Country | Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests 0.8% | |||||
Energy 0.7% | |||||
Amplify Energy Corp. | United States | 8,816 | $36,851 | ||
a,b | Amplify Energy Corp., wts., 4/21/20 | United States | 84,521 | — | |
a | Battalion Oil Corp. | United States | 4,381 | 32,770 | |
a,b | Battalion Oil Corp., wts., A, 10/08/22 | United States | 21,046 | 44,389 | |
a,b | Battalion Oil Corp., wts., B, 10/08/22 | United States | 26,308 | 50,636 | |
a,b | Battalion Oil Corp., wts., C, 10/08/22 | United States | 33,825 | 57,501 | |
a | Birch Permian Holdings Inc. | United States | 78,499 | 745,740 | |
a | Birch Permian Holdings Inc. | United States | 611,911 | 5,736,666 | |
a | Chaparral Energy Inc., A | United States | 43,062 | 23,077 | |
a,c | Chaparral Energy Inc., A, 144A | United States | 5,033 | 2,697 | |
a | Contura Energy Inc. | United States | 30,901 | 175,827 | |
a | Contura Energy Inc., wts., 7/26/23 | United States | 5,033 | 2,818 | |
a,d | Goodrich Petroleum Corp. | United States | 1,564,885 | 8,340,837 | |
a,b,e | Nine Point Energy LLC | United States | 433,273 | 467,293 | |
Riviera Resources Inc. | United States | 149,317 | 1,022,821 | ||
a,d | Titan Energy LLC | United States | 289,137 | 13,011 | |
a | Weatherford International PLC | United States | 217,793 | 4,551,874 | |
21,304,808 | |||||
Materials 0.1% | |||||
a | Verso Corp., A | United States | 83,362 | 1,359,634 | |
a | Verso Corp., wts., 7/25/23 | United States | 8,775 | 17,989 | |
1,377,623 | |||||
Total Common Stocks and Other Equity Interests (Cost $143,555,744) | 22,682,431 | ||||
Management Investment Companies (Cost $50,651,018) 1.7% | |||||
Diversified Financials 1.7% | |||||
f | iShares iBoxx $ High Yield Corp. Bond ETF | United States | 606,543 | 52,186,960 | |
Convertible Preferred Stocks (Cost $7,552,087) 0.1% | |||||
Energy 0.1% | |||||
a,b,e | Nine Point Energy Holdings Inc., cvt. pfd. | United States | 8,080 | 3,900,158 | |
Principal Amount* | |||||
Convertible Bonds (Cost $12,496,730) 0.4% | |||||
Energy 0.4% | |||||
b,d,g | Goodrich Petroleum Corp., cvt., senior secured note, second lien, PIK, 13.50%, 5/31/21 | United States | $12,496,730 | 11,914,746 | |
Corporate Bonds 94.1% | |||||
Automobiles & Components 0.7% | |||||
c | Adient U.S. LLC, senior secured note, 144A, 7.00%, 5/15/26 | United States | 20,500,000 | 21,384,083 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Banks 1.7% | |||||
CIT Group Inc., | |||||
senior bond, 5.00%, 8/15/22 | United States | $3,850,000 | $4,034,850 | ||
senior note, 5.25%, 3/07/25 | United States | 4,100,000 | 4,498,049 | ||
h | JPMorgan Chase & Co., | ||||
i junior sub. bond, V, FRN,5.229%, (3-month USD LIBOR + 3.32%), Perpetual | United States | 9,900,000 | 9,867,775 | ||
junior sub. bond, R, 6.00% to 8/01/23, FRN thereafter, Perpetual | United States | 15,000,000 | 15,535,425 | ||
Royal Bank of Scotland Group PLC, | |||||
sub. note, 6.125%, 12/15/22 | United Kingdom | 4,000,000 | 4,365,539 | ||
sub. note, 5.125%, 5/28/24 | United Kingdom | 10,000,000 | 11,000,519 | ||
49,302,157 | |||||
Capital Goods 7.3% | |||||
Aircastle Ltd., senior note, 4.125%, 5/01/24 | United States | 13,000,000 | 13,762,266 | ||
c | Beacon Roofing Supply Inc., senior note, 144A, 4.875%, 11/01/25 | United States | 17,700,000 | 17,112,094 | |
c | BWX Technologies Inc., senior note, 144A, 5.375%, 7/15/26 | United States | 8,500,000 | 8,922,046 | |
c | Cloud Crane LLC, secured note, second lien, 144A, 10.125%, 8/01/24 | United States | 10,000,000 | 10,595,850 | |
H&E Equipment Services Inc., senior note, 5.625%, 9/01/25 | United States | 13,700,000 | 14,316,431 | ||
c | HD Supply Inc., senior note, 144A, 5.375%, 10/15/26 | United States | 14,900,000 | 15,623,730 | |
c | Herc Holdings Inc., senior note, 144A, 5.50%, 7/15/27 | United States | 13,300,000 | 13,831,003 | |
c | Jeld-Wen Inc., | ||||
senior bond, 144A, 4.875%, 12/15/27 | United States | 7,800,000 | 8,089,790 | ||
senior note, 144A, 4.625%, 12/15/25 | United States | 7,600,000 | 7,679,154 | ||
c | The Manitowoc Co. Inc., secured note, second lien, 144A, 9.00%, 4/01/26 | United States | 15,100,000 | 15,703,585 | |
c | NCI Building Systems Inc., senior secured note, 144A, 8.00%, 4/15/26 | United States | 18,000,000 | 17,860,050 | |
c | Signature Aviation US Holdings Inc., senior note, 144A, 5.375%, 5/01/26 | United States | 9,800,000 | 10,022,240 | |
c | TransDigm Inc., senior secured note, 144A, 6.25%, 3/15/26 | United States | 31,400,000 | 33,303,656 | |
c | Vertiv Group Corp., senior note, 144A, 9.25%, 10/15/24 | United States | 29,500,000 | 31,546,710 | |
218,368,605 | |||||
Commercial & Professional Services 2.2% | |||||
c | Ashtead Capital Inc., secured note, second lien, 144A, 4.00%, 5/01/28 | United Kingdom | 6,500,000 | 6,569,687 | |
c | Intrado Corp., senior note, 144A, 8.50%, 10/15/25 | United States | 29,900,000 | 20,182,500 | |
United Rentals North America Inc., | |||||
senior bond, 5.875%, 9/15/26 | United States | 4,600,000 | 4,852,885 | ||
senior bond, 5.50%, 5/15/27 | United States | 18,400,000 | 19,274,460 | ||
senior bond, 5.25%, 1/15/30 | United States | 14,000,000 | 14,753,900 | ||
65,633,432 | |||||
Consumer Durables & Apparel 1.5% | |||||
c | Ashton Woods USA LLC/Ashton Woods Finance Co., | ||||
senior note, 144A, 6.75%, 8/01/25 | United States | 13,500,000 | 13,978,102 | ||
senior note, 144A, 9.875%, 4/01/27 | United States | 8,500,000 | 9,650,454 | ||
c | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc., senior note, 144A, 5.625%, 3/01/24 | United States | 2,500,000 | 2,707,288 | |
Weekley Homes LLC/Weekley Finance Corp., senior note, 6.625%, 8/15/25 | United States | 16,700,000 | 17,374,930 | ||
43,710,774 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Consumer Services 5.2% | |||||
c | 1011778 BC ULC/New Red Finance Inc., | ||||
secured note, second lien, 144A, 5.00%, 10/15/25 | Canada | $7,400,000 | $7,449,321 | ||
senior secured note, first lien, 144A, 4.25%, 5/15/24 | Canada | 16,100,000 | 16,148,863 | ||
c | 24 Hour Holdings III LLC, senior note, 144A, 8.00%, 6/01/22 | United States | 23,000,000 | 10,515,324 | |
c | Downstream Development Authority of the Quapaw Tribe of Oklahoma, secured note, 144A, 10.50%, 2/15/23 | United States | 8,600,000 | 8,711,069 | |
c | Golden Nugget Inc., | ||||
senior note, 144A, 6.75%, 10/15/24 | United States | 23,200,000 | 22,844,808 | ||
senior note, 144A, 8.75%, 10/01/25 | United States | 2,700,000 | 2,718,090 | ||
c | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, | ||||
senior note, 144A, 5.00%, 6/01/24 | United States | 13,600,000 | 13,735,524 | ||
senior note, 144A, 5.25%, 6/01/26 | United States | 12,700,000 | 13,017,945 | ||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., senior note, 5.75%, 2/01/27 | United States | 7,200,000 | 7,893,000 | ||
c | Stars Group Holdings BV/Stars Group U.S. Co-Borrower LLC, senior note, 144A, 7.00%, 7/15/26 | Canada | 11,000,000 | 11,845,350 | |
c | Studio City Finance Ltd., senior note, 144A, 7.25%, 2/11/24 | Macau | 23,200,000 | 24,350,372 | |
c | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 | United States | 14,300,000 | 14,067,482 | |
153,297,148 | |||||
Diversified Financials 3.6% | |||||
c | HAT Holdings I LLC/HAT Holdings II LLC, senior note, 144A, 5.25%, 7/15/24 | United States | 13,100,000 | 13,716,814 | |
c | MSCI Inc., senior note, 144A, 5.375%, 5/15/27 | United States | 8,500,000 | 9,114,741 | |
Navient Corp., | |||||
senior note, 5.00%, 10/26/20 | United States | 7,200,000 | 7,278,120 | ||
senior note, 5.875%, 3/25/21 | United States | 5,000,000 | 5,111,250 | ||
senior note, 6.625%, 7/26/21 | United States | 5,300,000 | 5,468,381 | ||
senior note, 6.50%, 6/15/22 | United States | 9,900,000 | 10,469,250 | ||
Springleaf Finance Corp., | |||||
senior bond, 5.375%, 11/15/29 | United States | 8,600,000 | 8,799,090 | ||
senior note, 6.625%, 1/15/28 | United States | 12,000,000 | 13,192,200 | ||
c | Ypso Finance Bis SA, | ||||
senior note, 144A, 10.50%, 5/15/27 | Luxembourg | 20,000,000 | 20,000,000 | ||
senior note, 144A, 6.00%, 2/15/28 | Luxembourg | 14,000,000 | 13,510,000 | ||
106,659,846 | |||||
Energy 11.9% | |||||
c | Aker BP ASA, | ||||
senior note, 144A, 4.75%, 6/15/24 | Norway | 5,900,000 | 6,141,468 | ||
senior note, 144A, 5.875%, 3/31/25 | Norway | 13,000,000 | 13,659,761 | ||
c | Archrock Partners LP/Archrock Partners Finance Corp., senior note, 144A, 6.25%, 4/01/28 | United States | 7,100,000 | 6,852,210 | |
California Resources Corp., | |||||
senior bond, 6.00%, 11/15/24 | United States | 850,000 | 163,889 | ||
senior note, 5.50%, 9/15/21 | United States | 411,000 | 124,690 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Energy (continued) | |||||
Calumet Specialty Products Partners LP/Calumet Finance Corp., senior note, 7.75%, 4/15/23 | United States | $22,700,000 | $21,858,170 | ||
Cheniere Corpus Christi Holdings LLC, | |||||
senior secured note, first lien, 7.00%, 6/30/24 | United States | 11,600,000 | 13,141,428 | ||
senior secured note, first lien, 5.875%, 3/31/25 | United States | 12,500,000 | 13,902,805 | ||
Cheniere Energy Partners LP, | |||||
c senior bond, 144A, 4.50%, 10/01/29 | United States | 12,000,000 | 11,497,800 | ||
senior note, 5.625%, 10/01/26 | United States | 9,000,000 | 9,061,866 | ||
senior secured note, first lien, 5.25%, 10/01/25 | United States | 28,700,000 | 28,843,787 | ||
Chesapeake Energy Corp., senior note, 7.50%, 10/01/26 | United States | 13,700,000 | 4,149,011 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., | |||||
senior note, 6.25%, 4/01/23 | United States | 17,000,000 | 16,188,845 | ||
senior note, 5.75%, 4/01/25 | United States | 14,000,000 | 13,719,860 | ||
CSI Compressco LP/CSI Compressco Finance Inc., | |||||
senior note, 7.25%, 8/15/22 | United States | 12,900,000 | 11,638,225 | ||
c senior secured note, first lien, 144A, 7.50%, 4/01/25 | United States | 4,500,000 | 4,434,368 | ||
c | Endeavor Energy Resources LP/EER Finance Inc., senior bond, 144A, 5.75%, 1/30/28 | United States | 19,700,000 | 19,287,285 | |
Energy Transfer Operating LP, | |||||
senior note, 5.875%, 1/15/24 | United States | 8,300,000 | 9,309,780 | ||
senior note, 5.50%, 6/01/27 | United States | 17,900,000 | 20,295,450 | ||
EnLink Midstream LLC, senior bond, 5.375%, 6/01/29 | United States | 13,000,000 | 11,247,632 | ||
c,g | EnQuest PLC, senior note, 144A, PIK, 7.00%, 4/15/22 | United Kingdom | 12,755,575 | 10,318,279 | |
Martin Midstream Partners LP/Martin Midstream Finance Corp., senior note, 7.25%, 2/15/21 | United States | 20,760,000 | 19,263,204 | ||
c,g,j | Murray Energy Corp., secured note, 1.5 lien, 144A, PIK, 12.00%, 4/15/24 | United States | 18,564,500 | 23,133 | |
c | Nabors Industries Ltd., | ||||
senior note, 144A, 7.25%, 1/15/26 | United States | 13,400,000 | 12,328,000 | ||
senior note, 144A, 7.50%, 1/15/28 | United States | 5,800,000 | 5,365,580 | ||
QEP Resources Inc., | |||||
senior bond, 5.375%, 10/01/22 | United States | 3,600,000 | 3,292,877 | ||
senior note, 5.625%, 3/01/26 | United States | 10,700,000 | 8,587,017 | ||
j | Sanchez Energy Corp., | ||||
senior note, 7.75%, 6/15/21 | United States | 7,000,000 | 218,750 | ||
senior note, 6.125%, 1/15/23 | United States | 8,000,000 | 280,000 | ||
Sunoco LP/Sunoco Finance Corp., | |||||
senior note, 4.875%, 1/15/23 | United States | 6,500,000 | 6,499,578 | ||
senior note, 5.50%, 2/15/26 | United States | 8,000,000 | 8,143,580 | ||
senior note, 6.00%, 4/15/27 | United States | 13,100,000 | 13,457,925 | ||
c | Viper Energy Partners LP, senior note, 144A, 5.375%, 11/01/27 | United States | 8,200,000 | 8,348,830 | |
c | Weatherford International Ltd., senior note, 144A, 11.00%, 12/01/24 | United States | 12,022,000 | 11,661,340 | |
WPX Energy Inc., senior bond, 4.50%, 1/15/30 | United States | 10,400,000 | 9,941,880 | ||
353,248,303 | |||||
Food, Beverage & Tobacco 2.3% | |||||
B&G Foods Inc., | |||||
senior note, 5.25%, 4/01/25 | United States | 17,300,000 | 17,119,647 | ||
senior note, 5.25%, 9/15/27 | United States | 7,500,000 | 7,434,375 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Food, Beverage & Tobacco (continued) | |||||
c | Lamb Weston Holdings Inc., | ||||
senior note, 144A, 4.625%, 11/01/24 | United States | $10,900,000 | $11,367,774 | ||
senior note, 144A, 4.875%, 11/01/26 | United States | 3,300,000 | 3,430,020 | ||
c | Post Holdings Inc., | ||||
senior bond, 144A, 5.00%, 8/15/26 | United States | 23,000,000 | 23,502,550 | ||
senior bond, 144A, 4.625%, 4/15/30 | United States | 5,200,000 | 5,138,068 | ||
67,992,434 | |||||
Health Care Equipment & Services 7.1% | |||||
c | Centene Corp., | ||||
senior bond, 144A, 4.625%, 12/15/29 | United States | 7,100,000 | 7,610,135 | ||
senior bond, 144A, 3.375%, 2/15/30 | United States | 7,000,000 | 7,008,750 | ||
senior note, 144A, 5.375%, 6/01/26 | United States | 23,550,000 | 24,829,942 | ||
senior note, 144A, 4.25%, 12/15/27 | United States | 9,300,000 | 9,585,045 | ||
CHS/Community Health Systems Inc., | |||||
senior note, 6.875%, 2/01/22 | United States | 4,003,000 | 3,772,828 | ||
c senior note, 144A, 8.125%, 6/30/24 | United States | 13,747,000 | 12,681,470 | ||
senior secured note, first lien, 6.25%, 3/31/23 | United States | 14,200,000 | 14,262,196 | ||
HCA Inc., | |||||
senior bond, 3.50%, 9/01/30 | United States | 24,400,000 | 23,904,240 | ||
senior note, 5.375%, 9/01/26 | United States | 4,600,000 | 5,128,103 | ||
senior secured bond, first lien, 5.25%, 4/15/25 | United States | 11,000,000 | 12,506,604 | ||
c | MEDNAX Inc., senior note, 144A, 6.25%, 1/15/27 | United States | 26,500,000 | 25,505,587 | |
c | MPH Acquisition Holdings LLC, senior note, 144A, 7.125%, 6/01/24 | United States | 15,400,000 | 14,363,734 | |
c,g | Polaris Intermediate Corp., senior note, 144A, PIK, 8.50%, 12/01/22 | United States | 7,000,000 | 5,968,155 | |
Tenet Healthcare Corp., | |||||
senior note, 8.125%, 4/01/22 | United States | 7,000,000 | 7,596,610 | ||
senior note, 6.75%, 6/15/23 | United States | 13,700,000 | 14,687,565 | ||
c senior note, second lien, 144A, 6.25%, 2/01/27 | United States | 15,000,000 | 15,731,250 | ||
c senior secured note, 144A, 4.875%, 1/01/26 | United States | 5,000,000 | 5,100,000 | ||
210,242,214 | |||||
Household & Personal Products 0.7% | |||||
c | Prestige Brands Inc., | ||||
senior note, 144A, 6.375%, 3/01/24 | United States | 13,000,000 | 13,427,895 | ||
senior note, 144A, 5.125%, 1/15/28 | United States | 6,500,000 | 6,808,750 | ||
20,236,645 | |||||
Insurance 1.7% | |||||
c | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, senior note, 144A, 6.75%, 10/15/27 | United States | 31,500,000 | 31,480,155 | |
CNO Financial Group Inc., senior note, 5.25%, 5/30/29 | United States | 17,900,000 | 20,478,381 | ||
51,958,536 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Materials 11.7% | |||||
c | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., senior note, 144A, 6.00%, 2/15/25 | Luxembourg | $10,000,000 | $10,450,000 | |
c | Cemex SAB de CV, senior secured bond, first lien, 144A, 5.70%, 1/11/25 | Mexico | 25,000,000 | 25,262,500 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, senior note, 4.75%, 2/01/26 | United States | 13,900,000 | 14,373,955 | ||
c | Element Solutions Inc., senior note, 144A, 5.875%, 12/01/25 | United States | 20,000,000 | 20,150,200 | |
c | First Quantum Minerals Ltd., senior note, 144A, 7.25%, 4/01/23 | Zambia | 13,400,000 | 12,891,939 | |
c | Grinding Media Inc./MC Grinding Media Canada Inc., senior secured note, 144A, 7.375%, 12/15/23 | United States | 16,500,000 | 16,329,885 | |
c | Kaiser Aluminum Corp., senior note, 144A, 4.625%, 3/01/28 | United States | 10,600,000 | 10,513,610 | |
c | Mauser Packaging Solutions Holding Co., senior note, 144A, 7.25%, 4/15/25 | United States | 34,900,000 | 33,911,632 | |
c | Neon Holdings Inc., senior note, 144A, 10.125%, 4/01/26 | United States | 20,000,000 | 20,447,450 | |
c | New Enterprise Stone & Lime Co., senior note, 144A, 6.25%, 3/15/26 | United States | 17,400,000 | 18,276,046 | |
c | Novelis Corp., | ||||
senior bond, 144A, 5.875%, 9/30/26 | United States | 12,700,000 | 13,146,754 | ||
senior bond, 144A, 4.75%, 1/30/30 | United States | 9,000,000 | 8,862,075 | ||
c | OCI NV, senior note, 144A, 6.625%, 4/15/23 | Netherlands | 9,600,000 | 9,979,200 | |
c | Owens-Brockway Glass Container Inc., | ||||
senior note, 144A, 5.00%, 1/15/22 | United States | 10,000,000 | 10,317,800 | ||
senior note, 144A, 5.875%, 8/15/23 | United States | 10,000,000 | 10,597,050 | ||
c | Rain CII Carbon LLC/CII Carbon Corp., senior note, second lien, 144A, 7.25%, 4/01/25 | United States | 10,800,000 | 10,394,892 | |
c | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA, | ||||
senior secured note, first lien, 144A, 5.125%, 7/15/23 | United States | 2,200,000 | 2,226,587 | ||
i senior secured note, first lien, 144A, FRN, 5.331%, (3-month USD LIBOR + 3.50%), 7/15/21 | United States | 5,300,000 | 5,294,700 | ||
c | Sealed Air Corp., | ||||
senior bond, 144A, 5.50%, 9/15/25 | United States | 5,500,000 | 6,038,533 | ||
senior note, 144A, 4.00%, 12/01/27 | United States | 13,200,000 | 13,167,000 | ||
Steel Dynamics Inc., | |||||
senior bond, 5.50%, 10/01/24 | United States | 10,000,000 | 10,302,500 | ||
senior bond, 5.00%, 12/15/26 | United States | 10,000,000 | 10,626,402 | ||
c | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., senior note, 144A, 7.50%, 6/15/25 | United States | 19,700,000 | 17,779,053 | |
c | TPC Group Inc., secured note, 144A, 10.50%, 8/01/24 | United States | 8,500,000 | 8,645,223 | |
c | Trivium Packaging Finance BV, | ||||
senior note, 144A, 8.50%, 8/15/27 | Netherlands | 10,200,000 | 10,742,130 | ||
senior secured note, 144A, 5.50%, 8/15/26 | Netherlands | 7,600,000 | 7,889,758 | ||
c | Univar Solutions USA Inc/Washington, senior note, 144A, 5.125%, 12/01/27 | United States | 9,500,000 | 9,614,475 | |
348,231,349 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Media & Entertainment 12.6% | |||||
c | Banijay Entertainment SASU, senior note, 144A, 5.375%, 3/01/25 | France | $13,200,000 | $13,200,000 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
senior bond, 5.125%, 2/15/23 | United States | 10,000,000 | 10,099,900 | ||
c senior bond, 144A, 5.375%, 5/01/25 | United States | 3,100,000 | 3,192,024 | ||
c senior bond, 144A, 5.75%, 2/15/26 | United States | 10,200,000 | 10,623,810 | ||
c senior bond, 144A, 5.50%, 5/01/26 | United States | 8,900,000 | 9,255,310 | ||
c senior bond, 144A, 5.00%, 2/01/28 | United States | 8,000,000 | 8,334,800 | ||
c senior bond, 144A, 5.375%, 6/01/29 | United States | 18,100,000 | 19,304,555 | ||
c | Clear Channel Worldwide Holdings Inc., | ||||
first lien, senior secured note, 144A, 5.125%, 8/15/27 | United States | 15,200,000 | 15,266,120 | ||
senior sub. note, 144A, 9.25%, 2/15/24 | United States | 11,232,000 | 11,957,419 | ||
CSC Holdings LLC, | |||||
senior bond, 5.25%, 6/01/24 | United States | 28,000,000 | 30,333,380 | ||
c senior bond, 144A, 5.50%, 4/15/27 | United States | 3,000,000 | 3,163,050 | ||
senior note, 6.75%, 11/15/21 | United States | 5,000,000 | 5,301,350 | ||
c senior secured note, first lien, 144A, 5.50%, 5/15/26 | United States | 23,550,000 | 24,437,305 | ||
c | Diamond Sports Group LLC/Diamond Sports Finance Co., | ||||
first lien, 144A, 5.375%, 8/15/26 | United States | 11,300,000 | 10,440,002 | ||
senior note, 144A, 6.625%, 8/15/27 | United States | 11,300,000 | 9,173,905 | ||
DISH DBS Corp., | |||||
senior bond, 5.875%, 7/15/22 | United States | 10,000,000 | 10,452,300 | ||
senior bond, 5.00%, 3/15/23 | United States | 5,000,000 | 5,044,200 | ||
senior note, 5.875%, 11/15/24 | United States | 17,500,000 | 17,986,762 | ||
c | Gray Escrow Inc., senior note, 144A, 7.00%, 5/15/27 | United States | 9,100,000 | 9,888,060 | |
c | iHeartCommunications Inc., senior secured note, first lien, 144A, 5.25%, 8/15/27 | United States | 15,500,000 | 16,013,825 | |
c | LCPR Senior Secured Financing DAC, senior secured note, first lien, 144A, 6.75%, 10/15/27 | United States | 15,600,000 | 16,433,820 | |
c | Live Nation Entertainment Inc., senior note, 144A, 4.75%, 10/15/27 | United States | 10,900,000 | 10,974,665 | |
Netflix Inc., | |||||
senior bond, 4.375%, 11/15/26 | United States | 10,200,000 | 10,700,310 | ||
c senior bond, 144A, 5.375%, 11/15/29 | United States | 3,600,000 | 3,920,580 | ||
c | Nexstar Broadcasting Inc., | ||||
senior note, 144A, 5.625%, 8/01/24 | United States | 12,800,000 | 13,191,488 | ||
senior note, 144A, 5.625%, 7/15/27 | United States | 12,800,000 | 13,272,320 | ||
c | Scripps Escrow Inc., senior note, 144A, 5.875%, 7/15/27 | United States | 10,400,000 | 10,809,240 | |
c | Sirius XM Radio Inc., senior note, 144A, 4.625%, 7/15/24 | United States | 12,400,000 | 12,809,634 | |
c | Univision Communications Inc., | ||||
senior secured note, first lien, 144A, 5.125%, 5/15/23 | United States | 5,000,000 | 4,850,000 | ||
senior secured note, first lien, 144A, 5.125%, 2/15/25 | United States | 16,000,000 | 15,136,320 | ||
c | Virgin Media Secured Finance PLC, senior secured bond, first lien, 144A, 5.50%, 8/15/26 | United Kingdom | 7,300,000 | 7,529,147 | |
c | WMG Acquisition Corp., | ||||
secured note, 144A, 4.875%, 11/01/24 | United States | 2,600,000 | 2,679,079 | ||
secured note, first lien, 144A, 5.00%, 8/01/23 | United States | 8,500,000 | 8,673,528 | ||
374,448,208 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Pharmaceuticals, Biotechnology & Life Sciences 3.4% | |||||
c | Avantor Inc., senior secured note, first lien, 144A, 6.00%, 10/01/24 | United States | $10,800,000 | $11,357,982 | |
c | Bausch Health Americas Inc., senior note, 144A, 9.25%, 4/01/26 | United States | 22,700,000 | 25,405,159 | |
c | Bausch Health Cos. Inc., | ||||
senior bond, 144A, 6.125%, 4/15/25 | United States | 5,900,000 | 6,030,302 | ||
senior note, 144A, 5.00%, 1/30/28 | United States | 6,000,000 | 5,936,220 | ||
senior note, first lien, 144A, 7.00%, 3/15/24 | United States | 4,200,000 | 4,332,993 | ||
c | Endo DAC/Endo Finance LLC/Endo Finco Inc., | ||||
senior bond, 144A, 6.00%, 2/01/25 | United States | 20,400,000 | 15,765,324 | ||
senior note, 144A, 6.00%, 7/15/23 | United States | 9,053,000 | 7,129,328 | ||
c | Horizon Therapeutics USA Inc.senior note, 144A, 5.50%, 8/01/27 | United States | 15,000,000 | 15,590,250 | |
c | Teva Pharmaceutical Finance Netherlands III BV, senior note, 144A, 7.125%, 1/31/25 | Israel | 9,300,000 | 9,858,000 | |
101,405,558 | |||||
Real Estate 1.5% | |||||
c | Five Point Operating Co. LP/Five Point Capital Corp., senior note, 144A, 7.875%, 11/15/25 | United States | 21,400,000 | 21,547,018 | |
MPT Operating Partnership LP/MPT Finance Corp., | |||||
senior bond, 5.25%, 8/01/26 | United States | 7,700,000 | 8,028,617 | ||
senior bond, 5.00%, 10/15/27 | United States | 700,000 | 732,224 | ||
c | VICI Properties LP / VICI Note Co. Inc., senior note, 144A, 4.125%, 8/15/30 | United States | 5,000,000 | 5,015,625 | |
c | VICI Properties LP/VICI Note Co. Inc., senior note, 144A, 3.75%, 2/15/27 | United States | 8,000,000 | 7,955,000 | |
43,278,484 | |||||
Retailing 0.5% | |||||
c | Lithia Motors Inc., senior note, 144A, 4.625%, 12/15/27 | United States | 8,600,000 | 8,825,148 | |
c | Party City Holdings Inc., senior note, 144A, 6.625%, 8/01/26 | United States | 12,500,000 | 7,375,000 | |
16,200,148 | |||||
Semiconductors & Semiconductor Equipment 0.7% | |||||
c | Amkor Technology Inc., senior note, 144A, 6.625%, 9/15/27 | United States | 15,000,000 | 16,227,750 | |
Qorvo Inc., senior note, 5.50%, 7/15/26 | United States | 5,900,000 | 6,105,757 | ||
22,333,507 | |||||
Software & Services 1.5% | |||||
c | Camelot Finance SA, senior note, 144A, 4.50%, 11/01/26 | United States | 15,600,000 | 15,705,674 | |
Infor (U.S.) Inc., senior note, 6.50%, 5/15/22 | United States | 29,000,000 | 29,138,330 | ||
44,844,004 | |||||
Technology Hardware & Equipment 3.0% | |||||
c | Blackboard Inc., secured note, second lien, 144A, 10.375%, 11/15/24 | United States | 26,000,000 | 26,065,000 | |
c | CommScope Inc., | ||||
senior bond, 144A, 5.50%, 6/15/24 | United States | 7,000,000 | 6,668,130 | ||
senior secured note, first lien, 144A, 6.00%, 3/01/26 | United States | 15,000,000 | 15,424,560 | ||
c | CommScope Technologies LLC, senior bond, 144A, 6.00%, 6/15/25 | United States | 10,200,000 | 9,613,500 | |
c | Dell International LLC/EMC Corp., | ||||
senior note, 144A, 5.875%, 6/15/21 | United States | 2,978,000 | 2,999,442 | ||
senior note, 144A, 7.125%, 6/15/24 | United States | 4,900,000 | 5,132,750 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Technology Hardware & Equipment (continued) | |||||
c | Presidio Holdings Inc., | ||||
senior note, 144A, 8.25%, 2/01/28 | United States | $3,700,000 | $3,824,875 | ||
senior secured note, 144A, 4.875%, 2/01/27 | United States | 4,000,000 | 4,007,500 | ||
c | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., senior note, 144A, 6.75%, 6/01/25 | United States | 14,000,000 | 13,969,340 | |
87,705,097 | |||||
Telecommunication Services 6.7% | |||||
c | Altice France SA/France, senior secured note, 144A, 5.50%, 1/15/28 | France | 8,000,000 | 8,024,800 | |
c | Block Communications Inc., senior note, 144A, 6.875%, 2/15/25 | United States | 8,700,000 | 9,017,463 | |
c | Digicel Group One Ltd., senior secured note, first lien, 144A, 8.25%, 12/30/22 | Jamaica | 7,720,000 | 4,981,809 | |
c | Digicel Group Two Ltd., senior note, 144A, 8.25%, 9/30/22 | Bermuda | 7,280,000 | 1,771,005 | |
c | DKT Finance ApS, senior secured note, first lien, 144A, 9.375%, 6/17/23 | Denmark | 16,800,000 | 17,891,160 | |
c,k | Front Range BidCo Inc., | ||||
senior note, 144A, 4.00%, 3/01/27 | United States | 13,000,000 | 12,650,625 | ||
senior note, 144A, 6.125%, 3/01/28 | United States | 6,000,000 | 5,928,750 | ||
Hughes Satellite Systems Corp., senior bond, 6.625%, 8/01/26 | United States | 19,150,000 | 21,121,445 | ||
Sprint Corp., | |||||
senior bond, 7.875%, 9/15/23 | United States | 14,700,000 | 16,837,600 | ||
senior note, 7.625%, 2/15/25 | United States | 20,000,000 | 23,250,000 | ||
senior note, 7.625%, 3/01/26 | United States | 15,300,000 | 18,121,320 | ||
c | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC, senior secured bond, first lien, 144A, 4.738%, 9/20/29 | United States | 16,600,000 | 17,809,559 | |
T-Mobile USA Inc., | |||||
senior bond, 6.375%, 3/01/25 | United States | 22,400,000 | 23,076,816 | ||
senior note, 6.00%, 4/15/24 | United States | 8,500,000 | 8,699,240 | ||
senior note, 5.125%, 4/15/25 | United States | 9,000,000 | 9,269,910 | ||
198,451,502 | |||||
Transportation 1.9% | |||||
c | Avolon Holdings Funding Ltd., | ||||
senior note, 144A, 5.125%, 10/01/23 | Ireland | 9,700,000 | 10,404,549 | ||
senior note, 144A, 5.25%, 5/15/24 | Ireland | 7,200,000 | 7,868,577 | ||
c | DAE Funding LLC, | ||||
senior note, 144A, 4.50%, 8/01/22 | United Arab Emirates | 16,000,000 | 16,239,888 | ||
senior note, 144A, 5.00%, 8/01/24 | United Arab Emirates | 12,000,000 | 12,427,920 | ||
c | Park Aerospace Holdings Ltd., senior note, 144A, 5.50%, 2/15/24 | Ireland | 8,900,000 | 9,794,066 | |
56,735,000 | |||||
Utilities 4.7% | |||||
c | Calpine Corp., | ||||
first lien, 144A, 4.50%, 2/15/28 | United States | 12,200,000 | 11,717,490 | ||
senior note, 144A, 5.125%, 3/15/28 | United States | 15,900,000 | 14,985,750 | ||
Clearway Energy Operating LLC, | |||||
senior bond, 5.00%, 9/15/26 | United States | 14,700,000 | 15,099,142 | ||
senior note, 5.75%, 10/15/25 | United States | 11,200,000 | 11,596,648 | ||
c senior note, 144A, 4.75%, 3/15/28 | United States | 10,000,000 | 10,187,500 |
Country | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Utilities (continued) | |||||
Ferrellgas LP/Ferrellgas Finance Corp., senior note, 6.75%, 6/15/23 | United States | $14,000,000 | $11,736,690 | ||
c | InterGen NV, secured bond, 144A, 7.00%, 6/30/23 | Netherlands | 12,800,000 | 12,608,000 | |
Talen Energy Supply LLC, senior note, 6.50%, 6/01/25 | United States | 33,450,000 | 24,097,881 | ||
c | Vistra Operations Co. LLC, senior note, 144A, 5.625%, 2/15/27 | United States | 26,500,000 | 27,211,525 | |
139,240,626 | |||||
Total Corporate Bonds (Cost $2,844,456,778) | 2,794,907,660 | ||||
Shares | |||||
Escrows and Litigation Trusts 0.0%† | |||||
a,b | Alpha Natural Resources Inc., Escrow Account | United States | 25,000,000 | — | |
a,b | T-Mobile USA Inc., Escrow Account | United States | 39,900,000 | — | |
a | Vistra Energy Corp., Escrow Account | United States | 50,000,000 | 100,000 | |
Total Escrows and Litigation Trusts (Cost $1,303,653) | 100,000 | ||||
Total Investments before Short Term Investments (Cost $3,060,016,010) | 2,885,691,955 | ||||
Short Term Investments 4.1% | |||||
Money Market Funds (Cost $74,181,287) 2.5% | |||||
l,m | Institutional Fiduciary Trust Money Market Portfolio, 1.23% | United States | 74,181,287 | 74,181,287 | |
Investments from Cash Collateral Received for Loaned Securities 1.6% | |||||
Money Market Funds (Cost $38,212,000) 1.3% | |||||
l,m | Institutional Fiduciary Trust Money Market Portfolio, 1.23% | United States | 38,212,000 | 38,212,000 | |
Principal Amount* | |||||
Repurchase Agreement(Cost $9,554,047) 0.3% | |||||
n | Joint Repurchase Agreement, 1.59%, 3/02/20 (Maturity Value $9,555,316) J.P. Morgan Securities LLC Collateralized by U.S. oTreasury Bills, 3/24/20 - 10/08/20; U.S Treasury Notes, 1.50% - 2.75%, 7/15/20 - 2/15/25 (valued at $9,745,130) | United States | $9,554,047 | 9,554,047 | |
Total Investments from Cash Collateral Received for Loaned Securities (Cost $47,766,047) | 47,766,047 | ||||
Total Investments (Cost $3,181,963,344) 101.2% | 3,007,639,289 | ||||
Other Assets, less Liabilities (1.2)% | (36,393,807) | ||||
Net Assets 100.0% | $2,971,245,482 |
†Rounds to less than 0.1% of net assets. |
*The principal amount is stated in U.S. dollars unless otherwise indicated. |
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 6 regarding fair value measurements. |
cSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At February 29, 2020, the aggregate value of these securities was $1,880,708,560, representing 63.3% of net assets. |
dSee Note 4 regarding holdings of 5% voting securities. |
eSee Note 3 regarding restricted securities. |
fA portion or all of the security is on loan at February 29, 2020. |
gIncome may be received in additional securities and/or cash. |
hPerpetual security with no stated maturity date. |
iThe coupon rate shown represents the rate at period end. |
j Defaulted security or security for which income has been deemed uncollectible. |
kSecurity purchased on a when-issued basis. |
lSee Note 5 regarding investments in affiliated management investment companies. |
mThe rate shown is the annualized seven-day effective yield at period end. |
nInvestment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At February 29, 2020, all repurchase agreements had been entered into on February 28,2020. |
oThe security was issued on a discount basis with no stated coupon rate. |
Shares | Issuer | Acquisition Date | Cost | Value | |
8,080 | Nine Point Energy Holdings Inc., cvt. pfd., 2/20/49 | 3/24/17 | $7,552,087 | $3,900,158 | |
433,273 | Nine Point Energy LLC | 7/15/14 - 2/01/18 | 18,779,777 | 467,293 | |
Total Restricted Securities (Value is 0.1% of Net Assets) | $26,331,864 | $4,367,451 |
Name of Issuer | Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Investment Income |
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Goodrich Petroleum Corp. | $18,105,719 | $ — | $ — | $ — | $(9,764,882) | $8,340,837 | 1,564,885 | $ — |
Titan Energy LLC | 11,247 | — | — | — | 1,764 | 13,011 | 289,137 | — |
$18,116,966 | $ — | $ — | $ — | $(9,763,118) | $8,353,848 | $ — | ||
Interest | ||||||||
Goodrich Petroleum Corp., cvt., senior secured note, second lien, PIK, 13.50%, 5/31/21 | 11,500,000 | 996,730a | — | — | (581,984) | 11,914,746 | 12,496,730 | 1,199,137 |
Total Affiliated Securities (Value is 0.7% of Net Assets) | $29,616,966 | $996,730 | $ — | $ — | $(10,345,102) | $20,268,594 | $1,199,137 |
aMay include accretion, amortization, partnership adjustments, and/or corporate actions. |
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Investment Income | |
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.23% | $67,323,074 | $936,087,787 | $(929,229,574) | $ — | $ — | $74,181,287 | 74,181,287 | $980,018 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.23% | — | 38,820,000 | (608,000) | — | — | 38,212,000 | 38,212,000 | 3,782 |
Total Affiliated Securities | $67,323,074 | $974,907,787 | $(929,837,574) | $ — | $ — | $112,393,287 | $983,800 |
• | Level 1 – quoted prices in active markets for identical financial instruments |
• | Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of financial instruments) |
Level 1 | Level 2 | Level 3 | Total | |
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Energy | $14,202,583 | $6,482,406 | $4,519,977c | $25,204,966 |
All Other Equity Investments | 53,564,583 | — | — | 53,564,583 |
Convertible Bonds | — | — | 11,914,746 | 11,914,746 |
Corporate Bonds | — | 2,794,907,660 | — | 2,794,907,660 |
Escrows and Litigation Trusts | — | 100,000 | —c | 100,000 |
Short Term Investments | 112,393,287 | 9,554,047 | — | 121,947,334 |
Total Investments in Securities | $180,160,453 | $2,811,044,113 | $16,434,723 | $3,007,639,289 |
aFor detailed categories, see the accompanying Statement of Investments. |
bIncludes common, convertible preferred stocks and management investment companies as well as other equity interests. |
cIncludes securities determined to have no value at February 29, 2020. |