Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 95.9% | |||||
Asset-Backed Securities 0.6% | |||||
Collateralized Loan Obligations | |||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2015-04A, Class A1R, 144A, 3 Month LIBOR + 1.340% (Cap N/A, Floor 0.000%) | 2.403 %(c) | 07/20/32 | 7,000 | $6,880,295 | |
Madison Park Funding Ltd. (Cayman Islands), Series 2019-33A, Class AR, 144A, 3 Month Term SOFR + 1.290% (Cap N/A, Floor 1.290%) | 2.136(c) | 10/15/32 | 7,500 | 7,387,395 | |
TICP CLO Ltd. (Cayman Islands), Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) | 2.203(c) | 01/20/31 | 14,250 | 14,043,375 | |
Total Asset-Backed Securities (cost $28,627,928) | 28,311,065 | ||||
Bank Loans 8.4% | |||||
Airlines 0.4% | |||||
United Airlines, Inc., Class B Term Loan, 1 Month LIBOR + 3.750% | 4.711(c) | 04/21/28 | 21,579 | 20,954,441 | |
Chemicals 1.0% | |||||
Alpha BV (United Kingdom), Initial Dollar Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 03/18/28 | 11,647 | 11,301,736 | |
Diamond BC BV, Term Loan B, 1 Month LIBOR + 2.750% | 3.929(c) | 09/29/28 | 12,569 | 11,916,509 | |
LSF11 A5 HoldCo LLC, Term Loan B, Term SOFR + 3.500% | 4.649(c) | 10/15/28 | 6,335 | 6,042,006 | |
Starfruit Finco BV (Netherlands), Initial Dollar Term Loan, 3 Month LIBOR + 3.000% | 4.006(c) | 10/01/25 | 10,705 | 10,339,349 | |
Venator Materials LLC, Initial Term Loan, 1 Month LIBOR + 3.000%^ | 4.060(c) | 08/08/24 | 9,400 | 8,859,411 | |
48,459,011 | |||||
Commercial Services 0.8% | |||||
Cimpress PLC, Tranche B-1 Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 05/17/28 | 7,146 | 6,788,700 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Commercial Services (cont’d.) | |||||
Trans Union LLC, 2021 Incremental Term B-6 Loan, 1 Month LIBOR + 2.250% | 3.310 %(c) | 12/01/28 | 13,830 | $13,481,133 | |
Verscend Holding Corp., New Term Loan B, 1 Month LIBOR + 4.000% | 5.060(c) | 08/27/25 | 17,791 | 17,390,798 | |
37,660,631 | |||||
Electric 0.1% | |||||
Heritage Power LLC, Term Loan B, 1 - 3 Month LIBOR + 6.000% | 7.000(c) | 07/30/26 | 10,395 | 4,465,711 | |
Electronics 0.3% | |||||
II-VI, Inc., Term Loan | —(p) | 12/08/28 | 14,775 | 14,393,317 | |
Entertainment 0.2% | |||||
Golden Entertainment, Inc., Term B Facility Loan (First Lien), 1 Month LIBOR + 3.000% | 4.030(c) | 10/21/24 | 9,572 | 9,356,994 | |
Healthcare-Services 0.3% | |||||
LifePoint Health, Inc., First Lien Term B Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 11/16/25 | 16,066 | 15,423,226 | |
Insurance 0.0% | |||||
Asurion LLC, New B-9 Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 07/31/27 | 2,054 | 1,940,239 | |
Media 0.0% | |||||
Diamond Sports Group LLC, | |||||
Second Lien Term Loan, Term SOFR + 3.250% | 4.092(c) | 08/24/26 | 1,554 | 463,331 | |
Term Loan, Term SOFR + 8.000% | 9.000(c) | 05/25/26 | 1,842 | 1,849,428 | |
2,312,759 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Oil & Gas 0.5% | |||||
Ascent Resources Utica Holdings LLC, Second Lien Term Loan, 3 Month LIBOR + 9.000% | 10.021 %(c) | 11/01/25 | 21,327 | $22,624,385 | |
Citgo Holding, Inc., Term Loan, 3 Month LIBOR + 7.000% | 7.764(c) | 08/01/23 | 25 | 24,711 | |
22,649,096 | |||||
Packaging & Containers 0.4% | |||||
Trident TPI Holdings, Inc., | |||||
Tranche B-1 Term Loan, 3 Month LIBOR + 3.250% | 4.256(c) | 10/17/24 | 14,370 | 14,015,145 | |
Tranche B-3 DDTL Commitments, 1 Month LIBOR + 4.000% | 4.764(c) | 09/15/28 | 332 | 316,892 | |
Tranche B-3 Initial Term Loans, 1 Month LIBOR + 4.000% | 5.060(c) | 09/15/28 | 3,725 | 3,554,263 | |
17,886,300 | |||||
Pharmaceuticals 0.4% | |||||
Change Healthcare Holdings LLC, Closing Date Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 03/01/24 | 18,813 | 18,444,621 | |
Gainwell Acquisition Corp., Term B Loan, 3 Month LIBOR + 4.000% | 5.006(c) | 10/01/27 | 4,183 | 4,078,581 | |
22,523,202 | |||||
Retail 0.2% | |||||
LBM Acquisition LLC, First Lien Initial Term Loan, 1 Month LIBOR + 3.750% | 4.510(c) | 12/17/27 | 8,684 | 7,920,117 | |
White Cap Buyer LLC, Term Loan, SOFR + 3.750% | 4.450(c) | 10/19/27 | 3,960 | 3,779,253 | |
11,699,370 | |||||
Software 1.8% | |||||
Boxer Parent Co., Inc., | |||||
2021 Replacement Dollar Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 10/02/25 | 18,844 | 18,045,824 | |
Second Lien Incremental Term Loan, 1 Month LIBOR + 5.500% | 6.560(c) | 02/27/26 | 1,125 | 1,078,594 | |
Camelot Co. (Luxembourg), Amendment No. 2 Incremental Term Loans, 1 Month LIBOR + 3.000% | 4.060(c) | 10/30/26 | 2,938 | 2,834,989 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Software (cont’d.) | |||||
Dun & Bradstreet Corp., Term Loan B, 1 Month LIBOR + 3.250% | 4.273 %(c) | 02/06/26 | 9,877 | $9,558,371 | |
Finastra USA, Inc., First Lien Dollar Term Loan, 3 Month LIBOR + 3.500% | 4.739(c) | 06/13/24 | 26,545 | 25,008,940 | |
Greeneden U.S. Holdings II LLC, B-4 Dollar Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 12/01/27 | 5,036 | 4,888,939 | |
Rackspace Technology Global, Inc., Term B Loan, 3 Month LIBOR + 2.750% | 3.500(c) | 02/15/28 | 2,896 | 2,751,866 | |
Skillsoft Finance II, Inc., Initial Term Loan, 3 Month LIBOR + 4.750% | 6.187(c) | 07/14/28 | 9,952 | 9,504,215 | |
TIBCO Software, Inc., Term Loan B-3, 3 Month LIBOR + 3.750% | 4.520(c) | 06/30/26 | 12,851 | 12,609,786 | |
UKG, Inc., First Lien 2021-2 Incremental Term Loan, 3 Month LIBOR + 3.250% | 4.212(c) | 05/04/26 | 5,555 | 5,328,109 | |
91,609,633 | |||||
Telecommunications 2.0% | |||||
Digicel International Finance Ltd. (Saint Lucia), First Lien Initial Term B Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 05/27/24 | 9,311 | 8,225,021 | |
Intelsat Jackson Holdings SA (Luxembourg), Term B Loan, Term SOFR + 4.250% | 4.920(c) | 02/01/29 | 32,148 | 30,251,251 | |
Viasat, Inc., Initial Term Loan, Term SOFR + 4.500% | 5.649(c) | 03/02/29 | 15,666 | 15,078,140 | |
West Corp., | |||||
Incremental B1 Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 10/10/24 | 7,153 | 6,348,104 | |
Initial Term B Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 10/10/24 | 30,153 | 26,886,600 | |
Xplornet Communications, Inc. (Canada), Refinancing Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 10/02/28 | 12,736 | 11,685,280 | |
98,474,396 | |||||
Total Bank Loans (cost $441,074,236) | 419,808,326 | ||||
Corporate Bonds 79.6% | |||||
Advertising 0.0% | |||||
National CineMedia LLC, Sr. Unsec’d. Notes(a) | 5.750 | 08/15/26 | 1,875 | 977,830 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Aerospace & Defense 2.5% | |||||
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A(a) | 6.000 % | 02/15/28 | 15,150 | $12,750,249 | |
Sr. Unsec’d. Notes, 144A | 7.125 | 06/15/26 | 17,950 | 16,416,713 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 12/01/24 | 13,100 | 12,717,170 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 8,866 | 8,635,313 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 14,325 | 13,127,120 | |
Maxar Space Robotics LLC, Sr. Sec’d. Notes, 144A | 9.750 | 12/31/23 | 10,231 | 10,832,364 | |
Spirit AeroSystems, Inc., Sec’d. Notes, 144A | 7.500 | 04/15/25 | 6,836 | 6,875,562 | |
TransDigm UK Holdings PLC, Gtd. Notes | 6.875 | 05/15/26 | 8,575 | 8,654,390 | |
TransDigm, Inc., | |||||
Gtd. Notes | 5.500 | 11/15/27 | 20,458 | 19,590,230 | |
Gtd. Notes(a) | 7.500 | 03/15/27 | 7,970 | 8,119,246 | |
Sr. Sec’d. Notes, 144A | 6.250 | 03/15/26 | 7,425 | 7,553,788 | |
125,272,145 | |||||
Airlines 1.1% | |||||
American Airlines, Inc., Sr. Sec’d. Notes, 144A | 11.750 | 07/15/25 | 2,721 | 3,091,005 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd., Sr. Sec’d. Notes, 144A | 5.500 | 04/20/26 | 39,119 | 38,711,239 | |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Sr. Sec’d. Notes, 144A | 5.750 | 01/20/26 | 2,875 | 2,858,034 | |
United Airlines, Inc., Sr. Sec’d. Notes, 144A | 4.375 | 04/15/26 | 11,450 | 11,055,412 | |
55,715,690 | |||||
Apparel 0.2% | |||||
William Carter Co. (The), Gtd. Notes, 144A | 5.625 | 03/15/27 | 9,090 | 9,057,104 | |
Auto Manufacturers 0.3% | |||||
Allison Transmission, Inc., Sr. Unsec’d. Notes, 144A(a) | 4.750 | 10/01/27 | 5,775 | 5,543,576 | |
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(a) | 5.584 | 03/18/24 | 1,525 | 1,548,664 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Auto Manufacturers (cont’d.) | |||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 7.750 % | 10/15/25 | 6,625 | $6,538,575 | |
PM General Purchaser LLC, Sr. Sec’d. Notes, 144A | 9.500 | 10/01/28 | 2,950 | 2,509,978 | |
16,140,793 | |||||
Auto Parts & Equipment 0.6% | |||||
Adient Global Holdings Ltd., Gtd. Notes, 144A | 4.875 | 08/15/26 | 5,475 | 5,091,268 | |
American Axle & Manufacturing, Inc., | |||||
Gtd. Notes(a) | 6.250 | 03/15/26 | 1,516 | 1,460,037 | |
Gtd. Notes(a) | 6.500 | 04/01/27 | 3,125 | 2,969,197 | |
Gtd. Notes(a) | 6.875 | 07/01/28 | 3,000 | 2,895,754 | |
Dana Financing Luxembourg Sarl, Gtd. Notes, 144A | 5.750 | 04/15/25 | 12,473 | 12,358,775 | |
Dana, Inc., Sr. Unsec’d. Notes | 5.375 | 11/15/27 | 1,400 | 1,339,419 | |
Titan International, Inc., Sr. Sec’d. Notes | 7.000 | 04/30/28 | 2,300 | 2,254,887 | |
28,369,337 | |||||
Banks 0.3% | |||||
Freedom Mortgage Corp., Sr. Unsec’d. Notes, 144A | 7.625 | 05/01/26 | 4,475 | 3,962,709 | |
Popular, Inc. (Puerto Rico), Sr. Unsec’d. Notes | 6.125 | 09/14/23 | 10,115 | 10,262,783 | |
14,225,492 | |||||
Building Materials 1.2% | |||||
Cemex SAB de CV (Mexico), Gtd. Notes, 144A | 7.375 | 06/05/27 | 1,885 | 1,959,298 | |
Eco Material Technologies, Inc., Sr. Sec’d. Notes, 144A | 7.875 | 01/31/27 | 3,075 | 2,913,917 | |
JELD-WEN, Inc., | |||||
Gtd. Notes, 144A | 4.625 | 12/15/25 | 450 | 413,559 | |
Gtd. Notes, 144A(a) | 4.875 | 12/15/27 | 6,927 | 6,310,601 | |
Masonite International Corp., Gtd. Notes, 144A | 5.375 | 02/01/28 | 1,652 | 1,650,330 | |
Standard Industries, Inc., | |||||
Sr. Unsec’d. Notes, 144A | 4.750 | 01/15/28 | 9,100 | 8,637,315 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Building Materials (cont’d.) | |||||
Standard Industries, Inc., (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A(a) | 5.000 % | 02/15/27 | 32,511 | $31,448,375 | |
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes, 144A | 6.500 | 03/15/27 | 5,409 | 5,433,039 | |
58,766,434 | |||||
Chemicals 2.1% | |||||
Cornerstone Chemical Co., Sr. Sec’d. Notes, 144A(a) | 6.750 | 08/15/24 | 6,000 | 5,535,074 | |
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A(a) | 4.875 | 06/01/24 | 9,350 | 9,267,729 | |
Olympus Water US Holding Corp., Sr. Sec’d. Notes, 144A | 4.250 | 10/01/28 | 3,481 | 3,176,058 | |
Rain CII Carbon LLC/CII Carbon Corp., Sec’d. Notes, 144A | 7.250 | 04/01/25 | 16,813 | 16,192,465 | |
Sasol Financing International Ltd. (South Africa), Gtd. Notes(a) | 4.500 | 11/14/22 | 2,000 | 2,002,329 | |
SPCM SA (France), Sr. Unsec’d. Notes, 144A(a) | 3.125 | 03/15/27 | 18,392 | 16,094,995 | |
TPC Group, Inc., | |||||
Sr. Sec’d. Notes, 144A | 10.500 | 08/01/24 | 9,649 | 3,614,495 | |
Sr. Sec’d. Notes, 144A | 10.875 | 08/01/24 | 4,878 | 4,907,659 | |
Venator Finance Sarl/Venator Materials LLC, | |||||
Gtd. Notes, 144A(a) | 5.750 | 07/15/25 | 4,070 | 3,454,720 | |
Sr. Sec’d. Notes, 144A | 9.500 | 07/01/25 | 25,261 | 26,146,214 | |
WR Grace Holdings LLC, | |||||
Sr. Sec’d. Notes, 144A | 4.875 | 06/15/27 | 4,915 | 4,596,416 | |
Sr. Sec’d. Notes, 144A | 5.625 | 10/01/24 | 8,500 | 8,502,159 | |
103,490,313 | |||||
Commercial Services 4.7% | |||||
Adtalem Global Education, Inc., Sr. Sec’d. Notes, 144A(a) | 5.500 | 03/01/28 | 5,453 | 5,045,089 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., | |||||
Sr. Sec’d. Notes, 144A | 6.625 | 07/15/26 | 55,846 | 55,417,603 | |
Sr. Unsec’d. Notes, 144A | 9.750 | 07/15/27 | 5,975 | 5,613,221 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, | |||||
Sr. Sec’d. Notes, 144A | 4.625 | 06/01/28 | 9,966 | 8,920,106 | |
Sr. Sec’d. Notes, 144A | 4.625 | 06/01/28 | 3,625 | 3,213,076 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Commercial Services (cont’d.) | |||||
Alta Equipment Group, Inc., Sec’d. Notes, 144A | 5.625 % | 04/15/26 | 19,350 | $17,412,271 | |
AMN Healthcare, Inc., Gtd. Notes, 144A | 4.625 | 10/01/27 | 14,965 | 14,407,047 | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | |||||
Gtd. Notes, 144A | 4.750 | 04/01/28 | 1,020 | 927,629 | |
Gtd. Notes, 144A(a) | 5.750 | 07/15/27 | 6,575 | 6,371,508 | |
Gtd. Notes, 144A | 5.750 | 07/15/27 | 13,920 | 13,344,828 | |
Avis Budget Finance PLC, Gtd. Notes | 4.750 | 01/30/26 | EUR | 1,825 | 1,910,648 |
Brink’s Co. (The), | |||||
Gtd. Notes, 144A(a) | 4.625 | 10/15/27 | 1,311 | 1,241,178 | |
Gtd. Notes, 144A | 5.500 | 07/15/25 | 3,885 | 3,881,324 | |
Herc Holdings, Inc., Gtd. Notes, 144A(a) | 5.500 | 07/15/27 | 24,220 | 24,275,643 | |
Hertz Corp. (The), Gtd. Notes, 144A | 4.625 | 12/01/26 | 2,025 | 1,855,495 | |
MPH Acquisition Holdings LLC, Sr. Sec’d. Notes, 144A | 5.500 | 09/01/28 | 5,525 | 5,237,336 | |
Nielsen Co. Luxembourg Sarl (The), Gtd. Notes, 144A(a) | 5.000 | 02/01/25 | 29,341 | 29,141,675 | |
United Rentals North America, Inc., Gtd. Notes | 4.875 | 01/15/28 | 1,200 | 1,196,796 | |
Verscend Escrow Corp., Sr. Unsec’d. Notes, 144A | 9.750 | 08/15/26 | 32,980 | 34,009,154 | |
233,421,627 | |||||
Computers 0.3% | |||||
CA Magnum Holdings (India), Sr. Sec’d. Notes, 144A | 5.375 | 10/31/26 | 2,100 | 1,952,860 | |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., Sr. Sec’d. Notes, 144A | 5.750 | 06/01/25 | 12,417 | 12,442,775 | |
14,395,635 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Distribution/Wholesale 1.1% | |||||
Avient Corp., Sr. Unsec’d. Notes, 144A | 5.750 % | 05/15/25 | 39,987 | $40,550,125 | |
H&E Equipment Services, Inc., Gtd. Notes, 144A | 3.875 | 12/15/28 | 18,599 | 16,214,328 | |
56,764,453 | |||||
Diversified Financial Services 3.0% | |||||
Bread Financial Holdings, Inc., Gtd. Notes, 144A | 4.750 | 12/15/24 | 20,365 | 19,211,647 | |
goeasy Ltd. (Canada), | |||||
Gtd. Notes, 144A(a) | 4.375 | 05/01/26 | 4,250 | 3,807,632 | |
Gtd. Notes, 144A | 5.375 | 12/01/24 | 27,557 | 26,358,290 | |
Home Point Capital, Inc., Gtd. Notes, 144A(a) | 5.000 | 02/01/26 | 4,250 | 3,496,071 | |
LD Holdings Group LLC, | |||||
Gtd. Notes, 144A(a) | 6.125 | 04/01/28 | 10,350 | 8,289,546 | |
Gtd. Notes, 144A(a) | 6.500 | 11/01/25 | 4,975 | 4,159,179 | |
LFS Topco LLC, Gtd. Notes, 144A | 5.875 | 10/15/26 | 11,200 | 10,038,820 | |
Nationstar Mortgage Holdings, Inc., | |||||
Gtd. Notes, 144A | 5.500 | 08/15/28 | 9,470 | 8,937,268 | |
Gtd. Notes, 144A | 6.000 | 01/15/27 | 5,875 | 5,706,339 | |
OneMain Finance Corp., | |||||
Gtd. Notes | 3.500 | 01/15/27 | 1,000 | 893,764 | |
Gtd. Notes | 3.875 | 09/15/28 | 2,525 | 2,190,124 | |
Gtd. Notes | 6.875 | 03/15/25 | 20,447 | 20,793,123 | |
Gtd. Notes | 7.125 | 03/15/26 | 19,388 | 19,890,227 | |
Gtd. Notes | 8.250 | 10/01/23 | 4,775 | 4,956,735 | |
Gtd. Notes | 8.875 | 06/01/25 | 500 | 522,190 | |
PennyMac Financial Services, Inc., Gtd. Notes, 144A | 5.375 | 10/15/25 | 5,075 | 4,923,611 | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., Gtd. Notes, 144A(a) | 2.875 | 10/15/26 | 2,000 | 1,788,248 | |
VistaJet Malta Finance PLC/XO Management Holding, Inc. (Switzerland), Sr. Unsec’d. Notes, 144A | 7.875 | 05/01/27 | 4,275 | 4,027,615 | |
149,990,429 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Electric 1.8% | |||||
Calpine Corp., | |||||
Sr. Sec’d. Notes, 144A | 4.500 % | 02/15/28 | 9,640 | $9,243,037 | |
Sr. Sec’d. Notes, 144A | 5.250 | 06/01/26 | 7,765 | 7,646,547 | |
Sr. Unsec’d. Notes, 144A | 5.125 | 03/15/28 | 9,786 | 9,131,602 | |
NRG Energy, Inc., | |||||
Gtd. Notes | 5.750 | 01/15/28 | 6,098 | 6,109,005 | |
Gtd. Notes | 6.625 | 01/15/27 | 2,376 | 2,442,214 | |
Gtd. Notes, 144A | 5.250 | 06/15/29 | 5,000 | 4,896,819 | |
Vistra Operations Co. LLC, | |||||
Gtd. Notes, 144A | 5.000 | 07/31/27 | 19,991 | 19,561,516 | |
Gtd. Notes, 144A | 5.500 | 09/01/26 | 9,867 | 9,836,692 | |
Gtd. Notes, 144A | 5.625 | 02/15/27 | 19,625 | 19,619,030 | |
88,486,462 | |||||
Electrical Components & Equipment 0.6% | |||||
WESCO Distribution, Inc., | |||||
Gtd. Notes, 144A | 7.125 | 06/15/25 | 23,148 | 24,056,130 | |
Gtd. Notes, 144A | 7.250 | 06/15/28 | 5,999 | 6,301,165 | |
30,357,295 | |||||
Electronics 0.4% | |||||
Likewize Corp., Sr. Sec’d. Notes, 144A | 9.750 | 10/15/25 | 16,109 | 16,039,347 | |
Sensata Technologies BV, | |||||
Gtd. Notes, 144A(a) | 4.875 | 10/15/23 | 1,800 | 1,806,817 | |
Gtd. Notes, 144A | 5.000 | 10/01/25 | 3,495 | 3,524,391 | |
Gtd. Notes, 144A | 5.625 | 11/01/24 | 1,100 | 1,122,722 | |
22,493,277 | |||||
Energy-Alternate Sources 0.1% | |||||
Enviva Partners LP/Enviva Partners Finance Corp., Gtd. Notes, 144A(a) | 6.500 | 01/15/26 | 5,525 | 5,598,693 | |
Engineering & Construction 0.2% | |||||
AECOM, Gtd. Notes | 5.125 | 03/15/27 | 7,640 | 7,625,216 | |
Artera Services LLC, Sr. Sec’d. Notes, 144A | 9.033 | 12/04/25 | 2,025 | 1,598,915 | |
9,224,131 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Entertainment 4.0% | |||||
AMC Entertainment Holdings, Inc., Sec’d. Notes, 144A, Cash coupon 10.000% or PIK 12.000% or Cash coupon 5.000% and PIK 6.000% | 10.000 % | 06/15/26 | 2,436 | $1,867,315 | |
Caesars Entertainment, Inc., Sr. Sec’d. Notes, 144A | 6.250 | 07/01/25 | 48,644 | 49,207,011 | |
Caesars Resort Collection LLC/CRC Finco, Inc., Sr. Sec’d. Notes, 144A(a) | 5.750 | 07/01/25 | 13,536 | 13,588,267 | |
CCM Merger, Inc., Sr. Unsec’d. Notes, 144A | 6.375 | 05/01/26 | 7,865 | 7,594,477 | |
Churchill Downs, Inc., Gtd. Notes, 144A(a) | 5.500 | 04/01/27 | 6,387 | 6,388,144 | |
Golden Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 7.625 | 04/15/26 | 13,666 | 13,768,332 | |
International Game Technology PLC, | |||||
Sr. Sec’d. Notes, 144A | 4.125 | 04/15/26 | 7,725 | 7,462,385 | |
Sr. Sec’d. Notes, 144A | 6.250 | 01/15/27 | 3,725 | 3,852,289 | |
Sr. Sec’d. Notes, 144A(a) | 6.500 | 02/15/25 | 24,851 | 25,541,954 | |
Jacobs Entertainment, Inc., Sr. Unsec’d. Notes, 144A | 6.750 | 02/15/29 | 4,000 | 3,686,392 | |
Motion Bondco DAC (United Kingdom), Gtd. Notes, 144A(a) | 6.625 | 11/15/27 | 9,700 | 8,791,812 | |
Penn National Gaming, Inc., Sr. Unsec’d. Notes, 144A(a) | 5.625 | 01/15/27 | 19,289 | 17,825,747 | |
Scientific Games International, Inc., Gtd. Notes, 144A | 8.625 | 07/01/25 | 13,910 | 14,675,797 | |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Sr. Unsec’d. Notes, 144A | 7.750 | 04/15/25 | 26,375 | 26,830,502 | |
201,080,424 | |||||
Environmental Control 0.0% | |||||
GFL Environmental, Inc. (Canada), Gtd. Notes, 144A(a) | 4.000 | 08/01/28 | 1,700 | 1,534,243 | |
Foods 2.4% | |||||
Albertson’s Cos., Inc./Safeway, Inc./New Albertson’s LP/Albertson’s LLC, | |||||
Gtd. Notes, 144A | 3.250 | 03/15/26 | 2,135 | 2,010,375 | |
Gtd. Notes, 144A | 4.625 | 01/15/27 | 17,925 | 17,417,140 | |
B&G Foods, Inc., | |||||
Gtd. Notes(a) | 5.250 | 04/01/25 | 22,380 | 21,171,936 | |
Gtd. Notes(a) | 5.250 | 09/15/27 | 17,976 | 16,100,130 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Foods (cont’d.) | |||||
Chobani LLC/Chobani Finance Corp., Inc., Gtd. Notes, 144A(a) | 7.500 % | 04/15/25 | 24,686 | $23,276,124 | |
JBS USA LUX SA/JBS USA Finance, Inc., Gtd. Notes, 144A | 6.750 | 02/15/28 | 630 | 655,347 | |
Lamb Weston Holdings, Inc., Gtd. Notes, 144A(a) | 4.875 | 05/15/28 | 1,000 | 990,441 | |
Market Bidco Finco PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 5.500 | 11/04/27 | GBP | 6,500 | 7,003,006 |
Pilgrim’s Pride Corp., Gtd. Notes, 144A | 5.875 | 09/30/27 | 21,900 | 22,425,381 | |
Post Holdings, Inc., Gtd. Notes, 144A(a) | 5.750 | 03/01/27 | 3,199 | 3,264,051 | |
US Foods, Inc., Sr. Sec’d. Notes, 144A | 6.250 | 04/15/25 | 5,950 | 6,128,773 | |
120,442,704 | |||||
Gas 1.0% | |||||
AmeriGas Partners LP/AmeriGas Finance Corp., | |||||
Sr. Unsec’d. Notes | 5.500 | 05/20/25 | 18,924 | 18,845,229 | |
Sr. Unsec’d. Notes | 5.625 | 05/20/24 | 7,218 | 7,344,963 | |
Sr. Unsec’d. Notes | 5.750 | 05/20/27 | 10,873 | 10,782,099 | |
Sr. Unsec’d. Notes | 5.875 | 08/20/26 | 11,889 | 12,086,511 | |
49,058,802 | |||||
Healthcare-Services 2.8% | |||||
HCA, Inc., | |||||
Gtd. Notes(a) | 5.375 | 09/01/26 | 710 | 738,985 | |
Gtd. Notes | 7.050 | 12/01/27 | 23,730 | 25,888,572 | |
Legacy LifePoint Health LLC, | |||||
Sr. Sec’d. Notes, 144A | 4.375 | 02/15/27 | 18,255 | 17,053,659 | |
Sr. Sec’d. Notes, 144A | 6.750 | 04/15/25 | 7,375 | 7,517,992 | |
Prime Healthcare Services, Inc., Sr. Sec’d. Notes, 144A | 7.250 | 11/01/25 | 35,586 | 34,149,419 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., Gtd. Notes, 144A | 9.750 | 12/01/26 | 17,443 | 17,726,232 | |
Tenet Healthcare Corp., | |||||
Gtd. Notes, 144A | 6.125 | 10/01/28 | 9,343 | 9,118,700 | |
Sr. Sec’d. Notes(a) | 4.625 | 07/15/24 | 7,979 | 7,997,630 | |
Sr. Sec’d. Notes, 144A | 4.875 | 01/01/26 | 2,575 | 2,573,555 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Healthcare-Services (cont’d.) | |||||
Tenet Healthcare Corp., (cont’d.) | |||||
Sr. Sec’d. Notes, 144A | 5.125 % | 11/01/27 | 4,642 | $4,605,934 | |
Sr. Unsec’d. Notes(a) | 6.750 | 06/15/23 | 10,375 | 10,593,388 | |
137,964,066 | |||||
Home Builders 4.7% | |||||
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec’d. Notes, 144A | 6.625 | 01/15/28 | 3,635 | 3,402,365 | |
Beazer Homes USA, Inc., | |||||
Gtd. Notes | 5.875 | 10/15/27 | 16,562 | 14,872,148 | |
Gtd. Notes | 6.750 | 03/15/25 | 12,045 | 11,835,489 | |
Gtd. Notes | 7.250 | 10/15/29 | 6,667 | 6,248,291 | |
Brookfield Residential Properties, Inc./Brookfield Residential US LLC (Canada), Gtd. Notes, 144A | 6.250 | 09/15/27 | 31,689 | 29,720,336 | |
Century Communities, Inc., Gtd. Notes | 6.750 | 06/01/27 | 9,196 | 9,378,222 | |
Empire Communities Corp. (Canada), Sr. Unsec’d. Notes, 144A | 7.000 | 12/15/25 | 30,366 | 27,243,080 | |
Forestar Group, Inc., | |||||
Gtd. Notes, 144A | 3.850 | 05/15/26 | 13,810 | 12,647,682 | |
Gtd. Notes, 144A | 5.000 | 03/01/28 | 3,150 | 2,853,039 | |
M/I Homes, Inc., Gtd. Notes | 4.950 | 02/01/28 | 8,974 | 8,377,780 | |
Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A | 5.250 | 12/15/27 | 33,644 | 31,083,934 | |
Meritage Homes Corp., Gtd. Notes | 6.000 | 06/01/25 | 5,200 | 5,318,938 | |
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A | 4.750 | 02/15/28 | 6,075 | 5,363,332 | |
STL Holding Co. LLC, Sr. Unsec’d. Notes, 144A | 7.500 | 02/15/26 | 10,659 | 9,861,853 | |
Taylor Morrison Communities, Inc., | |||||
Gtd. Notes, 144A | 5.750 | 01/15/28 | 693 | 685,981 | |
Gtd. Notes, 144A | 5.875 | 06/15/27 | 6,681 | 6,701,304 | |
Gtd. Notes, 144A | 6.625 | 07/15/27 | 5,786 | 5,788,404 | |
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., | |||||
Gtd. Notes, 144A | 5.625 | 03/01/24 | 13,425 | 13,552,688 | |
Gtd. Notes, 144A | 5.875 | 04/15/23 | 6,545 | 6,592,181 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Home Builders (cont’d.) | |||||
Tri Pointe Homes, Inc., | |||||
Gtd. Notes | 5.250 % | 06/01/27 | 21,693 | $20,732,986 | |
Gtd. Notes | 5.700 | 06/15/28 | 2,393 | 2,286,831 | |
234,546,864 | |||||
Household Products/Wares 0.1% | |||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. (Canada), | |||||
Gtd. Notes, 144A(a) | 7.000 | 12/31/27 | 3,000 | 2,406,027 | |
Sr. Sec’d. Notes, 144A | 5.000 | 12/31/26 | 900 | 814,690 | |
3,220,717 | |||||
Housewares 0.0% | |||||
Scotts Miracle-Gro Co. (The), Gtd. Notes | 4.500 | 10/15/29 | 1,750 | 1,576,002 | |
Internet 1.8% | |||||
Cablevision Lightpath LLC, Sr. Sec’d. Notes, 144A | 3.875 | 09/15/27 | 11,805 | 10,514,069 | |
Cogent Communications Group, Inc., Sr. Sec’d. Notes, 144A | 3.500 | 05/01/26 | 1,150 | 1,102,728 | |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., Gtd. Notes, 144A(a) | 5.250 | 12/01/27 | 15,010 | 14,940,380 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., Sr. Sec’d. Notes, 144A | 4.750 | 04/30/27 | 18,380 | 16,374,189 | |
NortonLifeLock, Inc., Sr. Unsec’d. Notes, 144A | 5.000 | 04/15/25 | 46,405 | 46,480,248 | |
89,411,614 | |||||
Iron/Steel 0.2% | |||||
Big River Steel LLC/BRS Finance Corp., Sr. Sec’d. Notes, 144A | 6.625 | 01/31/29 | 5,861 | 5,928,571 | |
Cleveland-Cliffs, Inc., Sr. Sec’d. Notes, 144A(a) | 6.750 | 03/15/26 | 2,800 | 2,926,130 | |
8,854,701 | |||||
Leisure Time 0.0% | |||||
Viking Cruises Ltd., Gtd. Notes, 144A | 6.250 | 05/15/25 | 3,000 | 2,706,329 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Lodging 2.0% | |||||
Boyd Gaming Corp., Gtd. Notes(a) | 4.750 % | 12/01/27 | 1,900 | $1,847,001 | |
Genting New York LLC/GENNY Capital, Inc., Sr. Unsec’d. Notes, 144A | 3.300 | 02/15/26 | 4,250 | 3,880,078 | |
Las Vegas Sands Corp., | |||||
Sr. Unsec’d. Notes | 2.900 | 06/25/25 | 900 | 828,622 | |
Sr. Unsec’d. Notes | 3.500 | 08/18/26 | 700 | 635,436 | |
MGM Resorts International, | |||||
Gtd. Notes(a) | 4.625 | 09/01/26 | 10,072 | 9,434,311 | |
Gtd. Notes(a) | 4.750 | 10/15/28 | 13,264 | 12,072,377 | |
Gtd. Notes | 5.500 | 04/15/27 | 17,000 | 16,561,793 | |
Gtd. Notes(a) | 5.750 | 06/15/25 | 965 | 963,418 | |
Gtd. Notes | 6.750 | 05/01/25 | 11,396 | 11,577,413 | |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A | 5.875 | 05/15/25 | 22,995 | 22,122,022 | |
Wynn Macau Ltd. (Macau), | |||||
Sr. Unsec’d. Notes, 144A(a) | 4.875 | 10/01/24 | 18,078 | 15,469,866 | |
Sr. Unsec’d. Notes, 144A | 5.500 | 01/15/26 | 8,839 | 7,264,292 | |
102,656,629 | |||||
Machinery-Diversified 1.3% | |||||
Maxim Crane Works Holdings Capital LLC, Sec’d. Notes, 144A | 10.125 | 08/01/24 | 38,660 | 37,698,670 | |
TK Elevator US Newco, Inc. (Germany), Sr. Sec’d. Notes, 144A | 5.250 | 07/15/27 | 26,957 | 26,421,465 | |
64,120,135 | |||||
Media 10.1% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/28 | 30,239 | 29,311,073 | |
Sr. Unsec’d. Notes, 144A(a) | 5.125 | 05/01/27 | 57,054 | 56,219,361 | |
Sr. Unsec’d. Notes, 144A | 5.500 | 05/01/26 | 18,629 | 18,639,503 | |
CSC Holdings LLC, | |||||
Gtd. Notes, 144A | 5.375 | 02/01/28 | 22,800 | 21,686,078 | |
Gtd. Notes, 144A(a) | 5.500 | 04/15/27 | 43,776 | 43,771,044 | |
Sr. Unsec’d. Notes | 5.250 | 06/01/24 | 2,750 | 2,718,741 | |
Sr. Unsec’d. Notes | 5.875 | 09/15/22 | 4,100 | 4,126,752 | |
Sr. Unsec’d. Notes, 144A(a) | 7.500 | 04/01/28 | 12,585 | 11,700,628 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Media (cont’d.) | |||||
Diamond Sports Group LLC/Diamond Sports Finance Co., Sec’d. Notes, 144A(a) | 5.375 % | 08/15/26 | 15,460 | $5,053,266 | |
DISH DBS Corp., | |||||
Gtd. Notes(a) | 5.000 | 03/15/23 | 5,555 | 5,443,042 | |
Gtd. Notes | 5.875 | 07/15/22 | 9,420 | 9,436,183 | |
Gtd. Notes(a) | 5.875 | 11/15/24 | 17,307 | 15,911,127 | |
Gtd. Notes | 7.750 | 07/01/26 | 46,200 | 39,493,159 | |
Gray Television, Inc., | |||||
Gtd. Notes, 144A | 5.875 | 07/15/26 | 35,012 | 34,616,387 | |
Gtd. Notes, 144A(a) | 7.000 | 05/15/27 | 2,000 | 2,033,139 | |
iHeartCommunications, Inc., | |||||
Gtd. Notes(a) | 8.375 | 05/01/27 | 24,240 | 22,743,602 | |
Sr. Sec’d. Notes | 6.375 | 05/01/26 | 11,945 | 11,781,463 | |
Sr. Sec’d. Notes, 144A(a) | 4.750 | 01/15/28 | 12,578 | 11,343,728 | |
Midcontinent Communications/Midcontinent Finance Corp., Gtd. Notes, 144A | 5.375 | 08/15/27 | 23,983 | 22,907,064 | |
Nexstar Media, Inc., Gtd. Notes, 144A(a) | 5.625 | 07/15/27 | 40,900 | 40,805,703 | |
Radiate Holdco LLC/Radiate Finance, Inc., Sr. Sec’d. Notes, 144A | 4.500 | 09/15/26 | 24,349 | 22,579,922 | |
Sinclair Television Group, Inc., Gtd. Notes, 144A(a) | 5.125 | 02/15/27 | 3,020 | 2,662,710 | |
Univision Communications, Inc., | |||||
Sr. Sec’d. Notes, 144A(a) | 5.125 | 02/15/25 | 45,428 | 45,256,140 | |
Sr. Sec’d. Notes, 144A | 6.625 | 06/01/27 | 12,490 | 12,667,986 | |
Sr. Sec’d. Notes, 144A(a) | 9.500 | 05/01/25 | 6,425 | 6,693,720 | |
Videotron Ltd. (Canada), | |||||
Gtd. Notes, 144A | 5.125 | 04/15/27 | 412 | 401,111 | |
Gtd. Notes, 144A(a) | 5.375 | 06/15/24 | 7,288 | 7,361,243 | |
507,363,875 | |||||
Mining 2.5% | |||||
Constellium SE, Gtd. Notes, 144A(a) | 5.875 | 02/15/26 | 4,236 | 4,211,275 | |
First Quantum Minerals Ltd. (Zambia), | |||||
Gtd. Notes, 144A | 6.500 | 03/01/24 | 20,161 | 20,151,140 | |
Gtd. Notes, 144A | 7.250 | 04/01/23 | 8,031 | 8,032,603 | |
Gtd. Notes, 144A | 7.500 | 04/01/25 | 17,923 | 18,121,301 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Mining (cont’d.) | |||||
Freeport-McMoRan, Inc., | |||||
Gtd. Notes | 3.875 % | 03/15/23 | 15,235 | $15,334,394 | |
Gtd. Notes | 4.375 | 08/01/28 | 1,820 | 1,756,400 | |
Hudbay Minerals, Inc. (Canada), Gtd. Notes, 144A | 4.500 | 04/01/26 | 20,285 | 18,069,601 | |
New Gold, Inc. (Canada), Gtd. Notes, 144A | 7.500 | 07/15/27 | 5,250 | 4,945,371 | |
Novelis Corp., Gtd. Notes, 144A(a) | 3.250 | 11/15/26 | 37,023 | 34,129,049 | |
124,751,134 | |||||
Miscellaneous Manufacturing 0.2% | |||||
Amsted Industries, Inc., Gtd. Notes, 144A | 5.625 | 07/01/27 | 11,346 | 10,959,892 | |
Office/Business Equipment 0.4% | |||||
CDW LLC/CDW Finance Corp., | |||||
Gtd. Notes | 4.125 | 05/01/25 | 7,567 | 7,490,128 | |
Gtd. Notes | 5.500 | 12/01/24 | 12,480 | 12,746,749 | |
20,236,877 | |||||
Oil & Gas 3.6% | |||||
Aethon United BR LP/Aethon United Finance Corp., Sr. Unsec’d. Notes, 144A | 8.250 | 02/15/26 | 4,925 | 5,024,774 | |
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes^ | 7.875 | 12/15/24(d) | 10,985 | 74,698 | |
Antero Resources Corp., Gtd. Notes, 144A | 8.375 | 07/15/26 | 2,601 | 2,823,317 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Gtd. Notes, 144A | 9.000 | 11/01/27 | 8,489 | 11,518,869 | |
Athabasca Oil Corp. (Canada), Sec’d. Notes, 144A | 9.750 | 11/01/26 | 18,944 | 20,385,895 | |
Chesapeake Energy Corp., Gtd. Notes, 144A | 5.500 | 02/01/26 | 2,425 | 2,475,860 | |
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A(a) | 9.250 | 08/01/24 | 582 | 578,343 | |
CITGO Petroleum Corp., Sr. Sec’d. Notes, 144A(a) | 7.000 | 06/15/25 | 9,285 | 9,310,176 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
CNX Resources Corp., Gtd. Notes, 144A | 7.250 % | 03/14/27 | 2,650 | $2,774,202 | |
Endeavor Energy Resources LP/EER Finance, Inc., | |||||
Sr. Unsec’d. Notes, 144A | 5.750 | 01/30/28 | 7,943 | 8,111,111 | |
Sr. Unsec’d. Notes, 144A | 6.625 | 07/15/25 | 7,475 | 7,725,764 | |
EQT Corp., Sr. Unsec’d. Notes | 3.900 | 10/01/27 | 6,861 | 6,610,430 | |
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A | 5.750 | 02/01/29 | 1,200 | 1,174,959 | |
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 7.125 | 02/01/27 | 15,478 | 16,234,135 | |
Nabors Industries Ltd., Gtd. Notes, 144A | 7.250 | 01/15/26 | 6,225 | 6,033,019 | |
Nabors Industries, Inc., | |||||
Gtd. Notes | 5.750 | 02/01/25 | 4,190 | 4,034,390 | |
Gtd. Notes, 144A | 7.375 | 05/15/27 | 7,625 | 7,699,306 | |
Occidental Petroleum Corp., | |||||
Sr. Unsec’d. Notes | 5.550 | 03/15/26 | 1,200 | 1,250,308 | |
Sr. Unsec’d. Notes(a) | 5.875 | 09/01/25 | 5,675 | 5,932,362 | |
Sr. Unsec’d. Notes | 6.950 | 07/01/24 | 175 | 185,651 | |
Sr. Unsec’d. Notes | 7.150 | 05/15/28 | 5,000 | 5,518,427 | |
Parkland Corp. (Canada), Gtd. Notes, 144A(a) | 5.875 | 07/15/27 | 9,825 | 9,644,571 | |
Precision Drilling Corp. (Canada), Gtd. Notes, 144A | 7.125 | 01/15/26 | 8,221 | 8,225,295 | |
Range Resources Corp., | |||||
Gtd. Notes | 4.875 | 05/15/25 | 5,578 | 5,687,102 | |
Gtd. Notes | 5.000 | 03/15/23 | 11,308 | 11,337,281 | |
Southwestern Energy Co., Gtd. Notes(a) | 8.375 | 09/15/28 | 9,234 | 10,120,280 | |
Sunoco LP/Sunoco Finance Corp., | |||||
Gtd. Notes | 5.875 | 03/15/28 | 865 | 864,930 | |
Gtd. Notes(a) | 6.000 | 04/15/27 | 6,575 | 6,715,732 | |
Transocean, Inc., Gtd. Notes, 144A | 7.500 | 01/15/26 | 900 | 738,500 | |
178,809,687 | |||||
Packaging & Containers 1.6% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., | |||||
Sr. Sec’d. Notes, 144A | 4.125 | 08/15/26 | 5,553 | 5,167,811 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Packaging & Containers (cont’d.) | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., (cont’d.) | |||||
Sr. Unsec’d. Notes, 144A(a) | 5.250 % | 08/15/27 | 3,475 | $2,901,023 | |
Graham Packaging Co., Inc., Gtd. Notes, 144A | 7.125 | 08/15/28 | 11,950 | 9,873,096 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC (Canada), Sr. Sec’d. Notes, 144A | 6.000 | 09/15/28 | 17,732 | 16,402,156 | |
LABL, Inc., | |||||
Sr. Sec’d. Notes, 144A | 5.875 | 11/01/28 | 10,900 | 9,974,129 | |
Sr. Sec’d. Notes, 144A(a) | 6.750 | 07/15/26 | 7,075 | 6,850,875 | |
Sr. Unsec’d. Notes, 144A(a) | 10.500 | 07/15/27 | 2,000 | 1,927,398 | |
Owens-Brockway Glass Container, Inc., | |||||
Gtd. Notes, 144A(a) | 6.375 | 08/15/25 | 5,435 | 5,457,509 | |
Gtd. Notes, 144A(a) | 6.625 | 05/13/27 | 1,163 | 1,146,492 | |
Trident TPI Holdings, Inc., | |||||
Gtd. Notes, 144A | 6.625 | 11/01/25 | 19,422 | 18,354,333 | |
Gtd. Notes, 144A | 9.250 | 08/01/24 | 2,000 | 1,930,001 | |
79,984,823 | |||||
Pharmaceuticals 1.7% | |||||
AdaptHealth LLC, Gtd. Notes, 144A(a) | 6.125 | 08/01/28 | 14,451 | 13,510,963 | |
Bausch Health Americas, Inc., Gtd. Notes, 144A(a) | 8.500 | 01/31/27 | 38,200 | 30,382,934 | |
Bausch Health Cos., Inc., | |||||
Gtd. Notes, 144A | 5.000 | 01/30/28 | 4,150 | 2,651,546 | |
Gtd. Notes, 144A | 7.000 | 01/15/28 | 7,010 | 4,781,761 | |
Sr. Sec’d. Notes, 144A | 4.875 | 06/01/28 | 784 | 673,644 | |
P&L Development LLC/PLD Finance Corp., Sr. Sec’d. Notes, 144A | 7.750 | 11/15/25 | 41,702 | 34,714,894 | |
86,715,742 | |||||
Pipelines 1.5% | |||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., | |||||
Gtd. Notes, 144A | 5.750 | 03/01/27 | 2,200 | 2,208,930 | |
Gtd. Notes, 144A | 7.875 | 05/15/26 | 22,775 | 24,104,360 | |
EQM Midstream Partners LP, | |||||
Sr. Unsec’d. Notes(a) | 4.125 | 12/01/26 | 3,729 | 3,492,579 | |
Sr. Unsec’d. Notes | 4.750 | 07/15/23 | 7,033 | 7,168,700 | |
Sr. Unsec’d. Notes, 144A | 6.000 | 07/01/25 | 2,505 | 2,549,063 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Pipelines (cont’d.) | |||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 7.000 % | 08/01/27 | 6,197 | $6,018,592 | |
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A | 3.600 | 05/15/25 | 7,020 | 6,798,477 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., | |||||
Gtd. Notes, 144A | 6.000 | 03/01/27 | 3,890 | 3,792,413 | |
Gtd. Notes, 144A | 7.500 | 10/01/25 | 7,060 | 7,258,673 | |
Western Midstream Operating LP, | |||||
Sr. Unsec’d. Notes | 3.600 | 02/01/25 | 8,075 | 7,888,631 | |
Sr. Unsec’d. Notes | 3.950 | 06/01/25 | 3,050 | 3,014,941 | |
74,295,359 | |||||
Real Estate 1.3% | |||||
Five Point Operating Co. LP/Five Point Capital Corp., Gtd. Notes, 144A | 7.875 | 11/15/25 | 34,019 | 32,952,893 | |
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A | 5.750 | 12/01/25 | 8,150 | 8,181,867 | |
Howard Hughes Corp. (The), Gtd. Notes, 144A | 5.375 | 08/01/28 | 23,038 | 22,435,112 | |
63,569,872 | |||||
Real Estate Investment Trusts (REITs) 4.8% | |||||
Diversified Healthcare Trust, | |||||
Gtd. Notes | 9.750 | 06/15/25 | 42,149 | 44,223,798 | |
Sr. Unsec’d. Notes | 4.750 | 05/01/24 | 10,585 | 10,068,172 | |
Sr. Unsec’d. Notes | 4.750 | 02/15/28 | 3,000 | 2,511,464 | |
MPT Operating Partnership LP/MPT Finance Corp., | |||||
Gtd. Notes(a) | 5.000 | 10/15/27 | 10,925 | 10,828,434 | |
Gtd. Notes(a) | 5.250 | 08/01/26 | 1,485 | 1,497,338 | |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, Sr. Sec’d. Notes, 144A | 7.500 | 06/01/25 | 27,462 | 28,515,168 | |
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes(a) | 4.750 | 10/15/27 | 10,000 | 9,636,309 | |
Sabra Health Care LP, Gtd. Notes | 5.125 | 08/15/26 | 650 | 650,738 | |
SBA Communications Corp., Sr. Unsec’d. Notes(a) | 3.875 | 02/15/27 | 21,953 | 21,459,274 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Real Estate Investment Trusts (REITs) (cont’d.) | |||||
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, Sr. Sec’d. Notes, 144A | 7.875 % | 02/15/25 | 89,698 | $92,067,863 | |
VICI Properties LP/VICI Note Co., Inc., | |||||
Gtd. Notes, 144A | 4.250 | 12/01/26 | 4,290 | 4,075,697 | |
Gtd. Notes, 144A | 4.500 | 09/01/26 | 10,120 | 9,674,039 | |
Gtd. Notes, 144A | 4.625 | 06/15/25 | 1,430 | 1,396,739 | |
Gtd. Notes, 144A | 5.625 | 05/01/24 | 5,088 | 5,143,682 | |
241,748,715 | |||||
Retail 1.5% | |||||
1011778 BC ULC/New Red Finance, Inc. (Canada), Sr. Sec’d. Notes, 144A | 3.875 | 01/15/28 | 1,900 | 1,793,352 | |
At Home Group, Inc., Sr. Sec’d. Notes, 144A | 4.875 | 07/15/28 | 725 | 583,795 | |
Brinker International, Inc., Gtd. Notes, 144A | 5.000 | 10/01/24 | 8,978 | 8,682,186 | |
eG Global Finance PLC (United Kingdom), | |||||
Sr. Sec’d. Notes | 4.375 | 02/07/25 | EUR | 5,307 | 5,372,987 |
Sr. Sec’d. Notes | 6.250 | 10/30/25 | EUR | 6,809 | 7,019,063 |
Sr. Sec’d. Notes, 144A | 6.750 | 02/07/25 | 20,050 | 19,512,404 | |
Sr. Sec’d. Notes, 144A | 8.500 | 10/30/25 | 17,426 | 17,647,449 | |
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625 | 12/01/25 | 9,695 | 9,459,010 | |
White Cap Parent LLC, Sr. Unsec’d. Notes, 144A, Cash coupon 8.250% or PIK 9.000%(a) | 8.250 | 03/15/26 | 5,000 | 4,640,951 | |
74,711,197 | |||||
Semiconductors 0.3% | |||||
Microchip Technology, Inc., Gtd. Notes | 4.250 | 09/01/25 | 16,242 | 16,276,279 | |
Software 2.3% | |||||
Boxer Parent Co., Inc., Sr. Sec’d. Notes, 144A | 7.125 | 10/02/25 | 16,590 | 16,169,677 | |
Camelot Finance SA, Sr. Sec’d. Notes, 144A(a) | 4.500 | 11/01/26 | 66,801 | 64,123,221 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Software (cont’d.) | |||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., Gtd. Notes, 144A | 5.750 % | 03/01/25 | 21,241 | $21,139,594 | |
Clarivate Science Holdings Corp., Sr. Sec’d. Notes, 144A(a) | 3.875 | 07/01/28 | 6,185 | 5,792,938 | |
SS&C Technologies, Inc., Gtd. Notes, 144A(a) | 5.500 | 09/30/27 | 8,000 | 8,016,930 | |
115,242,360 | |||||
Telecommunications 6.8% | |||||
Altice France SA (France), Sr. Sec’d. Notes, 144A | 8.125 | 02/01/27 | 32,099 | 32,226,419 | |
CommScope Technologies LLC, Gtd. Notes, 144A(a) | 6.000 | 06/15/25 | 8,463 | 7,898,059 | |
CommScope, Inc., Sr. Sec’d. Notes, 144A | 6.000 | 03/01/26 | 23,443 | 23,005,951 | |
Digicel Group Holdings Ltd. (Jamaica), Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% | 10.000 | 04/01/24 | 1,956 | 1,884,110 | |
Digicel International Finance Ltd./Digicel International Holdings Ltd. (Jamaica), | |||||
Gtd. Notes, 144A | 8.000 | 12/31/26 | 3,128 | 2,662,187 | |
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% | 13.000 | 12/31/25 | 5,665 | 5,505,044 | |
Sr. Sec’d. Notes, 144A(a) | 8.750 | 05/25/24 | 15,663 | 14,977,144 | |
Sr. Sec’d. Notes, 144A | 8.750 | 05/25/24 | 14,353 | 13,701,552 | |
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750 | 03/01/23 | 11,300 | 8,910,977 | |
Iliad Holding SASU (France), | |||||
Sr. Sec’d. Notes, 144A | 6.500 | 10/15/26 | 13,720 | 13,276,031 | |
Sr. Sec’d. Notes, 144A | 7.000 | 10/15/28 | 4,425 | 4,260,760 | |
Intelsat Jackson Holdings SA Escrow (Luxembourg), Gtd. Notes^ | 5.500 | 08/01/23(d) | 6,971 | 7 | |
Level 3 Financing, Inc., | |||||
Gtd. Notes(a) | 5.250 | 03/15/26 | 49,587 | 48,700,534 | |
Gtd. Notes | 5.375 | 05/01/25 | 27,082 | 27,077,862 | |
Gtd. Notes, 144A | 4.250 | 07/01/28 | 10,200 | 9,060,490 | |
Lumen Technologies, Inc., | |||||
Sr. Unsec’d. Notes | 5.625 | 04/01/25 | 5,000 | 4,928,509 | |
Sr. Unsec’d. Notes, Series W | 6.750 | 12/01/23 | 2,753 | 2,833,591 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Telecommunications (cont’d.) | |||||
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | 5.750 % | 01/15/23 | 16,706 | $16,878,862 | |
Sprint Corp., | |||||
Gtd. Notes | 7.125 | 06/15/24 | 11,700 | 12,424,357 | |
Gtd. Notes | 7.625 | 02/15/25 | 2,215 | 2,396,749 | |
Gtd. Notes | 7.625 | 03/01/26 | 1,500 | 1,662,000 | |
Gtd. Notes | 7.875 | 09/15/23 | 23,284 | 24,455,025 | |
T-Mobile USA, Inc., Gtd. Notes | 2.625 | 04/15/26 | 1,052 | 992,726 | |
Viasat, Inc., | |||||
Sr. Sec’d. Notes, 144A(a) | 5.625 | 04/15/27 | 7,282 | 7,012,094 | |
Sr. Unsec’d. Notes, 144A | 5.625 | 09/15/25 | 27,817 | 26,381,074 | |
Zayo Group Holdings, Inc., Sr. Sec’d. Notes, 144A(a) | 4.000 | 03/01/27 | 31,329 | 27,359,958 | |
340,472,072 | |||||
Toys/Games/Hobbies 0.0% | |||||
Mattel, Inc., Gtd. Notes, 144A | 3.375 | 04/01/26 | 1,400 | 1,360,080 | |
Transportation 0.1% | |||||
XPO Logistics, Inc., Gtd. Notes, 144A | 6.250 | 05/01/25 | 5,099 | 5,261,565 | |
Trucking & Leasing 0.1% | |||||
Fortress Transportation & Infrastructure Investors LLC, Sr. Unsec’d. Notes, 144A | 5.500 | 05/01/28 | 6,125 | 5,264,613 | |
Total Corporate Bonds (cost $4,223,501,358) | 3,986,944,512 | ||||
Sovereign Bonds 0.0% | |||||
Ecuador Government International Bond (Ecuador), | |||||
Sr. Unsec’d. Notes, 144A | 6.608(s) | 07/31/30 | 92 | 50,891 | |
Sr. Unsec’d. Notes, 144A | 0.500(cc) | 07/31/40 | 125 | 69,064 | |
Sr. Unsec’d. Notes, 144A | 1.000(cc) | 07/31/35 | 535 | 342,614 | |
Sr. Unsec’d. Notes, 144A | 5.000(cc) | 07/31/30 | 324 | 269,169 | |
Total Sovereign Bonds (cost $795,478) | 731,738 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
U.S. Treasury Obligation(h)(k) 5.1% | |||||
U.S. Treasury Notes (cost $252,974,647) | 2.500 % | 04/30/24 | 253,980 | $253,870,867 |
Shares | |||||
Common Stocks 2.2% | |||||
Electric Utilities 0.1% | |||||
GenOn Energy Holdings, Inc. (Class A Stock) (original cost $4,444,497; purchased 02/28/19 )*^(f) | 41,315 | 5,205,690 | |||
Gas Utilities 0.2% | |||||
Ferrellgas Partners LP (Class B Stock) | 50,306 | 10,312,730 | |||
Hotels, Restaurants & Leisure 0.2% | |||||
CEC Entertainment, Inc.* | 366,068 | 7,382,310 | |||
Oil, Gas & Consumable Fuels 1.7% | |||||
Chesapeake Energy Corp.(a) | 876,941 | 85,396,515 | |||
Chesapeake Energy Corp. Backstop Commitment | 5,043 | 491,087 | |||
85,887,602 | |||||
Wireless Telecommunication Services 0.0% | |||||
Intelsat Emergence SA (Luxembourg)* | 65,184 | 1,959,594 | |||
Total Common Stocks (cost $33,146,328) | 110,747,926 |
Units | |||||
Rights* 0.0% | |||||
Diversified Telecommunication Services | |||||
Intelsat Jackson Holdings SA, Series A (Luxembourg), expiring 12/05/25^ | 6,825 | 13,010 | |||
Intelsat Jackson Holdings SA, Series B (Luxembourg), expiring 12/05/25^ | 6,825 | 2,398 | |||
Total Rights (cost $0) | 15,408 |
Description | Units | Value | |||
Warrants* 0.0% | |||||
Chemicals | |||||
TPC Group, Inc., expiring 08/01/24^ (cost $1) | 6,759,788 | $31,771 | |||
Total Long-Term Investments (cost $4,980,119,976) | 4,800,461,613 |
Shares | |||||
Short-Term Investments 12.7% | |||||
Affiliated Mutual Funds 10.8% | |||||
PGIM Core Short-Term Bond Fund(wc) | 1,647,270 | 15,023,103 | |||
PGIM Core Ultra Short Bond Fund(wc) | 49,014,659 | 49,014,659 | |||
PGIM Institutional Money Market Fund (cost $476,930,008; includes $476,664,402 of cash collateral for securities on loan)(b)(wc) | 477,368,335 | 476,986,440 | |||
Total Affiliated Mutual Funds (cost $540,951,305) | 541,024,202 | ||||
Unaffiliated Fund 1.9% | |||||
Dreyfus Government Cash Management (Institutional Shares) (cost $96,222,018) | 96,222,018 | 96,222,018 | |||
Total Short-Term Investments (cost $637,173,323) | 637,246,220 | ||||
TOTAL INVESTMENTS 108.6% (cost $5,617,293,299) | 5,437,707,833 | ||||
Liabilities in excess of other assets(z) (8.6)% | (430,691,155) | ||||
Net Assets 100.0% | $5,007,016,678 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
EUR—Euro | |
GBP—British Pound |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
bps—Basis Points | |
CDX—Credit Derivative Index | |
CLO—Collateralized Loan Obligation | |
iBoxx—Bond Market Indices | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
OTC—Over-the-counter |
PIK—Payment-in-Kind | |
Q—Quarterly payment frequency for swaps | |
REITs—Real Estate Investment Trust | |
SOFR—Secured Overnight Financing Rate | |
T—Swap payment upon termination |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $14,186,985 and 0.3% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $461,803,100; cash collateral of $476,664,402 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at May 31, 2022. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of May 31, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $4,444,497. The aggregate value of $5,205,690 is 0.1% of net assets. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(p) | Represents a security with a delayed settlement and therefore the interest rate is not available until settlement which is after the period end. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(wc) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund, if applicable. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Borrower | Principal Amount (000)# | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||
Trident TPI Holdings, Inc., Tranche B-3 DDTL Commitments, 3 Month LIBOR + 4.000%, 4.000%(c), Maturity Date 09/15/28 (cost $197,553) | 198 | $188,487 | $— | $(9,066) |
Futures contracts outstanding at May 31, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
1,037 | 2 Year U.S. Treasury Notes | Sep. 2022 | $218,912,320 | $276,969 |
Futures contracts outstanding at May 31, 2022 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions (cont’d): | ||||||||
56 | 5 Year Euro-Bobl | Sep. 2022 | $7,528,076 | $(29,975) | ||||
3,708 | 5 Year U.S. Treasury Notes | Sep. 2022 | 418,830,206 | 635,492 | ||||
5 | 20 Year U.S. Treasury Bonds | Sep. 2022 | 697,188 | (4,378) | ||||
7 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2022 | 1,090,250 | (6,278) | ||||
3 | Euro Schatz Index | Sep. 2022 | 352,323 | 30 | ||||
871,860 | ||||||||
Short Positions: | ||||||||
26 | 10 Year Euro-Bund | Sep. 2022 | 4,240,716 | 4,979 | ||||
956 | 10 Year U.S. Treasury Notes | Sep. 2022 | 114,197,192 | 130,644 | ||||
135,623 | ||||||||
$1,007,483 |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 06/06/22 | BNP Paribas S.A. | GBP | 4,315 | $5,393,732 | $5,437,751 | $44,019 | $— | ||||||
Euro, | |||||||||||||
Expiring 06/02/22 | The Toronto-Dominion Bank | EUR | 13,677 | 14,675,809 | 14,683,698 | 7,889 | — | ||||||
$20,069,541 | $20,121,449 | 51,908 | — |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 06/06/22 | Barclays Bank PLC | GBP | 4,315 | $5,296,746 | $5,437,751 | $— | $(141,005) | ||||||
Expiring 07/05/22 | BNP Paribas S.A. | GBP | 4,315 | 5,394,854 | 5,438,920 | — | (44,066) | ||||||
Euro, | |||||||||||||
Expiring 06/02/22 | BNP Paribas S.A. | EUR | 13,677 | 14,700,194 | 14,683,698 | 16,496 | — | ||||||
Expiring 07/05/22 | The Toronto-Dominion Bank | EUR | 13,677 | 14,701,015 | 14,710,806 | — | (9,791) | ||||||
$40,092,809 | $40,271,175 | 16,496 | (194,862) | ||||||||||
$68,404 | $(194,862) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at May 31, 2022(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreement on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
EQT Corp. | 06/20/22 | 5.000%(Q) | 12,000 | 0.948% | $148,600 | $22,679 | $125,921 | Credit Suisse International |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at May 31, 2022 | Unrealized Appreciation (Depreciation) | |||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Buy Protection(1): | |||||||||||||||
CDX.NA.HY.38.V1 | 06/20/27 | 5.000%(Q) | 30,080 | $(1,366,363) | $(787,192) | $579,171 | |||||||||
CDX.NA.IG.38.V1 | 06/20/32 | 1.000%(Q) | 33,915 | 472,666 | 359,551 | (113,115) | |||||||||
$(893,697) | $(427,641) | $466,056 |
(1) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied |
credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Total return swap agreements outstanding at May 31, 2022: | ||||||||||||||
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
OTC Total Return Swap Agreements: | ||||||||||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | Morgan Stanley & Co. International PLC | 12/20/22 | (10,280) | $(528,161) | $— | $(528,161) | |||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | BNP Paribas S.A. | 12/20/22 | (4,740) | (186,312) | — | (186,312) | |||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | Morgan Stanley & Co. International PLC | 12/20/22 | (4,510) | (44,238) | — | (44,238) | |||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | BNP Paribas S.A. | 3/20/23 | (6,160) | (257,346) | — | (257,346) | |||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | Morgan Stanley & Co. International PLC | 3/20/23 | (5,520) | (151,849) | — | (151,849) | |||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | Barclays Bank PLC | 3/20/23 | (2,830) | (74,456) | — | (74,456) | |||||||
iBoxx US Dollar Liquid High Yield Index(T) | 1 Day SOFR(Q) | BNP Paribas S.A. | 6/20/23 | (4,740) | (129,579) | — | (129,579) | |||||||
$(1,371,941) | $— | $(1,371,941) |
(1) | On a long total return swap, the Fund receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Fund makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |