Eaton Vance

Limited Duration Income Fund

June 30, 2020

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 48.8%⁽¹⁾

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 1.1%
Aernnova Aerospace S.A.U.
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing February 22, 2027	EUR	204	$	189,543
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing February 26, 2027	EUR	796		739,217
AI Convoy (Luxembourg) S.a.r.l.
Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), Maturing January 17, 2027	EUR	1,000		1,078,091
Term Loan, 4.65%, (6 mo. USD LIBOR + 3.50%), Maturing January 17, 2027		748		716,797
Dynasty Acquisition Co., Inc.
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026		356		306,926
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026		662		570,882
IAP Worldwide Services, Inc.
Revolving Loan, 1.38%, (3 mo. USD LIBOR + 5.50%), Maturing July 19, 2021(2)		172		164,631
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 6.50%), Maturing July 18, 2021(3)		224		173,096
TransDigm, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing August 22, 2024		1,371		1,243,118
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing December 9, 2025		5,516		5,006,692
WP CPP Holdings, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing April 30, 2025		6,635		5,772,699
			$	15,961,692
Air Transport — 0.1%
JetBlue Airways Corporation
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing June 12, 2024		400	$	392,833
Mileage Plus Holdings, LLC
Term Loan, Maturing June 25, 2027(4)		750		745,916
			$	1,138,749
Automotive — 1.0%
Adient US, LLC
Term Loan, 4.25%, (USD LIBOR + 4.00%), Maturing May 6, 2024(5)		718	$	692,988
American Axle and Manufacturing, Inc.
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing April 6, 2024		2,636		2,510,855
Autokiniton US Holdings, Inc.
Term Loan, 6.55%, (1 mo. USD LIBOR + 6.38%), Maturing May 22, 2025		833		795,515
Bright Bidco B.V.
Term Loan, 4.57%, (6 mo. USD LIBOR + 3.50%), Maturing June 30, 2024		1,748		761,919
Chassix, Inc.
Term Loan, 6.50%, (USD LIBOR + 5.50%, Floor 1.00%), Maturing November 15, 2023(5)		1,463		1,060,313
Dayco Products, LLC
Term Loan, 4.61%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023		1,164		744,960

1

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Garrett LX III S.a.r.l.
Term Loan, 3.54%, (3 mo. USD LIBOR + 3.25%), Maturing September 27, 2025		295	$	275,591
IAA, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing June 28, 2026		581		558,731
Panther BF Aggregator 2 L.P.
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), Maturing April 30, 2026	EUR	1,500		1,628,372
Tenneco, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		3,718		3,254,043
Thor Industries, Inc.
Term Loan, 3.94%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026		1,096		1,079,183
TI Group Automotive Systems, LLC
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.50%, Floor 0.75%), Maturing June 30, 2022		1,065		1,030,167
Term Loan, 3.50%, (3 mo. EURIBOR + 2.75%, Floor 0.75%), Maturing June 30, 2022	EUR	905		978,503
			$	15,371,140
Beverage and Tobacco — 0.2%
Arterra Wines Canada, Inc.
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing December 15, 2023		2,875	$	2,796,381
			$	2,796,381
Brokerage/Securities Dealers/Investment Houses — 0.2%
Advisor Group, Inc.
Term Loan, 5.18%, (1 mo. USD LIBOR + 5.00%), Maturing July 31, 2026		1,169	$	1,096,055
Clipper Acquisitions Corp.
Term Loan, 1.92%, (1 mo. USD LIBOR + 1.75%), Maturing December 27, 2024		1,243		1,205,831
OZ Management L.P.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.75%), Maturing April 10, 2023		24		23,711
			$	2,325,597
Building and Development — 1.6%
ACProducts, Inc.
Term Loan, 7.50%, (6 mo. USD LIBOR + 6.50%, Floor 1.00%), Maturing August 18, 2025		398	$	388,183
Advanced Drainage Systems, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing July 31, 2026		300		291,906
American Builders & Contractors Supply Co., Inc.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2027		2,432		2,326,457
APi Group DE, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing October 1, 2026		1,517		1,472,802
Beacon Roofing Supply, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 2, 2025		635		607,350
Brookfield Property REIT, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025		1,007		840,897
Core & Main L.P.
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing August 1, 2024(5)		1,175		1,123,782
CPG International, Inc.
Term Loan, 4.75%, (12 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing May 5, 2024		976		968,720
Cushman & Wakefield U.S. Borrower, LLC
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing August 21, 2025		5,812		5,502,939

2

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
NCI Building Systems, Inc.
Term Loan, 3.94%, (1 mo. USD LIBOR + 3.75%), Maturing April 12, 2025		786	$	750,269
Quikrete Holdings, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2027		2,990		2,893,238
RE/MAX International, Inc.
Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing December 15, 2023		2,205		2,149,763
Realogy Group, LLC
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing February 8, 2025		898		832,614
Werner FinCo L.P.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing July 24, 2024		1,022		970,706
WireCo WorldGroup, Inc.
Term Loan, 6.07%, (6 mo. USD LIBOR + 5.00%), Maturing September 30, 2023		1,342		1,113,066
Term Loan - Second Lien, 10.07%, (6 mo. USD LIBOR + 9.00%), Maturing September 30, 2024		1,425		1,090,125
			$	23,322,817
Business Equipment and Services — 4.6%
Adtalem Global Education, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing April 11, 2025		417	$	390,469
Airbnb, Inc.
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing April 17, 2025		800		836,000
AlixPartners, LLP
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing April 4, 2024	EUR	1,758		1,934,128
Allied Universal Holdco, LLC
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026		2,761		2,680,591
Amentum Government Services Holdings, LLC
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing February 1, 2027		1,025		1,012,187
AppLovin Corporation
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025		2,267		2,204,879
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing August 15, 2025		673		661,530
ASGN Incorporated
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing April 2, 2025		313		306,153
Belfor Holdings, Inc.
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing April 6, 2026		545		536,333
BidFair MergeRight, Inc.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing January 15, 2027		647		610,960
Bracket Intermediate Holding Corp.
Term Loan, 5.70%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025		933		865,705
Brand Energy & Infrastructure Services, Inc.
Term Loan, 5.45%, (3 mo. USD LIBOR + 4.25%), Maturing June 21, 2024		582		535,076
Camelot U.S. Acquisition 1 Co.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing October 30, 2026		1,841		1,786,295
Cardtronics USA, Inc.
Term Loan, Maturing June 25, 2027(4)		550		544,500
CCC Information Services, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing April 29, 2024		1,929		1,865,157

3

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Ceridian HCM Holding, Inc.
Term Loan, 2.61%, (1 week USD LIBOR + 2.50%), Maturing April 30, 2025		1,523	$	1,458,153
CM Acquisition Co.
Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), Maturing July 26, 2023		264		252,032
Da Vinci Purchaser Corp.
Term Loan, 5.24%, (6 mo. USD LIBOR + 4.00%), Maturing January 8, 2027		425		414,729
Deerfield Dakota Holding, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing April 9, 2027		1,975		1,922,540
EAB Global, Inc.
Term Loan, 4.89%, (3 mo. USD LIBOR + 3.75%), Maturing November 15, 2024		1,393		1,316,326
EIG Investors Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 9, 2023		3,139		3,044,708
Element Materials Technology Group US Holdings, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing June 28, 2024		414		387,510
Garda World Security Corporation
Term Loan, 4.93%, (1 mo. USD LIBOR + 4.75%), Maturing October 30, 2026		859		845,949
IG Investment Holdings, LLC
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing May 23, 2025		2,895		2,663,479
IRI Holdings, Inc.
Term Loan, 4.61%, (3 mo. USD LIBOR + 4.25%), Maturing December 1, 2025		10,008		9,499,295
Iron Mountain, Inc.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026		904		869,574
KAR Auction Services, Inc.
Term Loan, 2.50%, (1 mo. USD LIBOR + 2.25%), Maturing September 19, 2026		645		614,482
Kronos Incorporated
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing November 1, 2023		6,798		6,792,020
KUEHG Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 21, 2025		2,283		1,959,993
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), Maturing August 18, 2025		425		329,375
LGC Group Holdings, Ltd.
Term Loan, Maturing January 22, 2027(4)	EUR	1,000		1,083,194
Loire Finco Luxembourg S.a.r.l.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing April 21, 2027		350		336,875
Monitronics International, Inc.
Term Loan, 7.75%, (1 mo. USD LIBOR + 6.50%, Floor 1.25%), Maturing March 29, 2024		2,008		1,538,528
PGX Holdings, Inc.
Term Loan, 6.25%, (1 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing September 29, 2023		1,401		837,364
Pike Corporation
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing July 24, 2026		494		478,795
Pre-Paid Legal Services, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing May 1, 2025		490		469,474

4

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Prime Security Services Borrower, LLC
Term Loan, 4.25%, (USD LIBOR + 3.25%, Floor 1.00%), Maturing September 23, 2026(5)		1,715	$	1,653,012
Red Ventures, LLC
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing November 8, 2024		1,534		1,456,956
Rockwood Service Corporation
Term Loan, 4.56%, (3 mo. USD LIBOR + 4.25%), Maturing January 23, 2027		499		483,788
SMG US Midco 2, Inc.
Term Loan, 3.27%, (USD LIBOR + 2.50%), Maturing January 23, 2025(5)		244		216,902
Speedster Bidco GmbH
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing March 31, 2027	EUR	1,000		1,067,325
Spin Holdco, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing November 14, 2022		3,848		3,697,909
Tech Data Corporation
Term Loan, Maturing June 30, 2025(4)		1,125		1,115,156
Techem Verwaltungsgesellschaft 675 mbH
Term Loan, 2.88%, (3 mo. EURIBOR + 2.88%), Maturing July 15, 2025	EUR	826		905,235
Tempo Acquisition, LLC
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing May 1, 2024		970		925,744
Vestcom Parent Holdings, Inc.
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing December 19, 2023		602		566,311
WASH Multifamily Laundry Systems, LLC
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing May 14, 2022		303		292,042
West Corporation
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing October 10, 2024		343		295,266
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing October 10, 2024		1,194		1,028,357
Zephyr Bidco Limited
Term Loan, 4.35%, (1 mo. GBP LIBOR + 4.25%), Maturing July 23, 2025	GBP	775		910,916
			$	68,499,277
Cable and Satellite Television — 1.5%
CSC Holdings, LLC
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025		3,944	$	3,750,273
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026		1,062		1,010,077
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2027		1,354		1,291,437
Numericable Group S.A.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025		2,086		1,986,439
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing July 31, 2025	EUR	509		548,065
Radiate Holdco, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing February 1, 2024		608		583,051
Telenet International Finance S.a.r.l.
Term Loan, 2.25%, (6 mo. EURIBOR + 2.25%), Maturing April 30, 2029	EUR	3,750		4,118,328
UPC Broadband Holding B.V.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing April 30, 2028		900		860,625
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing April 30, 2029	EUR	1,500		1,641,802

5

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Virgin Media SFA Finance Limited
Term Loan, 3.34%, (1 mo. GBP LIBOR + 3.25%), Maturing November 15, 2027	GBP	1,500	$	1,790,888
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing January 31, 2029	EUR	1,300		1,418,559
Ziggo B.V.
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 31, 2029	EUR	3,750		4,086,203
			$	23,085,747
Chemicals and Plastics — 2.3%
Alpha 3 B.V.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing January 31, 2024		673	$	649,087
Aruba Investments, Inc.
Term Loan, 4.32%, (6 mo. USD LIBOR + 3.25%), Maturing February 2, 2022		358		358,917
Caldic B.V.
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing July 18, 2024	EUR	1,000		1,056,090
Emerald Performance Materials, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing August 1, 2021		1,919		1,858,629
Ferro Corporation
Term Loan, 2.56%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		338		328,927
Term Loan, 2.56%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		346		336,078
Term Loan, 2.56%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		484		470,254
Flint Group GmbH
Term Loan, 4.02%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021		187		161,603
Flint Group US, LLC
Term Loan, 4.02%, (3 mo. USD LIBOR + 3.00%), Maturing September 7, 2021		1,132		977,565
Gemini HDPE, LLC
Term Loan, 3.27%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024		1,842		1,758,759
Hexion, Inc.
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing July 1, 2026	EUR	1,075		1,153,413
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.50%), Maturing July 1, 2026		767		748,069
Illuminate Buyer, LLC
Term Loan, Maturing June 16, 2027(4)		800		789,500
INEOS Enterprises Holdings II Limited
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing August 28, 2026	EUR	200		216,274
INEOS Enterprises Holdings US Finco, LLC
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing August 28, 2026		224		216,726
INEOS Finance PLC
Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing April 1, 2024	EUR	1,228		1,335,072
INEOS Styrolution Group GmbH
Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing January 29, 2027	EUR	1,000		1,076,313
Inovyn Finance PLC
Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing March 9, 2027	EUR	1,000		1,089,444
Messer Industries GmbH
Term Loan, 2.81%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026		1,605		1,534,081
Minerals Technologies, Inc.
Term Loan, 3.00%, (USD LIBOR + 2.25%, Floor 0.75%), Maturing February 14, 2024(5)		1,107		1,090,603

6

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Momentive Performance Materials, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing May 15, 2024		470	$	443,211
Orion Engineered Carbons GmbH
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing July 25, 2024	EUR	961		1,042,302
Term Loan, 2.31%, (3 mo. USD LIBOR + 2.00%), Maturing July 25, 2024		704		680,779
PMHC II, Inc.
Term Loan, 4.50%, (USD LIBOR + 3.50%, Floor 1.00%), Maturing March 31, 2025(5)		2,677		2,275,684
PQ Corporation
Term Loan, Maturing February 7, 2027(4)		1,875		1,839,844
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing February 7, 2027		1,741		1,700,004
Pregis TopCo Corporation
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing July 31, 2026		647		625,326
Rohm Holding GmbH
Term Loan, 5.00%, (6 mo. EURIBOR + 5.00%), Maturing July 31, 2026	EUR	500		510,841
Term Loan, 6.78%, (6 mo. USD LIBOR + 5.00%), Maturing July 31, 2026		348		309,068
Spectrum Holdings III Corp.
Term Loan, 3.56%, (3 mo. USD LIBOR + 3.25%), Maturing January 31, 2025		207		182,817
Starfruit Finco B.V.
Term Loan, 3.19%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		2,935		2,768,278
Tronox Finance, LLC
Term Loan, 2.98%, (USD LIBOR + 2.75%), Maturing September 23, 2024(5)		3,183		3,059,131
Univar, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing July 1, 2024		2,089		2,019,455
Venator Materials Corporation
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing August 8, 2024		413		386,447
			$	35,048,591
Conglomerates — 0.1%
Penn Engineering & Manufacturing Corp.
Term Loan, 3.50%, (3 mo. EURIBOR + 2.50%, Floor 1.00%), Maturing June 27, 2024	EUR	1,384	$	1,492,612
			$	1,492,612
Containers and Glass Products — 1.0%
Berry Global, Inc.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2022		961	$	938,521
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing July 1, 2026		990		950,754
BWAY Holding Company
Term Loan, 4.56%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024		2,557		2,309,192
Flex Acquisition Company, Inc.
Term Loan, 4.43%, (3 mo. USD LIBOR + 3.00%), Maturing December 29, 2023		1,530		1,470,045
Term Loan, 4.68%, (3 mo. USD LIBOR + 3.25%), Maturing June 29, 2025		1,517		1,428,545
Libbey Glass, Inc.
DIP Loan, 6.25%, (3 mo. USD LIBOR + 11.00%, Floor 1.00%), Maturing January 1, 2021(2)		1,606		1,614,918
Term Loan, 0.00%, Maturing April 9, 2021(6)		6,800		1,393,944
Pelican Products, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing May 1, 2025		637		587,633
Reynolds Consumer Products, Inc.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing February 4, 2027		2,494		2,404,910
Ring Container Technologies Group, LLC
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing October 31, 2024		899		860,482

7

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Trident TPI Holdings, Inc.
Term Loan, 4.07%, (6 mo. USD LIBOR + 3.00%), Maturing October 17, 2024		830	$	795,994
			$	14,754,938
Cosmetics/Toiletries — 0.1%
Kronos Acquisition Holdings, Inc.
Term Loan, 5.00%, (2 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing May 15, 2023		2,115	$	2,021,698
			$	2,021,698
Drugs — 2.2%
Aenova Holding GmbH
Term Loan, 5.00%, (6 mo. EURIBOR + 5.00%), Maturing March 6, 2025	EUR	500	$	554,026
Akorn, Inc.
DIP Loan, 10.50%, (1 mo. USD LIBOR + 9.50%, Floor 1.00%), Maturing November 17, 2020		50		50,289
Term Loan, 15.50%, (1 mo. USD LIBOR + 14.50%, Floor 1.00%), 14.75% cash, 0.75% PIK, Maturing April 16, 2021		1,150		1,104,459
Alkermes, Inc.
Term Loan, 2.45%, (1 mo. USD LIBOR + 2.25%), Maturing March 27, 2023		1,112		1,067,964
Amneal Pharmaceuticals, LLC
Term Loan, 3.69%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025		3,674		3,375,610
Arbor Pharmaceuticals, Inc.
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing July 5, 2023		1,785		1,646,579
Bausch Health Companies, Inc.
Term Loan, 3.19%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025		4,984		4,846,301
Catalent Pharma Solutions, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing May 18, 2026		839		828,883
Elanco Animal Health, Inc.
Term Loan, Maturing February 4, 2027(4)		1,850		1,771,375
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), Maturing April 29, 2024		5,262		4,958,355
Horizon Therapeutics USA, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing May 22, 2026		654		635,125
Jaguar Holding Company II
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing August 18, 2022		6,280		6,188,827
Mallinckrodt International Finance S.A.
Term Loan, 3.50%, (6 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing September 24, 2024		3,667		2,754,818
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing February 24, 2025		2,102		1,555,678
Nidda Healthcare Holding AG
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing August 21, 2026	EUR	625		678,049
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing August 21, 2026	EUR	1,000		1,082,572
			$	33,098,910
Ecological Services and Equipment — 0.5%
Advanced Disposal Services, Inc.
Term Loan, 3.00%, (1 week USD LIBOR + 2.25%, Floor 0.75%), Maturing November 10, 2023		2,288	$	2,267,991

8

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
EnergySolutions, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing May 9, 2025		5,244	$	4,863,458
Patriot Container Corp.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing March 20, 2025		147		143,005
US Ecology Holdings, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing November 1, 2026		274		266,785
			$	7,541,239
Electronics/Electrical — 7.5%
Applied Systems, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing September 19, 2024		3,071	$	3,005,375
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing September 19, 2025		475		476,188
Aptean, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing April 23, 2026		742		702,538
Term Loan - Second Lien, 8.68%, (1 mo. USD LIBOR + 8.50%), Maturing April 23, 2027		1,450		1,396,495
Astra Acquisition Corp.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing March 1, 2027		773		722,813
Avast Software B.V.
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing September 29, 2023	EUR	2,035		2,275,826
Banff Merger Sub, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing October 2, 2025		2,980		2,828,516
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing October 2, 2025	EUR	296		323,279
Blackhawk Network Holdings, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing June 15, 2025		833		769,831
Buzz Merger Sub, Ltd.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing January 29, 2027		574		557,073
Castle US Holding Corporation
Term Loan, 4.06%, (3 mo. USD LIBOR + 3.75%), Maturing January 29, 2027		1,058		975,813
Celestica, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing June 27, 2025		263		247,406
CentralSquare Technologies, LLC
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing August 29, 2025		887		785,882
Cohu, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		811		770,034
CommScope, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026		1,811		1,725,275
Cornerstone OnDemand, Inc.
Term Loan, 5.35%, (2 mo. USD LIBOR + 4.25%), Maturing April 22, 2027		1,725		1,701,281
CPI International, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 26, 2024		705		670,397
Datto, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing April 2, 2026		371		361,737
ECI Macola/Max Holdings, LLC
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing September 27, 2024		830		812,372

9

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Electro Rent Corporation
Term Loan, 6.02%, (3 mo. USD LIBOR + 5.00%), Maturing January 31, 2024		1,846	$	1,804,645
Epicor Software Corporation
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing June 1, 2022		219		215,124
EXC Holdings III Corp.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing December 2, 2024		512		502,917
Finastra USA, Inc.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing June 13, 2024		3,041		2,671,962
Fiserv Investment Solutions, Inc.
Term Loan, 5.14%, (3 mo. USD LIBOR + 4.75%), Maturing February 18, 2027		525		515,156
Flexera Software, LLC
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 26, 2025		269		263,395
GlobalLogic Holdings, Inc.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing August 1, 2025		453		435,595
Hyland Software, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing July 1, 2024		5,556		5,405,776
Infoblox, Inc.
Term Loan, 4.68%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023		997		983,795
Informatica, LLC
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing February 25, 2027		5,736		5,491,861
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing February 25, 2027	EUR	3,491		3,770,424
Term Loan - Second Lien, 7.13%, Maturing February 25, 2025(7)		500		502,188
MA FinanceCo., LLC
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024		533		500,026
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), Maturing June 5, 2025	EUR	1,000		1,107,116
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing June 5, 2025		1,800		1,764,000
MACOM Technology Solutions Holdings, Inc.
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing May 17, 2024		1,458		1,372,601
Marcel LUX IV S.a.r.l.
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 16, 2026	EUR	1,500		1,629,075
Microchip Technology Incorporated
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing May 29, 2025		1,550		1,505,003
Mirion Technologies, Inc.
Term Loan, 5.07%, (6 mo. USD LIBOR + 4.00%), Maturing March 6, 2026		445		435,513
MKS Instruments, Inc.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing February 2, 2026		331		319,152
MTS Systems Corporation
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing July 5, 2023		592		574,391
NCR Corporation
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing August 28, 2026		943		914,589
Recorded Books, Inc.
Term Loan, 4.44%, (1 mo. USD LIBOR + 4.25%), Maturing August 29, 2025		249		243,444
Refinitiv US Holdings, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		1,207		1,182,040

10

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Renaissance Holding Corp.
Term Loan, 4.01%, (3 mo. USD LIBOR + 3.25%), Maturing May 30, 2025		1,274	$	1,231,321
Term Loan - Second Lien, 7.76%, (3 mo. USD LIBOR + 7.00%), Maturing May 29, 2026		200		184,000
Seattle Spinco, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing June 21, 2024		3,602		3,376,802
SGS Cayman L.P.
Term Loan, 6.38%, (3 mo. USD LIBOR + 5.38%, Floor 1.00%), Maturing April 23, 2021		249		214,271
SkillSoft Corporation
DIP Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing September 14, 2020		462		439,264
Term Loan, 0.00%, Maturing April 28, 2021(6)		8,158		5,072,970
SolarWinds Holdings, Inc.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024		1,170		1,135,485
Solera, LLC
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing March 3, 2023		853		822,037
Sparta Systems, Inc.
Term Loan, 4.56%, (6 mo. USD LIBOR + 3.50%), Maturing August 21, 2024		4,454		3,853,208
SS&C Technologies Holdings Europe S.a.r.l.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025		1,129		1,081,429
SS&C Technologies, Inc.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025		1,607		1,539,248
STG-Fairway Holdings, LLC
Term Loan, 4.57%, (6 mo. USD LIBOR + 3.50%), Maturing January 31, 2027		425		397,508
SurveyMonkey, Inc.
Term Loan, 3.86%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025		721		698,885
Sutherland Global Services, Inc.
Term Loan, 6.38%, (3 mo. USD LIBOR + 5.38%, Floor 1.00%), Maturing April 23, 2021		1,070		920,499
Switch, Ltd.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing June 27, 2024		267		263,749
Syncsort Incorporated
Term Loan, 6.61%, (3 mo. USD LIBOR + 6.25%), Maturing August 16, 2024		2,578		2,513,149
Tibco Software, Inc.
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing June 30, 2026		5,122		4,923,621
Term Loan - Second Lien, 7.43%, (1 mo. USD LIBOR + 7.25%), Maturing March 3, 2028		475		458,969
TTM Technologies, Inc.
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2024		297		288,527
Uber Technologies, Inc.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023		3,513		3,350,643
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing April 4, 2025		7,752		7,438,615
Ultimate Software Group, Inc. (The)
Term Loan, Maturing May 4, 2026(4)		3,950		3,890,750
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing May 4, 2026		1,712		1,661,007
Ultra Clean Holdings, Inc.
Term Loan, 4.68%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		802		786,363
Verifone Systems, Inc.
Term Loan, 4.38%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025		1,257		1,063,308
Veritas Bermuda, Ltd.
Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing January 27, 2023		2,651		2,459,137

11

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
VS Buyer, LLC
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing February 28, 2027		1,097	$	1,064,332
Vungle, Inc.
Term Loan, 5.68%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2026		4,516		4,425,557
Western Digital Corporation
Term Loan, 1.92%, (1 mo. USD LIBOR + 1.75%), Maturing April 29, 2023		1,535		1,502,704
			$	112,275,277
Equipment Leasing — 0.2%
Boels Topholding B.V.
Term Loan, Maturing February 5, 2027(4)	EUR	750	$	812,606
Delos Finance S.a.r.l.
Term Loan, 2.06%, (3 mo. USD LIBOR + 1.75%), Maturing October 6, 2023		2,293		2,172,144
IBC Capital Limited
Term Loan, 4.06%, (3 mo. USD LIBOR + 3.75%), Maturing September 11, 2023		362		347,269
			$	3,332,019
Financial Intermediaries — 1.6%
Apollo Commercial Real Estate Finance, Inc.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing May 15, 2026		446	$	412,088
Aretec Group, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025		2,372		2,182,125
Citco Funding, LLC
Term Loan, 3.57%, (3 mo. USD LIBOR + 2.50%), Maturing September 28, 2023		3,945		3,841,268
Claros Mortgage Trust, Inc.
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing August 9, 2026		794		734,450
Ditech Holding Corporation
Term Loan, 0.00%, Maturing June 30, 2022(6)		4,058		1,684,015
EIG Management Company, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing February 22, 2025		269		262,092
Evergood 4 ApS
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing February 6, 2025	EUR	750		822,402
FinCo. I, LLC
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing December 27, 2022		954		921,066
Focus Financial Partners, LLC
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing July 3, 2024		3,000		2,879,656
Franklin Square Holdings L.P.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2025		540		524,163
Greenhill & Co., Inc.
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024		1,143		1,086,167
GreenSky Holdings, LLC
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025		1,515		1,454,520
Guggenheim Partners, LLC
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing July 21, 2023		2,699		2,653,231
Harbourvest Partners, LLC
Term Loan, 2.57%, (2 mo. USD LIBOR + 2.25%), Maturing March 3, 2025		1,007		974,483

12

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Nets Holding A/S
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing February 6, 2025	EUR	1,000	$	1,087,454
Starwood Property Trust, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing July 27, 2026		521		500,220
StepStone Group L.P.
Term Loan, 5.00%, (6 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing March 27, 2025		635		619,491
Victory Capital Holdings, Inc.
Term Loan, 3.94%, (3 mo. USD LIBOR + 2.50%), Maturing July 1, 2026		1,201		1,168,870
Virtus Investment Partners, Inc.
Term Loan, 3.00%, (3 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing June 1, 2024		531		516,042
			$	24,323,803
Food Products — 1.8%
Alphabet Holding Company, Inc.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024		3,830	$	3,610,846
Atkins Nutritionals Holdings II, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing July 7, 2024		388		379,717
B&G Foods, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing October 10, 2026		273		270,123
Badger Buyer Corp.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing September 30, 2024		389		338,430
CHG PPC Parent, LLC
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), Maturing March 31, 2025	EUR	2,000		2,154,311
Dole Food Company, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 6, 2024		1,850		1,804,906
Froneri International PLC
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 29, 2027		2,200		2,077,167
Term Loan, 2.63%, (6 mo. EURIBOR + 2.63%), Maturing January 29, 2027	EUR	1,275		1,383,122
Hearthside Food Solutions, LLC
Term Loan, 3.87%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025		760		725,512
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025		468		449,160
HLF Financing S.a.r.l.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing August 18, 2025		1,081		1,046,301
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		2,494,554
JBS USA Lux S.A.
Term Loan, 3.07%, (6 mo. USD LIBOR + 2.00%), Maturing May 1, 2026		4,715		4,520,806
Nomad Foods Europe Midco Limited
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing May 15, 2024	EUR	3,000		3,366,754
Sunshine Investments B.V.
Term Loan, 4.28%, (3 mo. GBP LIBOR + 4.00%), Maturing March 28, 2025	GBP	750		900,516
Valeo F1 Company Limited (Ireland)
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing August 27, 2024	EUR	1,000		1,056,090
			$	26,578,315

13

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Food Service — 0.4%
Aramark Services, Inc.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing March 11, 2025		933	$	884,630
IRB Holding Corp.
Term Loan, 3.75%, (6 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing February 5, 2025		2,234		2,071,052
Restaurant Technologies, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		222		206,111
US Foods, Inc.
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing June 27, 2023		855		797,252
Term Loan, 3.07%, (3 mo. USD LIBOR + 2.00%), Maturing September 13, 2026		1,712		1,615,759
			$	5,574,804
Food/Drug Retailers — 0.1%
BW Gas & Convenience Holdings, LLC
Term Loan, 6.43%, (1 mo. USD LIBOR + 6.25%), Maturing November 18, 2024		634	$	621,075
L1R HB Finance Limited
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), Maturing August 9, 2024	EUR	750		565,963
			$	1,187,038
Forest Products — 0.0%(8)
Clearwater Paper Corporation
Term Loan, 4.25%, (6 mo. USD LIBOR + 3.25%), Maturing July 26, 2026		279	$	277,729
			$	277,729
Health Care — 4.9%
Acadia Healthcare Company, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing February 11, 2022		273	$	268,518
Accelerated Health Systems, LLC
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025		566		540,888
ADMI Corp.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing April 30, 2025		1,813		1,697,660
Alliance Healthcare Services, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing October 24, 2023		809		551,134
Term Loan - Second Lien, 11.00%, (1 mo. USD LIBOR + 10.00%, Floor 1.00%), Maturing April 24, 2024		525		236,250
athenahealth, Inc.
Term Loan, 4.82%, (3 mo. USD LIBOR + 4.50%), Maturing February 11, 2026		1,950		1,890,179
Avantor, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing November 21, 2024		1,164		1,137,462
BioClinica Holding I L.P.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing October 20, 2023		3,906		3,627,477
BW NHHC Holdco, Inc.
Term Loan, 5.39%, (3 mo. USD LIBOR + 5.00%), Maturing May 15, 2025		3,778		2,946,568
CeramTec AcquiCo GmbH
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), Maturing March 7, 2025	EUR	903		957,197
Change Healthcare Holdings, LLC
Term Loan, 3.50%, (3 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing March 1, 2024		5,768		5,554,470
CHG Healthcare Services, Inc.
Term Loan, 4.07%, (6 mo. USD LIBOR + 3.00%), Maturing June 7, 2023		2,603		2,515,398

14

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
CryoLife, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing December 1, 2024		536	$	522,173
Elsan SAS
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing October 31, 2024	EUR	1,500		1,651,243
Ensemble RCM, LLC
Term Loan, 4.44%, (3 mo. USD LIBOR + 3.75%), Maturing August 3, 2026		521		508,687
Envision Healthcare Corporation
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025		9,020		6,062,693
Gentiva Health Services, Inc.
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing July 2, 2025		2,515		2,445,867
GHX Ultimate Parent Corporation
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing June 28, 2024		948		921,899
Greatbatch Ltd.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing October 27, 2022		1,174		1,160,571
Hanger, Inc.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025		1,124		1,084,781
Inovalon Holdings, Inc.
Term Loan, 3.19%, (1 mo. USD LIBOR + 3.00%), Maturing April 2, 2025		1,211		1,179,439
IQVIA, Inc.
Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), Maturing March 7, 2024		1,503		1,467,643
Term Loan, 1.93%, (1 mo. USD LIBOR + 1.75%), Maturing January 17, 2025		1,483		1,448,458
Medical Solutions, LLC
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing June 14, 2024		1,226		1,189,122
Mehilainen Yhtiot Oy
Term Loan, Maturing August 9, 2025(4)	EUR	750		812,781
MPH Acquisition Holdings, LLC
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing June 7, 2023		9,123		8,676,751
National Mentor Holdings, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing March 9, 2026		28		27,091
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing March 9, 2026		615		595,001
Navicure, Inc.
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing October 22, 2026		998		965,081
One Call Corporation
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing November 25, 2022		1,484		1,286,601
Ortho-Clinical Diagnostics S.A.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025		3,348		3,134,103
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing June 30, 2025	EUR	748		791,488
Parexel International Corporation
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024		582		553,448
Phoenix Guarantor, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing March 5, 2026		1,931		1,864,186
Radiology Partners, Inc
Term Loan, 5.67%, (USD LIBOR + 4.25%), Maturing July 9, 2025(5)		597		556,239
RadNet, Inc.
Term Loan, 4.75%, (6 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing June 30, 2023		1,795		1,719,951

15

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Select Medical Corporation
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing March 6, 2025		2,968	$	2,834,698
Sound Inpatient Physicians
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2025		490		471,217
Surgery Center Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing September 3, 2024		1,070		948,735
Team Health Holdings, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing February 6, 2024		2,346		1,821,815
Tecomet, Inc.
Term Loan, 4.68%, (6 mo. USD LIBOR + 3.50%), Maturing May 1, 2024		1,171		1,114,353
U.S. Anesthesia Partners, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing June 23, 2024		1,680		1,497,777
Verscend Holding Corp.
Term Loan, 4.68%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		1,572		1,532,693
Viant Medical Holdings, Inc.
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing July 2, 2025		491		433,528
Wink Holdco, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing December 2, 2024		488		469,828
			$	73,673,142
Home Furnishings — 0.6%
Serta Simmons Bedding, LLC
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing August 10, 2023		2,492	$	2,471,234
Term Loan - Second Lien, 8.50%, (2 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing August 10, 2023		8,238		7,105,299
			$	9,576,533
Industrial Equipment — 2.4%
AI Alpine AT Bidco GmbH
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing October 31, 2025	EUR	750	$	773,810
Term Loan, 4.21%, (6 mo. USD LIBOR + 3.00%), Maturing October 31, 2025		222		202,233
Altra Industrial Motion Corp.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025		693		661,373
Apex Tool Group, LLC
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.25%, Floor 1.25%), Maturing August 1, 2024		4,426		3,984,477
Carlisle Foodservice Products, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing March 20, 2025		269		251,036
CPM Holdings, Inc.
Term Loan, 3.96%, (1 mo. USD LIBOR + 3.75%), Maturing November 17, 2025		320		291,764
Delachaux Group S.A.
Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), Maturing April 16, 2026	EUR	375		404,723
Term Loan, 5.36%, (6 mo. USD LIBOR + 4.50%), Maturing April 16, 2026		470		450,265
DexKo Global, Inc.
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024	EUR	320		332,650
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024	EUR	800		831,629
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 24, 2024		922		867,594

16

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
DXP Enterprises, Inc.
Term Loan, 5.75%, (1 mo. USD LIBOR + 4.75%, Floor 1.00%), Maturing August 29, 2023		525	$	498,945
Dynacast International, LLC
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing January 28, 2022		1,435		1,183,493
Engineered Machinery Holdings, Inc.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 19, 2024		1,584		1,517,039
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing July 19, 2024		320		309,721
EWT Holdings III Corp.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing December 20, 2024		2,007		1,950,069
Filtration Group Corporation
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 29, 2025	EUR	1,383		1,519,263
Gardner Denver, Inc.
Term Loan, 2.00%, (1 mo. EURIBOR + 2.00%), Maturing March 1, 2027	EUR	1,441		1,579,551
Gates Global, LLC
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing April 1, 2024	EUR	968		1,041,390
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 1, 2024		4,921		4,754,580
Hayward Industries, Inc.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing August 5, 2024		478		459,137
LTI Holdings, Inc.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing September 6, 2025		3,444		2,930,235
Term Loan, 4.93%, (1 mo. USD LIBOR + 4.75%), Maturing July 24, 2026		199		169,221
Minimax Viking GmbH
Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), Maturing July 31, 2025	EUR	970		1,087,346
Quimper AB
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), Maturing February 13, 2026	EUR	1,875		2,022,299
Robertshaw US Holding Corp.
Term Loan, 4.25%, (USD LIBOR + 3.25%, Floor 1.00%), Maturing February 28, 2025(5)		1,026		854,457
Thermon Industries, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing October 30, 2024		281		272,351
Titan Acquisition Limited
Term Loan, 3.36%, (6 mo. USD LIBOR + 3.00%), Maturing March 28, 2025		3,092		2,833,884
Welbilt, Inc.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing October 23, 2025		1,767		1,528,350
			$	35,562,885
Insurance — 2.3%
Alliant Holdings Intermediate, LLC
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing May 9, 2025		2,722	$	2,586,186
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025		470		452,263
AmWINS Group, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing January 25, 2024		4,333		4,221,569
Andromeda Investissements
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing June 12, 2026	EUR	500		554,728
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), Maturing June 12, 2026	EUR	750		832,092

17

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
AssuredPartners, Inc.
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2027		174	$	166,942
Asurion, LLC
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing August 4, 2022		4,644		4,532,101
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023		2,663		2,583,587
Term Loan - Second Lien, 6.68%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025		2,750		2,740,259
Financiere CEP SAS
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing June 3, 2027	EUR	550		610,973
FrontDoor, Inc.
Term Loan, 2.69%, (1 mo. USD LIBOR + 2.50%), Maturing August 16, 2025		467		453,854
Hub International Limited
Term Loan, 4.02%, (3 mo. USD LIBOR + 3.00%), Maturing April 25, 2025		5,096		4,873,050
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing April 25, 2025		1,866		1,846,450
NFP Corp.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing February 15, 2027		3,179		2,971,996
Sedgwick Claims Management Services, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025		1,256		1,189,418
USI, Inc.
Term Loan, 3.31%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024		3,161		3,008,915
Term Loan, 4.31%, (3 mo. USD LIBOR + 4.00%), Maturing December 2, 2026		1,418		1,377,997
			$	35,002,380
Leisure Goods/Activities/Movies — 2.2%
AMC Entertainment Holdings, Inc.
Term Loan, 4.08%, (6 mo. USD LIBOR + 3.00%), Maturing April 22, 2026		1,852	$	1,353,624
Amer Sports Oyj
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing March 30, 2026	EUR	1,550		1,583,246
Ancestry.com Operations, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing August 27, 2026		6,738		6,405,445
Carnival Corporation
Term Loan, Maturing June 30, 2025(4)		1,300		1,261,000
ClubCorp Holdings, Inc.
Term Loan, 3.06%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024		1,945		1,659,085
Crown Finance US, Inc.
Term Loan, 2.38%, (6 mo. EURIBOR + 2.38%), Maturing February 28, 2025	EUR	291		263,080
Term Loan, 3.57%, (6 mo. USD LIBOR + 2.50%), Maturing September 30, 2026		1,514		1,134,091
Delta 2 (LUX) S.a.r.l.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing February 1, 2024		725		692,431
Emerald Expositions Holding, Inc.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing May 22, 2024		1,192		1,063,518
Etraveli Holding AB
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), Maturing August 2, 2024	EUR	950		860,976
Lindblad Expeditions, Inc.
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025		464		396,715
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing March 27, 2025		1,856		1,586,858
Match Group, Inc.
Term Loan, 2.18%, (3 mo. USD LIBOR + 1.75%), Maturing February 13, 2027		675		641,250

18

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Motion Finco S.a.r.l.
Term Loan, 4.32%, (6 mo. USD LIBOR + 3.25%), Maturing November 4, 2026		69	$	63,194
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing November 13, 2026	EUR	1,375		1,427,664
Term Loan, 4.32%, (6 mo. USD LIBOR + 3.25%), Maturing November 13, 2026		528		480,826
NASCAR Holdings, Inc.
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing October 19, 2026		729		702,379
Playtika Holding Corp.
Term Loan, 7.07%, (3 mo. USD LIBOR + 6.00%), Maturing December 10, 2024		3,413		3,418,898
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing March 31, 2024		2,191		1,959,149
SRAM, LLC
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing March 15, 2024(5)		1,096		1,071,457
Steinway Musical Instruments, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 14, 2025		516		489,066
Travel Leaders Group, LLC
Term Loan, 4.18%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024		956		656,906
UFC Holdings, LLC
Term Loan, 4.25%, (6 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing April 29, 2026		3,125		2,986,929
Vue International Bidco PLC
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing July 3, 2026	EUR	1,081		1,054,485
			$	33,212,272
Lodging and Casinos — 1.6%
Aristocrat Technologies, Inc.
Term Loan, 2.86%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024		1,061	$	1,011,638
Azelis Finance S.A.
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing November 10, 2025	EUR	1,925		2,096,503
Boyd Gaming Corporation
Term Loan, 2.36%, (1 week USD LIBOR + 2.25%), Maturing September 15, 2023		730		690,942
CityCenter Holdings, LLC
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing April 18, 2024		2,769		2,523,979
Eldorado Resorts, LLC
Term Loan, 3.25%, (6 mo. USD LIBOR + 2.25%), Maturing April 17, 2024		480		478,447
ESH Hospitality, Inc.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing September 18, 2026		1,199		1,144,018
Four Seasons Hotels Limited
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing November 30, 2023		1,062		1,011,079
Golden Nugget, Inc.
Term Loan, 3.25%, (USD LIBOR + 2.50%, Floor 0.75%), Maturing October 4, 2023(5)		4,285		3,549,912
GVC Holdings (Gibraltar) Limited
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing March 29, 2024	EUR	1,850		2,035,791
Term Loan, 3.31%, (6 mo. USD LIBOR + 2.25%), Maturing March 29, 2024		1,149		1,108,363
Hanjin International Corp.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing October 18, 2020		550		506,000
Playa Resorts Holding B.V.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 29, 2024		2,649		2,267,810

19

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Stars Group Holdings B.V. (The)
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 10, 2025	EUR	582	$	653,148
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025		2,119		2,111,662
VICI Properties 1, LLC
Term Loan, 1.94%, (1 mo. USD LIBOR + 1.75%), Maturing December 20, 2024		2,315		2,164,312
			$	23,353,604
Nonferrous Metals/Minerals — 0.1%
CD&R Hydra Buyer, Inc.
Term Loan, 7.50%, (0.00% cash, 7.50% PIK), Maturing August 15, 2021(3)(7)		160	$	124,521
Murray Energy Corporation
DIP Loan, 13.00%, (1 mo. USD LIBOR + 11.00%, Floor 2.00%), Maturing July 31, 2020		631		362,889
Term Loan, 0.00%, Maturing October 17, 2022(6)		2,267		55,265
Noranda Aluminum Acquisition Corporation
Term Loan, 0.00%, Maturing February 28, 2021(6)		452		31,629
Oxbow Carbon, LLC
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing January 4, 2023		613		597,187
Rain Carbon GmbH
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 16, 2025	EUR	1,025		1,059,460
			$	2,230,951
Oil and Gas — 1.0%
Ameriforge Group, Inc.
Term Loan, 14.00%, (3 mo. USD LIBOR + 13.00%, Floor 1.00%), 9.00% cash, 5.00% PIK, Maturing June 8, 2022		738	$	646,071
Apergy Corporation
Term Loan, 2.69%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025		239		229,281
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing May 28, 2027		225		219,094
Blackstone CQP Holdco L.P.
Term Loan, 3.81%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024		1,015		976,063
Buckeye Partners L.P.
Term Loan, 2.92%, (1 mo. USD LIBOR + 2.75%), Maturing November 1, 2026		2,768		2,669,104
Centurion Pipeline Company, LLC
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing September 29, 2025		271		258,798
CITGO Holding, Inc.
Term Loan, 8.00%, (6 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing August 1, 2023		248		236,959
CITGO Petroleum Corporation
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing March 28, 2024		2,296		2,209,480
Delek US Holdings, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing March 31, 2025		1,382		1,291,931
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing March 31, 2025		574		553,010
Fieldwood Energy, LLC
Term Loan, 0.00%, Maturing April 11, 2022(6)		2,771		563,423
Matador Bidco S.a.r.l.
Term Loan, 4.93%, (1 mo. USD LIBOR + 4.75%), Maturing October 15, 2026		1,746		1,675,800
McDermott Technology Americas, Inc.
Term Loan, 3.18%, (3 mo. USD LIBOR + 3.00%), Maturing June 30, 2024		26		23,634
Term Loan, 4.18%, (3 mo. USD LIBOR + 4.00%), Maturing June 30, 2025		212		190,144

20

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Prairie ECI Acquiror, L.P.
Term Loan, 4.93%, (1 mo. USD LIBOR + 4.75%), Maturing March 11, 2026		854	$	776,756
Term Loan, 5.06%, (3 mo. USD LIBOR + 4.75%), Maturing March 11, 2026		450		409,500
PSC Industrial Holdings Corp.
Term Loan, 4.98%, (6 mo. USD LIBOR + 3.75%), Maturing October 11, 2024		780		705,900
RDV Resources Properties, LLC
Term Loan, 7.50%, (1 mo. USD LIBOR + 6.50%, Floor 1.00%), Maturing March 29, 2024(3)		431		263,479
Sunrise Oil & Gas Properties, LLC
Term Loan - First Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		105		99,799
Term Loan - Second Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		107		90,350
Term Loan - Third Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		124		87,086
UGI Energy Services, LLC
Term Loan, 3.93%, (1 mo. USD LIBOR + 3.75%), Maturing August 13, 2026		1,064		1,033,653
			$	15,209,315
Publishing — 0.3%
Ascend Learning, LLC
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 12, 2024		1,191	$	1,145,894
Axel Springer S.E.
Term Loan, 5.00%, (6 mo. EURIBOR + 5.00%), Maturing December 18, 2026	EUR	1,000		1,057,025
Getty Images, Inc.
Term Loan, 4.69%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026		1,072		960,659
Harland Clarke Holdings Corp.
Term Loan, 5.75%, (3 mo. USD LIBOR + 4.75%, Floor 1.00%), Maturing November 3, 2023		7		4,784
LSC Communications, Inc.
Term Loan, 0.00%, Maturing September 30, 2022(6)		843		82,205
ProQuest, LLC
Term Loan, 3.68%, (1 mo. USD LIBOR + 3.50%), Maturing October 23, 2026		1,592		1,549,215
Tweddle Group, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing September 17, 2023		576		485,893
			$	5,285,675
Radio and Television — 1.3%
Cumulus Media New Holdings, Inc.
Term Loan, 4.82%, (3 mo. USD LIBOR + 3.75%), Maturing March 31, 2026		471	$	444,330
Diamond Sports Group, LLC
Term Loan, 3.43%, (1 mo. USD LIBOR + 3.25%), Maturing August 24, 2026		3,077		2,519,089
Entercom Media Corp.
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing November 18, 2024		1,003		941,620
Entravision Communications Corporation
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024		849		795,879
Gray Television, Inc.
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing February 7, 2024		278		269,275
Term Loan, 2.67%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026		637		618,646

21

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Hubbard Radio, LLC
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing March 28, 2025		814	$	732,569
iHeartCommunications, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2026		498		460,602
Mission Broadcasting, Inc.
Term Loan, 2.42%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		35		33,562
Nexstar Broadcasting, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		137		130,461
Term Loan, 2.92%, (1 mo. USD LIBOR + 2.75%), Maturing September 18, 2026		504		481,003
Sinclair Television Group, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 3, 2024		488		467,339
Term Loan, 2.69%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026		645		617,304
Terrier Media Buyer, Inc.
Term Loan, 4.43%, (1 mo. USD LIBOR + 4.25%), Maturing December 17, 2026		1,866		1,786,336
Townsquare Media, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing April 1, 2022		2,196		2,118,773
Univision Communications, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing March 13, 2026		7,052		6,738,714
			$	19,155,502
Retailers (Except Food and Drug) — 0.6%
Apro, LLC
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing November 14, 2026		522	$	512,864
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing November 16, 2026		150		147,375
Ascena Retail Group, Inc.
Term Loan, 5.25%, (USD LIBOR + 4.50%, Floor 0.75%), Maturing August 21, 2022(5)		3,226		1,132,389
Bass Pro Group, LLC
Term Loan, 6.07%, (3 mo. USD LIBOR + 5.00%), Maturing September 25, 2024		1,507		1,456,878
BJ’s Wholesale Club, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing February 3, 2024		910		883,744
Coinamatic Canada, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing May 14, 2022		53		51,145
David’s Bridal, Inc.
Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), 6.00% cash, 5.00% PIK, Maturing June 23, 2023		507		435,568
Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing June 30, 2023		588		433,855
Hoya Midco, LLC
Term Loan, 4.57%, (6 mo. USD LIBOR + 3.50%), Maturing June 30, 2024		2,084		1,750,509
LSF9 Atlantis Holdings, LLC
Term Loan, 7.00%, (1 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing May 1, 2023		1,057		876,575
PFS Holding Corporation
Term Loan, Maturing January 31, 2021(6)		2,213		851,914
Pier 1 Imports (U.S.), Inc.
Term Loan, Maturing April 30, 2021(6)		638		108,439
Radio Systems Corporation
Term Loan, 5.00%, (USD Prime + 1.75%), Maturing May 2, 2024		461		460,030
			$	9,101,285

22

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Steel — 0.6%
Atkore International, Inc.
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing December 22, 2023		394	$	385,269
GrafTech Finance, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 12, 2025		5,842		5,667,089
Neenah Foundry Company
Term Loan, 6.76%, (2 mo. USD LIBOR + 6.50%), Maturing December 13, 2022		737		644,563
Phoenix Services International, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing March 1, 2025		880		792,325
Zekelman Industries, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 24, 2027		1,147		1,104,108
			$	8,593,354
Surface Transport — 0.2%
Agro Merchants NAI Holdings, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing December 6, 2024		17	$	16,451
Hertz Corporation (The)
Term Loan, 0.00%, Maturing June 30, 2023(6)		1,195		1,064,824
Kenan Advantage Group, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 31, 2022		128		119,569
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 31, 2022		419		392,411
PODS, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing December 6, 2024		646		621,117
XPO Logistics, Inc.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing February 24, 2025		650		636,459
			$	2,850,831
Telecommunications — 2.1%
CenturyLink, Inc.
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing March 15, 2027		7,363	$	6,963,786
Colorado Buyer, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing May 1, 2024		922		708,074
Digicel International Finance Limited
Term Loan, 3.80%, (6 mo. USD LIBOR + 3.25%), Maturing May 28, 2024		4,940		4,149,210
eircom Finco S.a.r.l.
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), Maturing May 15, 2026	EUR	1,786		1,962,503
Gamma Infrastructure III B.V.
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), Maturing January 9, 2025	EUR	1,700		1,828,776
Global Eagle Entertainment, Inc.
Term Loan, 8.72%, (6 mo. USD LIBOR + 7.50%), Maturing January 6, 2023		2,167		1,506,068
Intelsat Jackson Holdings S.A.
DIP Loan, 5.05%, (3 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing July 14, 2021(2)		444		451,984
Term Loan, 8.75%, (USD Prime + 5.50%), Maturing January 2, 2024		1,500		1,508,571

23

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
IPC Corp.
Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing August 6, 2021		1,088	$	853,952
Onvoy, LLC
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing February 10, 2024		822		781,256
Plantronics, Inc.
Term Loan, 2.70%, (USD LIBOR + 2.50%), Maturing July 2, 2025(5)		1,304		1,194,990
Syniverse Holdings, Inc.
Term Loan, 6.87%, (6 mo. USD LIBOR + 5.00%), Maturing March 9, 2023		1,051		753,958
Telesat Canada
Term Loan, 2.93%, (1 mo. USD LIBOR + 2.75%), Maturing December 7, 2026		1,393		1,337,280
Zayo Group Holdings, Inc.
Term Loan, 3.18%, (1 mo. USD LIBOR + 3.00%), Maturing March 9, 2027		2,319		2,205,765
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing March 9, 2027	EUR	998		1,083,217
Ziggo Financing Partnership
Term Loan, 2.68%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2028		4,150		3,932,125
			$	31,221,515
Utilities — 0.5%
Calpine Construction Finance Company, L.P.
Term Loan, 2.18%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2025		2,736	$	2,636,674
Calpine Corporation
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2024		3,089		2,987,837
Term Loan, 2.43%, (1 mo. USD LIBOR + 2.25%), Maturing April 5, 2026		916		885,497
Lightstone Holdco, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing January 30, 2024		46		38,956
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing January 30, 2024		808		690,681
Longview Power, LLC
Term Loan, 0.00%, Maturing April 13, 2021(6)		334		50,555
USIC Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing December 8, 2023		196		187,035
			$	7,477,235
Total Senior Floating-Rate Loans (identified cost $795,440,417)			$	731,514,852
Corporate Bonds & Notes — 50.6%
Security	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 1.4%
Aerovias de Mexico S.A. de CV
7.00%, 2/5/25(6)(9)		925	$	219,688
Boeing Co. (The)
5.93%, 5/1/60		505		599,245
Bombardier, Inc.
6.00%, 10/15/22(9)		2,843		1,997,065
6.125%, 1/15/23(9)		1,286		885,797
7.875%, 4/15/27(9)		1,172		769,635

24

Security	Principal Amount* (000’s omitted)		Value
Booz Allen Hamilton, Inc.
5.125%, 5/1/25(9)		695	$	707,958
F-Brasile SpA/F-Brasile US, LLC
7.375%, 8/15/26(9)		527		406,949
Howmet Aerospace, Inc.
6.875%, 5/1/25		1,683		1,829,799
Moog, Inc.
4.25%, 12/15/27(9)		955		933,226
Spirit AeroSystems, Inc.
7.50%, 4/15/25(9)		741		734,053
TransDigm UK Holdings PLC
6.875%, 5/15/26		725		676,831
TransDigm, Inc.
6.50%, 7/15/24		4,410		4,255,187
6.50%, 5/15/25		185		173,474
6.25%, 3/15/26(9)		2,408		2,410,649
7.50%, 3/15/27		1,862		1,792,678
5.50%, 11/15/27		2,052		1,796,967
			$	20,189,201
Air Transport — 0.2%
Azul Investments LLP
5.875%, 10/26/24(9)		1,030	$	484,249
Mileage Plus Holdings, LLC/Mileage Plus Intellectual Property Assets, Ltd.
6.50%, 6/20/27(9)(10)		2,418		2,430,090
			$	2,914,339
Airlines — 0.1%
Delta Air Lines, Inc.
7.375%, 1/15/26		1,266	$	1,226,089
			$	1,226,089
Automotive — 1.7%
Adient Global Holdings, Ltd.
3.50%, 8/15/24(11)	EUR	150	$	150,266
Clarios Global L.P.
6.75%, 5/15/25(9)		480		500,700
4.375%, 5/15/26(11)	EUR	300		334,265
6.25%, 5/15/26(9)		1,671		1,730,605
8.50%, 5/15/27(9)		5,763		5,806,078
FCE Bank PLC
1.875%, 6/24/21(11)	EUR	100		110,212
1.134%, 2/10/22(11)	EUR	600		651,012
Fiat Chrysler Finance Europe S.A.
4.75%, 3/22/21(11)	EUR	325		372,024
Ford Motor Co.
8.50%, 4/21/23		2,361		2,501,184
9.00%, 4/22/25		2,833		3,068,493
9.625%, 4/22/30		1,184		1,404,431
7.45%, 7/16/31		993		1,048,931
Frigoglass Finance B.V.
6.875%, 2/12/25(11)	EUR	100		76,955

25

Security	Principal Amount* (000’s omitted)		Value
Garrett LX I S.a.r.l./Garrett Borrowing, LLC
5.125%, 10/15/26(11)	EUR	300	$	279,395
General Motors Co.
5.00%, 4/1/35		1,495		1,495,190
GKN Holdings, Ltd.
4.625%, 5/12/32(11)	GBP	120		148,992
IAA, Inc.
5.50%, 6/15/27(9)		480		497,326
Jaguar Land Rover Automotive PLC
6.875%, 11/15/26(11)	EUR	100		96,418
Lithia Motors, Inc.
4.625%, 12/15/27(9)		514		510,145
LKQ European Holdings B.V.
3.625%, 4/1/26(11)	EUR	125		143,412
Navistar International Corp.
9.50%, 5/1/25(9)		954		1,026,146
6.625%, 11/1/25(9)		1,572		1,493,565
RAC Bond Co. PLC
5.00%, 11/6/22(11)	GBP	250		292,691
Renault S.A.
1.25%, 6/24/25(11)	EUR	300		308,428
ZF North America Capital, Inc.
4.50%, 4/29/22(9)		392		403,858
4.75%, 4/29/25(9)		200		200,726
			$	24,651,448
Banks and Thrifts — 0.9%
Banco Comercial Portugues S.A.
4.50% to 12/7/22, 12/7/27(11)(12)	EUR	500	$	562,244
Banco Mercantil del Norte SA/Grand Cayman
5.75% to 10/4/26, 10/4/31(9)(12)		1,160		1,132,090
Bank of Montreal
3.803% to 12/15/27, 12/15/32(12)		1,325		1,427,191
BankUnited, Inc.
5.125%, 6/11/30		1,000		1,021,979
BBVA Bancomer S.A.
5.125% to 1/18/28, 1/18/33(9)(12)		2,590		2,418,659
Commonwealth Bank of Australia
3.61% to 9/12/29, 9/12/34(9)(12)		1,500		1,598,860
First Midwest Bancorp, Inc.
5.875%, 9/29/26		1,000		1,045,552
Flagstar Bancorp, Inc.
6.125%, 7/15/21		650		651,535
Nationwide Building Society
4.125% to 10/18/27, 10/18/32(9)(12)		1,280		1,386,691
Santander Holdings USA, Inc.
3.45%, 6/2/25		1,030		1,074,747
Wells Fargo & Co.
3.584% to 5/22/27, 5/22/28(12)		1,500		1,665,761
			$	13,985,309

26

Security	Principal Amount* (000’s omitted)		Value
Beverage and Tobacco — 0.1%
Anheuser-Busch InBev Finance, Inc.
4.625%, 2/1/44		860	$	989,724
Vector Group, Ltd.
6.125%, 2/1/25(9)		500		481,557
			$	1,471,281
Brokerage/Securities Dealers/Investment Houses — 0.1%
Alliance Data Systems Corp.
4.75%, 12/15/24(9)		1,071	$	967,247
Intrum AB
3.50%, 7/15/26(11)	EUR	200		197,988
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp.
4.875%, 4/15/45(9)		688		727,733
			$	1,892,968
Building and Development — 1.5%
ADLER Real Estate AG
1.875%, 4/27/23(11)	EUR	300	$	327,385
AT Securities B.V.
5.25% to 7/21/23(11)(12)(13)		250		250,422
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC
5.75%, 5/15/26(9)		1,592		1,348,965
Brookfield Residential Properties, Inc./Brookfield Residential US Corp.
6.25%, 9/15/27(9)		378		362,360
4.875%, 2/15/30(9)		697		583,068
Builders FirstSource, Inc.
6.75%, 6/1/27(9)		852		874,736
5.00%, 3/1/30(9)		510		480,596
Cemex SAB de CV
7.375%, 6/5/27(9)		200		203,700
CyrusOne, L.P./CyrusOne Finance Corp.
3.45%, 11/15/29		562		585,961
Five Point Operating Co., L.P./Five Point Capital Corp.
7.875%, 11/15/25(9)		1,213		1,150,063
Greystar Real Estate Partners, LLC
5.75%, 12/1/25(9)		2,076		2,097,175
Hillman Group, Inc. (The)
6.375%, 7/15/22(9)		2,695		2,496,877
HT Troplast GmbH
9.25%, 7/15/25(10)(11)	EUR	115		132,368
James Hardie International Finance DAC
3.625%, 10/1/26(11)	EUR	200		229,774
Masonite International Corp.
5.375%, 2/1/28(9)		570		583,788
Miller Homes Group Holdings PLC
5.50%, 10/15/24(11)	GBP	100		126,327
Reliance Intermediate Holdings, L.P.
6.50%, 4/1/23(9)		1,168		1,178,097
Shea Homes, L.P./Shea Homes Funding Corp.
4.75%, 2/15/28(9)		1,423		1,355,187

27

Security	Principal Amount* (000’s omitted)		Value
Standard Industries, Inc.
6.00%, 10/15/25(9)		2,330	$	2,405,457
2.25%, 11/21/26(11)	EUR	250		266,128
5.00%, 2/15/27(9)		457		464,040
4.375%, 7/15/30(9)		1,146		1,137,050
Taylor Morrison Communities, Inc.
5.875%, 6/15/27(9)		808		838,720
5.75%, 1/15/28(9)		1,062		1,097,641
TRI Pointe Group, Inc./TRI Pointe Homes, Inc.
5.875%, 6/15/24		280		289,972
5.70%, 6/15/28		319		325,380
Winnebago Industries, Inc.
6.25%, 7/15/28(9)(10)		664		666,502
			$	21,857,739
Business Equipment and Services — 0.8%
Allied Universal Holdco, LLC
6.625%, 7/15/26(9)		939	$	988,997
9.75%, 7/15/27(9)		845		891,889
EIG Investors Corp.
10.875%, 2/1/24		5,445		5,301,497
ServiceMaster Co., LLC (The)
7.45%, 8/15/27		4,075		4,424,472
			$	11,606,855
Cable and Satellite Television — 3.5%
Altice France S.A.
7.375%, 5/1/26(9)		1,249	$	1,305,193
8.125%, 2/1/27(9)		4,904		5,375,495
5.50%, 1/15/28(9)		841		850,831
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.875%, 4/1/24(9)		230		237,417
5.375%, 5/1/25(9)		3,605		3,704,516
5.75%, 2/15/26(9)		1,885		1,953,887
5.00%, 2/1/28(9)		1,755		1,813,792
5.375%, 6/1/29(9)		595		628,403
4.75%, 3/1/30(9)		1,789		1,833,224
4.50%, 8/15/30(9)		1,640		1,679,614
4.50%, 5/1/32(9)		771		781,601
Charter Communications Operating, LLC/Charter Communications Operating Capital
4.80%, 3/1/50		975		1,109,633
Comcast Corp.
3.999%, 11/1/49		780		943,264
CSC Holdings, LLC
6.75%, 11/15/21		2,780		2,926,019
5.875%, 9/15/22		1,085		1,136,239
5.25%, 6/1/24		355		377,889
10.875%, 10/15/25(9)		2,816		3,033,804
5.50%, 5/15/26(9)		2,000		2,058,550
7.50%, 4/1/28(9)		619		677,282
6.50%, 2/1/29(9)		543		594,246
5.75%, 1/15/30(9)		5,848		6,116,394

28

Security	Principal Amount* (000’s omitted)		Value
DISH DBS Corp.
6.75%, 6/1/21		410	$	418,364
5.875%, 7/15/22		2,395		2,440,565
5.875%, 11/15/24		530		527,766
7.75%, 7/1/26		333		353,639
TEGNA, Inc.
4.625%, 3/15/28(9)		601		556,421
5.00%, 9/15/29(9)		1,012		954,458
UPC Holding B.V.
5.50%, 1/15/28(9)		593		573,084
UPCB Finance VII, Ltd.
3.625%, 6/15/29(11)	EUR	300		329,857
Virgin Media Finance PLC
5.00%, 7/15/30(9)		946		928,357
Virgin Media Secured Finance PLC
6.00% to 1/15/21, 1/15/25(11)(14)	GBP	100		133,113
5.50%, 8/15/26(9)		1,163		1,193,058
5.00%, 4/15/27(11)	GBP	100		129,290
Virgin Media Vendor Financing Notes III DAC
4.875%, 7/15/28(11)	GBP	500		624,950
Ziggo B.V.
5.50%, 1/15/27(9)		1,808		1,840,788
4.875%, 1/15/30(9)		802		808,175
Ziggo Bond Co., B.V.
6.00%, 1/15/27(9)		745		758,339
3.375%, 2/28/30(11)	EUR	230		244,193
			$	51,951,710
Capital Goods — 0.2%
BWX Technologies, Inc.
5.375%, 7/15/26(9)		1,305	$	1,349,292
4.125%, 6/30/28(9)		948		949,185
Valmont Industries, Inc.
5.25%, 10/1/54		610		638,799
			$	2,937,276
Chemicals and Plastics — 0.7%
Alpek SAB de CV
4.25%, 9/18/29(9)		310	$	306,609
Huntsman International, LLC
4.50%, 5/1/29		500		526,786
INEOS Styrolution Group GmbH
2.25%, 1/16/27(11)	EUR	100		103,599
Nufarm Australia, Ltd./Nufarm Americas, Inc.
5.75%, 4/30/26(9)		1,800		1,743,408
OCI N.V.
5.00%, 4/15/23(11)	EUR	200		227,228
SPCM S.A.
4.875%, 9/15/25(9)		1,356		1,370,760
Synthomer PLC
3.875%, 7/1/25(11)	EUR	200		228,024

29

Security	Principal Amount* (000’s omitted)		Value
Univar Solutions USA, Inc.
5.125%, 12/1/27(9)		360	$	364,792
Valvoline, Inc.
4.25%, 2/15/30(9)		790		779,509
W.R. Grace & Co.
5.125%, 10/1/21(9)		2,170		2,286,095
4.875%, 6/15/27(9)		1,146		1,166,662
Westlake Chemical Corp.
5.00%, 8/15/46		710		755,601
			$	9,859,073
Clothing/Textiles — 0.4%
Hanesbrands Finance Luxembourg SCA
3.50%, 6/15/24(11)	EUR	300	$	337,078
PrestigeBidCo GmbH
6.25%, 12/15/23(11)	EUR	265		301,993
PVH Corp.
7.75%, 11/15/23		3,740		4,080,849
William Carter Co. (The)
5.50%, 5/15/25(9)		331		341,964
5.625%, 3/15/27(9)		811		837,686
			$	5,899,570
Commercial Services — 0.6%
Autostrade per l’Italia SpA
6.25%, 6/9/22	GBP	250	$	314,508
Ellaktor Value PLC
6.375%, 12/15/24(9)	EUR	455		431,449
6.375%, 12/15/24(11)	EUR	3,247		3,092,120
Garda World Security Corp.
9.50%, 11/1/27(9)		2,416		2,559,003
Intertrust Group B.V.
3.375%, 11/15/25(11)	EUR	340		382,272
IPD 3 B.V.
4.50%, 7/15/22(11)	EUR	260		274,247
Korn Ferry
4.625%, 12/15/27(9)		355		346,125
Loxam SAS
3.25%, 1/14/25(11)	EUR	200		206,230
Nexi SpA
1.75%, 10/31/24(11)	EUR	200		219,582
Q-Park Holding I B.V.
2.00%, 3/1/27(11)	EUR	300		313,522
Sisal Pay SpA
3.875%, (3 mo. EURIBOR + 3.875%), 12/17/26(11)(15)	EUR	110		120,125
Techem Verwaltungsgesellschaft 674 mbH
6.00%, 7/30/26(11)	EUR	200		230,598
Verisure Holding AB
3.50%, 5/15/23(11)	EUR	140		158,116

30

Security	Principal Amount* (000’s omitted)		Value
Verisure Midholding AB
5.75%, 12/1/23(11)	EUR	200	$	226,023
Verscend Escrow Corp.
9.75%, 8/15/26(9)		382		412,684
			$	9,286,604
Computers — 0.4%
DXC Technology Co.
4.75%, 4/15/27		1,000	$	1,097,191
HP, Inc.
3.40%, 6/17/30		1,000		1,030,154
Leidos, Inc.
4.375%, 5/15/30(9)		571		644,630
Presidio Holdings, Inc.
4.875%, 2/1/27(9)		354		346,644
8.25%, 2/1/28(9)		1,005		1,008,141
Seagate HDD Cayman
5.75%, 12/1/34		995		1,099,609
			$	5,226,369
Conglomerates — 0.3%
Spectrum Brands, Inc.
5.75%, 7/15/25		3,470	$	3,571,966
5.00%, 10/1/29(9)		406		402,371
5.50%, 7/15/30(9)		691		693,591
TMS International Holding Corp.
7.25%, 8/15/25(9)		543		445,260
			$	5,113,188
Consumer Products — 0.1%
Central Garden & Pet Co.
6.125%, 11/15/23		575	$	588,596
5.125%, 2/1/28		285		297,127
			$	885,723
Containers and Glass Products — 0.4%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
2.125%, 8/15/26(11)	EUR	100	$	108,385
5.25%, 8/15/27(9)		1,661		1,633,278
Berry Global, Inc.
6.00%, 10/15/22		485		487,122
Crown Americas, LLC/Crown Americas Capital Corp. V
4.25%, 9/30/26		660		678,850
Crown Americas, LLC/Crown Americas Capital Corp. VI
4.75%, 2/1/26		750		766,942
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
5.125%, 7/15/23(9)		1,015		1,028,393
7.00%, 7/15/24(9)		1,426		1,433,351

31

Security	Principal Amount* (000’s omitted)		Value
Smurfit Kappa Acquisitions ULC
2.375%, 2/1/24(11)	EUR	200	$	230,564
2.875%, 1/15/26(11)	EUR	100		116,493
			$	6,483,378
Cosmetics/Toiletries — 0.1%
Edgewell Personal Care Co.
5.50%, 6/1/28(9)		1,067	$	1,099,677
Prestige Brands, Inc.
5.125%, 1/15/28(9)		357		352,537
			$	1,452,214
Distribution & Wholesale — 0.1%
LKQ Italia Bondco SpA
3.875%, 4/1/24(11)	EUR	200	$	233,387
Parts Europe S.A.
4.375%, (3 mo. EURIBOR + 4.375%), 5/1/22(11)(15)	EUR	447		485,717
Performance Food Group, Inc.
5.50%, 10/15/27(9)		935		903,986
Travis Perkins PLC
4.50%, 9/7/23(11)	GBP	175		215,672
			$	1,838,762
Diversified Financial Services — 1.2%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
4.50%, 9/15/23(10)		693	$	693,593
6.50%, 7/15/25		159		166,749
Affiliated Managers Group, Inc.
3.30%, 6/15/30		849		866,580
AG Issuer, LLC
6.25%, 3/1/28(9)		1,117		1,041,603
Arrow Global Finance PLC
2.875%, (3 mo. EURIBOR + 2.875%), 4/1/25(11)(15)	EUR	250		255,119
Barclays PLC
5.088% to 6/20/29, 6/20/30(12)		1,000		1,140,739
BrightSphere Investment Group, Inc.
4.80%, 7/27/26		2,195		2,164,769
Cabot Financial Luxembourg S.A.
7.50%, 10/1/23(11)	GBP	100		124,991
Cabot Financial Luxembourg II S.A.
6.375%, (3 mo. EURIBOR + 6.375%), 6/14/24(11)(15)	EUR	500		554,250
Discover Bank
4.682% to 8/9/23, 8/9/28(12)		1,000		1,010,315
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC
7.125%, 7/31/26(9)		2,279		2,170,280
7.125%, 7/31/26(11)		350		333,303
Grupo KUO SAB de CV
5.75%, 7/7/27(9)		750		692,670

32

Security	Principal Amount* (000’s omitted)		Value
Jefferies Group, LLC/Jefferies Group Capital Finance, Inc.
4.15%, 1/23/30		1,000	$	1,086,527
Lincoln Financing S.a.r.l.
3.625%, 4/1/24(11)	EUR	145		149,823
Louvre Bidco SAS
4.25%, 9/30/24(11)	EUR	390		412,662
Stifel Financial Corp.
4.00%, 5/15/30		769		815,967
UniCredit SpA
5.861% to 6/19/27, 6/19/32(9)(12)		715		752,283
7.296% to 4/2/29, 4/2/34(9)(12)		500		564,435
Unifin Financiera SAB de CV
7.375%, 2/12/26(9)		620		464,963
Vivion Investments S.a.r.l.
3.00%, 8/8/24(11)	EUR	2,600		2,689,806
3.50%, 11/1/25(11)	EUR	200		206,679
			$	18,358,106
Drugs — 1.8%
Bausch Health Americas, Inc.
9.25%, 4/1/26(9)		670	$	727,754
8.50%, 1/31/27(9)		3,076		3,270,480
Bausch Health Companies, Inc.
5.50%, 3/1/23(9)		198		197,526
5.875%, 5/15/23(9)		114		113,804
7.00%, 3/15/24(9)		3,810		3,960,762
6.125%, 4/15/25(9)		345		350,410
5.50%, 11/1/25(9)		955		977,022
9.00%, 12/15/25(9)		2,340		2,523,479
5.75%, 8/15/27(9)		412		437,672
7.00%, 1/15/28(9)		2,092		2,158,295
5.00%, 1/30/28(9)		1,051		990,820
6.25%, 2/15/29(9)		1,508		1,518,367
7.25%, 5/30/29(9)		544		571,643
5.25%, 1/30/30(9)		2,106		2,000,426
Catalent Pharma Solutions, Inc.
4.875%, 1/15/26(9)		2,700		2,750,652
5.00%, 7/15/27(9)		656		682,122
2.375%, 3/1/28(11)	EUR	1,374		1,466,504
Jaguar Holding Co., II/PPD Development, L.P.
4.625%, 6/15/25(9)		1,159		1,181,687
5.00%, 6/15/28(9)		1,022		1,048,189
Nidda Healthcare Holding GmbH
3.50%, 9/30/24(11)	EUR	124		137,830
			$	27,065,444
Ecological Services and Equipment — 0.7%
Advanced Disposal Services, Inc.
5.625%, 11/15/24(9)		1,405	$	1,462,809

33

Security	Principal Amount* (000’s omitted)		Value
Clean Harbors, Inc.
4.875%, 7/15/27(9)		551	$	567,084
5.125%, 7/15/29(9)		332		345,311
Covanta Holding Corp.
5.875%, 3/1/24		1,900		1,923,550
5.875%, 7/1/25		860		873,885
GFL Environmental, Inc.
7.00%, 6/1/26(9)		1,870		1,951,457
8.50%, 5/1/27(9)		2,822		3,075,458
Waste Pro USA, Inc.
5.50%, 2/15/26(9)		446		426,998
			$	10,626,552
Electric Utilities — 0.6%
Clearway Energy Operating, LLC
4.75%, 3/15/28(9)		460	$	469,605
Consolidated Edison Co. of New York, Inc.
4.125%, 5/15/49		400		488,277
ContourGlobal Power Holdings S.A.
4.125%, 8/1/25(11)	EUR	200		231,583
Drax Finco PLC
4.25%, 5/1/22(11)	GBP	325		405,768
6.625%, 11/1/25(9)		806		828,250
Edison International
3.55%, 11/15/24		614		649,088
EDP - Energias de Portugal S.A.
4.496% to 4/30/24, 4/30/79(11)(12)	EUR	300		359,145
Southern California Edison Co.
4.00%, 4/1/47		845		966,545
Southern Co. (The)
4.40%, 7/1/46		971		1,153,575
TenneT Holding B.V.
2.995% to 6/1/24(11)(12)(13)	EUR	350		406,840
Virginia Electric & Power Co.
4.00%, 1/15/43		410		490,890
WESCO Distribution, Inc.
7.125%, 6/15/25(9)		1,024		1,082,573
7.25%, 6/15/28(9)		915		967,219
			$	8,499,358
Electronics/Electrical — 1.1%
Enel Finance International NV
3.625%, 5/25/27(9)		2,310	$	2,525,493
Energizer Holdings, Inc.
6.375%, 7/15/26(9)		1,680		1,741,270
7.75%, 1/15/27(9)		657		702,060
Engie Energia Chile S.A.
3.40%, 1/28/30(9)		960		1,001,040
Entegris, Inc.
4.625%, 2/10/26(9)		517		525,949
4.375%, 4/15/28(9)		963		984,668

34

Security	Principal Amount* (000’s omitted)		Value
Go Daddy Operating Co., LLC/GD Finance Co., Inc.
5.25%, 12/1/27(9)		1,249	$	1,273,749
Ingram Micro, Inc.
5.45%, 12/15/24		1,889		1,906,282
Jabil, Inc.
3.95%, 1/12/28		1,040		1,119,030
MTS Systems Corp.
5.75%, 8/15/27(9)		237		218,291
Open Text Corp.
3.875%, 2/15/28(9)		1,009		973,211
Open Text Holdings, Inc.
4.125%, 2/15/30(9)		883		869,618
RWE AG
6.625% to 3/30/26, 7/30/75(11)(12)		266		296,069
Sensata Technologies, Inc.
4.375%, 2/15/30(9)		627		622,316
SS&C Technologies, Inc.
5.50%, 9/30/27(9)		517		528,863
Trimble, Inc.
4.90%, 6/15/28		967		1,111,232
			$	16,399,141
Energy — 0.4%
Empresa Electrica Cochrane SpA
5.50%, 5/14/27(9)		2,136	$	2,199,309
Enviva Partners, L.P./Enviva Partners Finance Corp.
6.50%, 1/15/26(9)		1,988		2,071,247
Sunoco, L.P./Sunoco Finance Corp.
4.875%, 1/15/23		950		939,213
5.50%, 2/15/26		412		401,107
			$	5,610,876
Entertainment — 0.5%
Colt Merger Sub, Inc.
6.25%, 7/1/25(9)(10)		2,521	$	2,507,639
8.125%, 7/1/27(9)(10)		2,032		1,981,200
CPUK Finance, Ltd.
4.25%, 2/28/47(11)	GBP	100		118,780
4.875%, 2/28/47(11)	GBP	135		155,622
Live Nation Entertainment, Inc.
4.75%, 10/15/27(9)		1,226		1,057,554
Merlin Entertainments, Ltd.
5.75%, 6/15/26(9)		200		193,348
Pinewood Finance Co., Ltd.
3.25%, 9/30/25(11)	GBP	450		551,322
Speedway Motorsports, LLC/Speedway Funding II, Inc.
4.875%, 11/1/27(9)		871		794,787
			$	7,360,252

35

Security	Principal Amount* (000’s omitted)		Value
Equipment Leasing — 0.1%
Ashtead Capital, Inc.
4.125%, 8/15/25(9)		1,425	$	1,457,063
4.25%, 11/1/29(9)		526		527,315
			$	1,984,378
Financial Intermediaries — 1.7%
Alpha Holding S.A. de CV
10.00%, 12/19/22(9)		200	$	187,000
9.00%, 2/10/25(9)		765		684,675
CIT Group, Inc.
6.125%, 3/9/28		650		704,314
Citigroup, Inc.
3.98% to 3/20/29, 3/20/30(12)		1,200		1,376,560
Ford Motor Credit Co., LLC
3.336%, 3/18/21		205		203,531
5.875%, 8/2/21		395		399,629
3.813%, 10/12/21		466		461,363
5.596%, 1/7/22		1,127		1,138,974
1.576%, (3 mo. USD LIBOR + 1.27%), 3/28/22(15)		230		215,099
3.339%, 3/28/22		530		515,266
4.25%, 9/20/22		500		491,980
3.087%, 1/9/23		439		418,284
1.627%, (3 mo. USD LIBOR + 1.24%), 2/15/23(15)		479		425,337
5.584%, 3/18/24		257		260,024
5.125%, 6/16/25		938		942,484
3.815%, 11/2/27		587		536,004
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.25%, 2/1/22		1,606		1,613,588
6.375%, 12/15/25		820		813,936
6.25%, 5/15/26		1,615		1,621,008
5.25%, 5/15/27		1,614		1,562,554
JPMorgan Chase & Co.
Series S, 6.75% to 2/1/24(12)(13)		3,325		3,581,367
4.60% to 2/1/25(12)(13)		1,674		1,494,631
4.26% to 2/22/47, 2/22/48(12)		1,035		1,306,827
KKR Group Finance Co. VI, LLC
3.75%, 7/1/29(9)		1,000		1,149,503
MSCI, Inc.
3.625%, 9/1/30(9)		520		518,294
Navient Corp.
5.00%, 10/26/20		995		992,323
7.25%, 1/25/22		215		216,016
Synovus Financial Corp.
5.90% to 2/7/24, 2/7/29(12)		1,511		1,481,770
			$	25,312,341

36

Security	Principal Amount* (000’s omitted)		Value
Financial Services — 0.5%
Banco BTG Pactual S.A./Cayman Islands
4.50%, 1/10/25(9)		1,100	$	1,080,420
Brookfield Finance, Inc.
4.70%, 9/20/47		1,050		1,211,535
Carlyle Finance Subsidiary, LLC
3.50%, 9/19/29(9)		1,000		1,038,034
Debt and Asset Trading Corp.
1.00%, 10/10/25(11)		2,600		1,995,500
Nordea Bank Abp
4.625% to 9/13/28, 9/13/33(9)(12)		1,000		1,129,532
Sensata Technologies UK Financing Co. PLC
6.25%, 2/15/26(9)		1,588		1,651,226
			$	8,106,247
Food Products — 0.8%
JBS USA LUX S.A./JBS USA Finance, Inc.
6.75%, 2/15/28(9)		1,350	$	1,429,069
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.
5.50%, 1/15/30(9)		1,046		1,073,918
Kraft Heinz Foods Co.
3.875%, 5/15/27(9)		1,261		1,319,434
4.25%, 3/1/31(9)		1,261		1,339,529
4.375%, 6/1/46		3,059		3,010,789
5.50%, 6/1/50(9)		1,261		1,348,734
Post Holdings, Inc.
5.00%, 8/15/26(9)		1,377		1,384,814
Smithfield Foods, Inc.
2.65%, 10/3/21(9)		550		544,093
Tesco PLC
6.125%, 2/24/22	GBP	200		268,044
			$	11,718,424
Food Service — 0.5%
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.
5.75%, 4/15/25(9)		372	$	391,298
5.00%, 10/15/25(9)		3,470		3,458,532
3.875%, 1/15/28(9)		663		644,343
4.375%, 1/15/28(9)		1,014		995,626
US Foods, Inc.
5.875%, 6/15/24(9)		1,995		1,900,447
Yum! Brands, Inc.
7.75%, 4/1/25(9)		304		328,510
			$	7,718,756
Food/Drug Retailers — 0.1%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC
5.875%, 2/15/28(9)		1,004	$	1,037,594
4.875%, 2/15/30(9)		1,042		1,067,143
			$	2,104,737

37

Security	Principal Amount* (000’s omitted)		Value
Health Care — 4.0%
Acadia Healthcare Co., Inc.
5.50%, 7/1/28(9)		980	$	986,125
Amgen, Inc.
3.375%, 2/21/50		400		440,052
Anthem, Inc.
3.125%, 5/15/50		500		518,504
Centene Corp.
4.75%, 5/15/22		870		883,933
4.75%, 1/15/25		2,450		2,511,152
5.25%, 4/1/25(9)		2,775		2,861,344
5.375%, 6/1/26(9)		2,690		2,799,550
5.375%, 8/15/26(9)		1,706		1,781,533
4.25%, 12/15/27		1,795		1,856,434
4.625%, 12/15/29		1,758		1,865,713
3.375%, 2/15/30		1,833		1,853,667
Change Healthcare Holdings, LLC/Change Healthcare Finance, Inc.
5.75%, 3/1/25(9)		505		499,859
Charles River Laboratories International, Inc.
5.50%, 4/1/26(9)		545		568,383
4.25%, 5/1/28(9)		502		502,592
DENTSPLY SIRONA, Inc.
3.25%, 6/1/30		209		219,424
Encompass Health Corp.
4.50%, 2/1/28		998		958,888
4.75%, 2/1/30		1,098		1,050,446
Gilead Sciences, Inc.
2.95%, 3/1/27		800		893,429
Grifols S.A.
1.625%, 2/15/25(11)	EUR	120		132,049
3.20%, 5/1/25(11)	EUR	550		618,336
HCA, Inc.
5.00%, 3/15/24		675		751,032
5.875%, 2/15/26		2,705		2,972,700
5.375%, 9/1/26		1,610		1,756,832
5.625%, 9/1/28		1,990		2,224,263
5.875%, 2/1/29		1,076		1,219,425
3.50%, 9/1/30		1,549		1,493,482
Hologic, Inc.
4.375%, 10/15/25(9)		1,665		1,685,638
IQVIA, Inc.
3.25%, 3/15/25(11)	EUR	300		340,564
5.00%, 10/15/26(9)		850		878,433
5.00%, 5/15/27(9)		577		591,552
2.25%, 1/15/28(11)	EUR	250		270,526
LifePoint Health, Inc.
6.75%, 4/15/25(9)		731		756,585
4.375%, 2/15/27(9)		1,408		1,334,080

38

Security	Principal Amount* (000’s omitted)		Value
Molina Healthcare, Inc.
4.375%, 6/15/28(9)		1,257	$	1,262,499
MPH Acquisition Holdings, LLC
7.125%, 6/1/24(9)		9,217		8,606,236
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/26(9)		1,732		1,772,105
Synlab Bondco PLC
4.75%, (3 mo. EURIBOR + 4.75%), 7/1/25(11)(15)	EUR	100		112,619
Team Health Holdings, Inc.
6.375%, 2/1/25(9)		703		410,303
Teleflex, Inc.
4.625%, 11/15/27		1,055		1,117,799
4.25%, 6/1/28(9)		230		236,181
Tenet Healthcare Corp.
8.125%, 4/1/22		2,040		2,145,672
4.625%, 9/1/24(9)		268		262,222
4.875%, 1/1/26(9)		1,607		1,576,435
5.125%, 11/1/27(9)		1,607		1,590,287
4.625%, 6/15/28(9)		377		370,282
UnitedHealth Group, Inc.
3.75%, 10/15/47		650		778,077
			$	60,317,242
Home Furnishings — 0.1%
CD&R Smokey Buyer, Inc.
6.75%, 7/15/25(9)(10)		496	$	517,031
Harman International Industries, Inc.
4.15%, 5/15/25		940		1,023,816
			$	1,540,847
Homebuilders/Real Estate — 0.1%
M/I Homes, Inc.
4.95%, 2/1/28		459	$	457,565
Picasso Finance Sub, Inc.
6.125%, 6/15/25(9)		455		464,669
			$	922,234
Industrial Equipment — 0.1%
Colfax Corp.
6.00%, 2/15/24(9)		478	$	494,182
6.375%, 2/15/26(9)		780		816,321
Orano S.A.
4.875%, 9/23/24	EUR	200		245,029
			$	1,555,532
Insurance — 1.1%
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer
6.75%, 10/15/27(9)		3,121	$	3,115,725

39

Security	Principal Amount* (000’s omitted)		Value
AmWINS Group, Inc.
7.75%, 7/1/26(9)		1,335	$	1,406,503
Arch Capital Group, Ltd.
3.635%, 6/30/50		338		355,309
Athene Holding, Ltd.
4.125%, 1/12/28		1,000		1,032,215
Galaxy Finco, Ltd.
9.25%, 7/31/27(11)	GBP	575		685,765
GTCR AP Finance, Inc.
8.00%, 5/15/27(9)		1,078		1,113,499
Hub International, Ltd.
7.00%, 5/1/26(9)		2,618		2,620,631
MetLife, Inc.
4.05%, 3/1/45		300		353,380
QBE Insurance Group, Ltd.
5.875% to 5/12/25(9)(12)(13)		1,000		1,035,000
Radian Group, Inc.
4.875%, 3/15/27		1,032		973,109
USI, Inc.
6.875%, 5/1/25(9)		3,948		3,994,843
			$	16,685,979
Internet Software & Services — 0.8%
CDK Global, Inc.
5.25%, 5/15/29(9)		531	$	551,900
Expedia Group, Inc.
6.25%, 5/1/25(9)		487		521,051
7.00%, 5/1/25(9)		243		253,221
Netflix, Inc.
5.50%, 2/15/22		1,825		1,908,722
3.00%, 6/15/25(11)	EUR	100		115,993
4.875%, 4/15/28		1,665		1,783,048
5.875%, 11/15/28		1,810		2,061,744
5.375%, 11/15/29(9)		1,000		1,099,720
3.625%, 6/15/30(11)	EUR	500		579,248
4.875%, 6/15/30(9)		1,300		1,392,378
Riverbed Technology, Inc.
8.875%, 3/1/23(9)		2,199		1,346,888
Science Applications International Corp.
4.875%, 4/1/28(9)		362		361,486
			$	11,975,399
Leisure Goods/Activities/Movies — 0.6%
AMC Entertainment Holdings, Inc.
10.50%, 4/15/25(9)		1,249	$	1,018,029
Carnival Corp.
11.50%, 4/1/23(9)		531		574,775
Cinemark USA, Inc.
4.875%, 6/1/23		2,730		2,315,354

40

Security	Principal Amount* (000’s omitted)		Value
NCL Corp, Ltd.
3.625%, 12/15/24(9)		1,065	$	654,975
Royal Caribbean Cruises, Ltd.
9.125%, 6/15/23(9)		456		452,640
Sabre GLBL, Inc.
5.375%, 4/15/23(9)		855		800,404
9.25%, 4/15/25(9)		483		511,074
Viking Cruises, Ltd.
6.25%, 5/15/25(9)		1,690		969,460
5.875%, 9/15/27(9)		3,132		1,871,950
WMG Acquisition Corp.
3.625%, 10/15/26(11)	EUR	165		192,011
			$	9,360,672
Lodging and Casinos — 1.8%
Caesars Resort Collection, LLC/CRC Finco, Inc.
5.25%, 10/15/25(9)		3,279	$	2,857,681
Eldorado Resorts, Inc.
6.00%, 4/1/25		757		790,039
ESH Hospitality, Inc.
4.625%, 10/1/27(9)		1,077		1,014,200
Gateway Casinos & Entertainment, Ltd.
8.25%, 3/1/24(9)		2,255		1,857,319
Golden Nugget, Inc.
6.75%, 10/15/24(9)		1,665		1,198,800
Hilton Domestic Operating Co., Inc.
4.25%, 9/1/24		1,410		1,373,121
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc.
5.625%, 5/1/24		480		500,484
4.50%, 9/1/26		895		891,416
5.75%, 2/1/27		573		588,222
MGM Resorts International
7.75%, 3/15/22		2,300		2,344,677
5.75%, 6/15/25		948		940,307
NH Hotel Group S.A.
3.75%, 10/1/23(11)	EUR	225		228,207
RHP Hotel Properties, L.P./RHP Finance Corp.
5.00%, 4/15/23		1,052		997,817
Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC
7.00%, 7/15/26(9)		3,930		4,151,790
Studio City Co., Ltd.
7.25%, 11/30/21(9)		845		853,294
TVL Finance PLC
6.043%, (3 mo. GBP LIBOR + 5.375%), 7/15/25(11)(15)	GBP	100		103,465
VICI Properties, L.P./VICI Note Co., Inc.
4.25%, 12/1/26(9)		1,653		1,588,806
3.75%, 2/15/27(9)		1,108		1,043,426
4.625%, 12/1/29(9)		1,574		1,537,310
4.125%, 8/15/30(9)		1,108		1,058,489

41

Security	Principal Amount* (000’s omitted)		Value
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
5.25%, 5/15/27(9)		1,754	$	1,520,069
			$	27,438,939
Machinery — 0.1%
nVent Finance S.a.r.l.
4.55%, 4/15/28		1,500	$	1,606,879
Vertical Midco GmbH
(3 mo. EURIBOR + 4.75), 7/15/27(10)(11)(15)	EUR	115		128,557
			$	1,735,436
Manufacturing — 0.2%
Novelis Corp.
5.875%, 9/30/26(9)		1,530	$	1,531,790
4.75%, 1/30/30(9)		1,259		1,205,467
			$	2,737,257
Media — 0.3%
Banijay Group SAS
6.50%, 3/1/26(11)	EUR	150	$	151,748
Discovery Communications, LLC
4.125%, 5/15/29		1,400		1,599,331
Outfront Media Capital, LLC/Outfront Media Capital Corp.
6.25%, 6/15/25(9)		958		968,466
Scripps Escrow, Inc.
5.875%, 7/15/27(9)		1,036		983,361
Tele Columbus AG
3.875%, 5/2/25(11)	EUR	200		210,713
Telenet Finance Luxembourg S.a.r.l.
3.50%, 3/1/28(11)	EUR	200		228,767
VTR Finance N.V.
6.375%, 7/15/28(9)(10)		490		505,322
			$	4,647,708
Metals/Mining — 0.7%
Arconic Corp.
6.125%, 2/15/28(9)		2,573	$	2,579,626
Cleveland-Cliffs, Inc.
9.875%, 10/17/25(9)		443		465,516
6.75%, 3/15/26(9)		2,108		2,039,490
Compass Minerals International, Inc.
6.75%, 12/1/27(9)		3,005		3,160,328
Constellium N.V.
4.25%, 2/15/26(11)	EUR	150		166,031
5.875%, 2/15/26(9)		837		843,248
Freeport-McMoRan, Inc.
5.45%, 3/15/43		1,258		1,237,098
			$	10,491,337

42

Security	Principal Amount* (000’s omitted)		Value
Nonferrous Metals/Minerals — 0.5%
Eldorado Gold Corp.
9.50%, 6/1/24(9)		537	$	573,862
First Quantum Minerals, Ltd.
7.25%, 4/1/23(9)		1,332		1,280,472
7.50%, 4/1/25(9)		1,615		1,548,971
6.875%, 3/1/26(9)		637		605,032
New Gold, Inc.
6.25%, 11/15/22(9)		1,097		1,109,177
6.375%, 5/15/25(9)		912		924,444
7.50%, 7/15/27(9)		1,621		1,678,448
			$	7,720,406
Oil and Gas — 5.4%
Aker BP ASA
6.00%, 7/1/22(9)		150	$	152,779
4.75%, 6/15/24(9)		1,106		1,114,931
5.875%, 3/31/25(9)		675		686,899
AmeriGas Partners, L.P./AmeriGas Finance Corp.
5.625%, 5/20/24		216		224,707
5.50%, 5/20/25		880		909,141
Antero Resources Corp.
5.375%, 11/1/21		2,715		2,520,389
Apache Corp.
3.625%, 2/1/21		92		91,097
3.25%, 4/15/22		303		294,091
4.375%, 10/15/28		767		677,633
4.25%, 1/15/30		1,529		1,323,971
5.25%, 2/1/42		125		102,106
4.75%, 4/15/43		151		121,763
4.25%, 1/15/44		237		178,737
Archrock Partners, L.P./Archrock Partners Finance Corp.
6.25%, 4/1/28(9)		756		693,857
Ascent Resources Utica Holdings, LLC/ARU Finance Corp.
7.00%, 11/1/26(9)		1,951		1,255,586
Berry Petroleum Co., LLC
7.00%, 2/15/26(9)		722		587,390
Buckeye Partners, L.P.
4.50%, 3/1/28(9)		921		868,043
Cenovus Energy, Inc.
3.80%, 9/15/23		383		360,364
6.75%, 11/15/39		1,500		1,477,339
5.40%, 6/15/47		633		543,958
Centennial Resource Production, LLC
5.375%, 1/15/26(9)		2,175		1,160,493
6.875%, 4/1/27(9)		2,055		1,095,120
CGG Holding US, Inc.
9.00%, 5/1/23(9)		200		202,500

43

Security	Principal Amount* (000’s omitted)		Value
Cheniere Corpus Christi Holdings, LLC
7.00%, 6/30/24		244	$	277,887
5.875%, 3/31/25		1,536		1,725,449
Cheniere Energy Partners, L.P.
5.25%, 10/1/25		1,590		1,586,343
5.625%, 10/1/26		1,265		1,256,423
Chevron Corp.
3.078%, 5/11/50		500		532,084
Continental Resources, Inc.
4.375%, 1/15/28		1,220		1,076,052
4.90%, 6/1/44		47		37,526
CrownRock, L.P./CrownRock Finance, Inc.
5.625%, 10/15/25(9)		3,677		3,306,965
CVR Energy, Inc.
5.75%, 2/15/28(9)		1,280		1,123,200
Endeavor Energy Resources, L.P./EER Finance, Inc.
6.625%, 7/15/25(9)		707		714,296
5.50%, 1/30/26(9)		1,045		1,003,623
5.75%, 1/30/28(9)		1,121		1,078,755
Energy Transfer Operating, L.P.
Series A, 6.25% to 2/15/23(12)(13)		1,045		803,861
5.875%, 1/15/24		875		979,353
Eni SpA
4.75%, 9/12/28(9)		1,000		1,115,742
EP Energy, LLC/Everest Acquisition Finance, Inc.
7.75%, 5/15/26(6)(9)		480		100,800
EQT Corp.
6.125%, 2/1/25		407		406,292
7.00%, 2/1/30		594		612,634
Extraction Oil & Gas, Inc.
7.375%, 5/15/24(6)(9)		689		135,144
5.625%, 2/1/26(6)(9)		1,821		357,025
Gran Tierra Energy International Holdings, Ltd.
6.25%, 2/15/25(9)		550		244,580
Gran Tierra Energy, Inc.
7.75%, 5/23/27(9)		405		184,022
Great Western Petroleum, LLC/Great Western Finance Corp.
9.00%, 9/30/21(9)		2,423		1,478,030
Hilcorp Energy I, L.P./Hilcorp Finance Co.
6.25%, 11/1/28(9)		1,658		1,336,447
Ithaca Energy North Sea PLC
9.375%, 7/15/24(9)		200		160,998
Jagged Peak Energy, LLC
5.875%, 5/1/26		507		493,293
Laredo Petroleum, Inc.
9.50%, 1/15/25		414		286,567
10.125%, 1/15/28		622		430,735

44

Security	Principal Amount* (000’s omitted)		Value
Matador Resources Co.
5.875%, 9/15/26		2,220	$	1,648,061
MEG Energy Corp.
7.125%, 2/1/27(9)		1,030		858,763
Moss Creek Resources Holdings, Inc.
7.50%, 1/15/26(9)		1,915		964,317
Nabors Industries, Ltd.
7.25%, 1/15/26(9)		617		380,998
7.50%, 1/15/28(9)		665		411,053
National Oilwell Varco, Inc.
3.60%, 12/1/29		1,000		982,180
Neptune Energy Bondco PLC
6.625%, 5/15/25(9)		3,725		3,252,353
6.625%, 5/15/25(11)		250		218,279
Nine Energy Service, Inc.
8.75%, 11/1/23(9)		500		245,783
Occidental Petroleum Corp.
3.125%, 2/15/22		15		14,441
2.60%, 4/15/22		269		257,648
1.842%, (3 mo. USD LIBOR + 1.45%), 8/15/22(15)		243		223,653
2.70%, 8/15/22		320		298,494
3.45%, 7/15/24		244		203,740
2.90%, 8/15/24		97		83,128
8.50%, 7/15/27(10)		1,965		1,974,825
3.50%, 8/15/29		599		440,804
8.875%, 7/15/30(10)		1,685		1,687,106
6.20%, 3/15/40		480		404,100
4.625%, 6/15/45		499		351,795
4.20%, 3/15/48		931		631,637
4.40%, 8/15/49		748		522,609
Parsley Energy, LLC/Parsley Finance Corp.
5.375%, 1/15/25(9)		1,240		1,208,616
5.25%, 8/15/25(9)		1,170		1,127,874
5.625%, 10/15/27(9)		923		911,292
Patterson-UTI Energy, Inc.
3.95%, 2/1/28		1,310		990,506
PBF Holding Co., LLC/PBF Finance Corp.
7.25%, 6/15/25		3,219		2,929,628
6.00%, 2/15/28(9)		1,823		1,517,647
Petroleos Mexicanos
6.49%, 1/23/27(11)		1,051		960,498
5.35%, 2/12/28		318		267,802
5.95%, 1/28/31(11)		796		657,858
Precision Drilling Corp.
6.50%, 12/15/21		41		38,282
7.75%, 12/15/23		216		148,747
7.125%, 1/15/26(9)		500		306,780

45

Security	Principal Amount* (000’s omitted)		Value
Seven Generations Energy, Ltd.
6.875%, 6/30/23(9)		1,250	$	1,213,931
5.375%, 9/30/25(9)		1,710		1,510,127
Shelf Drilling Holdings, Ltd.
8.25%, 2/15/25(9)		2,715		1,230,207
Shell International Finance B.V.
2.375%, 11/7/29		500		525,157
3.75%, 9/12/46		400		457,157
SM Energy Co.
6.125%, 11/15/22		561		411,502
5.00%, 1/15/24		58		31,531
5.625%, 6/1/25		243		129,676
6.75%, 9/15/26		1,773		897,918
6.625%, 1/15/27		536		264,197
Tallgrass Energy Partners, L.P./Tallgrass Energy Finance Corp.
5.50%, 1/15/28(9)		612		531,158
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.
5.875%, 4/15/26		985		977,455
6.50%, 7/15/27		566		568,830
Tervita Corp.
7.625%, 12/1/21(9)		2,381		1,875,788
Transocean Guardian, Ltd.
5.875%, 1/15/24(9)		885		783,083
Transocean Pontus, Ltd.
6.125%, 8/1/25(9)		605		532,730
Transocean Poseidon, Ltd.
6.875%, 2/1/27(9)		294		254,310
Transocean, Inc.
7.50%, 1/15/26(9)		523		290,265
Williams Cos., Inc. (The)
5.75%, 6/24/44		790		913,558
WPX Energy, Inc.
5.25%, 10/15/27		371		347,211
			$	80,354,108
Packaging & Containers — 0.6%
ARD Finance S.A.
5.00%, (5.00% cash or 5.75% PIK), 6/30/27(11)(16)	EUR	172	$	186,383
6.50%, (6.50% cash or 7.25% PIK), 6/30/27(9)(16)		2,948		2,921,660
Silgan Holdings, Inc.
2.25%, 6/1/28(11)	EUR	1,070		1,159,348
Smurfit Kappa Treasury ULC
1.50%, 9/15/27(11)	EUR	145		156,279
Trivium Packaging Finance B.V.
3.75%, 8/15/26(11)	EUR	280		310,545
5.50%, 8/15/26(9)		779		789,711
8.50%, 8/15/27(9)		2,858		3,061,104
			$	8,585,030

46

Security	Principal Amount* (000’s omitted)		Value
Pharmaceuticals — 0.2%
CVS Health Corp.
4.78%, 3/25/38		1,080	$	1,343,274
Diocle SpA
3.875%, (3 mo. EURIBOR + 3.875%), 6/30/26(11)(15)	EUR	140		156,047
Herbalife Nutrition, Ltd./HLF Financing, Inc.
7.875%, 9/1/25(9)		1,169		1,209,184
Rossini S.a.r.l.
3.875%, (3 mo. EURIBOR + 3.875%), 10/30/25(11)(15)	EUR	300		332,197
			$	3,040,702
Pipelines — 0.5%
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.
5.75%, 3/1/27(9)		1,874	$	1,486,372
Crestwood Midstream Partners, L.P./Crestwood Midstream Finance Corp.
5.625%, 5/1/27(9)		1,060		887,056
EnLink Midstream, LLC
5.375%, 6/1/29		653		491,647
EQM Midstream Partners, L.P.
6.00%, 7/1/25(9)		699		707,738
6.50%, 7/1/27(9)		702		720,835
NGPL PipeCo, LLC
4.375%, 8/15/22(9)		340		350,934
Plains All American Pipeline, L.P.
Series B, 6.125% to 11/15/22(12)(13)		1,850		1,322,344
TransCanada PipeLines, Ltd.
4.75%, 5/15/38		390		458,847
Western Midstream Operating L.P.
4.50%, 3/1/28		148		139,860
4.75%, 8/15/28		150		144,375
4.05%, 2/1/30		1,187		1,146,909
			$	7,856,917
Radio and Television — 1.4%
Clear Channel Worldwide Holdings, Inc.
5.125%, 8/15/27(9)		1,276	$	1,227,206
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.375%, 8/15/26(9)		2,646		1,931,368
iHeartCommunications, Inc.
6.375%, 5/1/26		179		177,662
8.375%, 5/1/27		2,770		2,543,830
Nexstar Broadcasting, Inc.
5.625%, 7/15/27(9)		1,312		1,315,319
Nielsen Co. Luxembourg S.a.r.l. (The)
5.50%, 10/1/21(9)		850		852,988
Sinclair Television Group, Inc.
5.50%, 3/1/30(9)		1,040		963,757

47

Security	Principal Amount* (000’s omitted)		Value
Sirius XM Radio, Inc.
4.625%, 7/15/24(9)		1,595	$	1,640,362
5.00%, 8/1/27(9)		1,609		1,652,901
Terrier Media Buyer, Inc.
8.875%, 12/15/27(9)		8,540		8,209,075
			$	20,514,468
Real Estate Investment Trusts (REITs) — 0.5%
Consus Real Estate AG
9.625%, 5/15/24(11)	EUR	250	$	306,856
EPR Properties
3.75%, 8/15/29		1,275		1,112,685
HAT Holdings I, LLC/HAT Holdings II, LLC
6.00%, 4/15/25(9)		716		751,352
Iron Mountain, Inc.
5.00%, 7/15/28(9)		94		92,061
5.25%, 7/15/30(9)		1,164		1,143,426
5.625%, 7/15/32(9)		792		792,812
Service Properties Trust
7.50%, 9/15/25		993		1,043,425
4.75%, 10/1/26		1,990		1,761,952
WP Carey, Inc.
3.85%, 7/15/29		159		165,545
			$	7,170,114
Retail — 0.3%
Burlington Coat Factory Warehouse Corp.
6.25%, 4/15/25(9)		1,000	$	1,046,875
eG Global Finance PLC
6.25%, 10/30/25(11)	EUR	100		109,682
Ferrellgas, L.P./Ferrellgas Finance Corp.
10.00%, 4/15/25(9)		1,215		1,314,478
IRB Holding Corp.
7.00%, 6/15/25(9)		451		464,812
Newmark Group, Inc.
6.125%, 11/15/23		2,126		2,132,485
			$	5,068,332
Retailers (Except Food and Drug) — 0.5%
Asbury Automotive Group, Inc.
4.50%, 3/1/28(9)		136	$	132,345
4.75%, 3/1/30(9)		190		185,725
L Brands, Inc.
6.875%, 7/1/25(9)		451		466,785
9.375%, 7/1/25(9)		316		317,185
6.875%, 11/1/35		1,336		1,116,829
6.75%, 7/1/36		223		183,585
7.60%, 7/15/37		254		174,471

48

Security	Principal Amount* (000’s omitted)		Value
Macy’s, Inc.
8.375%, 6/15/25(9)		13	$	12,959
Macy’s Retail Holdings, Inc.
4.30%, 2/15/43		1,252		726,035
Murphy Oil USA, Inc.
5.625%, 5/1/27		560		580,194
4.75%, 9/15/29		728		746,065
Nordstrom, Inc.
4.375%, 4/1/30		158		124,168
5.00%, 1/15/44		775		549,446
Tapestry, Inc.
4.125%, 7/15/27		704		663,463
Walmart, Inc.
3.55%, 6/26/25		1,000		1,134,338
			$	7,113,593
Software and Services — 0.5%
Gartner, Inc.
5.125%, 4/1/25(9)		795	$	816,191
4.50%, 7/1/28(9)		908		920,894
IHS Markit, Ltd.
5.00%, 11/1/22(9)		2,240		2,405,450
j2 Cloud Services, LLC/j2 Global Co-Obligor, Inc.
6.00%, 7/15/25(9)		1,915		1,953,501
Microsoft Corp.
2.525%, 6/1/50		750		780,091
PTC, Inc.
3.625%, 2/15/25(9)		502		499,490
4.00%, 2/15/28(9)		505		502,505
			$	7,878,122
Steel — 0.6%
Allegheny Ludlum, LLC
6.95%, 12/15/25		225	$	219,070
Allegheny Technologies, Inc.
7.875%, 8/15/23		4,896		5,025,034
5.875%, 12/1/27		1,541		1,435,788
Infrabuild Australia Pty, Ltd.
12.00%, 10/1/24(9)		2,494		2,263,305
thyssenkrupp AG
2.875%, 2/22/24(11)	EUR	100		108,563
			$	9,051,760
Surface Transport — 0.5%
Anglian Water Osprey Financing PLC
4.00%, 3/8/26(11)	GBP	325	$	398,814
CMA CGM S.A.
5.25%, 1/15/25(11)	EUR	185		172,513

49

Security	Principal Amount* (000’s omitted)		Value
DAE Funding, LLC
4.50%, 8/1/22(9)		1,050	$	1,003,396
5.00%, 8/1/24(9)		1,745		1,641,373
Moto Finance PLC
4.50%, 10/1/22(11)	GBP	250		299,320
XPO Logistics, Inc.
6.50%, 6/15/22(9)		2,276		2,283,909
6.125%, 9/1/23(9)		2,221		2,254,548
			$	8,053,873
Technology — 0.5%
Dell International, LLC/EMC Corp.
5.875%, 6/15/21(9)		66	$	66,123
7.125%, 6/15/24(9)		2,440		2,530,128
5.85%, 7/15/25(9)		504		579,774
6.02%, 6/15/26(9)		1,945		2,231,532
6.10%, 7/15/27(9)		1,016		1,175,223
6.20%, 7/15/30(9)		507		591,646
Western Union Co. (The)
6.20%, 11/17/36		872		989,911
			$	8,164,337
Telecommunications — 3.4%
Altice Financing S.A.
2.25%, 1/15/25(11)	EUR	100	$	105,609
Altice Finco S.A.
4.75%, 1/15/28(11)	EUR	716		737,180
Altice France Holding S.A.
6.00%, 2/15/28(9)		852		810,469
4.00%, 2/15/28(11)	EUR	1,108		1,128,943
10.50%, 5/15/27(9)		1,599		1,768,374
AT&T, Inc.
3.80%, 2/15/27		500		563,526
4.75%, 5/15/46		1,347		1,597,615
Cellnex Telecom S.A.
2.375%, 1/16/24(11)	EUR	200		234,250
CenturyLink, Inc.
7.50%, 4/1/24		47		51,731
Connect Finco S.a.r.l./Connect US Finco, LLC
6.75%, 10/1/26(9)		2,698		2,554,736
Crystal Almond S.a.r.l.
4.25%, 10/15/24(11)	EUR	286		317,425
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd.
8.75%, 5/25/24(9)		941		921,764
13.00%, (6.00% cash and 7.00% PIK), 12/31/25(9)		476		403,755
DKT Finance ApS
9.375%, 6/17/23(9)		201		202,759

50

Security	Principal Amount* (000’s omitted)		Value
eircom Finance DAC
3.50%, 5/15/26(11)	EUR	200	$	226,235
Equinix, Inc.
2.875%, 2/1/26	EUR	440		503,821
Hughes Satellite Systems Corp.
5.25%, 8/1/26		1,245		1,292,011
6.625%, 8/1/26		770		801,909
Intelsat Jackson Holdings S.A.
5.50%, 8/1/23(6)		995		569,364
8.00%, 2/15/24(6)(9)		490		497,762
8.50%, 10/15/24(6)(9)		1,236		747,094
LCPR Senior Secured Financing DAC
6.75%, 10/15/27(9)		786		803,048
Level 3 Financing, Inc.
5.375%, 1/15/24		2,190		2,214,408
Matterhorn Telecom S.A.
3.125%, 9/15/26(11)	EUR	200		217,215
SBA Communications Corp.
4.00%, 10/1/22		1,020		1,033,785
4.875%, 9/1/24		460		472,116
SoftBank Group Corp.
4.00%, 4/20/23(11)	EUR	200		227,732
3.125%, 9/19/25(11)	EUR	250		268,550
Sprint Capital Corp.
6.875%, 11/15/28		840		1,026,018
Sprint Communications, Inc.
7.00%, 8/15/20		1,055		1,061,045
6.00%, 11/15/22		365		385,482
Sprint Corp.
7.25%, 9/15/21		3,265		3,426,634
7.875%, 9/15/23		9,822		11,074,256
7.625%, 2/15/25		1,785		2,063,299
7.625%, 3/1/26		993		1,174,406
Summer (BC) Holdco B S.a.r.l.
5.75%, 10/31/26(11)	EUR	150		160,983
T-Mobile USA, Inc.
6.375%, 3/1/25		1,395		1,434,758
6.50%, 1/15/26		595		622,480
4.50%, 2/1/26		980		993,749
4.75%, 2/1/28		1,045		1,105,218
TalkTalk Telecom Group PLC
3.875%, 2/20/25(11)	GBP	420		504,341
Telecom Italia Capital S.A.
6.00%, 9/30/34		475		517,705
Telecom Italia SpA
2.50%, 7/19/23(11)	EUR	400		458,877
5.303%, 5/30/24(9)		1,118		1,167,622
2.75%, 4/15/25(11)	EUR	500		565,021
3.00%, 9/30/25(11)	EUR	140		160,484

51

Security	Principal Amount* (000’s omitted)		Value
ViaSat, Inc.
5.625%, 4/15/27(9)		796	$	816,748
Vodafone Group PLC
4.875% to 7/3/25, 10/3/78(11)(12)	GBP	350		452,796
VTR Comunicaciones SpA
5.125%, 1/15/28(9)(10)		590		605,045
			$	51,050,153
Transportation — 0.4%
A.P. Moller - Maersk A/S
4.50%, 6/20/29(9)		1,000	$	1,076,754
Cargo Aircraft Management, Inc.
4.75%, 2/1/28(9)		716		711,525
FedEx Corp.
4.10%, 2/1/45		500		510,019
Getlink SE
3.625%, 10/1/23(11)	EUR	200		229,076
JSL Europe S.A.
7.75%, 7/26/24(9)		1,000		992,500
Watco Cos., LLC/Watco Finance Corp.
6.50%, 6/15/27(9)		1,900		1,956,202
XPO CNW, Inc.
6.70%, 5/1/34		1,000		1,031,725
			$	6,507,801
Utilities — 1.3%
AES Corp. (The)
5.50%, 4/15/25		309	$	318,089
6.00%, 5/15/26		1,694		1,774,152
5.125%, 9/1/27		445		462,793
Calpine Corp.
5.50%, 2/1/24		285		285,888
5.75%, 1/15/25		310		314,004
5.25%, 6/1/26(9)		1,040		1,053,120
4.50%, 2/15/28(9)		1,073		1,053,343
5.125%, 3/15/28(9)		1,511		1,480,213
ENERGO-PRO AS
4.50%, 5/4/24(11)	EUR	450		482,824
NextEra Energy Operating Partners, L.P.
4.25%, 9/15/24(9)		660		661,719
4.50%, 9/15/27(9)		851		892,048
NRG Energy, Inc.
7.25%, 5/15/26		1,278		1,351,249
5.75%, 1/15/28		1,455		1,538,393
5.25%, 6/15/29(9)		673		709,749
Pattern Energy Group, Inc.
5.875%, 2/1/24(9)		970		978,386

52

Security	Principal Amount* (000’s omitted)		Value
TerraForm Power Operating, LLC
4.25%, 1/31/23(9)		655	$	660,315
5.00%, 1/31/28(9)		1,497		1,567,831
Thames Water Kemble Finance PLC
5.875%, 7/15/22(11)	GBP	200		251,316
Vistra Energy Corp.
8.125%, 1/30/26(9)		2,315		2,420,622
Vistra Operations Co., LLC
5.00%, 7/31/27(9)		1,278		1,300,684
4.30%, 7/15/29(9)		202		212,509
			$	19,769,247
Total Corporate Bonds & Notes (identified cost $776,846,883)			$	758,901,253
Foreign Government Securities — 4.5%
Security	Principal Amount* (000’s omitted)		Value
Argentina — 0.2%
Republic of Argentina
3.75% to 3/31/29, 12/31/38(6)(14)		1,583	$	627,930
6.625%, 7/6/28(6)		276		110,969
6.875%, 1/11/48(6)		4,061		1,596,988
7.625%, 4/22/46(6)		2,229		878,884
Total Argentina			$	3,214,771
Armenia — 0.1%
Republic of Armenia
3.95%, 9/26/29(11)		973	$	943,742
7.15%, 3/26/25(11)		1,167		1,314,089
Total Armenia			$	2,257,831
Bahrain — 0.3%
CBB International Sukuk Programme Co.
6.25%, 11/14/24(11)		665	$	707,700
Kingdom of Bahrain
6.75%, 9/20/29(11)		1,198		1,315,464
7.00%, 1/26/26(11)		647		720,933
7.00%, 10/12/28(11)		728		813,954
7.375%, 5/14/30(11)		1,495		1,706,841
Total Bahrain			$	5,264,892
Barbados — 0.2%
Government of Barbados
6.50%, 10/1/29(9)		3,080	$	2,816,694
Total Barbados			$	2,816,694

53

Security	Principal Amount* (000’s omitted)		Value
Belarus — 0.3%
Republic of Belarus
5.875%, 2/24/26(11)		440	$	427,526
6.378%, 2/24/31(11)		782		756,812
6.875%, 2/28/23(11)		2,615		2,627,866
Total Belarus			$	3,812,204
Benin — 0.1%
Benin Government International Bond
5.75%, 3/26/26(11)	EUR	1,928	$	2,023,850
Total Benin			$	2,023,850
Dominican Republic — 0.2%
Dominican Republic
4.50%, 1/30/30(11)		2,600	$	2,364,700
7.45%, 4/30/44(11)		868		898,380
Total Dominican Republic			$	3,263,080
Egypt — 0.5%
Arab Republic of Egypt
8.15%, 11/20/59(11)		2,338	$	2,189,888
8.50%, 1/31/47(11)		3,343		3,280,736
8.70%, 3/1/49(11)		1,463		1,440,199
8.875%, 5/29/50(11)		355		351,745
Total Egypt			$	7,262,568
Fiji — 0.2%
Republic of Fiji
6.625%, 10/2/20(11)		2,443	$	2,433,839
Total Fiji			$	2,433,839
Gabon — 0.0%(8)
Republic of Gabon
6.625%, 2/6/31(11)		276	$	247,287
Total Gabon			$	247,287
Guatemala — 0.0%(8)
Republic of Guatemala
6.125%, 6/1/50(11)		435	$	505,252
Total Guatemala			$	505,252
Honduras — 0.1%
Republic of Honduras
5.625%, 6/24/30(11)		579	$	589,856
6.25%, 1/19/27(11)		332		355,074
Total Honduras			$	944,930
Iraq — 0.0%(8)
Republic of Iraq
5.80%, 1/15/28(11)		560	$	506,072
Total Iraq			$	506,072

54

Security	Principal Amount* (000’s omitted)		Value
Jamaica — 0.2%
Jamaica Government International Bond
7.875%, 7/28/45		1,928	$	2,364,692
Total Jamaica			$	2,364,692
Jordan — 0.2%
Jordan Government International Bond
7.375%, 10/10/47(11)		2,600	$	2,680,210
Total Jordan			$	2,680,210
Lebanon — 0.0%(8)
Lebanese Republic
6.25%, 6/12/25(6)(11)		287	$	51,301
6.65%, 4/22/24(6)(11)		700		123,375
7.00%, 3/20/28(6)(11)		288		48,375
7.15%, 11/20/31(6)(11)		451		76,896
8.20%, 5/17/33(6)		156		26,286
8.25%, 5/17/34(6)		129		21,672
Total Lebanon			$	347,905
Oman — 0.0%(8)
Oman Government International Bond
6.75%, 1/17/48(11)		282	$	245,129
Total Oman			$	245,129
Romania — 0.6%
Romania Government International Bond
2.75%, 2/26/26(11)	EUR	610	$	714,747
3.375%, 1/28/50(11)	EUR	2,758		3,016,601
3.624%, 5/26/30(11)	EUR	610		741,244
4.625%, 4/3/49(11)	EUR	3,423		4,414,216
Total Romania			$	8,886,808
Seychelles — 0.1%
Republic of Seychelles
8.00%, 1/1/26(11)		1,344	$	1,203,202
Total Seychelles			$	1,203,202
Suriname — 0.1%
Suriname Government International Bond
9.25%, 10/26/26(11)		2,289	$	1,020,207
Total Suriname			$	1,020,207
Ukraine — 0.9%
Ukraine Government International Bond
0.00%, GDP-Linked, 5/31/40(9)(11)(17)		3,915	$	3,634,991
7.75%, 9/1/20(11)		700		703,143
9.75%, 11/1/28(11)		7,659		8,751,005
Total Ukraine			$	13,089,139

55

Security	Principal Amount* (000’s omitted)		Value
United Arab Emirates — 0.2%
Abu Dhabi Government International Bond
3.125%, 9/30/49(11)		2,300	$	2,400,625
Total United Arab Emirates			$	2,400,625
Total Foreign Government Securities (identified cost $66,389,180)			$	66,791,187
Sovereign Loans — 0.6%
Borrower	Principal Amount (000’s omitted)		Value
Kenya — 0.3%
Government of Kenya
Term Loan, 6.81%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(15)	$	4,500	$	4,438,174
Total Kenya			$	4,438,174
Nigeria — 0.1%
Bank of Industry Limited
Term Loan, 7.31%, (3 mo. USD LIBOR + 6.00%), Maturing April 11, 2021(15)(18)	$	950	$	879,937
Total Nigeria			$	879,937
Tanzania — 0.2%
Government of the United Republic of Tanzania
Term Loan, 5.61%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(15)	$	2,043	$	2,055,768
Term Loan, 5.78%, (6 mo. USD LIBOR + 5.20%), Maturing May 23, 2023(15)		1,457		1,464,095
Total Tanzania			$	3,519,863
Total Sovereign Loans (identified cost $8,924,346)			$	8,837,974
Mortgage Pass-Throughs — 12.7%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
3.00%, with various maturities to 2050	$	52,357	$	55,291,106
4.50%, with various maturities to 2048		1,397		1,468,969
5.50%, with maturity at 2032		450		511,820
6.50%, with various maturities to 2036		3,539		4,007,946
7.00%, with various maturities to 2036		3,300		3,756,500
7.13%, with maturity at 2023		28		28,525
7.50%, with various maturities to 2035		2,206		2,447,231
7.65%, with maturity at 2022		6		5,803

56

Security	Principal Amount (000’s omitted)		Value
8.00%, with various maturities to 2030	$	611	$	633,001
8.50%, with various maturities to 2022		91		97,010
9.00%, with various maturities to 2031		47		52,132
9.50%, with various maturities to 2025		3		3,587
			$	68,303,630
Federal National Mortgage Association:
2.90%, (COF + 1.25%), with maturity at 2036(19)	$	690	$	694,124
2.91%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(19)		1,074		1,111,337
3.00%, with maturity at 2050		19,979		21,133,114
3.924%, (1 yr. CMT + 2.265%), with maturity at 2036(19)		5,567		5,818,203
4.50%, with various maturities to 2049(20)		36,887		39,854,139
5.00%, with various maturities to 2040(20)		6,407		7,312,949
5.50%, with various maturities to 2033		661		759,858
6.00%, with various maturities to 2029		1,022		1,093,159
6.328%, (COF + 2.00%, Floor 6.328%), with maturity at 2032(19)		1,419		1,549,576
6.50%, with various maturities to 2036(20)		14,383		16,313,376
6.75%, with maturity at 2023		22		23,670
6.946%, with maturity at 2048		3,000		3,362,529
7.00%, with various maturities to 2037		3,665		4,158,859
7.50%, with various maturities to 2035		1,848		2,150,917
7.887%, with maturity at 2027(21)		151		165,554
8.00%, with various maturities to 2027		230		250,131
8.224%, with maturity at 2028(21)		40		43,925
8.232%, with maturity at 2024(21)		8		8,066
8.277%, with maturity at 2029(21)		36		39,753
8.298%, with maturity at 2027(21)		51		56,723
8.50%, with various maturities to 2037		572		643,076
9.00%, with various maturities to 2032		580		641,122
9.132%, with maturity at 2025(21)		2		2,535
9.50%, with various maturities to 2030		108		120,706
10.50%, with maturity at 2021		6		5,652
			$	107,313,053
Government National Mortgage Association:
4.00%, with maturity at 2049	$	1,654	$	1,764,185
4.50%, with maturity at 2047		4,972		5,504,760
6.00%, with maturity at 2024		240		254,220
6.50%, with maturity at 2024(20)		1,387		1,471,676
7.00%, with maturity at 2026		142		156,104
7.50%, with various maturities to 2032(20)		2,767		3,047,796
8.00%, with various maturities to 2034(20)		2,144		2,420,466
8.50%, with maturity at 2022		32		32,840
9.00%, with various maturities to 2025		298		323,494
9.50%, with various maturities to 2021		13		13,677
			$	14,989,218
Total Mortgage Pass-Throughs (identified cost $184,768,149)			$	190,605,901

57

Collateralized Mortgage Obligations — 21.4%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 24, Class J, 6.25%, 11/25/23	$	134	$	143,208
Series 1497, Class K, 7.00%, 4/15/23		100		106,987
Series 1529, Class Z, 7.00%, 6/15/23		183		196,855
Series 1620, Class Z, 6.00%, 11/15/23		117		125,202
Series 1677, Class Z, 7.50%, 7/15/23		100		108,097
Series 1702, Class PZ, 6.50%, 3/15/24		1,254		1,360,284
Series 2113, Class QG, 6.00%, 1/15/29		356		405,798
Series 2122, Class K, 6.00%, 2/15/29		70		79,735
Series 2130, Class K, 6.00%, 3/15/29		47		54,021
Series 2167, Class BZ, 7.00%, 6/15/29		57		65,722
Series 2182, Class ZB, 8.00%, 9/15/29		556		651,559
Series 2198, Class ZA, 8.50%, 11/15/29		619		718,967
Series 2458, Class ZB, 7.00%, 6/15/32		649		785,541
Series 3762, Class SH, 9.655%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(22)		646		826,336
Series 4097, Class PE, 3.00%, 11/15/40		1,060		1,078,438
Series 4273, Class PU, 4.00%, 11/15/43		2,263		2,622,113
Series 4273, Class SP, 11.54%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(22)		503		860,072
Series 4337, Class YT, 3.50%, 4/15/49		3,824		3,846,931
Series 4407, Class LN, 8.918%, (9.32% - 1 mo. USD LIBOR x 2.33), 12/15/43(22)		90		91,151
Series 4416, Class SU, 8.255%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(22)		783		795,853
Series 4452, Class ZJ, 3.00%, 11/15/44		3,160		3,181,378
Series 4584, Class PM, 3.00%, 5/15/46		2,728		2,783,831
Series 4594, Class FM, 1.173%, (1 mo. USD LIBOR + 1.00%), 6/15/46(15)		468		467,081
Series 4608, Class TV, 3.50%, 1/15/55		5,740		5,823,340
Series 4630, Class CZ, 3.00%, 12/15/43		5,625		5,676,643
Series 4637, Class CU, 3.00%, 8/15/44		5,615		5,768,565
Series 4637, Class QF, 1.173%, (1 mo. USD LIBOR + 1.00%), 4/15/44(15)(20)		9,481		9,367,499
Series 4639, Class KF, 1.473%, (1 mo. USD LIBOR + 1.30%), 12/15/44(15)		2,936		2,934,299
Series 4677, Class SB, 15.31%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47(22)		895		909,383
Series 4678, Class PC, 3.00%, 1/15/46		7,634		7,903,474
Series 4774, Class MH, 4.50%, 12/15/42		3,968		4,046,087
Series 4774, Class QD, 4.50%, 1/15/43		9,994		10,181,231
Series 4776, Class C, 4.50%, 3/15/43		2,616		2,645,405
Series 4858, Class LA, 4.50%, 8/15/43		1,869		1,878,947
Series 4859, Class GA, 4.50%, 10/15/43		4,767		4,809,058
Series 4911, Class JZ, 3.50%, 9/25/49		2,643		2,654,579
Series 4914, Class DZ, 4.00%, 9/25/49		249		249,130
Series 4980, Class ZP, 2.50%, 7/25/49		3,698		3,698,038

58

Security	Principal Amount (000’s omitted)		Value
Interest Only:(23)
Series 284, Class S6, 5.915%, (6.10% - 1 mo. USD LIBOR), 10/15/42(22)	$	3,022	$	496,314
Series 362, Class C7, 3.50%, 9/15/47		16,976		1,404,010
Series 362, Class C11, 4.00%, 12/15/47		14,055		1,488,524
Series 3973, Class SG, 6.465%, (6.65% - 1 mo. USD LIBOR), 4/15/30(22)		877		22,896
Series 4067, Class JI, 3.50%, 6/15/27		2,444		176,754
Series 4070, Class S, 5.915%, (6.10% - 1 mo. USD LIBOR), 6/15/32(22)		6,371		1,049,555
Series 4088, Class EI, 3.50%, 9/15/41		7,128		396,287
Series 4094, Class CS, 5.815%, (6.00% - 1 mo. USD LIBOR), 8/15/42(22)		2,746		504,714
Series 4095, Class HS, 5.915%, (6.10% - 1 mo. USD LIBOR), 7/15/32(22)		1,789		230,692
Series 4109, Class ES, 5.965%, (6.15% - 1 mo. USD LIBOR), 12/15/41(22)		87		23,301
Series 4110, Class SA, 5.465%, (5.65% - 1 mo. USD LIBOR), 9/15/42(22)		3,923		839,360
Series 4149, Class S, 6.065%, (6.25% - 1 mo. USD LIBOR), 1/15/33(22)		3,077		557,868
Series 4188, Class AI, 3.50%, 4/15/28		1,846		124,641
Series 4203, Class QS, 6.065%, (6.25% - 1 mo. USD LIBOR), 5/15/43(22)		4,676		918,617
Series 4408, Class IP, 3.50%, 4/15/44		4,997		401,720
Series 4435, Class BI, 3.50%, 7/15/44		10,963		962,802
Series 4629, Class QI, 3.50%, 11/15/46		5,927		389,232
Series 4644, Class TI, 3.50%, 1/15/45		6,027		308,868
Series 4653, Class PI, 3.50%, 7/15/44		2,213		42,458
Series 4667, Class PI, 3.50%, 5/15/42		7,195		203,655
Series 4676, Class DI, 4.00%, 7/15/44		10,308		308,077
Series 4744, Class IO, 4.00%, 11/15/47		8,327		821,545
Series 4749, Class IL, 4.00%, 12/15/47		3,609		365,786
Series 4767, Class IM, 4.00%, 5/15/45		5,344		169,481
Series 4793, Class SD, 6.015%, (6.20% - 1 mo. USD LIBOR), 6/15/48(22)		18,834		2,369,366
Series 4966, Class SY, 5.866%, (6.05% - 1 mo. USD LIBOR), 4/25/50(22)		31,486		5,513,401
Principal Only:(24)
Series 242, Class PO, 0.00%, 11/15/36		3,812		3,666,322
Series 259, Class PO, 0.00%, 4/15/39		2,247		2,228,515
Series 3606, Class PO, 0.00%, 12/15/39		2,563		2,432,057
Series 4417, Class KO, 0.00%, 12/15/43		530		473,762
Series 4478, Class PO, 0.00%, 5/15/45		1,752		1,659,665
Series 4754, Class JO, 0.00%, 4/15/44		1,776		1,684,068
			$	122,135,151
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2018-DNA1, Class M2, 1.985%, (1 mo. USD LIBOR + 1.80%), 7/25/30(15)	$	6,605	$	6,510,518
Series 2018-DNA2, Class M2, 2.335%, (1 mo. USD LIBOR + 2.15%), 12/25/30(9)(15)		7,000		6,878,412
			$	13,388,930

59

Security	Principal Amount (000’s omitted)		Value
Federal National Mortgage Association:
Series 2020-45, Class HZ, 2.50%, 7/25/50	$	6,034	$	6,056,355
Series 2020-46, Class KZ, 2.50%, 7/25/50		8,568		8,566,484
Series 2020-46, Class QZ, 2.50%, 3/15/48		3,000		2,997,384
Series G92-44, Class ZQ, 8.00%, 7/25/22		1		889
Series G92-46, Class Z, 7.00%, 8/25/22		35		36,716
Series G92-60, Class Z, 7.00%, 10/25/22		60		63,145
Series G93-35, Class ZQ, 6.50%, 11/25/23		1,541		1,650,723
Series G93-40, Class H, 6.40%, 12/25/23		354		377,848
Series 1991-98, Class J, 8.00%, 8/25/21		12		12,344
Series 1992-77, Class ZA, 8.00%, 5/25/22		58		60,719
Series 1992-103, Class Z, 7.50%, 6/25/22		7		7,608
Series 1992-113, Class Z, 7.50%, 7/25/22		20		21,198
Series 1992-185, Class ZB, 7.00%, 10/25/22		30		31,979
Series 1993-16, Class Z, 7.50%, 2/25/23		75		80,508
Series 1993-22, Class PM, 7.40%, 2/25/23		61		64,679
Series 1993-25, Class J, 7.50%, 3/25/23		89		95,918
Series 1993-30, Class PZ, 7.50%, 3/25/23		176		189,155
Series 1993-42, Class ZQ, 6.75%, 4/25/23		225		239,072
Series 1993-56, Class PZ, 7.00%, 5/25/23		36		39,010
Series 1993-156, Class ZB, 7.00%, 9/25/23		47		50,685
Series 1994-45, Class Z, 6.50%, 2/25/24		323		345,759
Series 1994-89, Class ZQ, 8.00%, 7/25/24		272		300,410
Series 1996-57, Class Z, 7.00%, 12/25/26		287		324,747
Series 1997-77, Class Z, 7.00%, 11/18/27		148		169,853
Series 1998-44, Class ZA, 6.50%, 7/20/28		162		184,696
Series 1999-45, Class ZG, 6.50%, 9/25/29		46		53,079
Series 2000-22, Class PN, 6.00%, 7/25/30		607		698,037
Series 2002-1, Class G, 7.00%, 7/25/23		55		59,350
Series 2002-21, Class PE, 6.50%, 4/25/32		394		463,737
Series 2005-75, Class CS, 23.462%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(22)		948		1,760,379
Series 2007-74, Class AC, 5.00%, 8/25/37		4,420		4,998,761
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(22)		468		527,451
Series 2011-109, Class PE, 3.00%, 8/25/41		2,577		2,634,895
Series 2012-134, Class ZT, 2.00%, 12/25/42		2,744		2,663,759
Series 2013-6, Class TA, 1.50%, 1/25/43		4,164		4,177,334
Series 2013-52, Class MD, 1.25%, 6/25/43		4,075		4,038,994
Series 2013-67, Class NF, 1.185%, (1 mo. USD LIBOR + 1.00%), 7/25/43(15)		2,784		2,744,272
Series 2014-64, Class PA, 3.00%, 3/25/44		2,760		2,871,585
Series 2016-22, Class ZE, 3.00%, 6/25/44		783		788,675
Series 2017-13, Class KF, 1.173%, (1 mo. USD LIBOR + 1.00%), 2/25/47(15)		350		350,068
Series 2017-15, Class LE, 3.00%, 6/25/46(20)		7,630		7,786,735
Series 2017-39, Class JZ, 3.00%, 5/25/47		737		742,906

60

Security	Principal Amount (000’s omitted)		Value
Series 2017-48, Class LG, 2.75%, 5/25/47	$	5,581	$	5,886,914
Series 2017-66, Class ZJ, 3.00%, 9/25/57		1,922		1,924,326
Series 2017-75, Class Z, 3.00%, 9/25/57		1,287		1,288,778
Series 2017-76, Class Z, 3.00%, 10/25/57		576		576,356
Series 2017-96, Class Z, 3.00%, 12/25/57		200		199,826
Series 2017-110, Class Z, 3.00%, 2/25/57		422		422,211
Series 2018-18, Class QD, 4.50%, 5/25/45		18,035		18,616,930
Series 2019-50, Class NZ, 3.50%, 9/25/49		2,596		2,600,434
Series 2019-69, Class NZ, 3.50%, 12/25/49		2,436		2,439,695
Series 2019-73, Class CZ, 3.00%, 12/25/49		1,308		1,308,750
Interest Only:(23)
Series 2010-124, Class SJ, 5.866%, (6.05% - 1 mo. USD LIBOR), 11/25/38(22)		937		28,218
Series 2011-101, Class IC, 3.50%, 10/25/26		6,168		397,724
Series 2011-101, Class IE, 3.50%, 10/25/26		1,975		125,860
Series 2012-24, Class S, 5.316%, (5.50% - 1 mo. USD LIBOR), 5/25/30(22)		982		31,205
Series 2012-33, Class CI, 3.50%, 3/25/27		3,561		216,942
Series 2012-56, Class SU, 6.566%, (6.75% - 1 mo. USD LIBOR), 8/25/26(22)		89		1,078
Series 2012-94, Class KS, 6.466%, (6.65% - 1 mo. USD LIBOR), 5/25/38(22)		3,859		229,450
Series 2012-97, Class PS, 5.966%, (6.15% - 1 mo. USD LIBOR), 3/25/41(22)		5,375		436,675
Series 2012-103, Class GS, 5.916%, (6.10% - 1 mo. USD LIBOR), 2/25/40(22)		1,951		41,143
Series 2012-118, Class IN, 3.50%, 11/25/42		7,377		860,075
Series 2012-124, Class IO, 2.624%, 11/25/42(21)		3,052		159,127
Series 2012-125, Class IG, 3.50%, 11/25/42		22,289		2,776,952
Series 2012-150, Class SK, 5.966%, (6.15% - 1 mo. USD LIBOR), 1/25/43(22)		3,806		695,220
Series 2013-12, Class SP, 5.466%, (5.65% - 1 mo. USD LIBOR), 11/25/41(22)		1,770		119,007
Series 2013-15, Class DS, 6.016%, (6.20% - 1 mo. USD LIBOR), 3/25/33(22)		7,918		1,592,904
Series 2013-16, Class SY, 5.966%, (6.15% - 1 mo. USD LIBOR), 3/25/43(22)		1,815		380,918
Series 2013-54, Class HS, 6.116%, (6.30% - 1 mo. USD LIBOR), 10/25/41(22)		1,553		116,299
Series 2013-64, Class PS, 6.066%, (6.25% - 1 mo. USD LIBOR), 4/25/43(22)		2,662		453,215
Series 2013-75, Class SC, 6.066%, (6.25% - 1 mo. USD LIBOR), 7/25/42(22)		5,416		593,447
Series 2014-32, Class EI, 4.00%, 6/25/44		1,147		141,689
Series 2014-55, Class IN, 3.50%, 7/25/44		2,746		288,925
Series 2014-89, Class IO, 3.50%, 1/25/45		3,465		267,408
Series 2015-17, Class SA, 6.016%, (6.20% - 1 mo. USD LIBOR), 11/25/43(22)		3,651		281,162
Series 2015-52, Class MI, 3.50%, 7/25/45		3,104		325,473
Series 2017-46, Class NI, 3.00%, 8/25/42		9,098		264,220
Series 2018-21, Class IO, 3.00%, 4/25/48		16,956		1,332,655
Series 2019-1, Class AS, 5.816%, (6.00% - 1 mo. USD LIBOR), 2/25/49(22)		20,405		3,512,678
Series 2019-33, Class SK, 5.866%, (6.05% - 1 mo. USD LIBOR), 7/25/49(22)		19,627		2,205,240
Series 2020-23, Class SP, 5.866%, (6.05% - 1 mo. USD LIBOR), 2/25/50(22)		9,871		1,810,940
Principal Only:(24)
Series 379, Class 1, 0.00%, 5/25/37		2,399		2,311,663
Series 2006-8, Class WQ, 0.00%, 3/25/36		3,548		3,268,330
			$	119,857,963

61

Security	Principal Amount (000’s omitted)		Value
Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	590	$	593,317
Series 2017-82, Class TZ, 2.50%, 2/16/43		23		22,748
Series 2017-121, Class DF, 0.69%, (1 mo. USD LIBOR + 0.50%), 8/20/47(15)(20)		10,249		10,246,769
Series 2017-137, Class AF, 0.69%, (1 mo. USD LIBOR + 0.50%), 9/20/47(15)(20)		5,738		5,737,153
Series 2017-141, Class KZ, 3.00%, 9/20/47		1,826		1,832,654
Series 2018-6, Class JZ, 4.00%, 1/20/48		4,571		4,832,862
Series 2018-67, Class LT, 4.50%, (13.50% - 1 mo. USD LIBOR x 2.25, Cap 4.50%), 4/20/48(22)		2,075		2,082,564
Series 2019-97, Class ZC, 3.50%, 8/20/49		4,072		4,081,302
Series 2019-108, Class KZ, 3.50%, 8/20/49		3,828		3,861,716
Series 2019-115, Class ZH, 4.00%, 9/20/49		2,978		2,988,040
Series 2019-117, Class Z, 3.50%, 9/20/49		3,653		3,656,942
Series 2019-136, Class CZ, 3.50%, 11/20/49		4,680		4,687,871
Series 2019-151, Class HZ, 3.50%, 12/20/49		7,372		7,397,098
Series 2019-153, Class MZ, 3.50%, 12/20/49		10,916		10,963,842
Interest Only:(23)
Series 2017-104, Class SD, 6.01%, (6.20% - 1 mo. USD LIBOR), 7/20/47(22)		6,733		1,186,153
			$	64,171,031
Total Collateralized Mortgage Obligations (identified cost $343,093,370)			$	319,553,075
Commercial Mortgage-Backed Securities — 5.0%
Security	Principal Amount (000’s omitted)		Value
Agate Bay Mortgage Trust
Series 2015-1, Class A4, 3.50%, 1/25/45(9)(21)	$	801	$	809,196
BAMLL Commercial Mortgage Securities Trust
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(9)(21)		795		512,529
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(9)(21)		3,205		1,973,787
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class D, 3.052%, 1/10/48(9)(21)		3,500		2,514,498
Series 2016-C7, Class D, 4.43%, 12/10/54(9)(21)		1,675		1,236,875
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48(9)		1,000		718,920
Series 2017-MDRB, Class C, 2.685%, (1 mo. USD LIBOR + 2.50%), 7/15/30(9)(15)		5,000		4,715,816
COMM Mortgage Trust
Series 2013-CR11, Class D, 5.12%, 8/10/50(9)(21)		7,400		5,480,329
Series 2015-CR22, Class D, 4.108%, 3/10/48(9)(21)		4,100		3,292,886
Credit Suisse Mortgage Trust
Series 2016-NXSR, Class C, 4.359%, 12/15/49(21)		2,770		2,501,325
Series 2016-NXSR, Class D, 4.359%, 12/15/49(9)(21)		3,000		2,252,042

62

Security	Principal Amount (000’s omitted)		Value
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust
Series 2019-01, Class M7, 1.885%, (1 mo. USD LIBOR + 1.70%), 10/15/49(9)(15)	$	213	$	199,837
Series 2019-01, Class M10, 3.435%, (1 mo. USD LIBOR + 3.25%), 10/15/49(9)(15)		120		110,085
Series 2020-01, Class M10, 3.935%, (1 mo. USD LIBOR + 3.75%), 3/25/50(9)(15)		2,000		1,847,281
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class D, 4.554%, 9/15/47(9)(21)		5,276		2,860,635
Series 2014-C25, Class D, 3.945%, 11/15/47(9)(21)		4,400		2,106,689
Series 2015-C29, Class D, 3.712%, 5/15/48(21)		2,000		1,270,749
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.425%, 8/15/46(9)(21)		7,167		5,811,760
Series 2012-CIBX, Class AS, 4.271%, 6/15/45		1,000		1,034,631
Series 2013-C13, Class D, 4.077%, 1/15/46(9)(21)		3,000		2,927,300
Series 2013-C16, Class D, 5.027%, 12/15/46(9)(21)		3,500		3,106,378
Series 2014-DSTY, Class B, 3.771%, 6/10/27(9)		2,600		2,347,394
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.151%, 7/15/50(9)(21)		2,000		1,563,432
Series 2016-C29, Class D, 3.00%, 5/15/49(9)		3,577		2,522,264
Series 2016-C32, Class D, 3.396%, 12/15/49(9)(21)		1,600		1,116,931
Morgan Stanley Capital I Trust
Series 2016-UBS12, Class D, 3.312%, 12/15/49(9)		4,489		2,967,661
Series 2017-CLS, Class A, 0.885%, (1 mo. USD LIBOR + 0.70%), 11/15/34(9)(15)		2,000		1,989,527
Series 2019-BPR, Class C, 3.235%, (1 mo. USD LIBOR + 3.05%), 5/15/36(9)(15)		1,845		1,502,368
Motel 6 Trust
Series 2017-MTL6, Class C, 1.585%, (1 mo. USD LIBOR + 1.40%), 8/15/34(9)(15)		2,407		2,296,187
RETL Trust
Series 2019-RVP, Class B, 1.735%, (1 mo. USD LIBOR + 1.55%), 3/15/36(9)(15)		735		667,319
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.57%, 5/10/45(9)(21)		3,000		2,193,314
UBS-Barclays Commercial Mortgage Trust
Series 2013-C6, Class D, 4.307%, 4/10/46(9)(21)		4,437		2,791,597
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class D, 4.276%, 7/15/46(9)(21)		3,000		858,036
Series 2015-C31, Class D, 3.852%, 11/15/48		2,475		1,755,179
Series 2015-LC22, Class C, 4.536%, 9/15/58(21)		1,250		1,181,629
Series 2016-C35, Class D, 3.142%, 7/15/48(9)		1,850		1,240,237
Series 2016-C36, Class D, 2.942%, 11/15/59(9)		1,500		845,968
Total Commercial Mortgage-Backed Securities (identified cost $91,184,651)			$	75,122,591

63

Asset-Backed Securities — 7.8%
Security	Principal Amount (000’s omitted)		Value
Alinea CLO, Ltd.
Series 2018-1A, Class E, 7.135%, (3 mo. USD LIBOR + 6.00%), 7/20/31(9)(15)	$	1,000	$	871,541
AMMC CLO 15, Ltd.
Series 2014-15A, Class ERR, 8.129%, (3 mo. USD LIBOR + 6.91%), 1/15/32(9)(15)		500		431,127
AMMC CLO XII, Ltd.
Series 2013-12A, Class ER, 6.628%, (3 mo. USD LIBOR + 6.18%), 11/10/30(9)(15)		2,000		1,583,710
Ares LII CLO, Ltd.
Series 2019-52A, Class E, 7.648%, (3 mo. USD LIBOR + 6.55%), 4/22/31(9)(15)		1,000		922,215
Ares XL CLO, Ltd.
Series 2016-40A, Class DR, 7.569%, (3 mo. USD LIBOR + 6.35%), 1/15/29(9)(15)		1,000		879,540
Ares XXXIV CLO, Ltd.
Series 2015-2A, Class ER, 7.626%, (3 mo. USD LIBOR + 6.85%), 4/17/33(9)(15)		2,000		1,811,482
Ares XXXVR CLO, Ltd.
Series 2015-35RA, Class E, 6.919%, (3 mo. USD LIBOR + 5.70%), 7/15/30(9)(15)		2,000		1,731,535
Babson CLO, Ltd.
Series 2016-1A, Class ER, 7.043%, (3 mo. USD LIBOR + 6.00%), 7/23/30(9)(15)		1,000		844,471
Bain Capital Credit CLO, Ltd.
Series 2017-2A, Class E, 7.341%, (3 mo. USD LIBOR + 6.35%), 7/25/30(9)(15)		2,000		1,684,966
Bardot CLO, Ltd.
Series 2019-2A, Class E, 8.048%, (3 mo. USD LIBOR + 6.95%), 10/22/32(9)(15)		1,850		1,712,541
Benefit Street Partners CLO XVI, Ltd.
Series 2018-16A, Class E, 7.835%, (3 mo. USD LIBOR + 6.70%), 1/17/32(9)(15)		3,000		2,683,174
Benefit Street Partners CLO XVII, Ltd.
Series 2019-17A, Class E, 7.819%, (3 mo. USD LIBOR + 6.60%), 7/15/32(9)(15)		3,000		2,745,484
Benefit Street Partners CLO XVIII, Ltd.
Series 2019-18A, Class E, 8.119%, (3 mo. USD LIBOR + 6.90%), 10/15/32(9)(15)		4,500		4,242,913
BlueMountain CLO XXIV, Ltd.
Series 2019-24A, Class E, 7.895%, (3 mo. USD LIBOR + 6.76%), 4/20/31(9)(15)		1,000		918,869
BlueMountain CLO XXV, Ltd.
Series 2019-25A, Class E, 7.919%, (3 mo. USD LIBOR + 6.70%), 7/15/32(9)(15)		4,500		4,103,089
BlueMountain CLO XXVI, Ltd.
Series 2019-26A, Class E, 8.835%, (3 mo. USD LIBOR + 7.70%), 10/20/32(9)(15)		6,500		6,255,692
BlueMountain CLO, Ltd.
Series 2016-3A, Class ER, 6.342%, (3 mo. USD LIBOR + 5.95%), 11/15/30(9)(15)		2,000		1,550,407
Series 2018-1A, Class E, 6.71%, (3 mo. USD LIBOR + 5.95%), 7/30/30(9)(15)		1,000		805,237
Canyon Capital CLO, Ltd.
Series 2016-2A, Class ER, 7.219%, (3 mo. USD LIBOR + 6.00%), 10/15/31(9)(15)		3,350		2,882,027
Series 2019-2A, Class E, 8.369%, (3 mo. USD LIBOR + 7.15%), 10/15/32(9)(15)		1,000		949,046
Carlyle Global Market Strategies CLO, Ltd.
Series 2012-3A, Class DR2, 7.811%, (3 mo. USD LIBOR + 6.50%), 1/14/32(9)(15)		2,000		1,535,321
Series 2014-4RA, Class D, 6.869%, (3 mo. USD LIBOR + 5.65%), 7/15/30(9)(15)		1,250		933,715
Series 2015-5A, Class DR, 7.835%, (3 mo. USD LIBOR + 6.70%), 1/20/32(9)(15)		1,000		842,229
Series C17A, Class DR, 6.76%, (3 mo. USD LIBOR + 6.00%), 4/30/31(9)(15)		1,750		1,421,186

64

Security	Principal Amount (000’s omitted)		Value
Cedar Funding X CLO, Ltd.
Series 2019-10A, Class E, 8.135%, (3 mo. USD LIBOR + 7.00%), 10/20/32(9)(15)	$	1,500	$	1,381,682
Cole Park CLO, Ltd.
Series 2015-1A, Class ER, 7.735%, (3 mo. USD LIBOR + 6.60%), 10/20/28(9)(15)		2,000		1,804,297
Dryden Senior Loan Fund
Series 2015-41A, Class ER, 6.519%, (3 mo. USD LIBOR + 5.30%), 4/15/31(9)(15)		2,000		1,658,954
Series 2016-42A, Class ER, 6.769%, (3 mo. USD LIBOR + 5.55%), 7/15/30(9)(15)		1,000		860,840
FOCUS Brands Funding, LLC
Series 2017-1A, Class A2I, 3.857%, 4/30/47(9)		1,571		1,490,482
Fort Washington CLO, Ltd.
Series 2019-1A, Class E, 8.385%, (3 mo. USD LIBOR + 7.25%), 10/20/32(9)(15)		1,500		1,365,276
Galaxy XIX CLO, Ltd.
Series 2015-19A, Class D2R, 8.02%, (3 mo. USD LIBOR + 7.00%), 7/24/30(9)(15)		1,600		1,450,531
Galaxy XV CLO, Ltd.
Series 2013-15A, Class ER, 7.864%, (3 mo. USD LIBOR + 6.65%), 10/15/30(9)(15)		3,275		2,909,329
Galaxy XXI CLO, Ltd.
Series 2015-21A, Class ER, 6.385%, (3 mo. USD LIBOR + 5.25%), 4/20/31(9)(15)		1,100		906,730
Galaxy XXV CLO, Ltd.
Series 2018-25A, Class E, 6.941%, (3 mo. USD LIBOR + 5.95%), 10/25/31(9)(15)		1,000		863,084
Golub Capital Partners CLO 37B, Ltd.
Series 2018-37A, Class E, 6.885%, (3 mo. USD LIBOR + 5.75%), 7/20/30(9)(15)		3,000		2,529,633
Kayne CLO 5, Ltd.
Series 2019-5A, Class E, 7.72%, (3 mo. USD LIBOR + 6.70%), 7/24/32(9)(15)		4,550		4,310,600
Madison Park Funding XVII, Ltd.
Series 2015-17A, Class ER, 7.609%, (3 mo. USD LIBOR + 6.50%), 7/21/30(9)(15)		2,000		1,744,306
Madison Park Funding XXXVI, Ltd.
Series 2019-36A, Class E, 9.192%, (3 mo. USD LIBOR + 7.25%), 1/15/33(9)(15)		1,500		1,448,930
Madison Park Funding XXXVII, Ltd.
Series 2019-37A, Class E, 7.769%, (3 mo. USD LIBOR + 6.55%), 7/15/32(9)(15)		5,500		5,149,690
Magnetite XXII, Ltd.
Series 2019-22A, Class E, 7.969%, (3 mo. USD LIBOR + 6.75%), 4/15/31(9)(15)		1,500		1,435,377
Magnetite XXIV, Ltd.
Series 2019-24A, Class E, 8.857%, (3 mo. USD LIBOR + 6.95%), 1/15/33(9)(15)		3,000		2,856,535
MVW Owner Trust
Series 2014-1A, Class A, 2.25%, 9/22/31(9)		304		302,275
Neuberger Berman CLO XXII, Ltd.
Series 2016-22A, Class ER, 7.195%, (3 mo. USD LIBOR + 6.06%), 10/17/30(9)(15)		1,500		1,338,640
Neuberger Berman Loan Advisers CLO 30, Ltd.
Series 2018-30A, Class E, 7.885%, (3 mo. USD LIBOR + 6.75%), 1/20/31(9)(15)		2,000		1,873,627
Neuberger Berman Loan Advisers CLO 31, Ltd.
Series 2019-31A, Class E, 7.885%, (3 mo. USD LIBOR + 6.75%), 4/20/31(9)(15)		1,000		941,052
Neuberger Berman Loan Advisers CLO 33, Ltd.
Series 2019-33A, Class E, 7.976%, (3 mo. USD LIBOR + 6.80%), 10/16/32(9)(15)		2,250		2,130,556
Oaktree CLO, Ltd.
Series 2019-3A, Class E, 7.905%, (3 mo. USD LIBOR + 6.77%), 7/20/31(9)(15)		3,625		3,259,149

65

Security	Principal Amount (000’s omitted)		Value
Palmer Square CLO, Ltd.
Series 2013-2A, Class DRR, 6.985%, (3 mo. USD LIBOR + 5.85%), 10/17/31(9)(15)	$	2,000	$	1,760,042
Series 2018-2A, Class D, 6.776%, (3 mo. USD LIBOR + 5.60%), 7/16/31(9)(15)		1,000		878,697
Series 2019-1A, Class D, 7.424%, (3 mo. USD LIBOR + 7.00%), 11/14/32(9)(15)		2,000		1,918,770
Purchasing Power Funding, LLC
Series 2018-A, Class A, 3.34%, 8/15/22(9)		1,657		1,659,544
Regatta IX Funding, Ltd.
Series 2017-1A, Class E, 7.135%, (3 mo. USD LIBOR + 6.00%), 4/17/30(9)(15)		450		390,454
Regatta XII Funding, Ltd.
Series 2019-1A, Class E, 8.069%, (3 mo. USD LIBOR + 6.85%), 10/15/32(9)(15)		2,000		1,867,272
Regatta XIII Funding, Ltd.
Series 2018-2A, Class D, 7.169%, (3 mo. USD LIBOR + 5.95%), 7/15/31(9)(15)		2,000		1,715,201
Regatta XIV Funding, Ltd.
Series 2018-3A, Class E, 6.941%, (3 mo. USD LIBOR + 5.95%), 10/25/31(9)(15)		1,000		858,794
Regatta XVI Funding, Ltd.
Series 2019-2A, Class E, 8.135%, (3 mo. USD LIBOR + 7.00%), 1/15/33(9)(15)		1,800		1,711,829
Southwick Park CLO, LLC
Series 2019-4A, Class E, 7.835%, (3 mo. USD LIBOR + 6.70%), 7/20/32(9)(15)		6,000		5,608,792
Vibrant CLO IX, Ltd.
Series 2018-9A, Class D, 7.385%, (3 mo. USD LIBOR + 6.25%), 7/20/31(9)(15)		1,000		733,408
Vibrant CLO XI, Ltd.
Series 2019-11A, Class D, 7.905%, (3 mo. USD LIBOR + 6.77%), 7/20/32(9)(15)		575		483,126
Voya CLO, Ltd.
Series 2015-3A, Class DR, 7.335%, (3 mo. USD LIBOR + 6.20%), 10/20/31(9)(15)		3,000		2,481,018
Series 2016-3A, Class DR, 7.215%, (3 mo. USD LIBOR + 6.08%), 10/18/31(9)(15)		1,400		1,137,106
Series 2019-4A, Class E, 8.699%, (3 mo. USD LIBOR + 7.48%), 1/15/33(9)(15)		3,000		2,882,478
Wellfleet CLO, Ltd.
Series 2020-1A, Class D, 8.422%, (3 mo. USD LIBOR + 7.24%), 4/15/33(9)(15)		2,000		1,927,239
Total Asset-Backed Securities (identified cost $127,185,080)			$	116,366,862
Common Stocks — 0.4%
Security	Shares		Value
Aerospace and Defense — 0.0%(8)
IAP Global Services, LLC(3)(25)(26)		31	$	463,611
			$	463,611
Automotive — 0.0%(8)
Dayco Products, LLC(25)(26)		27,250	$	204,375
			$	204,375
Business Equipment and Services — 0.0%(8)
Crossmark Holdings, Inc.(25)(26)		4,883	$	280,772
			$	280,772

66

Security	Shares		Value
Electronics/Electrical — 0.0%(8)
Answers Corp.(3)(25)(26)		78,756	$	145,699
			$	145,699
Oil and Gas — 0.1%
AFG Holdings, Inc.(3)(25)(26)		29,751	$	712,239
Fieldwood Energy, Inc.(25)(26)		10,085		1,009
McDermott International, Inc.(25)(26)		93,940		328,790
Nine Point Energy Holdings, Inc.(3)(26)(27)		29,787		0
RDV Resources, Inc., Class A(3)(25)(26)		27,724		0
Samson Resources II, LLC, Class A(25)		45,294		826,615
Sunrise Oil & Gas, Inc., Class A(25)(26)		15,647		109,529
			$	1,978,182
Publishing — 0.2%
ION Media Networks, Inc.(3)(25)		5,187	$	2,152,761
Tweddle Group, Inc.(3)(25)(26)		5,433		15,701
			$	2,168,462
Radio and Television — 0.1%
Clear Channel Outdoor Holdings, Inc.(25)(26)		74,443	$	77,420
Cumulus Media, Inc., Class A(25)(26)		50,522		199,562
iHeartMedia, Inc., Class A(25)(26)		31,657		264,336
			$	541,318
Retailers (Except Food and Drug) — 0.0%(8)
David’s Bridal, LLC(3)(25)(26)		40,851	$	367,659
			$	367,659
Total Common Stocks (identified cost $7,781,655)			$	6,150,078
Convertible Bonds — 0.3%
Security	Principal Amount (000’s omitted)		Value
Electronics/Electrical — 0.1%
Western Digital Corp., 1.50%, 2/1/24	$	793	$	749,412
			$	749,412
Pipelines — 0.1%
Cheniere Energy Partners, L.P., 4.875%, 5/28/21(9)(16)	$	1,722	$	1,747,314
			$	1,747,314
Transportation — 0.1%
Atlas Air Worldwide Holdings, Inc., 2.25%, 6/1/22	$	1,700	$	1,622,731
			$	1,622,731
Total Convertible Bonds (identified cost $4,037,492)			$	4,119,457

67

Convertible Preferred Stocks — 0.0%
Security	Shares		Value
Oil and Gas — 0.0%
Nine Point Energy Holdings, Inc., Series A, 12.00%(3)(26)(27)		555	$	0
Total Convertible Preferred Stocks (identified cost $555,000)			$	0
Preferred Stocks — 0.1%
Security	Shares		Value
Building and Development — 0.1%
Brookfield Property Partners, L.P., 5.75%(25)		40,000	$	662,400
			$	662,400
Financial Services — 0.0%(8)
DBI Investors, Inc., Series A-1(3)(25)(26)		1,932	$	174,189
			$	174,189
Pipelines — 0.0%(8)
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(12)		31,500	$	510,930
			$	510,930
Retailers (Except Food and Drug) — 0.0%(8)
David’s Bridal, LLC, Series A, 8.00% (PIK)(3)(25)(26)		1,136	$	90,880
David’s Bridal, LLC, Series B, 10.00% (PIK)(3)(25)(26)		4,631		374,926
			$	465,806
Total Preferred Stocks (identified cost $2,077,376)			$	1,813,325
Closed-End Funds — 1.4%
Security	Shares		Value
BlackRock Corporate High Yield Fund, Inc.		2,141,231	$	21,776,319
Total Closed-End Funds (identified cost $25,849,718)			$	21,776,319
Warrants — 0.0%
Security	Shares		Value
Retailers (Except Food and Drug) — 0.0%
David’s Bridal, LLC, Exp. 11/26/22(3)(25)(26)		8	$	0
Total Warrants (identified cost $0)			$	0

68

Miscellaneous — 0.0%(8)
Security	Amount/ Shares		Value
Cable and Satellite Television — 0.0%
ACC Claims Holdings, LLC(3)(26)		2,257,600	$	0
			$	0
Oil and Gas — 0.0%(8)
Paragon Offshore Finance Company, Class A(25)(26)		2,021	$	606
Paragon Offshore Finance Company, Class B(25)(26)		1,011		12,385
			$	12,991
Total Miscellaneous (identified cost $21,988)			$	12,991
Short-Term Investments — 1.8%
U.S. Treasury Obligations — 0.0%(8)
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 7/2/20(28)	$	500	$	499,999
Total U.S. Treasury Obligations (identified cost $499,999)			$	499,999
Other — 1.8%
Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 0.35%(29)		26,722,069	$	26,722,069
Total Other (identified cost $26,722,098)			$	26,722,069
Total Short-Term Investments (identified cost $27,222,097)			$	27,222,068
Total Investments — 155.4% (identified cost $2,461,377,402)			$	2,328,787,933
Less Unfunded Loan Commitments — (0.1)%			$	(1,176,632	)
Net Investments — 155.3% (identified cost $2,460,200,770)			$	2,327,611,301

69

	Value
Other Assets, Less Liabilities — (40.9)%	$	(613,158,817	)
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (14.4)%	$	(216,000,000	)
Net Assets Applicable to Common Shares — 100.0%	$	1,498,452,484

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

* In U.S. dollars unless otherwise indicated.

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

(2) Unfunded or partially unfunded loan commitments. The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At June 30, 2020, the total value of unfunded loan commitments is $1,177,718.

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

(4) This Senior Loan will settle after June 30, 2020, at which time the interest rate will be determined.

(5) The stated interest rate represents the weighted average interest rate at June 30, 2020 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.

(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) Fixed-rate loan.

(8) Amount is less than 0.05%.

(9) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2020, the aggregate value of these securities is $640,098,633 or 42.7% of the Fund’s net assets applicable to common shares.

(10) When-issued security. For a variable rate security, interest rate will be determined after June 30, 2020.

(11) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At June 30, 2020, the aggregate value of these securities is $100,054,390 or 6.7% of the Fund’s net assets applicable to common shares.

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

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

(14) Step coupon security. Interest rate represents the rate in effect at June 30, 2020.

(15) Variable rate security. The stated interest rate represents the rate in effect at June 30, 2020.

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

70

(17) Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s 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.

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

(19) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at June 30, 2020.

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

(21) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2020.

(22) Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at June 30, 2020.

(23) 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.

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

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

(26) Non-income producing security.

(27) Restricted security.

(28) Security (or a portion thereof) has been pledged to cover margin requirements on open financial futures contracts.

(29) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2020.

Centrally Cleared Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold					Settlement Date		Value/ Unrealized Appreciation (Depreciation)
EUR	1,780,945	USD	2,003,029					7/6/20	$	(1,975	)
USD	1,924,649	EUR	1,780,945					7/6/20		(76,404	)
EUR	19,140	USD	20,882					7/17/20		629
EUR	273,518	USD	308,482					7/17/20		(1,087	)
USD	330,069	EUR	292,658					7/17/20		1,162
USD	3,101,780	EUR	2,844,286					7/17/20		(94,794	)
USD	2,004,249	EUR	1,780,945					8/3/20		1,969
USD	5,046,508	EUR	4,641,043					8/7/20		(171,780	)
									$	(342,280	)
Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	1,243,196	USD	1,403,374	Bank of America, N.A.		7/2/20	$	—	$	(6,644	)
EUR	631,680	USD	704,027	Goldman Sachs International		7/2/20		5,665		—
EUR	1,581,824	USD	1,777,776	Goldman Sachs International		7/2/20		—		(597	)
EUR	28,169,930	USD	31,639,057	Standard Chartered Bank		7/2/20		9,848		—
USD	238,463	EUR	210,901	Bank of America, N.A.		7/2/20		1,516		—
USD	407,247	EUR	362,690	Bank of America, N.A.		7/2/20		—		(236	)
USD	709,967	EUR	631,680	Goldman Sachs International		7/2/20		275		—
USD	745,246	EUR	669,604	Goldman Sachs International		7/2/20		—		(7,054	)

71

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	1,761,196	EUR	1,581,824	Goldman Sachs International		7/2/20	$	—	$	(15,982	)
USD	31,353,193	EUR	28,169,930	Standard Chartered Bank		7/2/20		—		(295,711	)
EUR	115,000	USD	129,126	State Street Bank and Trust Company		7/6/20		87		—
EUR	228,837	USD	247,849	Bank of America, N.A.		7/31/20		9,411		—
EUR	194,742	USD	210,876	Bank of America, N.A.		7/31/20		8,054		—
EUR	68,636	USD	77,939	Bank of America, N.A.		7/31/20		—		(778	)
EUR	92,131	USD	101,095	Citibank, N.A.		7/31/20		2,480		—
EUR	303,359	USD	340,167	Citibank, N.A.		7/31/20		871		—
EUR	189,514	USD	206,951	HSBC Bank USA, N.A.		7/31/20		6,101		—
GBP	328,155	USD	408,192	HSBC Bank USA, N.A.		7/31/20		—		(1,498	)
GBP	219,993	USD	274,577	HSBC Bank USA, N.A.		7/31/20		—		(1,932	)
GBP	134,894	USD	166,778	State Street Bank and Trust Company		7/31/20		401		—
USD	121,806	EUR	108,452	Bank of America, N.A.		7/31/20		—		(116	)
USD	220,410	EUR	203,643	Bank of America, N.A.		7/31/20		—		(8,527	)
USD	3,243,568	EUR	2,987,000	Bank of America, N.A.		7/31/20		—		(114,432	)
USD	7,770,665	EUR	7,156,000	Bank of America, N.A.		7/31/20		—		(274,147	)
USD	728,355	EUR	641,326	Citibank, N.A.		7/31/20		7,372		—
USD	136,138	EUR	124,170	Citibank, N.A.		7/31/20		—		(3,455	)
USD	3,243,476	EUR	2,987,000	Goldman Sachs International		7/31/20		—		(114,525	)
USD	7,770,443	EUR	7,156,000	Goldman Sachs International		7/31/20		—		(274,369	)
USD	24,835,754	EUR	22,872,999	Goldman Sachs International		7/31/20		—		(878,189	)
USD	86,650	EUR	76,842	HSBC Bank USA, N.A.		7/31/20		263		—
USD	109,122	EUR	96,500	State Street Bank and Trust Company		7/31/20		636		—
USD	232,384	EUR	206,144	State Street Bank and Trust Company		7/31/20		635		—
USD	151,540	EUR	134,544	State Street Bank and Trust Company		7/31/20		285		—
USD	129,196	EUR	115,000	State Street Bank and Trust Company		7/31/20		—		(88	)
USD	226,056	EUR	201,875	State Street Bank and Trust Company		7/31/20		—		(893	)
USD	322,441	EUR	288,408	State Street Bank and Trust Company		7/31/20		—		(1,789	)
USD	108,412	EUR	98,487	State Street Bank and Trust Company		7/31/20		—		(2,307	)
USD	107,764	EUR	98,689	State Street Bank and Trust Company		7/31/20		—		(3,183	)
USD	101,027	EUR	93,002	State Street Bank and Trust Company		7/31/20		—		(3,527	)
USD	105,483	EUR	96,999	State Street Bank and Trust Company		7/31/20		—		(3,563	)
USD	108,433	EUR	100,000	State Street Bank and Trust Company		7/31/20		—		(3,987	)
USD	107,271	EUR	99,000	State Street Bank and Trust Company		7/31/20		—		(4,025	)
USD	200,367	EUR	182,297	State Street Bank and Trust Company		7/31/20		—		(4,572	)
USD	310,716	EUR	280,996	State Street Bank and Trust Company		7/31/20		—		(5,181	)
USD	140,354	EUR	129,536	State Street Bank and Trust Company		7/31/20		—		(5,271	)
USD	222,071	EUR	204,451	State Street Bank and Trust Company		7/31/20		—		(7,774	)
USD	216,252	EUR	199,339	State Street Bank and Trust Company		7/31/20		—		(7,845	)
USD	605,278	EUR	557,252	State Street Bank and Trust Company		7/31/20		—		(21,188	)
USD	1,839,469	EUR	1,693,985	State Street Bank and Trust Company		7/31/20		—		(64,917	)
USD	4,408,886	EUR	4,060,186	State Street Bank and Trust Company		7/31/20		—		(155,595	)
USD	2,736,002	GBP	2,199,415	Bank of America, N.A.		7/31/20		10,189		—
USD	140,037	GBP	111,726	Bank of America, N.A.		7/31/20		1,571		—
USD	317,895	GBP	256,251	Bank of America, N.A.		7/31/20		314		—
USD	10,342	GBP	8,251	Bank of America, N.A.		7/31/20		116		—
USD	316,661	GBP	250,000	Citibank, N.A.		7/31/20		6,827		—
USD	452,862	GBP	363,901	HSBC Bank USA, N.A.		7/31/20		1,867		—
USD	312,688	GBP	252,806	HSBC Bank USA, N.A.		7/31/20		—		(624	)
USD	2,488,056	GBP	2,000,000	State Street Bank and Trust Company		7/31/20		9,386		—
USD	452,226	GBP	363,581	State Street Bank and Trust Company		7/31/20		1,627		—
USD	321,303	GBP	258,288	State Street Bank and Trust Company		7/31/20		1,197		—
USD	6,651	GBP	5,461	State Street Bank and Trust Company		7/31/20		—		(117	)
USD	25,754	GBP	21,146	State Street Bank and Trust Company		7/31/20		—		(453	)

72

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	631,680	USD	710,457	Goldman Sachs International		8/4/20	$	—	$	(257	)
USD	31,661,083	EUR	28,169,930	Standard Chartered Bank		8/4/20		—		(10,488	)
USD	4,757,387	GBP	3,885,775	State Street Bank and Trust Company		8/28/20		—		(59,105	)
USD	29,896,132	EUR	26,986,180	HSBC Bank USA, N.A.		8/31/20		—		(462,516	)
USD	1,685,299	EUR	1,530,250	State Street Bank and Trust Company		8/31/20		—		(36,187	)
							$	86,994	$	(2,863,644	)

Futures Contracts

Description	Number of Contracts			Position		Expiration Date		Notional Amount			Value/Unrealized Appreciation (Depreciation)
Interest Rate Futures
U.S. 10-Year Treasury Note		208			Long		9/21/20	$	28,947,750		$	118,911
U.S. Long Treasury Bond		134			Long		9/21/20		23,927,375			198,588
U.S. Ultra 10-Year Treasury Note		205			Long		9/21/20		32,284,297			130,861
5-Year Deliverable Interest Rate Swap		(4	)		Short		9/14/20		(403,219	)		(2,875	)
10-Year Deliverable Interest Rate Swap		(4	)		Short		9/14/20		(403,812	)		(7,125	)
U.S. Long Treasury Bond		(2	)		Short		9/21/20		(357,125	)		(2,875	)
Euro-Bobl		(16	)		Short		9/8/20		(2,426,400	)		(14,920	)
Euro-Bund		(3	)		Short		9/8/20		(594,960	)		(8,292	)
											$	412,273

Centrally Cleared Interest Rate Swaps

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
EUR	950	Receives	6-month EURIBOR (pays semi-annually)	(0.53)% (pays annually)		8/22/24	$	10,274		$	—		$	10,274
EUR	246	Receives	6-month EURIBOR (pays semi-annually)	0.37% (pays annually)		2/12/50		(28,175	)		—			(28,175	)
EUR	207	Receives	6-month EURIBOR (pays semi-annually)	0.38% (pays annually)		2/13/50		(24,165	)		3			(24,162	)
EUR	242	Receives	6-month EURIBOR (pays semi-annually)	0.39% (pays annually)		2/13/50		(28,626	)		—			(28,626	)
EUR	61	Receives	6-month EURIBOR (pays semi-annually)	0.38% (pays annually)		2/13/50		(7,144	)		—			(7,144	)
EUR	104	Receives	6-month EURIBOR (pays semi-annually)	0.39% (pays annually)		2/14/50		(12,568	)		—			(12,568	)
EUR	525	Receives	6-month EURIBOR (pays semi-annually)	0.32% (pays annually)		2/21/50		(50,901	)		—			(50,901	)
EUR	1,500	Receives	6-month EURIBOR (pays semi-annually)	0.26% (pays annually)		2/25/50		(116,228	)		—			(116,228	)
EUR	260	Receives	6-month EURIBOR (pays semi-annually)	0.21% (pays annually)		2/26/50		(15,678	)		(2	)		(15,680	)
EUR	681	Receives	6-month EURIBOR (pays semi-annually)	0.12% (pays annually)		6/8/50		(20,524	)		—			(20,524	)
USD	760	Receives	3-month USD-LIBOR (pays quarterly)	1.93% (pays semi-annually)		11/3/20		(5,669	)		—			(5,669	)

73

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
USD	100	Receives	3-month USD-LIBOR (pays quarterly)	1.96% (pays semi-annually)		11/17/20	$	(806	)	$	(34	)	$	(840	)
USD	2,680	Receives	3-month USD-LIBOR (pays quarterly)	0.55% (pays semi-annually)		3/12/23		(27,169	)		—			(27,169	)
USD	200	Receives	3-month USD-LIBOR (pays quarterly)	1.49% (pays semi-annually)		1/28/25		(11,691	)		—			(11,691	)
USD	461	Receives	3-month USD-LIBOR (pays quarterly)	1.46% (pays semi-annually)		1/30/25		(26,494	)		—			(26,494	)
USD	800	Receives	3-month USD-LIBOR (pays quarterly)	1.41% (pays semi-annually)		2/3/25		(44,322	)		—			(44,322	)
USD	260	Receives	3-month USD-LIBOR (pays quarterly)	1.44% (pays semi-annually)		2/18/25		(14,810	)		—			(14,810	)
USD	200	Receives	3-month USD-LIBOR (pays quarterly)	1.16% (pays semi-annually)		2/28/25		(8,672	)		—			(8,672	)
USD	120	Receives	3-month USD-LIBOR (pays quarterly)	0.83% (pays semi-annually)		3/5/25		(3,210	)		—			(3,210	)
USD	850	Receives	3-month USD-LIBOR (pays quarterly)	0.43% (pays semi-annually)		4/30/25		(3,775	)		—			(3,775	)
USD	562	Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)		5/12/25		(304	)		—			(304	)
USD	150	Receives	3-month USD-LIBOR (pays quarterly)	0.34% (pays semi-annually)		5/15/25		(148	)		—			(148	)
USD	140	Receives	3-month USD-LIBOR (pays quarterly)	0.34% (pays semi-annually)		5/19/25		(100	)		—			(100	)
USD	452	Receives	3-month USD-LIBOR (pays quarterly)	0.39% (pays semi-annually)		6/19/25		(1,498	)		—			(1,498	)
USD	2,240	Receives	3-month USD-LIBOR (pays quarterly)	1.74% (pays semi-annually)		12/16/26		(189,745	)		—			(189,745	)
USD	1,700	Receives	3-month USD-LIBOR (pays quarterly)	0.57% (pays semi-annually)		4/17/27		(11,360	)		—			(11,360	)
USD	138	Receives	3-month USD-LIBOR (pays quarterly)	0.50% (pays semi-annually)		5/26/27		(459	)		—			(459	)
USD	153	Receives	3-month USD-LIBOR (pays quarterly)	0.49% (pays semi-annually)		6/3/27		(376	)		—			(376	)
USD	5,222	Receives	3-month USD-LIBOR (pays quarterly)	2.09% (pays semi-annually)		7/15/29		(726,924	)		1,602			(725,322	)
USD	800	Receives	3-month USD-LIBOR (pays quarterly)	1.76% (pays semi-annually)		12/12/29		(85,886	)		—			(85,886	)
USD	370	Receives	3-month USD-LIBOR (pays quarterly)	1.58% (pays semi-annually)		2/14/30		(35,490	)		—			(35,490	)
USD	890	Receives	3-month USD-LIBOR (pays quarterly)	1.56% (pays semi-annually)		2/18/30		(83,398	)		—			(83,398	)
USD	570	Receives	3-month USD-LIBOR (pays quarterly)	0.80% (pays semi-annually)		4/15/30		(8,786	)		—			(8,786	)
USD	511	Receives	3-month USD-LIBOR (pays quarterly)	0.60% (pays semi-annually)		5/12/30		1,230			—			1,230
USD	163	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		5/26/30		(584	)		—			(584	)
USD	173	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/1/30		(1,072	)		—			(1,072	)
USD	1,850	Receives	3-month USD-LIBOR (pays quarterly)	0.66% (pays semi-annually)		6/2/30		(5,081	)		—			(5,081	)

74

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
USD	511	Receives	3-month USD-LIBOR (pays quarterly)	0.80% (pays semi-annually)		6/11/30	$	(8,146	)	$	—		$	(8,146	)
USD	68	Receives	3-month USD-LIBOR (pays quarterly)	0.77% (pays semi-annually)		6/12/30		(939	)		—			(939	)
USD	375	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/16/30		(2,159	)		—			(2,159	)
USD	313	Receives	3-month USD-LIBOR (pays quarterly)	0.74% (pays semi-annually)		6/18/30		(3,206	)		—			(3,206	)
USD	480	Receives	3-month USD-LIBOR (pays quarterly)	0.72% (pays semi-annually)		6/19/30		(3,864	)		—			(3,864	)
USD	634	Receives	3-month USD-LIBOR (pays quarterly)	0.72% (pays semi-annually)		6/19/30		(5,569	)		—			(5,569	)
USD	43	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		6/26/30		(154	)		—			(154	)
USD	1,280	Receives	3-month USD-LIBOR (pays quarterly)	2.88% (pays semi-annually)		1/31/49		(650,448	)		(642	)		(651,090	)
USD	128	Receives	3-month USD-LIBOR (pays quarterly)	1.71% (pays semi-annually)		8/27/49		(26,968	)		—			(26,968	)
USD	148	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		8/27/49		(30,755	)		—			(30,755	)
USD	160	Receives	3-month USD-LIBOR (pays quarterly)	1.65% (pays semi-annually)		8/28/49		(30,922	)		—			(30,922	)
USD	85	Receives	3-month USD-LIBOR (pays quarterly)	1.54% (pays semi-annually)		8/30/49		(13,998	)		—			(13,998	)
USD	88	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		9/12/49		(18,160	)		—			(18,160	)
USD	1,400	Receives	3-month USD-LIBOR (pays quarterly)	1.87% (pays semi-annually)		10/25/49		(347,420	)		—			(347,420	)
USD	92	Receives	3-month USD-LIBOR (pays quarterly)	1.82% (pays semi-annually)		12/6/49		(21,937	)		—			(21,937	)
USD	91	Receives	3-month USD-LIBOR (pays quarterly)	1.81% (pays semi-annually)		12/6/49		(21,558	)		—			(21,558	)
USD	19	Receives	3-month USD-LIBOR (pays quarterly)	1.94% (pays semi-annually)		1/9/50		(5,229	)		—			(5,229	)
USD	210	Receives	3-month USD-LIBOR (pays quarterly)	0.79% (pays semi-annually)		4/23/50		7,251			—			7,251
USD	92	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		5/22/50		(349	)		—			(349	)
USD	1,650	Receives	3-month USD-LIBOR (pays quarterly)	0.96% (pays semi-annually)		6/2/50		(18,371	)		—			(18,371	)
USD	383	Receives	3-month USD-LIBOR (pays quarterly)	1.10% (pays semi-annually)		6/11/50		(18,596	)		—			(18,596	)
USD	347	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		(1,033	)		—			(1,033	)
USD	316	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		(563	)		—			(563	)
USD	121	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/16/50		(1,624	)		—			(1,624	)
USD	280	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/17/50		(3,956	)		—			(3,956	)
Total							$	(2,819,007	)	$	927		$	(2,818,080	)

75

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
Brazil	$	950	1.00% (pays quarterly)(1)		6/20/25		2.50	%	$	(66,690	)	$	87,308		$	20,618
Brazil		2,450	1.00% (pays quarterly)(1)		6/20/30		3.16			(444,022	)		520,810			76,788
Colombia		3,725	1.00% (pays quarterly)(1)		6/20/25		1.58			(103,195	)		333,100			229,905
Indonesia		3,750	1.00% (pays quarterly)(1)		6/20/25		1.32			(56,349	)		175,716			119,367
Mexico		2,640	1.00% (pays quarterly)(1)		6/20/30		2.18			(275,869	)		305,647			29,778
Philippines		3,100	1.00% (pays quarterly)(1)		6/20/25		0.66			52,855			(42,180	)		10,675
South Africa		1,840	1.00% (pays quarterly)(1)		6/20/21		1.72			(12,338	)		21,417			9,079
Turkey		2,000	1.00% (pays quarterly)(1)		6/20/21		3.44			(46,391	)		90,175			43,784
Turkey		2,400	1.00% (pays quarterly)(1)		6/20/25		4.85			(400,650	)		427,188			26,538
Total	$	22,855							$	(1,352,649	)	$	1,919,181		$	566,532

Credit Default Swaps — Sell Protection

Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Bahamas	Deutsche Bank AG	$	1,150	1.00% (pays quarterly)(1)		6/20/22		8.52	%	$	(154,314	)	$	40,719	$	(113,595	)
Total		$	1,150							$	(154,314	)	$	40,719	$	(113,595	)

* If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At June 30, 2020, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $24,005,000.

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

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

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

76

Abbreviations:

CMT	-	Constant Maturity Treasury
COF	-	Cost of Funds 11th District
DIP	-	Debtor In Possession
EURIBOR	-	Euro Interbank Offered Rate
GDP	-	Gross Domestic Product
LIBOR	-	London Interbank Offered Rate
PIK	-	Payment In Kind

Currency Abbreviations:

EUR	-	Euro
GBP	-	British Pound Sterling
USD	-	United States Dollar

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.

At June 30, 2020, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of June 30, 2020 were as follows:

Counterparty	Trade Date		Maturity Date		Interest Rate			Principal Amount		Value Including Accrued Interest		U.S. Government Agency Securities Pledged as Collateral
Bank of America		6/23/20		7/23/20		0.30	%	$	10,428,926	$	10,429,621	$	11,062,393
Bank of America		6/23/20		7/23/20		0.35			30,821,367		30,823,764		33,138,158
Bank of Montreal		6/23/20		7/23/20		0.28			18,218,410		18,219,544		19,496,418
Total								$	59,468,703	$	59,472,929	$	63,696,969

The Fund also pledged cash of $2,492,942 and $270,000 to Bank of America and Bank of Montreal, respectively, as additional collateral for its reverse repurchase agreements. At June 30, 2020, the remaining contractual maturity of all reverse repurchase agreements was less than 30 days.

77

Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at June 30, 2020. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy at June 30, 2020.

Restricted Securities

At June 30, 2020, the Fund owned the following securities 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	$	0
Convertible Preferred Stocks
Nine Point Energy Holdings, Inc., Series A, 12.00%		5/26/17		555	$	555,000	$	0
Total Restricted Securities					$	1,925,397	$	0

At June 30, 2020, the value of the Fund’s investment in affiliated funds was $26,722,069, which represents 1.8% of the Fund’s net assets applicable to common shares. Transactions in affiliated funds by the Fund for the fiscal year to date ended June 30, 2020 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	$	24,661,698	$	237,091,859	$	(235,042,107	)	$	11,053	$	(434	)	$	26,722,069	$	29,558		26,722,069

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

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

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

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

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

78

At June 30, 2020, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1			Level 2			Level 3*		Total
Senior Floating-Rate Loans (Less Unfunded Loan Commitments)	$	—		$	729,777,124		$	561,096	$	730,338,220
Corporate Bonds & Notes		—			758,901,253			—		758,901,253
Foreign Government Securities		—			66,791,187			—		66,791,187
Sovereign Loans		—			8,837,974			—		8,837,974
Mortgage Pass-Throughs		—			190,605,901			—		190,605,901
Collateralized Mortgage Obligations		—			319,553,075			—		319,553,075
Commercial Mortgage-Backed Securities		—			75,122,591			—		75,122,591
Asset-Backed Securities		—			116,366,862			—		116,366,862
Common Stocks		541,318			1,751,090			3,857,670		6,150,078
Convertible Bonds		—			4,119,457			—		4,119,457
Convertible Preferred Stocks		—			—			0		0
Preferred Stocks		1,173,330			—			639,995		1,813,325
Closed-End Funds		21,776,319			—			—		21,776,319
Warrants		—			—			0		0
Miscellaneous		—			12,991			0		12,991
Short-Term Investments - U.S. Treasury Obligations		—			499,999			—		499,999
Other		—			26,722,069			—		26,722,069
Total Investments	$	23,490,967		$	2,299,061,573		$	5,058,761	$	2,327,611,301
Forward Foreign Currency Exchange Contracts	$	—		$	90,754		$	—	$	90,754
Futures Contracts		448,360			—			—		448,360
Swap Contracts		—			71,610			—		71,610
Total	$	23,939,327		$	2,299,223,937		$	5,058,761	$	2,328,222,025
Liability Description
Forward Foreign Currency Exchange Contracts	$	—		$	(3,209,684	)	$	—	$	(3,209,684	)
Futures Contracts		(36,087	)		—			—		(36,087	)
Swap Contracts		—			(4,397,580	)		—		(4,397,580	)
Total	$	(36,087	)	$	(7,607,264	)	$	—	$	(7,643,351	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended June 30, 2020 is not presented.

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

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