
Series 4751, Class ZC, 4.00%, 11/15/47		6,228		6,237,949
Series 4774, Class MH, 4.50%, 12/15/42		7,802		8,176,447
Series 4774, Class QD, 4.50%, 1/15/43		19,632		20,576,879
Series 4776, Class C, 4.50%, 3/15/43		7,368		7,718,829
Series 4858, Class LA, 4.50%, 8/15/43		11,367		12,040,171
Series 4859, Class GA, 4.50%, 10/15/43		16,683		17,315,458
Interest Only:(21)
Series 267, Class S5, 3.606%, (6.00% - 1 mo. USD LIBOR), 8/15/42(20)		6,720		1,109,523
Series 284, Class S6, 3.706%, (6.10% - 1 mo. USD LIBOR), 10/15/42(20)		3,864		674,252
Series 362, Class C7, 3.50%, 9/15/47		23,131		3,552,222
Series 362, Class C11, 4.00%, 12/15/47		19,579		3,082,680
Series 3973, Class SG, 4.256%, (6.65% - 1 mo. USD LIBOR), 4/15/30(20)		2,053		105,521
Series 4067, Class JI, 3.50%, 6/15/27		3,368		309,303
Series 4070, Class S, 3.706%, (6.10% - 1 mo. USD LIBOR), 6/15/32(20)		7,870		1,289,324
Series 4088, Class EI, 3.50%, 9/15/41		9,864		1,154,503
Series 4094, Class CS, 3.606%, (6.00% - 1 mo. USD LIBOR), 8/15/42(20)		3,573		666,044
Series 4095, Class HS, 3.706%, (6.10% - 1 mo. USD LIBOR), 7/15/32(20)		2,423		313,488
Series 4109, Class ES, 3.756%, (6.15% - 1 mo. USD LIBOR), 12/15/41(20)		89		17,874
Series 4109, Class KS, 3.706%, (6.10% - 1 mo. USD LIBOR), 5/15/32(20)		628		11,006
Series 4110, Class SA, 3.256%, (5.65% - 1 mo. USD LIBOR), 9/15/42(20)		4,604		759,515
Series 4149, Class S, 3.856%, (6.25% - 1 mo. USD LIBOR), 1/15/33(20)		3,796		623,918
Series 4188, Class AI, 3.50%, 4/15/28		2,479		197,422
Series 4203, Class QS, 3.856%, (6.25% - 1 mo. USD LIBOR), 5/15/43(20)		7,136		990,269
Series 4408, Class IP, 3.50%, 4/15/44		6,543		930,319

53

Security	Principal Amount (000’s omitted)		Value
Series 4435, Class BI, 3.50%, 7/15/44	$	14,791	$	2,125,922
Series 4629, Class QI, 3.50%, 11/15/46		7,647		1,151,487
Series 4644, Class TI, 3.50%, 1/15/45		8,155		1,045,338
Series 4653, Class PI, 3.50%, 7/15/44		3,873		322,416
Series 4667, Class PI, 3.50%, 5/15/42		10,411		986,745
Series 4676, Class DI, 4.00%, 7/15/44		17,633		1,560,494
Series 4744, Class IO, 4.00%, 11/15/47		11,175		1,871,862
Series 4749, Class IL, 4.00%, 12/15/47		5,150		862,927
Series 4767, Class IM, 4.00%, 5/15/45		8,669		844,989
Series 4793, Class SD, 3.806%, (6.20% - 1 mo. USD LIBOR), 6/15/48(20)		29,912		4,058,638
Principal Only:(22)
Series 242, Class PO, 0.00%, 11/15/36		4,505		4,121,565
Series 259, Class PO, 0.00%, 4/15/39		2,723		2,543,794
Series 3606, Class PO, 0.00%, 12/15/39		3,011		2,694,566
Series 4417, Class KO, 0.00%, 12/15/43		538		394,965
Series 4478, Class PO, 0.00%, 5/15/45		2,109		1,857,050
Series 4754, Class JO, 0.00%, 4/15/44		2,231		1,830,556
			$	200,000,687
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2017-DNA2, Class M2, 5.854%, (1 mo. USD LIBOR + 3.45%), 10/25/29(15)	$	3,000	$	3,210,035
Series 2018-DNA1, Class M2, 4.204%, (1 mo. USD LIBOR + 1.80%), 7/25/30(15)		7,517		7,481,835
Series 2018-DNA2, Class M2, 4.554%, (1 mo. USD LIBOR + 2.15%), 12/25/30(9)(15)		7,000		7,035,727
			$	17,727,597
Federal National Mortgage Association:
Series G92-44, Class Z, 8.00%, 7/25/22	$	1	$	682
Series G92-44, Class ZQ, 8.00%, 7/25/22		1		1,110
Series G92-46, Class Z, 7.00%, 8/25/22		72		75,126
Series G92-60, Class Z, 7.00%, 10/25/22		103		108,455
Series G93-35, Class ZQ, 6.50%, 11/25/23		2,417		2,553,642
Series G93-40, Class H, 6.40%, 12/25/23		533		567,582
Series 1990-17, Class G, 9.00%, 2/25/20		2		2,769
Series 1990-27, Class Z, 9.00%, 3/25/20		3		2,913
Series 1990-29, Class J, 9.00%, 3/25/20		4		4,525
Series 1990-43, Class Z, 9.50%, 4/25/20		5		5,562
Series 1991-98, Class J, 8.00%, 8/25/21		24		25,547
Series 1992-77, Class ZA, 8.00%, 5/25/22		139		147,071
Series 1992-103, Class Z, 7.50%, 6/25/22		13		13,712
Series 1992-113, Class Z, 7.50%, 7/25/22		34		36,010
Series 1992-185, Class ZB, 7.00%, 10/25/22		52		54,783
Series 1993-16, Class Z, 7.50%, 2/25/23		125		133,373
Series 1993-22, Class PM, 7.40%, 2/25/23		97		103,103
Series 1993-25, Class J, 7.50%, 3/25/23		160		171,341
Series 1993-30, Class PZ, 7.50%, 3/25/23		263		281,623
Series 1993-42, Class ZQ, 6.75%, 4/25/23		368		390,232
Series 1993-56, Class PZ, 7.00%, 5/25/23		58		62,044
Series 1993-156, Class ZB, 7.00%, 9/25/23		72		77,119
Series 1994-45, Class Z, 6.50%, 2/25/24		492		523,386
Series 1994-89, Class ZQ, 8.00%, 7/25/24		354		390,765
Series 1996-57, Class Z, 7.00%, 12/25/26		362		401,642
Series 1997-77, Class Z, 7.00%, 11/18/27		197		221,058

54

Security	Principal Amount (000’s omitted)		Value
Series 1998-44, Class ZA, 6.50%, 7/20/28	$	205	$	226,533
Series 1999-45, Class ZG, 6.50%, 9/25/29		58		64,965
Series 2000-22, Class PN, 6.00%, 7/25/30		704		784,762
Series 2002-1, Class G, 7.00%, 7/25/23		82		88,071
Series 2002-21, Class PE, 6.50%, 4/25/32		482		549,796
Series 2005-75, Class CS, 14.583%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(20)		948		1,710,953
Series 2007-74, Class AC, 5.00%, 8/25/37		5,446		5,923,388
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(20)		566		626,770
Series 2011-109, Class PE, 3.00%, 8/25/41		3,918		3,926,313
Series 2012-134, Class ZT, 2.00%, 12/25/42		3,541		3,249,079
Series 2013-6, Class TA, 1.50%, 1/25/43		5,130		4,986,950
Series 2013-52, Class MD, 1.25%, 6/25/43		5,162		4,847,796
Series 2013-67, Class NF, 3.404%, (1 mo. USD LIBOR + 1.00%), 7/25/43(15)		2,784		2,793,035
Series 2014-64, Class PA, 3.00%, 3/25/44		4,215		4,273,971
Series 2016-22, Class ZE, 3.00%, 6/25/44		760		743,835
Series 2017-13, Class KF, 3.489%, (1 mo. USD LIBOR + 1.00%), 2/25/47(15)		1,043		1,051,292
Series 2017-15, Class LE, 3.00%, 6/25/46		13,816		13,969,898
Series 2017-39, Class JZ, 3.00%, 5/25/47		1,024		1,015,364
Series 2017-48, Class LG, 2.75%, 5/25/47		7,859		7,931,244
Series 2017-66, Class ZJ, 3.00%, 9/25/57		3,128		3,084,779
Series 2017-75, Class Z, 3.00%, 9/25/57		2,104		2,074,676
Series 2017-76, Class Z, 3.00%, 10/25/57		2,219		2,180,219
Series 2017-96, Class Z, 3.00%, 12/25/57		4,041		3,996,597
Series 2017-110, Class Z, 3.00%, 2/25/57		3,593		3,544,620
Series 2018-18, Class QD, 4.50%, 5/25/45		30,321		32,148,467
Series 2018-50, Class MZ, 4.50%, 7/25/48		2,934		2,949,188
Interest Only:(21)
Series 2010-99, Class NS, 4.196%, (6.60% - 1 mo. USD LIBOR), 3/25/39(20)		758		14,491
Series 2010-124, Class SJ, 3.646%, (6.05% - 1 mo. USD LIBOR), 11/25/38(20)		1,787		88,666
Series 2011-101, Class IC, 3.50%, 10/25/26		8,376		644,100
Series 2011-101, Class IE, 3.50%, 10/25/26		2,713		209,128
Series 2012-24, Class S, 3.096%, (5.50% - 1 mo. USD LIBOR), 5/25/30(20)		1,772		89,479
Series 2012-33, Class CI, 3.50%, 3/25/27		4,887		386,198
Series 2012-56, Class SU, 4.346%, (6.75% - 1 mo. USD LIBOR), 8/25/26(20)		403		14,363
Series 2012-94, Class KS, 4.16%, (6.65% - 1 mo. USD LIBOR), 5/25/38(20)		5,470		570,259
Series 2012-97, Class PS, 3.746%, (6.15% - 1 mo. USD LIBOR), 3/25/41(20)		7,547		1,016,946
Series 2012-103, Class GS, 3.696%, (6.10% - 1 mo. USD LIBOR), 2/25/40(20)		4,364		227,708
Series 2012-118, Class IN, 3.50%, 11/25/42		8,969		1,509,716
Series 2012-124, Class IO, 1.563%, 11/25/42(19)		4,229		167,603
Series 2012-125, Class IG, 3.50%, 11/25/42		26,929		4,474,045
Series 2012-150, Class SK, 3.746%, (6.15% - 1 mo. USD LIBOR), 1/25/43(20)		5,060		717,170
Series 2013-12, Class SP, 3.16%, (5.65% - 1 mo. USD LIBOR), 11/25/41(20)		2,642		261,712
Series 2013-15, Class DS, 3.796%, (6.20% - 1 mo. USD LIBOR), 3/25/33(20)		10,066		1,628,796
Series 2013-16, Class SY, 3.746%, (6.15% - 1 mo. USD LIBOR), 3/25/43(20)		2,370		388,119
Series 2013-54, Class HS, 3.896%, (6.30% - 1 mo. USD LIBOR), 10/25/41(20)		2,710		198,068
Series 2013-64, Class PS, 3.846%, (6.25% - 1 mo. USD LIBOR), 4/25/43(20)		3,846		486,893
Series 2013-75, Class SC, 3.846%, (6.25% - 1 mo. USD LIBOR), 7/25/42(20)		8,674		774,859
Series 2014-32, Class EI, 4.00%, 6/25/44		1,493		263,772
Series 2014-55, Class IN, 3.50%, 7/25/44		3,602		511,688
Series 2014-89, Class IO, 3.50%, 1/25/45		4,676		722,991
Series 2015-17, Class SA, 3.71%, (6.20% - 1 mo. USD LIBOR), 11/25/43(20)		5,567		736,506
Series 2015-52, Class MI, 3.50%, 7/25/45		4,018		597,934

55

Security	Principal Amount (000’s omitted)		Value
Series 2015-95, Class SB, 3.51%, (6.00% - 1 mo. USD LIBOR), 1/25/46(20)	$	13,544	$	2,242,863
Series 2016-1, Class SJ, 3.746%, (6.15% - 1 mo. USD LIBOR), 2/25/46(20)		20,105		3,558,209
Series 2017-46, Class NI, 3.00%, 8/25/42		11,950		1,304,867
Series 2018-21, Class IO, 3.00%, 4/25/48		22,308		3,430,085
Series 2019-1, Class AS, 3.51%, (6.00% - 1 mo. USD LIBOR), 2/25/49(20)		26,073		4,760,275
Series 2019-33, Class SK, 3.668%, (6.05% - 1 mo. USD LIBOR), 7/25/49(20)		32,867		3,517,800
Principal Only:(22)
Series 379, Class 1, 0.00%, 5/25/37		2,944		2,694,400
Series 2006-8, Class WQ, 0.00%, 3/25/36		4,160		3,760,861
			$	157,068,306
Federal National Mortgage Association Connecticut Avenue Securities
Series 2017-C03, Class 1M2, 5.404%, (1 mo. USD LIBOR + 3.00%) 10/25/29(15)	$	2,750	$	2,875,870
			$	2,875,870
Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	593	$	553,816
Series 2016-129, Class ZC, 2.00%, 6/20/45		465		454,750
Series 2017-82, Class TZ, 2.50%, 2/16/43		473		464,191
Series 2017-110, Class ZJ, 3.00%, 7/20/47		13		12,657
Series 2017-121, Class DF, 2.883%, (1 mo. USD LIBOR + 0.50%), 8/20/47(15)		14,292		14,255,238
Series 2017-137, Class AF, 2.985%, (1 mo. USD LIBOR + 0.50%), 9/20/47(15)		7,964		7,962,154
Series 2017-141, Class KZ, 3.00%, 9/20/47		3,075		2,997,310
Series 2018-6, Class JZ, 4.00%, 1/20/48		4,392		4,707,893
Series 2018-67, Class LT, 4.50%, (13.50% - 1 mo. USD LIBOR x 2.25, Cap 4.50%), 4/20/48(20)		3,471		3,511,136
Series 2018-139, Class UF, 3.44%, (1 mo. USD LIBOR + 1.00%), 10/20/48(15)		3,618		3,620,505
Interest Only:(21)
Series 2017-104, Class SD, 3.817%, (6.20% - 1 mo. USD LIBOR), 7/20/47(20)		8,287		1,498,020
Series 2018-105, Class SE, 3.817%, (6.20% - 1 mo. USD LIBOR), 8/20/48(20)		8,861		1,435,125
			$	41,472,795
Total Collateralized Mortgage Obligations (identified cost $436,353,158)			$	419,145,255
Commercial Mortgage-Backed Securities — 5.2%
Security	Principal Amount (000’s omitted)		Value
Agate Bay Mortgage Trust
Series 2015-1, Class A4, 3.50%, 1/25/45(9)(19)	$	2,327	$	2,369,160
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class D, 3.052%, 1/10/48(9)(19)		3,500		3,093,568
Series 2016-C7, Class D, 4.581%, 12/10/54(9)(19)		1,675		1,614,875
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48(9)		1,000		926,179
Series 2017-MDRB, Class C, 4.894%, (1 mo. USD LIBOR + 2.50%), 7/15/30(9)(15)		5,000		5,003,675
COMM Mortgage Trust
Series 2013-CR11, Class D, 5.286%, 8/10/50(9)(19)		4,500		4,567,204
Series 2015-CR22, Class D, 4.255%, 3/10/48(9)(19)		4,100		4,010,308

56

Security	Principal Amount (000’s omitted)		Value
Credit Suisse Mortgage Trust
Series 2016-NXSR, Class C, 4.506%, 12/15/49(19)	$	2,770	$	2,863,963
Series 2016-NXSR, Class D, 4.506%, 12/15/49(9)(19)		3,000		2,794,055
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class C, 4.709%, 9/15/47(19)		730		745,455
Series 2014-C22, Class D, 4.709%, 9/15/47(9)(19)		5,276		4,794,192
Series 2014-C25, Class D, 4.092%, 11/15/47(9)(19)		2,974		2,669,001
Series 2015-C29, Class D, 3.793%, 5/15/48(19)		2,000		1,691,877
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.554%, 8/15/46(9)(19)		7,167		7,289,799
Series 2012-CBX, Class AS, 4.271%, 6/15/45		1,000		1,046,204
Series 2013-C13, Class D, 4.129%, 1/15/46(9)(19)		3,000		3,039,984
Series 2013-C16, Class D, 5.195%, 12/15/46(9)(19)		3,500		3,679,626
Series 2014-DSTY, Class B, 3.771%, 6/10/27(9)		2,600		2,576,112
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.269%, 7/15/50(9)(19)		2,000		1,958,999
Series 2016-C32, Class D, 3.396%, 12/15/49(9)(19)		1,600		1,371,335
Morgan Stanley Capital I Trust
Series 2016-UB12, Class D, 3.312%, 12/15/49(9)		4,489		3,828,796
Series 2017-CLS, Class A, 3.094%, (1 mo. USD LIBOR + 0.70%), 11/15/34(9)(15)		2,000		1,999,744
Series 2019-BPR, Class C, 5.444%, (1 mo. USD LIBOR + 3.05%), 5/15/36(9)(15)		1,845		1,850,642
Motel 6 Trust
Series 2017-MTL6, Class C, 3.798%, (1 mo. USD LIBOR + 1.40%), 8/15/34(9)(15)		2,642		2,646,658
RETL Trust
Series 2019-RVP, Class B, 3.944%, (1 mo. USD LIBOR + 1.55%), 3/15/36(9)(15)		735		737,754
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.728%, 5/10/45(9)(19)		3,000		3,037,087
UBS-Barclays Commercial Mortgage Trust
Series 2013-C6, Class D, 4.455%, 4/10/46(9)(19)		4,437		4,272,997
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class D, 4.421%, 7/15/46(9)(19)		3,000		2,691,918
Series 2015-C31, Class D, 3.852%, 11/15/48		2,475		2,234,852
Series 2015-LC22, Class C, 4.695%, 9/15/58(19)		1,250		1,311,651
Series 2015-SG1, Class C, 4.617%, 9/15/48(19)		2,575		2,641,206
Series 2016-C35, Class D, 3.142%, 7/15/48(9)		1,850		1,558,175
Series 2016-C36, Class D, 2.942%, 11/15/59(9)		1,500		1,147,228
Total Commercial Mortgage-Backed Securities (identified cost $84,154,017)			$	88,064,279
Asset-Backed Securities — 4.6%
Security	Principal Amount (000’s omitted)		Value
Alinea CLO, Ltd.
Series 2018-1A, Class E, 8.592%, (3 mo. USD LIBOR + 6.00%), 7/20/31(9)(15)	$	1,000	$	944,969
AMMC CLO XII, Ltd.
Series 2013-12A, Class ER, 8.725%, (3 mo. USD LIBOR + 6.18%), 11/10/30(9)(15)		1,188		1,142,128
Ares LII CLO, Ltd.
Series 2019-52A, Class E, 9.145%, (3 mo. USD LIBOR + 6.55%), 4/22/31(9)(15)		1,000		995,037

57

Security	Principal Amount (000’s omitted)		Value
Ares XL CLO, Ltd.
Series 2016-40A, Class DR, 8.947%, (3 mo. USD LIBOR + 6.35%), 1/15/29(9)(15)	$	1,000	$	977,553
Ares XXXVR CLO, Ltd.
Series 2015-35RA, Class E, 8.297%, (3 mo. USD LIBOR + 5.70%), 7/15/30(9)(15)		2,000		1,869,895
Babson CLO, Ltd.
Series 2016-1A, Class ER, 8.592%, (3 mo. USD LIBOR + 6.00%), 7/23/30(9)(15)		1,000		957,353
Benefit Street Partners CLO XVI, Ltd.
Series 2018-16A, Class E, 9.404%, (3 mo. USD LIBOR + 6.70%), 1/17/32(9)(15)		3,000		2,938,689
Benefit Street Partners CLO XVII, Ltd.
Series 2019-17A, Class E, 8.93%, (3 mo. USD LIBOR + 6.60%), 7/15/32(9)(15)		3,000		2,978,149
BlueMountain CLO XXIV, Ltd.
Series 2019-24A, Class E, 9.384%, (3 mo. USD LIBOR + 6.76%), 4/20/31(9)(15)		1,000		1,001,078
BlueMountain CLO XXV, Ltd.
Series 2019-25A, Class E, 8.986%, (3 mo. USD LIBOR + 6.70%), 7/15/32(9)(15)		4,500		4,505,623
BlueMountain CLO, Ltd.
Series 2016-3A, Class ER, 8.468%, (3 mo. USD LIBOR + 5.95%), 11/15/30(9)(15)		2,000		1,898,900
Series 2018-1A, Class E, 8.533%, (3 mo. USD LIBOR + 5.95%), 7/30/30(9)(15)		1,000		953,707
Canyon Capital CLO, Ltd.
Series 2016-2A, Class ER, 8.597%, (3 mo. USD LIBOR + 6.00%), 10/15/31(9)(15)		3,350		3,068,468
Carlyle Global Market Strategies CLO, Ltd.
Series 2012-3A, Class DR2, 9.097%, (3 mo. USD LIBOR + 6.50%), 1/14/32(9)(15)		2,000		1,953,486
Series 2014-4RA, Class D, 8.247%, (3 mo. USD LIBOR + 5.65%), 7/15/30(9)(15)		1,250		1,179,034
Series 2015-5A, Class DR, 9.292%, (3 mo. USD LIBOR + 6.70%), 1/20/32(9)(15)		1,000		989,652
Cole Park CLO, Ltd.
Series 2015-1A, Class ER, 9.192%, (3 mo. USD LIBOR + 6.60%), 10/20/28(9)(15)		2,000		1,994,288
Dryden Senior Loan Fund
Series 2016-42A, Class ER, 8.147%, (3 mo. USD LIBOR + 5.55%), 7/15/30(9)(15)		1,000		937,303
First Investors Auto Owner Trust
Series 2015-1A, Class C, 2.71%, 6/15/21(9)		715		714,768
FOCUS Brands Funding, LLC
Series 2017-1A, Class A2I, 3.857%, 4/30/47(9)		1,588		1,635,188
Galaxy XIX CLO, Ltd.
Series 2015-19A, Class D2R, 9.581%, (3 mo. USD LIBOR + 7.00%), 7/24/30(9)(15)		1,600		1,563,371
Galaxy XV CLO, Ltd.
Series 2013-15A, Class ER, 9.242%, (3 mo. USD LIBOR + 6.65%), 10/15/30(9)(15)		3,275		3,153,626
Galaxy XXI CLO, Ltd.
Series 2015-21A, Class ER, 7.842%, (3 mo. USD LIBOR + 5.25%), 4/20/31(9)(15)		1,100		988,730
Galaxy XXV CLO, Ltd.
Series 2018-25A, Class E, 8.53%, (3 mo. USD LIBOR + 5.95%), 10/25/31(9)(15)		1,000		941,726
Golub Capital Partners CLO, Ltd.
Series 2018-37A, Class E, 8.342%, (3 mo. USD LIBOR + 5.75%), 7/20/30(9)(15)		3,000		2,744,372
Kayne CLO 5, Ltd.
Series 2019-5A, Class E, (3 mo. USD LIBOR + 6.70%), 7/24/32(9)(14)		2,050		2,019,250
Madison Park Funding XVII, Ltd.
Series 2015-17A, Class ER, 9.092%, (3 mo. USD LIBOR + 6.50%), 7/21/30(9)(15)		2,000		1,992,480
Madison Park Funding XXXVII, Ltd.
Series 2019-37A, Class E, (3 mo. USD LIBOR + 6.55%), 7/15/32(9)(14)		5,500		5,506,872
Magnetite XXII, Ltd.
Series 2019-22A, Class E, 9.375%, (3 mo. USD LIBOR + 6.75%), 4/15/31(9)(15)		1,500		1,505,207

58

Security	Principal Amount (000’s omitted)		Value
Marlette Funding Trust
Series 2018-1A, Class A, 2.61%, 3/15/28(9)	$	330	$	329,656
MVW Owner Trust
Series 2014-1A, Class A, 2.25%, 9/22/31(9)		457		455,725
Neuberger Berman CLO XIV, Ltd.
Series 2013-14A, Class ER, 9.032%, (3 mo. USD LIBOR + 6.45%), 1/28/30(9)(15)		750		727,997
Neuberger Berman CLO XXII, Ltd.
Series 2016-22A, Class ER, 8.648%, (3 mo. USD LIBOR + 6.06%), 10/17/30(9)(15)		1,500		1,416,256
Neuberger Berman Loan Advisers CLO 30, Ltd.
Series 2018-30A, Class E, 9.424%, (3 mo. USD LIBOR + 6.75%), 1/20/31(9)(15)		2,000		1,958,644
Neuberger Berman Loan Advisers CLO 31, Ltd.
Series 2019-31A, Class E, 9.274%, (3 mo. USD LIBOR + 6.75%), 4/20/31(9)(15)		1,000		990,621
Palmer Square CLO, Ltd.
Series 2013-2A, Class DRR, 8.438%, (3 mo. USD LIBOR + 5.85%), 10/17/31(9)(15)		2,000		1,893,253
Series 2018-2A, Class D, 8.201%, (3 mo. USD LIBOR + 5.60%), 7/16/31(9)(15)		1,000		931,449
Prosper Marketplace Issuance Trust
Series 2017-2A, Class B, 3.48%, 9/15/23(9)		310		310,782
Series 2018-1A, Class A, 3.11%, 6/17/24(9)		217		217,558
Purchasing Power Funding, LLC
Series 2018-A, Class A, 3.34%, 8/15/22(9)		3,200		3,208,680
Regatta IX Funding, Ltd.
Series 2017-1A, Class E, 8.588%, (3 mo. USD LIBOR + 6.00%), 4/17/30(9)(15)		450		431,592
Regatta XIII Funding, Ltd.
Series 2018-2A, Class D, 8.547%, (3 mo. USD LIBOR + 5.95%), 7/15/31(9)(15)		2,000		1,852,765
Regatta XIV Funding, Ltd.
Series 2018-3A, Class E, 8.53%, (3 mo. USD LIBOR + 5.95%), 10/25/31(9)(15)		1,000		950,395
Sierra Timeshare Receivables Funding, LLC
Series 2015-1A, Class B, 3.05%, 3/22/32(9)		346		345,712
Trafigura Securitisation Finance PLC
Series 2017-1A, Class B, 4.184%, (1 mo. USD LIBOR + 1.70%), 12/15/20(9)(15)		1,500		1,508,707
Tricon American Homes Trust
Series 2016-SFR1, Class D, 3.886%, 11/17/33(9)		1,300		1,321,844
Vibrant CLO 1X, Ltd.
Series 2018-9A, Class D, 8.842%, (3 mo. USD LIBOR + 6.25%), 7/20/31(9)(15)		1,000		936,206
Vibrant CLO XI, Ltd.
Series 2019-11A, Class D, (3 mo. USD LIBOR + 6.77%), 7/20/32(9)(14)		575		566,375
Voya CLO, Ltd.
Series 2015-3A, Class DR, 8.792%, (3 mo. USD LIBOR + 6.20%), 10/20/31(9)(15)		3,000		2,830,662
Total Asset-Backed Securities (identified cost $78,565,163)			$	77,235,781
Common Stocks — 0.6%
Security	Shares		Value
Aerospace and Defense — 0.0%(6)
IAP Global Services, LLC(3)(23)(24)		31	$	398,855
			$	398,855

59

Security	Shares		Value
Automotive — 0.1%
Dayco Products, LLC(23)(24)		27,250	$	872,000
			$	872,000
Electronics/Electrical — 0.0%(6)
Answers Corp.(3)(23)(24)		78,756	$	157,512
			$	157,512
Health Care — 0.0%(6)
New Millennium Holdco, Inc.(23)(24)		42,216	$	3,377
			$	3,377
Nonferrous Metals/Minerals — 0.0%
ASP United/GHX Holding, LLC(3)(23)(24)		76,163	$	0
			$	0
Oil and Gas — 0.2%
AFG Holdings, Inc.(3)(23)(24)		29,751	$	1,912,097
Fieldwood Energy, Inc.(23)(24)		10,085		316,417
Nine Point Energy Holdings, Inc.(3)(24)(25)		29,787		298
Samson Resources II, LLC, Class A(23)(24)		45,294		1,087,056
Southcross Holdings Group, LLC(3)(23)(24)		78		0
Southcross Holdings L.P., Class A(23)(24)		78		41,925
			$	3,357,793
Publishing — 0.2%
ION Media Networks, Inc.(3)(23)		5,187	$	3,874,533
Tweddle Group, Inc.(3)(23)(24)		5,433		12,007
			$	3,886,540
Radio and Television — 0.1%
Clear Channel Outdoor Holdings, Inc.(23)(24)		74,443	$	351,371
Cumulus Media, Inc.(23)(24)		50,522		937,183
iHeartMedia, Inc., Class A(23)(24)		31,657		498,598
			$	1,787,152
Retailers (Except Food and Drug) — 0.0%(6)
David’s Bridal, Inc.(23)(24)		34,254	$	171,270
			$	171,270
Total Common Stocks (identified cost $6,720,926)			$	10,634,499
Convertible Preferred Stocks — 0.0%(6)
Security	Shares		Value
Oil and Gas — 0.0%(6)
Nine Point Energy Holdings, Inc., Series A, 12.00%(3)(24)(25)		555	$	449,735
Total Convertible Preferred Stocks (identified cost $555,000)			$	449,735

60

Preferred Stocks — 0.1%
Security	Shares		Value
Pipelines — 0.1%
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(12)		31,500	$	648,585
Total Preferred Stocks (identified cost $702,450)			$	648,585
Closed-End Funds — 1.3%
Security	Shares		Value
BlackRock Corporate High Yield Fund, Inc.		2,089,114	$	22,395,302
Total Closed-End Funds (identified cost $25,357,186)			$	22,395,302
Miscellaneous — 0.0%(6)
Security	Principal Amount/ Shares		Value
Cable and Satellite Television — 0.0%
ACC Claims Holdings, LLC(3)(24)		2,257,600	$	0
			$	0
Oil and Gas — 0.0%(6)
Paragon Offshore Finance Company, Class A(23)(24)		2,021	$	1,895
Paragon Offshore Finance Company, Class B(23)(24)		1,011		35,385
			$	37,280
Telecommunications — 0.0%
Avaya, Inc., Escrow Certificates(3)(24)	$	1,135,000	$	0
			$	0
Total Miscellaneous (identified cost $21,988)			$	37,280
Short-Term Investments — 1.7%
U.S. Treasury Obligations — 0.0%(6)
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 8/1/19(26)	$	500	$	499,138
Total U.S. Treasury Obligations (identified cost $499,138)			$	499,138

61

Other — 1.7%
Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 2.40%(27)		28,540,042	$	28,540,042
Total Other (identified cost $28,540,042)			$	28,540,042
Total Short-Term Investments (identified cost $29,039,180)			$	29,039,180
Total Investments — 152.0% (identified cost $2,587,179,162)			$	2,566,210,584
Less Unfunded Loan Commitments — (0.0)%(6)			$	(155,068	)
Net Investments — 152.0% (identified cost $2,587,024,094)			$	2,566,055,516
Other Assets, Less Liabilities — (39.2)%			$	(661,426,396	)
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (12.8)%			$	(216,097,115	)
Net Assets Applicable to Common Shares — 100.0%			$	1,688,532,005

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

* In U.S. dollars unless otherwise indicated.

(1) Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate.

(2) Unfunded or partially unfunded loan commitments. The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded.

(3) For fair value measurement disclosure purposes, security is categorized as Level 3.

(4) The stated interest rate represents the weighted average interest rate at June 30, 2019 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

(5) This Senior Loan will settle after June 30, 2019, at which time the interest rate will be determined.

(6) Amount is less than 0.05% or (0.05)%, as applicable.

(7) Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(8) Fixed-rate loan.

(9) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2019, the aggregate value of these securities is $580,618,232 or 34.4% of the Fund’s net assets applicable to common shares.

62

(10) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2019, the aggregate value of these securities is $99,912,288 or 5.9% of the Fund’s net assets applicable to common shares.

(11) Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

(12) Security converts to floating rate after the indicated fixed-rate coupon period.

(13) Perpetual security with no stated maturity date but may be subject to calls by the issuer.

(14) When-issued security. For a variable rate security, interest rate will be determined after June 30, 2019.

(15) Variable rate security. The stated interest rate represents the rate in effect at June 30, 2019.

(16) Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

(17) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at June 30, 2019.

(18) Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements.

(19) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2019.

(20) Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at June 30, 2019.

(21) Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

(22) Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.

(23) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.

(24) Non-income producing security.

(25) Restricted security.

(26) Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

(27) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2019. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended June 30, 2019 was $222,616.

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	129,375	USD	146,185	State Street Bank and Trust Company		7/3/19	$	940	$	—
GBP	298,000	USD	378,415	State Street Bank and Trust Company		7/5/19		89		—
EUR	1,000	USD	1,125	Citibank, N.A.		7/11/19		13		—
USD	534,389	EUR	474,835	Citibank, N.A.		7/11/19		—		(5,958	)
EUR	160,834	USD	181,808	Citibank, N.A.		7/18/19		1,320		—
USD	1,859,482	EUR	1,630,081	Citibank, N.A.		7/18/19		3,441		—
USD	2,677,449	EUR	2,368,565	Citibank, N.A.		7/18/19		—		(19,444	)
USD	2,879,868	EUR	2,513,204	Citibank, N.A.		7/25/19		16,643		—
USD	2,611,266	EUR	2,320,958	Citibank, N.A.		7/26/19		—		(33,155	)
EUR	351,524	USD	395,740	State Street Bank and Trust Company		7/31/19		4,938		—
EUR	376,930	USD	424,866	State Street Bank and Trust Company		7/31/19		4,771		—
EUR	233,434	USD	262,302	State Street Bank and Trust Company		7/31/19		3,773		—
EUR	266,146	USD	300,805	State Street Bank and Trust Company		7/31/19		2,557		—
EUR	164,486	USD	185,086	State Street Bank and Trust Company		7/31/19		2,401		—
EUR	151,821	USD	171,208	State Street Bank and Trust Company		7/31/19		1,843		—

63

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	111,759	USD	126,545	State Street Bank and Trust Company		7/31/19	$	841	$	—
EUR	2,343	USD	2,633	State Street Bank and Trust Company		7/31/19		38		—
EUR	273,266	USD	311,609	State Street Bank and Trust Company		7/31/19		—		(131	)
GBP	235,658	USD	298,143	State Street Bank and Trust Company		7/31/19		1,568		—
GBP	224,689	USD	285,901	State Street Bank and Trust Company		7/31/19		—		(141	)
USD	14,522,348	EUR	12,920,181	Goldman Sachs International		7/31/19		—		(204,503	)
USD	2,108,641	EUR	1,865,625	HSBC Bank USA, N.A.		7/31/19		—		(17,860	)
USD	1,460,716	EUR	1,305,257	JPMorgan Chase Bank, N.A.		7/31/19		—		(27,059	)
USD	21,285	EUR	18,917	State Street Bank and Trust Company		7/31/19		—		(277	)
USD	569,535	EUR	500,000	State Street Bank and Trust Company		7/31/19		—		(382	)
USD	108,127	EUR	95,667	State Street Bank and Trust Company		7/31/19		—		(917	)
USD	146,517	EUR	129,375	State Street Bank and Trust Company		7/31/19		—		(949	)
USD	158,544	EUR	140,000	State Street Bank and Trust Company		7/31/19		—		(1,032	)
USD	111,049	EUR	98,920	State Street Bank and Trust Company		7/31/19		—		(1,703	)
USD	157,871	EUR	140,000	State Street Bank and Trust Company		7/31/19		—		(1,706	)
USD	157,423	EUR	139,989	State Street Bank and Trust Company		7/31/19		—		(2,142	)
USD	184,805	EUR	165,000	State Street Bank and Trust Company		7/31/19		—		(3,267	)
USD	480,611	EUR	424,641	State Street Bank and Trust Company		7/31/19		—		(3,409	)
USD	363,945	EUR	323,267	State Street Bank and Trust Company		7/31/19		—		(4,525	)
USD	376,664	EUR	334,950	State Street Bank and Trust Company		7/31/19		—		(5,123	)
USD	421,020	EUR	375,000	State Street Bank and Trust Company		7/31/19		—		(6,418	)
USD	572,919	EUR	508,279	State Street Bank and Trust Company		7/31/19		—		(6,434	)
USD	876,490	EUR	775,000	State Street Bank and Trust Company		7/31/19		—		(6,881	)
USD	1,638,071	EUR	1,453,625	State Street Bank and Trust Company		7/31/19		—		(18,819	)
USD	19,737,963	EUR	17,552,058	State Street Bank and Trust Company		7/31/19		—		(268,455	)
USD	5,402,610	GBP	4,159,657	State Street Bank and Trust Company		7/31/19		112,347		—
USD	2,177,975	GBP	1,677,740	State Street Bank and Trust Company		7/31/19		44,221		—
USD	140,249	GBP	107,187	State Street Bank and Trust Company		7/31/19		3,929		—
USD	26,793	GBP	20,997	State Street Bank and Trust Company		7/31/19		89		—
USD	378,908	GBP	298,000	State Street Bank and Trust Company		7/31/19		—		(90	)
USD	195,584	GBP	155,000	State Street Bank and Trust Company		7/31/19		—		(1,545	)
EUR	108,696	USD	122,604	Citibank, N.A.		8/8/19		1,368		—
USD	737,492	CAD	994,455	HSBC Bank USA, N.A.		8/30/19		—		(22,762	)
USD	2,888,138	EUR	2,568,124	Citibank, N.A.		8/30/19		—		(45,730	)
USD	655,677	EUR	573,563	State Street Bank and Trust Company		8/30/19		430		—
USD	558,848	EUR	498,000	State Street Bank and Trust Company		8/30/19		—		(10,076	)
USD	45,298	EUR	40,010	Citibank, N.A.		9/27/19		—		(507	)
USD	356,777	EUR	315,129	Citibank, N.A.		9/27/19		—		(3,992	)
USD	1,074,579	EUR	938,627	Deutsche Bank AG		9/30/19		—		(231	)
USD	27,364,116	EUR	23,903,280	HSBC Bank USA, N.A.		9/30/19		—		(7,228	)
USD	1,533,703	EUR	1,341,245	Citibank, N.A.		10/15/19		—		(3,882	)
							$	207,560	$	(736,733	)

Futures Contracts

Description	Number of Contracts		Position	Expiration Date		Notional Amount		Value/ Unrealized Appreciation (Depreciation)
Interest Rate Futures
5-Year USD Deliverable Interest Rate Swap		50	Short		9/16/19	$	(5,303,125)	$	(44,122	)
10-Year USD Deliverable Interest Rate Swap		92	Short		9/16/19		(10,074,000)		(153,812	)

64

Description	Number of Contracts		Position	Expiration Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
Euro-Bobl		28	Short		9/6/19	$	(4,280,409	)	$	(17,864	)
U.S. 5-Year Treasury Note		775	Short		9/30/19		(91,571,094	)		(1,108,008	)
U.S. 10-Year Treasury Note		490	Short		9/19/19		(62,704,687	)		(1,102,500	)
U.S. 10-Year Treasury Note		260	Long		9/19/19		33,271,875			520,000
U.S. Long Treasury Bond		28	Short		9/19/19		(4,356,625	)		(87,063	)
U.S. Ultra-Long Treasury Bond		14	Short		9/19/19		(2,485,875	)		(53,375	)
									$	(2,046,744	)

Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.

Centrally Cleared Interest Rate Swaps

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
EUR	1,548	Receives	6-month EURIBOR (pays semi-annually)	0.25% (pays annually)		9/20/22	$	(38,305	)	$	4,431		$	(33,874	)
EUR	140	Receives	6-month EURIBOR (pays semi-annually)	1.00% (pays annually)		3/21/23		(8,413	)		3,130			(5,283	)
EUR	5,080	Receives	6-month EURIBOR (pays semi-annually)	0.40% (pays annually)		10/4/23		(187,376	)		4,922			(182,454	)
EUR	240	Receives	6-month EURIBOR (pays semi-annually)	1.01% (pays annually)		3/20/28		(23,415	)		(124	)		(23,539	)
EUR	290	Receives	6-month EURIBOR (pays semi-annually)	1.01% (pays annually)		3/21/28		(28,295	)		(612	)		(28,907	)
EUR	931	Receives	6-month EURIBOR (pays semi-annually)	1.06% (pays annually)		10/16/28		(100,767	)		(194	)		(100,961	)
EUR	95	Receives	6-month EURIBOR (pays semi-annually)	1.47% (pays annually)		4/5/48		(22,000	)		—			(22,000	)
EUR	265	Receives	6-month EURIBOR (pays semi-annually)	1.36% (pays annually)		4/5/48		(52,216	)		(9,224	)		(61,440	)
EUR	159	Receives	6-month EURIBOR (pays semi-annually)	1.54% (pays annually)		5/29/48		(39,674	)		—			(39,674	)
EUR	71	Receives	6-month EURIBOR (pays semi-annually)	1.46% (pays annually)		5/31/48		(16,058	)		(62	)		(16,120	)
EUR	265	Receives	6-month EURIBOR (pays semi-annually)	1.47% (pays annually)		11/28/48		(64,088	)		—			(64,088	)
USD	760	Receives	3-month USD-LIBOR (pays quarterly)	1.93% (pays semi-annually)		11/3/20		927			—			927
USD	100	Receives	3-month USD-LIBOR (pays quarterly)	1.96% (pays semi-annually)		11/17/20		37			(125	)		(88	)
USD	550	Receives	3-month USD-LIBOR (pays quarterly)	2.68% (pays semi-annually)		3/16/21		(11,403	)		(164	)		(11,567	)
USD	650	Receives	3-month USD-LIBOR (pays quarterly)	2.68% (pays semi-annually)		3/16/21		(13,489	)		(170	)		(13,659	)
USD	500	Receives	3-month USD-LIBOR (pays quarterly)	2.68% (pays semi-annually)		3/19/21		(10,350	)		—			(10,350	)
USD	390	Receives	3-month USD-LIBOR (pays quarterly)	3.11% (pays semi-annually)		9/27/23		(24,843	)		9			(24,834	)

65

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
USD	292	Receives	3-month USD-LIBOR (pays quarterly)	3.09% (pays semi-annually)		9/28/23	$	(18,329	)	$	—		$	(18,329	)
USD	425	Receives	3-month USD-LIBOR (pays quarterly)	3.06% (pays semi-annually)		10/2/23		(23,417	)		(44	)		(23,461	)
USD	263	Receives	3-month USD-LIBOR (pays quarterly)	3.08% (pays semi-annually)		10/2/23		(14,651	)		—			(14,651	)
USD	317	Receives	3-month USD-LIBOR (pays quarterly)	3.08% (pays semi-annually)		10/3/23		(17,717	)		—			(17,717	)
USD	172	Pays	3-month USD-LIBOR (pays quarterly)	2.36% (pays semi-annually)		4/29/24		4,667			—			4,667
USD	310	Pays	3-month USD-LIBOR (pays quarterly)	2.33% (pays semi-annually)		4/30/24		7,933			—			7,933
USD	420	Pays	3-month USD-LIBOR (pays quarterly)	2.32% (pays semi-annually)		5/3/24		10,644			—			10,644
USD	270	Pays	3-month USD-LIBOR (pays quarterly)	2.29% (pays semi-annually)		5/10/24		6,439			—			6,439
USD	1,855	Receives	3-month USD-LIBOR (pays quarterly)	1.95% (pays semi-annually)		6/13/24		(15,123	)		—			(15,123	)
USD	200	Pays	3-month USD-LIBOR (pays quarterly)	1.83% (pays semi-annually)		6/19/24		524			—			524
USD	144	Pays	3-month USD-LIBOR (pays quarterly)	1.80% (pays semi-annually)		6/20/24		229			—			229
USD	31	Pays	3-month USD-LIBOR (pays quarterly)	1.75% (pays semi-annually)		6/28/24		(26	)		—			(26	)
USD	66	Receives	3-month USD-LIBOR (pays quarterly)	2.64% (pays semi-annually)		2/5/26		(3,786	)		—			(3,786	)
USD	250	Receives	3-month USD-LIBOR (pays quarterly)	2.58% (pays semi-annually)		2/12/26		(13,286	)		—			(13,286	)
USD	170	Receives	3-month USD-LIBOR (pays quarterly)	2.62% (pays semi-annually)		2/17/26		(9,466	)		—			(9,466	)
USD	466	Receives	3-month USD-LIBOR (pays quarterly)	2.60% (pays semi-annually)		3/1/26		(25,556	)		—			(25,556	)
USD	330	Receives	3-month USD-LIBOR (pays quarterly)	2.68% (pays semi-annually)		1/30/28		(22,370	)		—			(22,370	)
USD	140	Receives	3-month USD-LIBOR (pays quarterly)	2.72% (pays semi-annually)		1/31/28		(10,031	)		—			(10,031	)
USD	240	Receives	3-month USD-LIBOR (pays quarterly)	2.86% (pays semi-annually)		3/20/28		(20,068	)		—			(20,068	)
USD	673	Receives	3-month USD-LIBOR (pays quarterly)	3.13% (pays semi-annually)		9/28/28		(74,066	)		—			(74,066	)
USD	273	Receives	3-month USD-LIBOR (pays quarterly)	3.11% (pays semi-annually)		10/2/28		(27,662	)		132			(27,530	)
USD	573	Receives	3-month USD-LIBOR (pays quarterly)	3.12% (pays semi-annually)		10/2/28		(58,404	)		—			(58,404	)
USD	603	Receives	3-month USD-LIBOR (pays quarterly)	3.29% (pays semi-annually)		11/13/28		(70,648	)		—			(70,648	)
USD	1,185	Receives	3-month USD-LIBOR (pays quarterly)	3.25% (pays semi-annually)		11/13/28		(134,399	)		—			(134,399	)
USD	956	Receives	3-month USD-LIBOR (pays quarterly)	2.72% (pays semi-annually)		1/15/29		(71,424	)		200			(71,224	)

66

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
USD	160	Receives	3-month USD-LIBOR (pays quarterly)	2.72% (pays semi-annually)		1/17/29	$	(11,964	)	$	—		$	(11,964	)
USD	522	Receives	3-month USD-LIBOR (pays quarterly)	2.75% (pays semi-annually)		1/18/29		(40,522	)		—			(40,522	)
USD	930	Receives	3-month USD-LIBOR (pays quarterly)	2.74% (pays semi-annually)		1/31/29		(71,109	)		—			(71,109	)
USD	514	Receives	3-month USD-LIBOR (pays quarterly)	2.72% (pays semi-annually)		2/5/29		(38,529	)		—			(38,529	)
USD	810	Receives	3-month USD-LIBOR (pays quarterly)	2.73% (pays semi-annually)		3/6/29		(61,710	)		—			(61,710	)
USD	210	Receives	3-month USD-LIBOR (pays quarterly)	2.75% (pays semi-annually)		3/7/29		(16,225	)		—			(16,225	)
USD	244	Receives	3-month USD-LIBOR (pays quarterly)	2.70% (pays semi-annually)		3/11/29		(17,943	)		—			(17,943	)
USD	236	Receives	3-month USD-LIBOR (pays quarterly)	2.70% (pays semi-annually)		3/11/29		(17,308	)		—			(17,308	)
USD	1,954	Receives	3-month USD-LIBOR (pays quarterly)	2.63% (pays semi-annually)		3/25/29		(130,947	)		18,056			(112,891	)
USD	3,012	Receives	3-month USD-LIBOR (pays quarterly)	2.52% (pays semi-annually)		4/29/29		(152,372	)		—			(152,372	)
USD	260	Receives	3-month USD-LIBOR (pays quarterly)	2.49% (pays semi-annually)		4/30/29		(12,376	)		—			(12,376	)
USD	1,750	Receives	3-month USD-LIBOR (pays quarterly)	2.10% (pays semi-annually)		6/7/29		(21,568	)		—			(21,568	)
USD	292	Pays	3-month USD-LIBOR (pays quarterly)	2.02% (pays semi-annually)		6/19/29		1,443			—			1,443
USD	279	Receives	3-month USD-LIBOR (pays quarterly)	2.92% (pays semi-annually)		4/16/48		(42,259	)		—			(42,259	)
USD	310	Receives	3-month USD-LIBOR (pays quarterly)	2.91% (pays semi-annually)		4/17/48		(46,074	)		—			(46,074	)
USD	39	Receives	3-month USD-LIBOR (pays quarterly)	3.12% (pays semi-annually)		5/18/48		(7,566	)		87			(7,479	)
USD	40	Receives	3-month USD-LIBOR (pays quarterly)	3.12% (pays semi-annually)		5/23/48		(7,778	)		—			(7,778	)
USD	30	Receives	3-month USD-LIBOR (pays quarterly)	3.02% (pays semi-annually)		5/29/48		(5,256	)		—			(5,256	)
USD	321	Receives	3-month USD-LIBOR (pays quarterly)	3.14% (pays semi-annually)		9/25/48		(66,716	)		(469	)		(67,185	)
USD	629	Receives	3-month USD-LIBOR (pays quarterly)	3.12% (pays semi-annually)		10/1/48		(124,648	)		—			(124,648	)
USD	120	Receives	3-month USD-LIBOR (pays quarterly)	2.87% (pays semi-annually)		1/28/49		(17,971	)		138			(17,833	)
USD	1,280	Receives	3-month USD-LIBOR (pays quarterly)	2.88% (pays semi-annually)		1/31/49		(194,142	)		(664	)		(194,806	)
USD	135	Receives	3-month USD-LIBOR (pays quarterly)	2.67% (pays semi-annually)		4/11/49		(13,337	)		—			(13,337	)
Total							$	(2,356,598	)	$	19,253		$	(2,337,345	)

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Centrally Cleared Credit Default Swaps — Sell Protection

Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Argentina	$	3,117	5.00% (pays quarterly)(1)		6/20/24		9.62	%	$	(500,899	)	$	269,725	$	(231,174	)
Brazil		4,449	1.00% (pays quarterly)(1)		6/20/24		1.50			(101,848	)		133,014		31,166
Mexico		2,500	1.00% (pays quarterly)(1)		6/20/24		1.10			(11,471	)		31,723		20,252
Russia		2,800	1.00% (pays quarterly)(1)		6/20/24		1.14			(17,409	)		39,358		21,949
Turkey		1,200	1.00% (pays quarterly)(1)		6/20/20		2.52			(17,314	)		38,729		21,415
Total	$	14,066							$	(648,941	)	$	512,549	$	(136,392	)

Credit Default Swaps — Sell Protection

Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Bahamas	Deutsche Bank AG	$	1,150	1.00% (pays quarterly)(1)		6/20/22		1.65	%	$	(20,966	)	$	61,447	$	40,481
Total		$	1,150							$	(20,966	)	$	61,447	$	40,481

* If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At June 30, 2019, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $15,216,000.

** The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract.

*** Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

(1) Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Abbreviations:

CIDOR	-	Canada Three Month Interbank Rate
CMT	-	Constant Maturity Treasury
COF	-	Cost of Funds 11th District
DIP	-	Debtor In Possession

EURIBOR	-	Euro Interbank Offered Rate
LIBOR	-	London Interbank Offered Rate
PIK	-	Payment In Kind

Currency Abbreviations:

CAD	-	Canadian Dollar
EUR	-	Euro

GBP	-	British Pound Sterling
USD	-	United States Dollar

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At June 30, 2019, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:

Credit Risk: The Fund enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase of securities.

Foreign Exchange Risk: The Fund holds foreign currency denominated investments. The value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Fund enters into forward foreign currency exchange contracts.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures contracts and interest rate swaps to manage the duration of its portfolio and to hedge against fluctuations in securities prices due to interest rates.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at June 30, 2019 was as follows:

		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit default swaps	$	—	$	(20,966	)
Credit	Credit default swaps (centrally cleared)		—		(648,941	)
Total		$	—	$	(669,907	)
Foreign Exchange	Forward foreign currency exchange contracts	$	207,560	$	(736,733	)
Total		$	207,560	$	(736,733	)
Interest Rate	Financial futures contracts	$	520,000	$	(2,566,744	)
Interest Rate	Interest rate swaps (centrally cleared)		32,843		(2,389,441	)
Total		$	552,843	$	(4,956,185	)

Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of June 30, 2019 were as follows:

Counterparty	Trade Date		Maturity Date		Interest Rate			Principal Amount		Value Including Accrued Interest		U.S.  Government Agency Securities Pledged as Collateral
Bank of America		6/17/2019		7/18/2019		2.65	%	$	63,573,038	$	63,633,874	$	65,714,034
Bank of Montreal		6/17/2019		7/18/2019		2.65			38,945,645		38,982,914		40,805,147
Total								$	102,518,683	$	102,616,788	$	106,519,181

At June 30, 2019, the remaining contractual maturity of all reverse repurchase agreements was less than 30 days.

Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at June 30, 2019. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy at June 30, 2019.

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Restricted Securities

At June 30, 2019, the Fund owned the following securities (representing less than 0.1% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

Description	Date of Acquisition		Shares		Cost		Value
Common Stocks
Nine Point Energy Holdings, Inc.		7/15/14		29,787	$	1,370,397	$	298
Convertible Preferred Stocks
Nine Point Energy Holdings, Inc., Series A, 12.00%		5/26/17		555	$	555,000	$	449,735
Total Restricted Securities					$	1,925,397	$	450,033

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

• Level 1 — quoted prices in active markets for identical investments

• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At June 30, 2019, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1		Level 2		Level 3*		Total
Senior Floating-Rate Loans (Less Unfunded Loan Commitments)	$	—	$	820,479,086	$	3,303,479	$	823,782,565
Corporate Bonds & Notes		—		795,930,184		—		795,930,184
Foreign Government Securities		—		77,103,020		—		77,103,020
Sovereign Loans		—		12,104,222		—		12,104,222
Mortgage Pass-Throughs		—		209,485,629		—		209,485,629
Collateralized Mortgage Obligations		—		419,145,255		—		419,145,255
Commercial Mortgage-Backed Securities		—		88,064,279		—		88,064,279
Asset-Backed Securities		—		77,235,781		—		77,235,781
Common Stocks		1,288,554		2,990,643		6,355,302		10,634,499
Convertible Preferred Stocks		—		—		449,735		449,735
Preferred Stocks		648,585		—		—		648,585
Closed-End Funds		22,395,302		—		—		22,395,302
Miscellaneous		—		37,280		0		37,280
Short-Term Investments -
U.S. Treasury Obligations		—		499,138		—		499,138
Other		—		28,540,042		—		28,540,042
Total Investments	$	24,332,441	$	2,531,614,559	$	10,108,516	$	2,566,055,516

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Asset Description	Level 1			Level 2			Level 3*		Total
Forward Foreign Currency Exchange Contracts	$	—		$	207,560		$	—	$	207,560
Futures Contracts		520,000			—			—		520,000
Swap Contracts		—			32,843			—		32,843
Total	$	24,852,441		$	2,531,854,962		$	10,108,516	$	2,566,815,919
Liability Description
Forward Foreign Currency Exchange Contracts	$	—		$	(736,733	)	$	—	$	(736,733	)
Futures Contracts		(2,566,744	)		—			—		(2,566,744	)
Swap Contracts		—			(3,059,348	)		—		(3,059,348	)
Total	$	(2,566,744	)	$	(3,796,081	)	$	—	$	(6,362,825	)

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended June 30, 2019 is not presented.

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

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