Eaton Vance
Limited Duration Income Fund
June 30, 2021
PORTFOLIO OF INVESTMENTS (Unaudited)
Asset-Backed Securities 7.7%
Security | Principal Amount (000s omitted) |
Value | ||||||
Alinea CLO, Ltd., Series 2018-1A, Class E, 6.188%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2) |
$ | 1,000 | $ | 987,536 | ||||
AMMC CLO 15, Ltd., Series 2014-15A, Class ERR, 7.094%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2) |
500 | 492,906 | ||||||
AMMC CLO XII, Ltd., Series 2013-12A, Class ER, 6.342%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2) |
2,000 | 1,883,748 | ||||||
Ares LII CLO, Ltd., Series 2019-52A, Class E, 6.734%, (3 mo. USD LIBOR + 6.55%), 4/22/31(1)(2) |
1,000 | 1,000,453 | ||||||
Ares XXXIV CLO, Ltd., Series 2015-2A, Class ER, 7.04%, (3 mo. USD LIBOR + 6.85%), 4/17/33(1)(2) |
2,000 | 1,982,182 | ||||||
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class E, 5.884%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2) |
2,000 | 1,959,180 | ||||||
Bain Capital Credit CLO, Ltd., Series 2017-2A, Class E, 6.526%, (3 mo. USD LIBOR + 6.35%), 7/25/30(1)(2) |
2,000 | 2,001,000 | ||||||
Bardot CLO, Ltd., Series 2019-2A, Class E, 7.134%, (3 mo. USD LIBOR + 6.95%), 10/22/32(1)(2) |
1,850 | 1,853,469 | ||||||
Benefit Street Partners CLO XVI, Ltd., Series 2018-16A, Class E, 6.89%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2) |
3,000 | 2,988,123 | ||||||
Benefit Street Partners CLO XVII, Ltd., Series 2019-17A, Class E, 6.784%, (3 mo. USD LIBOR + 6.60%), 7/15/32(1)(2) |
3,000 | 3,001,428 | ||||||
Benefit Street Partners CLO XVIII, Ltd., Series 2019-18A, Class E, 7.084%, (3 mo. USD LIBOR + 6.90%), 10/15/32(1)(2) |
4,500 | 4,502,443 | ||||||
BlueMountain CLO XXIV, Ltd., Series 2019-24A, Class ER, 7.00%, (3 mo. USD LIBOR + 6.84%), 4/20/34(1)(2) |
1,000 | 991,498 | ||||||
BlueMountain CLO XXV, Ltd.: |
| |||||||
Series 2019-25A, Class E, 6.884%, (3 mo. USD LIBOR + 6.70%), 7/15/32(1)(2) |
4,500 | 4,502,250 | ||||||
Series 2019-25A, Class ER, 7/15/36(1)(3) |
2,000 | 2,001,000 | ||||||
BlueMountain CLO XXVI, Ltd., Series 2019-26A, Class E, 7.888%, (3 mo. USD LIBOR + 7.70%), 10/20/32(1)(2) |
6,500 | 6,517,537 | ||||||
BlueMountain CLO, Ltd.: |
| |||||||
Series 2016-3A, Class ER, 6.106%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2) |
2,000 | 1,887,930 | ||||||
Series 2018-1A, Class E, 6.136%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2) |
1,000 | 936,661 | ||||||
Canyon Capital CLO, Ltd.: |
| |||||||
Series 2016-2A, Class ER, 6.184%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2) |
3,350 | 3,194,922 | ||||||
Series 2019-2A, Class E, 7.334%, (3 mo. USD LIBOR + 7.15%), 10/15/32(1)(2) |
1,000 | 1,002,385 | ||||||
Carlyle CLO 17, Ltd., Series C17A, Class DR, 6.186%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2) |
1,750 | 1,677,837 | ||||||
Carlyle Global Market Strategies CLO, Ltd.: |
| |||||||
Series 2012-3A, Class DR2, 6.686%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2) |
2,000 | 1,899,068 | ||||||
Series 2014-4RA, Class D, 5.834%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2) |
1,250 | 1,134,864 | ||||||
Series 2015-5A, Class DR, 6.888%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2) |
1,000 | 956,725 | ||||||
Cedar Funding X CLO, Ltd., Series 2019-10A, Class E, 7.188%, (3 mo. USD LIBOR + 7.00%), 10/20/32(1)(2) |
1,500 | 1,502,549 |
1
Security | Principal Amount (000s omitted) |
Value | ||||||
Dryden Senior Loan Fund: |
| |||||||
Series 2015-41A, Class ER, 5.484%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2) |
$ | 2,000 | $ | 1,914,792 | ||||
Series 2016-42A, Class ER, 5.734%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2) |
1,000 | 971,497 | ||||||
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2IB, 3.857%, 4/30/47(1) |
1,555 | 1,581,681 | ||||||
Fort Washington CLO, Ltd., Series 2019-1A, Class E, 7.438%, (3 mo. USD LIBOR + 7.25%), 10/20/32(1)(2) |
1,500 | 1,502,037 | ||||||
Galaxy XIX CLO, Ltd., Series 2015-19A, Class D2R, 7.176%, (3 mo. USD LIBOR + 7.00%), 7/24/30(1)(2) |
1,600 | 1,583,659 | ||||||
Galaxy XV CLO, Ltd., Series 2013-15A, Class ER, 6.829%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2) |
3,275 | 3,240,193 | ||||||
Galaxy XXI CLO, Ltd., Series 2015-21A, Class ER, 5.438%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2) |
1,100 | 1,052,348 | ||||||
Galaxy XXV CLO, Ltd., Series 2018-25A, Class E, 6.126%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) |
1,000 | 981,645 | ||||||
Golub Capital Partners CLO 37B, Ltd., Series 2018-37A, Class E, 5.938%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2) |
3,000 | 2,755,623 | ||||||
Kayne CLO 5, Ltd., Series 2019-5A, Class E, 6.876%,
(3 mo. USD LIBOR + |
4,550 | 4,553,021 | ||||||
Madison Park Funding XVII, Ltd., Series 2015-17A, Class ER, 6.686%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2) |
2,000 | 1,990,386 | ||||||
Madison Park Funding XXXVI, Ltd., Series 2019-36A, Class E, 7.434%, (3 mo. USD LIBOR + 7.25%), 1/15/33(1)(2) |
1,500 | 1,502,151 | ||||||
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class E, 6.734%, (3 mo. USD LIBOR + 6.55%), 7/15/32(1)(2) |
5,500 | 5,503,063 | ||||||
Magnetite XXIV, Ltd., Series 2019-24A, Class E,
7.134%, (3 mo. USD LIBOR + |
3,000 | 3,029,238 | ||||||
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class ER, 6.25%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2) |
1,500 | 1,489,220 | ||||||
Neuberger Berman Loan Advisers CLO 30, Ltd., Series 2018-30A, Class ER, 6.388%, (3 mo. USD LIBOR + 6.20%), 1/20/31(1)(2) |
2,000 | 1,999,918 | ||||||
Neuberger Berman Loan Advisers CLO 31, Ltd., Series 2019-31A, Class ER, 6.683%, (3 mo. USD LIBOR + 6.50%), 4/20/31(1)(2) |
1,000 | 999,955 | ||||||
Neuberger Berman Loan Advisers CLO 33, Ltd., Series 2019-33A, Class E, 6.984%, (3 mo. USD LIBOR + 6.80%), 10/16/32(1)(2) |
2,250 | 2,254,410 | ||||||
Oaktree CLO, Ltd., Series 2019-3A, Class E, 6.958%, (3 mo. USD LIBOR + 6.77%), 7/20/31(1)(2) |
3,625 | 3,528,843 | ||||||
Palmer Square CLO, Ltd.: | ||||||||
Series 2013-2A, Class DRR, 6.04%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2) |
2,000 | 1,967,496 | ||||||
Series 2018-2A, Class D, 5.784%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2) |
1,000 | 981,605 | ||||||
Series 2019-1A, Class D, 7.154%, (3 mo. USD LIBOR + 7.00%), 11/14/32(1)(2) |
2,000 | 2,005,202 | ||||||
Regatta IX Funding, Ltd., Series 2017-1A, Class E, 6.19%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2) |
450 | 447,294 | ||||||
Regatta XII Funding, Ltd., Series 2019-1A, Class E, 7.034%, (3 mo. USD LIBOR + 6.85%), 10/15/32(1)(2) |
2,000 | 2,004,016 | ||||||
Regatta XIII Funding, Ltd., Series 2018-2A, Class D, 6.134%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2) |
2,000 | 1,925,178 | ||||||
Regatta XIV Funding, Ltd., Series 2018-3A, Class E, 6.126%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2) |
1,000 | 971,651 |
2
Security | Principal Amount (000s omitted) |
Value | ||||||
Regatta XVI Funding, Ltd., Series 2019-2A, Class E, 7.184%, (3 mo. USD LIBOR + 7.00%), 1/15/33(1)(2) |
$ | 1,800 | $ | 1,802,785 | ||||
Southwick Park CLO, LLC, Series 2019-4A, Class E, 6.888%, (3 mo. USD LIBOR + 6.70%), 7/20/32(1)(2) |
6,000 | 6,004,032 | ||||||
Vibrant CLO IX, Ltd., Series 2018-9A, Class D,
6.438%, (3 mo. USD LIBOR + 6.25%), |
1,000 | 921,172 | ||||||
Vibrant CLO XI, Ltd., Series 2019-11A, Class D,
6.958%, (3 mo. USD LIBOR + 6.77%), |
575 | 553,563 | ||||||
Voya CLO, Ltd.: | ||||||||
Series 2015-3A, Class DR, 6.388%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2) |
3,000 | 2,846,958 | ||||||
Series 2016-3A, Class DR, 6.27%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2) |
1,400 | 1,299,662 | ||||||
Series 2019-4A, Class E, 7.664%, (3 mo. USD LIBOR + 7.48%), 1/15/33(1)(2) |
3,000 | 3,018,582 | ||||||
Wellfleet CLO, Ltd., Series 2020-1A, Class D, 7.424%,
(3 mo. USD LIBOR + 7.24%), |
2,000 | 2,005,240 | ||||||
|
|
|||||||
Total Asset-Backed Securities |
$ | 122,045,810 | ||||||
|
|
|||||||
Closed-End Funds 1.7% |
||||||||
Security | Shares | Value | ||||||
BlackRock Corporate High Yield Fund, Inc. |
2,188,579 | $ | 26,963,293 | |||||
|
|
|||||||
Total Closed-End Funds |
$ | 26,963,293 | ||||||
|
|
|||||||
Collateralized Mortgage Obligations 9.1% |
||||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
Series 24, Class J, 6.25%, 11/25/23 |
$ | 73 | $ | 77,231 | ||||
Series 1497, Class K, 7.00%, 4/15/23 |
56 | 58,583 | ||||||
Series 1529, Class Z, 7.00%, 6/15/23 |
110 | 115,090 | ||||||
Series 1620, Class Z, 6.00%, 11/15/23 |
65 | 68,275 | ||||||
Series 1677, Class Z, 7.50%, 7/15/23 |
52 | 55,291 | ||||||
Series 1702, Class PZ, 6.50%, 3/15/24 |
727 | 771,408 | ||||||
Series 2113, Class QG, 6.00%, 1/15/29 |
274 | 306,062 | ||||||
Series 2122, Class K, 6.00%, 2/15/29 |
53 | 59,424 | ||||||
Series 2130, Class K, 6.00%, 3/15/29 |
36 | 40,261 | ||||||
Series 2167, Class BZ, 7.00%, 6/15/29 |
46 | 51,611 | ||||||
Series 2182, Class ZB, 8.00%, 9/15/29 |
432 | 493,205 | ||||||
Series 2198, Class ZA, 8.50%, 11/15/29 |
444 | 504,083 | ||||||
Series 2458, Class ZB, 7.00%, 6/15/32 |
525 | 617,947 | ||||||
Series 3762, Class SH, 9.816%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(4) |
567 | 693,675 |
3
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 4097, Class PE, 3.00%, 11/15/40 |
$ | 166 | $ | 166,680 | ||||
Series 4273, Class PU, 4.00%, 11/15/43 |
2,263 | 2,454,163 | ||||||
Series 4273, Class SP, 11.754%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(4) |
503 | 725,177 | ||||||
Series 4337, Class YT, 3.50%, 4/15/49 |
661 | 661,097 | ||||||
Series 4452, Class ZJ, 3.00%, 11/15/44 |
3,256 | 3,268,238 | ||||||
Series 4594, Class FM, 1.092%, (1 mo. USD LIBOR + 1.00%), 6/15/46(2) |
109 | 108,928 | ||||||
Series 4608, Class TV, 3.50%, 1/15/55 |
3,257 | 3,244,414 | ||||||
Series 4637, Class CU, 3.00%, 8/15/44 |
851 | 867,287 | ||||||
Series 4637, Class QF, 1.092%, (1 mo. USD LIBOR + 1.00%), 4/15/44(2) |
1,596 | 1,550,596 | ||||||
Series 4639, Class KF, 1.392%, (1 mo. USD LIBOR + 1.30%), 12/15/44(2) |
151 | 150,608 | ||||||
Series 4678, Class PC, 3.00%, 1/15/46 |
5,065 | 5,236,678 | ||||||
Series 4774, Class MH, 4.50%, 12/15/42 |
177 | 177,278 | ||||||
Series 4774, Class QD, 4.50%, 1/15/43 |
615 | 615,069 | ||||||
Series 4980, Class ZP, 2.50%, 7/25/49 |
248 | 247,551 | ||||||
Series 5028, Class TZ, 2.00%, 10/25/50 |
4,036 | 3,950,551 | ||||||
Series 5035, Class AZ, 2.00%, 11/25/50 |
16,836 | 16,537,594 | ||||||
Series 5083, Class SK, 3.853%, (3.867% - 30-day average SOFR x 1.33), 3/25/51(4) |
2,909 | 2,904,977 | ||||||
Series 5096, Class QZ, 3.00%, 4/25/51 |
827 | 827,445 | ||||||
Interest Only:(5) |
| |||||||
Series 284, Class S6, 6.027%, (6.10% - 1 mo. USD LIBOR), 10/15/42(4) |
1,873 | 373,132 | ||||||
Series 362, Class C7, 3.50%, 9/15/47 |
7,964 | 860,936 | ||||||
Series 362, Class C11, 4.00%, 12/15/47 |
7,751 | 925,278 | ||||||
Series 4067, Class JI, 3.50%, 6/15/27 |
1,566 | 125,213 | ||||||
Series 4070, Class S, 6.027%, (6.10% - 1 mo. USD LIBOR), 6/15/32(4) |
3,996 | 725,480 | ||||||
Series 4088, Class EI, 3.50%, 9/15/41 |
1,627 | 61,718 | ||||||
Series 4094, Class CS, 5.927%, (6.00% - 1 mo. USD LIBOR), 8/15/42(4) |
1,365 | 335,064 | ||||||
Series 4095, Class HS, 6.027%, (6.10% - 1 mo. USD LIBOR), 7/15/32(4) |
1,180 | 165,762 | ||||||
Series 4109, Class ES, 6.077%, (6.15% - 1 mo. USD LIBOR), 12/15/41(4) |
83 | 19,832 | ||||||
Series 4110, Class SA, 5.577%, (5.65% - 1 mo. USD LIBOR), 9/15/42(4) |
3,133 | 585,072 | ||||||
Series 4149, Class S, 6.177%, (6.25% - 1 mo. USD LIBOR), 1/15/33(4) |
2,138 | 397,082 | ||||||
Series 4188, Class AI, 3.50%, 4/15/28 |
1,199 | 78,852 | ||||||
Series 4203, Class QS, 6.177%, (6.25% - 1 mo. USD LIBOR), 5/15/43(4) |
3,507 | 544,165 | ||||||
Series 4408, Class IP, 3.50%, 4/15/44 |
2,573 | 233,373 | ||||||
Series 4435, Class BI, 3.50%, 7/15/44 |
6,072 | 593,083 | ||||||
Series 4629, Class QI, 3.50%, 11/15/46 |
2,721 | 270,781 | ||||||
Series 4644, Class TI, 3.50%, 1/15/45 |
2,773 | 203,924 | ||||||
Series 4653, Class PI, 3.50%, 7/15/44 |
453 | 2,222 | ||||||
Series 4667, Class PI, 3.50%, 5/15/42 |
2,395 | 57,751 | ||||||
Series 4676, Class DI, 4.00%, 7/15/44 |
2,495 | 53,369 | ||||||
Series 4744, Class IO, 4.00%, 11/15/47 |
4,079 | 500,213 | ||||||
Series 4749, Class IL, 4.00%, 12/15/47 |
1,793 | 221,078 | ||||||
Series 4767, Class IM, 4.00%, 5/15/45 |
1,490 | 35,204 | ||||||
Series 4793, Class SD, 6.127%, (6.20% - 1 mo. USD LIBOR), 6/15/48(4) |
9,137 | 1,190,445 | ||||||
Series 4966, Class SY, 5.959%, (6.05% - 1 mo. USD LIBOR), 4/25/50(4) |
20,483 | 3,119,774 |
4
Security | Principal Amount (000s omitted) |
Value | ||||||
Principal Only:(6) |
| |||||||
Series 242, Class PO, 0.00%, 11/15/36 |
$ | 2,916 | $ | 2,691,864 | ||||
Series 259, Class PO, 0.00%, 4/15/39 |
1,822 | 1,755,417 | ||||||
Series 3606, Class PO, 0.00%, 12/15/39 |
1,950 | 1,754,349 | ||||||
Series 4417, Class KO, 0.00%, 12/15/43 |
297 | 214,804 | ||||||
Series 4478, Class PO, 0.00%, 5/15/45 |
944 | 828,541 | ||||||
Series 4754, Class JO, 0.00%, 4/15/44 |
299 | 207,627 | ||||||
|
|
|||||||
$ | 66,737,882 | |||||||
|
|
|||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2020-DNA4, Class M2, 3.842%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2) |
$ | 5,816 | $ | 5,889,327 | ||||
|
|
|||||||
$ | 5,889,327 | |||||||
|
|
|||||||
Federal National Mortgage Association: |
|
|||||||
Series G92-46, Class Z, 7.00%, 8/25/22 |
$ | 12 | $ | 11,933 | ||||
Series G92-60, Class Z, 7.00%, 10/25/22 |
15 | 15,422 | ||||||
Series G93-35, Class ZQ, 6.50%, 11/25/23 |
849 | 891,507 | ||||||
Series G93-40, Class H, 6.40%, 12/25/23 |
182 | 191,661 | ||||||
Series 1991-98, Class J, 8.00%, 8/25/21 |
1 | 723 | ||||||
Series 1992-77, Class ZA, 8.00%, 5/25/22 |
21 | 21,619 | ||||||
Series 1992-103, Class Z, 7.50%, 6/25/22 |
2 | 2,316 | ||||||
Series 1992-113, Class Z, 7.50%, 7/25/22 |
8 | 8,028 | ||||||
Series 1992-185, Class ZB, 7.00%, 10/25/22 |
12 | 12,823 | ||||||
Series 1993-16, Class Z, 7.50%, 2/25/23 |
37 | 38,347 | ||||||
Series 1993-22, Class PM, 7.40%, 2/25/23 |
29 | 30,674 | ||||||
Series 1993-25, Class J, 7.50%, 3/25/23 |
45 | 47,431 | ||||||
Series 1993-30, Class PZ, 7.50%, 3/25/23 |
84 | 87,415 | ||||||
Series 1993-42, Class ZQ, 6.75%, 4/25/23 |
110 | 114,374 | ||||||
Series 1993-56, Class PZ, 7.00%, 5/25/23 |
21 | 21,768 | ||||||
Series 1993-156, Class ZB, 7.00%, 9/25/23 |
26 | 27,390 | ||||||
Series 1994-45, Class Z, 6.50%, 2/25/24 |
181 | 190,354 | ||||||
Series 1994-89, Class ZQ, 8.00%, 7/25/24 |
182 | 198,913 | ||||||
Series 1996-57, Class Z, 7.00%, 12/25/26 |
213 | 234,799 | ||||||
Series 1997-77, Class Z, 7.00%, 11/18/27 |
117 | 131,207 | ||||||
Series 1998-44, Class ZA, 6.50%, 7/20/28 |
121 | 136,098 | ||||||
Series 1999-45, Class ZG, 6.50%, 9/25/29 |
37 | 41,292 | ||||||
Series 2000-22, Class PN, 6.00%, 7/25/30 |
420 | 471,496 | ||||||
Series 2002-1, Class G, 7.00%, 7/25/23 |
29 | 30,706 | ||||||
Series 2002-21, Class PE, 6.50%, 4/25/32 |
312 | 361,783 | ||||||
Series 2005-75, Class CS, 23.834%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(4) |
801 | 1,359,841 | ||||||
Series 2007-74, Class AC, 5.00%, 8/25/37 |
3,358 | 3,737,014 | ||||||
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(4) |
366 | 401,169 | ||||||
Series 2011-109, Class PE, 3.00%, 8/25/41 |
1,279 | 1,312,088 | ||||||
Series 2012-134, Class ZT, 2.00%, 12/25/42 |
1,908 | 1,852,282 | ||||||
Series 2013-6, Class TA, 1.50%, 1/25/43 |
2,408 | 2,424,750 | ||||||
Series 2013-52, Class MD, 1.25%, 6/25/43 |
2,476 | 2,433,428 | ||||||
Series 2013-67, Class NF, 1.092%, (1 mo. USD LIBOR + 1.00%), 7/25/43(2) |
1,578 | 1,595,332 | ||||||
Series 2014-64, Class PA, 3.00%, 3/25/44 |
787 | 794,754 | ||||||
Series 2017-15, Class LE, 3.00%, 6/25/46 |
2,574 | 2,618,555 | ||||||
Series 2017-48, Class LG, 2.75%, 5/25/47 |
3,236 | 3,338,195 | ||||||
Series 2018-18, Class QD, 4.50%, 5/25/45 |
5,558 | 5,621,716 |
5
Security | Principal Amount (000s omitted) |
Value | ||||||
Series 2019-29, Class WC, 60.935%, 6/25/48(7) |
$ | 151 | $ | 292,967 | ||||
Series 2020-45, Class HZ, 2.50%, 7/25/50 |
152 | 152,223 | ||||||
Interest Only:(5) |
| |||||||
Series 2010-124, Class SJ, 5.959%, (6.05% - 1 mo. USD LIBOR), 11/25/38(4) |
27 | 136 | ||||||
Series 2011-101, Class IC, 3.50%, 10/25/26 |
3,941 | 233,950 | ||||||
Series 2011-101, Class IE, 3.50%, 10/25/26 |
1,240 | 73,976 | ||||||
Series 2012-33, Class CI, 3.50%, 3/25/27 |
2,463 | 142,472 | ||||||
Series 2012-94, Class KS, 6.559%, (6.65% - 1 mo. USD LIBOR), 5/25/38(4) |
1,432 | 55,114 | ||||||
Series 2012-97, Class PS, 6.059%, (6.15% - 1 mo. USD LIBOR), 3/25/41(4) |
1,365 | 59,097 | ||||||
Series 2012-118, Class IN, 3.50%, 11/25/42 |
4,855 | 776,797 | ||||||
Series 2012-124, Class IO, 1.437%, 11/25/42(7) |
2,433 | 129,513 | ||||||
Series 2012-125, Class IG, 3.50%, 11/25/42 |
15,775 | 2,619,735 | ||||||
Series 2012-150, Class SK, 6.059%, (6.15% - 1 mo. USD LIBOR), 1/25/43(4) |
2,958 | 509,671 | ||||||
Series 2013-12, Class SP, 5.559%, (5.65% - 1 mo. USD LIBOR), 11/25/41(4) |
715 | 57,169 | ||||||
Series 2013-15, Class DS, 6.109%, (6.20% - 1 mo. USD LIBOR), 3/25/33(4) |
6,296 | 1,062,877 | ||||||
Series 2013-16, Class SY, 6.059%, (6.15% - 1 mo. USD LIBOR), 3/25/43(4) |
1,439 | 293,971 | ||||||
Series 2013-54, Class HS, 6.209%, (6.30% - 1 mo. USD LIBOR), 10/25/41(4) |
812 | 38,439 | ||||||
Series 2013-64, Class PS, 6.159%, (6.25% - 1 mo. USD LIBOR), 4/25/43(4) |
1,975 | 288,323 | ||||||
Series 2013-75, Class SC, 6.159%, (6.25% - 1 mo. USD LIBOR), 7/25/42(4) |
3,522 | 313,570 | ||||||
Series 2014-32, Class EI, 4.00%, 6/25/44 |
616 | 73,343 | ||||||
Series 2014-55, Class IN, 3.50%, 7/25/44 |
1,380 | 227,104 | ||||||
Series 2014-89, Class IO, 3.50%, 1/25/45 |
1,694 | 236,529 | ||||||
Series 2015-17, Class SA, 6.109%, (6.20% - 1 mo. USD LIBOR), 11/25/43(4) |
699 | 19,792 | ||||||
Series 2015-52, Class MI, 3.50%, 7/25/45 |
1,677 | 248,607 | ||||||
Series 2017-46, Class NI, 3.00%, 8/25/42 |
1,560 | 22,587 | ||||||
Series 2018-21, Class IO, 3.00%, 4/25/48 |
6,928 | 655,823 | ||||||
Series 2019-1, Class AS, 5.909%, (6.00% - 1 mo. USD LIBOR), 2/25/49(4) |
11,046 | 2,498,258 | ||||||
Series 2019-33, Class SK, 5.959%, (6.05% - 1 mo. USD LIBOR), 7/25/49(4) |
10,038 | 1,152,813 | ||||||
Series 2020-23, Class SP, 5.959%, (6.05% - 1 mo. USD LIBOR), 2/25/50(4) |
6,830 | 1,024,878 | ||||||
Principal Only:(6) |
| |||||||
Series 379, Class 1, 0.00%, 5/25/37 |
1,849 | 1,686,448 | ||||||
Series 2006-8, Class WQ, 0.00%, 3/25/36 |
2,921 | 2,586,458 | ||||||
|
|
|||||||
$ | 48,341,843 | |||||||
|
|
|||||||
Government National Mortgage Association: |
|
|||||||
Series 2011-156, Class GA, 2.00%, 12/16/41 |
$ | 87 | $ | 81,306 | ||||
Series 2017-121, Class DF, 0.593%, (1 mo. USD LIBOR + 0.50%), 8/20/47(2) |
6,354 | 6,398,765 | ||||||
Series 2017-137, Class AF, 0.593%, (1 mo. USD LIBOR + 0.50%), 9/20/47(2) |
3,430 | 3,452,897 | ||||||
Series 2018-6, Class JZ, 4.00%, 1/20/48 |
4,757 | 4,517,296 | ||||||
Series 2021-57, Class LZ, 3.00%, 3/20/51 |
4,981 | 4,984,006 | ||||||
Interest Only:(5) |
| |||||||
Series 2017-104, Class SD, 6.107%, (6.20% - 1 mo. USD LIBOR), 7/20/47(4) |
4,315 | 688,128 | ||||||
Series 2020-154, Class PI, 2.50%, 10/20/50 |
16,838 | 1,222,914 | ||||||
Series 2020-176, Class HI, 2.50%, 11/20/50 |
23,574 | 1,815,582 | ||||||
|
|
|||||||
$ | 23,160,894 | |||||||
|
|
|||||||
Total Collateralized Mortgage Obligations |
$ | 144,129,946 | ||||||
|
|
6
Commercial Mortgage-Backed Securities 5.3% |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
BAMLL Commercial Mortgage Securities Trust: |
| |||||||
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(7) |
$ | 795 | $ | 699,069 | ||||
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(7) |
3,205 | 2,645,292 | ||||||
CFCRE Commercial Mortgage Trust: |
| |||||||
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(7) |
3,500 | 2,707,889 | ||||||
Series 2016-C7, Class D, 4.408%, 12/10/54(1)(7) |
1,675 | 1,507,680 | ||||||
CGMS Commercial Mortgage Trust: |
| |||||||
Series 2015-P1, Class D, 3.225%, 9/15/48(1) |
1,000 | 905,610 | ||||||
Series 2017-MDRB, Class C, 2.573%, (1 mo. USD LIBOR + 2.50%), 7/15/30(1)(2) |
5,000 | 4,894,464 | ||||||
COMM Mortgage Trust: |
| |||||||
Series 2013-CR11, Class D, 5.285%, 8/10/50(1)(7) |
7,400 | 7,375,149 | ||||||
Series 2015-CR22, Class D, 4.244%, 3/10/48(1)(7) |
4,100 | 4,162,090 | ||||||
Credit Suisse Mortgage Trust: |
| |||||||
Series 2016-NXSR, Class C, 4.527%, 12/15/49(7) |
2,770 | 2,485,333 | ||||||
Series 2016-NXSR, Class D, 4.527%, 12/15/49(1)(7) |
3,000 | 2,448,180 | ||||||
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: |
| |||||||
Series 2019-01, Class M7, 1.792%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(2) |
181 | 181,237 | ||||||
Series 2019-01, Class M10, 3.342%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2) |
120 | 121,947 | ||||||
Series 2020-01, Class M10, 3.842%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) |
2,000 | 2,087,736 | ||||||
JPMBB Commercial Mortgage Securities Trust: |
| |||||||
Series 2014-C22, Class D, 4.705%, 9/15/47(1)(7) |
5,276 | 4,029,973 | ||||||
Series 2014-C25, Class D, 4.095%, 11/15/47(1)(7) |
4,400 | 3,478,028 | ||||||
Series 2015-C29, Class D, 3.837%, 5/15/48(7) |
2,000 | 1,639,166 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust: |
| |||||||
Series 2011-C5, Class D, 5.611%, 8/15/46(1)(7) |
7,167 | 6,442,486 | ||||||
Series 2013-C13, Class D, 4.213%, 1/15/46(1)(7) |
3,000 | 3,066,013 | ||||||
Series 2013-C16, Class D, 5.189%, 12/15/46(1)(7) |
3,500 | 3,599,729 | ||||||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) |
2,600 | 1,166,822 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: |
| |||||||
Series 2015-C23, Class D, 4.282%, 7/15/50(1)(7)(8) |
2,000 | 2,027,039 | ||||||
Series 2016-C29, Class D, 3.00%, 5/15/49(1)(8) |
3,577 | 3,127,447 | ||||||
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(7)(8) |
1,600 | 1,327,669 | ||||||
Morgan Stanley Capital I Trust: |
| |||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(8) |
4,489 | 2,589,481 | ||||||
Series 2017-CLS, Class A, 0.773%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(2)(8) |
2,000 | 2,001,519 | ||||||
Series 2019-BPR, Class C, 3.123%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)(8) |
1,845 | 1,606,744 | ||||||
UBS Commercial Mortgage Trust, Series 2012-C1, Class D, 5.754%, 5/10/45(1)(7) |
3,000 | 2,884,823 | ||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class D, 4.449%, 4/10/46(1)(7) |
4,437 | 3,594,010 | ||||||
Wells Fargo Commercial Mortgage Trust: |
| |||||||
Series 2013-LC12, Class D, 4.435%, 7/15/46(1)(7) |
3,000 | 1,692,091 | ||||||
Series 2015-C31, Class D, 3.852%, 11/15/48 |
2,475 | 2,348,768 | ||||||
Series 2015-LC22, Class C, 4.708%, 9/15/58(7) |
1,250 | 1,332,914 | ||||||
Series 2016-C35, Class D, 3.142%, 7/15/48(1) |
1,850 | 1,525,318 | ||||||
Series 2016-C36, Class D, 2.942%, 11/15/59(1) |
1,500 | 1,137,672 | ||||||
|
|
|||||||
Total Commercial Mortgage-Backed Securities |
|
$ | 82,839,388 | |||||
|
|
7
U.S. Government Agency Mortgage-Backed Securities 24.0% |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
Federal Home Loan Mortgage Corp.: |
|
|||||||
3.00%, with various maturities to 2050 |
$ | 16,031 | $ | 16,784,672 | ||||
4.50%, with various maturities to 2048 |
529 | 560,106 | ||||||
5.50%, with maturity at 2032 |
347 | 392,801 | ||||||
6.50%, with various maturities to 2036 |
2,662 | 3,015,415 | ||||||
7.00%, with various maturities to 2036 |
2,419 | 2,761,659 | ||||||
7.13%, with maturity at 2023 |
11 | 11,592 | ||||||
7.50%, with various maturities to 2035 |
1,522 | 1,686,126 | ||||||
8.00%, with various maturities to 2030 |
344 | 349,259 | ||||||
8.50%, with maturity at 2022 |
30 | 31,218 | ||||||
9.00%, with various maturities to 2031 |
25 | 28,670 | ||||||
|
|
|||||||
$ | 25,621,518 | |||||||
|
|
|||||||
Federal National Mortgage Association: |
|
|||||||
30-Year, 2.50%, TBA(9) |
$ | 103,178 | $ | 106,301,848 | ||||
1.792%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(10) |
683 | 711,478 | ||||||
2.445%, (1 yr. CMT + 2.265%), with maturity at 2036(10) |
4,040 | 4,252,125 | ||||||
2.50%, with various maturities to 2051 |
61,083 | 63,276,512 | ||||||
2.585%, (COF + 1.25%), with maturity at 2036(10) |
584 | 603,653 | ||||||
3.00%, with maturity at 2050 |
15,588 | 16,275,378 | ||||||
4.50%, with maturity at 2042 |
4,466 | 4,961,058 | ||||||
5.00%, with various maturities to 2040 |
4,703 | 5,324,019 | ||||||
5.50%, with various maturities to 2033 |
498 | 568,622 | ||||||
6.00%, with various maturities to 2029 |
637 | 678,287 | ||||||
6.329%, (COF + 2.00%, Floor 6.329%), with maturity at 2032(10) |
1,028 | 1,144,250 | ||||||
6.50%, with various maturities to 2036 |
10,943 | 12,402,377 | ||||||
6.75%, with maturity at 2023 |
14 | 14,663 | ||||||
7.00%, with various maturities to 2037 |
2,718 | 3,091,807 | ||||||
7.50%, with various maturities to 2035 |
1,236 | 1,427,261 | ||||||
7.891%, with maturity at 2027(7) |
101 | 109,404 | ||||||
8.00%, with various maturities to 2027 |
153 | 164,980 | ||||||
8.203%, with maturity at 2028(7) |
23 | 25,006 | ||||||
8.23%, with maturity at 2024(7) |
3 | 3,591 | ||||||
8.275%, with maturity at 2029(7) |
25 | 27,223 | ||||||
8.29%, with maturity at 2027(7) |
40 | 43,380 | ||||||
8.50%, with various maturities to 2037 |
364 | 413,720 | ||||||
9.00%, with various maturities to 2032 |
365 | 405,218 | ||||||
9.50%, with various maturities to 2030 |
77 | 85,666 | ||||||
|
|
|||||||
$ | 222,311,526 | |||||||
|
|
|||||||
Government National Mortgage Association: |
|
|||||||
2.50%, with various maturities to 2051 |
$ | 93,841 | $ | 97,259,600 | ||||
3.00%, with maturity at 2051 |
25,000 | 26,259,525 | ||||||
4.00%, with maturity at 2049 |
847 | 901,114 | ||||||
4.50%, with maturity at 2047 |
1,798 | 2,025,508 | ||||||
6.00%, with maturity at 2024 |
148 | 154,530 | ||||||
6.50%, with maturity at 2024 |
820 | 862,921 | ||||||
7.00%, with maturity at 2026 |
104 | 114,133 | ||||||
7.50%, with various maturities to 2032 |
1,696 | 1,875,948 | ||||||
8.00%, with various maturities to 2034 |
1,529 | 1,722,093 |
8
Security | Principal Amount (000s omitted) |
Value | ||||||
8.50%, with maturity at 2022 |
$ | 3 | $ | 2,718 | ||||
9.00%, with various maturities to 2025 |
167 | 182,605 | ||||||
|
|
|||||||
$ | 131,360,695 | |||||||
|
|
|||||||
Total U.S. Government Agency Mortgage-Backed Securities |
|
$ | 379,293,739 | |||||
|
|
|||||||
Common Stocks 0.6% |
||||||||
Security | Shares | Value | ||||||
Aerospace and Defense 0.0%(11) |
||||||||
IAP Global Services, LLC(12)(13)(14) |
31 | $ | 345,104 | |||||
|
|
|||||||
$ | 345,104 | |||||||
|
|
|||||||
Automotive 0.0%(11) |
||||||||
Dayco Products, LLC(12)(13) |
27,250 | $ | 81,750 | |||||
|
|
|||||||
$ | 81,750 | |||||||
|
|
|||||||
Business Equipment and Services 0.0%(11) |
||||||||
Crossmark Holdings, Inc.(12)(13) |
4,883 | $ | 292,980 | |||||
|
|
|||||||
$ | 292,980 | |||||||
|
|
|||||||
Containers and Glass Products 0.0%(11) |
||||||||
LG Newco Holdco, Inc.(12)(13) |
166,175 | $ | 363,508 | |||||
|
|
|||||||
$ | 363,508 | |||||||
|
|
|||||||
Electronics/Electrical 0.1% |
||||||||
Skillsoft Corp.(12)(13) |
143,062 | $ | 1,409,161 | |||||
|
|
|||||||
$ | 1,409,161 | |||||||
|
|
|||||||
Health Care 0.1% |
||||||||
Akorn Holding Company, LLC, Class A(12)(13) |
42,374 | $ | 665,624 | |||||
|
|
|||||||
$ | 665,624 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.0%(11) |
||||||||
ACNR Holdings, Inc., Class A(12)(13) |
3,818 | $ | 76,678 | |||||
|
|
|||||||
$ | 76,678 | |||||||
|
|
|||||||
Oil and Gas 0.2% |
||||||||
AFG Holdings, Inc.(12)(13)(14) |
29,751 | $ | 328,748 | |||||
Extraction Oil & Gas, Inc.(12)(14)(15) |
2,089 | 114,580 | ||||||
Extraction Oil & Gas, Inc.(12)(13) |
38,649 | 2,122,216 | ||||||
Fieldwood Energy, Inc.(12)(13)(14) |
10,085 | 0 | ||||||
McDermott International, Ltd.(12)(13) |
93,940 | 46,031 | ||||||
Nine Point Energy Holdings, Inc.(12)(14)(15) |
29,787 | 0 | ||||||
RDV Resources, Inc., Class A(12)(13) |
27,724 | 4,852 | ||||||
Sunrise Oil & Gas, Inc., Class A(12)(13) |
15,647 | 4,694 | ||||||
|
|
|||||||
$ | 2,621,121 | |||||||
|
|
|||||||
Publishing 0.0%(11) |
||||||||
Tweddle Group, Inc.(12)(13)(14) |
5,433 | $ | 46,289 | |||||
|
|
|||||||
$ | 46,289 | |||||||
|
|
|||||||
Radio and Television 0.1% |
||||||||
Clear Channel Outdoor Holdings, Inc.(12)(13) |
74,443 | $ | 196,530 |
9
Security | Shares | Value | ||||||
Cumulus Media, Inc., Class A(12)(13) |
50,522 | $ | 740,147 | |||||
iHeartMedia, Inc., Class A(12)(13) |
31,657 | 852,523 | ||||||
|
|
|||||||
$ | 1,789,200 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 0.0%(11) |
||||||||
Davids Bridal, LLC(12)(13)(14) |
40,851 | $ | 0 | |||||
Phillips Pet Holding Corp.(12)(13)(14) |
582 | 227,715 | ||||||
|
|
|||||||
$ | 227,715 | |||||||
|
|
|||||||
Telecommunications 0.1% |
||||||||
GEE Acquisition Holdings Corp.(12)(13)(14) |
37,259 | $ | 763,064 | |||||
|
|
|||||||
$ | 763,064 | |||||||
|
|
|||||||
Utilities 0.0%(11) |
||||||||
Longview Intermediate Holdings, LLC, Class A(12)(13)(14) |
10,730 | $ | 85,518 | |||||
|
|
|||||||
$ | 85,518 | |||||||
|
|
|||||||
Total Common Stocks |
$ | 8,767,712 | ||||||
|
|
|||||||
Convertible Bonds 0.1% |
||||||||
Security | Principal (000s omitted) |
Value | ||||||
Semiconductors & Semiconductor Equipment 0.1% |
||||||||
ams AG, 0.875%, 9/28/22(16) |
$ | 1,000 | $ | 978,355 | ||||
|
|
|||||||
Total Convertible Bonds |
$ | 978,355 | ||||||
|
|
|||||||
Convertible Preferred Stocks 0.1% |
||||||||
Security | Shares | Value | ||||||
Containers and Glass Products 0.1% |
||||||||
LG Newco Holdco, Inc., Series A, 13.00%(12)(13) |
25,199 | $ | 2,267,953 | |||||
|
|
|||||||
$ | 2,267,953 | |||||||
|
|
|||||||
Oil and Gas 0.0% |
||||||||
Nine Point Energy Holdings, Inc., Series A, 12.00%(12)(14)(15) |
555 | $ | 0 | |||||
$ | 0 | |||||||
|
|
|||||||
Total Convertible Preferred Stocks |
$ | 2,267,953 | ||||||
|
|
|||||||
Corporate Bonds 50.2% |
||||||||
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Aerospace and Defense 1.1% |
||||||||
Bombardier, Inc.: |
||||||||
7.125%, 6/15/26(1) |
736 | $ | 771,512 | |||||
7.50%, 12/1/24(1) |
329 | 344,218 | ||||||
7.875%, 4/15/27(1) |
1,612 | 1,674,481 |
10
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Hexcel Corp., 4.20%, 2/15/27 |
881 | $ | 948,924 | |||||
Howmet Aerospace, Inc., 6.875%, 5/1/25 |
1,133 | 1,320,285 | ||||||
Moog, Inc., 4.25%, 12/15/27(1) |
955 | 989,891 | ||||||
Rolls-Royce PLC: |
||||||||
5.75%, 10/15/27(1) |
2,704 | 2,981,917 | ||||||
5.75%, 10/15/27(16) |
GBP | 300 | 455,360 | |||||
TransDigm UK Holdings PLC, 6.875%, 5/15/26 |
725 | 767,061 | ||||||
TransDigm, Inc.: |
||||||||
5.50%, 11/15/27 |
2,052 | 2,141,775 | ||||||
6.25%, 3/15/26(1) |
2,408 | 2,543,450 | ||||||
6.375%, 6/15/26 |
100 | 103,722 | ||||||
7.50%, 3/15/27 |
1,862 | 1,983,216 | ||||||
|
|
|||||||
$ | 17,025,812 | |||||||
|
|
|||||||
Agriculture 0.0%(11) |
||||||||
Tereos Finance Groupe I S.A., 4.125%, 6/16/23(16) | EUR | 100 | $ | 120,212 | ||||
|
|
|||||||
$ | 120,212 | |||||||
|
|
|||||||
Air Transport 0.7% |
||||||||
Air France-KLM: |
||||||||
1.875%, 1/16/25(16) |
EUR | 100 | $ | 111,608 | ||||
3.875%, 7/1/26(3)(16) |
EUR | 100 | 116,892 | |||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: |
||||||||
5.50%, 4/20/26(1) |
3,023 | 3,204,380 | ||||||
5.75%, 4/20/29(1) |
1,952 | 2,113,040 | ||||||
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) |
1,016 | 1,130,367 | ||||||
Deutsche Lufthansa AG, 3.00%, 5/29/26(16) |
EUR | 100 | 119,893 | |||||
Gatwick Airport Finance PLC, 4.375%, 4/7/26(16) |
GBP | 100 | 140,225 | |||||
Mileage Plus Holdings, LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27(1) |
2,418 | 2,665,240 | ||||||
United Airlines, Inc.: |
||||||||
4.375%, 4/15/26(1) |
835 | 865,419 | ||||||
4.625%, 4/15/29(1) |
838 | 868,378 | ||||||
|
|
|||||||
$ | 11,335,442 | |||||||
|
|
|||||||
Automotive 1.9% |
||||||||
Adient Global Holdings, Ltd., 3.50%, 8/15/24(16) |
EUR | 150 | $ | 183,230 | ||||
Adler Pelzer Holding GmbH, 4.125%, 4/1/24(16) |
EUR | 200 | 231,665 | |||||
Clarios Global, L.P.: |
||||||||
4.375%, 5/15/26(16) |
EUR | 300 | 368,959 | |||||
6.25%, 5/15/26(1) |
1,504 | 1,604,106 | ||||||
6.75%, 5/15/25(1) |
432 | 461,156 | ||||||
8.50%, 5/15/27(1) |
3,233 | 3,528,658 | ||||||
Cummins, Inc., 1.50%, 9/1/30 |
1,000 | 966,596 | ||||||
Faurecia S.E., 3.75%, 6/15/28(16) |
EUR | 260 | 325,247 | |||||
Ford Motor Co.: |
||||||||
4.75%, 1/15/43 |
274 | 291,467 | ||||||
7.45%, 7/16/31 |
1,449 | 1,907,246 | ||||||
8.50%, 4/21/23 |
1,828 | 2,042,242 | ||||||
9.00%, 4/22/25 |
2,833 | 3,496,333 | ||||||
9.625%, 4/22/30 |
1,184 | 1,700,585 | ||||||
Frigoglass Finance B.V., 6.875%, 2/12/25(16) |
EUR | 300 | 319,042 | |||||
General Motors Co., 5.00%, 4/1/35 |
495 | 599,389 | ||||||
GKN Holdings, Ltd., 4.625%, 5/12/32(16) |
GBP | 120 | 181,934 |
11
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Goodyear Tire & Rubber Co. (The): |
||||||||
5.00%, 7/15/29(1) |
2,056 | $ | 2,155,202 | |||||
5.25%, 7/15/31(1) |
1,657 | 1,733,636 | ||||||
Jaguar Land Rover Automotive PLC, 6.875%, 11/15/26(16) |
EUR | 100 | 138,291 | |||||
Lithia Motors, Inc.: |
||||||||
3.875%, 6/1/29(1) |
651 | 675,608 | ||||||
4.375%, 1/15/31(1) |
1,171 | 1,255,892 | ||||||
4.625%, 12/15/27(1) |
514 | 545,251 | ||||||
RAC Bond Co. PLC, 5.00%, 11/6/22(16) |
GBP | 150 | 207,906 | |||||
Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29(1) |
1,511 | 1,569,325 | ||||||
Renault S.A., 1.25%, 6/24/25(16) |
EUR | 300 | 351,340 | |||||
TI Automotive Finance PLC, 3.75%, 4/15/29(16) |
EUR | 212 | 256,774 | |||||
Tupy Overseas S.A., 4.50%, 2/16/31(1) |
500 | 499,822 | ||||||
Volkswagen International Finance N.V., 3.875% to 6/17/29(16)(17)(18) |
EUR | 200 | 263,865 | |||||
Wheel Pros, Inc., 6.50%, 5/15/29(1) |
1,305 | 1,322,311 | ||||||
ZF North America Capital, Inc.: |
||||||||
4.50%, 4/29/22(1) |
392 | 402,074 | ||||||
4.75%, 4/29/25(1) |
200 | 216,604 | ||||||
|
|
|||||||
$ | 29,801,756 | |||||||
|
|
|||||||
Banks and Thrifts 0.9% |
| |||||||
Banco Mercantil del Norte S.A./Grand Cayman, 5.75% to 10/4/26, 10/4/31(1)(17) |
1,160 | $ | 1,259,081 | |||||
BankUnited, Inc., 5.125%, 6/11/30 |
1,000 | 1,167,362 | ||||||
BBVA Bancomer S.A., 5.125% to 1/18/28, 1/18/33(1)(17) |
1,100 | 1,149,170 | ||||||
Commonwealth Bank of Australia, 3.61% to 9/12/29, 9/12/34(1)(17) |
1,500 | 1,589,535 | ||||||
Danske Bank A/S, 1.621% to 9/11/25, 9/11/26(1)(17) |
1,086 | 1,088,106 | ||||||
Deutsche Bank AG, 7.125% to 4/30/26(16)(17)(18) |
GBP | 500 | 758,171 | |||||
First Midwest Bancorp, Inc., 5.875%, 9/29/26 |
1,000 | 1,163,966 | ||||||
Nationwide Building Society, 4.125% to 10/18/27, 10/18/32(1)(17) |
1,280 | 1,397,502 | ||||||
Synovus Bank/Columbus, GA, 4.00% to 10/29/25, 10/29/30(17) |
500 | 531,250 | ||||||
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(17) |
844 | 878,984 | ||||||
Wells Fargo & Co., 3.584% to 5/22/27, 5/22/28(17) |
2,000 | 2,204,776 | ||||||
Westpac Banking Corp., 2.668% to 11/15/30, 11/15/35(17) |
1,033 | 1,017,371 | ||||||
|
|
|||||||
$ | 14,205,274 | |||||||
|
|
|||||||
Beverage and Tobacco 0.2% |
| |||||||
Altria Group, Inc., 3.875%, 9/16/46 |
650 | $ | 647,090 | |||||
Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30 |
1,500 | 1,670,095 | ||||||
BAT Capital Corp., 4.54%, 8/15/47 |
650 | 692,509 | ||||||
Vector Group, Ltd., 5.75%, 2/1/29(1) |
500 | 509,990 | ||||||
|
|
|||||||
$ | 3,519,684 | |||||||
|
|
|||||||
Brokerage/Securities Dealers/Investment Houses 0.2% |
| |||||||
Alliance Data Systems Corp., 4.75%, 12/15/24(1) |
1,071 | $ | 1,102,594 | |||||
Intrum AB, 3.50%, 7/15/26(16) |
EUR | 200 | 242,354 | |||||
Macquarie Bank, Ltd., 3.052% to 3/3/31, 3/3/36(1)(17) |
1,017 | 1,012,668 | ||||||
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp., 4.875%, 4/15/45(1) |
688 | 802,395 | ||||||
|
|
|||||||
$ | 3,160,011 | |||||||
|
|
|||||||
Building and Development 1.5% |
| |||||||
Boise Cascade Co., 4.875%, 7/1/30(1) |
707 | $ | 752,637 | |||||
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC, 5.75%, 5/15/26(1) |
1,592 | 1,675,715 |
12
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Builders FirstSource, Inc.: |
| |||||||
5.00%, 3/1/30(1) |
510 | $ | 536,959 | |||||
6.75%, 6/1/27(1) |
762 | 818,411 | ||||||
CyrusOne, L.P./CyrusOne Finance Corp., 3.45%, 11/15/29 |
562 | 598,305 | ||||||
Empire Communities Corp., 7.00%, 12/15/25(1) |
1,541 | 1,623,405 | ||||||
Five Point Operating Co., L.P./Five Point Capital Corp., 7.875%, 11/15/25(1) |
1,213 | 1,284,397 | ||||||
Greystar Real Estate Partners, LLC, 5.75%, 12/1/25(1) |
1,396 | 1,439,709 | ||||||
HT Troplast GmbH, 9.25%, 7/15/25(16) |
EUR | 315 | 414,670 | |||||
James Hardie International Finance DAC, 3.625%, 10/1/26(16) |
EUR | 200 | 243,089 | |||||
Masonite International Corp., 5.375%, 2/1/28(1) |
570 | 605,890 | ||||||
MDC Holdings, Inc., 2.50%, 1/15/31 |
837 | 816,485 | ||||||
Miller Homes Group Holdings PLC, 5.50%, 10/15/24(16) |
GBP | 100 | 141,574 | |||||
Patrick Industries, Inc., 4.75%, 5/1/29(1) |
1,236 | 1,231,662 | ||||||
PCF GmbH, 4.75%, 4/15/26(16) |
EUR | 225 | 272,859 | |||||
SRM Escrow Issuer, LLC, 6.00%, 11/1/28(1) |
2,918 | 3,096,800 | ||||||
SRS Distribution, Inc., 6.125%, 7/1/29(1) |
1,195 | 1,232,559 | ||||||
Standard Industries, Inc.: |
| |||||||
2.25%, 11/21/26(16) |
EUR | 200 | 236,505 | |||||
4.375%, 7/15/30(1) |
1,146 | 1,185,199 | ||||||
5.00%, 2/15/27(1) |
457 | 473,852 | ||||||
Taylor Morrison Communities, Inc.: |
| |||||||
5.125%, 8/1/30(1) |
685 | 744,297 | ||||||
5.75%, 1/15/28(1) |
1,062 | 1,202,598 | ||||||
5.875%, 6/15/27(1) |
808 | 916,648 | ||||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.70%, 6/15/28 |
66 | 72,858 | ||||||
Victoria PLC, 3.625%, 8/24/26(16) |
EUR | 385 | 463,592 | |||||
White Cap Buyer, LLC, 6.875%, 10/15/28(1) |
1,083 | 1,160,581 | ||||||
White Cap Parent, LLC, 8.25%, (8.25% cash or 9.00% PIK), 3/15/26(1)(19) |
691 | 717,403 | ||||||
|
|
|||||||
$ | 23,958,659 | |||||||
|
|
|||||||
Business Equipment and Services 1.3% |
||||||||
Adtalem Global Education, Inc., 5.50%, 3/1/28(1) |
1,830 | $ | 1,862,116 | |||||
Allied Universal Holdco, LLC: | ||||||||
4.625%, 6/1/28(1) |
1,941 | 1,948,550 | ||||||
6.00%, 6/1/29(1) |
1,212 | 1,230,313 | ||||||
6.625%, 7/15/26(1) |
2,534 | 2,689,790 | ||||||
9.75%, 7/15/27(1) |
1,148 | 1,265,670 | ||||||
Endure Digital, Inc., 6.00%, 2/15/29(1) |
1,334 | 1,322,534 | ||||||
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC: | ||||||||
7.125%, 7/31/26(1) |
2,576 | 2,670,668 | ||||||
7.125%, 7/31/26(16) |
350 | 362,863 | ||||||
Iron Mountain, Inc.: | ||||||||
4.50%, 2/15/31(1) |
750 | 760,313 | ||||||
5.00%, 7/15/28(1) |
94 | 97,868 | ||||||
Sabre GLBL, Inc., 9.25%, 4/15/25(1) |
483 | 575,608 | ||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 7/30/26(16) |
EUR | 300 | 367,913 | |||||
Terminix Co., LLC (The), 7.45%, 8/15/27 |
4,075 | 4,787,045 | ||||||
|
|
|||||||
$ | 19,941,251 | |||||||
|
|
|||||||
Cable and Satellite Television 2.5% |
||||||||
Altice France S.A.: | ||||||||
3.375%, 1/15/28(16) |
EUR | 100 | $ | 115,805 | ||||
5.125%, 7/15/29(1) |
767 | 771,717 |
13
Security |
Principal Amount* (000s omitted) |
Value | ||||||
5.50%, 1/15/28(1) |
841 | $ | 873,757 | |||||
7.375%, 5/1/26(1) |
648 | 674,685 | ||||||
8.125%, 2/1/27(1) |
4,904 | 5,349,038 | ||||||
CCO Holdings, LLC/CCO Holdings Capital Corp.: | ||||||||
4.25%, 2/1/31(1) |
1,739 | 1,773,780 | ||||||
4.50%, 8/15/30(1) |
1,640 | 1,709,641 | ||||||
4.50%, 5/1/32 |
771 | 801,620 | ||||||
4.75%, 3/1/30(1) |
1,789 | 1,894,104 | ||||||
5.00%, 2/1/28(1) |
1,755 | 1,842,750 | ||||||
5.375%, 6/1/29(1) |
595 | 651,138 | ||||||
5.75%, 2/15/26(1) |
939 | 972,715 | ||||||
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 |
975 | 1,121,923 | ||||||
Comcast Corp., 1.95%, 1/15/31 |
1,000 | 986,809 | ||||||
CSC Holdings, LLC: | ||||||||
3.375%, 2/15/31(1) |
912 | 862,971 | ||||||
5.25%, 6/1/24 |
355 | 385,158 | ||||||
5.75%, 1/15/30(1) |
4,904 | 5,100,160 | ||||||
5.875%, 9/15/22 |
1,085 | 1,142,000 | ||||||
6.50%, 2/1/29(1) |
543 | 602,111 | ||||||
6.75%, 11/15/21 |
2,780 | 2,841,480 | ||||||
7.50%, 4/1/28(1) |
619 | 681,188 | ||||||
UPC Holding B.V., 5.50%, 1/15/28(1) |
593 | 623,293 | ||||||
UPCB Finance VII, Ltd., 3.625%, 6/15/29(16) |
EUR | 300 | 364,135 | |||||
Virgin Media Finance PLC, 5.00%, 7/15/30(1) |
946 | 956,992 | ||||||
Virgin Media Secured Finance PLC: | ||||||||
5.00%, 4/15/27(16) |
GBP | 100 | 143,987 | |||||
5.50%, 8/15/26(1) |
1,163 | 1,201,670 | ||||||
Virgin Media Vendor Financing Notes III DAC, 4.875%, 7/15/28(16) |
GBP | 500 | 704,186 | |||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 7/15/28(1) |
425 | 435,032 | ||||||
Ziggo B.V.: | ||||||||
4.875%, 1/15/30(1) |
843 | 865,188 | ||||||
5.50%, 1/15/27(1) |
1,605 | 1,671,688 | ||||||
Ziggo Bond Co., B.V.: | ||||||||
3.375%, 2/28/30(16) |
EUR | 230 | 269,723 | |||||
6.00%, 1/15/27(1) |
745 | 781,285 | ||||||
|
|
|||||||
$ | 39,171,729 | |||||||
|
|
|||||||
Capital Goods 0.2% |
||||||||
BWX Technologies, Inc.: | ||||||||
4.125%, 6/30/28(1) |
948 | $ | 968,349 | |||||
4.125%, 4/15/29(1) |
733 | 747,689 | ||||||
5.375%, 7/15/26(1) |
1,305 | 1,340,333 | ||||||
Valmont Industries, Inc., 5.25%, 10/1/54 |
610 | 759,069 | ||||||
|
|
|||||||
$ | 3,815,440 | |||||||
|
|
|||||||
Chemicals and Plastics 0.8% |
||||||||
Alpek SAB de CV, 4.25%, 9/18/29(1) |
610 | $ | 663,851 | |||||
Herens Holdco S.a.r.l., 4.75%, 5/15/28(1) |
545 | 542,956 | ||||||
Herens Midco S.a.r.l., 5.25%, 5/15/29(16) |
EUR | 216 | 251,145 | |||||
INEOS Quattro Finance 2 PLC, 2.50%, 1/15/26(16) |
EUR | 154 | 184,655 | |||||
NOVA Chemicals Corp., 4.25%, 5/15/29(1) |
1,242 | 1,256,078 | ||||||
Nufarm Australia, Ltd./Nufarm Americas, Inc., 5.75%, 4/30/26(1) |
1,800 | 1,853,685 |
14
Security |
Principal Amount* (000s omitted) |
Value | ||||||
OCI N.V., 3.625%, 10/15/25(16) |
EUR | 100 | $ | 124,001 | ||||
SCIH Salt Holdings, Inc., 6.625%, 5/1/29(1) |
931 | 934,491 | ||||||
SGL Carbon SE, 3.00%, 9/20/23(16) |
EUR | 400 | 466,962 | |||||
SPCM S.A.: | ||||||||
2.625%, 2/1/29(16) |
EUR | 150 | 183,086 | |||||
4.875%, 9/15/25(1) |
1,356 | 1,397,595 | ||||||
Valvoline, Inc.: | ||||||||
3.625%, 6/15/31(1) |
802 | 804,001 | ||||||
4.25%, 2/15/30(1) |
790 | 816,686 | ||||||
W.R. Grace & Co., 4.875%, 6/15/27(1) |
1,472 | 1,562,602 | ||||||
Westlake Chemical Corp., 5.00%, 8/15/46 |
710 | 900,588 | ||||||
|
|
|||||||
$ | 11,942,382 | |||||||
|
|
|||||||
Clothing/Textiles 0.1% |
||||||||
PrestigeBidCo GmbH, 6.25%, 12/15/23(16) |
EUR | 265 | $ | 319,474 | ||||
William Carter Co. (The): | ||||||||
5.50%, 5/15/25(1) |
331 | 351,208 | ||||||
5.625%, 3/15/27(1) |
811 | 855,637 | ||||||
|
|
|||||||
$ | 1,526,319 | |||||||
|
|
|||||||
Commercial Services 0.7% |
||||||||
Abertis Infraestructuras Finance B.V., 3.248% to 11/24/25(16)(17)(18) |
EUR | 300 | $ | 368,609 | ||||
AMN Healthcare, Inc.: | ||||||||
4.00%, 4/15/29(1) |
1,029 | 1,040,010 | ||||||
4.625%, 10/1/27(1) |
458 | 476,870 | ||||||
Autostrade per lItalia SpA: | ||||||||
1.75%, 2/1/27(16) |
EUR | 200 | 245,012 | |||||
2.00%, 12/4/28(16) |
EUR | 400 | 494,973 | |||||
6.25%, 6/9/22 |
GBP | 250 | 362,319 | |||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc.: | ||||||||
5.25%, 3/15/25(1) |
429 | 435,167 | ||||||
5.375%, 3/1/29(1) |
792 | 825,799 | ||||||
5.75%, 7/15/27(1) |
1,215 | 1,271,897 | ||||||
Block Financial, LLC, 3.875%, 8/15/30 |
988 | 1,069,058 | ||||||
Korn Ferry, 4.625%, 12/15/27(1) |
355 | 369,298 | ||||||
Loxam S.A.S., 3.25%, 1/14/25(16) |
EUR | 200 | 239,510 | |||||
Mooney Group SpA, 3.875%, (3 mo. EURIBOR + 3.875%), 12/17/26(2)(16) |
EUR | 110 | 130,889 | |||||
NESCO Holdings II, Inc., 5.50%, 4/15/29(1) |
1,282 | 1,339,690 | ||||||
Nexi SpA, 1.75%, 10/31/24(16) |
EUR | 200 | 242,212 | |||||
Verisure Midholding AB, 5.25%, 2/15/29(16) |
EUR | 175 | 213,731 | |||||
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1) |
1,240 | 1,296,234 | ||||||
|
|
|||||||
$ | 10,421,278 | |||||||
|
|
|||||||
Computers 0.5% |
||||||||
Booz Allen Hamilton, Inc.: | ||||||||
3.875%, 9/1/28(1) |
1,341 | $ | 1,371,219 | |||||
4.00%, 7/1/29(1) |
717 | 734,029 | ||||||
DXC Technology Co., 4.75%, 4/15/27 |
1,000 | 1,152,358 | ||||||
International Business Machines Corp., 2.95%, 5/15/50 |
500 | 504,823 | ||||||
Presidio Holdings, Inc., 8.25%, 2/1/28(1) |
2,368 | 2,583,891 | ||||||
Seagate HDD Cayman: | ||||||||
3.125%, 7/15/29(1) |
865 | 839,292 | ||||||
5.75%, 12/1/34 |
995 | 1,146,384 | ||||||
|
|
|||||||
$ | 8,331,996 | |||||||
|
|
15
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Conglomerates 0.1% |
||||||||
Spectrum Brands, Inc.: | ||||||||
5.00%, 10/1/29(1) |
406 | $ | 431,568 | |||||
5.50%, 7/15/30(1) |
691 | 747,213 | ||||||
|
|
|||||||
$ | 1,178,781 | |||||||
|
|
|||||||
Consumer Products 0.0%(11) |
||||||||
Central Garden & Pet Co., 5.125%, 2/1/28 |
285 | $ | 302,071 | |||||
|
|
|||||||
$ | 302,071 | |||||||
|
|
|||||||
Containers and Glass Products 0.2% |
||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |
||||||||
2.125%, 8/15/26(16) |
EUR | 200 | $ | 237,447 | ||||
5.25%, 8/15/27(1) |
1,661 | 1,696,429 | ||||||
Crown Americas, LLC/Crown Americas Capital Corp. V, 4.25%, 9/30/26 |
660 | 709,691 | ||||||
Crown Americas, LLC/Crown Americas Capital Corp. VI, 4.75%, 2/1/26 |
750 | 779,254 | ||||||
|
|
|||||||
$ | 3,422,821 | |||||||
|
|
|||||||
Cosmetics/Toiletries 0.1% |
||||||||
Edgewell Personal Care Co., 5.50%, 6/1/28(1) |
1,067 | $ | 1,133,154 | |||||
|
|
|||||||
$ | 1,133,154 | |||||||
|
|
|||||||
Distribution & Wholesale 0.3% |
||||||||
BCPE Empire Holdings, Inc., 7.625%, 5/1/27(1) |
2,558 | $ | 2,622,986 | |||||
Parts Europe S.A.: | ||||||||
4.375%, (3 mo. EURIBOR + 4.375%), 5/1/22(2)(16) |
EUR | 307 | 364,375 | |||||
6.50%, 7/16/25(16) |
EUR | 100 | 124,577 | |||||
Performance Food Group, Inc., 5.50%, 10/15/27(1) |
935 | 983,924 | ||||||
|
|
|||||||
$ | 4,095,862 | |||||||
|
|
|||||||
Diversified Financial Services 1.1% |
||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25 |
459 | $ | 538,704 | |||||
Affiliated Managers Group, Inc., 3.30%, 6/15/30 |
849 | 917,695 | ||||||
American AgCredit Corp., 5.25% to 6/15/26(1)(17)(18) |
410 | 417,687 | ||||||
Arrow Global Finance PLC, 2.875%, (3 mo. EURIBOR + 2.875%), 4/1/25(2)(16) |
EUR | 100 | 118,747 | |||||
BrightSphere Investment Group, Inc., 4.80%, 7/27/26 |
2,195 | 2,363,146 | ||||||
CI Financial Corp., 3.20%, 12/17/30 |
1,000 | 1,027,367 | ||||||
Discover Bank, 4.682% to 8/9/23, 8/9/28(17) |
1,750 | 1,860,189 | ||||||
Encore Capital Group, Inc.: | ||||||||
4.25%, (3 mo. EURIBOR + 4.25%), 1/15/28(2)(16) |
EUR | 600 | 731,122 | |||||
5.375%, 2/15/26(16) |
GBP | 100 | 146,239 | |||||
Lincoln Financing S.a.r.l., 3.625%, 4/1/24(16) |
EUR | 245 | 294,497 | |||||
Louvre Bidco S.A.S., 6.50%, 9/30/24(16) |
EUR | 400 | 492,062 | |||||
PRA Group, Inc., 7.375%, 9/1/25(1) |
1,566 | 1,691,280 | ||||||
ProGroup AG, 3.00%, 3/31/26(16) |
EUR | 300 | 360,172 | |||||
Stifel Financial Corp., 4.00%, 5/15/30 |
769 | 854,203 | ||||||
UniCredit SpA: | ||||||||
5.861% to 6/19/27, 6/19/32(1)(17) |
715 | 790,390 | ||||||
7.296% to 4/2/29, 4/2/34(1)(17) |
500 | 601,785 | ||||||
Unifin Financiera SAB de CV, 7.375%, 2/12/26(1) |
620 | 583,578 | ||||||
Vivion Investments S.a.r.l.: | ||||||||
3.00%, 8/8/24(16) |
EUR | 3,400 | 4,027,640 | |||||
3.50%, 11/1/25(16) |
EUR | 100 | 120,614 | |||||
|
|
|||||||
$ | 17,937,117 | |||||||
|
|
16
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Drugs 1.1% |
||||||||
AdaptHealth, LLC: | ||||||||
4.625%, 8/1/29(1) |
405 | $ | 411,103 | |||||
6.125%, 8/1/28(1) |
685 | 730,344 | ||||||
Bausch Health Americas, Inc.: | ||||||||
8.50%, 1/31/27(1) |
3,076 | 3,350,964 | ||||||
9.25%, 4/1/26(1) |
670 | 729,597 | ||||||
Bausch Health Companies, Inc.: | ||||||||
5.25%, 1/30/30(1) |
431 | 401,369 | ||||||
5.25%, 2/15/31(1) |
431 | 403,545 | ||||||
5.50%, 11/1/25(1) |
955 | 981,024 | ||||||
5.75%, 8/15/27(1) |
412 | 438,555 | ||||||
6.25%, 2/15/29(1) |
473 | 468,412 | ||||||
7.00%, 1/15/28(1) |
2,092 | 2,160,952 | ||||||
7.25%, 5/30/29(1) |
544 | 557,440 | ||||||
9.00%, 12/15/25(1) |
2,340 | 2,512,107 | ||||||
Endo Luxembourg Finance Co. I S.a.r.l./Endo US, Inc., 6.125%, 4/1/29(1) |
1,326 | 1,301,137 | ||||||
Hikma Finance USA, LLC, 3.25%, 7/9/25(16) |
1,250 | 1,306,457 | ||||||
Jazz Securities DAC, 4.375%, 1/15/29(1) |
1,371 | 1,423,167 | ||||||
|
|
|||||||
$ | 17,176,173 | |||||||
|
|
|||||||
Ecological Services and Equipment 0.4% |
||||||||
Clean Harbors, Inc.: | ||||||||
4.875%, 7/15/27(1) |
551 | $ | 578,867 | |||||
5.125%, 7/15/29(1) |
332 | 362,229 | ||||||
Covanta Holding Corp.: | ||||||||
5.00%, 9/1/30 |
60 | 63,164 | ||||||
5.875%, 7/1/25 |
860 | 891,859 | ||||||
GFL Environmental, Inc.: | ||||||||
3.50%, 9/1/28(1) |
1,499 | 1,497,358 | ||||||
3.75%, 8/1/25(1) |
776 | 798,310 | ||||||
4.75%, 6/15/29(1) |
2,095 | 2,177,857 | ||||||
Paprec Holding S.A., 3.50%, 7/1/28(3)(16) |
EUR | 129 | 152,766 | |||||
|
|
|||||||
$ | 6,522,410 | |||||||
|
|
|||||||
Electric Utilities 0.7% |
||||||||
Consolidated Edison Co. of New York, Inc., 4.125%, 5/15/49 |
400 | $ | 467,298 | |||||
ContourGlobal Power Holdings S.A., 4.125%, 8/1/25(16) |
EUR | 200 | 242,496 | |||||
Drax Finco PLC, 6.625%, 11/1/25(1) |
635 | 657,698 | ||||||
Edison International, 3.55%, 11/15/24 |
614 | 653,352 | ||||||
EDP - Energias de Portugal S.A., 4.496% to 1/30/24, 4/30/79(16)(17) |
EUR | 300 | 387,963 | |||||
FirstEnergy Corp., Series B, 4.40% to 7/15/21, 7/15/27(20) |
1,630 | 1,774,432 | ||||||
Liberty Utilities Finance GP 1, 2.05%, 9/15/30(1) |
526 | 508,100 | ||||||
Orano S.A., 4.875%, 9/23/24 |
EUR | 200 | 268,892 | |||||
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) |
906 | 940,156 | ||||||
Southern California Edison Co., 4.00%, 4/1/47 |
845 | 890,452 | ||||||
Southern Co. (The), 4.40%, 7/1/46 |
971 | 1,142,209 | ||||||
TenneT Holding B.V., 2.995% to 3/1/24(16)(17)(18) |
EUR | 350 | 436,587 | |||||
Virginia Electric & Power Co., 4.00%, 1/15/43 |
410 | 482,944 | ||||||
WESCO Distribution, Inc.: | ||||||||
7.125%, 6/15/25(1) |
1,024 | 1,107,917 | ||||||
7.25%, 6/15/28(1) |
915 | 1,020,394 | ||||||
|
|
|||||||
$ | 10,980,890 | |||||||
|
|
17
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Electronics/Electrical 0.7% |
||||||||
Electricite de France S.A., 2.875% to 12/15/26(16)(17)(18) |
EUR | 200 | $ | 244,913 | ||||
Engie Energia Chile S.A., 3.40%, 1/28/30(1) |
960 | 986,779 | ||||||
Entegris, Inc., 4.375%, 4/15/28(1) |
727 | 760,260 | ||||||
Imola Merger Corp., 4.75%, 5/15/29(1) |
3,209 | 3,305,270 | ||||||
Jabil, Inc., 3.00%, 1/15/31 |
1,040 | 1,071,452 | ||||||
LogMeIn, Inc., 5.50%, 9/1/27(1) |
662 | 686,527 | ||||||
Open Text Corp., 3.875%, 2/15/28(1) |
1,009 | 1,024,942 | ||||||
Open Text Holdings, Inc., 4.125%, 2/15/30(1) |
883 | 901,587 | ||||||
RWE AG, 6.625% to 3/30/26, 7/30/75(16)(17) |
266 | 309,421 | ||||||
Sensata Technologies, Inc.: | ||||||||
3.75%, 2/15/31(1) |
680 | 673,255 | ||||||
4.375%, 2/15/30(1) |
627 | 661,634 | ||||||
SS&C Technologies, Inc., 5.50%, 9/30/27(1) |
517 | 549,119 | ||||||
Verisure Holding AB, 3.25%, 2/15/27(16) |
EUR | 100 | 118,816 | |||||
|
|
|||||||
$ | 11,293,975 | |||||||
|
|
|||||||
Energy 0.5% |
||||||||
Empresa Electrica Cochrane SpA, 5.50%, 5/14/27(1) |
1,900 | $ | 1,971,006 | |||||
Enviva Partners, L.P./Enviva Partners Finance Corp., 6.50%, 1/15/26(1) |
1,988 | 2,081,436 | ||||||
New Fortress Energy, Inc., 6.50%, 9/30/26(1) |
2,374 | 2,428,721 | ||||||
Sunoco, L.P./Sunoco Finance Corp.: | ||||||||
4.50%, 5/15/29(1) |
884 | 902,140 | ||||||
5.50%, 2/15/26 |
412 | 425,946 | ||||||
|
|
|||||||
$ | 7,809,249 | |||||||
|
|
|||||||
Engineering & Construction 0.3% |
||||||||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 2/1/26(1) |
1,060 | $ | 1,118,565 | |||||
Dycom Industries, Inc., 4.50%, 4/15/29(1) |
1,389 | 1,402,827 | ||||||
VM Consolidated, Inc., 5.50%, 4/15/29(1) |
1,684 | 1,719,465 | ||||||
|
|
|||||||
$ | 4,240,857 | |||||||
|
|
|||||||
Entertainment 0.6% |
||||||||
Caesars Entertainment, Inc.: | ||||||||
6.25%, 7/1/25(1) |
2,521 | $ | 2,675,411 | |||||
8.125%, 7/1/27(1) |
1,589 | 1,769,272 | ||||||
CPUK Finance, Ltd.: | ||||||||
4.50%, 8/28/27(16) |
GBP | 200 | 280,686 | |||||
4.875%, 8/28/25(16) |
GBP | 135 | 189,568 | |||||
Gamma Bidco SpA: | ||||||||
5.125%, 7/15/25(16) |
EUR | 200 | 245,320 | |||||
6.25%, 7/15/25(16) |
EUR | 100 | 125,331 | |||||
Live Nation Entertainment, Inc., 4.75%, 10/15/27(1) |
1,226 | 1,271,975 | ||||||
Powdr Corp., 6.00%, 8/1/25(1) |
1,558 | 1,641,820 | ||||||
Speedway Motorsports, LLC/Speedway Funding II, Inc., 4.875%, 11/1/27(1) |
1,345 | 1,361,974 | ||||||
|
|
|||||||
$ | 9,561,357 | |||||||
|
|
18
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Equipment Leasing 0.1% |
||||||||
Ashtead Capital, Inc.: | ||||||||
4.125%, 8/15/25(1) |
1,425 | $ | 1,461,516 | |||||
4.25%, 11/1/29(1) |
526 | 569,395 | ||||||
|
|
|||||||
$ | 2,030,911 | |||||||
|
|
|||||||
Financial Intermediaries 1.6% |
||||||||
Ally Financial, Inc., 4.70% to 5/15/26(17)(18) |
1,453 | $ | 1,508,505 | |||||
Alpha Holding S.A. de CV: | ||||||||
9.00%, 2/10/25(1)(21) |
765 | 150,418 | ||||||
10.00%, 12/19/22(1)(21) |
200 | 39,000 | ||||||
Citigroup, Inc., 3.98% to 3/20/29, 3/20/30(17) |
1,700 | 1,927,825 | ||||||
Ford Motor Credit Co., LLC: | ||||||||
1.391%, (3 mo. USD LIBOR + 1.24%), 2/15/23(2) |
479 | 477,357 | ||||||
1.416%, (3 mo. USD LIBOR + 1.27%), 3/28/22(2) |
230 | 229,478 | ||||||
2.90%, 2/16/28 |
420 | 418,536 | ||||||
3.087%, 1/9/23 |
439 | 448,329 | ||||||
3.339%, 3/28/22 |
530 | 539,323 | ||||||
3.37%, 11/17/23 |
1,030 | 1,069,070 | ||||||
3.813%, 10/12/21 |
466 | 470,078 | ||||||
3.815%, 11/2/27 |
1,984 | 2,069,067 | ||||||
4.00%, 11/13/30 |
995 | 1,043,506 | ||||||
4.125%, 8/17/27 |
2,739 | 2,909,235 | ||||||
4.25%, 9/20/22 |
500 | 517,645 | ||||||
4.271%, 1/9/27 |
476 | 510,648 | ||||||
5.125%, 6/16/25 |
938 | 1,034,145 | ||||||
5.584%, 3/18/24 |
257 | 281,788 | ||||||
5.596%, 1/7/22 |
1,127 | 1,151,535 | ||||||
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.: | ||||||||
5.25%, 5/15/27 |
1,614 | 1,668,715 | ||||||
6.25%, 5/15/26 |
1,615 | 1,716,260 | ||||||
6.375%, 12/15/25 |
820 | 846,117 | ||||||
JPMorgan Chase & Co.: | ||||||||
Series HH, 4.60% to 2/1/25(17)(18) |
1,674 | 1,736,859 | ||||||
1.04% to 2/4/26, 2/4/27(17) |
1,515 | 1,490,915 | ||||||
MSCI, Inc., 3.625%, 9/1/30(1) |
520 | 533,042 | ||||||
Synovus Financial Corp., 5.90% to 2/7/24, 2/7/29(17) |
1,011 | 1,097,462 | ||||||
|
|
|||||||
$ | 25,884,858 | |||||||
|
|
|||||||
Financial Services 0.6% |
||||||||
Banco BTG Pactual S.A./Cayman Islands, 4.50%, 1/10/25(1) |
1,100 | $ | 1,153,570 | |||||
Bank of America Corp., 1.922% to 10/24/30, 10/24/31(17) |
1,819 | 1,774,540 | ||||||
Brookfield Finance, Inc., 4.70%, 9/20/47 |
1,050 | 1,285,917 | ||||||
Carlyle Finance Subsidiary, LLC, 3.50%, 9/19/29(1) |
1,000 | 1,075,990 | ||||||
Debt and Asset Trading Corp., 1.00%, 10/10/25(16) |
2,600 | 2,338,479 | ||||||
Nordea Bank Abp, 4.625% to 9/13/28, 9/13/33(1)(17) |
1,000 | 1,127,010 | ||||||
|
|
|||||||
$ | 8,755,506 | |||||||
|
|
|||||||
Food Products 1.2% |
||||||||
Bellis Acquisition Co. PLC, 3.25%, 2/16/26(16) |
GBP | 100 | $ | 138,762 | ||||
Chobani, LLC/Chobani Finance Corp., Inc., 4.625%, 11/15/28(1) |
436 | 452,677 | ||||||
HLF Financing S.a.r.l, LLC/Herbalife International, Inc., 4.875%, 6/1/29(1) |
1,696 | 1,710,933 | ||||||
Ingles Markets, Inc., 4.00%, 6/15/31(1) |
854 | 854,000 | ||||||
JBS USA LUX S.A./JBS USA Finance, Inc., 6.75%, 2/15/28(1) |
650 | 715,000 | ||||||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.50%, 1/15/30(1) |
2,391 | 2,677,203 |
19
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Kraft Heinz Foods Co.: | ||||||||
3.875%, 5/15/27 |
1,261 | $ | 1,386,480 | |||||
4.25%, 3/1/31 |
2,286 | 2,599,375 | ||||||
4.375%, 6/1/46 |
2,212 | 2,510,697 | ||||||
4.625%, 10/1/39 |
425 | 496,394 | ||||||
4.875%, 10/1/49 |
600 | 729,952 | ||||||
5.50%, 6/1/50 |
1,261 | 1,640,162 | ||||||
Nomad Foods Bondco PLC, 2.50%, 6/24/28(16) |
EUR | 136 | 162,975 | |||||
Post Holdings, Inc.: | ||||||||
4.50%, 9/15/31(1) |
1,405 | 1,404,438 | ||||||
4.625%, 4/15/30(1) |
1,158 | 1,178,937 | ||||||
Tesco PLC, 6.125%, 2/24/22 |
GBP | 200 | 287,005 | |||||
|
|
|||||||
$ | 18,944,990 | |||||||
|
|
|||||||
Food Service 0.5% |
||||||||
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.: | ||||||||
3.875%, 1/15/28(1) |
1,906 | $ | 1,932,207 | |||||
4.00%, 10/15/30(1) |
2,705 | 2,620,469 | ||||||
4.375%, 1/15/28(1) |
1,014 | 1,029,362 | ||||||
5.75%, 4/15/25(1) |
372 | 394,960 | ||||||
IRB Holding Corp.: | ||||||||
6.75%, 2/15/26(1) |
448 | 464,576 | ||||||
7.00%, 6/15/25(1) |
451 | 487,991 | ||||||
US Foods, Inc., 4.75%, 2/15/29(1) |
1,457 | 1,488,027 | ||||||
|
|
|||||||
$ | 8,417,592 | |||||||
|
|
|||||||
Food/Drug Retailers 0.2% |
||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC: | ||||||||
4.875%, 2/15/30(1) |
1,042 | $ | 1,112,627 | |||||
5.875%, 2/15/28(1) |
1,004 | 1,083,055 | ||||||
Casino Guichard Perrachon S.A.: | ||||||||
4.048% to 8/5/21, 8/5/26(16)(20) |
EUR | 200 | 232,063 | |||||
5.25%, 4/15/27(16) |
EUR | 100 | 121,539 | |||||
|
|
|||||||
$ | 2,549,284 | |||||||
|
|
|||||||
Health Care 3.8% |
||||||||
Amgen, Inc., 3.375%, 2/21/50 |
700 | $ | 740,470 | |||||
Anthem, Inc., 3.125%, 5/15/50 |
500 | 509,268 | ||||||
Avantor Funding, Inc., 4.625%, 7/15/28(1) |
1,156 | 1,221,915 | ||||||
Baxter International, Inc., 3.95%, 4/1/30 |
1,000 | 1,152,591 | ||||||
Centene Corp.: | ||||||||
2.50%, 3/1/31 |
1,992 | 1,967,100 | ||||||
3.00%, 10/15/30 |
2,345 | 2,411,903 | ||||||
3.375%, 2/15/30 |
2,311 | 2,418,866 | ||||||
4.25%, 12/15/27 |
1,795 | 1,893,725 | ||||||
4.625%, 12/15/29 |
1,758 | 1,935,593 | ||||||
5.375%, 6/1/26(1) |
2,690 | 2,814,412 | ||||||
CHS/Community Health Systems, Inc.: | ||||||||
6.125%, 4/1/30(1) |
1,585 | 1,610,756 | ||||||
6.875%, 4/15/29(1) |
1,605 | 1,684,263 | ||||||
DaVita, Inc., 4.625%, 6/1/30(1) |
687 | 707,246 | ||||||
Emergent BioSolutions, Inc., 3.875%, 8/15/28(1) |
1,534 | 1,504,869 |
20
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Encompass Health Corp.: | ||||||||
4.50%, 2/1/28 |
557 | $ | 578,665 | |||||
4.625%, 4/1/31 |
787 | 844,215 | ||||||
4.75%, 2/1/30 |
1,098 | 1,168,151 | ||||||
Gilead Sciences, Inc., 2.60%, 10/1/40 |
750 | 723,458 | ||||||
Grifols S.A., 3.20%, 5/1/25(16) |
EUR | 250 | 299,421 | |||||
HCA, Inc.: | ||||||||
5.375%, 9/1/26 |
1,610 | 1,854,720 | ||||||
5.625%, 9/1/28 |
1,472 | 1,746,160 | ||||||
5.875%, 2/15/26 |
2,705 | 3,132,390 | ||||||
5.875%, 2/1/29 |
1,076 | 1,302,493 | ||||||
IQVIA, Inc.: | ||||||||
2.25%, 1/15/28(16) |
EUR | 250 | 298,860 | |||||
5.00%, 10/15/26(1) |
850 | 882,028 | ||||||
Legacy LifePoint Health, LLC: | ||||||||
4.375%, 2/15/27(1) |
668 | 677,018 | ||||||
6.75%, 4/15/25(1) |
731 | 780,869 | ||||||
LifePoint Health, Inc., 5.375%, 1/15/29(1) |
1,850 | 1,806,368 | ||||||
ModivCare, Inc., 5.875%, 11/15/25(1) |
1,122 | 1,203,440 | ||||||
Molina Healthcare, Inc.: | ||||||||
3.875%, 11/15/30(1) |
1,511 | 1,575,391 | ||||||
4.375%, 6/15/28(1) |
609 | 636,101 | ||||||
MPH Acquisition Holdings, LLC, 5.75%, 11/1/28(1) |
3,072 | 3,091,154 | ||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., |
1,485 | 1,602,649 | ||||||
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51 |
750 | 797,920 | ||||||
Team Health Holdings, Inc., 6.375%, 2/1/25(1) |
2,815 | 2,683,061 | ||||||
Tenet Healthcare Corp.: | ||||||||
4.625%, 9/1/24(1) |
268 | 275,600 | ||||||
4.625%, 6/15/28(1) |
377 | 388,581 | ||||||
4.875%, 1/1/26(1) |
1,607 | 1,668,789 | ||||||
5.125%, 11/1/27(1) |
1,607 | 1,687,406 | ||||||
6.125%, 10/1/28(1) |
932 | 995,833 | ||||||
6.75%, 6/15/23 |
456 | 498,180 | ||||||
Thermo Fisher Scientific, Inc., 4.10%, 8/15/47 |
400 | 489,545 | ||||||
UnitedHealth Group, Inc., 3.75%, 10/15/47 |
650 | 749,766 | ||||||
US Acute Care Solutions, LLC, 6.375%, 3/1/26(1) |
1,684 | 1,745,938 | ||||||
Varex Imaging Corp., 7.875%, 10/15/27(1) |
1,273 | 1,430,432 | ||||||
|
|
|||||||
$ | 60,187,579 | |||||||
|
|
|||||||
Home Furnishings 0.1% |
||||||||
Harman International Industries, Inc., 4.15%, 5/15/25 |
940 | $ | 1,044,178 | |||||
|
|
|||||||
$ | 1,044,178 | |||||||
|
|
|||||||
Homebuilders/Real Estate 0.0%(11) |
||||||||
M/I Homes, Inc., 4.95%, 2/1/28 |
459 | $ | 479,942 | |||||
Meritage Homes Corp., 3.875%, 4/15/29(1) |
128 | 132,640 | ||||||
|
|
|||||||
$ | 612,582 | |||||||
|
|
|||||||
Industrial Equipment 0.1% |
||||||||
Madison IAQ, LLC: | ||||||||
4.125%, 6/30/28(1) |
957 | $ | 967,766 | |||||
5.875%, 6/30/29(1) |
1,199 | 1,221,481 | ||||||
Vertical Midco GmbH, 4.75%, (3 mo. EURIBOR + 4.75%), 7/15/27(2)(16) |
EUR | 115 | 138,237 | |||||
|
|
|||||||
$ | 2,327,484 | |||||||
|
|
21
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Insurance 0.9% |
||||||||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(1) |
2,783 | $ | 2,928,356 | |||||
AmWINS Group, Inc., 7.75%, 7/1/26(1) |
1,557 | 1,654,546 | ||||||
AssuredPartners, Inc., 5.625%, 1/15/29(1) |
450 | 450,900 | ||||||
Athene Holding, Ltd.: | ||||||||
3.50%, 1/15/31 |
1,000 | 1,067,289 | ||||||
3.95%, 5/25/51 |
750 | 805,984 | ||||||
BroadStreet Partners, Inc., 5.875%, 4/15/29(1) |
1,415 | 1,447,842 | ||||||
Galaxy Finco, Ltd., 9.25%, 7/31/27(16) |
GBP | 575 | 843,279 | |||||
GTCR AP Finance, Inc., 8.00%, 5/15/27(1) |
820 | 876,166 | ||||||
Hub International, Ltd., 7.00%, 5/1/26(1) |
2,498 | 2,596,846 | ||||||
MetLife, Inc., 4.05%, 3/1/45 |
300 | 359,346 | ||||||
Old Republic International Corp., 3.85%, 6/11/51 |
444 | 473,623 | ||||||
Radian Group, Inc., 4.875%, 3/15/27 |
1,032 | 1,125,375 | ||||||
|
|
|||||||
$ | 14,629,552 | |||||||
|
|
|||||||
Internet Software & Services 0.8% |
||||||||
Cars.com, Inc., 6.375%, 11/1/28(1) |
1,152 | $ | 1,230,232 | |||||
CDK Global, Inc., 5.25%, 5/15/29(1) |
531 | 580,909 | ||||||
Netflix, Inc.: | ||||||||
3.00%, 6/15/25(16) |
EUR | 100 | 129,287 | |||||
3.625%, 6/15/30(16) |
EUR | 350 | 494,386 | |||||
4.875%, 4/15/28 |
1,665 | 1,937,694 | ||||||
4.875%, 6/15/30(1) |
1,300 | 1,549,834 | ||||||
5.375%, 11/15/29(1) |
1,000 | 1,215,946 | ||||||
5.50%, 2/15/22 |
1,825 | 1,875,543 | ||||||
5.875%, 11/15/28 |
1,810 | 2,223,974 | ||||||
Science Applications International Corp., 4.875%, 4/1/28(1) |
1,277 | 1,343,819 | ||||||
United Group B.V., 4.00%, 11/15/27(16) |
EUR | 100 | 118,065 | |||||
|
|
|||||||
$ | 12,699,689 | |||||||
|
|
|||||||
Leisure Goods/Activities/Movies 1.6% |
||||||||
AMC Entertainment Holdings, Inc.: | ||||||||
10.50%, 4/15/25(1) |
581 | $ | 631,547 | |||||
12.00%, (10.00% cash or 12.00% PIK), 6/15/26(1)(19) |
1,275 | 1,306,875 | ||||||
Carnival Corp.: | ||||||||
5.75%, 3/1/27(1) |
1,316 | 1,380,155 | ||||||
7.625%, 3/1/26(1) |
539 | 586,163 | ||||||
7.625%, 3/1/26(16) |
EUR | 133 | 175,019 | |||||
11.50%, 4/1/23(1) |
531 | 598,264 | ||||||
Carnival PLC, 1.00%, 10/28/29 |
EUR | 220 | 214,869 | |||||
Cinemark USA, Inc.: | ||||||||
5.25%, 7/15/28(1) |
1,257 | 1,289,996 | ||||||
5.875%, 3/15/26(1) |
414 | 434,545 | ||||||
8.75%, 5/1/25(1) |
303 | 332,391 | ||||||
Explorer II AS, 3.375%, 2/24/25 |
EUR | 400 | 444,656 | |||||
LHMC Finco 2 S.a.r.l., 7.25%, (7.25% cash or 8.00% PIK), 10/2/25(16)(19) |
EUR | 309 | 367,111 | |||||
Life Time, Inc.: |
||||||||
5.75%, 1/15/26(1) |
1,268 | 1,315,658 | ||||||
8.00%, 4/15/26(1) |
1,293 | 1,382,372 | ||||||
Motion Finco S.a.r.l., 7.00%, 5/15/25(16) |
EUR | 200 | 251,472 |
22
Security |
Principal Amount* (000s omitted) |
Value | ||||||
National CineMedia, LLC: | ||||||||
5.75%, 8/15/26 |
1,186 | $ | 1,082,225 | |||||
5.875%, 4/15/28(1) |
1,559 | 1,533,994 | ||||||
NCL Corp, Ltd.: | ||||||||
3.625%, 12/15/24(1) |
1,065 | 1,029,882 | ||||||
5.875%, 3/15/26(1) |
662 | 694,911 | ||||||
10.25%, 2/1/26(1) |
955 | 1,112,551 | ||||||
NCL Finance, Ltd., 6.125%, 3/15/28(1) |
343 | 360,462 | ||||||
Playtika Holding Corp., 4.25%, 3/15/29(1) |
1,382 | 1,383,810 | ||||||
Royal Caribbean Cruises, Ltd., 3.70%, 3/15/28 |
692 | 661,953 | ||||||
Viking Cruises, Ltd.: | ||||||||
5.875%, 9/15/27(1) |
3,081 | 3,048,495 | ||||||
6.25%, 5/15/25(1) |
1,690 | 1,688,209 | ||||||
7.00%, 2/15/29(1) |
658 | 686,518 | ||||||
Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29(1) |
422 | 427,315 | ||||||
WMG Acquisition Corp., 3.625%, 10/15/26(16) |
EUR | 165 | 200,770 | |||||
|
|
|||||||
$ | 24,622,188 | |||||||
|
|
|||||||
Lodging and Casinos 1.8% |
||||||||
Accor S.A., 4.375% to 1/30/24(16)(17)(18) |
EUR | 300 | $ | 374,413 | ||||
Caesars Resort Collection, LLC/CRC Finco, Inc., 5.25%, 10/15/25(1) |
3,279 | 3,324,086 | ||||||
Gateway Casinos & Entertainment, Ltd., 8.25%, 3/1/24(1) |
2,831 | 2,844,829 | ||||||
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc.: | ||||||||
4.50%, 9/1/26 |
895 | 957,203 | ||||||
5.625%, 5/1/24 |
480 | 520,417 | ||||||
5.75%, 2/1/27 |
573 | 638,428 | ||||||
MGM Resorts International: | ||||||||
4.75%, 10/15/28 |
1,637 | 1,742,586 | ||||||
5.75%, 6/15/25 |
948 | 1,046,592 | ||||||
7.75%, 3/15/22 |
2,300 | 2,406,835 | ||||||
NH Hotel Group S.A., 4.00%, 7/2/26(16) |
EUR | 100 | 118,679 | |||||
Peninsula Pacific Entertainment, LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(1) |
2,086 | 2,243,003 | ||||||
Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC, 7.00%, 7/15/26(1) |
3,930 | 4,072,738 | ||||||
VICI Properties, L.P./VICI Note Co., Inc.: | ||||||||
3.75%, 2/15/27(1) |
323 | 329,601 | ||||||
4.125%, 8/15/30(1) |
1,108 | 1,140,863 | ||||||
4.25%, 12/1/26(1) |
1,653 | 1,721,550 | ||||||
4.625%, 12/1/29(1) |
2,359 | 2,511,155 | ||||||
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp., 5.25%, 5/15/27(1) |
1,562 | 1,682,196 | ||||||
|
|
|||||||
$ | 27,675,174 | |||||||
|
|
|||||||
Machinery 0.1% |
||||||||
Flowserve Corp., 3.50%, 10/1/30 |
244 | $ | 257,665 | |||||
nVent Finance S.a.r.l., 4.55%, 4/15/28 |
1,500 | 1,649,946 | ||||||
Sofima Holding SpA, 3.75%, 1/15/28(16) |
EUR | 221 | 263,826 | |||||
|
|
|||||||
$ | 2,171,437 | |||||||
|
|
|||||||
Manufacturing 0.2% |
||||||||
Novelis Corp.: | ||||||||
4.75%, 1/30/30(1) |
1,068 | $ | 1,122,735 | |||||
5.875%, 9/30/26(1) |
1,530 | 1,593,502 | ||||||
|
|
|||||||
$ | 2,716,237 | |||||||
|
|
23
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Media 0.5% |
||||||||
Banijay Group S.A.S., 6.50%, 3/1/26(16) |
EUR | 250 | $ | 306,775 | ||||
Beasley Mezzanine Holdings, LLC, 8.625%, 2/1/26(1) |
1,595 | 1,614,938 | ||||||
Discovery Communications, LLC, 4.65%, 5/15/50 |
300 | 351,622 | ||||||
Outfront Media Capital, LLC/Outfront Media Capital Corp.: | ||||||||
4.625%, 3/15/30(1) |
127 | 129,159 | ||||||
6.25%, 6/15/25(1) |
807 | 855,739 | ||||||
Scripps Escrow, Inc., 5.875%, 7/15/27(1) |
1,036 | 1,074,094 | ||||||
Scripps Escrow II, Inc., 5.375%, 1/15/31(1) |
756 | 754,560 | ||||||
Tele Columbus AG, 3.875%, 5/2/25(16) |
EUR | 300 | 360,926 | |||||
Telenet Finance Luxembourg S.a.r.l., 3.50%, 3/1/28(16) |
EUR | 200 | 246,806 | |||||
Urban One, Inc., 7.375%, 2/1/28(1) |
1,960 | 2,119,279 | ||||||
|
|
|||||||
$ | 7,813,898 | |||||||
|
|
|||||||
Metals/Mining 0.9% |
||||||||
Arconic Corp., 6.125%, 2/15/28(1) |
648 | $ | 697,063 | |||||
Cleveland-Cliffs, Inc.: | ||||||||
6.75%, 3/15/26(1) |
2,808 | 3,032,640 | ||||||
9.875%, 10/17/25(1) |
293 | 343,765 | ||||||
Compass Minerals International, Inc., 6.75%, 12/1/27(1) |
3,005 | 3,234,131 | ||||||
Constellium N.V.: | ||||||||
4.25%, 2/15/26(16) |
EUR | 150 | 181,028 | |||||
5.875%, 2/15/26(1) |
837 | 862,905 | ||||||
Freeport-McMoRan, Inc., 5.45%, 3/15/43 |
1,821 | 2,228,285 | ||||||
Hudbay Minerals, Inc.: | ||||||||
4.50%, 4/1/26(1) |
1,085 | 1,090,425 | ||||||
6.125%, 4/1/29(1) |
920 | 980,950 | ||||||
Joseph T. Ryerson & Son, Inc., 8.50%, 8/1/28(1) |
931 | 1,036,729 | ||||||
|
|
|||||||
$ | 13,687,921 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.4% |
||||||||
Eldorado Gold Corp., 9.50%, 6/1/24(1) |
419 | $ | 455,095 | |||||
First Quantum Minerals, Ltd.: |
||||||||
7.25%, 4/1/23(1) |
1,332 | 1,359,479 | ||||||
7.50%, 4/1/25(1) |
1,615 | 1,679,818 | ||||||
New Gold, Inc.: | ||||||||
6.375%, 5/15/25(1) |
671 | 693,646 | ||||||
7.50%, 7/15/27(1) |
2,183 | 2,371,284 | ||||||
|
|
|||||||
$ | 6,559,322 | |||||||
|
|
|||||||
Oil and Gas 5.3% |
||||||||
Aethon III BR, LLC, 9.00%, (1 mo. USD LIBOR + 7.50%, Floor 1.50%), 10/1/25(2) |
2,366 | $ | 2,434,105 | |||||
Aethon United BR, L.P./Aethon United Finance Corp., 8.25%, 2/15/26(1) |
2,170 | 2,352,226 | ||||||
Apache Corp., 4.375%, 10/15/28 |
750 | 799,417 | ||||||
Archrock Partners, L.P./Archrock Partners Finance Corp., 6.25%, 4/1/28(1) |
756 | 790,708 | ||||||
Buckeye Partners, L.P., 4.50%, 3/1/28(1) |
921 | 946,153 | ||||||
Callon Petroleum Co., 8.00%, 8/1/28(1)(3) |
1,287 | 1,303,087 | ||||||
Centennial Resource Production, LLC: | ||||||||
5.375%, 1/15/26(1) |
245 | 240,810 | ||||||
6.875%, 4/1/27(1) |
2,055 | 2,104,402 | ||||||
CNX Resources Corp., 6.00%, 1/15/29(1) |
1,311 | 1,419,308 |
24
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Colgate Energy Partners III, LLC: | ||||||||
5.875%, 7/1/29(1) |
1,993 | $ | 2,070,229 | |||||
7.75%, 2/15/26(1) |
1,376 | 1,513,222 | ||||||
Continental Resources, Inc.: | ||||||||
4.375%, 1/15/28 |
1,220 | 1,353,090 | ||||||
4.90%, 6/1/44 |
47 | 53,288 | ||||||
5.75%, 1/15/31(1) |
1,458 | 1,747,777 | ||||||
CrownRock, L.P./CrownRock Finance, Inc.: | ||||||||
5.00%, 5/1/29(1) |
1,889 | 1,986,482 | ||||||
5.625%, 10/15/25(1) |
2,575 | 2,672,451 | ||||||
CVR Energy, Inc., 5.75%, 2/15/28(1) |
2,905 | 2,935,532 | ||||||
Endeavor Energy Resources, L.P./EER Finance, Inc.: | ||||||||
5.50%, 1/30/26(1) |
1,045 | 1,089,000 | ||||||
5.75%, 1/30/28(1) |
250 | 266,917 | ||||||
6.625%, 7/15/25(1) |
707 | 758,622 | ||||||
Energy Transfer, L.P., Series A, 6.25% to 2/15/23(17)(18) |
300 | 265,500 | ||||||
EQT Corp.: | ||||||||
5.00%, 1/15/29 |
335 | 373,977 | ||||||
7.625% to 8/1/21, 2/1/25(20) |
407 | 475,291 | ||||||
8.50% to 8/1/21, 2/1/30(20) |
594 | 774,724 | ||||||
Great Western Petroleum, LLC/Great Western Finance Corp., 12.00%, 9/1/25(1) |
1,436 | 1,434,507 | ||||||
Hilcorp Energy I, L.P./Hilcorp Finance Co.: | ||||||||
5.75%, 2/1/29(1) |
700 | 730,733 | ||||||
6.00%, 2/1/31(1) |
560 | 594,300 | ||||||
Laredo Petroleum, Inc.: |
| |||||||
9.50%, 1/15/25 |
414 | 436,753 | ||||||
10.125%, 1/15/28 |
622 | 684,822 | ||||||
Matador Resources Co., 5.875%, 9/15/26 |
1,543 | 1,591,373 | ||||||
MEG Energy Corp.: |
| |||||||
5.875%, 2/1/29(1) |
722 | 753,710 | ||||||
7.125%, 2/1/27(1) |
1,550 | 1,655,446 | ||||||
Nabors Industries, Inc., 9.00%, 2/1/25(1) |
661 | 696,605 | ||||||
Nabors Industries, Ltd.: |
| |||||||
7.25%, 1/15/26(1) |
617 | 605,903 | ||||||
7.50%, 1/15/28(1) |
665 | 639,730 | ||||||
National Fuel Gas Co., 2.95%, 3/1/31 |
915 | 922,048 | ||||||
Neptune Energy Bondco PLC, 6.625%, 5/15/25(1) |
3,225 | 3,321,637 | ||||||
NOV, Inc., 3.60%, 12/1/29 |
248 | 259,698 | ||||||
Oasis Petroleum, Inc., 6.375%, 6/1/26(1) |
1,111 | 1,159,862 | ||||||
Occidental Petroleum Corp.: |
| |||||||
2.90%, 8/15/24 |
97 | 99,304 | ||||||
3.40%, 4/15/26 |
455 | 466,514 | ||||||
3.45%, 7/15/24 |
244 | 249,850 | ||||||
3.50%, 8/15/29 |
599 | 601,947 | ||||||
4.20%, 3/15/48 |
931 | 871,691 | ||||||
4.40%, 8/15/49 |
748 | 719,094 | ||||||
4.625%, 6/15/45 |
499 | 488,279 | ||||||
6.125%, 1/1/31 |
1,203 | 1,416,869 | ||||||
6.20%, 3/15/40 |
480 | 543,773 | ||||||
6.45%, 9/15/36 |
615 | 736,100 | ||||||
6.625%, 9/1/30 |
1,511 | 1,815,089 | ||||||
8.50%, 7/15/27 |
1,965 | 2,481,117 | ||||||
8.875%, 7/15/30 |
1,685 | 2,255,701 |
25
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Ovintiv, Inc.: |
| |||||||
6.50%, 8/15/34 |
49 | $ | 64,790 | |||||
6.50%, 2/1/38 |
1,615 | 2,153,574 | ||||||
6.625%, 8/15/37 |
114 | 152,590 | ||||||
8.125%, 9/15/30 |
248 | 338,325 | ||||||
Patterson-UTI Energy, Inc., 3.95%, 2/1/28 |
1,310 | 1,326,769 | ||||||
PBF Holding Co., LLC/PBF Finance Corp., 9.25%, 5/15/25(1) |
2,538 | 2,560,068 | ||||||
Petrobras Global Finance B.V., 6.90%, 3/19/49 |
683 | 815,160 | ||||||
Petroleos Mexicanos: |
| |||||||
6.75%, 9/21/47 |
1,747 | 1,548,296 | ||||||
6.84%, 1/23/30 |
716 | 738,733 | ||||||
Precision Drilling Corp.: |
| |||||||
6.875%, 1/15/29(1) |
932 | 961,125 | ||||||
7.125%, 1/15/26(1) |
500 | 516,017 | ||||||
Shelf Drilling Holdings, Ltd.: |
| |||||||
8.25%, 2/15/25(1) |
1,535 | 1,224,232 | ||||||
8.875%, 11/15/24(1) |
441 | 456,969 | ||||||
Shell International Finance B.V.: |
| |||||||
2.375%, 11/7/29 |
500 | 519,559 | ||||||
3.75%, 9/12/46 |
400 | 454,605 | ||||||
Southwestern Energy Co.: |
| |||||||
7.50%, 4/1/26 |
98 | 103,880 | ||||||
8.375%, 9/15/28 |
1,007 | 1,139,269 | ||||||
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.: |
| |||||||
4.00%, 1/15/32(1) |
1,038 | 1,069,140 | ||||||
4.875%, 2/1/31(1) |
233 | 252,541 | ||||||
5.50%, 3/1/30 |
224 | 246,628 | ||||||
5.875%, 4/15/26 |
985 | 1,037,269 | ||||||
6.50%, 7/15/27 |
566 | 615,163 | ||||||
TechnipFMC PLC, 6.50%, 2/1/26(1) |
856 | 924,504 | ||||||
Tervita Corp., 11.00%, 12/1/25(1) |
1,280 | 1,435,814 | ||||||
Transocean Guardian, Ltd., 5.875%, 1/15/24(1) |
666 | 648,578 | ||||||
Transocean Pontus, Ltd., 6.125%, 8/1/25(1) |
526 | 532,466 | ||||||
Transocean Poseidon, Ltd., 6.875%, 2/1/27(1) |
481 | 484,102 | ||||||
Valero Energy Corp., 4.00%, 4/1/29 |
1,250 | 1,397,044 | ||||||
Williams Cos., Inc. (The), 5.75%, 6/24/44 |
790 | 1,039,053 | ||||||
|
|
|||||||
$ | 83,715,036 | |||||||
|
|
|||||||
Packaging & Containers 0.2% |
| |||||||
ARD Finance S.A., 6.50%, (6.50% cash or 7.25% PIK), 6/30/27(1)(19) |
1,933 | $ | 2,033,671 | |||||
Kleopatra Finco S.a.r.l., 4.25%, 3/1/26(16) |
EUR | 350 | 417,679 | |||||
Trivium Packaging Finance B.V., 3.75%, 8/15/26(16) |
EUR | 280 | 337,581 | |||||
|
|
|||||||
$ | 2,788,931 | |||||||
|
|
|||||||
Pharmaceuticals 0.3% |
| |||||||
AstraZeneca PLC, 0.70%, 4/8/26 |
2,000 | $ | 1,948,761 | |||||
Diocle SpA, 3.875%, (3 mo. EURIBOR + 3.875%), 6/30/26(2)(16) |
EUR | 126 | 149,853 | |||||
Gruenenthal GmbH, 4.125%, 5/15/28(16) |
EUR | 101 | 123,701 | |||||
Herbalife Nutrition, Ltd./HLF Financing, Inc., 7.875%, 9/1/25(1) |
1,169 | 1,272,749 | ||||||
Owens & Minor, Inc., 4.50%, 3/31/29(1) |
1,120 | 1,152,261 | ||||||
Rossini S.a.r.l., 3.875%, (3 mo. EURIBOR + 3.875%), 10/30/25(2)(16) |
EUR | 300 | 356,414 | |||||
|
|
|||||||
$ | 5,003,739 | |||||||
|
|
26
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Pipelines 1.2% |
| |||||||
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.: |
| |||||||
5.75%, 3/1/27(1) |
1,874 | $ | 1,954,666 | |||||
7.875%, 5/15/26(1) |
879 | 985,271 | ||||||
Cheniere Energy Partners, L.P.: |
| |||||||
4.00%, 3/1/31(1) |
2,706 | 2,831,152 | ||||||
4.50%, 10/1/29 |
1,722 | 1,853,302 | ||||||
Cheniere Energy, Inc., 4.625%, 10/15/28(1) |
1,122 | 1,185,113 | ||||||
DT Midstream, Inc., 4.125%, 6/15/29(1) |
1,449 | 1,473,024 | ||||||
EQM Midstream Partners, L.P.: |
| |||||||
4.50%, 1/15/29(1) |
871 | 887,260 | ||||||
4.75%, 1/15/31(1) |
871 | 898,602 | ||||||
6.00%, 7/1/25(1) |
699 | 761,788 | ||||||
6.50%, 7/1/27(1) |
702 | 784,780 | ||||||
Genesis Energy, L.P./Genesis Energy Finance Corp., 8.00%, 1/15/27 |
1,085 | 1,141,284 | ||||||
Kinder Morgan, Inc., 5.05%, 2/15/46 |
500 | 609,309 | ||||||
Magellan Midstream Partners, L.P., 4.20%, 10/3/47 |
300 | 334,036 | ||||||
Plains All American Pipeline, L.P., Series B, 6.125% to 11/15/22(17)(18) |
1,954 | 1,730,658 | ||||||
TransCanada PipeLines, Ltd., 4.75%, 5/15/38 |
390 | 469,481 | ||||||
Western Midstream Operating, L.P.: |
| |||||||
4.50%, 3/1/28 |
148 | 158,553 | ||||||
4.75%, 8/15/28 |
150 | 162,532 | ||||||
5.30% to 8/1/21, 2/1/30(20) |
1,187 | 1,332,847 | ||||||
|
|
|||||||
$ | 19,553,658 | |||||||
|
|
|||||||
Private Equity 0.0%(11) |
| |||||||
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) |
400 | $ | 429,954 | |||||
|
|
|||||||
$ | 429,954 | |||||||
|
|
|||||||
Publishing 0.1% |
| |||||||
Adevinta ASA, 3.00%, 11/15/27(16) |
EUR | 100 | $ | 122,933 | ||||
Nielsen Finance, LLC/Nielsen Finance Co.: |
| |||||||
5.625%, 10/1/28(1) |
447 | 472,660 | ||||||
5.875%, 10/1/30(1) |
447 | 487,665 | ||||||
|
|
|||||||
$ | 1,083,258 | |||||||
|
|
|||||||
Radio and Television 1.3% |
| |||||||
Clear Channel Outdoor Holdings, Inc.: |
| |||||||
7.50%, 6/1/29(1) |
1,168 | $ | 1,210,733 | |||||
7.75%, 4/15/28(1) |
1,517 | 1,591,037 | ||||||
Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/27(1) |
740 | 760,561 | ||||||
Diamond Sports Group, LLC/Diamond Sports Finance Co., 5.375%, 8/15/26(1) |
2,646 | 1,716,725 | ||||||
Entercom Media Corp., 6.75%, 3/31/29(1) |
1,627 | 1,692,096 | ||||||
iHeartCommunications, Inc.: |
| |||||||
6.375%, 5/1/26 |
179 | 190,805 | ||||||
8.375%, 5/1/27 |
2,130 | 2,284,980 | ||||||
Sirius XM Radio, Inc.: |
| |||||||
4.625%, 7/15/24(1) |
1,595 | 1,640,769 | ||||||
5.00%, 8/1/27(1) |
1,609 | 1,689,651 | ||||||
Terrier Media Buyer, Inc., 8.875%, 12/15/27(1) |
3,987 | 4,321,170 | ||||||
Townsquare Media, Inc., 6.875%, 2/1/26(1) |
1,707 | 1,828,624 | ||||||
Univision Communications, Inc., 4.50%, 5/1/29(1) |
1,141 | 1,152,193 | ||||||
|
|
|||||||
$ | 20,079,344 | |||||||
|
|
27
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Real Estate Investment Trusts (REITs) 0.8% |
| |||||||
ADLER Group S.A.: |
| |||||||
2.25%, 1/14/29(16) |
EUR | 300 | $ | 346,159 | ||||
2.75%, 11/13/26(16) |
EUR | 100 | 120,285 | |||||
3.25%, 8/5/25(16) |
EUR | 200 | 245,470 | |||||
Aedas Homes Opco SLU, 4.00%, 8/15/26(16) |
EUR | 105 | 127,614 | |||||
American Assets Trust, L.P., 3.375%, 2/1/31 |
1,000 | 1,031,561 | ||||||
Diversified Healthcare Trust, 4.375%, 3/1/31 |
903 | 866,428 | ||||||
Extra Space Storage, L.P., 2.55%, 6/1/31 |
399 | 402,176 | ||||||
Flamingo LUX II SCA, 5.00%, 3/31/29(16) |
EUR | 265 | 312,819 | |||||
HAT Holdings I, LLC/HAT Holdings II, LLC: |
| |||||||
3.75%, 9/15/30(1) |
905 | 886,592 | ||||||
6.00%, 4/15/25(1) |
716 | 756,851 | ||||||
Heimstaden Bostad AB, 3.00% to 10/29/27(16)(17)(18) |
EUR | 152 | 180,215 | |||||
Neinor Homes S.A., 4.50%, 10/15/26(16) |
EUR | 100 | 121,760 | |||||
Newmark Group, Inc., 6.125%, 11/15/23 |
2,126 | 2,342,720 | ||||||
Service Properties Trust: |
| |||||||
3.95%, 1/15/28 |
1,626 | 1,537,367 | ||||||
4.75%, 10/1/26 |
995 | 984,552 | ||||||
4.95%, 10/1/29 |
158 | 156,143 | ||||||
5.50%, 12/15/27 |
307 | 328,134 | ||||||
7.50%, 9/15/25 |
993 | 1,125,135 | ||||||
Sun Communities Operating, L.P., 2.70%, 7/15/31 |
261 | 261,545 | ||||||
Vornado Realty, L.P., 3.40%, 6/1/31 |
219 | 226,669 | ||||||
WP Carey, Inc., 3.85%, 7/15/29 |
159 | 176,240 | ||||||
|
|
|||||||
$ | 12,536,435 | |||||||
|
|
|||||||
Retail 0.5% |
| |||||||
Carrols Restaurant Group, Inc., 5.875%, 7/1/29(1) |
550 | $ | 543,813 | |||||
Dufry One B.V.: |
| |||||||
2.00%, 2/15/27(16) |
EUR | 100 | 112,054 | |||||
2.50%, 10/15/24(16) |
EUR | 200 | 236,433 | |||||
3.375%, 4/15/28(16) |
EUR | 139 | 163,995 | |||||
eG Global Finance PLC, 6.25%, 10/30/25(16) |
EUR | 300 | 365,303 | |||||
Group 1 Automotive, Inc., 4.00%, 8/15/28(1) |
895 | 911,839 | ||||||
Ken Garff Automotive, LLC, 4.875%, 9/15/28(1) |
957 | 979,734 | ||||||
LCM Investments Holdings II, LLC, 4.875%, 5/1/29(1) |
1,228 | 1,260,235 | ||||||
Punch Finance PLC, 6.125%, 6/30/26(16) |
GBP | 125 | 175,406 | |||||
Stonegate Pub Co. Financing 2019 PLC, 8.25%, 7/31/25(16) |
GBP | 100 | 144,972 | |||||
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., 5.00%, 6/1/31(1) |
824 | 844,600 | ||||||
Victorias Secret & Co., 4.625%, 7/15/29(1)(3) |
941 | 941,000 | ||||||
Walgreens Boots Alliance, Inc., 4.10%, 4/15/50 |
618 | 682,590 | ||||||
Walmart, Inc., 2.95%, 9/24/49 |
500 | 530,970 | ||||||
|
|
|||||||
$ | 7,892,944 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 1.0% |
| |||||||
Dave & Busters, Inc., 7.625%, 11/1/25(1) |
2,331 | $ | 2,511,652 | |||||
L Brands, Inc.: |
| |||||||
6.625%, 10/1/30(1) |
884 | 1,024,335 | ||||||
6.75%, 7/1/36 |
437 | 548,217 | ||||||
6.875%, 11/1/35 |
1,651 | 2,092,642 | ||||||
6.95%, 3/1/33 |
415 | 504,781 | ||||||
7.60%, 7/15/37 |
254 | 321,389 | ||||||
9.375%, 7/1/25(1) |
316 | 409,278 |
28
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Macys Retail Holdings, LLC., 4.30%, 2/15/43 |
1,252 | $ | 1,035,404 | |||||
Murphy Oil USA, Inc.: |
| |||||||
4.75%, 9/15/29 |
728 | 766,937 | ||||||
5.625%, 5/1/27 |
560 | 592,682 | ||||||
Nordstrom, Inc., 5.00%, 1/15/44 |
775 | 773,617 | ||||||
PetSmart, Inc./PetSmart Finance Corp.: |
| |||||||
4.75%, 2/15/28(1) |
1,731 | 1,800,240 | ||||||
7.75%, 2/15/29(1) |
1,778 | 1,962,468 | ||||||
Superior Plus, L.P./Superior General Partner, Inc., 4.50%, 3/15/29(1) |
1,289 | 1,329,359 | ||||||
|
|
|||||||
$ | 15,673,001 | |||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.1% |
| |||||||
ON Semiconductor Corp., 3.875%, 9/1/28(1) |
1,544 | $ | 1,592,767 | |||||
|
|
|||||||
$ | 1,592,767 | |||||||
|
|
|||||||
Software and Services 0.3% |
| |||||||
Black Knight InfoServ, LLC, 3.625%, 9/1/28(1) |
1,337 | $ | 1,331,959 | |||||
Gartner, Inc.: |
| |||||||
3.625%, 6/15/29(1) |
427 | 433,939 | ||||||
3.75%, 10/1/30(1) |
660 | 676,078 | ||||||
4.50%, 7/1/28(1) |
908 | 960,151 | ||||||
Oracle Corp., 2.95%, 4/1/30 |
1,500 | 1,581,384 | ||||||
|
|
|||||||
$ | 4,983,511 | |||||||
|
|
|||||||
Steel 0.6% |
| |||||||
Allegheny Ludlum, LLC, 6.95%, 12/15/25 |
465 | $ | 510,870 | |||||
Allegheny Technologies, Inc.: |
| |||||||
5.875%, 12/1/27 |
320 | 336,333 | ||||||
7.875%, 8/15/23 |
3,109 | 3,412,127 | ||||||
Big River Steel, LLC/BRS Finance Corp., 6.625%, 1/31/29(1) |
1,433 | 1,583,200 | ||||||
Infrabuild Australia Pty, Ltd., 12.00%, 10/1/24(1) |
2,494 | 2,643,839 | ||||||
thyssenkrupp AG, 2.875%, 2/22/24(16) |
EUR | 100 | 120,478 | |||||
TMS International Corp., 6.25%, 4/15/29(1) |
620 | 651,775 | ||||||
|
|
|||||||
$ | 9,258,622 | |||||||
|
|
|||||||
Surface Transport 0.3% |
| |||||||
CMA CGM S.A., 5.25%, 1/15/25(16) |
EUR | 185 | $ | 224,603 | ||||
Hertz Corp. (The): |
| |||||||
5.50%, 10/15/24(1)(21) |
681 | 687,234 | ||||||
6.00%, 1/15/28(1)(21) |
364 | 392,030 | ||||||
6.25%, 10/15/22(21) |
1,041 | 1,050,098 | ||||||
Moto Finance PLC, 4.50%, 10/1/22(16) |
GBP | 250 | 345,047 | |||||
Stena International S.A., 6.125%, 2/1/25(1) |
200 | 208,750 | ||||||
XPO Logistics, Inc., 6.125%, 9/1/23(1) |
2,221 | 2,244,865 | ||||||
|
|
|||||||
$ | 5,152,627 | |||||||
|
|
|||||||
Technology 0.1% |
| |||||||
International Game Technology PLC, 4.125%, 4/15/26(1) |
892 | $ | 929,910 | |||||
Western Union Co. (The), 6.20%, 11/17/36 |
872 | 1,102,020 | ||||||
|
|
|||||||
$ | 2,031,930 | |||||||
|
|
|||||||
Telecommunications 2.6% |
| |||||||
Altice France Holding S.A.: |
| |||||||
6.00%, 2/15/28(1) |
719 | $ | 716,972 | |||||
10.50%, 5/15/27(1) |
1,599 | 1,778,911 | ||||||
AT&T, Inc., 3.55%, 9/15/55(1) |
1,589 | 1,596,641 |
29
Security |
Principal Amount* (000s omitted) |
Value | ||||||
Connect Finco S.a.r.l./Connect US Finco, LLC, 6.75%, 10/1/26(1) |
2,698 | $ | 2,856,534 | |||||
DKT Finance ApS, 9.375%, 6/17/23(1) |
200 | 204,750 | ||||||
eircom Finance DAC, 3.50%, 5/15/26(16) |
EUR | 200 | 243,248 | |||||
LCPR Senior Secured Financing DAC, 5.125%, 7/15/29(1) |
840 | 871,004 | ||||||
Level 3 Financing, Inc., 4.25%, 7/1/28(1) |
400 | 406,436 | ||||||
Lorca Telecom Bondco S.A.U., 4.00%, 9/18/27(16) |
EUR | 100 | 120,958 | |||||
Lumen Technologies, Inc., 7.50%, 4/1/24 |
47 | 52,816 | ||||||
Matterhorn Telecom S.A., 3.125%, 9/15/26(16) |
EUR | 200 | 238,514 | |||||
Nokia Oyj, 6.625%, 5/15/39 |
600 | 778,305 | ||||||
PLT VII Finance S.a.r.l., 4.625%, 1/5/26(16) |
EUR | 200 | 245,587 | |||||
SES GLOBAL Americas Holdings GP, 5.30%, 3/25/44(1) |
314 | 368,192 | ||||||
SES S.A., 5.30%, 4/4/43(1) |
186 | 218,633 | ||||||
SoftBank Group Corp., 2.875%, 1/6/27(3)(16) |
EUR | 200 | 237,150 | |||||
Sprint Capital Corp., 6.875%, 11/15/28 |
1,951 | 2,504,596 | ||||||
Sprint Communications, Inc., 6.00%, 11/15/22 |
365 | 386,900 | ||||||
Sprint Corp.: |
| |||||||
7.25%, 9/15/21 |
3,265 | 3,320,064 | ||||||
7.625%, 2/15/25 |
1,785 | 2,123,043 | ||||||
7.625%, 3/1/26 |
993 | 1,214,072 | ||||||
7.875%, 9/15/23 |
7,378 | 8,391,191 | ||||||
Summer (BC) Bidco B, LLC, 5.50%, 10/31/26(1)(3) |
907 | 923,272 | ||||||
Summer (BC) Holdco A S.a.r.l., 9.25%, 10/31/27(16) |
EUR | 270 | 348,370 | |||||
Summer (BC) Holdco B S.a.r.l., 5.75%, 10/31/26(16) |
EUR | 150 | 186,532 | |||||
T-Mobile USA, Inc.: |
| |||||||
2.25%, 2/15/26 |
1,121 | 1,130,809 | ||||||
2.625%, 2/15/29 |
1,064 | 1,052,030 | ||||||
2.875%, 2/15/31 |
638 | 634,013 | ||||||
3.875%, 4/15/30 |
1,000 | 1,121,250 | ||||||
4.50%, 2/1/26 |
980 | 1,001,619 | ||||||
4.75%, 2/1/28 |
1,045 | 1,120,763 | ||||||
Telecom Italia Capital S.A., 6.00%, 9/30/34 |
816 | 942,480 | ||||||
Telecom Italia Finance S.A., 7.75%, 1/24/33 |
EUR | 215 | 374,557 | |||||
Telecom Italia SpA: |
| |||||||
2.50%, 7/19/23(16) |
EUR | 400 | 494,774 | |||||
2.75%, 4/15/25(16) |
EUR | 256 | 320,650 | |||||
3.00%, 9/30/25(16) |
EUR | 140 | 177,940 | |||||
5.303%, 5/30/24(1) |
1,118 | 1,226,530 | ||||||
Vmed O2 UK Financing I PLC, 3.25%, 1/31/31(16) |
EUR | 400 | 476,935 | |||||
Vodafone Group PLC, 4.875% to 7/3/25, 10/3/78(16)(17) |
GBP | 350 | 527,262 | |||||
Zayo Group Holdings, Inc., 6.125%, 3/1/28(1) |
396 | 404,965 | ||||||
|
|
|||||||
$ | 41,339,268 | |||||||
|
|
|||||||
Transportation 0.3% |
| |||||||
A.P. Moller - Maersk A/S, 4.50%, 6/20/29(1) |
1,000 | $ | 1,158,880 | |||||
Cargo Aircraft Management, Inc., 4.75%, 2/1/28(1) |
1,520 | 1,555,021 | ||||||
FedEx Corp., 4.10%, 2/1/45 |
500 | 572,320 | ||||||
XPO CNW, Inc., 6.70%, 5/1/34 |
1,000 | 1,197,500 | ||||||
|
|
|||||||
$ | 4,483,721 | |||||||
|
|
|||||||
Utilities 1.1% |
| |||||||
AES Corp. (The), 2.45%, 1/15/31(1) |
556 | $ | 551,022 | |||||
Calpine Corp.: |
| |||||||
4.50%, 2/15/28(1) |
1,073 | 1,095,801 | ||||||
4.625%, 2/1/29(1) |
680 | 670,443 |
30
Security |
Principal Amount* (000s omitted) |
Value | ||||||
5.00%, 2/1/31(1) |
910 | $ | 907,270 | |||||
5.125%, 3/15/28(1) |
1,511 | 1,539,580 | ||||||
5.25%, 6/1/26(1) |
697 | 718,931 | ||||||
ENERGO-PRO AS, 4.50%, 5/4/24(16) |
EUR | 450 | 527,030 | |||||
Leeward Renewable Energy Operations, LLC, 4.25%, 7/1/29(1)(3) |
838 | 850,570 | ||||||
NextEra Energy Operating Partners, L.P.: |
| |||||||
4.25%, 9/15/24(1) |
60 | 63,375 | ||||||
4.50%, 9/15/27(1) |
804 | 871,656 | ||||||
NRG Energy, Inc.: |
| |||||||
3.375%, 2/15/29(1) |
664 | 652,055 | ||||||
3.625%, 2/15/31(1) |
1,107 | 1,089,233 | ||||||
5.25%, 6/15/29(1) |
673 | 716,819 | ||||||
5.75%, 1/15/28 |
1,455 | 1,553,976 | ||||||
7.25%, 5/15/26 |
1,278 | 1,328,123 | ||||||
TerraForm Power Operating, LLC: |
| |||||||
4.25%, 1/31/23(1) |
655 | 673,107 | ||||||
5.00%, 1/31/28(1) |
1,497 | 1,589,500 | ||||||
Vistra Operations Co., LLC: | ||||||||
4.375%, 5/1/29(1) |
1,415 | 1,423,844 | ||||||
5.00%, 7/31/27(1) |
1,278 | 1,313,631 | ||||||
|
|
|||||||
$ | 18,135,966 | |||||||
|
|
|||||||
Total Corporate Bonds |
$ | 792,997,056 | ||||||
|
|
|||||||
Exchange-Traded Funds 0.0%(11) |
||||||||
Security | Shares | Value | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF |
5,280 | $ | 580,589 | |||||
|
|
|||||||
Total Exchange-Traded Funds |
$ | 580,589 | ||||||
|
|
|||||||
Preferred Stocks 0.2% |
||||||||
Security | Shares | Value | ||||||
Building and Development 0.1% |
||||||||
Brookfield Property Partners, L.P., Series A, 5.75%(13) |
40,000 | $ | 998,800 | |||||
|
|
|||||||
$ | 998,800 | |||||||
|
|
|||||||
Financial Services 0.0% |
||||||||
DBI Investors, Inc., Series A-1(12)(13)(14) |
1,932 | $ | 0 | |||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.0%(11) |
||||||||
ACNR Holdings, Inc., 15.00% (PIK)(12)(13) |
1,803 | $ | 189,315 | |||||
|
|
|||||||
$ | 189,315 | |||||||
|
|
|||||||
Pipelines 0.1% |
||||||||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(17) |
31,158 | $ | 688,903 | |||||
|
|
|||||||
$ | 688,903 | |||||||
|
|
31
Security | Shares | Value | ||||||
Retailers (Except Food and Drug) 0.0% |
||||||||
Davids Bridal, LLC Series A, 8.00% (PIK)(12)(13)(14) |
1,136 | $ | 0 | |||||
Davids Bridal, LLC Series B, 10.00% (PIK)(12)(13)(14) |
4,631 | 0 | ||||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Telecommunications 0.0%(11) |
||||||||
United States Cellular Corp., 6.25%(13) |
18,950 | $ | 518,662 | |||||
|
|
|||||||
$ | 518,662 | |||||||
|
|
|||||||
Total Preferred Stocks |
$ | 2,395,680 | ||||||
|
|
|||||||
Senior Floating-Rate Loans 50.2%(22) |
||||||||
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Aerospace and Defense 1.1% |
||||||||
Aernnova Aerospace S.A.U.: | ||||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/22/27 |
EUR | 204 | $ | 233,520 | ||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 2/26/27 |
EUR | 796 | 910,729 | |||||
AI Convoy (Luxembourg) S.a.r.l.: | ||||||||
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 1/18/27 |
EUR | 1,000 | 1,183,190 | |||||
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), 1/17/27 |
741 | 741,088 | ||||||
Dynasty Acquisition Co., Inc.: |
|
|||||||
Term Loan, 3.647%, (3 mo. USD LIBOR + 3.50%), 4/6/26 |
352 | 343,390 | ||||||
Term Loan, 3.647%, (3 mo. USD LIBOR + 3.50%), 4/6/26 |
655 | 638,706 | ||||||
IAP Worldwide Services, Inc.: |
|
|||||||
Revolving Loan, 0.75%, 7/18/23(23) |
172 | 172,315 | ||||||
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 6.50%, Floor 1.50%), 7/18/23(14) |
221 | 181,591 | ||||||
Spirit Aerosystems, Inc., Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), 1/15/25 |
398 | 401,731 | ||||||
TransDigm, Inc.: |
|
|||||||
Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 8/22/24 |
1,357 | 1,342,082 | ||||||
Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 12/9/25 |
5,460 | 5,385,615 | ||||||
WP CPP Holdings, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 4/30/25 |
6,571 | 6,442,047 | ||||||
|
|
|||||||
$ | 17,976,004 | |||||||
|
|
|||||||
Air Transport 0.2% |
| |||||||
Mileage Plus Holdings, LLC, Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), 6/21/27 |
750 | $ | 801,621 | |||||
SkyMiles IP, Ltd., Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/20/27 |
1,950 | 2,061,881 | ||||||
|
|
|||||||
$ | 2,863,502 | |||||||
|
|
|||||||
Automotive 1.6% |
| |||||||
Adient US, LLC, Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 4/8/28 |
875 | $ | 877,279 | |||||
American Axle and Manufacturing, Inc., Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 4/6/24 |
1,885 | 1,883,440 | ||||||
Belron Finance US, LLC, Term Loan, 3.25%, (3 mo. USD LIBOR + 2.75%, Floor 0.50%), 4/13/28 |
848 | 846,109 | ||||||
Belron Luxembourg S.a r.l., Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 4/13/28 |
EUR | 500 | 589,355 | |||||
Bright Bidco B.V., Term Loan, 4.50%, (USD LIBOR + 3.50%, Floor 1.00%), |
1,730 | 1,454,040 |
32
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Chassix, Inc., Term Loan, 6.50%, (USD LIBOR + 5.50%, Floor 1.00%), 11/15/23(24) |
1,448 | $ | 1,440,866 | |||||
Clarios Global, L.P., Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), 4/30/26 |
EUR | 1,450 | 1,709,339 | |||||
Dayco Products, LLC, Term Loan, 4.385%, (3 mo. USD LIBOR + 4.25%), 5/19/23 |
1,152 | 1,103,040 | ||||||
Garrett LX I S.a.r.l.: |
|
|||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 4/30/28 |
EUR | 1,000 | 1,185,750 | |||||
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 4/30/28 |
650 | 653,656 | ||||||
Gates Global, LLC: |
|
|||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 4/1/24 |
EUR | 869 | 1,026,735 | |||||
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), 3/31/27 |
4,000 | 3,996,553 | ||||||
Les Schwab Tire Centers, Term Loan, 4.25%, (6 mo. USD LIBOR + 3.50%, Floor 0.75%), 11/2/27 |
2,512 | 2,518,656 | ||||||
MajorDrive Holdings IV, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 4.00%, Floor 0.50%), 5/12/28 |
450 | 451,195 | ||||||
Tenneco, Inc., Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 10/1/25 |
3,681 | 3,652,100 | ||||||
Thor Industries, Inc., Term Loan, 3.125%, (1 mo. USD LIBOR + 3.00%), 2/1/26 |
1,085 | 1,087,475 | ||||||
TI Group Automotive Systems, LLC, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 12/16/26 |
EUR | 530 | 632,919 | |||||
Wheel Pros, Inc., Term Loan, 5.25%, (1 mo. USD LIBOR + 4.50%, Floor 0.75%), 5/11/28 |
750 | 752,761 | ||||||
|
|
|||||||
$ | 25,861,268 | |||||||
|
|
|||||||
Beverage and Tobacco 0.0%(11) |
| |||||||
City Brewing Company, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 4/5/28 |
775 | $ | 778,875 | |||||
|
|
|||||||
$ | 778,875 | |||||||
|
|
|||||||
Brokerage/Securities Dealers/Investment Houses 0.3% |
| |||||||
Advisor Group, Inc., Term Loan, 4.604%, (1 mo. USD LIBOR + 4.50%), 7/31/26 |
1,157 | $ | 1,161,386 | |||||
Clipper Acquisitions Corp., Term Loan, 1.836%, (1 mo. USD LIBOR + 1.75%), 3/3/28 |
1,234 | 1,222,864 | ||||||
Hudson River Trading, LLC, Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 3/20/28 |
1,945 | 1,940,667 | ||||||
|
|
|||||||
$ | 4,324,917 | |||||||
|
|
|||||||
Building and Development 2.0% |
| |||||||
ACProducts, Inc., Term Loan, 4.75%, (6 mo. USD LIBOR + 4.25%, Floor 0.50%), 5/5/28 |
1,775 | $ | 1,768,897 | |||||
Advanced Drainage Systems, Inc., Term Loan, 2.375%, (1 mo. USD LIBOR + 2.25%), 7/31/26 |
204 | 205,074 | ||||||
Aegion Corporation, Term Loan, 5.50%, (3 mo. USD LIBOR + 4.75%, Floor 0.75%), 5/17/28 |
475 | 480,937 | ||||||
American Builders & Contractors Supply Co., Inc., Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 1/15/27 |
2,407 | 2,392,627 | ||||||
American Residential Services, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 10/15/27 |
572 | 572,483 | ||||||
APi Group DE, Inc., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 10/1/26 |
1,449 | 1,448,026 | ||||||
Brookfield Property REIT, Inc., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 8/27/25 |
997 | 974,882 | ||||||
Core & Main L.P., Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor |
1,163 | 1,164,112 | ||||||
CPG International, Inc., Term Loan, 3.25%, (3 mo. USD LIBOR + 2.50%, Floor 0.75%), 5/5/24 |
976 | 976,215 |
33
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 8/21/25 |
5,753 | $ | 5,713,148 | |||||
Foundation Building Materials Holding Company, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 2/3/28 |
1,125 | 1,118,772 | ||||||
Quikrete Holdings, Inc.: |
|
|||||||
Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 2/1/27 |
2,960 | 2,935,871 | ||||||
Term Loan, 5/12/28(25) |
2,175 | 2,160,591 | ||||||
RE/MAX International, Inc., Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), 12/15/23 |
2,182 | 2,184,705 | ||||||
Realogy Group, LLC, Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 2/8/25 |
203 | 202,526 | ||||||
SRS Distribution, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.75%, Floor 0.50%), 6/2/28 |
1,000 | 1,000,391 | ||||||
Werner FinCo L.P., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), 7/24/24 |
1,011 | 1,013,817 | ||||||
White Cap Buyer, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 4.00%, Floor 0.50%), 10/19/27 |
2,090 | 2,095,050 | ||||||
WireCo WorldGroup, Inc.: |
|
|||||||
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), 9/30/23 |
1,296 | 1,298,299 | ||||||
Term Loan - Second Lien, 10.00%, (6 mo. USD LIBOR + 9.00%, Floor 1.00%), 9/30/24 |
1,319 | 1,279,861 | ||||||
|
|
|||||||
$ | 30,986,284 | |||||||
|
|
|||||||
Business Equipment and Services 4.8% |
| |||||||
Adtalem Global Education, Inc., Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 4/11/25 |
412 | $ | 410,532 | |||||
AlixPartners, LLP: |
|
|||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/4/28 |
EUR | 998 | 1,181,246 | |||||
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.75%, Floor 0.50%), 2/4/28 |
1,421 | 1,416,897 | ||||||
Allied Universal Holdco, LLC, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.75%, Floor 0.50%), 5/12/28 |
2,740 | 2,751,836 | ||||||
Amentum Government Services Holdings, LLC, Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 1/29/27 |
1,015 | 1,013,482 | ||||||
AppLovin Corporation, Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 8/15/25 |
2,911 | 2,909,950 | ||||||
Artera Services, LLC, Term Loan, 3/6/25(25) |
1,050 | 1,046,719 | ||||||
ASGN Incorporated, Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/2/25 |
313 | 313,835 | ||||||
Asplundh Tree Expert, LLC, Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 9/7/27 |
1,117 | 1,114,546 | ||||||
Blitz 20-487 GmbH, Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), 4/28/28 |
EUR | 1,000 | 1,184,786 | |||||
Bracket Intermediate Holding Corp., Term Loan, 4.444%, (3 mo. USD LIBOR + 4.25%), 9/5/25 |
924 | 924,260 | ||||||
Brand Energy & Infrastructure Services, Inc., Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 6/21/24 |
576 | 567,360 | ||||||
Camelot U.S. Acquisition 1 Co.: |
|
|||||||
Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 10/30/26 |
1,822 | 1,817,694 | ||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 10/30/26 |
1,070 | 1,071,497 | ||||||
CCC Information Services, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 4/29/24 |
1,911 | 1,913,089 | ||||||
Ceridian HCM Holding, Inc., Term Loan, 2.594%, (1 week USD LIBOR + 2.50%), 4/30/25 |
1,507 | 1,487,591 | ||||||
CM Acquisition Co., Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), 7/26/23 |
256 | 254,316 |
34
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Deerfield Dakota Holding, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 4/9/27 |
1,955 | $ | 1,966,819 | |||||
EAB Global, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 11/15/24 |
1,379 | 1,379,118 | ||||||
Endure Digital, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 2/10/28 |
2,800 | 2,792,126 | ||||||
First Advantage Holdings, LLC, Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 1/31/27 |
606 | 604,018 | ||||||
Garda World Security Corporation, Term Loan, 4.35%, (1 mo. USD LIBOR + 4.25%), 10/30/26 |
859 | 863,816 | ||||||
Grab Holdings, Inc., Term Loan, 5.50%, (6 mo. USD LIBOR + 4.50%, Floor 1.00%), 1/29/26 |
2,145 | 2,187,517 | ||||||
Greeneden U.S. Holdings II, LLC: |
|
|||||||
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), 12/1/27 |
EUR | 748 | 890,847 | |||||
Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/1/27 |
823 | 825,876 | ||||||
IG Investment Holdings, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 5/23/25 |
2,866 | 2,874,973 | ||||||
Intrado Corporation, Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), 10/10/24 |
1,054 | 1,032,732 | ||||||
IRI Holdings, Inc., Term Loan, 4.354%, (1 mo. USD LIBOR + 4.25%), 12/1/25 |
9,906 | 9,921,903 | ||||||
Iron Mountain, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 1/2/26 |
895 | 879,276 | ||||||
Ivanti Software, Inc.: |
|
|||||||
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/1/27 |
673 | 671,419 | ||||||
Term Loan, 5.75%, (3 mo. USD LIBOR + 4.75%, Floor 1.00%), 12/1/27 |
2,494 | 2,499,984 | ||||||
KAR Auction Services, Inc., Term Loan, 2.375%, (1 mo. USD LIBOR + 2.25%), 9/19/26 |
639 | 633,037 | ||||||
KUEHG Corp.: |
|
|||||||
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 2/21/25 |
2,260 | 2,229,618 | ||||||
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), 8/22/25 |
425 | 421,813 | ||||||
LGC Group Holdings, Ltd., Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), 4/21/27 |
EUR | 1,000 | 1,174,387 | |||||
Loire Finco Luxembourg S.a.r.l., Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 4/21/27 |
347 | 341,460 | ||||||
Magnite, Inc., Term Loan, 5.75%, (3 mo. USD LIBOR + 5.00%, Floor 0.75%), 4/1/28 |
650 | 650,000 | ||||||
Monitronics International, Inc., Term Loan, 7.75%, (1 mo. USD LIBOR + 6.50%, Floor 1.25%), 3/29/24 |
1,988 | 1,939,602 | ||||||
Nielsen Consumer, Inc.: |
|
|||||||
Term Loan, 4.00%, (1 mo. EURIBOR + 4.00%), 3/6/28 |
EUR | 748 | 890,139 | |||||
Term Loan, 4.08%, (1 mo. USD LIBOR + 4.00%), 3/6/28 |
673 | 675,417 | ||||||
Packaging Coordinators Midco, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 11/30/27 |
1,097 | 1,099,445 | ||||||
PGX Holdings, Inc., Term Loan, 10.50%, (3 mo. USD LIBOR + 9.50%, Floor 1.00%), 6.25% cash, 4.25% PIK, 9/29/23 |
720 | 687,737 | ||||||
Prime Security Services Borrower, LLC, Term Loan, 3.50%, (USD LIBOR + 2.75%, Floor 0.75%), 9/23/26(24) |
1,540 | 1,540,464 | ||||||
Rockwood Service Corporation, Term Loan, 4.104%, (1 mo. USD LIBOR + 4.00%), 1/23/27 |
481 | 482,872 | ||||||
Skopima Merger Sub, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 4.00%, Floor 0.50%), 4/30/28 |
1,000 | 1,000,000 | ||||||
SMG US Midco 2, Inc., Term Loan, 2.662%, (USD LIBOR + 2.50%), 1/23/25(24) |
242 | 234,884 |
35
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Sothebys, Term Loan, 5.50%, (3 mo. USD LIBOR + 4.75%, Floor 0.75%), 1/15/27 |
640 | $ | 644,758 | |||||
Speedster Bidco GmbH, Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 3/31/27 |
EUR | 1,000 | 1,166,112 | |||||
Spin Holdco, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 3/1/28 |
3,890 | 3,897,544 | ||||||
team.blue Finco S.a.r.l.: |
|
|||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 3/27/28 |
EUR | 946 | 1,120,534 | |||||
Term Loan, 3/27/28(25) |
EUR | 54 | 64,031 | |||||
Techem Verwaltungsgesellschaft 675 mbH, Term Loan, 2.375%, (1 mo. EURIBOR + 2.375%), 7/15/25 |
EUR | 826 | 969,493 | |||||
Tempo Acquisition, LLC, Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 11/2/26 |
845 | 847,368 | ||||||
Vestcom Parent Holdings, Inc., Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 12/19/23 |
820 | 821,132 | ||||||
West Corporation, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 10/10/24 |
303 | 294,043 | ||||||
Zephyr Bidco Limited, Term Loan, 4.805%, (1 mo. GBP LIBOR + 4.75%), 7/23/25 |
GBP | 775 | 1,061,671 | |||||
|
|
|||||||
$ | 75,657,621 | |||||||
|
|
|||||||
Cable and Satellite Television 1.9% |
| |||||||
CSC Holdings, LLC: |
|
|||||||
Term Loan, 2.323%, (1 mo. USD LIBOR + 2.25%), 7/17/25 |
3,903 | $ | 3,861,382 | |||||
Term Loan, 2.323%, (1 mo. USD LIBOR + 2.25%), 1/15/26 |
1,051 | 1,038,170 | ||||||
Term Loan, 2.573%, (1 mo. USD LIBOR + 2.50%), 4/15/27 |
1,341 | 1,330,644 | ||||||
Numericable Group S.A.: |
|
|||||||
Term Loan, 2.936%, (3 mo. USD LIBOR + 2.75%), 7/31/25 |
2,064 | 2,035,835 | ||||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 7/31/25 |
EUR | 504 | 589,215 | |||||
Telenet International Finance S.a.r.l., Term Loan, 2.25%, (6 mo. EURIBOR + 2.25%), 4/30/29 |
EUR | 1,750 | 2,060,056 | |||||
UPC Broadband Holding B.V.: |
|
|||||||
Term Loan, 2.323%, (1 mo. USD LIBOR + 2.25%), 4/30/28 |
900 | 890,196 | ||||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 4/30/29 |
EUR | 1,500 | 1,764,174 | |||||
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), 1/31/29 |
EUR | 3,000 | 3,543,466 | |||||
UPC Financing Partnership, Term Loan, 3.073%, (1 mo. USD LIBOR + 3.00%), 1/31/29 |
3,025 | 3,010,504 | ||||||
Virgin Media Bristol, LLC, Term Loan, 3.353%, (1 mo. USD LIBOR + 3.25%), 1/31/29 |
1,150 | 1,149,550 | ||||||
Virgin Media Ireland, Limited, Term Loan, 6/17/29(25) |
EUR | 1,000 | 1,181,727 | |||||
Virgin Media SFA Finance Limited: |
|
|||||||
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 1/31/29 |
EUR | 1,300 | 1,529,395 | |||||
Term Loan, 3.305%, (1 mo. GBP LIBOR + 3.25%), 11/15/27 |
GBP | 1,500 | 2,048,187 | |||||
Ziggo B.V., Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 1/31/29 |
EUR | 3,750 | 4,418,519 | |||||
|
|
|||||||
$ | 30,451,020 | |||||||
|
|
|||||||
Chemicals and Plastics 2.3% |
| |||||||
Aruba Investments, Inc., Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 11/24/27 |
EUR | 998 | $ | 1,187,221 | ||||
Atotech B.V., Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 3/18/28 |
EUR | 1,000 | 1,178,339 | |||||
Azelis Finance S.A., Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 11/7/25 |
EUR | 1,925 | 2,269,015 | |||||
Caldic B.V., Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 7/18/24 |
EUR | 1,000 | 1,167,964 | |||||
Emerald Performance Materials, LLC, Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), 8/12/25 |
1,904 | 1,912,288 | ||||||
Ferro Corporation: |
|
|||||||
Term Loan, 2.397%, (3 mo. USD LIBOR + 2.25%), 2/14/24 |
151 | 151,161 | ||||||
Term Loan, 2.397%, (3 mo. USD LIBOR + 2.25%), 2/14/24 |
155 | 154,447 |
36
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Term Loan, 2.397%, (3 mo. USD LIBOR + 2.25%), 2/14/24 |
216 | $ | 216,109 | |||||
Flint Group GmbH, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23 |
31 | 30,902 | ||||||
Flint Group US, LLC, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, 9/21/23 |
187 | 186,929 | ||||||
Hexion, Inc.: |
|
|||||||
Term Loan, 3.71%, (3 mo. USD LIBOR + 3.50%), 7/1/26 |
760 | 760,766 | ||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 7/1/26 |
EUR | 759 | 904,274 | |||||
Illuminate Buyer, LLC, Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 6/30/27 |
796 | 792,191 | ||||||
INEOS 226 Limited, Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), 1/29/26 |
EUR | 1,000 | 1,178,413 | |||||
INEOS Enterprises Holdings II Limited, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 8/31/26 |
EUR | 200 | 237,265 | |||||
INEOS Enterprises Holdings US Finco, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 8/28/26 |
222 | 222,921 | ||||||
INEOS Finance PLC, Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), 4/1/24 |
EUR | 1,215 | 1,434,741 | |||||
INEOS Styrolution Group GmbH, Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), 1/29/27 |
EUR | 1,000 | 1,176,034 | |||||
INEOS Styrolution US Holding, LLC, Term Loan, 3.25%, (1 mo. USD LIBOR + 2.75%, Floor 0.50%), 1/29/26 |
2,350 | 2,348,165 | ||||||
Lonza Group AG: |
|
|||||||
Term Loan, 4/29/28(25) |
EUR | 1,000 | 1,186,083 | |||||
Term Loan, 4/29/28(25) |
1,250 | 1,252,187 | ||||||
LSF11 Skyscraper Holdco S.a.r.l., Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 9/29/27 |
EUR | 1,000 | 1,179,327 | |||||
Messer Industries GmbH, Term Loan, 2.647%, (3 mo. USD LIBOR + 2.50%), 3/1/26 |
1,442 | 1,434,257 | ||||||
Minerals Technologies, Inc., Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 2/14/24 |
922 | 925,573 | ||||||
Momentive Performance Materials, Inc., Term Loan, 3.36%, (1 mo. USD LIBOR + 3.25%), 5/15/24 |
466 | 463,269 | ||||||
Orion Engineered Carbons GmbH: |
|
|||||||
Term Loan, 2.147%, (3 mo. USD LIBOR + 2.00%), 7/25/24 |
695 | 692,028 | ||||||
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), 7/25/24 |
EUR | 949 | 1,127,323 | |||||
PMHC II, Inc., Term Loan, 4.50%, (USD LIBOR + 3.50%, Floor 1.00%), 3/31/25(24) |
2,650 | 2,633,875 | ||||||
PQ Corporation, Term Loan, 2.436%, (3 mo. USD LIBOR + 2.25%), 2/7/27 |
404 | 403,794 | ||||||
Pregis TopCo Corporation, Term Loan, 4.104%, (1 mo. USD LIBOR + 4.00%), 7/31/26 |
640 | 640,550 | ||||||
Rohm Holding GmbH: |
|
|||||||
Term Loan, 4.978%, (6 mo. USD LIBOR + 4.75%), 7/31/26 |
940 | 943,130 | ||||||
Term Loan, 7/31/26(25) |
EUR | 500 | 595,733 | |||||
Solenis Holdings, LLC, Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/26/25 |
EUR | 497 | 592,397 | |||||
Starfruit Finco B.V., Term Loan, 3.133%, (USD LIBOR + 2.75%), 10/1/25(24) |
2,813 | 2,795,132 | ||||||
Tronox Finance, LLC, Term Loan, 2.63%, (USD LIBOR + 2.50%), 3/13/28(24) |
1,811 | 1,802,216 | ||||||
Venator Materials Corporation, Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 8/8/24 |
409 | 406,762 | ||||||
|
|
|||||||
$ | 36,582,781 | |||||||
|
|
|||||||
Conglomerates 0.2% |
| |||||||
Conair Holdings, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.75%, Floor 0.50%), 5/17/28 |
1,550 | $ | 1,555,231 |
37
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Penn Engineering & Manufacturing Corp., Term Loan, 3.50%, (1 mo. EURIBOR + 2.50%, Floor 1.00%), 6/27/24 |
EUR | 1,205 | $ | 1,430,329 | ||||
|
|
|||||||
$ | 2,985,560 | |||||||
|
|
|||||||
Containers and Glass Products 1.0% |
| |||||||
BWAY Holding Company, Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 4/3/24 |
2,531 | $ | 2,474,615 | |||||
Flex Acquisition Company, Inc.: |
|
|||||||
Term Loan, 3.452%, (3 mo. USD LIBOR + 3.25%), 6/29/25 |
1,499 | 1,486,395 | ||||||
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.50%, Floor 0.50%), 2/23/28 |
1,457 | 1,452,908 | ||||||
Libbey Glass, Inc., Term Loan, 9.00%, (6 mo. USD LIBOR + 8.00%, Floor 1.00%), 11/13/25 |
5,087 | 5,296,552 | ||||||
Proampac PG Borrower, LLC, Term Loan, 4.50%, (USD LIBOR + 3.75%, Floor 0.75%), 11/3/25(24) |
349 | 349,852 | ||||||
Reynolds Consumer Products, LLC, Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 2/4/27 |
2,166 | 2,151,337 | ||||||
Reynolds Group Holdings, Inc., Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 2/5/26 |
1,368 | 1,361,000 | ||||||
TricorBraun Holdings, Inc.: |
|
|||||||
Term Loan, 3.267%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 3/3/28(23) |
106 | 104,917 | ||||||
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 3/3/28 |
469 | 466,444 | ||||||
Trident TPI Holdings, Inc., Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), 10/17/24 |
821 | 820,561 | ||||||
|
|
|||||||
$ | 15,964,581 | |||||||
|
|
|||||||
Drugs 2.2% |
| |||||||
Aenova Holding GmbH, Term Loan, 5.00%, (3 mo. EURIBOR + 5.00%), 3/6/25 |
EUR | 500 | $ | 596,432 | ||||
Akorn, Inc., Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), 10/1/25 |
498 | 514,315 | ||||||
Albany Molecular Research, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 8/30/24 |
249 | 249,496 | ||||||
Alkermes, Inc., Term Loan, 3.00%, (3 mo. USD LIBOR + 2.50%, Floor 0.50%), 3/9/26 |
1,104 | 1,101,245 | ||||||
Amneal Pharmaceuticals, LLC, Term Loan, 3.625%, (1 mo. USD LIBOR + 3.50%), 5/4/25 |
3,617 | 3,564,740 | ||||||
Arbor Pharmaceuticals, Inc., Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), 7/5/23 |
863 | 860,352 | ||||||
Bausch Health Companies, Inc., Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 6/2/25 |
4,699 | 4,685,949 | ||||||
Catalent Pharma Solutions, Inc., Term Loan, 2.50%, (1 mo. USD LIBOR + 2.00%, Floor 0.50%), 2/22/28 |
833 | 836,161 | ||||||
Elanco Animal Health Incorporated, Term Loan, 1.842%, (1 mo. USD LIBOR + 1.75%), 8/2/27 |
1,792 | 1,768,345 | ||||||
Horizon Therapeutics USA, Inc.: |
|
|||||||
Term Loan, 2.375%, (1 mo. USD LIBOR + 2.25%), 5/22/26 |
654 | 651,269 | ||||||
Term Loan, 2.50%, (1 mo. USD LIBOR + 2.00%, Floor 0.50%), 3/15/28 |
1,945 | 1,937,831 | ||||||
Jazz Financing Lux S.a.r.l.: |
|
|||||||
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), 5/5/28 |
EUR | 1,000 | 1,188,097 | |||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.50%, Floor 0.50%), 4/21/28 |
1,625 | 1,632,980 | ||||||
Mallinckrodt International Finance S.A.: |
|
|||||||
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.25%, Floor 0.75%), 9/24/24 |
3,411 | 3,310,391 | ||||||
Term Loan, 6.25%, (6 mo. USD LIBOR + 5.50%, Floor 0.75%), 2/24/25 |
1,956 | 1,904,559 |
38
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Nidda Healthcare Holding AG: |
|
|||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 8/21/26 |
EUR | 625 | $ | 736,462 | ||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 8/21/26 |
EUR | 1,000 | 1,177,666 | |||||
PPD, Inc., Term Loan, 2.75%, (1 mo. USD LIBOR + 2.25%, Floor 0.50%), 1/13/28 |
6,185 | 6,184,117 | ||||||
Recipharm AB, Term Loan, 2/17/28(25) |
EUR | 1,000 | 1,185,101 | |||||
|
|
|||||||
$ | 34,085,508 | |||||||
|
|
|||||||
Ecological Services and Equipment 0.3% |
| |||||||
EnergySolutions, LLC, Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 5/9/25 |
4,933 | $ | 4,920,573 | |||||
US Ecology Holdings, Inc., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 11/1/26 |
271 | 271,524 | ||||||
|
|
|||||||
$ | 5,192,097 | |||||||
|
|
|||||||
Electronics/Electrical 8.7% |
| |||||||
Allegro Microsystems, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.75%, Floor 0.50%), 9/30/27 |
42 | $ | 42,308 | |||||
Applied Systems, Inc.: |
|
|||||||
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 9/19/24 |
4,555 | 4,551,591 | ||||||
Term Loan - Second Lien, 6.25%, (3 mo. USD LIBOR + 5.50%, Floor 0.75%), 9/19/25 |
470 | 477,740 | ||||||
Aptean, Inc.: |
|
|||||||
Term Loan, 4.354%, (1 mo. USD LIBOR + 4.25%), 4/23/26 |
735 | 733,913 | ||||||
Term Loan - Second Lien, 7.75%, (1 mo. USD LIBOR + 7.00%, Floor 0.75%), 4/23/27 |
1,450 | 1,446,375 | ||||||
Astra Acquisition Corp., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.75%, Floor 0.75%), 3/1/27 |
767 | 768,224 | ||||||
Banff Merger Sub, Inc.: |
|
|||||||
Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 10/2/25 |
2,753 | 2,739,921 | ||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 10/2/25 |
EUR | 492 | 585,845 | |||||
Barracuda Networks, Inc., Term Loan - Second Lien, 7.50%, (3 mo. USD LIBOR + 6.75%, Floor 0.75%), 10/30/28 |
400 | 408,667 | ||||||
Buzz Merger Sub, Ltd.: |
|
|||||||
Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 1/29/27 |
568 | 566,748 | ||||||
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 1/29/27 |
60 | 60,314 | ||||||
Cambium Learning Group, Inc., Term Loan, 5.25%, (3 mo. USD LIBOR + 4.50%, Floor 0.75%), 12/18/25 |
1,252 | 1,260,822 | ||||||
Celestica, Inc., Term Loan, 2.595%, (1 mo. USD LIBOR + 2.50%), 6/27/25 |
218 | 217,228 | ||||||
CentralSquare Technologies, LLC, Term Loan, 3.896%, (3 mo. USD LIBOR + 3.75%), 8/29/25 |
878 | 823,534 | ||||||
Cohu, Inc., Term Loan, 3.172%, (6 mo. USD LIBOR + 3.00%), 10/1/25 |
274 | 273,684 | ||||||
CommScope, Inc., Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 4/6/26 |
1,793 | 1,787,459 | ||||||
Concorde Midco, Ltd., Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), 3/1/28 |
EUR | 1,000 | 1,188,122 | |||||
Constant Contact, Inc.: |
|
|||||||
Term Loan, 4.75%, 2/10/28(23) |
371 | 369,777 | ||||||
Term Loan, 4.75%, (6 mo. USD LIBOR + 4.00%, Floor 0.75%), 2/10/28 |
1,379 | 1,376,394 | ||||||
Cornerstone OnDemand, Inc., Term Loan, 3.341%, (1 mo. USD LIBOR + 3.25%), 4/22/27 |
1,455 | 1,456,358 | ||||||
CPI International, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 7/26/24 |
660 | 659,866 |
39
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Delta TopCo, Inc.: |
|
|||||||
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 12/1/27 |
1,400 | $ | 1,404,813 | |||||
Term Loan - Second Lien, 8.00%, (6 mo. USD LIBOR + 7.25%, Floor 0.75%), 12/1/28 |
1,950 | 1,984,125 | ||||||
ECI Macola Max Holdings, LLC, Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 11/9/27 |
1,070 | 1,073,636 | ||||||
Electro Rent Corporation, Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 1/31/24 |
1,827 | 1,840,756 | ||||||
Epicor Software Corporation, Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 7/30/27 |
788 | 788,059 | ||||||
EverCommerce, Inc., Term Loan, 6/14/28(25) |
275 | 275,688 | ||||||
EXC Holdings III Corp., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 12/2/24 |
507 | 507,575 | ||||||
Finastra USA, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), 6/13/24 |
3,008 | 2,963,776 | ||||||
Fiserv Investment Solutions, Inc., Term Loan, 4.155%, (3 mo. USD LIBOR + 4.00%), 2/18/27 |
520 | 521,699 | ||||||
Gainwell Acquisition Corp., Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), 10/1/27 |
3,135 | 3,148,839 | ||||||
GlobalLogic Holdings, Inc.: |
|
|||||||
Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 8/1/25 |
448 | 447,413 | ||||||
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 9/14/27 |
744 | 746,585 | ||||||
Go Daddy Operating Company, LLC, Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 8/10/27 |
1,089 | 1,083,858 | ||||||
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 |
7,707 | 7,732,671 | ||||||
Informatica, LLC: |
|
|||||||
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/25/27 |
EUR | 3,456 | 4,069,049 | |||||
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 2/25/27 |
5,678 | 5,652,494 | ||||||
Term Loan - Second Lien, 7.125%, 2/25/25(26) |
500 | 512,500 | ||||||
Liftoff Mobile, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 3/17/28 |
448 | 447,470 | ||||||
LogMeIn, Inc., Term Loan, 4.827%, (1 mo. USD LIBOR + 4.75%), 8/31/27 |
1,816 | 1,814,551 | ||||||
MA FinanceCo., LLC: |
|
|||||||
Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 |
521 | 515,949 | ||||||
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), 6/5/25 |
EUR | 981 | 1,181,697 | |||||
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 6/5/25 |
1,766 | 1,792,376 | ||||||
MACOM Technology Solutions Holdings, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 5/17/24 |
264 | 263,185 | ||||||
Magenta Buyer, LLC: |
||||||||
Term Loan, 5/3/28(25) |
3,900 | 3,904,177 | ||||||
Term Loan - Second Lien, 5/3/29(25) |
1,050 | 1,042,125 | ||||||
Marcel LUX IV S.a.r.l.: |
||||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 3/16/26 |
EUR | 1,500 | 1,778,625 | |||||
Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), 12/31/27 |
95 | 95,024 | ||||||
Maxlinear, Inc., Term Loan, 6/17/28(25) |
800 | 799,250 | ||||||
Mirion Technologies, Inc., Term Loan, 4.147%, (3 mo. USD LIBOR + 4.00%), 3/6/26 |
440 | 441,214 | ||||||
NCR Corporation, Term Loan, 2.69%, (3 mo. USD LIBOR + 2.50%), 8/28/26 |
929 | 922,241 | ||||||
Nobel Bidco B.V., Term Loan, 6/10/28(25) |
EUR | 1,000 | 1,186,386 | |||||
Oravel Stays Singapore Pte. Ltd., Term Loan, 6/23/26(25) |
550 | 561,000 | ||||||
Panther Commercial Holdings L.P., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.50%, Floor 0.50%), 1/7/28 |
600 | 601,875 |
40
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Polaris Newco, LLC: |
||||||||
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/2/28 |
EUR | 1,000 | $ | 1,186,268 | ||||
Term Loan, 4.50%, (6 mo. USD LIBOR + 4.00%, Floor 0.50%), 6/2/28 |
2,425 | 2,434,644 | ||||||
Proofpoint, Inc., Term Loan, 6/9/28(25) |
2,500 | 2,489,452 | ||||||
ProQuest, LLC, Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 10/23/26 |
1,488 | 1,488,170 | ||||||
Rackspace Technology Global, Inc., Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), 2/15/28 |
1,347 | 1,341,365 | ||||||
RealPage, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 4/24/28 |
2,125 | 2,121,547 | ||||||
Recorded Books, Inc., Term Loan, 4.08%, (1 mo. USD LIBOR + 4.00%), 8/29/25 |
1,660 | 1,664,381 | ||||||
Renaissance Holding Corp.: |
||||||||
Term Loan, 3.343%, (1 mo. USD LIBOR + 3.25%), 5/30/25 |
1,707 | 1,692,203 | ||||||
Term Loan - Second Lien, 7.104%, (1 mo. USD LIBOR + 7.00%), 5/29/26 |
200 | 201,125 | ||||||
Riverbed Technology, Inc., Term Loan - Second Lien, 12.00%, (3 mo. USD LIBOR + 11.00%, Floor 1.00%), 7.50% cash, 4.50% PIK, 12/31/26 |
1,581 | 1,251,070 | ||||||
Seattle Spinco, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 6/21/24 |
3,517 | 3,484,329 | ||||||
SkillSoft Corporation: |
||||||||
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), 12/27/24 |
738 | 746,212 | ||||||
Term Loan - Second Lien, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), 4/27/25 |
2,438 | 2,444,003 | ||||||
SolarWinds Holdings, Inc., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 2/5/24 |
1,158 | 1,145,696 | ||||||
Sophia L.P., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 10/7/27 |
398 | 398,829 | ||||||
SS&C European Holdings S.a.r.l., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 |
993 | 982,873 | ||||||
SS&C Technologies, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 4/16/25 |
1,307 | 1,293,658 | ||||||
SurveyMonkey, Inc., Term Loan, 3.85%, (1 week USD LIBOR + 3.75%), 10/10/25 |
713 | 710,492 | ||||||
Tech Data Corporation, Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 6/30/25 |
1,117 | 1,119,633 | ||||||
Thoughtworks, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), 3/23/28 |
399 | 399,798 | ||||||
Tibco Software, Inc.: |
||||||||
Term Loan, 3.86%, (1 mo. USD LIBOR + 3.75%), 6/30/26 |
5,071 | 5,059,259 | ||||||
Term Loan - Second Lien, 7.36%, (1 mo. USD LIBOR + 7.25%), 3/3/28 |
475 | 482,917 | ||||||
TTM Technologies, Inc., Term Loan, 2.592%, (1 mo. USD LIBOR + 2.50%), 9/28/24 |
150 | 149,623 | ||||||
Uber Technologies, Inc.: |
||||||||
Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 4/4/25 |
7,673 | 7,678,302 | ||||||
Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 2/16/27 |
3,477 | 3,481,280 | ||||||
Ultimate Software Group, Inc. (The): |
||||||||
Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 5/4/26 |
1,695 | 1,697,755 | ||||||
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.25%, Floor 0.75%), 5/4/26 |
3,920 | 3,927,775 | ||||||
Ultra Clean Holdings, Inc., Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 8/27/25 |
702 | 704,016 | ||||||
Verifone Systems, Inc., Term Loan, 4.147%, (3 mo. USD LIBOR + 4.00%), 8/20/25 |
1,244 | 1,226,028 |
41
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Verisure Holding AB, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 3/27/28 |
EUR | 1,000 | $ | 1,184,120 | ||||
Veritas US, Inc.: |
||||||||
Term Loan, 5.75%, (3 mo. EURIBOR + 4.75%, Floor 1.00%), 9/1/25 |
EUR | 993 | 1,188,851 | |||||
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 9/1/25 |
2,456 | 2,478,577 | ||||||
VS Buyer, LLC, Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 2/28/27 |
1,086 | 1,082,346 | ||||||
Vungle, Inc., Term Loan, 5.604%, (1 mo. USD LIBOR + 5.50%), 9/30/26 |
4,470 | 4,489,933 | ||||||
|
|
|||||||
$ | 137,322,101 | |||||||
|
|
|||||||
Equipment Leasing 0.2% |
||||||||
Boels Topholding B.V., Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 2/5/27 |
EUR | 1,000 | $ | 1,183,250 | ||||
Delos Finance S.a.r.l., Term Loan, 1.897%, (3 mo. USD LIBOR + 1.75%), 10/6/23 |
2,293 | 2,293,396 | ||||||
|
|
|||||||
$ | 3,476,646 | |||||||
|
|
|||||||
Financial Intermediaries 1.5% |
| |||||||
Aretec Group, Inc., Term Loan, 4.354%, (1 mo. USD LIBOR + 4.25%), 10/1/25 |
2,348 | $ | 2,349,751 | |||||
Citco Funding, LLC, Term Loan, 2.703%, (3 mo. USD LIBOR + 2.50%), 9/28/23 |
3,904 | 3,905,265 | ||||||
CoreLogic, Inc., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.50%, Floor 0.50%), 6/2/28 |
5,150 | 5,147,585 | ||||||
Ditech Holding Corporation, Term Loan, 0.00%, 6/30/22(21) |
2,694 | 549,002 | ||||||
EIG Management Company, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/22/25 |
266 | 265,730 | ||||||
FinCo I, LLC, Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 6/27/25 |
860 | 858,172 | ||||||
Focus Financial Partners, LLC, Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 7/3/24 |
2,969 | 2,943,517 | ||||||
Franklin Square Holdings, L.P., Term Loan, 2.375%, (1 mo. USD LIBOR + 2.25%), 8/1/25 |
535 | 531,531 | ||||||
Greenhill & Co., Inc., Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 4/12/24 |
1,002 | 1,001,205 | ||||||
GreenSky Holdings, LLC, Term Loan, 3.375%, (1 mo. USD LIBOR + 3.25%), 3/31/25 |
1,500 | 1,469,632 | ||||||
Guggenheim Partners, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), 7/21/23 |
2,668 | 2,670,452 | ||||||
Nets Holding A/S, Term Loan, 2.50%, (1 mo. EURIBOR + 2.50%), 2/6/25 |
EUR | 1,000 | 1,185,750 | |||||
Victory Capital Holdings, Inc., Term Loan, 2.444%, (3 mo. USD LIBOR + 2.25%), 7/1/26 |
953 | 947,382 | ||||||
Virtus Investment Partners, Inc., Term Loan, 3.00%, (6 mo. USD LIBOR + 2.25%, Floor 0.75%), 6/1/24 |
427 | 427,881 | ||||||
|
|
|||||||
$ | 24,252,855 | |||||||
|
|
|||||||
Food Products 1.6% |
| |||||||
Alphabet Holding Company, Inc., Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 9/26/24 |
3,791 | $ | 3,790,607 | |||||
B&G Foods, Inc., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 10/10/26 |
227 | 227,469 | ||||||
Badger Buyer Corp., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 9/30/24 |
385 | 376,097 | ||||||
CHG PPC Parent, LLC, Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), 3/31/25 |
EUR | 2,000 | 2,370,388 |
42
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Froneri International, Ltd.: |
|
|||||||
Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 1/29/27 |
2,178 | $ | 2,148,460 | |||||
Term Loan, 2.375%, (6 mo. EURIBOR + 2.375%), 1/29/27 |
EUR | 1,275 | 1,484,686 | |||||
H Food Holdings, LLC: |
|
|||||||
Term Loan, 3.792%, (1 mo. USD LIBOR + 3.69%), 5/23/25 |
752 | 748,050 | ||||||
Term Loan, 4.104%, (1 mo. USD LIBOR + 4.00%), 5/23/25 |
463 | 462,546 | ||||||
HLF Financing S.a.r.l., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 8/18/25 |
1,070 | 1,065,905 | ||||||
JBS USA LUX S.A., Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 5/1/26 |
4,668 | 4,661,728 | ||||||
Nomad Foods Europe Midco Limited, Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), 6/17/28 |
EUR | 3,000 | 3,576,146 | |||||
Shearers Foods, Inc., Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 9/23/27 |
397 | 397,998 | ||||||
Simply Good Foods USA, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 7/7/24 |
309 | 311,041 | ||||||
Sunshine Investments B.V., Term Loan, 3.838%, (3 mo. GBP LIBOR + 3.75%), 3/28/25 |
GBP | 750 | 1,035,746 | |||||
Valeo F1 Company Limited (Ireland), Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 8/27/27 |
EUR | 1,000 | 1,186,343 | |||||
Wsof I New Finco B.V., Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), 4/23/28 |
EUR | 750 | 886,255 | |||||
|
|
|||||||
$ | 24,729,465 | |||||||
|
|
|||||||
Food Service 0.4% |
| |||||||
Aramark Services, Inc., Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/11/25 |
933 | $ | 924,696 | |||||
IRB Holding Corp., Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), 2/5/25 |
2,211 | 2,207,732 | ||||||
Sovos Brands Intermediate, Inc., Term Loan, 5.00%, (1 mo. USD LIBOR + 4.25%, Floor 0.75%), 6/8/28 |
600 | 602,250 | ||||||
US Foods, Inc.: |
|
|||||||
Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 6/27/23 |
765 | 759,007 | ||||||
Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 9/13/26 |
1,695 | 1,672,215 | ||||||
|
|
|||||||
$ | 6,165,900 | |||||||
|
|
|||||||
Food/Drug Retailers 0.1% |
| |||||||
L1R HB Finance Limited, Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), 8/9/24 |
EUR | 750 | $ | 867,080 | ||||
|
|
|||||||
$ | 867,080 | |||||||
|
|
|||||||
Forest Products 0.1% |
| |||||||
Clearwater Paper Corporation, Term Loan, 3.125%, (1 mo. USD LIBOR + 3.00%), 7/26/26 |
151 | $ | 151,169 | |||||
Journey Personal Care Corp., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 3/1/28 |
1,050 | 1,053,610 | ||||||
Neenah, Inc., Term Loan, 3.50%, (3 mo. USD LIBOR + 3.00%, Floor 0.50%), 4/6/28 |
400 | 401,000 | ||||||
|
|
|||||||
$ | 1,605,779 | |||||||
|
|
|||||||
Health Care 5.4% |
| |||||||
Accelerated Health Systems, LLC, Term Loan, 3.591%, (1 mo. USD LIBOR + 3.50%), 10/31/25 |
561 | $ | 559,924 | |||||
ADMI Corp., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 4/30/25 |
1,795 | 1,775,499 | ||||||
AI Sirona (Luxembourg) Acquisition S.a.r.l., Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 9/29/25 |
EUR | 1,000 | 1,184,917 | |||||
Alliance Healthcare Services, Inc.: |
|
|||||||
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 10/24/23 |
759 | 756,618 |
43
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Term Loan - Second Lien, 12.00%, (1 mo. USD LIBOR + 11.00%, Floor 1.00%), 2.00% cash, 10.00% PIK, 4/24/24 |
562 | $ | 533,426 | |||||
athenahealth, Inc., Term Loan, 4.41%, (3 mo. USD LIBOR + 4.25%), 2/11/26 |
2,484 | 2,500,513 | ||||||
Avantor Funding, Inc.: |
|
|||||||
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.00%, Floor 1.00%), 11/21/24 |
617 | 618,944 | ||||||
Term Loan, 6/12/28(25) |
EUR | 1,000 | 1,190,725 | |||||
Bayou Intermediate II, LLC, Term Loan, 5/13/28(25) |
750 | 753,750 | ||||||
Biogroup-LCD, Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 1/28/28 |
EUR | 750 | 885,978 | |||||
BW NHHC Holdco, Inc., Term Loan, 5.155%, (3 mo. USD LIBOR + 5.00%), 5/15/25 |
3,739 | 3,448,546 | ||||||
CCRR Parent, Inc., Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), 3/6/28 |
449 | 452,101 | ||||||
CeramTec AcquiCo GmbH, Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), 3/7/25 |
EUR | 1,903 | 2,215,164 | |||||
Cerba Healthcare S.A.S., Term Loan, 5/12/28(25) |
EUR | 1,250 | 1,484,209 | |||||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 3/1/24 |
5,291 | 5,291,611 | ||||||
CHG Healthcare Services, Inc., Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), 6/7/23 |
2,583 | 2,583,779 | ||||||
CryoLife, Inc., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), 12/1/24 |
531 | 531,413 | ||||||
Dedalus Finance GmbH, Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), 5/4/27 |
EUR | 500 | 594,450 | |||||
Elsan S.A.S., Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 6/16/28 |
EUR | 1,500 | 1,778,791 | |||||
Ensemble RCM, LLC, Term Loan, 3.936%, (3 mo. USD LIBOR + 3.75%), 8/3/26 |
1,337 | 1,338,863 | ||||||
Envision Healthcare Corporation, Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 10/10/25 |
8,928 | 7,667,240 | ||||||
Gentiva Health Services, Inc., Term Loan, 2.875%, (1 mo. USD LIBOR + 2.75%), 7/2/25 |
2,062 | 2,060,264 | ||||||
GHX Ultimate Parent Corporation, Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), 6/28/24 |
938 | 939,952 | ||||||
Greatbatch, Ltd., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 10/27/22 |
962 | 964,294 | ||||||
Hanger, Inc., Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 3/6/25 |
1,113 | 1,113,147 | ||||||
Inovalon Holdings, Inc., Term Loan, 2.875%, (1 mo. USD LIBOR + 2.75%), 4/2/25 |
1,198 | 1,192,576 | ||||||
IQVIA, Inc.: |
|
|||||||
Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 3/7/24 |
1,503 | 1,496,758 | ||||||
Term Loan, 1.854%, (1 mo. USD LIBOR + 1.75%), 1/17/25 |
1,468 | 1,462,003 | ||||||
IVC Acquisition Ltd., Term Loan, 2/13/26(25) |
GBP | 1,000 | 1,387,335 | |||||
Medical Solutions, LLC, Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 6/14/24 |
1,214 | 1,218,477 | ||||||
Mehilainen Yhtiot Oy, Term Loan, 3.625%, (3 mo. EURIBOR + 3.625%), 8/31/25 |
EUR | 1,000 | 1,186,120 | |||||
Midwest Physician Administrative Services, LLC, Term Loan, 4.00%, (3 mo. USD LIBOR + 3.25%, Floor 0.75%), 3/12/28 |
474 | 473,319 | ||||||
MPH Acquisition Holdings, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), 6/7/23 |
7,881 | 7,867,468 | ||||||
National Mentor Holdings, Inc.: |
|
|||||||
Term Loan, 3.75%, 3/2/28(23) |
86 | 86,203 | ||||||
Term Loan, 4.50%, (USD LIBOR + 3.75%, Floor 0.75%), 2/18/28(24) |
1,851 | 1,856,867 |
44
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/2/28 |
58 | $ | 58,482 | |||||
Navicure, Inc., Term Loan, 4.104%, (1 mo. USD LIBOR + 4.00%), 10/22/26 |
1,484 | 1,488,374 | ||||||
Ortho-Clinical Diagnostics S.A.: |
|
|||||||
Term Loan, 3.089%, (1 mo. USD LIBOR + 3.00%), 6/30/25 |
1,954 | 1,954,738 | ||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 6/30/25 |
EUR | 743 | 882,841 | |||||
Pacific Dental Services, LLC, Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 5/5/28 |
500 | 502,187 | ||||||
Parexel International Corporation, Term Loan, 2.845%, (1 mo. USD LIBOR + 2.75%), 9/27/24 |
566 | 562,915 | ||||||
Phoenix Guarantor, Inc.: |
|
|||||||
Term Loan, 3.341%, (1 mo. USD LIBOR + 3.25%), 3/5/26 |
1,911 | 1,900,396 | ||||||
Term Loan, 3.573%, (1 mo. USD LIBOR + 3.50%), 3/5/26 |
1,320 | 1,312,772 | ||||||
Project Ruby Ultimate Parent Corp., Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), 3/3/28 |
1,047 | 1,046,346 | ||||||
Radiology Partners, Inc., Term Loan, 4.325%, (1 mo. USD LIBOR + 4.25%), 7/9/25 |
597 | 597,433 | ||||||
RadNet, Inc., Term Loan, 3.75%, (3 mo. USD LIBOR + 3.00%, Floor 0.75%), 4/22/28 |
1,025 | 1,025,000 | ||||||
Ramsay Generale de Sante S.A., Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), 4/22/27 |
EUR | 500 | 593,468 | |||||
Select Medical Corporation, Term Loan, 2.36%, (1 mo. USD LIBOR + 2.25%), 3/6/25 |
2,968 | 2,952,502 | ||||||
Sound Inpatient Physicians, Term Loan, 2.845%, (1 mo. USD LIBOR + 2.75%), 6/27/25 |
485 | 483,737 | ||||||
Sunshine Luxembourg VII S.a.r.l., Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), 10/1/26 |
200 | 200,374 | ||||||
Surgery Center Holdings, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 8/31/26 |
1,059 | 1,064,720 | ||||||
Synlab Bondco PLC, Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), 7/1/27 |
EUR | 500 | 589,136 | |||||
Team Health Holdings, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 2/6/24 |
2,322 | 2,259,742 | ||||||
U.S. Anesthesia Partners, Inc., Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), 6/23/24 |
1,662 | 1,653,081 | ||||||
Verscend Holding Corp., Term Loan, 4.104%, (1 mo. USD LIBOR + 4.00%), 8/27/25 |
2,235 | 2,244,306 | ||||||
|
|
|||||||
$ | 84,823,794 | |||||||
|
|
|||||||
Home Furnishings 0.6% |
| |||||||
Serta Simmons Bedding, LLC: |
|
|||||||
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 8/10/23 |
2,473 | $ | 2,501,135 | |||||
Term Loan - Second Lien, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 8/10/23 |
8,176 | 7,828,752 | ||||||
|
|
|||||||
$ | 10,329,887 | |||||||
|
|
|||||||
Industrial Equipment 2.6% |
| |||||||
AI Alpine AT Bidco GmbH, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 10/31/25 |
EUR | 750 | $ | 875,325 | ||||
Alliance Laundry Systems, LLC, Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), 10/8/27 |
1,083 | 1,085,252 | ||||||
Altra Industrial Motion Corp., Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 10/1/25 |
585 | 583,539 | ||||||
American Trailer World Corp., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/3/28 |
525 | 524,891 | ||||||
Apex Tool Group, LLC, Term Loan, 6.50%, (1 mo. USD LIBOR + 5.25%, Floor 1.25%), 8/1/24 |
4,312 | 4,336,440 |
45
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
CFS Brands, LLC, Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), 3/20/25 |
266 | $ | 262,041 | |||||
CPM Holdings, Inc., Term Loan, 3.592%, (1 mo. USD LIBOR + 3.50%), 11/17/25 |
317 | 315,053 | ||||||
Delachaux Group S.A.: |
|
|||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 4/16/26 |
EUR | 369 | 438,224 | |||||
Term Loan, 4.686%, (3 mo. USD LIBOR + 4.50%), 4/16/26 |
466 | 464,336 | ||||||
DexKo Global, Inc.: |
|
|||||||
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 7/24/24 |
EUR | 317 | 375,807 | |||||
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), 7/24/24 |
EUR | 792 | 939,522 | |||||
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 7/24/24 |
912 | 913,744 | ||||||
Dynacast International, LLC: |
|
|||||||
Term Loan, 5.75%, (3 mo. USD LIBOR + 4.75%, Floor 1.00%), 7/19/25 |
1,066 | 1,070,394 | ||||||
Term Loan, 10.25%, (3 mo. USD LIBOR + 9.25%, Floor 1.00%), 2/4/28 |
412 | 429,105 | ||||||
Engineered Machinery Holdings, Inc.: |
|
|||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 5/5/28 |
EUR | 1,000 | 1,187,602 | |||||
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), 7/19/24 |
1,568 | 1,568,545 | ||||||
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 7/19/24 |
317 | 318,459 | ||||||
Filtration Group Corporation: |
|
|||||||
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 3/29/25 |
EUR | 1,371 | 1,618,838 | |||||
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/29/25 |
347 | 348,207 | ||||||
Gardner Denver, Inc., Term Loan, 2.00%, (1 mo. EURIBOR + 2.00%), 3/1/27 |
EUR | 1,426 | 1,680,810 | |||||
GrafTech Finance, Inc., Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 2/12/25 |
1,678 | 1,685,326 | ||||||
Granite Holdings US Acquisition Co., Term Loan, 4.147%, (3 mo. USD LIBOR + 4.00%), 9/30/26 |
1,020 | 1,021,160 | ||||||
Harsco Corporation, Term Loan, 2.75%, (1 mo. USD LIBOR + 2.25%, Floor 0.50%), 3/5/28 |
400 | 397,625 | ||||||
Hillman Group, Inc. (The): |
|
|||||||
Term Loan, 2/24/28(25) |
72 | 71,655 | ||||||
Term Loan, 2/24/28(25) |
353 | 352,902 | ||||||
LTI Holdings, Inc.: |
|
|||||||
Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 9/6/25 |
3,409 | 3,367,359 | ||||||
Term Loan, 4.854%, (1 mo. USD LIBOR + 4.75%), 7/24/26 |
197 | 196,746 | ||||||
Term Loan, 7/24/26(25) |
200 | 200,000 | ||||||
Term Loan, 7/24/26(25) |
325 | 325,000 | ||||||
Minimax Viking GmbH, Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), 7/31/25 |
EUR | 960 | 1,137,797 | |||||
Quimper AB, Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), 2/16/26 |
EUR | 1,875 | 2,210,638 | |||||
Robertshaw US Holding Corp., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 2/28/25 |
1,016 | 982,859 | ||||||
Thermon Industries, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/30/24 |
237 | 236,748 | ||||||
Tiger Acquisition, LLC, Term Loan, 3.75%, (3 mo. USD LIBOR + 3.25%, Floor 0.50%), 6/1/28 |
500 | 499,271 | ||||||
Titan Acquisition Limited, Term Loan, 3.167%, (3 mo. USD LIBOR + 3.00%), 3/28/25 |
3,072 | 3,023,039 | ||||||
Vertical Midco GmbH: |
|
|||||||
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), 7/29/27 |
EUR | 1,500 | 1,784,740 | |||||
Term Loan, 4.478%, (6 mo. USD LIBOR + 4.25%), 7/30/27 |
1,216 | 1,219,551 |
46
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Welbilt, Inc., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 10/23/25 |
1,767 | $ | 1,754,731 | |||||
Zephyr German BidCo GmbH, Term Loan, 3.75%, (2 mo. EURIBOR + 3.75%), 3/10/28 |
EUR | 1,500 | 1,788,013 | |||||
|
|
|||||||
$ | 41,591,294 | |||||||
|
|
|||||||
Insurance 2.2% |
| |||||||
Alliant Holdings Intermediate, LLC: |
|
|||||||
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 5/9/25 |
466 | $ | 461,282 | |||||
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 5/9/25 |
2,695 | 2,670,180 | ||||||
AmWINS Group, Inc., Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 2/19/28 |
3,856 | 3,836,127 | ||||||
Andromeda Investissements, Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), 6/12/26 |
EUR | 1,250 | 1,476,938 | |||||
AssuredPartners, Inc., Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 2/12/27 |
172 | 171,636 | ||||||
Asurion, LLC: |
|
|||||||
Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 11/3/23 |
1,787 | 1,779,892 | ||||||
Term Loan, 3.345%, (1 mo. USD LIBOR + 3.25%), 7/31/27 |
1,107 | 1,095,923 | ||||||
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/23/26 |
3,144 | 3,112,022 | ||||||
Term Loan - Second Lien, 5.354%, (1 mo. USD LIBOR + 5.25%), 1/31/28 |
1,350 | 1,362,825 | ||||||
Financiere CEP S.A.S., Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), 6/18/27 |
EUR | 750 | 894,130 | |||||
Hub International Limited: |
|
|||||||
Term Loan, 2.926%, (3 mo. USD LIBOR + 2.75%), 4/25/25 |
5,044 | 4,993,035 | ||||||
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.25%, Floor 0.75%), 4/25/25 |
1,847 | 1,849,525 | ||||||
NFP Corp., Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 2/15/27 |
3,147 | 3,106,914 | ||||||
Ryan Specialty Group, LLC, Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), 9/1/27 |
1,712 | 1,715,059 | ||||||
Sedgwick Claims Management Services, Inc., Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 12/31/25 |
1,243 | 1,231,315 | ||||||
USI, Inc.: |
|
|||||||
Term Loan, 3.147%, (3 mo. USD LIBOR + 3.00%), 5/16/24 |
3,128 | 3,103,547 | ||||||
Term Loan, 3.397%, (3 mo. USD LIBOR + 3.25%), 12/2/26 |
1,404 | 1,392,733 | ||||||
|
|
|||||||
$ | 34,253,083 | |||||||
|
|
|||||||
Leisure Goods/Activities/Movies 1.6% |
| |||||||
AMC Entertainment Holdings, Inc., Term Loan, 3.086%, (1 mo. USD LIBOR + 3.00%), 4/22/26 |
1,833 | $ | 1,728,953 | |||||
Amer Sports Oyj, Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), 3/30/26 |
EUR | 1,550 | 1,840,976 | |||||
Carnival Corporation: |
|
|||||||
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), 6/30/25 |
1,287 | 1,319,577 | ||||||
Term Loan, 6/30/25(25) |
EUR | 1,000 | 1,189,752 | |||||
ClubCorp Holdings, Inc., Term Loan, 2.897%, (3 mo. USD LIBOR + 2.75%), 9/18/24 |
1,925 | 1,853,480 | ||||||
Crown Finance US, Inc.: |
|
|||||||
Term Loan, 2.625%, (6 mo. EURIBOR + 2.625%), 2/28/25 |
EUR | 289 | 302,439 | |||||
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), 9/30/26 |
1,502 | 1,315,667 | ||||||
Term Loan, 15.25%, (7.00% cash, 8.25% PIK), 5/23/24 |
257 | 325,938 | ||||||
Delta 2 (LUX) S.a.r.l., Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), 2/1/24 |
1,125 | 1,122,159 | ||||||
Etraveli Holding AB, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), 8/2/24 |
EUR | 950 | 1,096,423 |
47
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Lindblad Expeditions, Inc.: |
|
|||||||
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), 4.75% cash, 1.25% PIK, 3/27/25 |
465 | $ | 452,919 | |||||
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), 4.75% cash, 1.25% PIK, 3/27/25 |
1,858 | 1,811,675 | ||||||
Match Group, Inc., Term Loan, 1.906%, (3 mo. USD LIBOR + 1.75%), 2/13/27 |
675 | 667,969 | ||||||
Playtika Holding Corp., Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 3/13/28 |
2,209 | 2,202,556 | ||||||
SeaWorld Parks & Entertainment, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), 3/31/24 |
2,168 | 2,153,867 | ||||||
Steinway Musical Instruments, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 2/14/25 |
198 | 197,002 | ||||||
Travel Leaders Group, LLC, Term Loan, 4.104%, (1 mo. USD LIBOR + 4.00%), 1/25/24 |
946 | 912,845 | ||||||
UFC Holdings, LLC, Term Loan, 3.75%, (6 mo. USD LIBOR + 3.00%, Floor 0.75%), 4/29/26 |
2,864 | 2,863,958 | ||||||
Vue International Bidco PLC, Term Loan, 4.75%, (6 mo. EURIBOR + 4.75%), 7/3/26 |
EUR | 1,081 | 1,221,352 | |||||
|
|
|||||||
$ | 24,579,507 | |||||||
|
|
|||||||
Lodging and Casinos 1.3% |
| |||||||
Boyd Gaming Corporation, Term Loan, 2.338%, (1 week USD LIBOR + 2.25%), 9/15/23 |
718 | $ | 717,583 | |||||
CityCenter Holdings, LLC, Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), 4/18/24 |
2,740 | 2,722,131 | ||||||
Four Seasons Hotels Limited, Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 11/30/23 |
1,051 | 1,048,822 | ||||||
Golden Nugget, Inc., Term Loan, 3.25%, (2 mo. USD LIBOR + 2.50%, Floor 0.75%), 10/4/23 |
4,237 | 4,209,519 | ||||||
GVC Holdings (Gibraltar) Limited, Term Loan, 3.00%, (6 mo. USD LIBOR + 2.00%, Floor 1.00%), 3/29/24 |
1,137 | 1,133,082 | ||||||
GVC Holdings PLC, Term Loan, 2.25%, (6 mo. EURIBOR + 2.25%), 3/29/24 |
EUR | 1,850 | 2,180,476 | |||||
Hilton Grand Vacations Borrower, LLC, Term Loan, 5/19/28(25) |
925 | 926,590 | ||||||
Playa Resorts Holding B.V., Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), 4/29/24 |
2,555 | 2,460,454 | ||||||
Sportradar Capital S.a.r.l., Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), 11/22/27 |
EUR | 750 | 892,647 | |||||
Stars Group Holdings B.V. (The): |
|
|||||||
Term Loan, 3.647%, (3 mo. USD LIBOR + 3.50%), 7/10/25 |
1,730 | 1,736,420 | ||||||
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), 7/10/25 |
EUR | 582 | 692,182 | |||||
VICI Properties 1, LLC, Term Loan, 1.841%, (1 mo. USD LIBOR + 1.75%), 12/20/24 |
2,315 | 2,298,134 | ||||||
|
|
|||||||
$ | 21,018,040 | |||||||
|
|
|||||||
Nonferrous Metals/Minerals 0.1% |
| |||||||
American Consolidated Natural Resources, Inc., Term Loan, 17.00%, (3 mo. USD LIBOR + 16.00%, Floor 1.00%), 14.00% cash, 3.00% PIK, 9/16/25 |
553 | $ | 557,218 | |||||
Oxbow Carbon, LLC, Term Loan, 5.00%, (1 mo. USD LIBOR + 4.25%, Floor 0.75%), 10/13/25 |
337 | 337,717 | ||||||
Rain Carbon GmbH, Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), 1/16/25 |
EUR | 1,025 | 1,206,278 | |||||
|
|
|||||||
$ | 2,101,213 | |||||||
|
|
|||||||
Oil and Gas 1.0% |
| |||||||
Ameriforge Group, Inc.: |
|
|||||||
Term Loan, 12.544%, (1 mo. USD LIBOR + 13.00%, Floor 1.00%), 12/31/23(23) |
100 | $ | 54,801 |
48
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Term Loan, 14.00%, (3 mo. USD LIBOR + 13.00%, Floor 1.00%), 9.00% cash, 5.00% PIK, 12/31/23 |
788 | $ | 433,462 | |||||
Apergy Corporation: |
|
|||||||
Term Loan, 2.625%, (1 mo. USD LIBOR + 2.50%), 5/9/25 |
127 | 126,190 | ||||||
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 6/3/27 |
214 | 218,426 | ||||||
Buckeye Partners L.P., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 11/1/26 |
2,740 | 2,724,240 | ||||||
Centurion Pipeline Company, LLC: |
|
|||||||
Term Loan, 3.354%, (1 mo. USD LIBOR + 3.25%), 9/29/25 |
268 | 265,108 | ||||||
Term Loan, 4.095%, (1 mo. USD LIBOR + 4.00%), 9/28/25 |
224 | 220,797 | ||||||
CITGO Holding, Inc., Term Loan, 8.00%, (6 mo. USD LIBOR + 7.00%, Floor 1.00%), 8/1/23 |
246 | 244,397 | ||||||
CITGO Petroleum Corporation, Term Loan, 7.25%, (6 mo. USD LIBOR + 6.25%, Floor 1.00%), 3/28/24 |
2,272 | 2,293,620 | ||||||
Delek US Holdings, Inc.: |
|
|||||||
Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/31/25 |
1,368 | 1,338,253 | ||||||
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), 3/31/25 |
568 | 571,006 | ||||||
Fieldwood Energy, LLC: |
|
|||||||
DIP Loan, 3.675%, (1 mo. USD LIBOR + 8.75%, Floor 1.00%), 8/4/21(23) |
409 | 415,499 | ||||||
Term Loan, 0.00%, 4/11/22(21) |
2,771 | 1,440,887 | ||||||
Lealand Finance Company B.V., Term Loan, 4.093%, (1 mo. USD LIBOR + 4.00%), 1.093% cash, 3.00% PIK, 6/30/25 |
217 | 99,865 | ||||||
Matador Bidco S.a.r.l., Term Loan, 4.854%, (1 mo. USD LIBOR + 4.75%), 10/15/26 |
1,728 | 1,733,166 | ||||||
Prairie ECI Acquiror L.P., Term Loan, 4.854%, (1 mo. USD LIBOR + 4.75%), 3/11/26 |
654 | 637,705 | ||||||
PSC Industrial Holdings Corp., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 10/11/24 |
772 | 766,532 | ||||||
RDV Resources Properties, LLC, Term Loan, 9.50%, (1 mo. USD LIBOR + 8.50%, Floor 1.00%), 3/29/24 |
482 | 248,066 | ||||||
Sunrise Oil & Gas Properties, LLC: |
|
|||||||
Term Loan, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), 1/17/23 |
101 | 98,270 | ||||||
Term Loan - Second Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), 1/17/23 |
107 | 98,904 | ||||||
Term Loan - Third Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), 1/17/23 |
124 | 95,733 | ||||||
UGI Energy Services, LLC, Term Loan, 3.854%, (1 mo. USD LIBOR + 3.75%), 8/13/26 |
1,054 | 1,056,462 | ||||||
|
|
|||||||
$ | 15,181,389 | |||||||
|
|
|||||||
Publishing 0.5% |
| |||||||
Adevinta ASA: |
|
|||||||
Term Loan, 4/20/28(25) |
300 | $ | 300,609 | |||||
Term Loan, 4/20/28(25) |
EUR | 2,000 | 2,374,021 | |||||
Alchemy Copyrights, LLC, Term Loan, 3.50%, (1 mo. USD LIBOR + 3.00%, Floor 0.50%), 3/10/28 |
471 | 472,033 | ||||||
Ascend Learning, LLC: |
|
|||||||
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), 7/12/24 |
1,179 | 1,179,615 | ||||||
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 7/12/24 |
372 | 373,002 | ||||||
Axel Springer S.E., Term Loan, 5.00%, (3 mo. EURIBOR + 5.00%), 12/18/26 |
EUR | 1,000 | 1,187,356 | |||||
Getty Images, Inc., Term Loan, 4.625%, (1 mo. USD LIBOR + 4.50%), 2/19/26 |
1,061 | 1,061,661 |
49
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
LSC Communications, Inc., Term Loan, 0.00%, 9/30/22(21) |
773 | $ | 29,956 | |||||
Tweddle Group, Inc., Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 9/17/23 |
514 | 505,427 | ||||||
|
|
|||||||
$ | 7,483,680 | |||||||
|
|
|||||||
Radio and Television 1.0% |
| |||||||
Cumulus Media New Holdings, Inc., Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/31/26 |
322 | $ | 322,917 | |||||
Diamond Sports Group, LLC, Term Loan, 3.36%, (1 mo. USD LIBOR + 3.25%), 8/24/26 |
3,046 | 1,887,278 | ||||||
Entercom Media Corp., Term Loan, 2.595%, (1 mo. USD LIBOR + 2.50%), 11/18/24 |
897 | 890,627 | ||||||
Entravision Communications Corporation, Term Loan, 2.854%, (1 mo. USD LIBOR + 2.75%), 11/29/24 |
837 | 831,258 | ||||||
Gray Television, Inc.: |
|
|||||||
Term Loan, 2.342%, (1 mo. USD LIBOR + 2.25%), 2/7/24 |
278 | 277,274 | ||||||
Term Loan, 2.592%, (1 mo. USD LIBOR + 2.50%), 1/2/26 |
637 | 634,931 | ||||||
Hubbard Radio, LLC, Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), 3/28/25 |
755 | 749,903 | ||||||
iHeartCommunications, Inc., Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 5/1/26 |
493 | 488,960 | ||||||
Nexstar Broadcasting, Inc.: |
|
|||||||
Term Loan, 2.345%, (1 mo. USD LIBOR + 2.25%), 1/17/24 |
125 | 124,925 | ||||||
Term Loan, 2.592%, (1 mo. USD LIBOR + 2.50%), 9/18/26 |
453 | 452,375 | ||||||
Sinclair Television Group, Inc.: |
|
|||||||
Term Loan, 2.61%, (1 mo. USD LIBOR + 2.50%), 9/30/26 |
639 | 633,755 | ||||||
Term Loan, 3.11%, (1 mo. USD LIBOR + 3.00%), 4/1/28 |
413 | 409,355 | ||||||
Terrier Media Buyer, Inc., Term Loan, 3.604%, (1 mo. USD LIBOR + 3.50%), 12/17/26 |
1,847 | 1,840,556 | ||||||
Univision Communications, Inc., Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/15/26 |
6,924 | 6,943,060 | ||||||
|
|
|||||||
$ | 16,487,174 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 0.6% |
| |||||||
Ascena Retail Group, Inc., Term Loan, 0.00%, 8/21/22(21) |
2,227 | $ | 93,726 | |||||
BJs Wholesale Club, Inc., Term Loan, 2.073%, (1 mo. USD LIBOR + 2.00%), 2/3/24 |
487 | 487,311 | ||||||
CNT Holdings I Corp., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 11/8/27 |
698 | 699,614 | ||||||
Davids Bridal, Inc.: |
|
|||||||
Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), 6/30/23 |
625 | 571,246 | ||||||
Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), 6.00% cash, 5.00% PIK, 6/23/23 |
529 | 526,090 | ||||||
Great Outdoors Group, LLC, Term Loan, 5.00%, (6 mo. USD LIBOR + 4.25%, Floor 0.75%), 3/6/28 |
2,438 | 2,455,380 | ||||||
Harbor Freight Tools USA, Inc., Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), 10/19/27 |
1,393 | 1,394,900 | ||||||
Hoya Midco, LLC, Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), 6/30/24 |
2,066 | 2,058,354 | ||||||
PetSmart, Inc., Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), 2/12/28 |
1,325 | 1,327,484 | ||||||
Phillips Feed Service, Inc., Term Loan, 8.00%, (6 mo. USD LIBOR + 7.00%, Floor 1.00%), 11/13/24(14) |
108 | 86,549 | ||||||
Pier 1 Imports (U.S.), Inc., Term Loan, 0.00%, 4/30/22(14)(21) |
112 | 89,509 | ||||||
|
|
|||||||
$ | 9,790,163 | |||||||
|
|
|||||||
Steel 0.2% |
| |||||||
Neenah Foundry Company, Term Loan, 10.00%, (2 mo. USD LIBOR + 9.00%, Floor 1.00%), 12/13/22 |
671 | $ | 620,610 |
50
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Phoenix Services International, LLC, Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), 3/1/25 |
871 | $ | 869,661 | |||||
Zekelman Industries, Inc., Term Loan, 2.092%, (1 mo. USD LIBOR + 2.00%), 1/24/27 |
1,116 | 1,106,041 | ||||||
|
|
|||||||
$ | 2,596,312 | |||||||
|
|
|||||||
Surface Transport 0.3% |
| |||||||
Hertz Corporation (The): |
|
|||||||
DIP Loan, 6.477%, (1 mo. USD LIBOR + 7.25%, Floor 1.00%), 12/31/21(23) |
1,017 | $ | 1,022,291 | |||||
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), 6/30/23 |
691 | 696,006 | ||||||
Term Loan, 6/14/28(25) |
198 | 197,229 | ||||||
Term Loan, 6/14/28(25) |
1,052 | 1,046,521 | ||||||
Kenan Advantage Group, Inc., Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), 3/24/26 |
2,239 | 2,244,906 | ||||||
|
|
|||||||
$ | 5,206,953 | |||||||
|
|
|||||||
Telecommunications 2.0% |
| |||||||
Avaya, Inc., Term Loan, 4.073%, (1 mo. USD LIBOR + 4.00%), 12/15/27 |
200 | $ | 200,938 | |||||
CenturyLink, Inc., Term Loan, 2.354%, (1 mo. USD LIBOR + 2.25%), 3/15/27 |
7,289 | 7,203,012 | ||||||
Cyxtera DC Holdings, Inc., Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), 5/1/24 |
912 | 891,100 | ||||||
Digicel International Finance Limited, Term Loan, 3.43%, (6 mo. USD LIBOR + 3.25%), 5/28/24 |
4,889 | 4,705,427 | ||||||
eircom Finco S.a.r.l., Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), 5/15/26 |
EUR | 1,786 | 2,116,587 | |||||
Gamma Infrastructure III B.V., Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), 1/9/25 |
EUR | 1,700 | 2,011,365 | |||||
GEE Holdings 2, LLC: |
|
|||||||
Term Loan, 9.00%, (3 mo. USD LIBOR + 8.00%, Floor 1.00%), 3/24/25 |
329 | 329,430 | ||||||
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), 3/23/26 |
644 | 595,998 | ||||||
Intelsat Jackson Holdings S.A.: |
|
|||||||
DIP Loan, 6.50%, (3 mo. USD LIBOR + 5.50%, Floor 1.00%), 7/13/22 |
444 | 449,948 | ||||||
Term Loan, 8.75%, (USD Prime + 5.50%), 1/2/24 |
1,500 | 1,532,062 | ||||||
IPC Corp., Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), 8/6/21(14) |
1,088 | 906,168 | ||||||
Onvoy, LLC, Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), 2/10/24 |
775 | 775,683 | ||||||
Plantronics, Inc., Term Loan, 2.604%, (1 mo. USD LIBOR + 2.50%), 7/2/25 |
1,187 | 1,169,131 | ||||||
Syniverse Holdings, Inc., Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 3/9/23 |
1,040 | 1,032,046 | ||||||
Zayo Group Holdings, Inc.: |
|
|||||||
Term Loan, 3.104%, (1 mo. USD LIBOR + 3.00%), 3/9/27 |
2,171 | 2,149,826 | ||||||
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), 3/9/27 |
EUR | 988 | 1,166,015 | |||||
Ziggo Financing Partnership, Term Loan, 2.573%, (1 mo. USD LIBOR + 2.50%), 4/30/28 |
4,150 | 4,114,841 | ||||||
|
|
|||||||
$ | 31,349,577 | |||||||
|
|
|||||||
Utilities 0.3% |
||||||||
Calpine Construction Finance Company L.P., Term Loan, 2.104%, (1 mo. USD LIBOR + 2.00%), 1/15/25 |
2,708 | $ | 2,679,985 | |||||
Calpine Corporation, Term Loan, 2.61%, (1 mo. USD LIBOR + 2.50%), 12/16/27 |
2,022 | 2,011,794 |
51
Borrower/Description | Principal Amount* (000s omitted) |
Value | ||||||
Longview Power, LLC, Term Loan, 11.50%, (3 mo. USD LIBOR + 10.00%, Floor 1.50%), 7/30/25 |
42 | $ | 43,236 | |||||
|
|
|||||||
$ | 4,735,015 | |||||||
|
|
|||||||
Total Senior Floating-Rate Loans |
|
$ | 793,656,925 | |||||
|
|
|||||||
Sovereign Government Bonds 5.0% |
||||||||
Security | Principal Amount* (000s omitted) |
Value | ||||||
Argentina 0.1% |
||||||||
Provincia de Buenos Aires/Government Bonds: |
||||||||
6.50%, 2/15/23(16) |
404 | $ | 179,784 | |||||
7.875%, 6/15/27(16) |
1,958 | 886,014 | ||||||
9.125%, 3/16/24(16) |
176 | 79,642 | ||||||
9.95%, 6/9/21(16) |
172 | 82,132 | ||||||
Republic of Argentina, 0.125% to 7/9/21, 7/9/35(20) |
1,711 | 545,695 | ||||||
|
|
|||||||
Total Argentina |
|
$ | 1,773,267 | |||||
|
|
|||||||
Bahrain 0.2% |
||||||||
Kingdom of Bahrain: |
||||||||
6.75%, 9/20/29(16) |
1,040 | $ | 1,144,572 | |||||
7.375%, 5/14/30(16) |
1,324 | 1,500,026 | ||||||
|
|
|||||||
Total Bahrain |
|
$ | 2,644,598 | |||||
|
|
|||||||
Barbados 0.2% |
||||||||
Government of Barbados, 6.50%, 10/1/29(1) |
3,080 | $ | 3,125,896 | |||||
|
|
|||||||
Total Barbados |
|
$ | 3,125,896 | |||||
|
|
|||||||
Belarus 0.2% |
||||||||
Republic of Belarus: |
||||||||
5.875%, 2/24/26(16) |
440 | $ | 408,254 | |||||
6.875%, 2/28/23(16) |
2,615 | 2,604,435 | ||||||
|
|
|||||||
Total Belarus |
|
$ | 3,012,689 | |||||
|
|
|||||||
Benin 0.2% |
||||||||
Benin Government International Bond, 6.875%, 1/19/52(16) |
EUR | 2,170 | $ | 2,686,175 | ||||
|
|
|||||||
Total Benin |
|
$ | 2,686,175 | |||||
|
|
|||||||
Brazil 0.2% |
||||||||
Federative Republic of Brazil: |
||||||||
3.875%, 6/12/30 |
371 | $ | 374,765 | |||||
4.625%, 1/13/28 |
1,850 | 2,002,468 | ||||||
|
|
|||||||
Total Brazil |
|
$ | 2,377,233 | |||||
|
|
|||||||
Cameroon 0.1% |
||||||||
Republic of Cameroon International Bond, 5.95%, 7/7/32(1)(3) |
EUR | 940 | $ | 1,114,605 | ||||
|
|
|||||||
Total Cameroon |
|
$ | 1,114,605 | |||||
|
|
|||||||
Croatia 0.1% |
||||||||
Croatia Government International Bond, 1.75%, 3/4/41(16) |
EUR | 1,801 | $ | 2,166,723 | ||||
|
|
|||||||
Total Croatia |
|
$ | 2,166,723 | |||||
|
|
52
Security | Principal Amount* (000s omitted) |
Value | ||||||
Dominican Republic 0.2% |
||||||||
Dominican Republic: |
||||||||
4.50%, 1/30/30(16) |
734 | $ | 752,357 | |||||
5.875%, 1/30/60(16) |
979 | 978,021 | ||||||
6.85%, 1/27/45(16) |
436 | 494,315 | ||||||
7.45%, 4/30/44(16) |
868 | 1,048,327 | ||||||
|
|
|||||||
Total Dominican Republic |
|
$ | 3,273,020 | |||||
|
|
|||||||
Ecuador 0.1% |
||||||||
Republic of Ecuador, 0.50% to 7/31/21, 7/31/40(16)(20) |
2,958 | $ | 1,549,294 | |||||
|
|
|||||||
Total Ecuador |
|
$ | 1,549,294 | |||||
|
|
|||||||
Egypt 0.6% |
||||||||
Arab Republic of Egypt: |
||||||||
8.15%, 11/20/59(16) |
4,807 | $ | 4,824,209 | |||||
8.50%, 1/31/47(16) |
3,343 | 3,494,856 | ||||||
8.70%, 3/1/49(16) |
1,463 | 1,549,902 | ||||||
8.875%, 5/29/50(16) |
355 | 383,606 | ||||||
|
|
|||||||
Total Egypt |
|
$ | 10,252,573 | |||||
|
|
|||||||
El Salvador 0.1% |
||||||||
Republic of El Salvador, 7.75%, 1/24/23(16) |
2,128 | $ | 2,112,466 | |||||
|
|
|||||||
Total El Salvador |
|
$ | 2,112,466 | |||||
|
|
|||||||
Ivory Coast 0.3% |
||||||||
Ivory Coast Government International Bond: |
||||||||
4.875%, 1/30/32(16) |
EUR | 633 | $ | 751,931 | ||||
5.25%, 3/22/30(16) |
EUR | 709 | 880,638 | |||||
6.625%, 3/22/48(16) |
EUR | 2,701 | 3,370,854 | |||||
6.875%, 10/17/40(16) |
EUR | 402 | 522,127 | |||||
|
|
|||||||
Total Ivory Coast |
|
$ | 5,525,550 | |||||
|
|
|||||||
Lebanon 0.0%(11) |
||||||||
Lebanese Republic: | ||||||||
6.25%, 11/4/24(16)(21) |
16 | $ | 2,101 | |||||
6.25%, 6/12/25(16)(21) |
287 | 37,890 | ||||||
6.40%, 5/26/23(21) |
13 | 1,716 | ||||||
6.65%, 4/22/24(16)(21) |
715 | 94,342 | ||||||
6.65%, 11/3/28(16)(21) |
207 | 27,498 | ||||||
6.75%, 11/29/27(16)(21) |
4 | 526 | ||||||
6.85%, 3/23/27(16)(21) |
412 | 53,991 | ||||||
6.85%, 5/25/29(21) |
8 | 1,058 | ||||||
7.00%, 3/20/28(16)(21) |
466 | 61,426 | ||||||
7.05%, 11/2/35(16)(21) |
86 | 11,424 | ||||||
7.15%, 11/20/31(16)(21) |
451 | 59,124 | ||||||
8.20%, 5/17/33(21) |
156 | 20,834 | ||||||
8.25%, 5/17/34(21) |
129 | 16,847 | ||||||
|
|
|||||||
Total Lebanon |
|
$ | 388,777 | |||||
|
|
|||||||
Pakistan 0.1% |
||||||||
Islamic Republic of Pakistan: |
||||||||
7.375%, 4/8/31(16) |
315 | $ | 324,844 | |||||
8.875%, 4/8/51(16) |
782 | 831,902 | ||||||
|
|
|||||||
Total Pakistan |
|
$ | 1,156,746 | |||||
|
|
53
Security | Principal Amount* (000s omitted) |
Value | ||||||
Paraguay 0.2% |
||||||||
Republic of Paraguay, 4.95%, 4/28/31(16) |
2,507 | $ | 2,886,209 | |||||
|
|
|||||||
Total Paraguay |
|
$ | 2,886,209 | |||||
|
|
|||||||
Romania 0.6% |
||||||||
Romania Government International Bond: |
||||||||
2.625%, 12/2/40(16) |
EUR | 101 | $ | 118,977 | ||||
2.75%, 4/14/41(16) |
EUR | 504 | 595,230 | |||||
3.375%, 1/28/50(16) |
EUR | 3,207 | 4,065,334 | |||||
3.624%, 5/26/30(16) |
EUR | 610 | 837,831 | |||||
4.625%, 4/3/49(16) |
EUR | 2,528 | 3,807,761 | |||||
|
|
|||||||
Total Romania |
|
$ | 9,425,133 | |||||
|
|
|||||||
Seychelles 0.1% |
||||||||
Republic of Seychelles, 8.00%, 1/1/26(16) |
1,120 | $ | 1,114,811 | |||||
|
|
|||||||
Total Seychelles |
|
$ | 1,114,811 | |||||
|
|
|||||||
Suriname 0.2% |
||||||||
Republic of Suriname, 9.25%, 10/26/26(16) |
4,769 | $ | 2,991,117 | |||||
|
|
|||||||
Total Suriname |
|
$ | 2,991,117 | |||||
|
|
|||||||
Tunisia 0.2% |
||||||||
Banque Centrale de Tunisie International Bond: | ||||||||
5.625%, 2/17/24(16) |
EUR | 1,393 | $ | 1,544,552 | ||||
6.75%, 10/31/23(16) |
EUR | 889 | 1,022,845 | |||||
|
|
|||||||
Total Tunisia |
|
$ | 2,567,397 | |||||
|
|
|||||||
Turkey 0.1% |
||||||||
Republic of Turkey: | ||||||||
4.375%, 7/8/27(3) |
EUR | 850 | $ | 1,001,387 | ||||
6.75%, 5/30/40 |
630 | 619,309 | ||||||
7.625%, 4/26/29 |
500 | 548,875 | ||||||
|
|
|||||||
Total Turkey |
|
$ | 2,169,571 | |||||
|
|
|||||||
Ukraine 0.7% |
||||||||
Ukraine Government International Bond: |
||||||||
0.00%, GDP-Linked, 5/31/40(1)(16)(27) |
1,697 | $ | 2,017,716 | |||||
9.75%, 11/1/28(16) |
7,659 | 9,145,673 | ||||||
|
|
|||||||
Total Ukraine |
|
$ | 11,163,389 | |||||
|
|
|||||||
United Arab Emirates 0.2% |
||||||||
Finance Department Government of Sharjah, 4.375%, 3/10/51(16) |
2,625 | $ | 2,538,443 | |||||
|
|
|||||||
Total United Arab Emirates |
|
$ | 2,538,443 | |||||
|
|
|||||||
Zambia 0.0%(11) |
||||||||
Republic of Zambia: |
||||||||
5.375%, 9/20/22(16) |
402 | $ | 254,708 | |||||
8.50%, 4/14/24(16) |
206 | 132,590 | ||||||
8.97%, 7/30/27(16) |
200 | 126,927 | ||||||
|
|
|||||||
Total Zambia |
|
$ | 514,225 | |||||
|
|
|||||||
Total Sovereign Government Bonds |
$ | 78,529,907 | ||||||
|
|
54
Sovereign Loans 0.8% |
||||||||
Borrower | Principal Amount (000s omitted) |
Value | ||||||
Kenya 0.2% |
||||||||
Government of Kenya, Term Loan, 6.616%, (6 mo. USD LIBOR + 6.45%), 6/29/25(2) |
$ | 3,600 | $ | 3,648,933 | ||||
|
|
|||||||
Total Kenya |
$ | 3,648,933 | ||||||
|
|
|||||||
Nigeria 0.2% |
||||||||
Bank of Industry Limited, Term Loan, 6.119%, (3 mo. USD LIBOR + 6.00%), 12/14/23(2)(28) |
$ | 2,500 | $ | 2,520,705 | ||||
|
|
|||||||
Total Nigeria |
$ | 2,520,705 | ||||||
|
|
|||||||
Tanzania 0.4% |
||||||||
Government of the United Republic of Tanzania: |
||||||||
Term Loan, 5.364%, (6 mo. USD LIBOR + 5.20%), 6/23/22(2) |
$ | 1,021 | $ | 1,041,362 | ||||
Term Loan, 5.384%, (6 mo. USD LIBOR + 5.20%), 6/23/22(2) |
971 | 995,939 | ||||||
Term Loan, 6.446%, (6 mo. USD LIBOR + 6.30%), 4/28/31(2) |
4,410 | 4,410,000 | ||||||
|
|
|||||||
Total Tanzania |
$ | 6,447,301 | ||||||
|
|
|||||||
Total Sovereign Loans |
$ | 12,616,939 | ||||||
|
|
|||||||
Warrants 0.0%(11) |
||||||||
Security | Shares | Value | ||||||
Entertainment 0.0%(11) |
||||||||
Cineworld Group PLC, Exp. 11/23/25(12)(13) |
78,565 | $ | 39,070 | |||||
|
|
|||||||
$ | 39,070 | |||||||
|
|
|||||||
Health Care 0.0%(11) |
||||||||
THAIHOT Investment Company US Limited, Exp. 10/13/27(12)(13)(14) |
24 | $ | 24,191 | |||||
THAIHOT Investment Company US Limited, Exp. 10/13/27(12)(13)(14) |
175 | 54,338 | ||||||
THAIHOT Investment Company US Limited, Exp. 10/13/27 (Contingent Warrants)(12)(13)(14) |
11,110 | 0 | ||||||
|
|
|||||||
$ | 78,529 | |||||||
|
|
|||||||
Retailers (Except Food and Drug) 0.0% |
||||||||
Davids Bridal, LLC, Exp. 11/26/22(12)(13)(14) |
7,886 | $ | 0 | |||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Total Warrants |
$ | 117,599 | ||||||
|
|
|||||||
Miscellaneous 0.0% |
||||||||
Security | Shares | Value | ||||||
Cable and Satellite Television 0.0% |
||||||||
ACC Claims Holdings, LLC(13)(14) |
2,257,600 | $ | 0 | |||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Oil and Gas 0.0% |
||||||||
Paragon Offshore Finance Company, Class A(12)(13)(14) |
2,021 | $ | 0 | |||||
Paragon Offshore Finance Company, Class B(12)(13)(14) |
1,011 | 0 | ||||||
|
|
|||||||
$ | 0 | |||||||
|
|
|||||||
Total Miscellaneous |
$ | 0 | ||||||
|
|
55
Short-Term Investments 6.0% |
||||||||
U.S. Treasury Obligations 0.0%(11) |
| |||||||
Security | Principal Amount (000s omitted) |
Value | ||||||
U.S. Treasury Bill, 0.00%, 7/22/21(29) |
$ | 235 | $ | 234,994 | ||||
U.S. Treasury Bill, 0.00%, 9/9/21 |
265 | 264,978 | ||||||
|
|
|||||||
Total U.S. Treasury Obligations |
$ | 499,972 | ||||||
|
|
|||||||
Other 6.0% |
| |||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.05%(30) |
93,930,876 | $ | 93,930,876 | |||||
|
|
|||||||
Total Other |
|
$ | 93,930,876 | |||||
|
|
|||||||
Total Short-Term Investments |
|
$ | 94,430,848 | |||||
|
|
|||||||
Total Investments 161.0% |
$ | 2,542,611,739 | ||||||
|
|
|||||||
Less Unfunded Loan Commitments (0.1)% |
$ | (1,510,280 | ) | |||||
|
|
|||||||
Net Investments 160.9% |
$ | 2,541,101,459 | ||||||
|
|
|||||||
Other Assets, Less Liabilities (47.2)% |
$ | (745,324,500 | ) | |||||
|
|
|||||||
Auction Preferred Shares Plus Cumulative Unpaid Dividends (13.7)% |
$ | (216,002,511 | ) | |||||
|
|
|||||||
Net Assets Applicable to Common Shares 100.0% |
$ | 1,579,774,448 | ||||||
|
|
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) | Security exempt from registration under Rule 144A of 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, 2021, the aggregate value of these securities is $700,832,769 or 44.4% of the Funds net assets applicable to common shares. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2021. |
(3) | When-issued security. For a variable rate security, interest rate will be determined after June 30, 2021. |
(4) | 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, 2021. |
(5) | 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. |
56
(6) | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
(7) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2021. |
(8) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021. |
(9) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(10) | 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, 2021. |
(11) | Amount is less than 0.05%. |
(12) | Non-income producing security. |
(13) | Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale. |
(14) | For fair value measurement disclosure purposes, security is categorized as Level 3. |
(15) | Restricted security. |
(16) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, 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, as amended. At June 30, 2021, the aggregate value of these securities is $110,808,653 or 7.0% of the Funds net assets applicable to common shares. |
(17) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(18) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(19) | Represents a payment-in-kind security which may pay interest in additional principal at the issuers discretion. |
(20) | Step coupon security. Interest rate represents the rate in effect at June 30, 2021. |
(21) | 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. |
(22) | 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. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(23) | Unfunded or partially unfunded loan commitments. The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrowers discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At June 30, 2021, the total value of unfunded loan commitments is $1,512,086. |
(24) | The stated interest rate represents the weighted average interest rate at June 30, 2021 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. |
(25) | This Senior Loan will settle after June 30, 2021, at which time the interest rate will be determined. |
(26) | Fixed-rate loan. |
(27) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraines GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
57
(28) | Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date. |
(29) | Security (or a portion thereof) has been pledged to cover margin requirements on open derivative contracts. |
(30) | 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, 2021. |
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Settlement Date |
Value/ Unrealized Appreciation (Depreciation) |
|||||||||||||||||
USD | 10,187,781 | EUR | 8,355,519 | 9/15/21 | $ | 265,143 | ||||||||||||||
USD | 5,460,380 | EUR | 4,478,336 | 9/15/21 | 142,110 | |||||||||||||||
USD | 2,730,163 | EUR | 2,239,146 | 9/15/21 | 71,054 | |||||||||||||||
USD | 2,673,253 | EUR | 2,192,471 | 9/15/21 | 69,573 | |||||||||||||||
USD | 2,199,209 | EUR | 1,803,684 | 9/15/21 | 57,236 | |||||||||||||||
USD | 3,636 | EUR | 2,982 | 9/15/21 | 94 | |||||||||||||||
|
|
|||||||||||||||||||
$ | 605,210 | |||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
|
| |||||||||||||||||||||||
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
EUR | 50,000 | USD | 595,060 | JPMorgan Chase Bank, N.A. | 7/1/21 | $ | | $ | (2,185 | ) | ||||||||||||||
EUR | 95,944 | USD | 114,564 | State Street Bank and Trust Company | 7/1/21 | | (799 | ) | ||||||||||||||||
EUR | 500,000 | USD | 594,990 | State Street Bank and Trust Company | 7/1/21 | | (2,115 | ) | ||||||||||||||||
EUR | 30,869,910 | USD | 36,608,626 | Standard Chartered Bank | 7/2/21 | | (4,626 | ) | ||||||||||||||||
EUR | 129,000 | USD | 154,141 | State Street Bank and Trust Company | 7/2/21 | | (1,179 | ) | ||||||||||||||||
USD | 37,625,037 | EUR | 30,869,910 | Standard Chartered Bank | 7/2/21 | 1,021,037 | | |||||||||||||||||
EUR | 208,113 | USD | 251,395 | Citibank, N.A. | 7/30/21 | | (4,482 | ) | ||||||||||||||||
EUR | 33,985 | USD | 40,379 | State Street Bank and Trust Company | 7/30/21 | | (58 | ) | ||||||||||||||||
EUR | 74,925 | USD | 89,485 | State Street Bank and Trust Company | 7/30/21 | | (591 | ) | ||||||||||||||||
EUR | 116,607 | USD | 138,980 | State Street Bank and Trust Company | 7/30/21 | | (633 | ) | ||||||||||||||||
EUR | 98,661 | USD | 120,483 | State Street Bank and Trust Company | 7/30/21 | | (3,428 | ) | ||||||||||||||||
EUR | 255,348 | USD | 307,629 | State Street Bank and Trust Company | 7/30/21 | | (4,674 | ) | ||||||||||||||||
GBP | 50,997 | USD | 72,323 | State Street Bank and Trust Company | 7/30/21 | | (1,773 | ) | ||||||||||||||||
GBP | 339,007 | USD | 472,906 | State Street Bank and Trust Company | 7/30/21 | | (3,918 | ) | ||||||||||||||||
USD | 9,249,883 | EUR | 7,621,536 | Citibank, N.A. | 7/30/21 | 207,406 | | |||||||||||||||||
USD | 1,252,489 | EUR | 1,032,002 | Citibank, N.A. | 7/30/21 | 28,084 | | |||||||||||||||||
USD | 9,111,760 | EUR | 7,507,789 | Goldman Sachs International | 7/30/21 | 204,237 | | |||||||||||||||||
USD | 1,233,787 | EUR | 1,016,599 | Goldman Sachs International | 7/30/21 | 27,655 | | |||||||||||||||||
USD | 30,529,497 | EUR | 25,137,358 | HSBC Bank USA, N.A. | 7/30/21 | 705,591 | | |||||||||||||||||
USD | 595,409 | EUR | 500,000 | JPMorgan Chase Bank, N.A. | 7/30/21 | 2,190 | | |||||||||||||||||
USD | 9,249,918 | EUR | 7,621,472 | State Street Bank and Trust Company | 7/30/21 | 207,517 | | |||||||||||||||||
USD | 3,639,962 | EUR | 2,992,500 | State Street Bank and Trust Company | 7/30/21 | 89,548 | | |||||||||||||||||
USD | 1,220,672 | EUR | 1,000,000 | State Street Bank and Trust Company | 7/30/21 | 34,234 | | |||||||||||||||||
USD | 1,811,287 | EUR | 1,500,000 | State Street Bank and Trust Company | 7/30/21 | 31,631 | | |||||||||||||||||
USD | 1,252,494 | EUR | 1,031,993 | State Street Bank and Trust Company | 7/30/21 | 28,099 | | |||||||||||||||||
USD | 611,362 | EUR | 500,000 | State Street Bank and Trust Company | 7/30/21 | 18,144 | | |||||||||||||||||
USD | 565,779 | EUR | 468,217 | State Street Bank and Trust Company | 7/30/21 | 10,268 | | |||||||||||||||||
USD | 1,188,420 | EUR | 995,000 | State Street Bank and Trust Company | 7/30/21 | 7,914 | | |||||||||||||||||
USD | 350,670 | EUR | 290,185 | State Street Bank and Trust Company | 7/30/21 | 6,384 | | |||||||||||||||||
USD | 233,104 | EUR | 191,297 | State Street Bank and Trust Company | 7/30/21 | 6,142 | |
58
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
|||||||||||||||||||
USD | 161,171 | EUR | 132,241 | State Street Bank and Trust Company | 7/30/21 | $ | 4,275 | $ | | |||||||||||||||
USD | 121,992 | EUR | 99,766 | State Street Bank and Trust Company | 7/30/21 | 3,626 | | |||||||||||||||||
USD | 142,960 | EUR | 118,000 | State Street Bank and Trust Company | 7/30/21 | 2,960 | | |||||||||||||||||
USD | 121,239 | EUR | 100,000 | State Street Bank and Trust Company | 7/30/21 | 2,595 | | |||||||||||||||||
USD | 126,956 | EUR | 105,000 | State Street Bank and Trust Company | 7/30/21 | 2,380 | | |||||||||||||||||
USD | 64,890 | EUR | 53,068 | State Street Bank and Trust Company | 7/30/21 | 1,929 | | |||||||||||||||||
USD | 154,226 | EUR | 129,000 | State Street Bank and Trust Company | 7/30/21 | 1,175 | | |||||||||||||||||
USD | 32,096 | EUR | 26,335 | State Street Bank and Trust Company | 7/30/21 | 851 | | |||||||||||||||||
USD | 114,630 | EUR | 95,944 | State Street Bank and Trust Company | 7/30/21 | 798 | | |||||||||||||||||
USD | 390,275 | EUR | 328,475 | State Street Bank and Trust Company | 7/30/21 | 560 | | |||||||||||||||||
USD | 2,445,430 | GBP | 1,753,495 | HSBC Bank USA, N.A. | 7/30/21 | 19,614 | | |||||||||||||||||
USD | 206,807 | GBP | 148,291 | HSBC Bank USA, N.A. | 7/30/21 | 1,659 | | |||||||||||||||||
USD | 4,247,888 | GBP | 3,046,301 | State Street Bank and Trust Company | 7/30/21 | 33,582 | | |||||||||||||||||
USD | 2,444,702 | GBP | 1,753,000 | State Street Bank and Trust Company | 7/30/21 | 19,571 | | |||||||||||||||||
USD | 310,862 | GBP | 220,253 | State Street Bank and Trust Company | 7/30/21 | 6,160 | | |||||||||||||||||
USD | 144,911 | GBP | 103,481 | State Street Bank and Trust Company | 7/30/21 | 1,754 | | |||||||||||||||||
USD | 206,398 | GBP | 148,000 | State Street Bank and Trust Company | 7/30/21 | 1,652 | | |||||||||||||||||
USD | 3,998 | GBP | 2,893 | State Street Bank and Trust Company | 7/30/21 | | (5 | ) | ||||||||||||||||
USD | 140,732 | GBP | 101,848 | State Street Bank and Trust Company | 7/30/21 | | (167 | ) | ||||||||||||||||
USD | 177,866 | GBP | 128,720 | State Street Bank and Trust Company | 7/30/21 | | (207 | ) | ||||||||||||||||
USD | 36,632,112 | EUR | 30,869,910 | Standard Chartered Bank | 8/3/21 | 3,934 | | |||||||||||||||||
USD | 1,144,826 | EUR | 943,581 | State Street Bank and Trust Company | 8/31/21 | 24,622 | | |||||||||||||||||
USD | 74,542 | EUR | 60,982 | State Street Bank and Trust Company | 8/31/21 | 2,145 | | |||||||||||||||||
USD | 595,720 | EUR | 500,000 | State Street Bank and Trust Company | 8/31/21 | 2,129 | | |||||||||||||||||
USD | 765,680 | GBP | 545,586 | State Street Bank and Trust Company | 8/31/21 | 10,870 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 2,784,922 | $ | (30,840 | ) | ||||||||||||||||||||
|
|
|
|
Futures Contracts
Description |
Number of Contracts |
Position | Expiration Date |
Notional Amount |
Value/ Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Interest Rate Futures |
| |||||||||||||||||||||||||||
U.S. 10-Year Treasury Note |
103 | Long | 9/21/21 | $ | 13,647,500 | $ | 36,008 | |||||||||||||||||||||
Euro-Bund |
(41 | ) | Short | 9/8/21 | (8,391,566 | ) | (45,426 | ) | ||||||||||||||||||||
Euro-Buxl |
(27 | ) | Short | 9/8/21 | (6,506,780 | ) | (103,089 | ) | ||||||||||||||||||||
U.S. 5-Year Treasury Note |
(10 | ) | Short | 9/30/21 | (1,234,297 | ) | 4,570 | |||||||||||||||||||||
U.S. 10-Year Treasury Note |
(203 | ) | Short | 9/21/21 | (26,897,500 | ) | (95,282 | ) | ||||||||||||||||||||
U.S. Long Treasury Bond |
(219 | ) | Short | 9/21/21 | (35,204,250 | ) | (859,666 | ) | ||||||||||||||||||||
U.S. Ultra-Long Treasury Bond |
(26 | ) | Short | 9/21/21 | (5,009,875 | ) | (161,461 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | (1,224,346 | ) | ||||||||||||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
EUR | 1,000 | Receives | 6-month EURIBOR (pays semi-annually) |
(0.47)% (pays annually) |
5/4/23 | $ | (18 | ) | $ | | $ | (18 | ) | |||||||||||||
EUR | 300 | Receives | 6-month EURIBOR (pays semi-annually) |
(0.48)% (pays annually) |
5/6/23 | 107 | | 107 | ||||||||||||||||||
EUR | 700 | Receives | 6-month EURIBOR (pays semi-annually) |
(0.47)% (pays annually) |
5/14/23 | 52 | | 52 | ||||||||||||||||||
EUR | 1,570 | Receives | 6-month EURIBOR (pays semi-annually) |
(0.46)% (pays annually) |
5/25/23 | (84 | ) | | (84 | ) | ||||||||||||||||
EUR | 246 | Receives | 6-month EURIBOR (pays semi-annually) |
0.37% (pays annually) |
2/12/50 | 8,051 | | 8,051 |
59
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
EUR | 207 | Receives | 6-month EURIBOR (pays semi-annually) |
0.38% (pays annually) |
2/13/50 | $ | 6,335 | $ | 3 | $ | 6,338 | |||||||||||||||
EUR | 242 | Receives | 6-month EURIBOR (pays semi-annually) |
0.39% (pays annually) |
2/13/50 | 7,269 | | 7,269 | ||||||||||||||||||
EUR | 1,500 | Receives | 6-month EURIBOR (pays semi-annually) |
0.26% (pays annually) |
2/25/50 | 104,546 | | 104,546 | ||||||||||||||||||
EUR | 260 | Receives | 6-month EURIBOR (pays semi-annually) |
0.21% (pays annually) |
2/26/50 | 22,534 | (2 | ) | 22,532 | |||||||||||||||||
EUR | 681 | Receives | 6-month EURIBOR (pays semi-annually) |
0.12% (pays annually) |
6/8/50 | 80,443 | | 80,443 | ||||||||||||||||||
USD | 2,680 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.55% (pays semi-annually) |
3/12/23 | (17,261 | ) | | (17,261 | ) | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.49% (pays semi-annually) |
1/28/25 | (6,813 | ) | | (6,813 | ) | ||||||||||||||||
USD | 461 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.46% (pays semi-annually) |
1/30/25 | (15,192 | ) | | (15,192 | ) | ||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.41% (pays semi-annually) |
2/3/25 | (24,622 | ) | | (24,622 | ) | ||||||||||||||||
USD | 260 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.44% (pays semi-annually) |
2/18/25 | (8,107 | ) | | (8,107 | ) | ||||||||||||||||
USD | 200 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.16% (pays semi-annually) |
2/28/25 | (4,010 | ) | | (4,010 | ) | ||||||||||||||||
USD | 120 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.83% (pays semi-annually) |
3/5/25 | (778 | ) | | (778 | ) | ||||||||||||||||
USD | 452 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.39% (pays semi-annually) |
6/19/25 | 6,931 | | 6,931 | ||||||||||||||||||
USD | 2,240 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.74% (pays semi-annually) |
12/16/26 | (88,496 | ) | | (88,496 | ) | ||||||||||||||||
USD | 5,222 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.09% (pays semi-annually) |
7/15/29 | (367,383 | ) | 1,425 | (365,958 | ) | ||||||||||||||||
USD | 800 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.76% (pays semi-annually) |
12/12/29 | (28,949 | ) | | (28,949 | ) | ||||||||||||||||
USD | 511 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.60% (pays semi-annually) |
5/12/30 | 32,629 | | 32,629 | ||||||||||||||||||
USD | 700 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.66% (pays semi-annually) |
6/2/30 | 41,992 | | 41,992 | ||||||||||||||||||
USD | 511 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.80% (pays semi-annually) |
6/11/30 | 24,832 | | 24,832 | ||||||||||||||||||
USD | 27 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.77% (pays semi-annually) |
6/12/30 | 1,364 | | 1,364 | ||||||||||||||||||
USD | 375 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.69% (pays semi-annually) |
6/16/30 | 21,649 | | 21,649 | ||||||||||||||||||
USD | 313 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.74% (pays semi-annually) |
6/18/30 | 16,858 | | 16,858 | ||||||||||||||||||
USD | 1,280 | Receives | 3-month USD-LIBOR (pays quarterly) |
2.88% (pays semi-annually) |
1/31/49 | (342,610 | ) | (619 | ) | (343,229 | ) | |||||||||||||||
USD | 128 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.71% (pays semi-annually) |
8/27/49 | 661 | | 661 | ||||||||||||||||||
USD | 148 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.70% (pays semi-annually) |
8/27/49 | 1,149 | | 1,149 |
60
Notional Amount (000s omitted) |
Fund Pays/Receives Floating Rate |
Floating Rate |
Annual Fixed Rate |
Termination Date |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
USD | 160 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.65% (pays semi-annually) |
8/28/49 | $ | 3,288 | $ | | $ | 3,288 | |||||||||||||||
USD | 85 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.54% (pays semi-annually) |
8/30/49 | 3,930 | | 3,930 | ||||||||||||||||||
USD | 88 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.70% (pays semi-annually) |
9/12/49 | 800 | | 800 | ||||||||||||||||||
USD | 92 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.82% (pays semi-annually) |
12/6/49 | (1,371 | ) | | (1,371 | ) | ||||||||||||||||
USD | 91 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.81% (pays semi-annually) |
12/6/49 | (1,239 | ) | | (1,239 | ) | ||||||||||||||||
USD | 19 | Receives | 3-month USD-LIBOR (pays quarterly) |
1.94% (pays semi-annually) |
1/9/50 | (965 | ) | | (965 | ) | ||||||||||||||||
USD | 1,650 | Receives | 3-month USD-LIBOR (pays quarterly) |
0.96% (pays semi-annually) |
6/2/50 | 312,346 | | 312,346 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
Total | $ | (210,132 | ) | $ | 807 | $ | (209,325 | ) | ||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Sell Protection
Reference Entity | Notional Amount* (000s omitted) |
Contract Annual Fixed Rate** |
Termination Date |
Current Market Annual Fixed Rate*** |
Value | Unamortized Upfront Receipts (Payments) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Indonesia | $ | 3,750 | 1.00% (pays quarterly)(1) |
6/20/26 | 0.75 | % | $ | 47,162 | $ | (23,499 | ) | $ | 23,663 | |||||||||||||
Turkey | 2,400 | 1.00% (pays quarterly)(1) |
6/20/25 | 3.63 | (230,044 | ) | 341,279 | 111,235 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total | $ | 6,150 | $ | (182,882 | ) | $ | 317,780 | $ | 134,898 | |||||||||||||||||
|
|
|
|
|
|
|
|
Credit Default Swaps Sell Protection
|
|
|||||||||||||||||||||||||||||
Reference Entity | Counterparty |
Notional Amount* (000s 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 | 3.31 | % | $ | (25,289 | ) | $ | 20,048 | $ | (5,241 | ) | |||||||||||||
Mexico | Goldman Sachs International | 3,191 | |
1.00% (pays quarterly)(1) |
|
6/20/31 | 1.56 | (160,209 | ) | 202,940 | 42,731 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total | $ | 4,341 | $ | (185,498 | ) | $ | 222,988 | $ | 37,490 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
* | 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, 2021, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $10,491,000. |
** | 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. |
61
*** | Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the markets perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as Defaulted indicates a credit event has occurred for the reference entity. |
(1) | Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon. |
Abbreviations:
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 | ||
SOFR |
- | Secured Overnight Financing Rate | ||
TBA |
- | To Be Announced | ||
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, 2021, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
Restricted Securities
At June 30, 2021, the Fund owned the following securities (representing less than 0.05% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.
62
Description | Date of Acquisition |
Shares | Cost | Value | ||||||||||||
Common Stocks |
||||||||||||||||
Extraction Oil & Gas, Inc. |
1/28/21 | 2,089 | $ | 30,894 | $ | 114,580 | ||||||||||
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 |
$ | 1,956,291 | $ | 114,580 | ||||||||||||
|
|
|
|
The Fund invested in issuers that may be deemed to be affiliated with Morgan Stanley. At June 30, 2021, the value of the Funds investment in affiliated issuers and funds was $106,610,775, which represents 6.7% of the Funds net assets applicable to common shares. Transactions in affiliated issuers and funds by the Fund for the fiscal year to date ended June 30, 2021 were as follows:
Name |
Value, beginning of period |
Purchases | Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Interest/ Dividend income |
Principal amount/ Units, end of period |
||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
||||||||||||||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: |
||||||||||||||||||||||||||||||||
Series 2015-C23, Class D, 4.282%, 7/15/50(1) |
$ | 1,973,960 | $ | | $ | | $ | | $ | 53,079 | $ | 2,027,039 | $ | 21,410 | $ | 2,000,000 | ||||||||||||||||
Series 2016-C29, Class D, 3.00%, 5/15/49(1) |
3,034,696 | | | | 92,751 | 3,127,447 | 26,830 | 3,577,365 | ||||||||||||||||||||||||
Series 2016-C 32, Class D, 3.396%, 12/15/49(1) |
1,286,773 | | | | 40,896 | 1,327,669 | 13,584 | 1,600,000 | ||||||||||||||||||||||||
Morgan Stanley Capital I Trust: | ||||||||||||||||||||||||||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1) |
2,560,201 | | | | 29,280 | 2,589,481 | 37,166 | 4,488,667 | ||||||||||||||||||||||||
Series 2017-CLS, Class A, 0.773%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1) |
2,001,683 | | | | (164 | ) | 2,001,519 | 4,052 | 2,000,000 | |||||||||||||||||||||||
Series 2019-BPR, Class C, 3.123%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1) |
1,587,708 | | | | 19,036 | 1,606,744 | 14,731 | 1,845,000 | ||||||||||||||||||||||||
Short-Term Investments |
||||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC |
16,659,394 | 435,652,766 | (358,375,154 | ) | (6,297 | ) | 167 | 93,930,876 | 11,183 | 93,930,876 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | (6,297 | ) | $ | 235,045 | $ | 106,610,775 | $ | 128,956 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) | May be deemed to be an affiliated issuer as of March 1, 2021. |
63
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At June 30, 2021, the hierarchy of inputs used in valuing the Funds investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Asset-Backed Securities |
$ | | $ | 122,045,810 | $ | | $ | 122,045,810 | ||||||||
Closed-End Funds |
26,963,293 | | | 26,963,293 | ||||||||||||
Collateralized Mortgage Obligations |
| 144,129,946 | | 144,129,946 | ||||||||||||
Commercial Mortgage-Backed Securities |
| 82,839,388 | | 82,839,388 | ||||||||||||
U.S. Government Agency Mortgage-Backed Securities |
| 379,293,739 | | 379,293,739 | ||||||||||||
Common Stocks |
3,957,447 | 2,899,247 | 1,911,018 | 8,767,712 | ||||||||||||
Convertible Bonds |
| 978,355 | | 978,355 | ||||||||||||
Convertible Preferred Stocks |
| 2,267,953 | 0 | 2,267,953 | ||||||||||||
Corporate Bonds |
| 792,997,056 | | 792,997,056 | ||||||||||||
Exchange-Traded Funds |
580,589 | | | 580,589 | ||||||||||||
Preferred Stocks |
2,206,365 | 189,315 | 0 | 2,395,680 | ||||||||||||
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) |
| 790,882,828 | 1,263,817 | 792,146,645 | ||||||||||||
Sovereign Government Bonds |
| 78,529,907 | | 78,529,907 | ||||||||||||
Sovereign Loans |
| 12,616,939 | | 12,616,939 | ||||||||||||
Warrants |
| 39,070 | 78,529 | 117,599 | ||||||||||||
Miscellaneous |
| | 0 | 0 | ||||||||||||
Short-Term Investments |
||||||||||||||||
U.S. Treasury Obligations |
| 499,972 | | 499,972 | ||||||||||||
Other |
| 93,930,876 | | 93,930,876 | ||||||||||||
Total Investments |
$ | 33,707,694 | $ | 2,504,140,401 | $ | 3,253,364 | $ | 2,541,101,459 |
64
Asset Description | Level 1 | Level 2 | Level 3* | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | 3,390,132 | $ | | $ | 3,390,132 | ||||||||
Futures Contracts |
40,578 | | | 40,578 | ||||||||||||
Swap Contracts |
| 744,928 | | 744,928 | ||||||||||||
Total |
$ | 33,748,272 | $ | 2,508,275,461 | $ | 3,253,364 | $ | 2,545,277,097 | ||||||||
Liability Description | ||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | | $ | (30,840 | ) | $ | | $ | (30,840 | ) | ||||||
Futures Contracts |
(1,264,924 | ) | | | (1,264,924 | ) | ||||||||||
Swap Contracts |
| (1,323,440 | ) | | (1,323,440 | ) | ||||||||||
Total |
$ | (1,264,924 | ) | $ | (1,354,280 | ) | $ | | $ | (2,619,204 | ) |
* | 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, 2021 is not presented.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
65