Eaton Vance
Limited Duration Income Fund
December 31, 2019
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior Floating-Rate Loans 47.0%(1)
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Aerospace and Defense 0.6% |
||||||||
Dynasty Acquisition Co., Inc. |
||||||||
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.00%), Maturing April 6, 2026 |
551 | $ | 556,339 | |||||
IAP Worldwide Services, Inc. |
||||||||
Revolving Loan, 1.42%, (3 mo. USD LIBOR + 5.50%), Maturing July 19, 2021(2) |
172 | 168,404 | ||||||
Term Loan - Second Lien, 8.44%, (3 mo. USD LIBOR + 6.50%), Maturing July 18, 2020(3) |
225 | 179,727 | ||||||
TransDigm, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing June 9, 2023 |
5,543 | 5,567,722 | ||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing August 22, 2024 |
1,378 | 1,383,902 | ||||||
Wesco Aircraft Hardware Corp. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing November 30, 2020 |
963 | 964,329 | ||||||
WP CPP Holdings, LLC |
||||||||
Term Loan, 5.68%, (3 mo. USD LIBOR + 3.75%), Maturing April 30, 2025 |
667 | 664,158 | ||||||
|
|
|||||||
$ | 9,484,581 | |||||||
|
|
|||||||
Automotive 1.0% |
||||||||
Adient US, LLC |
||||||||
Term Loan, 6.18%, (3 mo. USD LIBOR + 4.25%), Maturing May 6, 2024 |
721 | $ | 726,635 | |||||
American Axle and Manufacturing, Inc. |
||||||||
Term Loan, 4.07%, (USD LIBOR + 2.25%), Maturing April 6, 2024(4) |
2,636 | 2,633,596 | ||||||
Autokiniton US Holdings, Inc. |
||||||||
Term Loan, 8.17%, (1 mo. USD LIBOR + 6.38%), Maturing May 22, 2025 |
837 | 803,760 | ||||||
Bright Bidco B.V. |
||||||||
Term Loan, 5.40%, (USD LIBOR + 3.50%), Maturing June 30, 2024(4) |
1,757 | 1,047,323 | ||||||
Chassix, Inc. |
||||||||
Term Loan, 7.44%, (USD LIBOR + 5.50%), Maturing November 15, 2023(4) |
1,470 | 1,359,750 | ||||||
Dayco Products, LLC |
||||||||
Term Loan, 6.16%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023 |
1,170 | 1,035,450 | ||||||
Garrett LX III S.a.r.l. |
||||||||
Term Loan, 4.45%, (3 mo. USD LIBOR + 2.50%), Maturing September 27, 2025 |
296 | 295,972 | ||||||
IAA, Inc. |
||||||||
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.25%), Maturing June 28, 2026 |
582 | 586,724 | ||||||
Panther BF Aggregator 2 L.P. |
||||||||
Term Loan, Maturing April 30, 2026(5) |
EUR | 1,500 | 1,693,667 | |||||
Tenneco, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025 |
3,737 | 3,665,308 | ||||||
Thor Industries, Inc. |
||||||||
Term Loan, 5.50%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026 |
1,133 | 1,138,234 | ||||||
TI Group Automotive Systems, LLC |
||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 2.75%, Floor 0.75%), Maturing June 30, 2022 |
EUR | 910 | 1,022,877 | |||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing June 30, 2022 |
1,065 | 1,070,317 | ||||||
|
|
|||||||
$ | 17,079,613 | |||||||
|
|
1
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Beverage and Tobacco 0.3% |
||||||||
Arterra Wines Canada, Inc. |
||||||||
Term Loan, 4.65%, (1 mo. USD LIBOR + 2.75%), Maturing December 15, 2023 |
2,890 | $ | 2,892,161 | |||||
Flavors Holdings, Inc. |
||||||||
Term Loan, 7.69%, (3 mo. USD LIBOR + 5.75%), Maturing April 3, 2020(3) |
760 | 721,762 | ||||||
Term Loan - Second Lien, 11.94%, (3 mo. USD LIBOR + 10.00%), Maturing October 3, 2021(3) |
1,000 | 950,000 | ||||||
|
|
|||||||
$ | 4,563,923 | |||||||
|
|
|||||||
Brokerage/Securities Dealers/Investment Houses 0.1% |
||||||||
Clipper Acquisitions Corp. |
||||||||
Term Loan, 3.45%, (1 mo. USD LIBOR + 1.75%), Maturing December 27, 2024 |
1,250 | $ | 1,260,402 | |||||
OZ Management L.P. |
||||||||
Term Loan, 6.50%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023 |
126 | 126,157 | ||||||
|
|
|||||||
$ | 1,386,559 | |||||||
|
|
|||||||
Building and Development 1.7% |
||||||||
Advanced Drainage Systems, Inc. |
||||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 2.25%), Maturing July 31, 2026 |
302 | $ | 305,181 | |||||
American Builders & Contractors Supply Co., Inc. |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2027 |
2,444 | 2,455,332 | ||||||
APi Group DE, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing October 1, 2026 |
1,525 | 1,539,059 | ||||||
Beacon Roofing Supply, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing January 2, 2025 |
639 | 642,417 | ||||||
Brookfield Property REIT, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025 |
1,012 | 1,007,127 | ||||||
Core & Main L.P. |
||||||||
Term Loan, 4.53%, (USD LIBOR + 2.75%), Maturing August 1, 2024(4) |
1,181 | 1,181,705 | ||||||
CPG International, Inc. |
||||||||
Term Loan, 5.93%, (6 mo. USD LIBOR + 3.75%), Maturing May 5, 2024 |
1,694 | 1,702,705 | ||||||
Cushman & Wakefield U.S. Borrower, LLC |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing August 21, 2025 |
5,826 | 5,856,290 | ||||||
Henry Company, LLC |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing October 5, 2023 |
2,304 | 2,316,709 | ||||||
NCI Building Systems, Inc. |
||||||||
Term Loan, 5.49%, (1 mo. USD LIBOR + 3.75%), Maturing April 12, 2025 |
790 | 789,639 | ||||||
Quikrete Holdings, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing November 15, 2023 |
3,005 | 3,023,855 | ||||||
RE/MAX International, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing December 15, 2023 |
2,216 | 2,217,724 | ||||||
Realogy Group, LLC |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing February 8, 2025 |
903 | 890,118 | ||||||
Summit Materials Companies I, LLC |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing November 21, 2024 |
686 | 690,073 | ||||||
Werner FinCo L.P. |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing July 24, 2024 |
1,027 | 1,027,049 | ||||||
WireCo WorldGroup, Inc. |
||||||||
Term Loan, 6.80%, (1 mo. USD LIBOR + 5.00%), Maturing September 30, 2023 |
1,355 | 1,291,321 | ||||||
Term Loan - Second Lien, 10.80%, (1 mo. USD LIBOR + 9.00%), Maturing September 30, 2024 |
1,425 | 1,325,250 | ||||||
|
|
|||||||
$ | 28,261,554 | |||||||
|
|
2
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Business Equipment and Services 3.9% |
||||||||
Adtalem Global Education, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing April 11, 2025 |
419 | $ | 419,323 | |||||
AlixPartners, LLP |
||||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing April 4, 2024 |
EUR | 1,769 | 1,999,381 | |||||
Allied Universal Holdco, LLC |
||||||||
Term Loan, 6.05%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026 |
2,525 | 2,544,253 | ||||||
Term Loan, 6.05%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026 |
250 | 251,906 | ||||||
Altran Technologies S.A. |
||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing March 20, 2025 |
EUR | 1,399 | 1,579,659 | |||||
AppLovin Corporation |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025 |
2,279 | 2,295,116 | ||||||
ASGN Incorporated |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing April 2, 2025 |
313 | 315,622 | ||||||
Belfor Holdings, Inc. |
||||||||
Term Loan, 5.69%, (1 mo. USD LIBOR + 4.00%), Maturing April 6, 2026 |
547 | 550,670 | ||||||
BidFair MergeRight, Inc. |
||||||||
Term Loan, 7.24%, (1 mo. USD LIBOR + 5.50%), Maturing January 15, 2027 |
650 | 645,125 | ||||||
Bracket Intermediate Holding Corp. |
||||||||
Term Loan, 6.35%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025 |
938 | 935,780 | ||||||
Brand Energy & Infrastructure Services, Inc. |
||||||||
Term Loan, 6.24%, (3 mo. USD LIBOR + 4.25%), Maturing June 21, 2024 |
585 | 584,164 | ||||||
Camelot U.S. Acquisition 1 Co. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing October 31, 2026 |
1,525 | 1,536,120 | ||||||
Ceridian HCM Holding, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing April 30, 2025 |
1,531 | 1,542,423 | ||||||
CM Acquisition Co. |
||||||||
Term Loan, 11.94%, (3 mo. USD LIBOR + 10.00%), Maturing July 26, 2023 |
363 | 350,811 | ||||||
Cypress Intermediate Holdings III, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing April 29, 2024 |
1,414 | 1,422,586 | ||||||
EAB Global, Inc. |
||||||||
Term Loan, 5.74%, (USD LIBOR + 3.75%), Maturing November 15, 2024(4) |
1,400 | 1,405,313 | ||||||
EIG Investors Corp. |
||||||||
Term Loan, 5.67%, (3 mo. USD LIBOR + 3.75%), Maturing February 9, 2023 |
3,175 | 3,148,935 | ||||||
Element Materials Technology Group US Holdings, Inc. |
||||||||
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing June 28, 2024 |
417 | 414,873 | ||||||
Garda World Security Corporation |
||||||||
Term Loan, 6.66%, (3 mo. USD LIBOR + 4.75%), Maturing October 30, 2026 |
1,250 | 1,258,854 | ||||||
IG Investment Holdings, LLC |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025 |
2,910 | 2,922,587 | ||||||
IRI Holdings, Inc. |
||||||||
Term Loan, 6.30%, (USD LIBOR + 4.50%), Maturing December 1, 2025(4) |
10,074 | 9,906,369 | ||||||
Iron Mountain, Inc. |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026 |
909 | 908,047 | ||||||
KAR Auction Services, Inc. |
||||||||
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.25%), Maturing September 19, 2026 |
648 | 654,178 | ||||||
Kronos Incorporated |
||||||||
Term Loan, 4.91%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2023 |
6,833 | 6,875,879 | ||||||
KUEHG Corp. |
||||||||
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing February 21, 2025 |
2,295 | 2,303,297 | ||||||
Term Loan - Second Lien, 10.19%, (3 mo. USD LIBOR + 8.25%), Maturing August 18, 2025 |
425 | 425,000 |
3
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Monitronics International, Inc. |
||||||||
Term Loan, 8.30%, (1 mo. USD LIBOR + 6.50%), Maturing March 29, 2024 |
2,018 | $ | 1,691,322 | |||||
PGX Holdings, Inc. |
||||||||
Term Loan, 7.05%, (1 mo. USD LIBOR + 5.25%), Maturing September 29, 2020 |
1,460 | 778,650 | ||||||
Pike Corporation |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing July 24, 2026 |
513 | 516,904 | ||||||
Pre-Paid Legal Services, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2025 |
494 | 495,447 | ||||||
Prime Security Services Borrower, LLC |
||||||||
Term Loan, 4.94%, (1 mo. USD LIBOR + 3.25%), Maturing September 23, 2026 |
1,724 | 1,730,532 | ||||||
Prometric Holdings, Inc. |
||||||||
Term Loan, 4.79%, (1 mo. USD LIBOR + 3.00%), Maturing January 29, 2025 |
319 | 319,536 | ||||||
Red Ventures, LLC |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing November 8, 2024 |
1,542 | 1,557,838 | ||||||
SMG US Midco 2, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing January 23, 2025 |
246 | 247,160 | ||||||
Spin Holdco, Inc. |
||||||||
Term Loan, 5.25%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2022 |
3,868 | 3,848,308 | ||||||
Techem Verwaltungsgesellschaft 675 mbH |
||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing July 31, 2025 |
EUR | 1,651 | 1,866,546 | |||||
Tempo Acquisition, LLC |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing May 1, 2024 |
975 | 982,312 | ||||||
Trans Union, LLC |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing November 16, 2026 |
666 | 669,474 | ||||||
Vestcom Parent Holdings, Inc. |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing December 19, 2023 |
603 | 572,430 | ||||||
WASH Multifamily Laundry Systems, LLC |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing May 14, 2022 |
305 | 298,658 | ||||||
West Corporation |
||||||||
Term Loan, 5.43%, (3 mo. USD LIBOR + 3.50%), Maturing October 10, 2024 |
345 | 290,955 | ||||||
Term Loan, 5.93%, (3 mo. USD LIBOR + 4.00%), Maturing October 10, 2024 |
1,200 | 1,020,425 | ||||||
Zephyr Bidco Limited |
||||||||
Term Loan, 5.21%, (1 mo. GBP LIBOR + 4.50%), Maturing July 23, 2025 |
GBP | 775 | 1,015,016 | |||||
|
|
|||||||
$ | 65,097,784 | |||||||
|
|
|||||||
Cable and Satellite Television 1.4% |
||||||||
CSC Holdings, LLC |
||||||||
Term Loan, 3.99%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025 |
3,964 | $ | 3,973,741 | |||||
Term Loan, 3.99%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026 |
1,067 | 1,070,672 | ||||||
Term Loan, 4.24%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2027 |
1,358 | 1,366,865 | ||||||
Numericable Group S.A. |
||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing July 31, 2025 |
EUR | 512 | 569,306 | |||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025 |
2,096 | 2,085,333 | ||||||
Radiate Holdco, LLC |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024 |
2,125 | 2,135,052 | ||||||
Telenet International Finance S.a.r.l. |
||||||||
Term Loan, Maturing December 15, 2027(5) |
EUR | 3,750 | 4,235,092 | |||||
Virgin Media SFA Finance Limited |
||||||||
Term Loan, Maturing November 15, 2027(5) |
GBP | 1,500 | 1,991,867 | |||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing January 31, 2029 |
EUR | 1,300 | 1,463,768 | |||||
Ziggo B.V. |
||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing January 31, 2029 |
EUR | 3,750 | 4,211,633 | |||||
|
|
|||||||
$ | 23,103,329 | |||||||
|
|
4
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Chemicals and Plastics 2.1% |
||||||||
Alpha 3 B.V. |
||||||||
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing January 31, 2024 |
677 | $ | 679,765 | |||||
Aruba Investments, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing February 2, 2022 |
360 | 360,582 | ||||||
Caldic B.V. |
||||||||
Term Loan, Maturing July 18, 2024(5) |
EUR | 1,000 | 1,119,363 | |||||
Emerald Performance Materials, LLC |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2021 |
2,635 | 2,621,546 | ||||||
Ferro Corporation |
||||||||
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024 |
340 | 340,815 | ||||||
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024 |
348 | 348,224 | ||||||
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024 |
486 | 487,249 | ||||||
Flint Group GmbH |
||||||||
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021 |
188 | 164,656 | ||||||
Flint Group US, LLC |
||||||||
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021 |
1,138 | 996,032 | ||||||
Gemini HDPE, LLC |
||||||||
Term Loan, 4.43%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024 |
1,884 | 1,893,489 | ||||||
Hexion, Inc. |
||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing July 1, 2026 |
EUR | 1,575 | 1,773,302 | |||||
Term Loan, 5.60%, (3 mo. USD LIBOR + 3.50%), Maturing July 1, 2026 |
771 | 775,925 | ||||||
INEOS Enterprises Holdings Limited |
||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing August 28, 2026 |
EUR | 200 | 226,023 | |||||
INEOS Enterprises Holdings US Finco, LLC |
||||||||
Term Loan, 5.91%, (3 mo. USD LIBOR + 4.00%), Maturing August 31, 2026 |
274 | 275,770 | ||||||
INEOS Finance PLC |
||||||||
Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing March 31, 2024 |
EUR | 3,234 | 3,633,244 | |||||
Kraton Polymers, LLC |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing March 5, 2025 |
928 | 925,422 | ||||||
Messer Industries GmbH |
||||||||
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026 |
1,613 | 1,623,396 | ||||||
Minerals Technologies, Inc. |
||||||||
Term Loan, 4.06%, (USD LIBOR + 2.25%), Maturing February 14, 2024(4) |
1,107 | 1,113,209 | ||||||
Momentive Performance Materials, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing May 15, 2024 |
473 | 469,966 | ||||||
Orion Engineered Carbons GmbH |
||||||||
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing July 25, 2024 |
EUR | 967 | 1,091,201 | |||||
Term Loan, 3.94%, (3 mo. USD LIBOR + 2.00%), Maturing July 25, 2024 |
708 | 709,926 | ||||||
PMHC II, Inc. |
||||||||
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing March 31, 2025 |
1,191 | 1,059,963 | ||||||
PQ Corporation |
||||||||
Term Loan, 4.43%, (3 mo. USD LIBOR + 2.50%), Maturing February 8, 2025 |
1,741 | 1,752,199 | ||||||
Pregis TopCo Corporation |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing July 31, 2026 |
650 | 651,219 | ||||||
Spectrum Holdings III Corp. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2025 |
358 | 333,490 | ||||||
Starfruit Finco B.V. |
||||||||
Term Loan, 4.96%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025 |
2,950 | 2,957,178 | ||||||
Tata Chemicals North America, Inc. |
||||||||
Term Loan, 4.56%, (1 mo. USD LIBOR + 2.75%), Maturing August 7, 2020 |
1,019 | 1,016,666 |
5
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Tronox Finance, LLC |
||||||||
Term Loan, 4.61%, (USD LIBOR + 2.75%), Maturing September 23, 2024(4) |
3,183 | $ | 3,192,590 | |||||
Univar, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing July 1, 2024 |
2,376 | 2,390,320 | ||||||
Venator Materials Corporation |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing August 8, 2024 |
415 | 413,880 | ||||||
|
|
|||||||
$ | 35,396,610 | |||||||
|
|
|||||||
Conglomerates 0.1% |
||||||||
Penn Engineering & Manufacturing Corp. |
||||||||
Term Loan, Maturing June 27, 2024(5) |
EUR | 1,455 | $ | 1,645,079 | ||||
|
|
|||||||
$ | 1,645,079 | |||||||
|
|
|||||||
Containers and Glass Products 1.1% |
||||||||
Berlin Packaging, LLC |
||||||||
Term Loan, 4.72%, (USD LIBOR + 3.00%), Maturing November 7, 2025(4) |
246 | $ | 245,107 | |||||
Berry Global, Inc. |
||||||||
Term Loan, 3.72%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2022 |
961 | 965,799 | ||||||
Term Loan, 2.50%, (1 mo. EURIBOR + 2.50%), Maturing July 1, 2026 |
EUR | 299 | 335,754 | |||||
Term Loan, 4.22%, (1 mo. USD LIBOR + 2.50%), Maturing July 1, 2026 |
995 | 999,491 | ||||||
BWAY Holding Company |
||||||||
Term Loan, 5.23%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024 |
2,570 | 2,566,008 | ||||||
Consolidated Container Company, LLC |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024 |
440 | 442,234 | ||||||
Crown European Holdings S.A. |
||||||||
Term Loan, Maturing April 3, 2025(5) |
EUR | 2,000 | 2,263,030 | |||||
Flex Acquisition Company, Inc. |
||||||||
Term Loan, 5.09%, (USD LIBOR + 3.00%), Maturing December 29, 2023(4) |
2,030 | 2,017,789 | ||||||
Term Loan, 5.35%, (3 mo. USD LIBOR + 3.25%), Maturing June 29, 2025 |
1,517 | 1,508,741 | ||||||
Libbey Glass, Inc. |
||||||||
Term Loan, 4.71%, (1 mo. USD LIBOR + 3.00%), Maturing April 9, 2021 |
6,763 | 5,554,327 | ||||||
Pelican Products, Inc. |
||||||||
Term Loan, 5.24%, (1 mo. USD LIBOR + 3.50%), Maturing May 1, 2025 |
640 | 589,030 | ||||||
Ring Container Technologies Group, LLC |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing October 31, 2024 |
899 | 902,794 | ||||||
Trident TPI Holdings, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing October 17, 2024 |
834 | 813,025 | ||||||
|
|
|||||||
$ | 19,203,129 | |||||||
|
|
|||||||
Cosmetics/Toiletries 0.1% |
||||||||
KIK Custom Products, Inc. |
||||||||
Term Loan, 5.79%, (1 mo. USD LIBOR + 4.00%), Maturing May 15, 2023 |
2,115 | $ | 2,084,995 | |||||
|
|
|||||||
$ | 2,084,995 | |||||||
|
|
|||||||
Drugs 1.9% |
||||||||
Akorn, Inc. |
||||||||
Term Loan, 11.81%, (11.06% cash (1 mo. USD LIBOR + 9.25%), 0.75% PIK), Maturing April 16, 2021 |
1,147 | $ | 1,101,424 | |||||
Alkermes, Inc. |
||||||||
Term Loan, 3.99%, (1 mo. USD LIBOR + 2.25%), Maturing March 23, 2023 |
1,118 | 1,114,658 | ||||||
Amneal Pharmaceuticals, LLC |
||||||||
Term Loan, 5.31%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025 |
3,693 | 3,340,213 |
6
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Arbor Pharmaceuticals, Inc. |
||||||||
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.00%), Maturing July 5, 2023 |
2,262 | $ | 2,007,211 | |||||
Bausch Health Companies, Inc. |
||||||||
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025 |
5,513 | 5,553,987 | ||||||
Catalent Pharma Solutions, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing May 18, 2026 |
844 | 848,898 | ||||||
Endo Luxembourg Finance Company I S.a.r.l. |
||||||||
Term Loan, 6.06%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024 |
5,289 | 5,039,076 | ||||||
Horizon Therapeutics USA, Inc. |
||||||||
Term Loan, 3.94%, (1 mo. USD LIBOR + 2.25%), Maturing May 22, 2026 |
654 | 659,647 | ||||||
Jaguar Holding Company II |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing August 18, 2022 |
6,313 | 6,354,497 | ||||||
Mallinckrodt International Finance S.A. |
||||||||
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024 |
3,686 | 3,005,183 | ||||||
Term Loan, 4.91%, (3 mo. USD LIBOR + 3.00%), Maturing February 24, 2025 |
2,113 | 1,725,635 | ||||||
Nidda Healthcare Holding AG |
||||||||
Term Loan, Maturing August 21, 2024(5) |
EUR | 625 | 702,450 | |||||
|
|
|||||||
$ | 31,452,879 | |||||||
|
|
|||||||
Ecological Services and Equipment 0.6% |
||||||||
Advanced Disposal Services, Inc. |
||||||||
Term Loan, 3.85%, (1 week USD LIBOR + 2.25%), Maturing November 10, 2023 |
2,333 | $ | 2,345,644 | |||||
EnergySolutions, LLC |
||||||||
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing May 9, 2025 |
5,270 | 4,993,679 | ||||||
GFL Environmental, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing May 30, 2025 |
2,537 | 2,544,100 | ||||||
Patriot Container Corp. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing March 20, 2025 |
147 | 147,099 | ||||||
Terrapure Environmental Ltd. |
||||||||
Term Loan, Maturing November 25, 2026(5) |
425 | 427,125 | ||||||
US Ecology Holdings, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing August 14, 2026 |
275 | 277,492 | ||||||
|
|
|||||||
$ | 10,735,139 | |||||||
|
|
|||||||
Electronics/Electrical 6.3% |
||||||||
Almonde, Inc. |
||||||||
Term Loan, 5.70%, (6 mo. USD LIBOR + 3.50%), Maturing June 13, 2024 |
2,786 | $ | 2,772,872 | |||||
Applied Systems, Inc. |
||||||||
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.25%), Maturing September 19, 2024 |
3,086 | 3,102,162 | ||||||
Term Loan - Second Lien, Maturing September 19, 2025(5) |
475 | 487,469 | ||||||
Aptean, Inc. |
||||||||
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.25%), Maturing April 23, 2026 |
546 | 544,169 | ||||||
Term Loan - Second Lien, 10.44%, (3 mo. USD LIBOR + 8.50%), Maturing April 23, 2027 |
1,450 | 1,435,500 | ||||||
Avast Software B.V. |
||||||||
Term Loan, Maturing September 29, 2023(5) |
EUR | 2,119 | 2,402,721 | |||||
Banff Merger Sub, Inc. |
||||||||
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing October 2, 2025 |
EUR | 297 | 335,401 | |||||
Term Loan, 6.05%, (1 mo. USD LIBOR + 4.25%), Maturing October 2, 2025 |
2,995 | 2,965,270 | ||||||
Barracuda Networks, Inc. |
||||||||
Term Loan, 5.16%, (3 mo. USD LIBOR + 3.25%), Maturing February 12, 2025 |
965 | 971,890 | ||||||
Blackhawk Network Holdings, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing June 15, 2025 |
837 | 839,082 |
7
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Canyon Valor Companies, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing June 16, 2023 |
1,698 | $ | 1,700,225 | |||||
Celestica, Inc. |
||||||||
Term Loan, 4.29%, (1 mo. USD LIBOR + 2.50%), Maturing June 27, 2025 |
371 | 371,598 | ||||||
Cohu, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025 |
815 | 810,614 | ||||||
CommScope, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026 |
1,820 | 1,834,537 | ||||||
CPI International, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing July 26, 2024 |
709 | 682,998 | ||||||
Datto, Inc. |
||||||||
Term Loan, 6.05%, (1 mo. USD LIBOR + 4.25%), Maturing April 2, 2026 |
373 | 376,623 | ||||||
ECI Macola/Max Holding, LLC |
||||||||
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024 |
834 | 836,111 | ||||||
Electro Rent Corporation |
||||||||
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.00%), Maturing January 31, 2024 |
1,431 | 1,442,672 | ||||||
Energizer Holdings, Inc. |
||||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 2.25%), Maturing December 17, 2025 |
380 | 381,986 | ||||||
Epicor Software Corporation |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing June 1, 2022 |
220 | 222,138 | ||||||
EXC Holdings III Corp. |
||||||||
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing December 2, 2024 |
515 | 513,844 | ||||||
Financial & Risk US Holdings, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025 |
1,213 | 1,224,372 | ||||||
Flexera Software, LLC |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing February 26, 2025 |
270 | 271,364 | ||||||
GlobalLogic Holdings, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing August 1, 2025 |
454 | 457,114 | ||||||
Hyland Software, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing July 1, 2024 |
5,584 | 5,636,987 | ||||||
Infoblox, Inc. |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023 |
1,002 | 1,007,623 | ||||||
Infor (US), Inc. |
||||||||
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing February 1, 2022 |
3,877 | 3,898,576 | ||||||
Term Loan, Maturing February 1, 2022(5) |
EUR | 4,000 | 4,511,105 | |||||
Informatica, LLC |
||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing August 5, 2022 |
EUR | 3,343 | 3,789,644 | |||||
MA FinanceCo., LLC |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing November 19, 2021 |
4,336 | 4,371,779 | ||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024 |
533 | 535,442 | ||||||
MACOM Technology Solutions Holdings, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing May 17, 2024 |
1,466 | 1,403,496 | ||||||
Marcel LUX IV S.a.r.l. |
||||||||
Term Loan, Maturing March 16, 2026(5) |
EUR | 1,500 | 1,686,756 | |||||
Microchip Technology Incorporated |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing May 29, 2025 |
1,567 | 1,582,245 | ||||||
Mirion Technologies, Inc. |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing March 6, 2026 |
447 | 451,220 | ||||||
MKS Instruments, Inc. |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing February 2, 2026 |
353 | 354,190 | ||||||
MTS Systems Corporation |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023 |
600 | 603,531 |
8
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
NCR Corporation |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing August 28, 2026 |
948 | $ | 953,548 | |||||
Renaissance Holding Corp. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing May 30, 2025 |
1,281 | 1,277,698 | ||||||
Term Loan - Second Lien, 8.80%, (1 mo. USD LIBOR + 7.00%), Maturing May 29, 2026 |
200 | 187,500 | ||||||
Seattle Spinco, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024 |
3,602 | 3,615,969 | ||||||
SGS Cayman L.P. |
||||||||
Term Loan, 7.32%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021 |
250 | 248,283 | ||||||
SkillSoft Corporation |
||||||||
Term Loan, 6.95%, (6 mo. USD LIBOR + 4.75%), Maturing April 28, 2021 |
8,179 | 6,366,080 | ||||||
SolarWinds Holdings, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024 |
1,176 | 1,186,535 | ||||||
Solera, LLC |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing March 3, 2023 |
857 | 860,020 | ||||||
Sparta Systems, Inc. |
||||||||
Term Loan, Maturing August 21, 2024(5) |
478 | 415,530 | ||||||
SS&C Technologies Holdings Europe S.a.r.l. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing April 16, 2025 |
1,190 | 1,199,097 | ||||||
SS&C Technologies, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing April 16, 2025 |
1,716 | 1,729,427 | ||||||
SurveyMonkey, Inc. |
||||||||
Term Loan, 5.38%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025 |
724 | 726,882 | ||||||
Sutherland Global Services, Inc. |
||||||||
Term Loan, 7.32%, (3 mo. USD LIBOR + 5.38%), Maturing April 23, 2021 |
1,076 | 1,066,610 | ||||||
Switch, Ltd. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing June 27, 2024 |
268 | 269,884 | ||||||
Tibco Software, Inc. |
||||||||
Term Loan, 5.71%, (1 mo. USD LIBOR + 4.00%), Maturing June 30, 2026 |
1,309 | 1,317,327 | ||||||
TriTech Software Systems |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing August 29, 2025 |
891 | 853,875 | ||||||
TTM Technologies, Inc. |
||||||||
Term Loan, 4.19%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2024 |
297 | 298,566 | ||||||
Uber Technologies, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023 |
3,531 | 3,533,582 | ||||||
Term Loan, 5.74%, (1 mo. USD LIBOR + 4.00%), Maturing April 4, 2025 |
7,798 | 7,822,807 | ||||||
Ultimate Software Group, Inc. (The) |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing May 4, 2026 |
1,721 | 1,732,159 | ||||||
Ultra Clean Holdings, Inc. |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025 |
814 | 815,812 | ||||||
Verifone Systems, Inc. |
||||||||
Term Loan, 5.90%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025 |
1,264 | 1,250,982 | ||||||
Veritas Bermuda, Ltd. |
||||||||
Term Loan, 6.32%, (USD LIBOR + 4.50%), Maturing January 27, 2023(4) |
2,665 | 2,575,186 | ||||||
Vero Parent, Inc. |
||||||||
Term Loan, 8.16%, (3 mo. USD LIBOR + 6.25%), Maturing August 16, 2024 |
2,591 | 2,493,555 | ||||||
Vungle, Inc. |
||||||||
Term Loan, 7.30%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2026 |
4,539 | 4,498,912 | ||||||
Western Digital Corporation |
||||||||
Term Loan, 3.45%, (1 mo. USD LIBOR + 1.75%), Maturing April 29, 2023 |
1,966 | 1,978,684 | ||||||
|
|
|||||||
$ | 106,089,836 | |||||||
|
|
9
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Equipment Leasing 0.3% |
||||||||
Delos Finance S.a.r.l. |
||||||||
Term Loan, 3.69%, (3 mo. USD LIBOR + 1.75%), Maturing October 6, 2023 |
2,293 | $ | 2,304,166 | |||||
Flying Fortress, Inc. |
||||||||
Term Loan, 3.69%, (3 mo. USD LIBOR + 1.75%), Maturing October 30, 2022 |
2,199 | 2,209,943 | ||||||
IBC Capital Limited |
||||||||
Term Loan, 5.65%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023 |
614 | 615,598 | ||||||
|
|
|||||||
$ | 5,129,707 | |||||||
|
|
|||||||
Financial Intermediaries 1.5% |
||||||||
Apollo Commercial Real Estate Finance, Inc. |
||||||||
Term Loan, 4.49%, (1 mo. USD LIBOR + 2.75%), Maturing May 15, 2026 |
448 | $ | 449,989 | |||||
Aretec Group, Inc. |
||||||||
Term Loan, 6.05%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025 |
2,386 | 2,362,570 | ||||||
Citco Funding, LLC |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2023 |
3,965 | 3,967,685 | ||||||
Claros Mortgage Trust, Inc. |
||||||||
Term Loan, 4.96%, (1 mo. USD LIBOR + 3.25%), Maturing August 9, 2026 |
798 | 803,985 | ||||||
Ditech Holding Corporation |
||||||||
Term Loan, 0.00%, Maturing June 30, 2022(6) |
4,058 | 1,682,112 | ||||||
EIG Management Company, LLC |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing February 22, 2025 |
270 | 270,694 | ||||||
Evergood 4 ApS |
||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing February 6, 2025 |
EUR | 750 | 846,909 | |||||
FinCo. I, LLC |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing December 27, 2022 |
955 | 961,868 | ||||||
Focus Financial Partners, LLC |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing July 3, 2024 |
3,015 | 3,039,442 | ||||||
Franklin Square Holdings L.P. |
||||||||
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2025 |
543 | 545,162 | ||||||
Greenhill & Co., Inc. |
||||||||
Term Loan, 4.99%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024 |
1,194 | 1,180,938 | ||||||
GreenSky Holdings, LLC |
||||||||
Term Loan, 5.06%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025 |
1,523 | 1,526,682 | ||||||
Guggenheim Partners, LLC |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023 |
2,715 | 2,720,376 | ||||||
Harbourvest Partners, LLC |
||||||||
Term Loan, 3.99%, (1 mo. USD LIBOR + 2.25%), Maturing March 3, 2025 |
1,067 | 1,072,303 | ||||||
Nets Holding A/S |
||||||||
Term Loan, Maturing February 6, 2025(5) |
EUR | 1,000 | 1,118,808 | |||||
Ocwen Loan Servicing, LLC |
||||||||
Term Loan, 6.80%, (1 mo. USD LIBOR + 5.00%), Maturing December 7, 2020 |
304 | 302,910 | ||||||
Starwood Property Trust, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing July 27, 2026 |
524 | 527,936 | ||||||
StepStone Group L.P. |
||||||||
Term Loan, 5.84%, (2 mo. USD LIBOR + 4.00%), Maturing March 27, 2025 |
639 | 637,827 | ||||||
Victory Capital Holdings, Inc. |
||||||||
Term Loan, 5.35%, (3 mo. USD LIBOR + 3.25%), Maturing July 1, 2026 |
1,255 | 1,265,498 | ||||||
Virtus Investment Partners, Inc. |
||||||||
Term Loan, 3.94%, (1 mo. USD LIBOR + 2.25%), Maturing June 1, 2024 |
606 | 609,524 | ||||||
|
|
|||||||
$ | 25,893,218 | |||||||
|
|
10
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Food Products 1.8% |
||||||||
Alphabet Holding Company, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024 |
2,615 | $ | 2,527,653 | |||||
Atkins Nutritionals Holdings II, Inc. |
||||||||
Term Loan, 5.73%, (3 mo. USD LIBOR + 3.75%), Maturing July 7, 2024 |
400 | 405,000 | ||||||
B&G Foods, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing October 10, 2026 |
274 | 277,056 | ||||||
Badger Buyer Corp. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing September 30, 2024 |
391 | 349,945 | ||||||
CHG PPC Parent, LLC |
||||||||
Term Loan, Maturing March 31, 2025(5) |
EUR | 2,000 | 2,261,628 | |||||
Del Monte Foods, Inc. |
||||||||
Term Loan, 5.16%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021 |
3,729 | 3,330,087 | ||||||
Dole Food Company, Inc. |
||||||||
Term Loan, 4.53%, (1 mo. USD LIBOR + 2.75%), Maturing April 6, 2024 |
1,875 | 1,873,828 | ||||||
Froneri International PLC |
||||||||
Term Loan, 2.13%, (1 mo. EURIBOR + 2.13%), Maturing January 31, 2025 |
EUR | 3,075 | 3,462,555 | |||||
Hearthside Food Solutions, LLC |
||||||||
Term Loan, 5.49%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025 |
763 | 758,127 | ||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025 |
470 | 470,250 | ||||||
HLF Financing S.a.r.l. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing August 18, 2025 |
1,086 | 1,092,360 | ||||||
Jacobs Douwe Egberts International B.V. |
||||||||
Term Loan, 2.25%, (3 mo. EURIBOR + 1.75%, Floor 0.50%), Maturing November 1, 2025 |
EUR | 2,221 | 2,516,450 | |||||
JBS USA Lux S.A. |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing May 1, 2026 |
4,739 | 4,778,542 | ||||||
Nomad Foods Europe Midco Limited |
||||||||
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing May 15, 2024 |
EUR | 3,000 | 3,401,554 | |||||
Sunshine Investments B.V. |
||||||||
Term Loan, Maturing March 28, 2025(5) |
GBP | 750 | 998,572 | |||||
Valeo F1 Company Limited (Ireland) |
||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing August 27, 2024 |
EUR | 1,000 | 1,103,472 | |||||
|
|
|||||||
$ | 29,607,079 | |||||||
|
|
|||||||
Food Service 0.4% |
||||||||
Aramark Services, Inc. |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing March 11, 2025 |
933 | $ | 937,763 | |||||
IRB Holding Corp. |
||||||||
Term Loan, 5.22%, (3 mo. USD LIBOR + 3.25%), Maturing February 5, 2025 |
1,995 | 2,007,724 | ||||||
NPC International, Inc. |
||||||||
Term Loan, 5.43%, (3 mo. USD LIBOR + 3.50%), Maturing April 19, 2024 |
975 | 454,350 | ||||||
Restaurant Technologies, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025 |
223 | 224,421 | ||||||
US Foods, Inc. |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing June 27, 2023 |
859 | 863,405 | ||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing September 13, 2026 |
1,721 | 1,730,170 | ||||||
|
|
|||||||
$ | 6,217,833 | |||||||
|
|
|||||||
Food/Drug Retailers 0.3% |
||||||||
Albertsons, LLC |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing November 17, 2025 |
1,004 | $ | 1,014,168 | |||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing August 17, 2026 |
2,312 | 2,336,805 |
11
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Allsups Convenience Stores, Inc. |
||||||||
Term Loan, 8.00%, (1 mo. USD LIBOR + 6.25%), Maturing November 18, 2024 |
650 | $ | 648,375 | |||||
Diplomat Pharmacy, Inc. |
||||||||
Term Loan, 6.41%, (3 mo. USD LIBOR + 4.50%), Maturing December 20, 2024 |
495 | 482,696 | ||||||
|
|
|||||||
$ | 4,482,044 | |||||||
|
|
|||||||
Forest Products 0.0%(7) |
||||||||
Clearwater Paper Corporation |
||||||||
Term Loan, 5.00%, (1 mo. USD LIBOR + 3.25%), Maturing July 26, 2026 |
350 | $ | 351,313 | |||||
|
|
|||||||
$ | 351,313 | |||||||
|
|
|||||||
Health Care 4.6% |
||||||||
Acadia Healthcare Company, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing February 11, 2022 |
274 | $ | 275,205 | |||||
ADMI Corp. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing April 30, 2025 |
1,822 | 1,827,945 | ||||||
Alliance Healthcare Services, Inc. |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing October 24, 2023 |
831 | 760,594 | ||||||
Term Loan - Second Lien, 11.80%, (1 mo. USD LIBOR + 10.00%), Maturing April 24, 2024 |
525 | 448,875 | ||||||
athenahealth, Inc. |
||||||||
Term Loan, 6.40%, (3 mo. USD LIBOR + 4.50%), Maturing February 11, 2026 |
1,960 | 1,973,238 | ||||||
Athletico Management, LLC |
||||||||
Term Loan, 5.24%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025 |
569 | 570,673 | ||||||
Avantor, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing November 21, 2024 |
1,170 | 1,177,553 | ||||||
BioClinica, Inc. |
||||||||
Term Loan, 6.06%, (1 mo. USD LIBOR + 4.25%), Maturing October 20, 2023 |
776 | 756,277 | ||||||
BW NHHC Holdco, Inc. |
||||||||
Term Loan, 6.91%, (3 mo. USD LIBOR + 5.00%), Maturing May 15, 2025 |
3,804 | 3,138,197 | ||||||
Carestream Dental Equipment, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing September 1, 2024 |
266 | 259,839 | ||||||
Change Healthcare Holdings, LLC |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing March 1, 2024 |
5,821 | 5,849,895 | ||||||
CHG Healthcare Services, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing June 7, 2023 |
3,717 | 3,745,943 | ||||||
CryoLife, Inc. |
||||||||
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.25%), Maturing November 14, 2024 |
539 | 541,920 | ||||||
CTC AcquiCo GmbH |
||||||||
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), Maturing March 7, 2025 |
EUR | 903 | 1,006,480 | |||||
Da Vinci Purchaser Corp. |
||||||||
Term Loan, Maturing December 3, 2026(5) |
425 | 425,531 | ||||||
DaVita, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing August 12, 2026 |
923 | 930,424 | ||||||
Elsan S.A.S. |
||||||||
Term Loan, Maturing October 31, 2024(5) |
EUR | 1,500 | 1,702,680 | |||||
Ensemble RCM, LLC |
||||||||
Term Loan, 5.66%, (3 mo. USD LIBOR + 3.75%), Maturing August 3, 2026 |
524 | 527,943 | ||||||
Envision Healthcare Corporation |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025 |
9,077 | 7,775,538 | ||||||
Gentiva Health Services, Inc. |
||||||||
Term Loan, 5.56%, (1 mo. USD LIBOR + 3.75%), Maturing July 2, 2025 |
2,521 | 2,537,878 | ||||||
GHX Ultimate Parent Corporation |
||||||||
Term Loan, 5.21%, (3 mo. USD LIBOR + 3.25%), Maturing June 28, 2024 |
953 | 954,874 |
12
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Greatbatch Ltd. |
||||||||
Term Loan, 4.22%, (1 mo. USD LIBOR + 2.50%), Maturing October 27, 2022 |
1,174 | $ | 1,176,710 | |||||
Hanger, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025 |
1,130 | 1,135,877 | ||||||
Inovalon Holdings, Inc. |
||||||||
Term Loan, 5.25%, (1 mo. USD LIBOR + 3.50%), Maturing April 2, 2025 |
1,217 | 1,225,540 | ||||||
IQVIA, Inc. |
||||||||
Term Loan, 3.69%, (3 mo. USD LIBOR + 1.75%), Maturing March 7, 2024 |
1,503 | 1,510,688 | ||||||
Term Loan, 3.69%, (3 mo. USD LIBOR + 1.75%), Maturing January 17, 2025 |
1,491 | 1,498,606 | ||||||
Medical Solutions, LLC |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing June 14, 2024 |
1,232 | 1,230,150 | ||||||
Mehilainen Yhtiot Oy |
||||||||
Term Loan, Maturing August 11, 2025(5) |
EUR | 750 | 844,692 | |||||
MPH Acquisition Holdings, LLC |
||||||||
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing June 7, 2023 |
9,123 | 9,024,581 | ||||||
National Mentor Holdings, Inc. |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing March 9, 2026 |
28 | 28,056 | ||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing March 9, 2026 |
494 | 498,680 | ||||||
Navicure, Inc. |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing October 22, 2026 |
1,000 | 1,004,375 | ||||||
One Call Corporation |
||||||||
Term Loan, 7.16%, (3 mo. USD LIBOR + 5.25%), Maturing November 25, 2022 |
1,495 | 1,390,300 | ||||||
Ortho-Clinical Diagnostics S.A. |
||||||||
Term Loan, 5.31%, (3 mo. USD LIBOR + 3.25%), Maturing June 30, 2025 |
3,891 | 3,852,523 | ||||||
Parexel International Corporation |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024 |
576 | 565,456 | ||||||
Phoenix Guarantor, Inc. |
||||||||
Term Loan, 6.21%, (1 mo. USD LIBOR + 4.50%), Maturing March 5, 2026 |
1,940 | 1,953,589 | ||||||
Radiology Partners Holdings, LLC |
||||||||
Term Loan, 6.66%, (USD LIBOR + 4.75%), Maturing July 9, 2025(4) |
619 | 622,141 | ||||||
RadNet, Inc. |
||||||||
Term Loan, 5.51%, (3 mo. USD LIBOR + 3.50%), Maturing June 30, 2023 |
1,851 | 1,864,537 | ||||||
Select Medical Corporation |
||||||||
Term Loan, 4.58%, (3 mo. USD LIBOR + 2.50%), Maturing March 6, 2025 |
2,968 | 2,978,436 | ||||||
Sound Inpatient Physicians |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2025 |
493 | 495,168 | ||||||
Surgery Center Holdings, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing September 2, 2024 |
1,075 | 1,073,368 | ||||||
Team Health Holdings, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing February 6, 2024 |
2,358 | 1,918,655 | ||||||
Tecomet, Inc. |
||||||||
Term Loan, 4.99%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2024 |
877 | 880,379 | ||||||
U.S. Anesthesia Partners, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing June 23, 2024 |
1,688 | 1,680,599 | ||||||
Verscend Holding Corp. |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025 |
1,580 | 1,592,838 | ||||||
Viant Medical Holdings, Inc. |
||||||||
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing July 2, 2025 |
494 | 485,315 | ||||||
Wink Holdco, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing December 2, 2024 |
490 | 490,306 | ||||||
|
|
|||||||
$ | 78,209,067 | |||||||
|
|
13
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Home Furnishings 0.3% |
||||||||
Serta Simmons Bedding, LLC |
||||||||
Term Loan, 5.25%, (1 mo. USD LIBOR + 3.50%), Maturing November 8, 2023 |
8,684 | $ | 5,648,657 | |||||
|
|
|||||||
$ | 5,648,657 | |||||||
|
|
|||||||
Industrial Equipment 2.5% |
||||||||
AI Alpine AT Bidco GmbH |
||||||||
Term Loan, 4.60%, (2 mo. USD LIBOR + 2.75%), Maturing October 31, 2025 |
223 | $ | 219,409 | |||||
Term Loan, Maturing October 31, 2025(5) |
EUR | 750 | 825,504 | |||||
Altra Industrial Motion Corp. |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025 |
710 | 713,698 | ||||||
Apex Tool Group, LLC |
||||||||
Term Loan, 7.30%, (1 mo. USD LIBOR + 5.50%), Maturing August 1, 2024 |
4,495 | 4,437,669 | ||||||
Carlisle Foodservice Products, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing March 20, 2025 |
271 | 267,195 | ||||||
CPM Holdings, Inc. |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing November 17, 2025 |
322 | 319,873 | ||||||
Delachaux Group S.A. |
||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing April 16, 2026 |
EUR | 375 | 423,342 | |||||
Term Loan, 6.50%, (3 mo. USD LIBOR + 4.50%), Maturing April 16, 2026 |
475 | 470,992 | ||||||
DexKo Global, Inc. |
||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024 |
EUR | 322 | 355,318 | |||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024 |
EUR | 804 | 888,299 | |||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing July 24, 2024 |
926 | 925,446 | ||||||
DXP Enterprises, Inc. |
||||||||
Term Loan, 6.54%, (1 mo. USD LIBOR + 4.75%), Maturing August 29, 2023 |
562 | 563,468 | ||||||
Dynacast International, LLC |
||||||||
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.25%), Maturing January 28, 2022 |
1,442 | 1,406,054 | ||||||
Engineered Machinery Holdings, Inc. |
||||||||
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing July 19, 2024 |
1,593 | 1,581,220 | ||||||
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.25%), Maturing July 19, 2024 |
322 | 322,286 | ||||||
EWT Holdings III Corp. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing December 20, 2024 |
2,262 | 2,275,713 | ||||||
Filtration Group Corporation |
||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 29, 2025 |
EUR | 1,393 | 1,575,224 | |||||
Gardner Denver, Inc. |
||||||||
Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), Maturing July 30, 2024 |
EUR | 1,444 | 1,636,328 | |||||
Gates Global, LLC |
||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing April 1, 2024 |
EUR | 973 | 1,091,888 | |||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing April 1, 2024 |
4,946 | 4,958,316 | ||||||
Hayward Industries, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing August 5, 2024 |
480 | 477,615 | ||||||
LTI Holdings, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing September 6, 2025 |
3,469 | 3,143,838 | ||||||
Term Loan, 6.55%, (1 mo. USD LIBOR + 4.75%), Maturing July 24, 2026 |
200 | 183,041 | ||||||
Minimax Viking GmbH |
||||||||
Term Loan, Maturing July 31, 2025(5) |
EUR | 980 | 1,114,022 | |||||
Pro Mach Group, Inc. |
||||||||
Term Loan, 4.54%, (1 mo. USD LIBOR + 2.75%), Maturing March 7, 2025 |
246 | 243,859 | ||||||
Quimper AB |
||||||||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing February 13, 2026 |
EUR | 1,875 | 2,110,637 |
14
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Rexnord, LLC |
||||||||
Term Loan, 3.54%, (1 mo. USD LIBOR + 1.75%), Maturing August 21, 2024 |
2,677 | $ | 2,693,295 | |||||
Robertshaw US Holding Corp. |
||||||||
Term Loan, 5.06%, (1 mo. USD LIBOR + 3.25%), Maturing February 28, 2025 |
1,032 | 943,937 | ||||||
Shape Technologies Group, Inc. |
||||||||
Term Loan, 4.93%, (3 mo. USD LIBOR + 3.00%), Maturing April 21, 2025 |
171 | 154,725 | ||||||
Thermon Industries, Inc. |
||||||||
Term Loan, 5.44%, (1 mo. USD LIBOR + 3.75%), Maturing October 24, 2024 |
286 | 287,586 | ||||||
Titan Acquisition Limited |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing March 28, 2025 |
3,119 | 3,073,426 | ||||||
Welbilt, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing October 23, 2025 |
1,767 | 1,775,713 | ||||||
|
|
|||||||
$ | 41,458,936 | |||||||
|
|
|||||||
Insurance 2.1% |
||||||||
Alliant Holdings Intermediate, LLC |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing May 9, 2025 |
2,736 | $ | 2,740,464 | |||||
Term Loan, 4.99%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025 |
473 | 474,102 | ||||||
AmWINS Group, Inc. |
||||||||
Term Loan, 4.53%, (1 mo. USD LIBOR + 2.75%), Maturing January 25, 2024 |
4,855 | 4,899,383 | ||||||
Andromeda Investissements |
||||||||
Term Loan, Maturing June 30, 2026(5) |
EUR | 750 | 854,245 | |||||
Asurion, LLC |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022 |
4,674 | 4,707,426 | ||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023 |
2,678 | 2,697,374 | ||||||
Term Loan - Second Lien, 8.30%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025 |
2,750 | 2,790,563 | ||||||
Financiere CEP S.A.S. |
||||||||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing January 16, 2025 |
EUR | 550 | 624,068 | |||||
FrontDoor, Inc. |
||||||||
Term Loan, 4.31%, (1 mo. USD LIBOR + 2.50%), Maturing August 16, 2025 |
469 | 470,816 | ||||||
Hub International Limited |
||||||||
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing April 25, 2025 |
5,122 | 5,126,400 | ||||||
Term Loan, 5.90%, (3 mo. USD LIBOR + 4.00%), Maturing April 25, 2025 |
1,875 | 1,895,509 | ||||||
NFP Corp. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing January 8, 2024 |
2,662 | 2,655,154 | ||||||
Sedgwick Claims Management Services, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025 |
1,262 | 1,265,090 | ||||||
USI, Inc. |
||||||||
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024 |
3,177 | 3,180,449 | ||||||
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.00%), Maturing December 2, 2026 |
1,425 | 1,432,125 | ||||||
|
|
|||||||
$ | 35,813,168 | |||||||
|
|
|||||||
Leisure Goods/Activities/Movies 2.2% |
||||||||
AMC Entertainment Holdings, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing April 22, 2026 |
1,861 | $ | 1,876,755 | |||||
Amer Sports Oyj |
||||||||
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), Maturing March 30, 2026 |
EUR | 1,550 | 1,738,263 | |||||
Ancestry.com Operations, Inc. |
||||||||
Term Loan, 6.05%, (1 mo. USD LIBOR + 4.25%), Maturing August 27, 2026 |
6,772 | 6,674,883 | ||||||
ClubCorp Holdings, Inc. |
||||||||
Term Loan, 4.69%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024 |
1,955 | 1,856,435 |
15
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Crown Finance US, Inc. |
||||||||
Term Loan, 2.38%, (1 mo. EURIBOR + 2.38%), Maturing February 28, 2025 |
EUR | 292 | $ | 329,485 | ||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026 |
1,521 | 1,524,990 | ||||||
Delta 2 (LUX) S.a.r.l. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2024 |
725 | 729,704 | ||||||
Emerald Expositions Holding, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024 |
1,198 | 1,144,083 | ||||||
Etraveli Holding AB |
||||||||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing August 2, 2024 |
EUR | 950 | 1,072,719 | |||||
Lindblad Expeditions, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025 |
466 | 471,025 | ||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025 |
1,865 | 1,884,098 | ||||||
Match Group, Inc. |
||||||||
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.50%), Maturing November 16, 2022 |
974 | 975,825 | ||||||
Motion Finco S.a.r.l. |
||||||||
Term Loan, 0.50%, Maturing November 4, 2026(2) |
70 | 70,568 | ||||||
Term Loan, 5.15%, (2 mo. USD LIBOR + 3.25%), Maturing November 13, 2026 |
530 | 536,932 | ||||||
Term Loan, Maturing November 13, 2026(5) |
EUR | 1,375 | 1,557,400 | |||||
NASCAR Holdings, Inc. |
||||||||
Term Loan, 4.49%, (1 mo. USD LIBOR + 2.75%), Maturing October 19, 2026 |
733 | 741,770 | ||||||
Playtika Holding Corp. |
||||||||
Term Loan, 7.80%, (1 mo. USD LIBOR + 6.00%), Maturing December 10, 2024 |
3,500 | 3,543,750 | ||||||
SeaWorld Parks & Entertainment, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing March 31, 2024 |
2,202 | 2,213,712 | ||||||
SRAM, LLC |
||||||||
Term Loan, 4.59%, (USD LIBOR + 2.75%), Maturing March 15, 2024(4) |
1,153 | 1,163,284 | ||||||
Steinway Musical Instruments, Inc. |
||||||||
Term Loan, 5.49%, (1 mo. USD LIBOR + 3.75%), Maturing February 14, 2025 |
909 | 907,677 | ||||||
Travel Leaders Group, LLC |
||||||||
Term Loan, 5.79%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024 |
960 | 965,777 | ||||||
UFC Holdings, LLC |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing April 29, 2026 |
3,141 | 3,166,311 | ||||||
Vue International Bidco PLC |
||||||||
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing July 3, 2026 |
EUR | 1,081 | 1,222,915 | |||||
Term Loan, Maturing July 3, 2026(5) |
EUR | 194 | 219,893 | |||||
|
|
|||||||
$ | 36,588,254 | |||||||
|
|
|||||||
Lodging and Casinos 1.7% |
||||||||
Aimbridge Acquisition Co., Inc. |
||||||||
Term Loan, 5.54%, (1 mo. USD LIBOR + 3.75%), Maturing February 2, 2026 |
273 | $ | 275,670 | |||||
Aristocrat Technologies, Inc. |
||||||||
Term Loan, 3.72%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024 |
1,061 | 1,066,963 | ||||||
Azelis Finance S.A. |
||||||||
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), Maturing November 7, 2025 |
EUR | 1,925 | 2,170,518 | |||||
Boyd Gaming Corporation |
||||||||
Term Loan, 3.85%, (1 week USD LIBOR + 2.25%), Maturing September 15, 2023 |
754 | 760,686 | ||||||
CityCenter Holdings, LLC |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing April 18, 2024 |
2,783 | 2,798,197 | ||||||
Eldorado Resorts, LLC |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing April 17, 2024 |
490 | 490,534 |
16
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
ESH Hospitality, Inc. |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing September 18, 2026 |
1,206 | $ | 1,217,217 | |||||
Four Seasons Hotels Limited |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing November 30, 2023 |
1,067 | 1,078,707 | ||||||
Golden Nugget, Inc. |
||||||||
Term Loan, 4.69%, (USD LIBOR + 2.75%), Maturing October 4, 2023(4) |
4,309 | 4,329,841 | ||||||
GVC Holdings PLC |
||||||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing March 29, 2024 |
EUR | 1,850 | 2,090,708 | |||||
Term Loan, 4.45%, (6 mo. USD LIBOR + 2.25%), Maturing March 29, 2024 |
1,154 | 1,162,134 | ||||||
Hanjin International Corp. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020 |
550 | 549,312 | ||||||
Playa Resorts Holding B.V. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing April 29, 2024 |
2,662 | 2,659,948 | ||||||
Richmond UK Bidco Limited |
||||||||
Term Loan, Maturing March 3, 2024(5) |
GBP | 1,000 | 1,301,419 | |||||
Stars Group Holdings B.V. (The) |
||||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 10, 2025 |
EUR | 975 | 1,105,278 | |||||
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025 |
3,694 | 3,731,461 | ||||||
VICI Properties 1, LLC |
||||||||
Term Loan, 3.79%, (1 mo. USD LIBOR + 2.00%), Maturing December 20, 2024 |
2,315 | 2,328,115 | ||||||
|
|
|||||||
$ | 29,116,708 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.2% |
||||||||
CD&R Hydra Buyer, Inc. |
||||||||
Term Loan, 7.50%, (0.00% cash, 7.50% PIK), Maturing August 15, 2021(3)(8) |
154 | $ | 123,204 | |||||
Murray Energy Corporation |
||||||||
DIP Loan, 13.00%, (1 mo. USD LIBOR + 11.00%, Floor 2.00%), Maturing July 31, 2020 |
631 | 645,816 | ||||||
Term Loan, 0.00%, Maturing October 17, 2022(6) |
2,267 | 502,584 | ||||||
Noranda Aluminum Acquisition Corporation |
||||||||
Term Loan, 0.00%, Maturing February 28, 2020(6) |
452 | 27,110 | ||||||
Oxbow Carbon, LLC |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing January 4, 2023 |
630 | 631,575 | ||||||
Rain Carbon GmbH |
||||||||
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 16, 2025 |
EUR | 1,025 | 1,092,255 | |||||
|
|
|||||||
$ | 3,022,544 | |||||||
|
|
|||||||
Oil and Gas 1.2% |
||||||||
Ameriforge Group, Inc. |
||||||||
Term Loan, 8.94%, (3 mo. USD LIBOR + 7.00%), Maturing June 8, 2022 |
737 | $ | 735,498 | |||||
Apergy Corporation |
||||||||
Term Loan, 4.42%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025 |
239 | 240,256 | ||||||
Blackstone CQP Holdco L.P. |
||||||||
Term Loan, 5.41%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024 |
1,020 | 1,027,046 | ||||||
Buckeye Partners L.P. |
||||||||
Term Loan, 4.44%, (1 mo. USD LIBOR + 2.75%), Maturing November 1, 2026 |
2,775 | 2,802,173 | ||||||
Centurion Pipeline Company, LLC |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing September 29, 2025 |
272 | 272,590 | ||||||
CITGO Holding, Inc. |
||||||||
Term Loan, 8.80%, (1 mo. USD LIBOR + 7.00%), Maturing August 1, 2023 |
249 | 254,674 |
17
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
CITGO Petroleum Corporation |
||||||||
Term Loan, 6.44%, (3 mo. USD LIBOR + 4.50%), Maturing July 29, 2021 |
1,714 | $ | 1,723,043 | |||||
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.00%), Maturing March 28, 2024 |
2,531 | 2,546,693 | ||||||
Delek US Holdings, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing March 31, 2025 |
1,389 | 1,389,189 | ||||||
Fieldwood Energy, LLC |
||||||||
Term Loan, 7.18%, (3 mo. USD LIBOR + 5.25%), Maturing April 11, 2022 |
2,771 | 2,329,895 | ||||||
Matador Bidco S.a.r.l. |
||||||||
Term Loan, 6.55%, (1 mo. USD LIBOR + 4.75%), Maturing June 12, 2026 |
1,650 | 1,657,735 | ||||||
McDermott Technology Americas, Inc. |
||||||||
Term Loan, 7.56%, (USD LIBOR + 10.00%), Maturing October 21, 2021(2)(4) |
750 | 767,812 | ||||||
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.00%), Maturing May 9, 2025 |
1,302 | 765,899 | ||||||
Prairie ECI Acquiror L.P. |
||||||||
Term Loan, 6.69%, (3 mo. USD LIBOR + 4.75%), Maturing March 11, 2026 |
878 | 872,839 | ||||||
PSC Industrial Holdings Corp. |
||||||||
Term Loan, 5.49%, (1 mo. USD LIBOR + 3.75%), Maturing October 11, 2024 |
784 | 780,080 | ||||||
Sheridan Investment Partners II L.P. |
||||||||
DIP Loan, 8.76%, (1 mo. USD LIBOR + 7.00%), Maturing March 19, 2020 |
107 | 106,934 | ||||||
DIP Loan, 8.76%, (1 mo. USD LIBOR + 7.00%), Maturing March 19, 2020 |
107 | 106,934 | ||||||
Term Loan, 0.00%, Maturing December 16, 2020(6) |
41 | 12,019 | ||||||
Term Loan, 0.00%, Maturing December 16, 2020(6) |
109 | 32,228 | ||||||
Term Loan, 0.00%, Maturing December 16, 2020(6) |
785 | 231,675 | ||||||
Sheridan Production Partners I, LLC |
||||||||
Term Loan, 0.00%, Maturing January 17, 2020(6) |
108 | 63,932 | ||||||
Term Loan, 0.00%, Maturing January 17, 2020(6) |
177 | 104,669 | ||||||
Term Loan, 0.00%, Maturing January 17, 2020(6) |
1,339 | 789,902 | ||||||
UGI Energy Services, LLC |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing August 13, 2026 |
1,070 | 1,076,310 | ||||||
|
|
|||||||
$ | 20,690,025 | |||||||
|
|
|||||||
Publishing 0.5% |
||||||||
Ascend Learning, LLC |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing July 12, 2024 |
1,197 | $ | 1,205,919 | |||||
Axel Springer SE |
||||||||
Term Loan, Maturing October 30, 2026(5) |
EUR | 1,000 | 1,123,102 | |||||
Getty Images, Inc. |
||||||||
Term Loan, 6.31%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026 |
1,089 | 1,093,764 | ||||||
Harland Clarke Holdings Corp. |
||||||||
Term Loan, 6.69%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023 |
357 | 278,875 | ||||||
LSC Communications, Inc. |
||||||||
Term Loan, 7.12%, (1 week USD LIBOR + 5.50%), Maturing September 30, 2022 |
843 | 543,514 | ||||||
ProQuest, LLC |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing October 23, 2026 |
1,600 | 1,603,000 | ||||||
Terrier Media Buyer, Inc. |
||||||||
Term Loan, 6.15%, (3 mo. USD LIBOR + 4.25%), Maturing December 17, 2026 |
1,875 | 1,896,094 | ||||||
Tweddle Group, Inc. |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing September 17, 2023 |
602 | 558,001 | ||||||
|
|
|||||||
$ | 8,302,269 | |||||||
|
|
18
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Radio and Television 1.2% |
||||||||
Cumulus Media New Holdings, Inc. |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing March 31, 2026 |
474 | $ | 479,538 | |||||
Diamond Sports Group, LLC |
||||||||
Term Loan, 5.03%, (1 mo. USD LIBOR + 3.25%), Maturing August 24, 2026 |
3,092 | 3,092,250 | ||||||
Entercom Media Corp. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing November 18, 2024 |
1,021 | 1,031,288 | ||||||
Entravision Communications Corporation |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024 |
855 | 832,730 | ||||||
Gray Television, Inc. |
||||||||
Term Loan, 3.95%, (1 mo. USD LIBOR + 2.25%), Maturing February 7, 2024 |
278 | 279,266 | ||||||
Term Loan, 4.20%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026 |
637 | 641,295 | ||||||
Hubbard Radio, LLC |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing March 28, 2025 |
814 | 814,983 | ||||||
iHeartCommunications, Inc. |
||||||||
Term Loan, 5.69%, (1 mo. USD LIBOR + 4.00%), Maturing May 1, 2026 |
506 | 511,092 | ||||||
Mission Broadcasting, Inc. |
||||||||
Term Loan, 3.94%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024 |
35 | 35,573 | ||||||
Nexstar Broadcasting, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024 |
178 | 179,026 | ||||||
Term Loan, 4.45%, (1 mo. USD LIBOR + 2.75%), Maturing September 18, 2026 |
525 | 528,500 | ||||||
Sinclair Television Group, Inc. |
||||||||
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.25%), Maturing January 3, 2024 |
490 | 491,202 | ||||||
Term Loan, 4.24%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026 |
648 | 651,516 | ||||||
Townsquare Media, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing April 1, 2022 |
2,276 | 2,287,206 | ||||||
Univision Communications, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing March 15, 2024 |
7,656 | 7,572,254 | ||||||
|
|
|||||||
$ | 19,427,719 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 1.3% |
||||||||
Apro, LLC |
||||||||
Term Loan, 2.00%, Maturing November 14, 2026(2) |
150 | $ | 151,312 | |||||
Term Loan, 5.84%, (2 mo. USD LIBOR + 4.00%), Maturing November 14, 2026 |
525 | 529,594 | ||||||
Ascena Retail Group, Inc. |
||||||||
Term Loan, 6.31%, (1 mo. USD LIBOR + 4.50%), Maturing August 21, 2022 |
3,226 | 2,213,160 | ||||||
Bass Pro Group, LLC |
||||||||
Term Loan, 6.80%, (1 mo. USD LIBOR + 5.00%), Maturing September 25, 2024 |
1,515 | 1,511,716 | ||||||
BJs Wholesale Club, Inc. |
||||||||
Term Loan, 4.49%, (1 mo. USD LIBOR + 2.75%), Maturing February 3, 2024 |
914 | 921,542 | ||||||
Coinamatic Canada, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing May 14, 2022 |
53 | 52,304 | ||||||
Davids Bridal, Inc. |
||||||||
Term Loan, 4.10%, (3 mo. USD LIBOR + 2.00%), Maturing October 3, 2020 |
5 | 5,409 | ||||||
Term Loan, 7.92%, (3 mo. USD LIBOR + 6.00%), Maturing June 30, 2023 |
568 | 551,834 | ||||||
Global Appliance, Inc. |
||||||||
Term Loan, 5.80%, (1 mo. USD LIBOR + 4.00%), Maturing September 29, 2024 |
1,045 | 1,044,812 | ||||||
Hoya Midco, LLC |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing June 30, 2024 |
2,097 | 2,092,152 | ||||||
J. Crew Group, Inc. |
||||||||
Term Loan, 4.87%, (USD LIBOR + 3.00%), Maturing March 5, 2021(3)(4) |
3,708 | 3,026,158 |
19
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
LSF9 Atlantis Holdings, LLC |
||||||||
Term Loan, 7.74%, (1 mo. USD LIBOR + 6.00%), Maturing May 1, 2023 |
1,078 | $ | 1,001,982 | |||||
PetSmart, Inc. |
||||||||
Term Loan, 5.74%, (1 mo. USD LIBOR + 4.00%), Maturing March 11, 2022 |
6,888 | 6,830,319 | ||||||
PFS Holding Corporation |
||||||||
Term Loan, 5.41%, (3 mo. USD LIBOR + 3.50%), Maturing January 31, 2021 |
2,213 | 851,914 | ||||||
Pier 1 Imports (U.S.), Inc. |
||||||||
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing April 30, 2021 |
638 | 172,226 | ||||||
Radio Systems Corporation |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing May 2, 2024 |
463 | 459,073 | ||||||
|
|
|||||||
$ | 21,415,507 | |||||||
|
|
|||||||
Steel 0.6% |
||||||||
Atkore International, Inc. |
||||||||
Term Loan, 4.70%, (3 mo. USD LIBOR + 2.75%), Maturing December 22, 2023 |
394 | $ | 396,012 | |||||
GrafTech Finance, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2025 |
6,479 | 6,470,559 | ||||||
Neenah Foundry Company |
||||||||
Term Loan, 8.35%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022 |
758 | 742,536 | ||||||
Phoenix Services International, LLC |
||||||||
Term Loan, 5.49%, (1 mo. USD LIBOR + 3.75%), Maturing March 1, 2025 |
884 | 837,827 | ||||||
Zekelman Industries, Inc. |
||||||||
Term Loan, 4.04%, (1 mo. USD LIBOR + 2.25%), Maturing June 14, 2021 |
1,283 | 1,286,624 | ||||||
|
|
|||||||
$ | 9,733,558 | |||||||
|
|
|||||||
Surface Transport 0.3% |
||||||||
1199169 B.C. Unlimited Liability Company |
||||||||
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.00%), Maturing April 6, 2026 |
296 | $ | 299,107 | |||||
Agro Merchants NAI Holdings, LLC |
||||||||
Term Loan, 5.69%, (3 mo. USD LIBOR + 3.75%), Maturing December 6, 2024 |
392 | 388,300 | ||||||
Hertz Corporation (The) |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing June 30, 2023 |
1,202 | 1,208,823 | ||||||
Kenan Advantage Group, Inc. |
||||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022 |
128 | 127,623 | ||||||
Term Loan, 4.80%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022 |
422 | 419,678 | ||||||
PODS, LLC |
||||||||
Term Loan, 4.49%, (1 mo. USD LIBOR + 2.75%), Maturing December 6, 2024 |
660 | 664,043 | ||||||
Stena International S.a.r.l. |
||||||||
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.00%), Maturing March 3, 2021 |
1,979 | 1,964,406 | ||||||
XPO Logistics, Inc. |
||||||||
Term Loan, 3.80%, (1 mo. USD LIBOR + 2.00%), Maturing February 24, 2025 |
650 | 653,521 | ||||||
|
|
|||||||
$ | 5,725,501 | |||||||
|
|
|||||||
Telecommunications 1.8% |
||||||||
CenturyLink, Inc. |
||||||||
Term Loan, 4.55%, (1 mo. USD LIBOR + 2.75%), Maturing January 31, 2025 |
5,586 | $ | 5,615,483 | |||||
Colorado Buyer, Inc. |
||||||||
Term Loan, 4.74%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024 |
929 | 824,928 | ||||||
Digicel International Finance Limited |
||||||||
Term Loan, 5.34%, (6 mo. USD LIBOR + 3.25%), Maturing May 28, 2024 |
4,975 | 4,471,671 | ||||||
eircom Holdings (Ireland) Limited |
||||||||
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), Maturing May 15, 2026 |
EUR | 1,786 | 2,018,628 |
20
Borrower/Tranche Description | Principal Amount* (000s omitted) |
Value | ||||||
Gamma Infrastructure III B.V. |
||||||||
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), Maturing January 9, 2025 |
EUR | 1,700 | $ | 1,900,334 | ||||
Global Eagle Entertainment, Inc. |
||||||||
Term Loan, 9.71%, (USD LIBOR + 7.50%), Maturing January 6, 2023(4) |
2,179 | 1,977,158 | ||||||
Intelsat Jackson Holdings S.A. |
||||||||
Term Loan, 6.43%, (6 mo. USD LIBOR + 4.50%), Maturing January 2, 2024 |
1,500 | 1,516,407 | ||||||
IPC Corp. |
||||||||
Term Loan, 6.43%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021 |
1,088 | 919,222 | ||||||
Level 3 Financing, Inc. |
||||||||
Term Loan, 3.55%, (1 mo. USD LIBOR + 1.75%), Maturing March 1, 2027 |
472 | 475,112 | ||||||
Matterhorn Telecom S.A. |
||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing September 30, 2026 |
EUR | 1,975 | 2,235,608 | |||||
Onvoy, LLC |
||||||||
Term Loan, 6.30%, (1 mo. USD LIBOR + 4.50%), Maturing February 10, 2024 |
827 | 750,162 | ||||||
Plantronics, Inc. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing July 2, 2025 |
1,304 | 1,278,134 | ||||||
Sprint Communications, Inc. |
||||||||
Term Loan, 4.31%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024 |
4,012 | 3,985,211 | ||||||
Term Loan, 4.81%, (1 mo. USD LIBOR + 3.00%), Maturing February 2, 2024 |
792 | 791,000 | ||||||
Syniverse Holdings, Inc. |
||||||||
Term Loan, 6.85%, (2 mo. USD LIBOR + 5.00%), Maturing March 9, 2023 |
1,056 | 984,015 | ||||||
Telesat Canada |
||||||||
Term Loan, 4.63%, (3 mo. USD LIBOR + 2.75%), Maturing December 7, 2026 |
1,400 | 1,410,500 | ||||||
|
|
|||||||
$ | 31,153,573 | |||||||
|
|
|||||||
Utilities 1.0% |
||||||||
Brookfield WEC Holdings, Inc. |
||||||||
Term Loan, 5.30%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2025 |
2,351 | $ | 2,369,865 | |||||
Calpine Construction Finance Company L.P. |
||||||||
Term Loan, 4.30%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2025 |
2,750 | 2,765,347 | ||||||
Calpine Corporation |
||||||||
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.25%), Maturing January 15, 2024 |
3,605 | 3,629,910 | ||||||
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.25%), Maturing April 5, 2026 |
920 | 926,949 | ||||||
Granite Acquisition, Inc. |
||||||||
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021 |
3,107 | 3,124,262 | ||||||
Lightstone Holdco, LLC |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024 |
59 | 54,326 | ||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing January 30, 2024 |
1,045 | 963,195 | ||||||
Longview Power, LLC |
||||||||
Term Loan, 7.93%, (3 mo. USD LIBOR + 6.00%), Maturing April 13, 2021 |
334 | 182,793 | ||||||
Talen Energy Supply, LLC |
||||||||
Term Loan, 5.55%, (1 mo. USD LIBOR + 3.75%), Maturing July 8, 2026 |
773 | 775,942 | ||||||
USIC Holdings, Inc. |
||||||||
Term Loan, 5.05%, (1 mo. USD LIBOR + 3.25%), Maturing December 8, 2023 |
197 | 195,834 | ||||||
Vistra Operations Company, LLC |
||||||||
Term Loan, 3.54%, (1 mo. USD LIBOR + 1.75%), Maturing December 31, 2025 |
1,043 | 1,050,808 | ||||||
|
|
|||||||
$ | 16,039,231 | |||||||
|
|
|||||||
Total Senior Floating-Rate Loans |
$ | 789,610,921 | ||||||
|
|
21
Corporate Bonds & Notes 48.1% |
||||||||
Security | Principal Amount* (000s omitted) |
Value | ||||||
Aerospace and Defense 1.7% |
||||||||
Bombardier, Inc. |
||||||||
6.00%, 10/15/22(9) |
4,999 | $ | 5,009,998 | |||||
6.125%, 1/15/23(9) |
1,286 | 1,321,474 | ||||||
7.875%, 4/15/27(9) |
1,313 | 1,354,064 | ||||||
Booz Allen Hamilton, Inc. |
||||||||
5.125%, 5/1/25(9) |
695 | 716,138 | ||||||
BWX Technologies, Inc. |
||||||||
5.375%, 7/15/26(9) |
1,305 | 1,387,016 | ||||||
F-Brasile SpA/F-Brasile US, LLC |
||||||||
7.375%, 8/15/26(9) |
527 | 558,620 | ||||||
Lockheed Martin Corp. |
||||||||
3.55%, 1/15/26 |
960 | 1,029,738 | ||||||
Moog, Inc. |
||||||||
4.25%, 12/15/27(9) |
507 | 517,191 | ||||||
Northrop Grumman Corp. |
||||||||
2.93%, 1/15/25 |
770 | 793,780 | ||||||
TransDigm UK Holdings PLC |
||||||||
6.875%, 5/15/26 |
725 | 774,189 | ||||||
TransDigm, Inc. |
||||||||
6.50%, 7/15/24 |
7,535 | 7,786,933 | ||||||
6.50%, 5/15/25 |
185 | 192,786 | ||||||
6.25%, 3/15/26(9) |
2,408 | 2,611,438 | ||||||
7.50%, 3/15/27 |
1,862 | 2,040,100 | ||||||
5.50%, 11/15/27(9) |
2,052 | 2,078,840 | ||||||
|
|
|||||||
$ | 28,172,305 | |||||||
|
|
|||||||
Air Transport 0.1% |
||||||||
Azul Investments LLP |
||||||||
5.875%, 10/26/24(9) |
1,030 | $ | 1,071,123 | |||||
|
|
|||||||
$ | 1,071,123 | |||||||
|
|
|||||||
Automotive 1.0% |
||||||||
Adient Global Holdings, Ltd. |
||||||||
3.50%, 8/15/24(10) |
EUR | 150 | $ | 160,015 | ||||
Fiat Chrysler Finance Europe SA |
||||||||
4.75%, 3/22/21(10) |
EUR | 325 | 386,093 | |||||
Garrett LX I S.a.r.l./Garrett Borrowing, LLC |
||||||||
5.125%, 10/15/26(10) |
EUR | 200 | 227,999 | |||||
General Motors Co. |
||||||||
5.00%, 4/1/35 |
1,495 | 1,544,950 | ||||||
Gestamp Funding Luxembourg SA |
||||||||
3.50%, 5/15/23(10) |
EUR | 300 | 344,072 | |||||
GKN Holdings, Ltd. |
||||||||
4.625%, 5/12/32(10) |
GBP | 120 | 164,809 | |||||
IAA, Inc. |
||||||||
5.50%, 6/15/27(9) |
537 | 571,556 | ||||||
Jaguar Land Rover Automotive PLC |
||||||||
6.875%, 11/15/26(10) |
EUR | 100 | 118,241 |
22
Security | Principal Amount* (000s omitted) |
Value | ||||||
Lithia Motors, Inc. |
||||||||
4.625%, 12/15/27(9) |
514 | $ | 529,605 | |||||
Navistar International Corp. |
||||||||
6.625%, 11/1/25(9) |
2,914 | 2,974,713 | ||||||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. |
||||||||
4.375%, 5/15/26(10) |
EUR | 300 | 354,095 | |||||
6.25%, 5/15/26(9) |
1,671 | 1,803,634 | ||||||
8.50%, 5/15/27(9) |
6,311 | 6,717,113 | ||||||
RAC Bond Co. PLC |
||||||||
5.00%, 11/6/22(10) |
GBP | 250 | 298,026 | |||||
ZF North America Capital, Inc. |
||||||||
4.50%, 4/29/22(9) |
392 | 404,082 | ||||||
|
|
|||||||
$ | 16,599,003 | |||||||
|
|
|||||||
Banks and Thrifts 0.7% |
||||||||
Banco Comercial Portugues SA |
||||||||
4.50% to 12/7/22, 12/7/27(10)(11) |
EUR | 500 | $ | 590,770 | ||||
Banco Mercantil del Norte SA/Grand Cayman |
||||||||
5.75% to 10/4/26, 10/4/31(9)(11) |
1,160 | 1,202,465 | ||||||
Bank of Montreal |
||||||||
3.803% to 12/15/27, 12/15/32(11) |
1,325 | 1,383,101 | ||||||
BBVA Bancomer SA |
||||||||
5.125% to 1/18/28, 1/18/33(9)(11) |
1,515 | 1,532,097 | ||||||
Commonwealth Bank of Australia |
||||||||
3.61% to 9/12/29, 9/12/34(9)(11) |
1,500 | 1,508,569 | ||||||
First Midwest Bancorp, Inc. |
||||||||
5.875%, 9/29/26 |
1,000 | 1,115,106 | ||||||
Flagstar Bancorp, Inc. |
||||||||
6.125%, 7/15/21 |
650 | 678,955 | ||||||
HSBC Holdings PLC |
||||||||
5.25%, 3/14/44 |
665 | 839,903 | ||||||
Nationwide Building Society |
||||||||
4.125% to 10/18/27, 10/18/32(9)(11) |
1,280 | 1,332,412 | ||||||
Wells Fargo & Co. |
||||||||
3.584% to 5/22/27, 5/22/28(11) |
1,500 | 1,594,138 | ||||||
|
|
|||||||
$ | 11,777,516 | |||||||
|
|
|||||||
Beverage and Tobacco 0.1% |
||||||||
Anheuser-Busch InBev Finance, Inc. |
||||||||
4.625%, 2/1/44 |
860 | $ | 974,274 | |||||
|
|
|||||||
$ | 974,274 | |||||||
|
|
|||||||
Brokerage/Securities Dealers/Investment Houses 0.1% |
||||||||
Alliance Data Systems Corp. |
||||||||
4.75%, 12/15/24(9) |
1,071 | $ | 1,071,000 | |||||
Intrum AB |
||||||||
3.125%, 7/15/24(10) |
EUR | 400 | 459,381 | |||||
3.50%, 7/15/26(10) |
EUR | 200 | 230,145 | |||||
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. |
||||||||
4.875%, 4/15/45(9) |
688 | 706,866 | ||||||
|
|
|||||||
$ | 2,467,392 | |||||||
|
|
23
Security | Principal Amount* (000s omitted) |
Value | ||||||
Building and Development 1.5% |
||||||||
ADLER Real Estate AG |
||||||||
1.875%, 4/27/23(10) |
EUR | 300 | $ | 344,156 | ||||
Advanced Drainage Systems, Inc. |
||||||||
5.00%, 9/30/27(9) |
258 | 266,797 | ||||||
AT Securities B.V. |
||||||||
5.25% to 7/21/23(10)(11)(12) |
500 | 523,075 | ||||||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC |
||||||||
5.75%, 5/15/26(9) |
1,592 | 1,682,543 | ||||||
Builders FirstSource, Inc. |
||||||||
5.625%, 9/1/24(9) |
1,125 | 1,172,346 | ||||||
6.75%, 6/1/27(9) |
422 | 463,819 | ||||||
Core & Main Holdings, L.P. |
||||||||
8.625%, (8.625% cash or 9.375% PIK), 9/15/24(9)(13) |
1,191 | 1,242,112 | ||||||
CyrusOne, L.P./CyrusOne Finance Corp. |
||||||||
3.45%, 11/15/29 |
562 | 564,580 | ||||||
Five Point Operating Co., L.P./Five Point Capital Corp. |
||||||||
7.875%, 11/15/25(9) |
1,213 | 1,224,887 | ||||||
Greystar Real Estate Partners, LLC |
||||||||
5.75%, 12/1/25(9) |
1,731 | 1,800,223 | ||||||
Hillman Group, Inc. (The) |
||||||||
6.375%, 7/15/22(9) |
2,695 | 2,513,928 | ||||||
LSF9 Balta Issuer S.a.r.l. |
||||||||
7.75%, 9/15/22(10) |
EUR | 122 | 130,699 | |||||
Masonite International Corp. |
||||||||
5.375%, 2/1/28(9) |
570 | 603,117 | ||||||
MDC Holdings, Inc. |
||||||||
6.00%, 1/15/43 |
982 | 1,023,023 | ||||||
Miller Homes Group Holdings PLC |
||||||||
5.50%, 10/15/24(10) |
GBP | 100 | 137,936 | |||||
Owens Corning |
||||||||
3.95%, 8/15/29 |
777 | 809,267 | ||||||
PulteGroup, Inc. |
||||||||
6.00%, 2/15/35 |
446 | 499,563 | ||||||
Reliance Intermediate Holdings, L.P. |
||||||||
6.50%, 4/1/23(9) |
4,610 | 4,738,688 | ||||||
Standard Industries, Inc. |
||||||||
5.50%, 2/15/23(9) |
140 | 142,624 | ||||||
6.00%, 10/15/25(9) |
2,330 | 2,455,214 | ||||||
2.25%, 11/21/26(10) |
EUR | 250 | 289,635 | |||||
Taylor Morrison Communities, Inc. |
||||||||
5.875%, 6/15/27(9) |
808 | 890,677 | ||||||
5.75%, 1/15/28(9) |
1,062 | 1,160,604 | ||||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. |
||||||||
5.875%, 6/15/24 |
280 | 305,316 | ||||||
|
|
|||||||
$ | 24,984,829 | |||||||
|
|
|||||||
Business Equipment and Services 0.9% |
||||||||
Allied Universal Holdco, LLC |
||||||||
6.625%, 7/15/26(9) |
580 | $ | 624,413 | |||||
Arena Luxembourg Finance S.a.r.l. |
||||||||
2.75%, (3 mo. EURIBOR + 2.75%), 11/1/23(10)(14) |
EUR | 500 | 566,135 |
24
Security | Principal Amount* (000s omitted) |
Value | ||||||
EC Finance PLC |
||||||||
2.375%, 11/15/22(10) |
EUR | 500 | $ | 569,122 | ||||
EIG Investors Corp. |
||||||||
10.875%, 2/1/24 |
3,810 | 3,811,581 | ||||||
KAR Auction Services, Inc. |
||||||||
5.125%, 6/1/25(9) |
2,833 | 2,952,227 | ||||||
Prime Security Services Borrower, LLC/Prime Finance, Inc. |
||||||||
9.25%, 5/15/23(9) |
1,024 | 1,075,840 | ||||||
ServiceMaster Co., LLC (The) |
||||||||
7.45%, 8/15/27 |
4,075 | 4,616,354 | ||||||
West Corp. |
||||||||
8.50%, 10/15/25(9) |
1,286 | 1,032,015 | ||||||
|
|
|||||||
$ | 15,247,687 | |||||||
|
|
|||||||
Cable and Satellite Television 2.6% |
||||||||
Altice France S.A. |
||||||||
7.375%, 5/1/26(9) |
965 | $ | 1,037,848 | |||||
8.125%, 2/1/27(9) |
4,904 | 5,532,202 | ||||||
3.375%, 1/15/28(10) |
EUR | 124 | 143,704 | |||||
5.50%, 1/15/28(9) |
1,560 | 1,605,864 | ||||||
Cablevision Systems Corp. |
||||||||
5.875%, 9/15/22 |
1,085 | 1,171,019 | ||||||
CCO Holdings, LLC/CCO Holdings Capital Corp. |
||||||||
5.25%, 9/30/22 |
707 | 716,212 | ||||||
5.75%, 1/15/24 |
297 | 303,063 | ||||||
5.875%, 4/1/24(9) |
230 | 238,242 | ||||||
5.375%, 5/1/25(9) |
3,605 | 3,729,679 | ||||||
5.75%, 2/15/26(9) |
1,885 | 1,992,200 | ||||||
5.00%, 2/1/28(9) |
1,755 | 1,844,803 | ||||||
5.375%, 6/1/29(9) |
595 | 636,263 | ||||||
4.75%, 3/1/30(9) |
1,789 | 1,828,143 | ||||||
Charter Communications Operating, LLC/Charter Communications Operating Capital |
||||||||
4.80%, 3/1/50 |
475 | 499,991 | ||||||
Comcast Corp. |
||||||||
3.999%, 11/1/49 |
780 | 867,719 | ||||||
CSC Holdings, LLC |
||||||||
6.75%, 11/15/21 |
2,780 | 2,998,230 | ||||||
5.25%, 6/1/24 |
355 | 383,253 | ||||||
10.875%, 10/15/25(9) |
2,816 | 3,152,160 | ||||||
5.50%, 5/15/26(9) |
2,000 | 2,122,125 | ||||||
7.50%, 4/1/28(9) |
619 | 700,908 | ||||||
6.50%, 2/1/29(9) |
543 | 606,463 | ||||||
5.75%, 1/15/30(9) |
2,838 | 3,033,113 | ||||||
DISH DBS Corp. |
||||||||
6.75%, 6/1/21 |
410 | 431,783 | ||||||
5.875%, 7/15/22 |
2,395 | 2,542,963 | ||||||
5.875%, 11/15/24 |
530 | 542,699 | ||||||
7.75%, 7/1/26 |
333 | 353,393 | ||||||
TEGNA, Inc. |
||||||||
5.00%, 9/15/29(9) |
1,012 | 1,030,975 | ||||||
UPC Holding B.V. |
||||||||
5.50%, 1/15/28(9) |
593 | 602,251 |
25
Security | Principal Amount* (000s omitted) |
Value | ||||||
Ziggo B.V. |
||||||||
4.25%, 1/15/27(10) |
EUR | 575 | $ | 696,939 | ||||
5.50%, 1/15/27(9) |
1,432 | 1,524,149 | ||||||
4.875%, 1/15/30(9) |
272 | 281,420 | ||||||
Ziggo Bond Co., B.V. |
||||||||
6.00%, 1/15/27(9) |
745 | 787,705 | ||||||
|
|
|||||||
$ | 43,937,481 | |||||||
|
|
|||||||
Chemicals and Plastics 0.6% |
||||||||
Alpek SAB de CV |
||||||||
4.25%, 9/18/29(9) |
310 | $ | 316,743 | |||||
Braskem Netherlands Finance BV |
||||||||
5.875%, 1/31/50(9) |
700 | 696,325 | ||||||
Hexion, Inc. |
||||||||
7.875%, 7/15/27(9) |
488 | 508,728 | ||||||
Huntsman International, LLC |
||||||||
4.50%, 5/1/29 |
500 | 531,055 | ||||||
Nufarm Australia, Ltd./Nufarm Americas, Inc. |
||||||||
5.75%, 4/30/26(9) |
1,296 | 1,280,250 | ||||||
SPCM S.A. |
||||||||
4.875%, 9/15/25(9) |
1,356 | 1,413,616 | ||||||
Univar Solutions USA, Inc. |
||||||||
5.125%, 12/1/27(9) |
360 | 376,427 | ||||||
Valvoline, Inc. |
||||||||
5.50%, 7/15/24 |
375 | 390,156 | ||||||
Venator Finance S.a.r.l./Venator Materials, LLC |
||||||||
5.75%, 7/15/25(9) |
424 | 392,200 | ||||||
W.R. Grace & Co. |
||||||||
5.125%, 10/1/21(9) |
2,170 | 2,266,413 | ||||||
5.625%, 10/1/24(9) |
490 | 542,878 | ||||||
Westlake Chemical Corp. |
||||||||
5.00%, 8/15/46 |
710 | 760,008 | ||||||
|
|
|||||||
$ | 9,474,799 | |||||||
|
|
|||||||
Clothing/Textiles 0.3% |
||||||||
PrestigeBidCo GmbH |
||||||||
6.25%, 12/15/23(10) |
EUR | 265 | $ | 309,144 | ||||
PVH Corp. |
||||||||
7.75%, 11/15/23 |
3,740 | 4,397,922 | ||||||
William Carter Co. (The) |
||||||||
5.625%, 3/15/27(9) |
811 | 873,709 | ||||||
|
|
|||||||
$ | 5,580,775 | |||||||
|
|
|||||||
Commercial Services 0.2% |
||||||||
Ellaktor Value PLC |
||||||||
6.375%, 12/15/24(10) |
EUR | 535 | $ | 622,332 | ||||
GW B-CR Security Corp. |
||||||||
9.50%, 11/1/27(9) |
1,375 | 1,470,356 | ||||||
Intertrust Group B.V. |
||||||||
3.375%, 11/15/25(10) |
EUR | 340 | 401,427 | |||||
IPD 3 B.V. |
||||||||
4.50%, 7/15/22(10) |
EUR | 475 | 545,222 |
26
Security | Principal Amount* (000s omitted) |
Value | ||||||
Korn Ferry |
||||||||
4.625%, 12/15/27(9) |
355 | $ | 357,663 | |||||
Nexi SpA |
||||||||
1.75%, 10/31/24(10) |
EUR | 200 | 231,125 | |||||
Sisal Pay SpA |
||||||||
3.875%, (3 mo. EURIBOR + 3.875%), 12/17/26(10)(14) |
EUR | 110 | 124,929 | |||||
Verisure Holding AB |
||||||||
3.50%, 5/15/23(10) |
EUR | 140 | 162,326 | |||||
Verisure Midholding AB |
||||||||
5.75%, 12/1/23(10) |
EUR | 200 | 231,844 | |||||
|
|
|||||||
$ | 4,147,224 | |||||||
|
|
|||||||
Computers 0.2% |
||||||||
Apple, Inc. |
||||||||
3.75%, 11/13/47 |
500 | $ | 554,322 | |||||
DXC Technology Co. |
||||||||
4.75%, 4/15/27 |
1,000 | 1,076,773 | ||||||
Seagate HDD Cayman |
||||||||
5.75%, 12/1/34 |
995 | 1,043,188 | ||||||
|
|
|||||||
$ | 2,674,283 | |||||||
|
|
|||||||
Conglomerates 0.3% |
||||||||
Spectrum Brands, Inc. |
||||||||
5.75%, 7/15/25 |
3,470 | $ | 3,630,522 | |||||
5.00%, 10/1/29(9) |
406 | 420,351 | ||||||
TMS International Holding Corp. |
||||||||
7.25%, 8/15/25(9) |
907 | 822,726 | ||||||
|
|
|||||||
$ | 4,873,599 | |||||||
|
|
|||||||
Consumer Products 0.1% |
||||||||
Central Garden & Pet Co. |
||||||||
6.125%, 11/15/23 |
575 | $ | 595,364 | |||||
5.125%, 2/1/28 |
285 | 295,786 | ||||||
|
|
|||||||
$ | 891,150 | |||||||
|
|
|||||||
Containers and Glass Products 0.6% |
||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
||||||||
4.25%, 9/15/22(9) |
375 | $ | 380,472 | |||||
2.75%, 3/15/24(10) |
EUR | 500 | 572,880 | |||||
5.25%, 8/15/27(9) |
1,661 | 1,751,309 | ||||||
Ball Corp. |
||||||||
4.375%, 12/15/20 |
2,375 | 2,430,195 | ||||||
Berry Global, Inc. |
||||||||
6.00%, 10/15/22 |
485 | 495,458 | ||||||
Crown Americas, LLC/Crown Americas Capital Corp. V |
||||||||
4.25%, 9/30/26 |
660 | 694,054 | ||||||
Crown Americas, LLC/Crown Americas Capital Corp. VI |
||||||||
4.75%, 2/1/26 |
750 | 794,323 | ||||||
Owens-Brockway Glass Container, Inc. |
||||||||
5.875%, 8/15/23(9) |
97 | 103,750 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC |
||||||||
5.75%, 10/15/20 |
242 | 242,883 | ||||||
5.125%, 7/15/23(9) |
1,015 | 1,041,223 | ||||||
7.00%, 7/15/24 (9) |
1,426 | 1,476,801 |
27
Security | Principal Amount* (000s omitted) |
Value | ||||||
Smurfit Kappa Acquisitions ULC |
||||||||
2.375%, 2/1/24(10) |
EUR | 200 | $ | 241,485 | ||||
2.875%, 1/15/26(10) |
EUR | 100 | 123,662 | |||||
|
|
|||||||
$ | 10,348,495 | |||||||
|
|
|||||||
Cosmetics/Toiletries 0.0%(7) |
||||||||
Prestige Brands, Inc. |
||||||||
5.125%, 1/15/28(9) |
357 | $ | 374,850 | |||||
|
|
|||||||
$ | 374,850 | |||||||
|
|
|||||||
Distribution & Wholesale 0.1% |
||||||||
LKQ Italia Bondco SpA |
||||||||
3.875%, 4/1/24(10) |
EUR | 200 | $ | 252,943 | ||||
Parts Europe SA |
||||||||
4.375%, (3 mo. EURIBOR + 4.375%), 5/1/22(10)(14) |
EUR | 447 | 505,272 | |||||
Performance Food Group, Inc. |
||||||||
5.50%, 10/15/27(9) |
935 | 1,001,642 | ||||||
Travis Perkins PLC |
||||||||
4.50%, 9/7/23(10) |
GBP | 175 | 244,988 | |||||
|
|
|||||||
$ | 2,004,845 | |||||||
|
|
|||||||
Diversified Financial Services 1.0% |
||||||||
Arrow Global Finance PLC |
||||||||
2.875%, (3 mo. EURIBOR + 2.875%), 4/1/25(10)(14) |
EUR | 250 | $ | 278,794 | ||||
Barclays PLC |
||||||||
5.088% to 6/20/29, 6/20/30(11) |
2,000 | 2,229,532 | ||||||
BrightSphere Investment Group, Inc. |
||||||||
4.80%, 7/27/26 |
2,195 | 2,285,392 | ||||||
Cabot Financial Luxembourg S.A. |
||||||||
7.50%, 10/1/23(10) |
GBP | 100 | 138,020 | |||||
Cabot Financial Luxembourg II S.A. |
||||||||
6.375%, (3 mo. EURIBOR + 6.375%), 6/14/24(10)(14) |
EUR | 500 | 584,279 | |||||
Credito Real SAB de CV SOFOM ER |
||||||||
9.50%, 2/7/26(9) |
390 | 445,042 | ||||||
5.00%, 2/1/27(9) |
EUR | 515 | 609,401 | |||||
Discover Bank |
||||||||
4.682% to 8/9/23, 8/9/28(11) |
1,000 | 1,045,900 | ||||||
GE Capital UK Funding Unlimited Co. |
||||||||
5.875%, 11/4/20 |
GBP | 106 | 145,746 | |||||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC |
||||||||
7.125%, 7/31/26(9) |
1,629 | 1,717,512 | ||||||
7.125%, 7/31/26(10) |
350 | 369,017 | ||||||
Jefferies Group, LLC/Jefferies Group Capital Finance, Inc. |
||||||||
4.15%, 1/23/30 |
1,000 | 1,059,928 | ||||||
Louvre Bidco SAS |
||||||||
4.25%, 9/30/24(10) |
EUR | 390 | 450,412 | |||||
LSF10 Wolverine Investments SCA |
||||||||
4.625%, (3 mo. EURIBOR + 4.625%), 3/15/24(10)(14) |
EUR | 151 | 170,160 | |||||
UniCredit SpA |
||||||||
5.861% to 6/19/27, 6/19/32(9)(11) |
715 | 747,093 | ||||||
7.296% to 4/2/29, 4/2/34(9)(11) |
500 | 575,229 |
28
Security | Principal Amount* (000s omitted) |
Value | ||||||
Unifin Financiera SAB de CV |
||||||||
7.375%, 2/12/26(9) |
620 | $ | 622,547 | |||||
Vivion Investments S.a.r.l. |
||||||||
3.00%, 8/8/24(10) |
EUR | 2,000 | 2,295,332 | |||||
3.50%, 11/1/25(10) |
EUR | 900 | 1,043,677 | |||||
|
|
|||||||
$ | 16,813,013 | |||||||
|
|
|||||||
Drugs 1.8% |
||||||||
Bausch Health Companies, Inc. |
||||||||
6.50%, 3/15/22(9) |
2,419 | $ | 2,476,451 | |||||
5.50%, 3/1/23(9) |
264 | 266,090 | ||||||
5.875%, 5/15/23(9) |
114 | 115,069 | ||||||
7.00%, 3/15/24(9) |
3,810 | 3,970,344 | ||||||
6.125%, 4/15/25(9) |
345 | 357,184 | ||||||
5.50%, 11/1/25(9) |
2,880 | 3,015,605 | ||||||
9.00%, 12/15/25(9) |
2,340 | 2,666,898 | ||||||
9.25%, 4/1/26(9) |
670 | 770,802 | ||||||
8.50%, 1/31/27(9) |
3,076 | 3,508,639 | ||||||
5.75%, 8/15/27(9) |
412 | 447,782 | ||||||
7.00%, 1/15/28(9) |
2,092 | 2,305,070 | ||||||
5.00%, 1/30/28(9) |
1,051 | 1,081,363 | ||||||
7.25%, 5/30/29(9) |
544 | 622,526 | ||||||
5.25%, 1/30/30(9) |
1,051 | 1,092,515 | ||||||
Catalent Pharma Solutions, Inc. |
||||||||
4.875%, 1/15/26(9) |
2,700 | 2,802,188 | ||||||
5.00%, 7/15/27(9) |
656 | 688,374 | ||||||
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC |
||||||||
6.375%, 8/1/23(9) |
3,240 | 3,352,355 | ||||||
Nidda Healthcare Holding GmbH |
||||||||
3.50%, 9/30/24(10) |
EUR | 124 | 143,881 | |||||
|
|
|||||||
$ | 29,683,136 | |||||||
|
|
|||||||
Ecological Services and Equipment 1.1% |
||||||||
Advanced Disposal Services, Inc. |
||||||||
5.625%, 11/15/24(9) |
1,405 | $ | 1,465,296 | |||||
Clean Harbors, Inc. |
||||||||
4.875%, 7/15/27(9) |
551 | 580,947 | ||||||
5.125%, 7/15/29(9) |
332 | 357,049 | ||||||
Covanta Holding Corp. |
||||||||
5.875%, 3/1/24 |
1,900 | 1,960,163 | ||||||
5.875%, 7/1/25 |
860 | 909,807 | ||||||
GFL Environmental, Inc. |
||||||||
5.375%, 3/1/23(9) |
1,695 | 1,750,088 | ||||||
7.00%, 6/1/26(9) |
3,117 | 3,301,674 | ||||||
8.50%, 5/1/27(9) |
4,704 | 5,183,102 | ||||||
Waste Pro USA, Inc. |
||||||||
5.50%, 2/15/26(9) |
2,432 | 2,541,008 | ||||||
|
|
|||||||
$ | 18,049,134 | |||||||
|
|
29
Security | Principal Amount* (000s omitted) |
Value | ||||||
Electric Utilities 0.3% |
||||||||
Consolidated Edison Co. of New York, Inc. |
||||||||
4.125%, 5/15/49 |
400 | $ | 453,730 | |||||
ContourGlobal Power Holdings SA |
||||||||
4.125%, 8/1/25(10) |
EUR | 200 | 235,837 | |||||
Drax Finco PLC |
||||||||
4.25%, 5/1/22 (10) |
GBP | 325 | 440,541 | |||||
6.625%, 11/1/25 (9) |
806 | 858,056 | ||||||
Edison International |
||||||||
3.55%, 11/15/24 |
614 | 629,082 | ||||||
EDP - Energias de Portugal SA |
||||||||
4.496% to 4/30/24, 4/30/79(10)(11) |
EUR | 300 | 377,102 | |||||
MidAmerican Energy Co. |
||||||||
3.15%, 4/15/50 |
800 | 789,669 | ||||||
Southern California Edison Co. |
||||||||
4.00%, 4/1/47 |
845 | 888,357 | ||||||
TenneT Holding B.V. |
||||||||
2.995% to 6/1/24(10)(11)(12) |
EUR | 350 | 421,745 | |||||
Virginia Electric & Power Co. |
||||||||
4.00%, 1/15/43 |
410 | 452,914 | ||||||
|
|
|||||||
$ | 5,547,033 | |||||||
|
|
|||||||
Electronics/Electrical 1.4% |
||||||||
CommScope, Inc. |
||||||||
8.25%, 3/1/27(9) |
548 | $ | 577,784 | |||||
Duke Energy Progress, LLC |
||||||||
3.45%, 3/15/29 |
1,000 | 1,071,313 | ||||||
Enel Finance International NV |
||||||||
3.625%, 5/25/27(9) |
2,310 | 2,392,916 | ||||||
Energizer Holdings, Inc. |
||||||||
6.375%, 7/15/26(9) |
2,068 | 2,206,246 | ||||||
7.75%, 1/15/27 (9) |
657 | 735,446 | ||||||
Entegris, Inc. |
||||||||
4.625%, 2/10/26(9) |
517 | 536,051 | ||||||
Go Daddy Operating Co., LLC/GD Finance Co., Inc. |
||||||||
5.25%, 12/1/27(9) |
1,249 | 1,316,883 | ||||||
Infor (US), Inc. |
||||||||
6.50%, 5/15/22 |
1,760 | 1,789,533 | ||||||
Ingram Micro, Inc. |
||||||||
5.45%, 12/15/24 |
1,889 | 1,984,421 | ||||||
Jabil, Inc. |
||||||||
3.95%, 1/12/28 |
1,040 | 1,068,247 | ||||||
Marvell Technology Group, Ltd. |
||||||||
4.875%, 6/22/28 |
393 | 434,103 | ||||||
MTS Systems Corp. |
||||||||
5.75%, 8/15/27(9) |
414 | 433,809 | ||||||
PerkinElmer, Inc. |
||||||||
3.30%, 9/15/29 |
1,000 | 1,022,107 | ||||||
Perusahaan Listrik Negara PT |
||||||||
5.25%, 10/24/42(10) |
4,400 | 4,943,114 |
30
Security | Principal Amount* (000s omitted) |
Value | ||||||
Sensata Technologies, Inc. |
||||||||
4.375%, 2/15/30(9) |
627 | $ | 640,759 | |||||
SS&C Technologies, Inc. |
||||||||
5.50%, 9/30/27(9) |
517 | 552,867 | ||||||
Trimble, Inc. |
||||||||
4.90%, 6/15/28 |
967 | 1,055,983 | ||||||
Veritas US, Inc./Veritas Bermuda, Ltd. |
||||||||
7.50%, 2/1/23(9) |
605 | 605,251 | ||||||
Western Digital Corp. |
||||||||
4.75%, 2/15/26 |
740 | 772,837 | ||||||
|
|
|||||||
$ | 24,139,670 | |||||||
|
|
|||||||
Energy 0.2% |
||||||||
Empresa Electrica Cochrane SpA |
||||||||
5.50%, 5/14/27(9) |
630 | $ | 659,138 | |||||
Enviva Partners, L.P./Enviva Partners Finance Corp. |
||||||||
6.50%, 1/15/26(9) |
1,530 | 1,641,889 | ||||||
Sunoco, L.P./Sunoco Finance Corp. |
||||||||
4.875%, 1/15/23 |
950 | 974,163 | ||||||
5.50%, 2/15/26 |
412 | 428,623 | ||||||
|
|
|||||||
$ | 3,703,813 | |||||||
|
|
|||||||
Entertainment 0.3% |
||||||||
CPUK Finance, Ltd. |
||||||||
4.875%, 2/28/47(10) |
GBP | 485 | $ | 666,528 | ||||
Entertainment One, Ltd. |
||||||||
4.625%, 7/15/26(10) |
GBP | 155 | 222,298 | |||||
Live Nation Entertainment, Inc. |
||||||||
4.75%, 10/15/27(9) |
1,043 | 1,081,435 | ||||||
Merlin Entertainments PLC |
||||||||
5.75%, 6/15/26(9) |
870 | 955,127 | ||||||
Motion Bondco DAC |
||||||||
6.625%, 11/15/27(9) |
284 | 301,395 | ||||||
Pinewood Finance Co., Ltd. |
||||||||
3.25%, 9/30/25(10) |
GBP | 250 | 340,207 | |||||
Scientific Games International, Inc. |
||||||||
7.00%, 5/15/28(9) |
555 | 594,877 | ||||||
7.25%, 11/15/29(9) |
444 | 483,671 | ||||||
Speedway Motorsports, LLC/Speedway Funding II, Inc. |
||||||||
4.875%, 11/1/27(9) |
871 | 885,154 | ||||||
|
|
|||||||
$ | 5,530,692 | |||||||
|
|
|||||||
Equipment Leasing 0.1% |
||||||||
Ashtead Capital, Inc. |
||||||||
4.125%, 8/15/25(9) |
1,425 | $ | 1,468,341 | |||||
4.25%, 11/1/29(9) |
526 | 538,493 | ||||||
|
|
|||||||
$ | 2,006,834 | |||||||
|
|
|||||||
Financial Intermediaries 1.2% |
||||||||
CIT Group, Inc. |
||||||||
6.125%, 3/9/28 |
650 | $ | 768,851 | |||||
Citigroup, Inc. |
||||||||
3.98% to 3/20/29, 3/20/30(11) |
1,200 | 1,312,826 |
31
Security | Principal Amount* (000s omitted) |
Value | ||||||
Credit Acceptance Corp. |
||||||||
7.375%, 3/15/23 |
925 | $ | 951,978 | |||||
5.125%, 12/31/24(9) |
300 | 312,288 | ||||||
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp. |
||||||||
6.25%, 2/1/22 |
1,606 | 1,639,373 | ||||||
6.375%, 12/15/25 |
820 | 861,685 | ||||||
6.25%, 5/15/26 |
1,615 | 1,723,001 | ||||||
5.25%, 5/15/27(9) |
1,614 | 1,654,560 | ||||||
JPMorgan Chase & Co. |
||||||||
4.26% to 2/22/47, 2/22/48(11) |
1,035 | 1,226,815 | ||||||
Series S, 6.75% to 2/1/24(11)(12) |
3,325 | 3,757,134 | ||||||
KKR Group Finance Co. VI, LLC |
||||||||
3.75%, 7/1/29(9) |
1,000 | 1,065,703 | ||||||
Navient Corp. |
||||||||
8.00%, 3/25/20 |
715 | 723,605 | ||||||
5.00%, 10/26/20 |
995 | 1,010,771 | ||||||
7.25%, 1/25/22 |
215 | 233,967 | ||||||
Springleaf Finance Corp. |
||||||||
7.125%, 3/15/26 |
549 | 635,783 | ||||||
Synovus Financial Corp. |
||||||||
5.90% to 2/7/24, 2/7/29(11) |
1,511 | 1,605,475 | ||||||
UPCB Finance IV, Ltd. |
||||||||
5.375%, 1/15/25(9) |
311 | 320,356 | ||||||
|
|
|||||||
$ | 19,804,171 | |||||||
|
|
|||||||
Financial Services 0.8% |
||||||||
Banco BTG Pactual SA/Cayman Islands |
||||||||
4.50%, 1/10/25(9) |
1,100 | $ | 1,116,500 | |||||
Brookfield Finance, Inc. |
||||||||
4.70%, 9/20/47 |
1,050 | 1,205,907 | ||||||
Carlyle Finance Subsidiary, LLC |
||||||||
3.50%, 9/19/29(9) |
1,000 | 997,320 | ||||||
Debt and Asset Trading Corp. |
||||||||
1.00%, 10/10/25(10) |
2,600 | 1,995,500 | ||||||
Deutsche Bank AG |
||||||||
4.25%, 2/4/21 |
2,295 | 2,331,824 | ||||||
Nordea Bank Abp |
||||||||
4.625% to 9/13/28, 9/13/33(9)(11) |
1,000 | 1,090,521 | ||||||
Sensata Technologies UK Financing Co. PLC |
||||||||
6.25%, 2/15/26(9) |
2,735 | 2,952,022 | ||||||
Yapi ve Kredi Bankasi AS |
||||||||
8.25%, 10/15/24(9) |
1,500 | 1,610,499 | ||||||
|
|
|||||||
$ | 13,300,093 | |||||||
|
|
|||||||
Food Products 0.7% |
||||||||
Iceland Bondco PLC |
||||||||
5.035%, (3 mo. GBP LIBOR + 4.25%), 7/15/20(9)(14) |
GBP | 187 | $ | 247,659 | ||||
JBS USA LUX SA/JBS USA Finance, Inc. |
||||||||
6.75%, 2/15/28(9) |
1,350 | 1,494,261 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
||||||||
5.50%, 1/15/30(9) |
1,592 | 1,712,912 |
32
Security | Principal Amount* (000s omitted) |
Value | ||||||
PepsiCo, Inc. |
||||||||
2.85%, 2/24/26 |
750 | $ | 778,987 | |||||
Post Holdings, Inc. |
||||||||
5.50%, 3/1/25(9) |
1,680 | 1,763,303 | ||||||
8.00%, 7/15/25(9) |
745 | 800,067 | ||||||
5.00%, 8/15/26(9) |
2,275 | 2,407,177 | ||||||
5.625%, 1/15/28(9) |
1,193 | 1,287,665 | ||||||
5.50%, 12/15/29(9) |
535 | 571,460 | ||||||
Smithfield Foods, Inc. |
||||||||
2.65%, 10/3/21(9) |
550 | 546,810 | ||||||
Tesco PLC |
||||||||
6.125%, 2/24/22 |
GBP | 200 | 291,401 | |||||
|
|
|||||||
$ | 11,901,702 | |||||||
|
|
|||||||
Food Service 0.7% |
||||||||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc. |
||||||||
4.25%, 5/15/24(9) |
2,720 | $ | 2,793,671 | |||||
5.00%, 10/15/25(9) |
3,470 | 3,590,010 | ||||||
3.875%, 1/15/28(9) |
663 | 665,884 | ||||||
4.375%, 1/15/28(9) |
1,014 | 1,018,411 | ||||||
US Foods, Inc. |
||||||||
5.875%, 6/15/24(9) |
2,560 | 2,642,138 | ||||||
Yum! Brands, Inc. |
||||||||
4.75%, 1/15/30(9) |
768 | 805,901 | ||||||
|
|
|||||||
$ | 11,516,015 | |||||||
|
|
|||||||
Food/Drug Retailers 0.1% |
||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC |
||||||||
5.875%, 2/15/28(9) |
1,004 | $ | 1,068,607 | |||||
McDonalds Corp. |
||||||||
3.625%, 9/1/49 |
960 | 977,621 | ||||||
|
|
|||||||
$ | 2,046,228 | |||||||
|
|
|||||||
Health Care 3.9% |
||||||||
Amgen, Inc. |
||||||||
2.60%, 8/19/26 |
840 | $ | 849,986 | |||||
Centene Corp. |
||||||||
4.75%, 5/15/22 |
870 | 888,949 | ||||||
6.125%, 2/15/24 |
200 | 207,750 | ||||||
4.75%, 1/15/25 |
2,450 | 2,549,997 | ||||||
5.375%, 6/1/26(9) |
2,690 | 2,859,739 | ||||||
4.25%, 12/15/27(9) |
1,195 | 1,231,567 | ||||||
4.625%, 12/15/29(9) |
1,758 | 1,855,921 | ||||||
Charles River Laboratories International, Inc. |
||||||||
5.50%, 4/1/26(9) |
545 | 587,141 | ||||||
4.25%, 5/1/28(9) |
502 | 512,341 | ||||||
Eagle Holding Co. II, LLC |
||||||||
7.625%, (7.625% cash or 8.375% PIK), 5/15/22(9)(13) |
1,461 | 1,487,638 | ||||||
7.75%, (7.75% cash or 8.50% PIK), 5/15/22(9)(13) |
2,276 | 2,315,056 | ||||||
Encompass Health Corp. |
||||||||
4.50%, 2/1/28 |
520 | 539,812 | ||||||
4.75%, 2/1/30 |
620 | 644,397 |
33
Security | Principal Amount* (000s omitted) |
Value | ||||||
Gilead Sciences, Inc. |
||||||||
2.95%, 3/1/27 |
800 | $ | 830,922 | |||||
Grifols S.A. |
||||||||
1.625%, 2/15/25(10) |
EUR | 120 | 137,481 | |||||
3.20%, 5/1/25(10) |
EUR | 550 | 633,895 | |||||
HCA Healthcare, Inc. |
||||||||
6.25%, 2/15/21 |
1,710 | 1,786,522 | ||||||
HCA, Inc. |
||||||||
7.50%, 2/15/22 |
2,930 | 3,242,865 | ||||||
5.00%, 3/15/24 |
675 | 738,006 | ||||||
5.875%, 2/15/26 |
2,705 | 3,080,941 | ||||||
5.375%, 9/1/26 |
1,610 | 1,797,203 | ||||||
5.625%, 9/1/28 |
1,990 | 2,271,485 | ||||||
5.875%, 2/1/29 |
1,076 | 1,245,470 | ||||||
Hologic, Inc. |
||||||||
4.375%, 10/15/25(9) |
1,665 | 1,722,584 | ||||||
IQVIA, Inc. |
||||||||
3.25%, 3/15/25(10) |
EUR | 300 | 344,067 | |||||
5.00%, 10/15/26(9) |
850 | 898,724 | ||||||
5.00%, 5/15/27(9) |
577 | 611,722 | ||||||
Kinetic Concepts, Inc./KCI USA, Inc. |
||||||||
12.50%, 11/1/21(9) |
2,480 | 2,558,492 | ||||||
MPH Acquisition Holdings, LLC |
||||||||
7.125%, 6/1/24(9) |
9,217 | 8,940,398 | ||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. |
||||||||
9.75%, 12/1/26(9) |
2,226 | 2,521,001 | ||||||
Select Medical Corp. |
||||||||
6.25%, 8/15/26(9) |
1,312 | 1,422,674 | ||||||
Surgery Center Holdings, Inc. |
||||||||
6.75%, 7/1/25(9) |
82 | 82,239 | ||||||
10.00%, 4/15/27(9) |
368 | 404,928 | ||||||
Synlab Bondco PLC |
||||||||
3.50%, (3 mo. EURIBOR + 3.50%), 7/1/22(10)(14) |
EUR | 580 | 654,750 | |||||
Team Health Holdings, Inc. |
||||||||
6.375%, 2/1/25(9) |
703 | 471,302 | ||||||
Teleflex, Inc. |
||||||||
4.625%, 11/15/27 |
1,055 | 1,120,051 | ||||||
Tenet Healthcare Corp. |
||||||||
8.125%, 4/1/22 |
2,040 | 2,260,381 | ||||||
6.75%, 6/15/23 |
325 | 357,758 | ||||||
4.625%, 9/1/24(9) |
268 | 279,752 | ||||||
4.875%, 1/1/26(9) |
1,607 | 1,685,181 | ||||||
5.125%, 11/1/27(9) |
1,607 | 1,699,402 | ||||||
UnitedHealth Group, Inc. |
||||||||
3.375%, 4/15/27 |
475 | 506,876 | ||||||
3.75%, 10/15/47 |
650 | 698,465 | ||||||
WellCare Health Plans, Inc. |
||||||||
5.25%, 4/1/25 |
2,775 | 2,892,910 | ||||||
5.375%, 8/15/26(9) |
1,706 | 1,820,046 | ||||||
|
|
|||||||
$ | 66,248,787 | |||||||
|
|
34
Security | Principal Amount* (000s omitted) |
Value | ||||||
Home Furnishings 0.1% |
||||||||
Harman International Industries, Inc. |
||||||||
4.15%, 5/15/25 |
940 | $ | 1,002,053 | |||||
|
|
|||||||
$ | 1,002,053 | |||||||
|
|
|||||||
Industrial Equipment 0.1% |
||||||||
Colfax Escrow Corp. |
||||||||
6.00%, 2/15/24(9) |
478 | $ | 508,871 | |||||
6.375%, 2/15/26(9) |
780 | 851,175 | ||||||
Orano SA |
||||||||
4.875%, 9/23/24 |
EUR | 200 | 260,769 | |||||
Welbilt, Inc. |
||||||||
9.50%, 2/15/24 |
815 | 866,276 | ||||||
|
|
|||||||
$ | 2,487,091 | |||||||
|
|
|||||||
Insurance 0.9% |
||||||||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer |
||||||||
6.75%, 10/15/27(9) |
2,243 | $ | 2,406,290 | |||||
AmWINS Group, Inc. |
||||||||
7.75%, 7/1/26(9) |
513 | 568,392 | ||||||
Ardonagh Midco 3 PLC |
||||||||
8.375%, 7/15/23(10) |
GBP | 100 | 132,625 | |||||
Athene Holding, Ltd. |
||||||||
4.125%, 1/12/28 |
1,000 | 1,035,121 | ||||||
Galaxy Bidco, Ltd. |
||||||||
6.50%, 7/31/26(10) |
GBP | 300 | 422,290 | |||||
Galaxy Finco, Ltd. |
||||||||
9.25%, 7/31/27(10) |
GBP | 275 | 373,645 | |||||
GTCR AP Finance, Inc. |
||||||||
8.00%, 5/15/27(9) |
553 | 576,695 | ||||||
Hub International, Ltd. |
||||||||
7.00%, 5/1/26(9) |
2,479 | 2,627,802 | ||||||
Metropolitan Life Global Funding I |
||||||||
3.45%, 12/18/26(9) |
975 | 1,046,320 | ||||||
Radian Group, Inc. |
||||||||
4.875%, 3/15/27 |
1,032 | 1,089,119 | ||||||
USI, Inc. |
||||||||
6.875%, 5/1/25(9) |
3,948 | 4,045,476 | ||||||
|
|
|||||||
$ | 14,323,775 | |||||||
|
|
|||||||
Internet Software & Services 0.8% |
||||||||
CDK Global, Inc. |
||||||||
5.25%, 5/15/29(9) |
531 | $ | 570,161 | |||||
Netflix, Inc. |
||||||||
5.50%, 2/15/22 |
1,825 | 1,936,781 | ||||||
4.875%, 4/15/28 |
1,665 | 1,733,640 | ||||||
5.875%, 11/15/28 |
1,810 | 2,009,842 | ||||||
5.375%, 11/15/29(9) |
1,000 | 1,066,830 | ||||||
3.625%, 6/15/30(10) |
EUR | 500 | 578,377 | |||||
4.875%, 6/15/30(9) |
1,300 | 1,322,717 | ||||||
Oracle Corp. |
||||||||
3.25%, 11/15/27 |
1,180 | 1,250,621 |
35
Security | Principal Amount* (000s omitted) |
Value | ||||||
Riverbed Technology, Inc. |
||||||||
8.875%, 3/1/23(9) |
2,199 | $ | 1,275,420 | |||||
Symantec Corp. |
||||||||
5.00%, 4/15/25(9) |
1,640 | 1,675,789 | ||||||
Twitter, Inc. |
||||||||
3.875%, 12/15/27(9) |
175 | 175,347 | ||||||
|
|
|||||||
$ | 13,595,525 | |||||||
|
|
|||||||
Leisure Goods/Activities/Movies 0.9% |
||||||||
AMC Entertainment Holdings, Inc. |
||||||||
6.375%, 11/15/24 |
GBP | 225 | $ | 294,267 | ||||
5.875%, 11/15/26 |
710 | 641,536 | ||||||
6.125%, 5/15/27 |
2,545 | 2,328,739 | ||||||
Cinemark USA, Inc. |
||||||||
4.875%, 6/1/23 |
2,730 | 2,781,160 | ||||||
Mattel, Inc. |
||||||||
6.75%, 12/31/25(9) |
723 | 778,588 | ||||||
5.875%, 12/15/27(9) |
404 | 426,462 | ||||||
Sabre GLBL, Inc. |
||||||||
5.375%, 4/15/23(9) |
855 | 877,730 | ||||||
Viking Cruises, Ltd. |
||||||||
6.25%, 5/15/25(9) |
1,690 | 1,764,639 | ||||||
5.875%, 9/15/27(9) |
4,760 | 5,096,056 | ||||||
WMG Acquisition Corp. |
||||||||
3.625%, 10/15/26(10) |
EUR | 165 | 196,417 | |||||
|
|
|||||||
$ | 15,185,594 | |||||||
|
|
|||||||
Lodging and Casinos 2.4% |
||||||||
Caesars Resort Collection, LLC/CRC Finco, Inc. |
||||||||
5.25%, 10/15/25(9) |
3,279 | $ | 3,397,864 | |||||
Eldorado Resorts, Inc. |
||||||||
6.00%, 4/1/25 |
930 | 980,764 | ||||||
ESH Hospitality, Inc. |
||||||||
5.25%, 5/1/25(9) |
1,260 | 1,305,152 | ||||||
4.625%, 10/1/27(9) |
1,250 | 1,267,937 | ||||||
Gateway Casinos & Entertainment, Ltd. |
||||||||
8.25%, 3/1/24(9) |
2,255 | 2,312,311 | ||||||
Golden Entertainment, Inc. |
||||||||
7.625%, 4/15/26(9) |
557 | 601,489 | ||||||
Golden Nugget, Inc. |
||||||||
6.75%, 10/15/24(9) |
1,665 | 1,727,421 | ||||||
8.75%, 10/1/25(9) |
1,052 | 1,127,602 | ||||||
Hilton Domestic Operating Co., Inc. |
||||||||
4.25%, 9/1/24 |
1,410 | 1,440,548 | ||||||
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. |
||||||||
10.25%, 11/15/22(9) |
766 | 810,667 | ||||||
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc. |
||||||||
5.625%, 5/1/24 |
480 | 524,201 | ||||||
4.50%, 9/1/26 |
895 | 944,066 | ||||||
5.75%, 2/1/27(9) |
573 | 641,044 |
36
Security | Principal Amount* (000s omitted) |
Value | ||||||
MGM Resorts International |
||||||||
7.75%, 3/15/22 |
3,340 | $ | 3,730,045 | |||||
5.75%, 6/15/25 |
1,445 | 1,621,998 | ||||||
NH Hotel Group S.A. |
||||||||
3.75%, 10/1/23(10) |
EUR | 225 | 257,518 | |||||
RHP Hotel Properties, L.P./RHP Finance Corp. |
||||||||
5.00%, 4/15/23 |
1,596 | 1,632,572 | ||||||
Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC |
||||||||
7.00%, 7/15/26(9) |
3,930 | 4,266,408 | ||||||
Studio City Co., Ltd. |
||||||||
7.25%, 11/30/21(9) |
845 | 865,914 | ||||||
TVL Finance PLC |
||||||||
6.16%, (3 mo. GBP LIBOR + 5.375%), 7/15/25(10)(14) |
GBP | 300 | 399,864 | |||||
VICI Properties 1, LLC/VICI FC, Inc. |
||||||||
8.00%, 10/15/23 |
2,969 | 3,226,036 | ||||||
VICI Properties, L.P./VICI Note Co., Inc. |
||||||||
4.25%, 12/1/26(9) |
1,653 | 1,705,623 | ||||||
4.625%, 12/1/29(9) |
1,653 | 1,730,443 | ||||||
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. |
||||||||
5.25%, 5/15/27(9) |
2,009 | 2,137,074 | ||||||
Wynn Macau, Ltd. |
||||||||
5.50%, 10/1/27(9) |
215 | 224,099 | ||||||
5.125%, 12/15/29(9) |
445 | 455,239 | ||||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. |
||||||||
5.125%, 10/1/29(9) |
1,216 | 1,307,960 | ||||||
|
|
|||||||
$ | 40,641,859 | |||||||
|
|
|||||||
Machinery 0.2% |
||||||||
Cloud Crane, LLC |
||||||||
10.125%, 8/1/24(9) |
1,331 | $ | 1,400,325 | |||||
Granite Holdings US Acquisition Co. |
||||||||
11.00%, 10/1/27(9) |
514 | 521,889 | ||||||
nVent Finance S.a.r.l. |
||||||||
4.55%, 4/15/28 |
1,500 | 1,556,548 | ||||||
|
|
|||||||
$ | 3,478,762 | |||||||
|
|
|||||||
Manufacturing 0.2% |
||||||||
Novelis Corp. |
||||||||
6.25%, 8/15/24(9) |
1,065 | $ | 1,119,571 | |||||
5.875%, 9/30/26(9) |
1,530 | 1,631,634 | ||||||
|
|
|||||||
$ | 2,751,205 | |||||||
|
|
|||||||
Media 0.3% |
||||||||
Discovery Communications, LLC |
||||||||
4.125%, 5/15/29 |
1,400 | $ | 1,512,392 | |||||
MDC Partners, Inc. |
||||||||
6.50%, 5/1/24(9) |
198 | 179,685 | ||||||
Nexstar Escrow, Inc. |
||||||||
5.625%, 7/15/27(9) |
1,312 | 1,385,013 | ||||||
Scripps Escrow, Inc. |
||||||||
5.875%, 7/15/27(9) |
1,036 | 1,087,126 |
37
Security | Principal Amount* (000s omitted) |
Value | ||||||
Telenet Finance Luxembourg S.a.r.l. |
||||||||
3.50%, 3/1/28(10) |
EUR | 200 | $ | 243,289 | ||||
TWDC Enterprises 18 Corp. |
||||||||
3.00%, 7/30/46 |
495 | 488,706 | ||||||
|
|
|||||||
$ | 4,896,211 | |||||||
|
|
|||||||
Metals/Mining 0.4% |
||||||||
Alcoa Nederland Holding B.V. |
||||||||
6.75%, 9/30/24(9) |
670 | $ | 706,568 | |||||
7.00%, 9/30/26(9) |
200 | 218,630 | ||||||
6.125%, 5/15/28(9) |
569 | 616,995 | ||||||
Compass Minerals International, Inc. |
||||||||
6.75%, 12/1/27(9) |
1,005 | 1,069,672 | ||||||
Constellium N.V. |
||||||||
5.875%, 2/15/26(9) |
1,205 | 1,277,330 | ||||||
Freeport-McMoRan, Inc. |
||||||||
5.45%, 3/15/43 |
1,258 | 1,305,301 | ||||||
Hecla Mining Co. |
||||||||
6.875%, 5/1/21 |
977 | 976,023 | ||||||
Hudbay Minerals, Inc. |
||||||||
7.25%, 1/15/23(9) |
1,015 | 1,055,387 | ||||||
|
|
|||||||
$ | 7,225,906 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.4% |
||||||||
Eldorado Gold Corp. |
||||||||
9.50%, 6/1/24(9) |
537 | $ | 580,183 | |||||
First Quantum Minerals, Ltd. |
||||||||
7.25%, 4/1/23(9) |
1,851 | 1,920,163 | ||||||
7.50%, 4/1/25(9) |
1,156 | 1,184,420 | ||||||
6.875%, 3/1/26(9) |
872 | 884,513 | ||||||
New Gold, Inc. |
||||||||
6.25%, 11/15/22(9) |
1,097 | 1,094,594 | ||||||
6.375%, 5/15/25(9) |
695 | 644,769 | ||||||
|
|
|||||||
$ | 6,308,642 | |||||||
|
|
|||||||
Oil and Gas 5.9% |
||||||||
Aker BP ASA |
||||||||
6.00%, 7/1/22(9) |
150 | $ | 154,547 | |||||
4.75%, 6/15/24(9) |
1,106 | 1,150,229 | ||||||
5.875%, 3/31/25(9) |
675 | 718,875 | ||||||
AmeriGas Partners, L.P./AmeriGas Finance Corp. |
||||||||
5.625%, 5/20/24 |
216 | 233,818 | ||||||
5.50%, 5/20/25 |
880 | 952,591 | ||||||
Antero Resources Corp. |
||||||||
5.375%, 11/1/21 |
2,715 | 2,590,130 | ||||||
5.625%, 6/1/23 |
270 | 217,350 | ||||||
Apache Corp. |
||||||||
4.25%, 1/15/30 |
1,500 | 1,555,659 | ||||||
Archrock Partners, L.P./Archrock Partners Finance Corp. |
||||||||
6.25%, 4/1/28(9) |
496 | 512,120 | ||||||
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. |
||||||||
10.00%, 4/1/22(9) |
862 | 859,520 | ||||||
7.00%, 11/1/26(9) |
1,951 | 1,561,478 |
38
Security | Principal Amount* (000s omitted) |
Value | ||||||
Berry Petroleum Co., LLC |
||||||||
7.00%, 2/15/26(9) |
722 | $ | 670,808 | |||||
Centennial Resource Production, LLC |
||||||||
5.375%, 1/15/26(9) |
2,175 | 2,143,131 | ||||||
6.875%, 4/1/27(9) |
1,706 | 1,778,202 | ||||||
CGG Holding US, Inc. |
||||||||
9.00%, 5/1/23(9) |
200 | 212,833 | ||||||
Cheniere Corpus Christi Holdings, LLC |
||||||||
7.00%, 6/30/24 |
244 | 281,692 | ||||||
5.875%, 3/31/25 |
1,536 | 1,730,373 | ||||||
Cheniere Energy Partners, L.P. |
||||||||
5.25%, 10/1/25 |
1,590 | 1,660,882 | ||||||
5.625%, 10/1/26 |
1,265 | 1,340,108 | ||||||
4.50%, 10/1/29(9) |
2,254 | 2,320,380 | ||||||
Citgo Holding, Inc. |
||||||||
9.25%, 8/1/24(9) |
1,258 | 1,352,350 | ||||||
CrownRock, L.P./CrownRock Finance, Inc. |
||||||||
5.625%, 10/15/25(9) |
3,677 | 3,759,696 | ||||||
CVR Refining, LLC/Coffeyville Finance, Inc. |
||||||||
6.50%, 11/1/22 |
5,412 | 5,493,142 | ||||||
Endeavor Energy Resources, L.P./EER Finance, Inc. |
||||||||
5.50%, 1/30/26(9) |
1,045 | 1,081,390 | ||||||
5.75%, 1/30/28(9) |
1,390 | 1,463,809 | ||||||
Energy Transfer Operating, L.P. |
||||||||
7.50%, 10/15/20 |
1,950 | 2,026,791 | ||||||
5.875%, 1/15/24 |
875 | 968,704 | ||||||
Series A, 6.25% to 2/15/23(11)(12) |
1,345 | 1,266,344 | ||||||
Eni SpA |
||||||||
4.75%, 9/12/28(9) |
1,000 | 1,131,679 | ||||||
EP Energy, LLC/Everest Acquisition Finance, Inc. |
||||||||
7.75%, 5/15/26(6)(9) |
480 | 344,567 | ||||||
Extraction Oil & Gas, Inc. |
||||||||
7.375%, 5/15/24(9) |
689 | 432,633 | ||||||
5.625%, 2/1/26 (9) |
1,821 | 1,097,785 | ||||||
Gran Tierra Energy International Holdings, Ltd. |
||||||||
6.25%, 2/15/25(9) |
550 | 496,788 | ||||||
Gran Tierra Energy, Inc. |
||||||||
7.75%, 5/23/27(9) |
405 | 379,832 | ||||||
Great Western Petroleum, LLC/Great Western Finance Corp. |
||||||||
9.00%, 9/30/21(9) |
2,423 | 2,172,583 | ||||||
Hilcorp Energy I, L.P./Hilcorp Finance Co. |
||||||||
5.00%, 12/1/24(9) |
1,620 | 1,571,214 | ||||||
5.75%, 10/1/25(9) |
113 | 110,509 | ||||||
6.25%, 11/1/28(9) |
2,325 | 2,215,370 | ||||||
Holly Energy Partners, L.P./Holly Energy Finance Corp. |
||||||||
6.00%, 8/1/24(9) |
525 | 548,620 | ||||||
Ithaca Energy North Sea PLC |
||||||||
9.375%, 7/15/24(9) |
200 | 209,498 | ||||||
Jagged Peak Energy, LLC |
||||||||
5.875%, 5/1/26 |
507 | 524,670 | ||||||
Matador Resources Co. |
||||||||
5.875%, 9/15/26 |
2,220 | 2,231,156 |
39
Security | Principal Amount* (000s omitted) |
Value | ||||||
Moss Creek Resources Holdings, Inc. |
||||||||
7.50%, 1/15/26(9) |
1,915 | $ | 1,460,853 | |||||
National Oilwell Varco, Inc. |
||||||||
3.60%, 12/1/29 |
1,000 | 1,003,349 | ||||||
Neptune Energy Bondco PLC |
||||||||
6.625%, 5/15/25(9) |
4,025 | 4,032,527 | ||||||
6.625%, 5/15/25(10) |
450 | 450,842 | ||||||
Nine Energy Service, Inc. |
||||||||
8.75%, 11/1/23(9) |
600 | 487,950 | ||||||
Parsley Energy, LLC/Parsley Finance Corp. |
||||||||
6.25%, 6/1/24(9) |
345 | 359,806 | ||||||
5.375%, 1/15/25(9) |
1,240 | 1,280,288 | ||||||
5.25%, 8/15/25(9) |
1,170 | 1,205,586 | ||||||
5.625%, 10/15/27(9) |
923 | 977,780 | ||||||
Patterson-UTI Energy, Inc. |
||||||||
3.95%, 2/1/28 |
1,310 | 1,273,542 | ||||||
PBF Holding Co., LLC/PBF Finance Corp. |
||||||||
7.00%, 11/15/23 |
730 | 759,503 | ||||||
7.25%, 6/15/25 |
3,219 | 3,442,994 | ||||||
PBF Logistics, L.P./PBF Logistics Finance Corp. |
||||||||
6.875%, 5/15/23 |
296 | 305,617 | ||||||
Petroleos Mexicanos |
||||||||
6.50%, 3/13/27 |
2,700 | 2,874,332 | ||||||
Precision Drilling Corp. |
||||||||
6.50%, 12/15/21 |
57 | 56,647 | ||||||
7.75%, 12/15/23 |
90 | 90,037 | ||||||
7.125%, 1/15/26(9) |
500 | 476,424 | ||||||
Sabine Pass Liquefaction, LLC |
||||||||
5.625%, 2/1/21 |
935 | 961,116 | ||||||
Seven Generations Energy, Ltd. |
||||||||
6.875%, 6/30/23(9) |
1,250 | 1,289,581 | ||||||
5.375%, 9/30/25(9) |
1,710 | 1,722,808 | ||||||
Shelf Drilling Holdings, Ltd. |
||||||||
8.25%, 2/15/25(9) |
2,715 | 2,592,798 | ||||||
Shell International Finance B.V. |
||||||||
2.375%, 11/7/29 |
500 | 495,300 | ||||||
3.75%, 9/12/46 |
400 | 439,145 | ||||||
SM Energy Co. |
||||||||
6.125%, 11/15/22 |
561 | 568,188 | ||||||
5.00%, 1/15/24 |
58 | 55,414 | ||||||
5.625%, 6/1/25 |
529 | 503,653 | ||||||
6.75%, 9/15/26 |
1,275 | 1,253,131 | ||||||
6.625%, 1/15/27 |
1,034 | 1,018,674 | ||||||
Tallgrass Energy Partners, L.P./Tallgrass Energy Finance Corp. |
||||||||
5.50%, 1/15/28(9) |
966 | 948,924 | ||||||
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp. |
||||||||
5.875%, 4/15/26 |
985 | 1,048,408 | ||||||
6.50%, 7/15/27(9) |
566 | 620,817 | ||||||
6.875%, 1/15/29(9) |
1,132 | 1,258,614 | ||||||
Tervita Escrow Corp. |
||||||||
7.625%, 12/1/21(9) |
2,381 | 2,401,238 |
40
Security | Principal Amount* (000s omitted) |
Value | ||||||
Transocean Guardian, Ltd. |
||||||||
5.875%, 1/15/24(9) |
943 | $ | 966,976 | |||||
Transocean Pontus, Ltd. |
||||||||
6.125%, 8/1/25(9) |
645 | 662,988 | ||||||
Transocean Poseidon, Ltd. |
||||||||
6.875%, 2/1/27(9) |
294 | 312,323 | ||||||
Transocean, Inc. |
||||||||
7.25%, 11/1/25(9) |
1,292 | 1,269,377 | ||||||
7.50%, 1/15/26(9) |
523 | 517,677 | ||||||
Williams Cos., Inc. (The) |
||||||||
3.70%, 1/15/23 |
1,605 | 1,662,402 | ||||||
4.55%, 6/24/24 |
1,240 | 1,338,482 | ||||||
5.75%, 6/24/44 |
790 | 935,170 | ||||||
WPX Energy, Inc. |
||||||||
5.25%, 10/15/27 |
371 | 392,091 | ||||||
|
|
|||||||
$ | 99,297,228 | |||||||
|
|
|||||||
Packaging & Containers 0.5% |
||||||||
ARD Finance S.A. |
||||||||
5.00%, (5.00% cash or 5.75% PIK), 6/30/27(10)(13) |
EUR | 172 | $ | 195,064 | ||||
6.50%, (6.50% cash or 7.25% PIK), 6/30/27(9)(13) |
3,913 | 4,053,085 | ||||||
Guala Closures SpA |
||||||||
3.50%, (3 mo. EURIBOR + 3.50%), 4/15/24(10)(14) |
EUR | 200 | 227,425 | |||||
Smurfit Kappa Treasury ULC |
||||||||
1.50%, 9/15/27(10) |
EUR | 145 | 165,351 | |||||
Trivium Packaging Finance B.V. |
||||||||
3.75%, 8/15/26(10) |
EUR | 280 | 333,659 | |||||
5.50%, 8/15/26(9) |
779 | 822,331 | ||||||
8.50%, 8/15/27(9) |
2,858 | 3,184,812 | ||||||
|
|
|||||||
$ | 8,981,727 | |||||||
|
|
|||||||
Pharmaceuticals 0.3% |
||||||||
CVS Health Corp. |
||||||||
4.78%, 3/25/38 |
1,080 | $ | 1,226,093 | |||||
Diocle SpA |
||||||||
3.875%, (3 mo. EURIBOR + 3.875%), 6/30/26(10)(14) |
EUR | 140 | 159,884 | |||||
Pfizer, Inc. |
||||||||
2.95%, 3/15/24 |
1,000 | 1,038,233 | ||||||
Rossini S.a.r.l. |
||||||||
3.875%, (3 mo. EURIBOR + 3.875%), 10/30/25(10)(14) |
EUR | 300 | 343,030 | |||||
Teva Pharmaceutical Finance Netherlands III B.V. |
||||||||
6.00%, 4/15/24 |
2,500 | 2,535,213 | ||||||
|
|
|||||||
$ | 5,302,453 | |||||||
|
|
|||||||
Pipelines 0.4% |
||||||||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp. |
||||||||
5.75%, 3/1/27(9) |
1,378 | $ | 1,215,258 | |||||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp. |
||||||||
5.625%, 5/1/27(9) |
1,060 | 1,077,251 | ||||||
EnLink Midstream, LLC |
||||||||
5.375%, 6/1/29 |
926 | 872,591 | ||||||
Enterprise Products Operating, LLC |
||||||||
4.45%, 2/15/43 |
595 | 654,279 |
41
Security | Principal Amount* (000s omitted) |
Value | ||||||
Georgian Oil and Gas Corp. JSC |
||||||||
6.75%, 4/26/21(10) |
615 | $ | 643,041 | |||||
NGPL PipeCo, LLC |
||||||||
4.375%, 8/15/22(9) |
340 | 353,188 | ||||||
Plains All American Pipeline, L.P. |
||||||||
Series B, 6.125% to 11/15/22(11)(12) |
1,850 | 1,727,937 | ||||||
TransCanada PipeLines, Ltd. |
||||||||
4.75%, 5/15/38 |
390 | 445,423 | ||||||
|
|
|||||||
$ | 6,988,968 | |||||||
|
|
|||||||
Publishing 0.4% |
||||||||
Laureate Education, Inc. |
||||||||
8.25%, 5/1/25(9) |
4,048 | $ | 4,366,740 | |||||
Terrier Media Buyer, Inc. |
||||||||
8.875%, 12/15/27(9) |
2,895 | 3,068,700 | ||||||
|
|
|||||||
$ | 7,435,440 | |||||||
|
|
|||||||
Radio and Television 0.9% |
||||||||
Clear Channel Worldwide Holdings, Inc. |
||||||||
9.25%, 2/15/24(9) |
238 | $ | 264,081 | |||||
5.125%, 8/15/27(9) |
1,276 | 1,331,059 | ||||||
Diamond Sports Group, LLC/Diamond Sports Finance Co. |
||||||||
5.375%, 8/15/26(9) |
1,996 | 2,022,798 | ||||||
6.625%, 8/15/27(9) |
1,996 | 1,944,803 | ||||||
iHeartCommunications, Inc. |
||||||||
6.375%, 5/1/26 |
179 | 194,586 | ||||||
8.375%, 5/1/27 |
2,770 | 3,066,526 | ||||||
Nielsen Co. Luxembourg S.a.r.l. (The) |
||||||||
5.50%, 10/1/21(9) |
1,250 | 1,257,500 | ||||||
Sinclair Television Group, Inc. |
||||||||
5.50%, 3/1/30(9) |
1,040 | 1,065,324 | ||||||
Sirius XM Radio, Inc. |
||||||||
4.625%, 7/15/24(9) |
1,595 | 1,678,076 | ||||||
5.00%, 8/1/27(9) |
1,609 | 1,700,472 | ||||||
|
|
|||||||
$ | 14,525,225 | |||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 0.2% |
||||||||
Consus Real Estate AG |
||||||||
9.625%, 5/15/24(10) |
EUR | 250 | $ | 304,261 | ||||
EPR Properties |
||||||||
3.75%, 8/15/29 |
1,275 | 1,292,302 | ||||||
Service Properties Trust |
||||||||
4.75%, 10/1/26 |
1,990 | 2,041,079 | ||||||
|
|
|||||||
$ | 3,637,642 | |||||||
|
|
|||||||
Retail 0.2% |
||||||||
Dufry One B.V. |
||||||||
2.00%, 2/15/27(10) |
EUR | 400 | $ | 455,870 | ||||
Newmark Group, Inc. |
||||||||
6.125%, 11/15/23 |
2,126 | 2,344,347 | ||||||
|
|
|||||||
$ | 2,800,217 | |||||||
|
|
42
Security | Principal Amount* (000s omitted) |
Value | ||||||
Retailers (Except Food and Drug) 0.4% |
||||||||
Best Buy Co., Inc. |
||||||||
4.45%, 10/1/28 |
1,000 | $ | 1,097,031 | |||||
Macys Retail Holdings, Inc. |
||||||||
4.30%, 2/15/43 |
1,252 | 1,006,849 | ||||||
Murphy Oil USA, Inc. |
||||||||
5.625%, 5/1/27 |
560 | 602,195 | ||||||
4.75%, 9/15/29 |
728 | 770,166 | ||||||
Nordstrom, Inc. |
||||||||
4.375%, 4/1/30 |
158 | 161,230 | ||||||
5.00%, 1/15/44 |
775 | 759,107 | ||||||
Tapestry, Inc. |
||||||||
4.125%, 7/15/27 |
1,000 | 1,021,910 | ||||||
Walmart, Inc. |
||||||||
3.55%, 6/26/25 |
1,000 | 1,073,946 | ||||||
|
|
|||||||
$ | 6,492,434 | |||||||
|
|
|||||||
Road & Rail 0.1% |
||||||||
Watco Cos., LLC/Watco Finance Corp. |
||||||||
6.375%, 4/1/23(9) |
1,990 | $ | 2,025,651 | |||||
|
|
|||||||
$ | 2,025,651 | |||||||
|
|
|||||||
Software and Services 0.4% |
||||||||
Gartner, Inc. |
||||||||
5.125%, 4/1/25(9) |
795 | $ | 829,451 | |||||
IHS Markit, Ltd. |
||||||||
5.00%, 11/1/22(9) |
2,240 | 2,389,483 | ||||||
InterXion Holding N.V. |
||||||||
4.75%, 6/15/25(10) |
EUR | 300 | 364,711 | |||||
j2 Cloud Services, LLC/j2 Global Co-Obligor, Inc. |
||||||||
6.00%, 7/15/25(9) |
1,915 | 2,033,893 | ||||||
Microsoft Corp. |
||||||||
3.75%, 2/12/45 |
750 | 851,595 | ||||||
|
|
|||||||
$ | 6,469,133 | |||||||
|
|
|||||||
Steel 0.5% |
||||||||
Allegheny Ludlum, LLC |
||||||||
6.95%, 12/15/25 |
225 | $ | 243,656 | |||||
Allegheny Technologies, Inc. |
||||||||
7.875%, 8/15/23 |
4,896 | 5,497,792 | ||||||
5.875%, 12/1/27 |
1,541 | 1,618,820 | ||||||
Infrabuild Australia Pty, Ltd. |
||||||||
12.00%, 10/1/24(9) |
994 | 1,027,493 | ||||||
|
|
|||||||
$ | 8,387,761 | |||||||
|
|
|||||||
Surface Transport 0.8% |
||||||||
Anglian Water Osprey Financing PLC |
||||||||
4.00%, 3/8/26(10) |
GBP | 325 | $ | 419,733 | ||||
CMA CGM S.A. |
||||||||
5.25%, 1/15/25(10) |
EUR | 185 | 166,698 | |||||
DAE Funding, LLC |
||||||||
4.50%, 8/1/22(9) |
1,050 | 1,068,368 | ||||||
5.00%, 8/1/24(9) |
1,745 | 1,836,491 |
43
Security | Principal Amount* (000s omitted) |
Value | ||||||
Moto Finance PLC |
||||||||
4.50%, 10/1/22(10) |
GBP | 250 | $ | 338,270 | ||||
Park Aerospace Holdings, Ltd. |
||||||||
5.25%, 8/15/22(9) |
2,990 | 3,193,954 | ||||||
5.50%, 2/15/24(9) |
1,333 | 1,465,180 | ||||||
XPO Logistics, Inc. |
||||||||
6.50%, 6/15/22(9) |
2,276 | 2,323,295 | ||||||
6.125%, 9/1/23(9) |
2,221 | 2,297,369 | ||||||
|
|
|||||||
$ | 13,109,358 | |||||||
|
|
|||||||
Technology 0.4% |
||||||||
Dell International, LLC/EMC Corp. |
||||||||
5.875%, 6/15/21(9) |
66 | $ | 67,114 | |||||
7.125%, 6/15/24(9) |
2,440 | 2,577,250 | ||||||
6.02%, 6/15/26 (9) |
1,945 | 2,238,634 | ||||||
Western Union Co. (The) |
||||||||
6.20%, 11/17/36 |
872 | 994,128 | ||||||
|
|
|||||||
$ | 5,877,126 | |||||||
|
|
|||||||
Telecommunications 3.5% |
||||||||
Altice Financing S.A. |
||||||||
6.625%, 2/15/23(9) |
865 | $ | 881,941 | |||||
Altice Finco S.A. |
||||||||
4.75%, 1/15/28(10) |
EUR | 525 | 596,695 | |||||
Altice Luxembourg S.A. |
||||||||
7.625%, 2/15/25(9) |
1,628 | 1,697,190 | ||||||
8.00%, 5/15/27(10) |
EUR | 140 | 176,471 | |||||
10.50%, 5/15/27(9) |
2,139 | 2,442,524 | ||||||
AT&T, Inc. |
||||||||
3.80%, 2/15/27 |
500 | 533,248 | ||||||
4.75%, 5/15/46 |
1,347 | 1,522,492 | ||||||
Cellnex Telecom S.A. |
||||||||
2.375%, 1/16/24(10) |
EUR | 200 | 239,540 | |||||
CenturyLink, Inc. |
||||||||
7.50%, 4/1/24 |
47 | 53,091 | ||||||
CommScope Technologies, LLC |
||||||||
6.00%, 6/15/25(9) |
1,309 | 1,313,752 | ||||||
5.00%, 3/15/27(9) |
3,408 | 3,212,125 | ||||||
Connect Finco S.a.r.l./Connect US Finco, LLC |
||||||||
6.75%, 10/1/26(9) |
2,698 | 2,876,742 | ||||||
Crystal Almond S.a.r.l. |
||||||||
4.25%, 10/15/24(10) |
EUR | 286 | 330,703 | |||||
Digicel, Ltd. |
||||||||
6.00%, 4/15/21(9) |
2,305 | 1,804,608 | ||||||
Equinix, Inc. |
||||||||
2.875%, 2/1/26 |
EUR | 440 | 512,994 | |||||
Hughes Satellite Systems Corp. |
||||||||
5.25%, 8/1/26 |
1,245 | 1,369,933 | ||||||
6.625%, 8/1/26 |
770 | 856,893 | ||||||
Intelsat Jackson Holdings S.A. |
||||||||
5.50%, 8/1/23 |
995 | 856,819 | ||||||
8.00%, 2/15/24(9) |
490 | 503,884 | ||||||
8.50%, 10/15/24(9) |
1,236 | 1,128,363 |
44
Security | Principal Amount* (000s omitted) |
Value | ||||||
LCPR Senior Secured Financing DAC |
||||||||
6.75%, 10/15/27(9) |
786 | $ | 834,614 | |||||
Level 3 Financing, Inc. |
||||||||
5.375%, 1/15/24 |
2,190 | 2,231,971 | ||||||
Matterhorn Telecom S.A. |
||||||||
3.125%, 9/15/26(10) |
EUR | 277 | 322,033 | |||||
PPF Arena 1 B.V. |
||||||||
2.125%, 1/31/25(10) |
EUR | 225 | 257,448 | |||||
Qualitytech, L.P./QTS Finance Corp. |
||||||||
4.75%, 11/15/25(9) |
795 | 826,136 | ||||||
Sable International Finance, Ltd. |
||||||||
5.75%, 9/7/27(9) |
818 | 869,409 | ||||||
SBA Communications Corp. |
||||||||
4.00%, 10/1/22 |
1,020 | 1,041,668 | ||||||
4.875%, 9/1/24 |
460 | 478,591 | ||||||
Sprint Capital Corp. |
||||||||
6.875%, 11/15/28 |
840 | 906,654 | ||||||
Sprint Communications, Inc. |
||||||||
7.00%, 8/15/20 |
1,055 | 1,078,632 | ||||||
6.00%, 11/15/22 |
365 | 383,443 | ||||||
Sprint Corp. |
||||||||
7.25%, 9/15/21 |
3,265 | 3,458,680 | ||||||
7.875%, 9/15/23 |
9,822 | 10,857,386 | ||||||
7.625%, 2/15/25 |
1,785 | 1,963,232 | ||||||
7.625%, 3/1/26 |
993 | 1,096,917 | ||||||
Summer (BC) Holdco B S.a.r.l. |
||||||||
5.75%, 10/31/26(10) |
EUR | 150 | 175,911 | |||||
T-Mobile USA, Inc. |
||||||||
6.375%, 3/1/25 |
1,395 | 1,444,404 | ||||||
6.50%, 1/15/26 |
595 | 639,066 | ||||||
4.50%, 2/1/26 |
980 | 1,006,313 | ||||||
4.75%, 2/1/28 |
1,045 | 1,096,895 | ||||||
TalkTalk Telecom Group PLC |
||||||||
5.375%, 1/15/22(10) |
GBP | 250 | 336,515 | |||||
Telecom Italia SpA |
||||||||
2.50%, 7/19/23(10) |
EUR | 400 | 474,715 | |||||
5.303%, 5/30/24(9) |
1,593 | 1,716,442 | ||||||
2.75%, 4/15/25(10) |
EUR | 500 | 594,006 | |||||
3.00%, 9/30/25(10) |
EUR | 140 | 168,362 | |||||
ViaSat, Inc. |
||||||||
5.625%, 4/15/27(9) |
796 | 853,193 | ||||||
Zayo Group, LLC/Zayo Capital, Inc. |
||||||||
6.375%, 5/15/25 |
1,349 | 1,393,402 | ||||||
|
|
|||||||
$ | 59,416,046 | |||||||
|
|
|||||||
Transportation 0.3% |
||||||||
A.P. Moller - Maersk A/S |
||||||||
4.50%, 6/20/29(9) |
1,000 | $ | 1,067,096 |
45
Security | Principal Amount* (000s omitted) |
Value | ||||||
Atlas Air Worldwide Holdings, Inc. |
||||||||
2.25%, 6/1/22 |
1,700 | $ | 1,553,375 | |||||
FedEx Corp. |
||||||||
4.10%, 2/1/45 |
500 | 484,755 | ||||||
JSL Europe S.A. |
||||||||
7.75%, 7/26/24(9) |
1,000 | 1,080,595 | ||||||
XPO CNW, Inc. |
||||||||
6.70%, 5/1/34 |
1,000 | 1,018,221 | ||||||
|
|
|||||||
$ | 5,204,042 | |||||||
|
|
|||||||
Utilities 1.5% |
||||||||
AES Corp. (The) |
||||||||
4.00%, 3/15/21 |
595 | $ | 604,520 | |||||
5.50%, 4/15/25 |
309 | 319,812 | ||||||
6.00%, 5/15/26 |
1,694 | 1,807,244 | ||||||
5.125%, 9/1/27 |
445 | 475,861 | ||||||
Calpine Corp. |
||||||||
5.50%, 2/1/24 |
285 | 289,985 | ||||||
5.75%, 1/15/25 |
310 | 318,912 | ||||||
5.25%, 6/1/26(9) |
1,040 | 1,085,315 | ||||||
4.50%, 2/15/28(9) |
1,073 | 1,083,859 | ||||||
5.125%, 3/15/28(9) |
1,923 | 1,967,614 | ||||||
ENERGO-PRO AS |
||||||||
4.50%, 5/4/24(10) |
EUR | 450 | 513,333 | |||||
NextEra Energy Operating Partners, L.P. |
||||||||
4.25%, 9/15/24(9) |
660 | 687,776 | ||||||
4.50%, 9/15/27(9) |
851 | 889,144 | ||||||
NRG Energy, Inc. |
||||||||
7.25%, 5/15/26 |
3,000 | 3,283,050 | ||||||
5.75%, 1/15/28 |
1,455 | 1,581,367 | ||||||
5.25%, 6/15/29(9) |
673 | 728,926 | ||||||
Pattern Energy Group, Inc. |
||||||||
5.875%, 2/1/24(9) |
970 | 1,000,715 | ||||||
Southern Co. (The) |
||||||||
3.25%, 7/1/26 |
1,000 | 1,041,520 | ||||||
TerraForm Power Operating, LLC |
||||||||
4.25%, 1/31/23(9) |
655 | 675,934 | ||||||
5.00%, 1/31/28(9) |
985 | 1,043,273 | ||||||
Thames Water Kemble Finance PLC |
||||||||
5.875%, 7/15/22(10) |
GBP | 200 | 275,414 | |||||
Vistra Energy Corp. |
||||||||
8.125%, 1/30/26(9) |
2,315 | 2,482,837 | ||||||
Vistra Operations Co., LLC |
||||||||
5.00%, 7/31/27(9) |
2,239 | 2,343,852 | ||||||
|
|
|||||||
$ | 24,500,263 | |||||||
|
|
|||||||
Total Corporate Bonds & Notes |
$ | 808,239,288 | ||||||
|
|
46
Foreign Government Securities 4.4% |
||||||||
Security | Principal Amount* (000s omitted) |
Value | ||||||
Angola 0.2% |
||||||||
Republic of Angola |
||||||||
8.25%, 5/9/28(10) |
2,660 | $ | 2,880,003 | |||||
|
|
|||||||
Total Angola |
$ | 2,880,003 | ||||||
|
|
|||||||
Bahrain 0.2% |
||||||||
Kingdom of Bahrain |
||||||||
6.75%, 9/20/29(10) |
1,696 | $ | 1,985,453 | |||||
7.00%, 10/12/28(10) |
1,839 | 2,180,642 | ||||||
|
|
|||||||
Total Bahrain |
$ | 4,166,095 | ||||||
|
|
|||||||
Barbados 0.2% |
||||||||
Government of Barbados |
||||||||
6.50%, 2/1/21(9) |
249 | $ | 248,600 | |||||
6.50%, 10/1/29(9) |
4,063 | 3,981,544 | ||||||
|
|
|||||||
Total Barbados |
$ | 4,230,144 | ||||||
|
|
|||||||
Benin 0.2% |
||||||||
Benin Government International Bond |
||||||||
5.75%, 3/26/26(10) |
EUR | 3,022 | $ | 3,540,392 | ||||
|
|
|||||||
Total Benin |
$ | 3,540,392 | ||||||
|
|
|||||||
Colombia 0.2% |
||||||||
Republic of Colombia |
||||||||
5.00%, 6/15/45 |
2,750 | $ | 3,203,571 | |||||
|
|
|||||||
Total Colombia |
$ | 3,203,571 | ||||||
|
|
|||||||
Ecuador 0.1% |
||||||||
Republic of Ecuador |
||||||||
7.875%, 3/27/25(10) |
2,800 | $ | 2,571,100 | |||||
|
|
|||||||
Total Ecuador |
$ | 2,571,100 | ||||||
|
|
|||||||
Egypt 0.6% |
||||||||
Arab Republic of Egypt |
||||||||
8.15%, 11/20/59(10) |
3,938 | $ | 4,218,858 | |||||
8.50%, 1/31/47(10) |
3,343 | 3,722,230 | ||||||
8.70%, 3/1/49(10) |
2,330 | 2,612,769 | ||||||
|
|
|||||||
Total Egypt |
$ | 10,553,857 | ||||||
|
|
|||||||
El Salvador 0.3% |
||||||||
Republic of El Salvador |
||||||||
7.125%, 1/20/50(10) |
2,562 | $ | 2,735,742 | |||||
7.625%, 2/1/41(10) |
150 | 171,515 | ||||||
7.65%, 6/15/35(10) |
1,661 | 1,899,246 | ||||||
8.25%, 4/10/32(10) |
647 | 772,581 | ||||||
8.625%, 2/28/29(10) |
198 | 238,164 | ||||||
|
|
|||||||
Total El Salvador |
$ | 5,817,248 | ||||||
|
|
|||||||
Fiji 0.1% |
||||||||
Republic of Fiji |
||||||||
6.625%, 10/2/20(10) |
2,443 | $ | 2,458,269 | |||||
|
|
|||||||
Total Fiji |
$ | 2,458,269 | ||||||
|
|
47
Security | Principal Amount* (000s omitted) |
Value | ||||||
Ghana 0.2% |
||||||||
Ghana Government International Bond |
||||||||
8.95%, 3/26/51(10) |
2,850 | $ | 2,923,892 | |||||
|
|
|||||||
Total Ghana |
$ | 2,923,892 | ||||||
|
|
|||||||
Hungary 0.1% |
||||||||
Hungary Government Bond |
||||||||
5.75%, 11/22/23 |
820 | $ | 925,920 | |||||
|
|
|||||||
Total Hungary |
$ | 925,920 | ||||||
|
|
|||||||
Jordan 0.2% |
||||||||
Jordan Government International Bond |
||||||||
7.375%, 10/10/47(10) |
2,600 | $ | 2,778,906 | |||||
|
|
|||||||
Total Jordan |
$ | 2,778,906 | ||||||
|
|
|||||||
Kenya 0.2% |
||||||||
Republic of Kenya |
||||||||
7.25%, 2/28/28(10) |
2,900 | $ | 3,160,260 | |||||
|
|
|||||||
Total Kenya |
$ | 3,160,260 | ||||||
|
|
|||||||
Nigeria 0.4% |
||||||||
Republic of Nigeria |
||||||||
7.875%, 2/16/32(10) |
3,473 | $ | 3,613,847 | |||||
8.747%, 1/21/31(10) |
2,590 | 2,867,980 | ||||||
|
|
|||||||
Total Nigeria |
$ | 6,481,827 | ||||||
|
|
|||||||
Pakistan 0.2% |
||||||||
Pakistan Government International Bond |
||||||||
6.875%, 12/5/27(10) |
2,800 | $ | 2,924,365 | |||||
|
|
|||||||
Total Pakistan |
$ | 2,924,365 | ||||||
|
|
|||||||
Serbia 0.1% |
||||||||
Serbia International Bond |
||||||||
1.50%, 6/26/29(10) |
EUR | 894 | $ | 1,022,414 | ||||
|
|
|||||||
Total Serbia |
$ | 1,022,414 | ||||||
|
|
|||||||
Seychelles 0.1% |
||||||||
Republic of Seychelles |
||||||||
8.00%, 1/1/26(10) |
1,456 | $ | 1,518,287 | |||||
|
|
|||||||
Total Seychelles |
$ | 1,518,287 | ||||||
|
|
|||||||
Ukraine 0.8% |
||||||||
Ukraine Government International Bond |
||||||||
0.00%, GDP-Linked, 5/31/40(9)(10)(15) |
3,915 | $ | 3,753,506 | |||||
7.75%, 9/1/20(10) |
700 | 720,125 | ||||||
9.75%, 11/1/28(10) |
7,659 | 9,333,449 | ||||||
|
|
|||||||
Total Ukraine |
$ | 13,807,080 | ||||||
|
|
|||||||
Total Foreign Government Securities |
$ | 74,963,630 | ||||||
|
|
48
Sovereign Loans 0.6% |
||||||||
Borrower | Principal Amount (000s omitted) |
Value | ||||||
Kenya 0.3% |
||||||||
Government of Kenya |
||||||||
Term Loan, 8.37%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(14) |
$ | 4,500 | $ | 4,584,987 | ||||
|
|
|||||||
Total Kenya |
$ | 4,584,987 | ||||||
|
|
|||||||
Nigeria 0.1% |
||||||||
Bank of Industry Limited |
||||||||
Term Loan, 7.98%, (3 mo. USD LIBOR + 6.00%), Maturing May 21, 2021(14)(16) |
$ | 1,425 | $ | 1,424,024 | ||||
|
|
|||||||
Total Nigeria |
$ | 1,424,024 | ||||||
|
|
|||||||
Tanzania 0.2% |
||||||||
Government of the United Republic of Tanzania |
||||||||
Term Loan, 7.12%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(14) |
$ | 2,554 | $ | 2,628,299 | ||||
Term Loan, 7.09%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(14) |
1,700 | 1,747,068 | ||||||
|
|
|||||||
Total Tanzania |
$ | 4,375,367 | ||||||
|
|
|||||||
Total Sovereign Loans |
$ | 10,384,378 | ||||||
|
|
|||||||
Mortgage Pass-Throughs 9.3% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: |
||||||||
4.50%, with various maturities to 2048 |
$ | 1,536 | $ | 1,590,816 | ||||
5.50%, with maturity at 2032 |
472 | 520,752 | ||||||
6.00%, with maturity at 2021 |
2 | 1,634 | ||||||
6.50%, with various maturities to 2036 |
4,002 | 4,492,347 | ||||||
7.00%, with various maturities to 2036 |
3,710 | 4,179,332 | ||||||
7.13%, with maturity at 2023 |
38 | 38,757 | ||||||
7.50%, with various maturities to 2035 |
2,553 | 2,820,038 | ||||||
7.65%, with maturity at 2022 |
19 | 19,288 | ||||||
8.00%, with various maturities to 2030 |
752 | 785,051 | ||||||
8.30%, with maturity at 2020 |
1 | 1,234 | ||||||
8.50%, with various maturities to 2022 |
124 | 132,477 | ||||||
9.00%, with various maturities to 2031 |
75 | 81,646 | ||||||
9.50%, with various maturities to 2025 |
11 | 11,080 | ||||||
10.00%, with maturity at 2020 |
1 | 745 | ||||||
|
|
|||||||
$ | 14,675,197 | |||||||
|
|
|||||||
Federal National Mortgage Association: |
||||||||
3.054%, (COF + 1.25%), with maturity at 2036(17) |
$ | 733 | $ | 728,708 | ||||
3.649%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(17) |
1,135 | 1,175,665 | ||||||
4.488%, (1 yr. CMT + 2.261%), with maturity at 2036(17) |
6,201 | 6,521,577 | ||||||
4.50%, with various maturities to 2049(18) |
51,647 | 54,713,854 | ||||||
5.00%, with various maturities to 2040(18) |
7,282 | 8,003,178 | ||||||
5.50%, with various maturities to 2033 |
710 | 788,492 |
49
Security | Principal Amount (000s omitted) |
Value | ||||||
6.00%, with various maturities to 2029 |
$ | 1,215 | $ | 1,291,427 | ||||
6.328%, (COF + 2.00%), with maturity at 2032(17) |
1,802 | 1,964,873 | ||||||
6.50%, with various maturities to 2036(18) |
16,102 | 18,099,092 | ||||||
6.75%, with maturity at 2023 |
29 | 31,064 | ||||||
7.00%, with various maturities to 2037 |
4,153 | 4,659,194 | ||||||
7.50%, with various maturities to 2035 |
2,043 | 2,352,083 | ||||||
7.887%, with maturity at 2027(19) |
183 | 200,427 | ||||||
8.00%, with various maturities to 2027 |
275 | 298,218 | ||||||
8.224%, with maturity at 2028(19) |
46 | 50,421 | ||||||
8.232%, with maturity at 2024(19) |
10 | 10,187 | ||||||
8.277%, with maturity at 2029(19) |
44 | 47,702 | ||||||
8.298%, with maturity at 2027(19) |
58 | 63,557 | ||||||
8.50%, with various maturities to 2037 |
696 | 775,927 | ||||||
9.00%, with various maturities to 2032 |
766 | 842,139 | ||||||
9.132%, with maturity at 2025(19) |
4 | 4,329 | ||||||
9.50%, with various maturities to 2030 |
166 | 181,116 | ||||||
10.50%, with maturity at 2021 |
15 | 15,422 | ||||||
|
|
|||||||
$ | 102,818,652 | |||||||
|
|
|||||||
Government National Mortgage Association: |
||||||||
4.00%, with maturity at 2049 |
$ | 1,783 | $ | 1,856,951 | ||||
4.50%, with maturity at 2047 |
6,080 | 6,549,683 | ||||||
5.00%, with various maturities to 2048 |
19,946 | 21,119,872 | ||||||
6.00%, with maturity at 2024 |
279 | 294,039 | ||||||
6.50%, with maturity at 2024(18) |
1,712 | 1,816,121 | ||||||
7.00%, with maturity at 2026 |
166 | 182,604 | ||||||
7.50%, with various maturities to 2032(18) |
3,328 | 3,649,935 | ||||||
8.00%, with various maturities to 2034(18) |
2,453 | 2,750,072 | ||||||
8.50%, with maturity at 2022 |
48 | 50,251 | ||||||
9.00%, with various maturities to 2025 |
371 | 402,122 | ||||||
9.50%, with various maturities to 2021 |
38 | 38,749 | ||||||
|
|
|||||||
$ | 38,710,399 | |||||||
|
|
|||||||
Total Mortgage Pass-Throughs |
$ | 156,204,248 | ||||||
|
|
|||||||
Collateralized Mortgage Obligations 30.2% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: |
||||||||
Series 24, Class J, 6.25%, 11/25/23 |
$ | 165 | $ | 174,691 | ||||
Series 1497, Class K, 7.00%, 4/15/23 |
128 | 136,257 | ||||||
Series 1529, Class Z, 7.00%, 6/15/23 |
221 | 236,416 | ||||||
Series 1620, Class Z, 6.00%, 11/15/23 |
151 | 160,249 | ||||||
Series 1677, Class Z, 7.50%, 7/15/23 |
126 | 134,872 | ||||||
Series 1702, Class PZ, 6.50%, 3/15/24 |
1,583 | 1,693,915 | ||||||
Series 2113, Class QG, 6.00%, 1/15/29 |
400 | 441,596 | ||||||
Series 2122, Class K, 6.00%, 2/15/29 |
80 | 87,743 | ||||||
Series 2130, Class K, 6.00%, 3/15/29 |
54 | 59,447 |
50
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 2167, Class BZ, 7.00%, 6/15/29 |
$ | 62 | $ | 69,730 | ||||
Series 2182, Class ZB, 8.00%, 9/15/29 |
621 | 707,862 | ||||||
Series 2198, Class ZA, 8.50%, 11/15/29 |
691 | 784,012 | ||||||
Series 2458, Class ZB, 7.00%, 6/15/32 |
705 | 817,627 | ||||||
Series 3762, Class SH, 6.618%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(20) |
704 | 839,589 | ||||||
Series 4097, Class PE, 3.00%, 11/15/40 |
1,359 | 1,385,061 | ||||||
Series 4273, Class PU, 4.00%, 11/15/43 |
2,263 | 2,485,662 | ||||||
Series 4273, Class SP, 7.49%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(20) |
503 | 693,678 | ||||||
Series 4337, Class YT, 3.50%, 4/15/49 |
4,726 | 4,802,019 | ||||||
Series 4407, Class LN, 5.38%, (9.32% - 1 mo. USD LIBOR x 2.33), 12/15/43(20) |
103 | 105,542 | ||||||
Series 4416, Class SU, 5.218%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(20) |
1,401 | 1,407,256 | ||||||
Series 4452, Class ZJ, 3.00%, 11/15/44 |
3,113 | 3,064,926 | ||||||
Series 4584, Class PM, 3.00%, 5/15/46 |
3,357 | 3,420,479 | ||||||
Series 4594, Class FM, 2.691%, (1 mo. USD LIBOR + 1.00%), 6/15/46(14) |
506 | 511,816 | ||||||
Series 4608, Class TV, 3.50%, 1/15/55 |
6,749 | 6,837,880 | ||||||
Series 4617, Class CZ, 3.50%, 5/15/46 |
13 | 12,603 | ||||||
Series 4630, Class CZ, 3.00%, 12/15/43 |
8,679 | 8,792,840 | ||||||
Series 4637, Class CU, 3.00%, 8/15/44 |
6,188 | 6,296,474 | ||||||
Series 4637, Class QF, 2.691%, (1 mo. USD LIBOR + 1.00%), 4/15/44(14)(18) |
11,420 | 11,443,857 | ||||||
Series 4639, Class KF, 2.991%, (1 mo. USD LIBOR + 1.30%), 12/15/44(14) |
3,507 | 3,590,727 | ||||||
Series 4677, Class SB, 9.236%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(20) |
2,158 | 2,385,229 | ||||||
Series 4678, Class PC, 3.00%, 1/15/46(18) |
9,394 | 9,479,556 | ||||||
Series 4746, Class CZ, 4.00%, 11/15/47 |
220 | 220,624 | ||||||
Series 4751, Class ZC, 4.00%, 11/15/47 |
2,459 | 2,468,601 | ||||||
Series 4774, Class MH, 4.50%, 12/15/42 |
5,994 | 6,245,462 | ||||||
Series 4774, Class QD, 4.50%, 1/15/43 |
14,818 | 15,438,283 | ||||||
Series 4776, Class C, 4.50%, 3/15/43 |
5,014 | 5,206,332 | ||||||
Series 4858, Class LA, 4.50%, 8/15/43 |
5,879 | 6,119,352 | ||||||
Series 4859, Class GA, 4.50%, 10/15/43 |
10,170 | 10,365,364 | ||||||
Series 4911, Class JZ, 3.50%, 9/25/49 |
4,688 | 4,670,847 | ||||||
Series 4914, Class DZ, 4.00%, 9/25/49 |
3,044 | 3,027,737 | ||||||
Series 4941, Class ZD, 3.50%, 9/25/49 |
8,221 | 8,195,943 | ||||||
Interest Only:(21) |
| |||||||
Series 267, Class S5, 4.26%, (6.00% -1 mo. USD LIBOR), 8/15/42(20) |
6,127 | 971,934 | ||||||
Series 284, Class S6, 4.36%, (6.10% - 1 mo. USD LIBOR), 10/15/42(20) |
3,398 | 593,644 | ||||||
Series 362, Class C7, 3.50%, 9/15/47 |
20,865 | 3,018,305 | ||||||
Series 362, Class C11, 4.00%, 12/15/47 |
16,880 | 2,610,845 | ||||||
Series 3973, Class SG, 4.91%, (6.65% - 1 mo. USD LIBOR), 4/15/30(20) |
1,445 | 59,693 | ||||||
Series 4067, Class JI, 3.50%, 6/15/27 |
2,896 | 249,720 | ||||||
Series 4070, Class S, 4.36%, (6.10% - 1 mo. USD LIBOR), 6/15/32(20) |
7,188 | 1,160,701 | ||||||
Series 4088, Class EI, 3.50%, 9/15/41 |
8,717 | 925,053 | ||||||
Series 4094, Class CS, 4.26%, (6.00% - 1 mo. USD LIBOR), 8/15/42(20) |
3,107 | 582,928 | ||||||
Series 4095, Class HS, 4.36%, (6.10% - 1 mo. USD LIBOR), 7/15/32(20) |
2,085 | 266,419 | ||||||
Series 4109, Class ES, 4.41%, (6.15% - 1 mo. USD LIBOR), 12/15/41(20) |
89 | 18,088 | ||||||
Series 4109, Class KS, 4.36%, (6.10% - 1 mo. USD LIBOR), 5/15/32(20) |
317 | 3,223 | ||||||
Series 4110, Class SA, 3.91%, (5.65% - 1 mo. USD LIBOR), 9/15/42(20) |
4,235 | 709,455 | ||||||
Series 4149, Class S, 4.51%, (6.25% - 1 mo. USD LIBOR), 1/15/33(20) |
3,408 | 552,551 | ||||||
Series 4188, Class AI, 3.50%, 4/15/28 |
2,145 | 161,347 | ||||||
Series 4203, Class QS, 4.51%, (6.25% -1 mo. USD LIBOR), 5/15/43(20) |
6,288 | 852,814 | ||||||
Series 4408, Class IP, 3.50%, 4/15/44 |
5,778 | 751,557 | ||||||
Series 4435, Class BI, 3.50%, 7/15/44 |
12,952 | 1,782,879 |
51
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 4629, Class QI, 3.50%, 11/15/46 |
$ | 6,837 | $ | 1,046,721 | ||||
Series 4644, Class TI, 3.50%, 1/15/45 |
7,225 | 857,757 | ||||||
Series 4653, Class PI, 3.50%, 7/15/44 |
3,078 | 210,038 | ||||||
Series 4667, Class PI, 3.50%, 5/15/42 |
8,940 | 726,080 | ||||||
Series 4676, Class DI, 4.00%, 7/15/44 |
14,354 | 1,064,409 | ||||||
Series 4744, Class IO, 4.00%, 11/15/47 |
10,062 | 1,606,931 | ||||||
Series 4749, Class IL, 4.00%, 12/15/47 |
4,458 | 718,389 | ||||||
Series 4767, Class IM, 4.00%, 5/15/45 |
7,188 | 585,051 | ||||||
Series 4793, Class SD, 4.46%, (6.20% - 1 mo. USD LIBOR), 6/15/48(20) |
23,803 | 3,091,728 | ||||||
Principal Only:(22) |
| |||||||
Series 242, Class PO, 0.00%, 11/15/36 |
4,148 | 3,808,939 | ||||||
Series 259, Class PO, 0.00%, 4/15/39 |
2,454 | 2,298,415 | ||||||
Series 3606, Class PO, 0.00%, 12/15/39 |
2,795 | 2,511,826 | ||||||
Series 4417, Class KO, 0.00%, 12/15/43 |
536 | 406,419 | ||||||
Series 4478, Class PO, 0.00%, 5/15/45 |
1,937 | 1,699,225 | ||||||
Series 4754, Class JO, 0.00%, 4/15/44 |
2,139 | 1,775,701 | ||||||
|
|
|||||||
$ | 172,696,941 | |||||||
|
|
|||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: |
| |||||||
Series 2018-DNA1, Class M2, 3.592%, (1 mo. USD LIBOR + 1.80%), 7/25/30(14) |
$ | 7,517 | $ | 7,538,104 | ||||
Series 2018-DNA2, Class M2, 3.942%, (1 mo. USD LIBOR + 2.15%), 12/25/30(9)(14) |
7,000 | 7,076,958 | ||||||
|
|
|||||||
$ | 14,615,062 | |||||||
|
|
|||||||
Federal National Mortgage Association: |
| |||||||
Series G92-44, Class Z, 8.00%, 7/25/22 |
$ | 1 | $ | 532 | ||||
Series G92-44, Class ZQ, 8.00%, 7/25/22 |
1 | 865 | ||||||
Series G92-46, Class Z, 7.00%, 8/25/22 |
52 | 54,637 | ||||||
Series G92-60, Class Z, 7.00%, 10/25/22 |
82 | 85,258 | ||||||
Series G93-35, Class ZQ, 6.50%, 11/25/23 |
1,926 | 2,033,849 | ||||||
Series G93-40, Class H, 6.40%, 12/25/23 |
445 | 472,529 | ||||||
Series 1991-98, Class J, 8.00%, 8/25/21 |
18 | 18,495 | ||||||
Series 1992-77, Class ZA, 8.00%, 5/25/22 |
100 | 105,084 | ||||||
Series 1992-103, Class Z, 7.50%, 6/25/22 |
10 | 10,137 | ||||||
Series 1992-113, Class Z, 7.50%, 7/25/22 |
26 | 27,600 | ||||||
Series 1992-185, Class ZB, 7.00%, 10/25/22 |
40 | 42,021 | ||||||
Series 1993-16, Class Z, 7.50%, 2/25/23 |
98 | 104,164 | ||||||
Series 1993-22, Class PM, 7.40%, 2/25/23 |
81 | 85,483 | ||||||
Series 1993-25, Class J, 7.50%, 3/25/23 |
116 | 124,279 | ||||||
Series 1993-30, Class PZ, 7.50%, 3/25/23 |
219 | 233,599 | ||||||
Series 1993-42, Class ZQ, 6.75%, 4/25/23 |
286 | 302,014 | ||||||
Series 1993-56, Class PZ, 7.00%, 5/25/23 |
47 | 49,778 | ||||||
Series 1993-156, Class ZB, 7.00%, 9/25/23 |
58 | 61,689 | ||||||
Series 1994-45, Class Z, 6.50%, 2/25/24 |
406 | 430,414 | ||||||
Series 1994-89, Class ZQ, 8.00%, 7/25/24 |
313 | 343,691 | ||||||
Series 1996-57, Class Z, 7.00%, 12/25/26 |
322 | 355,088 | ||||||
Series 1997-77, Class Z, 7.00%, 11/18/27 |
172 | 192,603 | ||||||
Series 1998-44, Class ZA, 6.50%, 7/20/28 |
185 | 204,080 | ||||||
Series 1999-45, Class ZG, 6.50%, 9/25/29 |
52 | 57,753 | ||||||
Series 2000-22, Class PN, 6.00%, 7/25/30 |
646 | 716,773 | ||||||
Series 2002-1, Class G, 7.00%, 7/25/23 |
67 | 71,622 | ||||||
Series 2002-21, Class PE, 6.50%, 4/25/32 |
438 | 499,794 |
52
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 2005-75, Class CS, 17.032%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(20) |
$ | 948 | $ | 1,657,832 | ||||
Series 2007-74, Class AC, 5.00%, 8/25/37 |
4,964 | 5,410,235 | ||||||
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(20) |
517 | 573,746 | ||||||
Series 2011-109, Class PE, 3.00%, 8/25/41 |
3,427 | 3,437,944 | ||||||
Series 2012-134, Class ZT, 2.00%, 12/25/42 |
3,085 | 2,849,804 | ||||||
Series 2013-6, Class TA, 1.50%, 1/25/43 |
4,565 | 4,454,389 | ||||||
Series 2013-52, Class MD, 1.25%, 6/25/43 |
4,593 | 4,333,518 | ||||||
Series 2013-67, Class NF, 2.792%, (1 mo. USD LIBOR + 1.00%), 7/25/43(14) |
2,784 | 2,788,348 | ||||||
Series 2014-64, Class PA, 3.00%, 3/25/44 |
3,323 | 3,376,245 | ||||||
Series 2016-22, Class ZE, 3.00%, 6/25/44 |
771 | 770,725 | ||||||
Series 2017-13, Class KF, 2.691%, (1 mo. USD LIBOR + 1.00%), 2/25/47(14) |
724 | 730,535 | ||||||
Series 2017-15, Class LE, 3.00%, 6/25/46(18) |
10,752 | 10,858,334 | ||||||
Series 2017-39, Class JZ, 3.00%, 5/25/47 |
859 | 860,370 | ||||||
Series 2017-48, Class LG, 2.75%, 5/25/47 |
6,874 | 6,960,272 | ||||||
Series 2017-66, Class ZJ, 3.00%, 9/25/57 |
2,701 | 2,674,051 | ||||||
Series 2017-75, Class Z, 3.00%, 9/25/57 |
1,814 | 1,795,888 | ||||||
Series 2017-76, Class Z, 3.00%, 10/25/57 |
1,415 | 1,400,580 | ||||||
Series 2017-96, Class Z, 3.00%, 12/25/57 |
2,190 | 2,167,687 | ||||||
Series 2017-110, Class Z, 3.00%, 2/25/57 |
2,065 | 2,038,842 | ||||||
Series 2018-18, Class QD, 4.50%, 5/25/45 |
24,135 | 25,526,513 | ||||||
Series 2019-50, Class NZ, 3.50%, 9/25/49 |
3,768 | 3,770,174 | ||||||
Series 2019-69, Class NZ, 3.50%, 12/25/49 |
7,366 | 7,364,819 | ||||||
Series 2019-73, Class CZ, 3.00%, 12/25/49 |
4,106 | 4,055,925 | ||||||
Interest Only:(21) |
| |||||||
Series 2010-99, Class NS, 4.808%, (6.60% - 1 mo. USD LIBOR), 3/25/39(20) |
138 | 809 | ||||||
Series 2010-124, Class SJ, 4.258%, (6.05% - 1 mo. USD LIBOR), 11/25/38(20) |
1,322 | 54,025 | ||||||
Series 2011-101, Class IC, 3.50%, 10/25/26 |
7,217 | 519,158 | ||||||
Series 2011-101, Class IE, 3.50%, 10/25/26 |
2,329 | 168,367 | ||||||
Series 2012-24, Class S, 3.708%, (5.50% - 1 mo. USD LIBOR), 5/25/30(20) |
1,372 | 58,784 | ||||||
Series 2012-33, Class CI, 3.50%, 3/25/27 |
4,136 | 303,233 | ||||||
Series 2012-56, Class SU, 4.958%, (6.75% - 1 mo. USD LIBOR), 8/25/26(20) |
244 | 6,115 | ||||||
Series 2012-94, Class KS, 4.858%, (6.65% - 1 mo. USD LIBOR), 5/25/38(20) |
4,692 | 447,438 | ||||||
Series 2012-97, Class PS, 4.358%, (6.15% - 1 mo. USD LIBOR), 3/25/41(20) |
6,640 | 831,351 | ||||||
Series 2012-103, Class GS, 4.308%, (6.10% - 1 mo. USD LIBOR), 2/25/40(20) |
3,196 | 135,679 | ||||||
Series 2012-118, Class IN, 3.50%, 11/25/42 |
8,224 | 1,326,736 | ||||||
Series 2012-124, Class IO, 1.832%, 11/25/42(19) |
3,569 | 174,605 | ||||||
Series 2012-125, Class IG, 3.50%, 11/25/42 |
24,565 | 3,956,651 | ||||||
Series 2012-150, Class SK, 4.358%, (6.15% - 1 mo. USD LIBOR), 1/25/43(20) |
4,422 | 640,820 | ||||||
Series 2013-12, Class SP, 3.858%, (5.65% - 1 mo. USD LIBOR), 11/25/41(20) |
2,323 | 207,788 | ||||||
Series 2013-15, Class DS, 4.408%, (6.20% - 1 mo. USD LIBOR), 3/25/33(20) |
8,921 | 1,459,324 | ||||||
Series 2013-16, Class SY, 4.358%, (6.15% - 1 mo. USD LIBOR), 3/25/43(20) |
2,042 | 347,100 | ||||||
Series 2013-54, Class HS, 4.508%, (6.30% - 1 mo. USD LIBOR), 10/25/41(20) |
2,032 | 134,480 | ||||||
Series 2013-64, Class PS, 4.458%, (6.25% - 1 mo. USD LIBOR), 4/25/43(20) |
3,084 | 409,778 | ||||||
Series 2013-75, Class SC, 4.458%, (6.25% - 1 mo. USD LIBOR), 7/25/42(20) |
7,085 | 601,821 | ||||||
Series 2014-32, Class EI, 4.00%, 6/25/44 |
1,320 | 225,821 | ||||||
Series 2014-55, Class IN, 3.50%, 7/25/44 |
3,253 | 448,438 | ||||||
Series 2014-89, Class IO, 3.50%, 1/25/45 |
4,093 | 591,455 | ||||||
Series 2015-17, Class SA, 4.408%, (6.20% - 1 mo. USD LIBOR), 11/25/43(20) |
4,791 | 607,311 | ||||||
Series 2015-52, Class MI, 3.50%, 7/25/45 |
3,484 | 503,047 | ||||||
Series 2015-95, Class SB, 4.208%, (6.00% - 1 mo. USD LIBOR), 1/25/46(20) |
12,093 | 2,077,118 | ||||||
Series 2016-1, Class SJ, 4.358%, (6.15% - 1 mo. USD LIBOR), 2/25/46(20) |
17,894 | 3,194,178 |
53
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 2017-46, Class NI, 3.00%, 8/25/42 |
$ | 10,844 | $ | 1,067,463 | ||||
Series 2018-21, Class IO, 3.00%, 4/25/48 |
20,200 | 2,816,561 | ||||||
Series 2019-1, Class AS, 4.208%, (6.00% - 1 mo. USD LIBOR), 2/25/49(20) |
24,224 | 3,804,958 | ||||||
Series 2019-33, Class SK, 4.258%, (6.05% - 1 mo. USD LIBOR), 7/25/49(20) |
26,681 | 2,911,778 | ||||||
Principal Only:(22) | ||||||||
Series 379, Class 1, 0.00%, 5/25/37 |
2,667 | 2,450,515 | ||||||
Series 2006-8, Class WQ, 0.00%, 3/25/36 |
3,811 | 3,462,192 | ||||||
|
|
|||||||
$ | 142,485,504 | |||||||
|
|
|||||||
Government National Mortgage Association: |
||||||||
Series 2011-156, Class GA, 2.00%, 12/16/41 |
$ | 593 | $ | 564,734 | ||||
Series 2017-82, Class TZ, 2.50%, 2/16/43 |
225 | 223,317 | ||||||
Series 2017-121, Class DF, 2.265%, (1 mo. USD LIBOR + 0.50%), 8/20/47(14)(18) |
12,072 | 12,045,383 | ||||||
Series 2017-137, Class AF, 2.265%, (1 mo. USD LIBOR + 0.50%), 9/20/47(14)(18) |
6,867 | 6,868,267 | ||||||
Series 2017-141, Class KZ, 3.00%, 9/20/47 |
2,156 | 2,153,120 | ||||||
Series 2018-6, Class JZ, 4.00%, 1/20/48 |
4,481 | 4,976,433 | ||||||
Series 2018-67, Class LT, 4.50%, (13.50% - 1 mo. USD LIBOR x 2.25, Cap 4.50%), 4/20/48(20) |
3,110 | 3,130,814 | ||||||
Series 2019-97, Class ZC, 3.50%, 8/20/49 |
9,740 | 9,721,359 | ||||||
Series 2019-108, Class KZ, 3.50%, 8/20/49 |
4,024 | 4,016,741 | ||||||
Series 2019-110, Class ZD, 3.50%, 9/20/49 |
39,911 | 39,928,721 | ||||||
Series 2019-115, Class ZH, 4.00%, 9/20/49 |
4,934 | 4,943,963 | ||||||
Series 2019-117, Class Z, 3.50%, 9/20/49 |
10,051 | 10,058,143 | ||||||
Series 2019-123, Class Z, 5.00%, 10/20/49 |
25,218 | 25,366,369 | ||||||
Series 2019-136, Class CZ, 3.50%, 11/20/49 |
6,407 | 6,404,139 | ||||||
Series 2019-151, Class HZ, 3.50%, 12/20/49 |
8,000 | 7,958,638 | ||||||
Series 2019-153, Class MZ, 3.50%, 12/20/49 |
11,539 | 11,460,855 | ||||||
Series 2019-158, Class ZJ, 3.50%, 12/20/49 |
25,000 | 24,931,012 | ||||||
Interest Only:(21) | ||||||||
Series 2017-104, Class SD, 4.435%, (6.20% - 1 mo. USD LIBOR), 7/20/47(20) |
7,559 | 1,388,743 | ||||||
Series 2018-105, Class SE, 4.435%, (6.20% - 1 mo. USD LIBOR), 8/20/48(20) |
8,325 | 1,322,682 | ||||||
|
|
|||||||
$ | 177,463,433 | |||||||
|
|
|||||||
Total Collateralized Mortgage Obligations |
$ | 507,260,940 | ||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 5.4% |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Agate Bay Mortgage Trust |
||||||||
Series 2015-1, Class A4, 3.50%, 1/25/45(9)(19) |
$ | 1,601 | $ | 1,624,105 | ||||
BAMLL Commercial Mortgage Securities Trust |
| |||||||
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(9)(19) |
795 | 750,570 | ||||||
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(9)(19) |
3,205 | 2,727,669 | ||||||
CFCRE Commercial Mortgage Trust |
| |||||||
Series 2016-C3, Class D, 3.052%, 1/10/48(9)(19) |
3,500 | 3,151,519 | ||||||
Series 2016-C7, Class D, 4.432%, 12/10/54(9)(19) |
1,675 | 1,654,682 |
54
Security | Principal Amount (000s omitted) |
Value | ||||||
Citigroup Commercial Mortgage Trust |
| |||||||
Series 2015-P1, Class D, 3.225%, 9/15/48(9) |
$ | 1,000 | $ | 933,169 | ||||
Series 2017-MDRB, Class C, 4.24%, (1 mo. USD LIBOR + 2.50%), 7/15/30(9)(14) |
5,000 | 5,002,648 | ||||||
COMM Mortgage Trust |
| |||||||
Series 2013-CR11, Class D, 5.116%, 8/10/50(9)(19) |
4,500 | 4,540,176 | ||||||
Series 2015-CR22, Class D, 4.125%, 3/10/48(9)(19) |
4,100 | 4,051,984 | ||||||
Credit Suisse Mortgage Trust |
| |||||||
Series 2016-NXSR, Class C, 4.36%, 12/15/49(19) |
2,770 | 2,870,666 | ||||||
Series 2016-NXSR, Class D, 4.36%, 12/15/49(9)(19) |
3,000 | 2,686,769 | ||||||
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust |
| |||||||
Series 2019-01, Class M7, 3.492%, (1 mo. USD LIBOR + 1.70%), 10/15/49(9)(14) |
225 | 225,774 | ||||||
Series 2019-01, Class M10, 5.042%, (1 mo. USD LIBOR + 3.25%), 10/15/49(9)(14) |
120 | 125,392 | ||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||
Series 2014-C22, Class C, 4.557%, 9/15/47(19) |
730 | 745,679 | ||||||
Series 2014-C22, Class D, 4.557%, 9/15/47(9)(19) |
5,276 | 4,815,710 | ||||||
Series 2014-C25, Class D, 3.951%, 11/15/47(9)(19) |
2,974 | 2,678,342 | ||||||
Series 2015-C29, Class D, 3.656%, 5/15/48(19) |
2,000 | 1,729,640 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||
Series 2011-C5, Class D, 5.418%, 8/15/46(9)(19) |
7,167 | 7,321,799 | ||||||
Series 2012-CBX, Class AS, 4.271%, 6/15/45 |
1,000 | 1,040,996 | ||||||
Series 2013-C13, Class D, 4.065%, 1/15/46(9)(19) |
3,000 | 3,087,987 | ||||||
Series 2013-C16, Class D, 5.027%, 12/15/46(9)(19) |
3,500 | 3,662,351 | ||||||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(9) |
2,600 | 2,583,735 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
| |||||||
Series 2015-C23, Class D, 4.13%, 7/15/50(9)(19) |
2,000 | 2,000,689 | ||||||
Series 2016-C29, Class D, 3.00%, 5/15/49(9) |
3,577 | 2,943,283 | ||||||
Series 2016-C32, Class D, 3.396%, 12/15/49(9)(19) |
1,600 | 1,324,974 | ||||||
Morgan Stanley Capital I Trust |
| |||||||
Series 2016-UB12, Class D, 3.312%, 12/15/49(9) |
4,489 | 3,496,039 | ||||||
Series 2017-CLS, Class A, 2.44%, (1 mo. USD LIBOR + 0.70%), 11/15/34(9)(14) |
2,000 | 1,996,842 | ||||||
Series 2019-BPR, Class C, 4.79%, (1 mo. USD LIBOR + 3.05%), 5/15/36(9)(14) |
1,845 | 1,847,671 | ||||||
Motel 6 Trust |
||||||||
Series 2017-MTL6, Class C, 3.14%, (1 mo. USD LIBOR + 1.40%), 8/15/34(9)(14) |
2,407 | 2,409,791 | ||||||
RETL Trust |
||||||||
Series 2019-RVP, Class B, 3.29%, (1 mo. USD LIBOR + 1.55%), 3/15/36(9)(14) |
735 | 736,724 | ||||||
UBS Commercial Mortgage Trust |
||||||||
Series 2012-C1, Class D, 5.57%, 5/10/45(9)(19) |
3,000 | 2,948,679 | ||||||
UBS-Barclays Commercial Mortgage Trust |
||||||||
Series 2013-C6, Class D, 4.31%, 4/10/46(9)(19) |
4,437 | 4,314,764 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2013-LC12, Class D, 4.284%, 7/15/46(9)(19) |
3,000 | 2,670,327 | ||||||
Series 2015-C31, Class D, 3.852%, 11/15/48 |
2,475 | 2,280,803 | ||||||
Series 2015-LC22, Class C, 4.534%, 9/15/58(19) |
1,250 | 1,316,493 | ||||||
Series 2016-C35, Class D, 3.142%, 7/15/48(9) |
1,850 | 1,613,549 | ||||||
Series 2016-C36, Class D, 2.942%, 11/15/59(9) |
1,500 | 1,180,865 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities |
$ | 91,092,855 | ||||||
|
|
55
Asset-Backed Securities 7.2% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Alinea CLO, Ltd. |
||||||||
Series 2018-1A, Class E, 7.966%, (3 mo. USD LIBOR + 6.00%), 7/20/31(9)(14) |
$ | 1,000 | $ | 964,818 | ||||
AMMC CLO XII, Ltd. |
||||||||
Series 2013-12A, Class ER, 8.081%, (3 mo. USD LIBOR + 6.18%), 11/10/30(9)(14) |
2,000 | 1,839,916 | ||||||
Ares LII CLO, Ltd. |
||||||||
Series 2019-52A, Class E, 8.503%, (3 mo. USD LIBOR + 6.55%), 4/22/31(9)(14) |
1,000 | 985,598 | ||||||
Ares XL CLO, Ltd. |
||||||||
Series 2016-40A, Class DR, 8.351%, (3 mo. USD LIBOR + 6.35%), 1/15/29(9)(14) |
1,000 | 996,212 | ||||||
Ares XXXVR CLO, Ltd. |
||||||||
Series 2015-35RA, Class E, 7.701%, (3 mo. USD LIBOR + 5.70%), 7/15/30(9)(14) |
2,000 | 1,912,834 | ||||||
Babson CLO, Ltd. |
||||||||
Series 2016-1A, Class ER, 7.934%, (3 mo. USD LIBOR + 6.00%), 7/23/30(9)(14) |
1,000 | 885,170 | ||||||
Bain Capital Credit CLO, Ltd. |
||||||||
Series 2017-2A, Class E, 8.289%, (3 mo. USD LIBOR + 6.35%), 7/25/30(9)(14) |
2,000 | 1,950,098 | ||||||
Bardot CLO, Ltd. |
||||||||
Series 2019-2A, Class E, 8.816%, (3 mo. USD LIBOR + 6.95%), 10/22/32(9)(14) |
1,850 | 1,863,187 | ||||||
Benefit Street Partners CLO XVI, Ltd. |
||||||||
Series 2018-16A, Class E, 8.702%, (3 mo. USD LIBOR + 6.70%), 1/17/32(9)(14) |
3,000 | 2,917,887 | ||||||
Benefit Street Partners CLO XVII, Ltd. |
||||||||
Series 2019-17A, Class E, 8.601%, (3 mo. USD LIBOR + 6.60%), 7/15/32(9)(14) |
3,000 | 2,893,368 | ||||||
Benefit Street Partners CLO XVIII, Ltd. |
||||||||
Series 2019-18A, Class E, 8.809%, (3 mo. USD LIBOR + 6.90%), 10/15/32(9)(14) |
4,500 | 4,501,953 | ||||||
BlueMountain CLO XXIV, Ltd. |
||||||||
Series 2019-24A, Class E, 8.726%, (3 mo. USD LIBOR + 6.76%), 4/20/31(9)(14) |
1,000 | 1,004,777 | ||||||
BlueMountain CLO XXV, Ltd. |
||||||||
Series 2019-25A, Class E, 8.531%, (3 mo. USD LIBOR + 6.70%), 7/15/32(9)(14) |
4,500 | 4,467,109 | ||||||
BlueMountain CLO XXVI, Ltd. |
||||||||
Series 2019-26A, Class E, 9.526%, (3 mo. USD LIBOR + 7.70%), 10/20/32(9)(14) |
6,500 | 6,555,163 | ||||||
BlueMountain CLO, Ltd. |
||||||||
Series 2016-3A, Class ER, 7.86%, (3 mo. USD LIBOR + 5.95%), 11/15/30(9)(14) |
2,000 | 1,869,464 | ||||||
Series 2018-1A, Class E, 7.886%, (3 mo. USD LIBOR + 5.95%), 7/30/30(9)(14) |
1,000 | 935,200 | ||||||
Canyon Capital CLO, Ltd. |
||||||||
Series 2016-2A, Class ER, 8.001%, (3 mo. USD LIBOR + 6.00%), 10/15/31(9)(14) |
3,350 | 3,064,674 | ||||||
Series 2019-2A, Class E, 9.238%, (3 mo. USD LIBOR + 7.15%), 10/15/32(9)(14) |
1,000 | 1,000,177 | ||||||
Carlyle Global Market Strategies CLO, Ltd. |
||||||||
Series 2012-3A, Class DR2, 8.486%, (3 mo. USD LIBOR + 6.50%), 1/14/32(9)(14) |
2,000 | 1,805,222 | ||||||
Series 2014-4RA, Class D, 7.651%, (3 mo. USD LIBOR + 5.65%), 7/15/30(9)(14) |
1,250 | 1,090,024 | ||||||
Series 2015-5A, Class DR, 8.666%, (3 mo. USD LIBOR + 6.70%), 1/20/32(9)(14) |
1,000 | 933,294 | ||||||
Series C17A, Class DR, 7.936%, (3 mo. USD LIBOR + 6.00%), 4/30/31(9)(14) |
1,750 | 1,605,056 | ||||||
Cedar Funding X CLO, Ltd. |
||||||||
Series 2019-10A, Class E, 9.131%, (3 mo. USD LIBOR + 7.00%), 10/20/32(9)(14) |
1,500 | 1,489,930 | ||||||
Cole Park CLO, Ltd. |
||||||||
Series 2015-1A, Class ER, 8.566%, (3 mo. USD LIBOR + 6.60%), 10/20/28(9)(14) |
2,000 | 1,970,491 | ||||||
Dryden Senior Loan Fund |
| |||||||
Series 2015-41A, Class ER, 7.286%, (3 mo. USD LIBOR + 5.30%), 4/15/31(9)(14) |
2,000 | 1,789,214 | ||||||
Series 2016-42A, Class ER, 7.551%, (3 mo. USD LIBOR + 5.55%), 7/15/30(9)(14) |
1,000 | 936,229 | ||||||
FOCUS Brands Funding, LLC |
||||||||
Series 2017-1A, Class A2I, 3.857%, 4/30/47(9) |
1,580 | 1,587,419 |
56
Security | Principal Amount (000s omitted) |
Value | ||||||
Fort Washington CLO, Ltd. |
||||||||
Series 2019-1A, Class E, 9.158%, (3 mo. USD LIBOR + 7.25%), 10/20/32(9)(14) |
$ | 1,500 | $ | 1,493,179 | ||||
Galaxy XIX CLO, Ltd. |
||||||||
Series 2015-19A, Class D2R, 8.936%, (3 mo. USD LIBOR + 7.00%), 7/24/30(9)(14) |
1,600 | 1,544,277 | ||||||
Galaxy XV CLO, Ltd. |
||||||||
Series 2013-15A, Class ER, 8.646%, (3 mo. USD LIBOR + 6.65%), 10/15/30(9)(14) |
3,275 | 3,094,852 | ||||||
Galaxy XXI CLO, Ltd. |
||||||||
Series 2015-21A, Class ER, 7.216%, (3 mo. USD LIBOR + 5.25%), 4/20/31(9)(14) |
1,100 | 1,024,249 | ||||||
Galaxy XXV CLO, Ltd. |
||||||||
Series 2018-25A, Class E, 7.89%, (3 mo. USD LIBOR + 5.95%), 10/25/31(9)(14) |
1,000 | 945,978 | ||||||
Golub Capital Partners CLO, Ltd. |
||||||||
Series 2018-37A, Class E, 7.716%, (3 mo. USD LIBOR + 5.75%), 7/20/30(9)(14) |
3,000 | 2,873,631 | ||||||
Kayne CLO 5, Ltd. |
||||||||
Series 2019-5A, Class E, 8.881%, (3 mo. USD LIBOR + 6.70%), 7/24/32(9)(14) |
4,550 | 4,373,947 | ||||||
Madison Park Funding XVII, Ltd. |
||||||||
Series 2015-17A, Class ER, 8.466%, (3 mo. USD LIBOR + 6.50%), 7/21/30(9)(14) |
2,000 | 1,980,532 | ||||||
Madison Park Funding XXXVI, Ltd. |
||||||||
Series 2019-36A, Class E, 9.20%, (3 mo. USD LIBOR + 7.25%), 1/15/33(9)(14) |
1,500 | 1,511,176 | ||||||
Madison Park Funding XXXVII, Ltd. |
||||||||
Series 2019-37A, Class E, 8.853%, (3 mo. USD LIBOR + 6.55%), 7/15/32(9)(14) |
5,500 | 5,521,747 | ||||||
Magnetite XXII, Ltd. |
||||||||
Series 2019-22A, Class E, 8.751%, (3 mo. USD LIBOR + 6.75%), 4/15/31(9)(14) |
1,500 | 1,499,997 | ||||||
Magnetite XXIV, Ltd. |
||||||||
Series 2019-24A, Class E, 8.857%, (3 mo. USD LIBOR + 6.95%), 1/15/33(9)(14) |
2,000 | 2,007,860 | ||||||
MVW Owner Trust |
||||||||
Series 2014-1A, Class A, 2.25%, 9/22/31(9) |
373 | 372,269 | ||||||
Neuberger Berman CLO XIV, Ltd. |
||||||||
Series 2013-14A, Class ER, 8.386%, (3 mo. USD LIBOR + 6.45%), 1/28/30(9)(14) |
750 | 717,223 | ||||||
Neuberger Berman CLO XXII, Ltd. |
||||||||
Series 2016-22A, Class ER, 8.062%, (3 mo. USD LIBOR + 6.06%), 10/17/30(9)(14) |
1,500 | 1,435,269 | ||||||
Neuberger Berman Loan Advisers CLO 30, Ltd. |
||||||||
Series 2018-30A, Class E, 8.716%, (3 mo. USD LIBOR + 6.75%), 1/20/31(9)(14) |
2,000 | 2,002,758 | ||||||
Neuberger Berman Loan Advisers CLO 31, Ltd. |
||||||||
Series 2019-31A, Class E, 8.716%, (3 mo. USD LIBOR + 6.75%), 4/20/31(9)(14) |
1,000 | 996,108 | ||||||
Neuberger Berman Loan Advisers CLO 33, Ltd. |
||||||||
Series 2019-33A, Class E, 8.94%, (3 mo. USD LIBOR + 6.80%), 10/16/32(9)(14) |
2,250 | 2,216,509 | ||||||
Palmer Square CLO, Ltd. |
| |||||||
Series 2013-2A, Class DRR, 7.852%, (3 mo. USD LIBOR + 5.85%), 10/17/31(9)(14) |
2,000 | 1,933,552 | ||||||
Series 2018-2A, Class D, 7.601%, (3 mo. USD LIBOR + 5.60%), 7/16/31(9)(14) |
1,000 | 977,347 | ||||||
Series 2019-1A, Class D, 8.935%, (3 mo. USD LIBOR + 7.00%), 11/14/32(9)(14) |
2,000 | 2,010,955 | ||||||
Purchasing Power Funding, LLC |
||||||||
Series 2018-A, Class A, 3.34%, 8/15/22(9) |
3,200 | 3,204,864 | ||||||
Regatta IX Funding, Ltd. |
||||||||
Series 2017-1A, Class E, 8.002%, (3 mo. USD LIBOR + 6.00%), 4/17/30(9)(14) |
450 | 448,027 | ||||||
Regatta XII Funding, Ltd. |
||||||||
Series 2019-1A, Class E, 8.851%, (3 mo. USD LIBOR + 6.85%), 10/15/32(9)(14) |
2,000 | 1,965,544 | ||||||
Regatta XIII Funding, Ltd. |
||||||||
Series 2018-2A, Class D, 7.951%, (3 mo. USD LIBOR + 5.95%), 7/15/31(9)(14) |
2,000 | 1,871,786 | ||||||
Regatta XIV Funding, Ltd. |
||||||||
Series 2018-3A, Class E, 7.89%, (3 mo. USD LIBOR + 5.95%), 10/25/31(9)(14) |
1,000 | 943,820 |
57
Security | Principal Amount (000s omitted) |
Value | ||||||
Regatta XVI Funding, Ltd. |
||||||||
Series 2019-2A, Class E, 8.903%, (3 mo. USD LIBOR + 7.00%), 1/15/33(9)(14) |
$ | 1,800 | $ | 1,788,710 | ||||
Southwick Park CLO, LLC |
||||||||
Series 2019-4A, Class E, 8.866%, (3 mo. USD LIBOR + 6.70%), 7/20/32(9)(14) |
6,000 | 5,844,708 | ||||||
Trafigura Securitisation Finance PLC |
||||||||
Series 2017-1A, Class B, 3.44%, (1 mo. USD LIBOR + 1.70%), 12/15/20(9)(14) |
1,500 | 1,504,531 | ||||||
Tricon American Homes Trust |
||||||||
Series 2016-SFR1, Class D, 3.886%, 11/17/33(9) |
1,300 | 1,307,221 | ||||||
Vibrant CLO IX, Ltd. |
||||||||
Series 2018-9A, Class D, 8.216%, (3 mo. USD LIBOR + 6.25%), 7/20/31(9)(14) |
1,000 | 887,105 | ||||||
Vibrant CLO XI, Ltd. |
||||||||
Series 2019-11A, Class D, 8.869%, (3 mo. USD LIBOR + 6.77%), 7/20/32(9)(14) |
575 | 545,240 | ||||||
Voya CLO, Ltd. |
||||||||
Series 2015-3A, Class DR, 8.166%, (3 mo. USD LIBOR + 6.20%), 10/20/31(9)(14) |
3,000 | 2,872,728 | ||||||
Series 2016-3A, Class DR, 8.083%, (3 mo. USD LIBOR + 6.08%), 10/18/31(9)(14) |
1,400 | 1,272,989 | ||||||
Series 2019-4A, Class E, 9.223%, (3 mo. USD LIBOR + 7.48%), 1/15/33(9)(14) |
3,000 | 3,020,680 | ||||||
|
|
|||||||
Total Asset-Backed Securities |
$ | 121,825,852 | ||||||
|
|
|||||||
Common Stocks 0.5% |
||||||||
Security | Shares | Value | ||||||
Aerospace and Defense 0.0%(7) |
||||||||
IAP Global Services, LLC(3)(23)(24) |
31 | $ | 397,933 | |||||
|
|
|||||||
$ | 397,933 | |||||||
|
|
|||||||
Automotive 0.0%(7) |
||||||||
Dayco Products, LLC(23)(24) |
27,250 | $ | 572,250 | |||||
|
|
|||||||
$ | 572,250 | |||||||
|
|
|||||||
Business Equipment and Services 0.0%(7) |
||||||||
Crossmark Holdings, Inc.(23)(24) |
4,883 | $ | 246,592 | |||||
|
|
|||||||
$ | 246,592 | |||||||
|
|
|||||||
Electronics/Electrical 0.0%(7) |
||||||||
Answers Corp.(3)(23) |
78,756 | $ | 153,574 | |||||
|
|
|||||||
$ | 153,574 | |||||||
|
|
|||||||
Health Care 0.0% |
||||||||
New Millennium Holdco, Inc.(3)(23)(24) |
42,216 | $ | 0 | |||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Oil and Gas 0.2% |
||||||||
AFG Holdings, Inc.(3)(23)(24) |
29,751 | $ | 1,348,315 | |||||
Fieldwood Energy, Inc.(23)(24) |
10,085 | 211,785 | ||||||
Nine Point Energy Holdings, Inc.(3)(24)(25) |
29,787 | 298 | ||||||
Samson Resources II, LLC, Class A(23) |
45,294 | 951,174 | ||||||
Southcross Holdings Group, LLC(3)(23)(24) |
78 | 0 | ||||||
Southcross Holdings L.P., Class A(23)(24) |
78 | 5,694 | ||||||
|
|
|||||||
$ | 2,517,266 | |||||||
|
|
58
Security | Shares | Value | ||||||
Publishing 0.1% |
||||||||
ION Media Networks, Inc.(3)(23) |
5,187 | $ | 2,406,509 | |||||
Tweddle Group, Inc.(3)(23)(24) |
5,433 | 760 | ||||||
|
|
|||||||
$ | 2,407,269 | |||||||
|
|
|||||||
Radio and Television 0.1% |
||||||||
Clear Channel Outdoor Holdings, Inc.(23)(24) |
74,443 | $ | 212,907 | |||||
Cumulus Media, Inc., Class A(23)(24) |
50,522 | 887,672 | ||||||
iHeartMedia, Inc., Class A(23)(24) |
31,657 | 535,003 | ||||||
|
|
|||||||
$ | 1,635,582 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 0.1% |
||||||||
Davids Bridal, LLC(3)(23)(24) |
40,851 | $ | 884,833 | |||||
|
|
|||||||
$ | 884,833 | |||||||
|
|
|||||||
Telecommunications 0.0%(7) |
||||||||
Avaya Holdings Corp.(24) |
2 | $ | 27 | |||||
|
|
|||||||
$ | 27 | |||||||
|
|
|||||||
Total Common Stocks |
$ | 8,815,326 | ||||||
|
|
|||||||
Convertible Preferred Stocks 0.0%(7) |
||||||||
Security | Shares | Value | ||||||
Oil and Gas 0.0%(7) |
||||||||
Nine Point Energy Holdings, Inc., Series A, 12.00%(3)(24)(25) |
555 | $ | 320,663 | |||||
|
|
|||||||
Total Convertible Preferred Stocks |
$ | 320,663 | ||||||
|
|
|||||||
Preferred Stocks 0.1% |
||||||||
Security | Shares | Value | ||||||
Pipelines 0.1% |
||||||||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(11) |
31,500 | $ | 681,975 | |||||
|
|
|||||||
$ | 681,975 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 0.0%(7) |
||||||||
Davids Bridal, LLC, Series A(3)(23)(24) |
1,136 | $ | 90,880 | |||||
Davids Bridal, LLC, Series B(3)(23)(24) |
4,631 | 374,926 | ||||||
|
|
|||||||
$ | 465,806 | |||||||
|
|
|||||||
Total Preferred Stocks |
$ | 1,147,781 | ||||||
|
|
|||||||
Closed-End Funds 1.4% |
||||||||
Security | Shares | Value | ||||||
BlackRock Corporate High Yield Fund, Inc. |
2,089,114 | $ | 23,398,077 | |||||
|
|
|||||||
Total Closed-End Funds |
$ | 23,398,077 | ||||||
|
|
59
Warrants 0.0% |
||||||||
Security | Shares | Value | ||||||
Retailers (Except Food and Drug) 0.0% |
||||||||
Davids Bridal, LLC, Exp. 11/26/22(3)(23)(24) |
8 | $ | 0 | |||||
|
|
|||||||
Total Warrants |
$ | 0 | ||||||
|
|
|||||||
Miscellaneous 0.0%(7) |
||||||||
Security | Shares | Value | ||||||
Cable and Satellite Television 0.0% |
||||||||
ACC Claims Holdings, LLC(3)(24) |
2,257,600 | $ | 0 | |||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Oil and Gas 0.0%(7) |
||||||||
Paragon Offshore Finance Company, Class A(23)(24) |
2,021 | $ | 606 | |||||
Paragon Offshore Finance Company, Class B(23)(24) |
1,011 | 20,220 | ||||||
|
|
|||||||
$ | 20,826 | |||||||
|
|
|||||||
Total Miscellaneous |
$ | 20,826 | ||||||
|
|
|||||||
Short-Term Investments 3.3% |
||||||||
U.S. Treasury Obligations 0.0%(7) |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
U.S. Treasury Bill, 0.00%, 1/30/20(26) |
$ | 500 | $ | 499,436 | ||||
|
|
|||||||
Total U.S. Treasury Obligations |
$ | 499,436 | ||||||
|
|
|||||||
Other 3.3% |
||||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 1.78%(27) |
54,935,816 | $ | 54,935,816 | |||||
|
|
|||||||
Total Other |
$ | 54,935,816 | ||||||
|
|
|||||||
Total Short-Term Investments |
$ | 55,435,252 | ||||||
|
|
|||||||
Total Investments 157.5% |
$ | 2,648,720,037 | ||||||
|
|
|||||||
Less Unfunded Loan Commitments (0.0)%(7) |
$ | (663,227 | ) | |||||
|
|
60
Value | ||||||
Net Investments 157.5% |
$ | 2,648,056,810 | ||||
|
|
|||||
Other Assets, Less Liabilities (44.6)% |
$ | (750,694,443 | ) | |||
|
|
|||||
Auction Preferred Shares Plus Cumulative Unpaid Dividends (12.9)% |
$ | (216,052,648 | ) | |||
|
|
|||||
Net Assets Applicable to Common Shares 100.0% |
$ | 1,681,309,719 | ||||
|
|
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 borrowers 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. At December 31, 2019, the total value of unfunded loan commitments is $668,756. |
(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 December 31, 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 December 31, 2019, at which time the interest rate will be determined. |
(6) | 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. |
(7) | Amount is less than 0.05% or (0.05)%, as applicable. |
(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 December 31, 2019, the aggregate value of these securities is $689,872,673 or 41.0% of the Funds net assets applicable to common shares. |
(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 December 31, 2019, the aggregate value of these securities is $106,428,268 or 6.3% of the Funds net assets applicable to common shares. |
(11) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(12) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(13) | Represents a payment-in-kind security which may pay interest in additional principal at the issuers discretion. |
(14) | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2019. |
61
(15) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraines GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
(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 December 31, 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 December 31, 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 December 31, 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 margin requirements on open financial futures 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 December 31, 2019. |
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Settlement Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
EUR | 1,550,189 | USD | 1,734,723 | 1/22/20 | $ | 6,177 | ||||||||||||||||
EUR | 273,518 | USD | 306,969 | 1/22/20 | 198 | |||||||||||||||||
EUR | 670,357 | USD | 754,822 | 1/22/20 | (1,995 | ) | ||||||||||||||||
USD | 2,862,854 | EUR | 2,513,204 | 1/22/20 | 40,464 | |||||||||||||||||
|
|
|||||||||||||||||||||
$ | 44,844 | |||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||
EUR | 19,140 | USD | 21,290 | Citibank, N.A. | 1/13/20 | $ | 193 | $ | | |||||||||||||
EUR | 687,835 | USD | 766,511 | Goldman Sachs International | 1/13/20 | 5,514 | | |||||||||||||||
EUR | 178,516 | USD | 198,867 | Goldman Sachs International | 1/13/20 | 1,499 | | |||||||||||||||
USD | 1,022,112 | EUR | 919,217 | Citibank, N.A. | 1/13/20 | | (9,616 | ) | ||||||||||||||
USD | 4,272,934 | EUR | 3,841,527 | Citibank, N.A. | 1/13/20 | | (38,790 | ) | ||||||||||||||
EUR | 346,452 | USD | 385,268 | Citibank, N.A. | 1/31/20 | 4,024 | | |||||||||||||||
EUR | 576,076 | USD | 641,144 | State Street Bank and Trust Company | 1/31/20 | 6,165 | | |||||||||||||||
EUR | 326,362 | USD | 361,020 | State Street Bank and Trust Company | 1/31/20 | 5,697 | | |||||||||||||||
EUR | 130,640 | USD | 144,626 | State Street Bank and Trust Company | 1/31/20 | 2,168 | | |||||||||||||||
EUR | 198,158 | USD | 220,746 | State Street Bank and Trust Company | 1/31/20 | 1,914 | | |||||||||||||||
EUR | 131,223 | USD | 145,775 | State Street Bank and Trust Company | 1/31/20 | 1,675 | | |||||||||||||||
EUR | 147,015 | USD | 163,534 | State Street Bank and Trust Company | 1/31/20 | 1,659 | | |||||||||||||||
EUR | 104,105 | USD | 115,504 | State Street Bank and Trust Company | 1/31/20 | 1,474 | | |||||||||||||||
EUR | 116,485 | USD | 129,491 | State Street Bank and Trust Company | 1/31/20 | 1,398 | |
62
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||||
EUR | 101,799 | USD | 113,900 | State Street Bank and Trust Company | 1/31/20 | $ | 487 | $ | | |||||||||||||||||
USD | 164,461 | EUR | 147,327 | Bank of America, N.A. | 1/31/20 | | (1,083 | ) | ||||||||||||||||||
USD | 864,669 | EUR | 773,165 | Bank of America, N.A. | 1/31/20 | | (4,098 | ) | ||||||||||||||||||
USD | 12,491,518 | EUR | 11,169,596 | Bank of America, N.A. | 1/31/20 | | (59,209 | ) | ||||||||||||||||||
USD | 17,143,633 | EUR | 15,330,975 | Goldman Sachs International | 1/31/20 | | (83,032 | ) | ||||||||||||||||||
USD | 171,246 | EUR | 155,122 | HSBC Bank USA, N.A. | 1/31/20 | | (3,057 | ) | ||||||||||||||||||
USD | 5,189 | EUR | 4,686 | State Street Bank and Trust Company | 1/31/20 | | (76 | ) | ||||||||||||||||||
USD | 105,879 | EUR | 95,134 | State Street Bank and Trust Company | 1/31/20 | | (1,018 | ) | ||||||||||||||||||
USD | 124,492 | EUR | 111,753 | State Street Bank and Trust Company | 1/31/20 | | (1,080 | ) | ||||||||||||||||||
USD | 172,353 | EUR | 154,488 | State Street Bank and Trust Company | 1/31/20 | | (1,237 | ) | ||||||||||||||||||
USD | 111,111 | EUR | 100,000 | State Street Bank and Trust Company | 1/31/20 | | (1,255 | ) | ||||||||||||||||||
USD | 139,817 | EUR | 125,860 | State Street Bank and Trust Company | 1/31/20 | | (1,606 | ) | ||||||||||||||||||
USD | 150,056 | EUR | 135,510 | State Street Bank and Trust Company | 1/31/20 | | (2,210 | ) | ||||||||||||||||||
USD | 246,786 | EUR | 221,633 | State Street Bank and Trust Company | 1/31/20 | | (2,253 | ) | ||||||||||||||||||
USD | 190,844 | EUR | 172,000 | State Street Bank and Trust Company | 1/31/20 | | (2,424 | ) | ||||||||||||||||||
USD | 277,670 | EUR | 250,000 | State Street Bank and Trust Company | 1/31/20 | | (3,243 | ) | ||||||||||||||||||
USD | 703,436 | EUR | 629,000 | State Street Bank and Trust Company | 1/31/20 | | (3,341 | ) | ||||||||||||||||||
USD | 444,252 | EUR | 400,000 | State Street Bank and Trust Company | 1/31/20 | | (5,208 | ) | ||||||||||||||||||
USD | 992,212 | EUR | 888,111 | State Street Bank and Trust Company | 1/31/20 | | (5,715 | ) | ||||||||||||||||||
USD | 549,199 | EUR | 495,000 | State Street Bank and Trust Company | 1/31/20 | | (7,008 | ) | ||||||||||||||||||
USD | 10,176,894 | EUR | 9,100,000 | State Street Bank and Trust Company | 1/31/20 | | (48,329 | ) | ||||||||||||||||||
USD | 357,117 | GBP | 276,861 | Citibank, N.A. | 1/31/20 | | (9,908 | ) | ||||||||||||||||||
USD | 5,022,210 | GBP | 3,893,548 | Citibank, N.A. | 1/31/20 | | (139,334 | ) | ||||||||||||||||||
USD | 166,985 | GBP | 129,236 | HSBC Bank USA, N.A. | 1/31/20 | | (4,339 | ) | ||||||||||||||||||
USD | 10,532 | GBP | 8,027 | State Street Bank and Trust Company | 1/31/20 | | (109 | ) | ||||||||||||||||||
USD | 31,804 | GBP | 24,239 | State Street Bank and Trust Company | 1/31/20 | | (329 | ) | ||||||||||||||||||
USD | 139,699 | GBP | 106,025 | State Street Bank and Trust Company | 1/31/20 | | (854 | ) | ||||||||||||||||||
USD | 239,280 | GBP | 185,396 | State Street Bank and Trust Company | 1/31/20 | | (6,494 | ) | ||||||||||||||||||
USD | 1,238,668 | GBP | 959,842 | State Street Bank and Trust Company | 1/31/20 | | (33,761 | ) | ||||||||||||||||||
USD | 1,128,122 | EUR | 1,010,000 | State Street Bank and Trust Company | 2/28/20 | | (8,752 | ) | ||||||||||||||||||
USD | 1,104,011 | EUR | 992,133 | State Street Bank and Trust Company | 2/28/20 | | (12,752 | ) | ||||||||||||||||||
USD | 1,175,568 | EUR | 1,060,008 | State Street Bank and Trust Company | 2/28/20 | | (17,596 | ) | ||||||||||||||||||
USD | 3,393,284 | EUR | 3,037,500 | State Street Bank and Trust Company | 2/28/20 | | (25,781 | ) | ||||||||||||||||||
USD | 12,213,756 | EUR | 11,011,122 | State Street Bank and Trust Company | 2/28/20 | | (180,562 | ) | ||||||||||||||||||
USD | 17,328,187 | EUR | 15,527,397 | HSBC Bank USA, N.A. | 3/31/20 | | (185,098 | ) | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$ | 33,867 | $ | (910,557 | ) | ||||||||||||||||||||||
|
|
|
|
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 | 19 | Short | 3/16/20 | $ | (1,902,820 | ) | $ | 6,680 | ||||||||||||
10-Year USD Deliverable Interest Rate Swap | 12 | Short | 3/16/20 | (1,211,625 | ) | 13,219 | ||||||||||||||
Euro-Bobl | 20 | Short | 3/6/20 | (2,997,855 | ) | 10,993 | ||||||||||||||
Euro-Bund | 6 | Short | 3/6/20 | (1,147,432 | ) | 11,464 | ||||||||||||||
U.S. 10-Year Treasury Note | 260 | Long | 3/20/20 | 33,389,687 | (353,438 | ) | ||||||||||||||
U.S. Long Treasury Bond | 28 | Short | 3/20/20 | (4,365,375 | ) | 109,156 | ||||||||||||||
U.S. Ultra-Long Treasury Bond | 14 | Short | 3/20/20 | (2,543,188 | ) | 98,828 | ||||||||||||||
U.S. Ultra-Long Treasury Bond | 319 | Long | 3/20/20 | 57,948,344 | (1,748,234 | ) | ||||||||||||||
|
|
|||||||||||||||||||
$ | (1,851,332 | ) | ||||||||||||||||||
|
|
63
Centrally Cleared Interest Rate Swaps
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate |
Annual Fixed Rate | Termination Date |
Value |
Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
EUR | 950 | Receives | 6-month EURIBOR (pays semi-annually) |
(0.53)% (pays annually) |
8/22/24 | $ | 19,133 | $ | | $ | 19,133 | |||||||||||||||
USD | 760 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.93% (pays semi-annually) |
11/3/20 | (831 | ) | | (831 | ) | ||||||||||||||||
USD | 100 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.96% (pays semi-annually) |
11/17/20 | (154 | ) | (80 | ) | (234 | ) | |||||||||||||||
USD | 550 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.68% (pays semi-annually) |
3/16/21 | (9,945 | ) | (115 | ) | (10,060 | ) | |||||||||||||||
USD | 650 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.68% (pays semi-annually) |
3/16/21 | (11,763 | ) | (120 | ) | (11,883 | ) | |||||||||||||||
USD | 1,146 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.44% (pays semi-annually) |
9/26/24 | 10,894 | | 10,894 | ||||||||||||||||||
USD | 1,600 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.52% (pays semi-annually) |
9/27/24 | 8,782 | | 8,782 | ||||||||||||||||||
USD | 3,160 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.74% (pays semi-annually) |
12/16/26 | 11,035 | | 11,035 | ||||||||||||||||||
USD | 673 | Receives | 3-month USD-LIBOR (pays quarterly) |
3.13% (pays semi-annually) |
9/28/28 | (74,724 | ) | | (74,724 | ) | ||||||||||||||||
USD | 573 | Receives | 3-month USD-LIBOR (pays quarterly) |
3.12% (pays semi-annually) |
10/2/28 | (59,772 | ) | | (59,772 | ) | ||||||||||||||||
USD | 603 | Receives | 3-month USD-LIBOR (pays quarterly) |
3.29% (pays semi-annually) |
11/13/28 | (71,701 | ) | | (71,701 | ) | ||||||||||||||||
USD | 1,185 | Receives | 3-month USD-LIBOR (pays quarterly) |
3.25% (pays semi-annually) |
11/13/28 | (136,675 | ) | | (136,675 | ) | ||||||||||||||||
USD | 1,954 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.63% (pays semi-annually) |
3/25/29 | (138,743 | ) | 17,121 | (121,622 | ) | ||||||||||||||||
USD | 5,222 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.09% (pays semi-annually) |
7/15/29 | (120,984 | ) | 1,691 | (119,293 | ) | ||||||||||||||||
USD | 427 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.03% (pays semi-annually) |
7/17/29 | (7,590 | ) | (372 | ) | (7,962 | ) | |||||||||||||||
USD | 410 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.35% (pays semi-annually) |
9/6/29 | 18,237 | | 18,237 | ||||||||||||||||||
USD | 300 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.46% (pays semi-annually) |
9/9/29 | 10,182 | | 10,182 | ||||||||||||||||||
USD | 1,383 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.47% (pays semi-annually) |
9/9/29 | 45,545 | | 45,545 | ||||||||||||||||||
USD | 61 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.49% (pays semi-annually) |
9/10/29 | 1,926 | | 1,926 | ||||||||||||||||||
USD | 1,969 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.66% (pays semi-annually) |
9/16/29 | 32,092 | | 32,092 | ||||||||||||||||||
USD | 150 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.71% (pays semi-annually) |
9/19/29 | 1,763 | | 1,763 | ||||||||||||||||||
USD | 1,455 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.69% (pays semi-annually) |
10/22/29 | 26,213 | | 26,213 | ||||||||||||||||||
USD | 209 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.67% (pays semi-annually) |
10/22/29 | 4,243 | | 4,243 |
64
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate |
Annual Fixed Rate | Termination Date |
Value |
Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
USD | 266 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.72% (pays semi-annually) |
10/23/29 | $ | 4,172 | $ | | $ | 4,172 | |||||||||||||||
USD | 1,100 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.76% (pays semi-annually) |
12/12/29 | 12,829 | | 12,829 | ||||||||||||||||||
USD | 2,135 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.74% (pays semi-annually) |
12/12/29 | 28,854 | | 28,854 | ||||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.76% (pays semi-annually) |
12/12/29 | 9,425 | | 9,425 | ||||||||||||||||||
USD | 3,170 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.74% (pays semi-annually) |
12/12/29 | 44,923 | | 44,923 | ||||||||||||||||||
USD | 1,280 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.88% (pays semi-annually) |
1/31/49 | (231,020 | ) | (653 | ) | (231,673 | ) | |||||||||||||||
USD | 945 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.21% (pays semi-annually) |
8/1/49 | (29,464 | ) | | (29,464 | ) | ||||||||||||||||
USD | 148 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.70% (pays semi-annually) |
8/27/49 | 12,179 | | 12,179 | ||||||||||||||||||
USD | 128 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.71% (pays semi-annually) |
8/27/49 | 10,216 | | 10,216 | ||||||||||||||||||
USD | 160 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.65% (pays semi-annually) |
8/28/49 | 15,159 | | 15,159 | ||||||||||||||||||
USD | 320 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.57% (pays semi-annually) |
8/29/49 | 35,961 | | 35,961 | ||||||||||||||||||
USD | 85 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.54% (pays semi-annually) |
8/30/49 | 10,123 | | 10,123 | ||||||||||||||||||
USD | 274 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.65% (pays semi-annually) |
9/9/49 | 25,779 | | 25,779 | ||||||||||||||||||
USD | 88 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.70% (pays semi-annually) |
9/12/49 | 7,328 | | 7,328 | ||||||||||||||||||
USD | 1,400 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.87% (pays semi-annually) |
10/25/49 | 69,065 | | 69,065 | ||||||||||||||||||
USD | 182 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.97% (pays semi-annually) |
11/15/49 | 4,991 | | 4,991 | ||||||||||||||||||
USD | 940 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.88% (pays semi-annually) |
11/21/49 | 43,631 | | 43,631 | ||||||||||||||||||
USD | 647 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.82% (pays semi-annually) |
12/6/49 | 39,512 | | 39,512 | ||||||||||||||||||
USD | 91 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.81% (pays semi-annually) |
12/6/49 | 5,643 | | 5,643 | ||||||||||||||||||
USD | 183 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.94% (pays semi-annually) |
12/11/49 | 6,364 | | 6,364 | ||||||||||||||||||
USD | 440 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.93% (pays semi-annually) |
12/12/49 | 15,696 | | 15,696 | ||||||||||||||||||
USD | 1,313 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.05% (pays semi-annually) |
12/30/49 | 11,041 | | 11,041 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | (290,430 | ) | $ | 17,472 | $ | (272,958 | ) | ||||||||||||||||||
|
|
|
|
|
|
65
Centrally Cleared Credit Default Swaps Sell Protection
Reference Entity | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Mexico | $ | 2,500 | |
1.00 (pays quarterly |
% )(1) |
12/20/24 | 0.78 | % | $ | 26,476 | $ | 11,629 | $ | 38,105 | ||||||||||||||
Russia | 2,800 | |
1.00 (pays quarterly |
% )(1) |
12/20/24 | 0.56 | 60,137 | (25,010 | ) | 35,127 | ||||||||||||||||||
Turkey | 1,200 | |
1.00 (pays quarterly |
% )(1) |
6/20/20 | 0.70 | 2,118 | 18,655 | 20,773 | |||||||||||||||||||
Turkey | 2,400 | |
1.00 (pays quarterly |
% )(1) |
12/20/24 | 2.85 | (197,970 | ) | 287,860 | 89,890 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | $ | 8,900 | $ | (109,239 | ) | $ | 293,134 | $ | 183,895 | |||||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps Sell Protection
Reference |
Counterparty |
Notional Amount* (000s omitted) |
Contract |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Payments Received |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Bahamas | Deutsche Bank AG | $ | 1,150 | 1.00% (pays quarterly)(1) |
6/20/22 | 1.33 | % | $ | (8,845 | ) | $ | 51,026 | $ | 42,181 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 1,150 | $ | (8,845 | ) | $ | 51,026 | $ | 42,181 | |||||||||||||||||||
|
|
|
|
|
|
|
|
* | 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 December 31, 2019, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $10,050,000. |
** | 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 markets 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:
Currency Abbreviations:
EUR |
- | Euro | ||
GBP |
- | British Pound Sterling | ||
USD |
- | United States Dollar |
66
At December 31, 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 December 31, 2019 was as follows:
Fair Value | ||||||||||
Risk |
Derivative |
Asset Derivative |
Liability Derivative |
|||||||
Credit | Credit Default Swaps | $ | | $ | (8,845 | ) | ||||
Credit | Credit Default Swaps (Centrally Cleared) | 88,731 | (197,970 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 88,731 | $ | (206,815 | ) | |||||
|
|
|
|
|||||||
Foreign Exchange | Forward Foreign Currency Exchange Contracts | $ | 33,867 | $ | (910,557 | ) | ||||
Foreign Exchange | Forward Foreign Currency Exchange Contracts (Centrally Cleared) | 46,839 | (1,995 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 80,706 | $ | (912,552 | ) | |||||
|
|
|
|
|||||||
Interest Rate | Financial Futures Contracts | $ | 250,340 | $ | (2,101,672 | ) | ||||
Interest Rate | Interest Rate Swaps (Centrally Cleared) | 602,936 | (893,366 | ) | ||||||
|
|
|
|
|||||||
Total |
$ | 853,276 | $ | (2,995,038 | ) | |||||
|
|
|
|
Reverse Repurchase Agreements
Reverse repurchase agreements outstanding as of December 31, 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 |
12/20/19 | 1/22/20 | 2.14 | % | $ | 11,992,134 | $ | 12,000,688 | $ | 12,396,678 | ||||||||||||||
Bank of America |
12/20/19 | 1/22/20 | 2.19 | 39,042,940 | 39,071,442 | 41,215,842 | ||||||||||||||||||
Bank of Montreal |
12/20/19 | 1/22/20 | 2.15 | 29,103,290 | 29,124,147 | 30,610,145 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 80,138,364 | $ | 80,196,277 | 84,222,665 | |||||||||||||||||||
|
|
|
|
|
|
The Fund also pledged cash of $2,492,942 and $990,000 to Bank of America and Bank of Montreal, respectively, as additional collateral for its reverse repurchase agreements. At December 31, 2019, the remaining contractual maturity of all reverse repurchase agreements was less than 30 days.
67
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 December 31, 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 December 31, 2019.
Restricted Securities
At December 31, 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 | $ | 320,663 | ||||||||||
|
|
|
|
|||||||||||||
Total Restricted Securities |
$ | 1,925,397 | $ | 320,961 | ||||||||||||
|
|
|
|
At December 31, 2019, the value of the Funds investment in affiliated funds was $54,935,816, which represents 3.3% of the Funds net assets applicable to common shares. Transactions in affiliated funds by the Fund for the fiscal year to date ended December 31, 2019 were as follows:
Name of affiliated fund |
Value, beginning of period |
Purchases | Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Dividend income |
Units, end of period |
||||||||||||||||||||||||
Short-Term Investments |
| |||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC, 1.78% |
$ | 43,608,087 | $ | 883,098,510 | $ | (871,765,237 | ) | $ | (6,646 | ) | $ | 1,102 | $ | 54,935,816 | $ | 612,490 | 54,935,816 |
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 funds 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.
68
At December 31, 2019, the hierarchy of inputs used in valuing the Funds 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) |
$ | | $ | 783,946,843 | $ | 5,000,851 | $ | 788,947,694 | ||||||||
Corporate Bonds & Notes |
| 808,239,288 | | 808,239,288 | ||||||||||||
Foreign Government Securities |
| 74,963,630 | | 74,963,630 | ||||||||||||
Sovereign Loans |
| 10,384,378 | | 10,384,378 | ||||||||||||
Mortgage Pass-Throughs |
| 156,204,248 | | 156,204,248 | ||||||||||||
Collateralized Mortgage Obligations |
| 507,260,940 | | 507,260,940 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 91,092,855 | | 91,092,855 | ||||||||||||
Asset-Backed Securities |
| 121,825,852 | | 121,825,852 | ||||||||||||
Common Stocks |
1,635,609 | 1,987,495 | 5,192,222 | 8,815,326 | ||||||||||||
Convertible Preferred Stocks |
| | 320,663 | 320,663 | ||||||||||||
Preferred Stocks |
681,975 | | 465,806 | 1,147,781 | ||||||||||||
Closed-End Funds |
23,398,077 | | | 23,398,077 | ||||||||||||
Warrants |
| | 0 | 0 | ||||||||||||
Miscellaneous |
| 20,826 | 0 | 20,826 | ||||||||||||
Short-Term Investments - |
||||||||||||||||
U.S. Treasury Obligations |
| 499,436 | | 499,436 | ||||||||||||
Other |
| 54,935,816 | | 54,935,816 | ||||||||||||
Total Investments |
$ | 25,715,661 | $ | 2,611,361,607 | $ | 10,979,542 | $ | 2,648,056,810 | ||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 80,706 | $ | | $ | 80,706 | ||||||||
Futures Contracts |
250,340 | | | 250,340 | ||||||||||||
Swap Contracts |
| 691,667 | | 691,667 | ||||||||||||
Total |
$ | 25,966,001 | $ | 2,612,133,980 | $ | 10,979,542 | $ | 2,649,079,523 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (912,552 | ) | $ | | $ | (912,552 | ) | ||||||
Futures Contracts |
(2,101,672 | ) | | | (2,101,672 | ) | ||||||||||
Swap Contracts |
| (1,100,181 | ) | | (1,100,181 | ) | ||||||||||
Total |
$ | (2,101,672 | ) | $ | (2,012,733 | ) | $ | | $ | (4,114,405 | ) |
* | 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 December 31, 2019 is not presented.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
69