UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-03712 | |
Exact name of registrant as specified in charter: |
Prudential Investment Portfolios, Inc. 14 | |
Address of principal executive offices: |
655 Broad Street, 17th Floor, | |
Newark, New Jersey 07102 | ||
Name and address of agent for service: |
Andrew R. French | |
655 Broad Street, 17th Floor, | ||
Newark, New Jersey 07102 | ||
Registrants telephone number, including area code: |
800-225-1852 | |
Date of fiscal year end: |
2/28/2019 | |
Date of reporting period: |
11/30/2018 |
Item 1. Schedule of Investments
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Long-Term Investments 99.2% | |||||
Asset-Backed Securities 4.4% | |||||
Collateralized Loan Obligations | |||||
Battalion
CLO Ltd. (Cayman Islands), Series 2017-11A, Class B, 144A, 3 Month LIBOR + 1.750% |
4.237 %(c) | 10/24/29 | 3,925 | $ 3,925,434 | |
Jefferson
Mill CLO Ltd. (Cayman Islands), Series 2015-01A, Class BR, 3 Month LIBOR + 1.950% |
4.393(c) | 10/20/31 | 1,700 | 1,699,157 | |
KVK
CLO Ltd. (Cayman Islands), Series 2018-01A, Class B, 144A, 3 Month LIBOR + 1.650% |
4.295(c) | 05/20/29 | 2,500 | 2,505,516 | |
Mountain
View CLO Ltd. (Cayman Islands), Series 2015-09A, Class A2R, 144A, 3 Month LIBOR + 1.780% |
4.216(c) | 07/15/31 | 6,500 | 6,492,329 | |
OZLM
Funding Ltd. (Cayman Islands), Series 2013-04A, Class A2R, 144A, 3 Month LIBOR + 1.700% |
4.169(c) | 10/22/30 | 10,000 | 10,011,254 | |
OZLM
Ltd. (Cayman Islands), Series 2014-06A, Class A2AS, 144A, 3 Month LIBOR + 1.750% |
4.199(c) | 04/17/31 | 4,250 | 4,258,777 | |
Park
Avenue Institutional Advisers CLO Ltd. (Cayman Islands), Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.900% |
4.392(c) | 10/20/31 | 5,000 | 4,996,079 | |
Shackleton
CLO Ltd. (Cayman Islands), Series 2014-05RA, Class B, 144A, 3 Month LIBOR + 1.700% |
4.289(c) | 05/07/31 | 3,000 | 3,000,639 | |
Sounds
Point CLO Ltd. (Cayman Islands), Series 2013-03RA, Class B, 144A, 3 Month LIBOR + 1.750% |
4.195(c) | 04/18/31 | 2,250 | 2,241,841 | |
Trinitas
CLO Ltd. (Cayman Islands), Series 2016-04A, Class BR, 144A, 3 Month LIBOR + 1.950% |
4.395(c) | 10/18/31 | 4,000 | 3,998,620 | |
Vibrant
CLO Ltd. (Cayman Islands), Series 2016-04A, Class B, 144A, 3 Month LIBOR + 2.400% |
4.869(c) | 07/20/28 | 3,000 | 3,010,439 | |
Zais
CLO Ltd. (Cayman Islands), Series 2015-03A, Class A2R, 144A, 3 Month LIBOR + 2.190% |
4.626(c) | 07/15/31 | 6,000 | 6,002,439 | |
Total
Asset-Backed Securities (cost $52,142,639) |
52,142,524 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans 92.4% | |||||
Advertising 0.5% | |||||
Acosta,
Inc., Tranche B-1 Loan, 1 Month LIBOR + 3.250% |
5.590 %(c) | 09/26/21 | 722 | $ 498,140 | |
Advantage Sales & Marketing, Inc., | |||||
First Lien Initial Term Loan, 1 Month LIBOR + 3.250% | 5.590(c) | 07/23/21 | 1,916 | 1,729,901 | |
Incremental Term B-2 Loan, 1 Month LIBOR + 3.250% | 5.590(c) | 07/23/21 | 422 | 380,803 | |
Term Loan (Second Lien), 1 Month LIBOR + 6.500% | 8.840(c) | 07/25/22 | 750 | 608,750 | |
Vestcom
Parent Holdings, Inc., Term Loan, 1 Month LIBOR + 4.000%/PRIME + 3.000%^ |
7.295(c) | 12/19/23 | 2,439 | 2,402,304 | |
5,619,898 | |||||
Aerospace & Defense 0.8% | |||||
Transdigm, Inc., | |||||
2018 New Tranche E Term Loans, 1 Month LIBOR + 2.500% | 4.840(c) | 05/30/25 | 3,388 | 3,296,935 | |
New Tranche G Term Loans, 1 Month LIBOR + 2.500% | 4.840(c) | 08/22/24 | 6,930 | 6,744,728 | |
10,041,663 | |||||
Apparel 0.6% | |||||
Calceus
Acquisition, Inc., Tranche B Term Loan, 1 Month LIBOR + 4.000% |
6.350(c) | 01/31/20 | 3,881 | 3,816,335 | |
Fullbeauty
Brands Holdings Corp., First Lien Term Loan, 3 Month LIBOR + 4.750% |
7.280(c) | 10/14/22 | 1,121 | 338,348 | |
Oak
Parent, Inc., Initial Term Loan, 1 Month LIBOR + 4.500% |
6.840(c) | 10/26/23 | 1,047 | 981,194 | |
Strategic
Partners Acquisition Corp., Initial Term Loan, 1 Month LIBOR + 3.750%^ |
6.090(c) | 06/30/23 | 1,428 | 1,417,147 | |
6,553,024 | |||||
Auto Manufacturers 0.6% | |||||
Navistar
Financial Corp., New TLB Loan, 1 Month LIBOR + 3.750% |
6.130(c) | 07/30/25 | 3,915 | 3,888,271 | |
Navistar,
Inc., Tranche B Term Loan, 1 Month LIBOR + 3.500% |
5.820(c) | 11/06/24 | 2,432 | 2,419,467 | |
UOS
LLC, Initial Term Loan, 1 Month LIBOR + 5.500%^ |
7.825(c) | 04/18/23 | 652 | 659,994 | |
6,967,732 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Auto Parts & Equipment 2.0% | |||||
Altra
Industrial Motion Corp., Term Loan, 1 Month LIBOR + 2.000% |
4.340 %(c) | 10/01/25 | 1,600 | $ 1,582,000 | |
American
Axle & Manufacturing, Inc., Tranche B Term Loan, 1 - 3 Month LIBOR + 2.250% |
4.655(c) | 04/06/24 | 4,470 | 4,292,996 | |
Cooper-Standard
Automotive Inc, Additional Term B-1 Loan, 1 Month LIBOR + 2.000%^ |
4.340(c) | 11/02/23 | 5,074 | 4,985,459 | |
Garrett
LX III Sarl (Switzerland), Dollar Tranche B Term Loan, 3 Month LIBOR + 2.500%^ |
4.890(c) | 09/27/25 | 850 | 835,125 | |
Horizon
Global Corp., 2017 Replacement Term Loan, 1 Month LIBOR + 6.000%^ |
8.340(c) | 06/30/21 | 598 | 549,728 | |
Innovative
Xcessories & Services LLC, Term Loan, 1 Month LIBOR + 4.750%^ |
7.070(c) | 11/29/22 | 1,289 | 1,290,794 | |
K
& N Parent, Inc., Initial Term Loan, 3 Month LIBOR + 4.750% |
7.140(c) | 10/20/23 | 1,650 | 1,644,862 | |
Superior
Industries International, Inc., Replacement Term Loan, 1 Month LIBOR + 4.000% |
6.340(c) | 05/22/24 | 1,190 | 1,190,325 | |
Tenneco,
Inc., Tranche B Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 10/01/25 | 850 | 829,813 | |
Truck
Hero, Inc., Term Loan, 1 Month LIBOR + 3.750% |
6.070(c) | 04/22/24 | 3,597 | 3,534,218 | |
Visteon
Corp., New Term Loan B, 1 - 3 Month LIBOR + 1.750% |
4.275(c) | 03/25/24 | 3,700 | 3,623,244 | |
24,358,564 | |||||
Banks 0.0% | |||||
Walker
& Dunlop, Inc., Initial Term Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 11/07/25 | 500 | 497,813 | |
Beverages 0.3% | |||||
Arctic
Glacier USA, Inc., Specified Refinancing Term Loan, 1 Month LIBOR + 3.500% |
5.840(c) | 03/20/24 | 2,629 | 2,596,054 | |
Refresco
Group NV (Netherlands), Facility B3 Loan, 3 Month LIBOR + 3.250%^ |
5.870(c) | 03/28/25 | 1,550 | 1,522,875 | |
4,118,929 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Building Materials 1.9% | |||||
Airxcel, Inc., | |||||
Initial Term Loan (First Lien), 1 Month LIBOR + 4.500% | 6.840 %(c) | 04/28/25 | 973 | $ 934,876 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 8.750%^ | 11.090(c) | 04/27/26 | 225 | 213,750 | |
Builders
FirstSource, Inc., 2017 Initial Term Loan, 3 Month LIBOR + 3.000% |
5.390(c) | 02/29/24 | 1,995 | 1,903,466 | |
C.H.I.Overhead
Doors, Inc., Initial Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 07/29/22 | 2,494 | 2,469,342 | |
Diversitech
Holdings, Inc., Tranche B-1 Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 06/03/24 | 1,762 | 1,725,337 | |
Forterra
Finance LLC, Replacement Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 10/25/23 | 1,697 | 1,549,518 | |
Ilpea
Parent, Inc., Term Loan, 1 Month LIBOR + 4.750%^ |
7.100(c) | 03/02/23 | 742 | 744,104 | |
Jeld-Wen,
Inc., Term B-4 Loan, 3 Month LIBOR + 2.000% |
4.390(c) | 12/14/24 | 2,924 | 2,887,205 | |
Pisces
Midco, Inc., Initial Term Loan, 3 Month LIBOR + 3.750% |
6.180(c) | 04/12/25 | 5,041 | 4,923,500 | |
Quikrete
Holdings, Inc., Initial Loan (First Lien), 1 Month LIBOR + 2.750% |
5.090(c) | 11/15/23 | 3,279 | 3,210,525 | |
Summit
Materials LLC, New Term Loan B, 1 Month LIBOR + 2.000% |
4.340(c) | 11/21/24 | 1,497 | 1,465,666 | |
22,027,289 | |||||
Chemicals 3.5% | |||||
Alpha
US Bidco, Inc. (United Kingdom), Initial Term B-1 Loan, 3 Month LIBOR + 3.000% |
5.390(c) | 01/31/24 | 1,610 | 1,593,580 | |
Chemours
Co., (The), Tranche B-2 US Term Loan, 1 Month LIBOR + 1.750% |
4.100(c) | 04/03/25 | 4,235 | 4,155,582 | |
Colouroz
Midco - Colouroz Investment 2 LLC, Second Lien Initial Term B-2 Loan, 3 Month LIBOR + 7.250% |
9.740(c) | 09/06/22 | 118 | 99,623 | |
CSC
Holdings LLC, 2017 Refinancing Term Loan, 1 Month LIBOR + 3.500% |
5.840(c) | 12/23/24 | 1,816 | 1,804,948 | |
Cyanco
Intermediate 2 Corp., First Lien Initial Term Loan, 1 Month LIBOR + 3.500% |
5.850(c) | 03/16/25 | 3,240 | 3,196,431 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Chemicals (cont’d.) | |||||
Encapsys
LLC, First Lien Initial Term Loan, 1 Month LIBOR + 3.250%^ |
5.590 %(c) | 11/07/24 | 1,318 | $ 1,298,599 | |
HB
Fuller Company, Term Loan B, 1 Month LIBOR + 2.000% |
4.300(c) | 10/20/24 | 892 | 876,373 | |
Macdermid, Inc., | |||||
Term Loan | —(p) | 06/05/20 | 1,053 | 1,052,009 | |
Tranche B-6 Term Loan, 1 Month LIBOR + 3.000% | 5.340(c) | 06/07/23 | 905 | 905,676 | |
Messer
Industries USA, Inc., Term Loan |
—(p) | 10/31/25 | 2,650 | 2,610,250 | |
Oxea
Corp., Tranche B-2 Term Loan, 3 Month LIBOR + 3.500% |
5.940(c) | 10/14/24 | 2,858 | 2,832,773 | |
Plaskolite
LLC, Term Loan (First Lien), 1 Month LIBOR + 3.500%^ |
5.840(c) | 11/03/22 | 2,795 | 2,781,075 | |
PQ
Corp., Third Amendment Tranche B-1 Term Loan, 3 Month LIBOR + 2.500% |
5.030(c) | 02/08/25 | 3,294 | 3,244,708 | |
Solenis International LP, | |||||
First Lien Initial Dollar Term Loan, 1 - 3 Month LIBOR + 4.000% | 6.525(c) | 12/26/23 | 3,318 | 3,278,722 | |
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500% | 11.210(c) | 06/26/26 | 1,500 | 1,455,000 | |
Starfruit
Finco BV (Netherlands), Initial Dollar Term Loan, 1 Month LIBOR + 3.250% |
5.550(c) | 10/01/25 | 5,075 | 5,000,458 | |
Tronox Finance LLC, | |||||
First Lien Blocked Dollar Term Loan, 1 Month LIBOR + 3.000% | 5.340(c) | 09/23/24 | 511 | 505,268 | |
First Lien Initial Dollar Term Loan, 1 Month LIBOR + 3.000% | 5.340(c) | 09/23/24 | 1,180 | 1,166,003 | |
Unifrax I LLC, | |||||
2017 Incremental Dollar Term Loan, 3 Month LIBOR + 3.500%^ | 5.890(c) | 04/04/24 | 1,704 | 1,677,928 | |
Second Lien Initial Term Loan, 3 Month LIBOR + 7.500% | 9.890(c) | 11/03/25 | 275 | 276,031 | |
Venator
Materials LLC, Initial Term Loan, 1 Month LIBOR + 3.000%^ |
5.340(c) | 08/08/24 | 1,995 | 1,962,544 | |
41,773,581 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Coal 0.2% | |||||
Consol
Energy, Inc., Initial Term B Loan, 1 Month LIBOR + 6.000% |
8.350 %(c) | 11/28/22 | 1,365 | $ 1,376,629 | |
Murray
Energy Corp., Superpriority Term B-2 Loan, 3 Month LIBOR + 7.250% |
9.780(c) | 10/17/22 | 795 | 690,945 | |
2,067,574 | |||||
Commercial Services 6.2% | |||||
Adtalem
Global Education, Inc., Term B Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 04/09/25 | 1,820 | 1,812,473 | |
Alixpartners
LLP, 2017 Refinancing Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 04/04/24 | 5,417 | 5,357,565 | |
Allied Universal Holdco LLC, | |||||
Incremental Term Loan, PRIME + 3.250% | 8.500(c) | 07/28/22 | 700 | 691,250 | |
Initial Term Loan (First Lien), 3 Month LIBOR + 3.750% | 6.140(c) | 07/28/22 | 2,124 | 2,081,691 | |
AVSC
Holdings Corp., Initial Term Loan, 1 - 3 Month LIBOR + 3.250%^ |
5.695(c) | 03/03/25 | 448 | 438,795 | |
Barbri,
Inc., First Lien Initial Term Loan, 1 Month LIBOR + 4.250%^ |
6.550(c) | 12/01/23 | 708 | 697,663 | |
Belron
Finance US LLC, First Incremental Loan, 3 Month LIBOR + 2.500%^ |
5.110(c) | 11/13/25 | 1,500 | 1,481,250 | |
BrightView
Landscapes LLC, Initial Term Loan, 1 Month LIBOR + 2.500%^ |
4.845(c) | 08/15/25 | 1,798 | 1,780,020 | |
Camelot
US Acquisition I Co., 2017-2 Refinancing Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 10/03/23 | 4,245 | 4,190,557 | |
Concentra,
Inc., First Lien Term B-1 Loan, 1 Month LIBOR + 2.750% |
5.070(c) | 06/01/22 | 425 | 419,953 | |
Eab
Global, Inc., First Lien Term Loan, 2 - 3 Month LIBOR + 3.750%^ |
6.230(c) | 11/17/24 | 3,085 | 3,031,134 | |
Equian
LLC, 2018 Incremental Term Loan B, 1 Month LIBOR + 3.250% |
5.570(c) | 05/20/24 | 1,532 | 1,517,873 | |
Financial
& Risk US Holdings, Inc., Initial Dollar Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 10/01/25 | 6,100 | 5,934,794 | |
Global
Payments, Inc., Term Loan B4, 1 Month LIBOR + 1.750% |
4.090(c) | 10/17/25 | 1,050 | 1,036,875 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Commercial Services (cont’d.) | |||||
IRI
Merger Sub 4, Inc., Term Loan |
— %(p) | 12/31/25 | 2,850 | $ 2,810,813 | |
Kingpin
Intermediate Holdings LLC, 2018 Refinancing Term Loan, 1 Month LIBOR + 3.500%^ |
5.840(c) | 07/03/24 | 2,757 | 2,739,520 | |
Laureate
Education, Inc., Series 2024 Term Loan, 3 Month LIBOR + 3.500% |
6.030(c) | 04/26/24 | 5,151 | 5,137,733 | |
Legalzoom.com,
Inc., 2018 Term Loan B, 1 Month LIBOR + 4.500% |
6.810(c) | 11/21/24 | 868 | 865,088 | |
Merrill
Communications LLC, Initial Term Loan, 3 Month LIBOR + 5.250%^ |
7.780(c) | 06/01/22 | 630 | 631,932 | |
NorthRiver
Midstream Finance LP (Canada), Initial Term B Loan, 3 Month LIBOR + 3.250% |
5.650(c) | 10/01/25 | 1,500 | 1,483,125 | |
On
Assignment, Inc., Initial Term B-2 Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 04/02/25 | 1,649 | 1,632,931 | |
Packers
Holdings LLC, Initial Term Loan, 3 Month LIBOR + 3.000% |
5.320(c) | 12/04/24 | 3,357 | 3,319,397 | |
Parexel
International Corp., Initial Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 09/27/24 | 3,381 | 3,282,766 | |
PSC
Industrial Holdings Corp., Term Loan (First Lien), 1 Month LIBOR + 3.750%^ |
6.060(c) | 10/11/24 | 2,062 | 2,064,502 | |
Safe
Fleet Holdings LLC, Term Loan |
—(p) | 02/01/25 | 200 | 197,333 | |
St.
George’s University Scholastic Services LLC (Canada), Term Loan, 1 Month LIBOR + 3.500% |
5.850(c) | 07/17/25 | 2,004 | 1,993,794 | |
Sterling
Midco Holdings, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.500% |
5.840(c) | 06/19/24 | 1,706 | 1,692,349 | |
Syniverse
Holdings, Inc., Tranche C Term Loan, 1 Month LIBOR + 5.000% |
7.310(c) | 03/09/23 | 3,660 | 3,517,927 | |
Team
Health Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 02/06/24 | 2,869 | 2,664,554 | |
Tmk
Hawk Parent Corp., First Lien Initial Term Loan, 1 Month LIBOR + 3.500% |
5.850(c) | 08/28/24 | 1,844 | 1,740,866 | |
Trans Union LLC, | |||||
2017 Replacement Tranch B-3 Loan, 1 Month LIBOR + 2.000% | 4.340(c) | 04/09/23 | 724 | 714,755 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Commercial Services (cont’d.) | |||||
Trans Union LLC, (cont’d.) | |||||
2018 Incremental Term B-4 Loan, 1 Month LIBOR + 2.000% | 4.340 %(c) | 06/19/25 | 621 | $613,596 | |
Trugreen
Limited Partnership, Initial Incremental Term Loan (First Lien), 1 Month LIBOR + 4.000%^ |
6.320(c) | 04/13/23 | 711 | 718,566 | |
Tweddle
Group, Inc., Effective Date Term Loan, 1 Month LIBOR + 4.500% |
6.800(c) | 09/17/23 | 379 | 134,451 | |
United
Rentals, Inc., Initial Term Loan, 1 Month LIBOR + 1.750% |
4.090(c) | 10/31/25 | 1,000 | 995,000 | |
USS
Ultimate Holdings, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 08/26/24 | 898 | 892,683 | |
Verscend
Holding Corp., Term B Loan, 1 Month LIBOR + 4.500% |
6.840(c) | 08/27/25 | 2,200 | 2,185,564 | |
VT
Topco, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.750% |
6.050(c) | 08/01/25 | 1,144 | 1,138,380 | |
73,639,518 | |||||
Computers 3.0% | |||||
Cologix
Holdings, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 03/20/24 | 2,427 | 2,390,554 | |
Conduent
Business Services LLC, Term Loan B, 1 Month LIBOR + 2.500% |
4.840(c) | 12/07/23 | 2,524 | 2,490,020 | |
Dell
International LLC, Refinancing Term B Loan, 1 Month LIBOR + 2.000% |
4.350(c) | 09/07/23 | 3,766 | 3,716,259 | |
Genuine
Financial Holdings LLC, First Lien Initial Term Loan, 3 Month LIBOR + 3.750% |
6.140(c) | 07/11/25 | 1,025 | 1,016,031 | |
McAfee LLC, | |||||
Second Lien Initial Loan, 1 Month LIBOR + 8.500% | 10.850(c) | 09/29/25 | 825 | 831,188 | |
Term B USD Loan, 1 Month LIBOR + 3.750% | 6.100(c) | 09/30/24 | 4,479 | 4,466,505 | |
Neustar, Inc., | |||||
First Lien Term Loan B4, 1 Month LIBOR + 3.500% | 5.840(c) | 08/08/24 | 2,306 | 2,271,857 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 8.000%^ | 10.340(c) | 08/08/25 | 550 | 538,850 | |
Peak
10 Holding Corp., Initial Term Loan (First Lien), 3 Month LIBOR + 3.500% |
5.890(c) | 08/01/24 | 3,997 | 3,873,591 | |
Presidio
LLC, Refinancing and Incremental Term Loan, 1 - 3 Month LIBOR + 2.750% |
5.138(c) | 02/02/24 | 2,391 | 2,362,695 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Computers (cont’d.) | |||||
Procera
Networks, Inc. (Canada), First Lien Initial Term Loan, 3 Month LIBOR + 4.500%^ |
6.810 %(c) | 10/30/25 | 1,850 | $ 1,843,063 | |
Sonicwall
US Holdings, Inc., First Lien Term Loan, 3 Month LIBOR + 3.500% |
6.140(c) | 05/17/25 | 1,975 | 1,952,781 | |
Tempo
Acquisition LLC, Initial Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 05/01/24 | 2,779 | 2,752,975 | |
VeriFone
Systems, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.000% |
6.640(c) | 08/20/25 | 1,950 | 1,931,313 | |
Western
Digital Corp., New Term Loan B-4, 1 Month LIBOR + 1.750% |
4.060(c) | 04/29/23 | 2,992 | 2,902,707 | |
35,340,389 | |||||
Consumer Services 0.1% | |||||
University
Support Services LLC, Term Loan |
—(p) | 07/31/25 | 825 | 820,453 | |
Cosmetics/Personal Care 0.2% | |||||
Coty,
Inc., Term B USD Loans, 1 Month LIBOR + 2.250% |
4.570(c) | 04/07/25 | 1,571 | 1,470,907 | |
Revlon
Consumer Products Corp., Initial Term B Loan, 3 Month LIBOR + 3.500% |
6.103(c) | 09/07/23 | 1,937 | 1,420,921 | |
2,891,828 | |||||
Distribution/Wholesale 0.8% | |||||
American
Tire Distributors, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% |
6.640(c) | 09/01/21 | 627 | 532,526 | |
CSC
SW Holdco, Inc., Term B-1 Loan, 3 Month LIBOR + 3.250% |
5.690(c) | 11/14/22 | 1,500 | 1,469,063 | |
Fastener Acquisition, Inc., | |||||
First Lien Initial Term Loan, 1 - 3 Month LIBOR + 4.250%^ | 6.615(c) | 03/21/25 | 1,119 | 1,116,577 | |
Second Lien Initial Term Loan, 3 Month LIBOR + 8.750%^ | 11.140(c) | 03/23/26 | 88 | 83,125 | |
FPC
Holdings, Inc., First Lien Term B-1 Loan, 3 Month LIBOR + 4.500% |
6.740(c) | 11/18/22 | 970 | 966,082 | |
HD
Supply, Inc., Term Loan |
—(p) | 10/31/23 | 1,000 | 988,500 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Distribution/Wholesale (cont’d.) | |||||
Nexeo
Solutions LLC, Term Loan B-1, 3 Month LIBOR + 3.250% |
5.793 %(c) | 06/09/23 | 1,676 | $ 1,674,994 | |
Owens
& Minor, Inc., Term B Loan, 1 Month LIBOR + 4.500% |
6.800(c) | 05/02/25 | 1,995 | 1,625,925 | |
Univar
USA, Inc., Term B-3 Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 07/01/24 | 1,118 | 1,095,644 | |
9,552,436 | |||||
Diversified Financial Services 1.8% | |||||
Advisor
Group, Inc., Initial Term Loan, 1 Month LIBOR + 3.750% |
6.050(c) | 08/15/25 | 1,150 | 1,145,688 | |
Altisource
Solutions Sarl, Term B Loan, 3 Month LIBOR + 4.000% |
6.390(c) | 04/03/24 | 152 | 150,219 | |
Blackhawk
Network Holdings, Inc., First Lien Term Loan, 3 Month LIBOR + 3.000% |
5.390(c) | 06/15/25 | 3,070 | 3,029,138 | |
Capital
Automotive L.P., Initial Tranche B Term Loan (Second Lien), 1 Month LIBOR + 6.000% |
8.350(c) | 03/24/25 | 773 | 772,543 | |
Edelman
Financial Center LLC, First Lien Initial Term Loan, 3 Month LIBOR + 3.250% |
5.690(c) | 07/21/25 | 1,775 | 1,758,138 | |
Focus
Financial Partners LLC, Tranche B-2 Term Loan, 1 Month LIBOR + 2.500% |
4.840(c) | 07/03/24 | 1,394 | 1,381,587 | |
Franklin
Square Holdings, L.P., Term Loan, 1 Month LIBOR + 2.500% |
4.810(c) | 08/01/25 | 1,250 | 1,241,406 | |
Greensky
Holdings LLC, Tranche B-1 Term Loan, 1 Month LIBOR + 3.250% |
5.630(c) | 03/31/25 | 1,918 | 1,904,690 | |
Hudson
River Trading LLC, Term Loan, 1 Month LIBOR + 3.500% |
5.840(c) | 04/03/25 | 2,840 | 2,829,848 | |
Jefferies
Finance LLC, Term Loan, 3 Month LIBOR + 2.500%^ |
4.940(c) | 09/30/25 | 793 | 788,842 | |
Lions
Gate Capital Holdings, LLC, Term B Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 03/24/25 | 1,194 | 1,176,588 | |
Liquidnet
Holdings, Inc., Term Loan, 1 Month LIBOR + 3.250%^ |
5.590(c) | 07/11/24 | 2,072 | 2,058,245 | |
Stepstone
Group, L.P., Initial Term Loan, 1 Month LIBOR + 4.000%^ |
6.350(c) | 03/27/25 | 1,346 | 1,339,021 | |
Virtus
Investment Partners, Inc., Initial Term Loan, 3 Month LIBOR + 2.500%^ |
4.910(c) | 06/03/24 | 1,539 | 1,537,312 | |
21,113,265 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Electric 1.6% | |||||
Calpine Corp., | |||||
Term Loan (05/15), 3 Month LIBOR + 2.500% | 4.890 %(c) | 01/15/24 | 4,095 | $ 4,013,588 | |
Term Loan (2015), 3 Month LIBOR + 2.500% | 4.890(c) | 01/15/23 | 729 | 716,155 | |
Term Loan (2016), 3 Month LIBOR + 2.500% | 4.890(c) | 05/31/23 | 497 | 487,817 | |
Helix
Gen Funding LLC, Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 06/03/24 | 1,746 | 1,606,603 | |
NRG
Energy, Inc., Term Loan, 3 Month LIBOR + 1.750% |
4.140(c) | 06/30/23 | 1,487 | 1,467,603 | |
Pike
Corp., Initial Term Loan (2018), 1 Month LIBOR + 3.500% |
5.850(c) | 03/21/25 | 2,427 | 2,417,121 | |
Vistra Operations Co. LLC, | |||||
2018 Incremental Term Loan, 1 Month LIBOR + 2.000% | 4.320(c) | 12/31/25 | 7,002 | 6,899,050 | |
Initial Term B-1 Loan, 1 Month LIBOR + 2.000% | 4.340(c) | 08/04/23 | 998 | 982,811 | |
18,590,748 | |||||
Electrical Components & Equipment 0.3% | |||||
Celestica
Inc. (Canada), Term Loan^ |
—(p) | 06/27/25 | 900 | 886,500 | |
Pelican
Products, Inc., Term Loan (First Lien), 1 Month LIBOR + 3.500% |
5.810(c) | 05/01/25 | 2,417 | 2,389,344 | |
3,275,844 | |||||
Electronics 0.4% | |||||
Celestica,
Inc. (Canada), Term B Loan, 1 Month LIBOR + 2.130%^ |
4.450(c) | 06/27/25 | 2,768 | 2,712,701 | |
Resideo
Funding, Inc., Tranche B Term Loan, 3 Month LIBOR + 2.000%^ |
4.490(c) | 10/24/25 | 600 | 596,250 | |
Southwire
Co., Initial Term Loan, 1 Month LIBOR + 2.000% |
4.310(c) | 05/15/25 | 368 | 364,877 | |
TTM
Technologies, Inc., Term B Loan, 1 Month LIBOR + 2.500%^ |
4.800(c) | 09/30/24 | 1,484 | 1,439,328 | |
5,113,156 | |||||
Engineering & Construction 1.5% | |||||
American
Traffic Solution, First Lien Initial Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 02/28/25 | 996 | 995,689 | |
Brand
Energy & Infrastructure Services, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% |
6.718(c) | 06/21/24 | 3,481 | 3,425,340 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Engineering & Construction (cont’d.) | |||||
DG Investment Intermediate Holdings 2, Inc., | |||||
First Lien Initial Term Loan, 1 Month LIBOR + 3.000% | 5.340 %(c) | 02/03/25 | 2,593 | $ 2,551,047 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 6.750%^ | 9.090(c) | 02/01/26 | 500 | 490,000 | |
Hamilton
Holdco LLC (Australia), Term Loan, 3 Month LIBOR + 2.000% |
4.400(c) | 07/02/25 | 823 | 812,651 | |
Interior
Logic Group, Inc., Initial Term Loan, 2 Month LIBOR + 4.000% |
6.390(c) | 05/30/25 | 2,275 | 2,260,781 | |
MX
Holdings US, Inc., Facility B1C, 1 Month LIBOR + 3.000%^ |
5.340(c) | 07/31/25 | 825 | 821,906 | |
StandardAero
Aviation Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 07/07/22 | 3,754 | 3,746,435 | |
Trc
Companies, Inc., Refinancing Term Loan, 1 Month LIBOR + 3.500%^ |
5.840(c) | 06/21/24 | 2,369 | 2,345,496 | |
USIC
Holdings, Inc., Term Loan B, 1 Month LIBOR + 3.250% |
5.590(c) | 12/08/23 | 597 | 586,612 | |
18,035,957 | |||||
Entertainment 2.2% | |||||
Affinity
Gaming LLC, Initial Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 07/03/23 | 1,424 | 1,381,746 | |
Aristocrat
Leisure Ltd. (Australia), Term B-3 Loan, 3 Month LIBOR + 1.750% |
4.220(c) | 10/19/24 | 3,679 | 3,615,649 | |
CEOCL
LLC, Term B Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 10/06/24 | 4,180 | 4,094,503 | |
Crown
Finance US, Inc., Initial Dollar Tranche Term Loan, 1 Month LIBOR + 2.500% |
4.840(c) | 02/28/25 | 1,990 | 1,950,910 | |
Deluxe
Entertainment Services Group, Inc., Initial Term Loan, 3 Month LIBOR + 5.500% |
8.030(c) | 02/28/20 | 1,206 | 1,043,079 | |
Golden
Entertainment, Inc., Term B Facility Loan (First Lien), 1 Month LIBOR + 3.000%^ |
5.350(c) | 10/21/24 | 2,212 | 2,189,942 | |
Greektown
Holdings LLC, Initial Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 04/25/24 | 1,511 | 1,512,501 | |
NAI
Entertainment Holdings LLC, Tranche B Term Loan, 1 Month LIBOR + 2.500% |
4.850(c) | 05/08/25 | 1,200 | 1,191,750 | |
Penn
National Gaming, Inc., Term B-1 Facility Loan, 2 Month LIBOR + 2.250% |
4.580(c) | 10/15/25 | 1,615 | 1,600,200 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Entertainment (cont’d.) | |||||
Scientific
Games International, Inc., Initial Term B-5 Loan, 1 - 2 Month LIBOR + 2.750% |
5.143 %(c) | 08/14/24 | 4,883 | $ 4,757,336 | |
Stars
Group Holdings BV (Canada), USD Term Loan, 3 Month LIBOR + 3.500% |
5.890(c) | 07/10/25 | 1,696 | 1,688,596 | |
WMG
Acquisition Corp., Tranche F Term Loan, 1 Month LIBOR + 2.130% |
4.470(c) | 11/01/23 | 950 | 934,711 | |
25,960,923 | |||||
Environmental Control 0.7% | |||||
GFL
Environmental, Inc. (Canada), 2018 Incremental Term Loan, 3 Month LIBOR + 3.000% |
5.390(c) | 05/31/25 | 2,725 | 2,650,063 | |
Gopher
Resource LLC, Initial Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 03/06/25 | 2,265 | 2,259,334 | |
Robertshaw
US Holdings Corp., First Lien Initial Term Loan, 1 Month LIBOR + 3.500%^ |
5.880(c) | 02/28/25 | 1,119 | 1,080,197 | |
WCA
Waste Systems, Inc., Initial Term Loan, 1 Month LIBOR + 2.500%^ |
4.840(c) | 08/14/23 | 2,302 | 2,278,566 | |
8,268,160 | |||||
Foods 2.8% | |||||
Albertson’s LLC, | |||||
2018 Term B-7 Loan, 3 Month LIBOR + 3.000% | 5.450(c) | 11/17/25 | 2,875 | 2,805,964 | |
Replacement 2017-1 Term B-5 Loan, 3 Month LIBOR + 3.000% | 5.380(c) | 12/21/22 | 805 | 791,100 | |
Replacement 2017-1 Term B-6 Loan, 3 Month LIBOR + 3.000% | 5.690(c) | 06/22/23 | 487 | 477,249 | |
American
Seafoods Group LLC, Incremental Tranche B Term Loan, 1 Month LIBOR + 2.750% |
5.100(c) | 08/21/23 | 3,500 | 3,475,937 | |
Chefs’
Warehouse Inc., (The), Term Loan, 1 Month LIBOR + 3.500% |
5.840(c) | 06/22/22 | 1,693 | 1,690,503 | |
CSM Bakery Solutions LLC, | |||||
First Lien Term Loan, 3 Month LIBOR + 4.000% | 6.410(c) | 07/03/20 | 2,811 | 2,606,640 | |
Term Loan (Second Lien), 3 Month LIBOR + 7.750% | 10.160(c) | 07/05/21 | 900 | 807,750 | |
Flora
Food Group (Netherlands), Facility B2 Loan, 1 Month LIBOR + 3.000%^ |
5.400(c) | 07/02/25 | 2,818 | 2,768,624 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Foods (cont’d.) | |||||
H
Food Holdings LLC, Initial Term Loan, 1 Month LIBOR + 3.690% |
6.030 %(c) | 05/23/25 | 2,244 | $ 2,180,785 | |
High
Liner Foods, Inc. (Canada), Term Loan, 3 Month LIBOR + 3.250% |
5.623(c) | 04/26/21 | 2,350 | 2,173,750 | |
JBS
USA Lux SA, Initial Term Loan, 3 Month LIBOR + 2.500% |
4.865(c) | 10/30/22 | 2,795 | 2,760,285 | |
Mastronardi
Produce-USA, Inc. (Canada), Initial Term Loan, 1 Month LIBOR + 3.250%^ |
5.550(c) | 05/01/25 | 923 | 920,381 | |
Milk
Specialties Company (D/B/A Msg Nutritional Ingredients), New Term Loan, 1 Month LIBOR + 4.000% |
6.340(c) | 08/16/23 | 3,761 | 3,691,914 | |
Shearer’s
Foods LLC, First Lien Term Loan, 1 Month LIBOR + 4.250% |
6.590(c) | 06/30/21 | 4,083 | 4,008,510 | |
United
Natural Foods, Inc., Initial Term Loan, 1 Month LIBOR + 4.250% |
6.590(c) | 10/22/25 | 2,850 | 2,679,000 | |
33,838,392 | |||||
Forest Products & Paper 0.0% | |||||
Pixelle
Speciality Solutions LLC, Initial Term Loan, 1 Month LIBOR + 6.000% |
8.340(c) | 10/23/24 | 300 | 291,750 | |
Hand/Machine Tools 0.3% | |||||
Apex
Tool Group LLC, First Lien Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 02/01/22 | 786 | 760,345 | |
Milacron
LLC, Term B Loan, 1 Month LIBOR + 2.500%^ |
4.840(c) | 09/28/23 | 2,685 | 2,634,995 | |
3,395,340 | |||||
Healthcare & Pharmaceuticals 0.2% | |||||
HCA,
Inc., Term Loan |
—(p) | 03/13/25 | 1,500 | 1,494,609 | |
Valeant
Pharmaceuticals International, Inc., Term Loan |
—(p) | 06/01/25 | 1,200 | 1,186,687 | |
2,681,296 | |||||
Healthcare-Products 1.3% | |||||
Avantor,
Inc., Initial B1 Dollar Term Loan, 1 Month LIBOR + 3.750% |
6.070(c) | 11/21/24 | 2,357 | 2,354,241 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Healthcare-Products (cont’d.) | |||||
CPI
Holdco LLC, Closing Date Term Loan (First Lien), 3 Month LIBOR + 3.500%^ |
5.890 %(c) | 03/21/24 | 2,420 | $ 2,402,014 | |
Greatbatch
Ltd., Term A Loan, 1 Month LIBOR + 2.500%^ |
4.830(c) | 10/27/21 | 2,821 | 2,793,017 | |
Mallinckrodt
International Finance SA, 2017 Term B Loan, 3 Month LIBOR + 2.750% |
5.140(c) | 09/24/24 | 1,819 | 1,750,960 | |
Ortho-Clinical
Diagnostics, Inc. (Luxembourg), Refinancing Term Loan, 1 Month LIBOR + 3.250% |
5.580(c) | 06/30/25 | 3,988 | 3,881,216 | |
Sterigenics
Nordion Holdings LLC, Incremental Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 05/15/22 | 1,989 | 1,963,802 | |
15,145,250 | |||||
Healthcare-Services 6.4% | |||||
Accelerated
Health Systems LLC, Initial Term Loan, 3 Month LIBOR + 3.500%^ |
5.800(c) | 10/31/25 | 1,675 | 1,679,188 | |
Air
Med Group Holdings, Inc., 2017-2 New Term Loan, 1 Month LIBOR + 4.250% |
6.560(c) | 03/14/25 | 1,616 | 1,566,873 | |
Air
Medical Group Holdings, Inc., 2018 Term Loan, 1 Month LIBOR + 3.250% |
5.570(c) | 04/28/22 | 2,350 | 2,249,998 | |
Air
Methods Corp., Initial Term Loan, 3 Month LIBOR + 3.500% |
5.890(c) | 04/21/24 | 2,721 | 2,312,018 | |
Alliance Healthcare Services, Inc., | |||||
First Lien Initial Term Loan, 1 Month LIBOR + 4.500%^ | 6.840(c) | 10/20/23 | 3,884 | 3,864,229 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 10.000%^ | 12.340(c) | 04/24/24 | 825 | 820,875 | |
Ati
Holdings Acquisition, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.500% |
5.810(c) | 05/10/23 | 3,816 | 3,794,147 | |
BW
Nhhc Holdco, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 5.000%^ |
7.300(c) | 05/15/25 | 1,745 | 1,710,713 | |
CHS/Community
Health Systems, Inc., Incremental 2021 Term H Loan, 3 Month LIBOR + 3.250% |
5.960(c) | 01/27/21 | 2,001 | 1,955,376 | |
CVS
Holdings I LP, First Lien Initial Term Loan, 1 Month LIBOR + 3.000% |
5.350(c) | 02/06/25 | 1,915 | 1,877,068 | |
Dentalcorp Perfect Smile ULC (Canada), | |||||
Delayed Draw Term Loan, 1 Month LIBOR + 3.750% | 5.081(c) | 06/06/25 | 143 | 143,174 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Healthcare-Services (cont’d.) | |||||
Dentalcorp Perfect Smile ULC (Canada), (cont’d.) | |||||
Initial Term Loan, 1 Month LIBOR + 3.750% | 6.090 %(c) | 06/06/25 | 1,257 | $1,254,493 | |
Envision
Healthcare Corp., Initial Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 10/10/25 | 5,300 | 5,078,062 | |
Explorer
Holdings, Inc., Initial Term Loan, 3 Month LIBOR + 3.750% |
6.140(c) | 05/02/23 | 1,882 | 1,872,476 | |
Gentiva Health Services, Inc., | |||||
First Lien Closing Date Initial Term Loan, 1 Month LIBOR + 3.750% | 6.130(c) | 07/02/25 | 4,250 | 4,228,750 | |
Second Lien Term Loan, 1 Month LIBOR + 7.000% | 9.380(c) | 07/02/26 | 1,125 | 1,140,469 | |
GHX
Ultimate Parent Corp., First Lien Initial Term Loan, 3 Month LIBOR + 3.250% |
5.640(c) | 06/28/24 | 2,385 | 2,334,038 | |
GI
Chill Acquisition LLC, First Lien Initial Term Loan, 3 Month LIBOR + 4.000%^ |
6.390(c) | 08/01/25 | 1,200 | 1,200,000 | |
Heartland
Dental LLC, Initial Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 04/30/25 | 1,670 | 1,639,812 | |
Jaguar
Holdings Co. II, 2018 Term Loan, 1 Month LIBOR + 2.500% |
4.840(c) | 08/18/22 | 3,834 | 3,769,932 | |
LifePoint
Health, Inc., First Lien Term B Loan, 3 Month LIBOR + 4.500% |
7.130(c) | 11/14/25 | 4,500 | 4,415,625 | |
Medical
Solutions Holdings, Inc., Closing Date Term Loan (First Lien), 1 Month LIBOR + 3.750% |
6.090(c) | 06/14/24 | 1,141 | 1,142,906 | |
Midwest
Physician Administrative Services LLC, Repricing Term Loan (First Lien), 1 Month LIBOR + 2.750% |
5.090(c) | 08/15/24 | 2,739 | 2,679,739 | |
MPH
Acquisition Holdings LLC, Initial Term Loan, 3 Month LIBOR + 2.750% |
5.140(c) | 06/07/23 | 4,258 | 4,172,665 | |
One
Call Corp., Extended Term Loan (First Lien), 1 Month LIBOR + 5.250% |
7.560(c) | 11/27/22 | 383 | 349,333 | |
Radnet
Management, Inc., Term B-1 Loan (First Lien), 3 Month LIBOR + 3.750%/PRIME + 2.750% |
6.426(c) | 06/30/23 | 1,575 | 1,570,074 | |
Select
Medical Corp., Repriced Term Loan B, 1 Month LIBOR + 2.500%/PRIME + 1.500% |
5.780(c) | 03/06/25 | 2,764 | 2,743,502 | |
Sound Inpatient Physicians, Inc., | |||||
First Lien Initial Term Loan, 1 Month LIBOR + 3.000% | 5.340(c) | 06/27/25 | 1,448 | 1,440,839 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Healthcare-Services (cont’d.) | |||||
Sound Inpatient Physicians, Inc., (cont’d.) | |||||
Second Lien Initial Loan, 1 Month LIBOR + 6.750%^ | 9.090 %(c) | 06/26/26 | 500 | $500,000 | |
Surgery
Center Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.250% |
5.600(c) | 09/02/24 | 3,902 | 3,839,527 | |
Syneos
Health, Inc., Replacement Term B Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 08/01/24 | 1,282 | 1,269,044 | |
U.S.
Anesthesia Partners, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.000% |
5.340(c) | 06/24/24 | 3,285 | 3,266,836 | |
U.S.
Renal Care, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.250% |
6.640(c) | 12/30/22 | 3,502 | 3,445,879 | |
Wink
Holdco, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 12/01/24 | 1,244 | 1,220,414 | |
76,548,074 | |||||
Holding Companies-Diversified 0.4% | |||||
Ozark
Holdings LLC, Initial Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 07/03/23 | 1,472 | 1,417,193 | |
Travelport
Finance Sarl (Luxembourg), Initial Term Loans, 3 Month LIBOR + 2.500% |
5.120(c) | 03/17/25 | 3,710 | 3,658,233 | |
5,075,426 | |||||
Home Builders 0.1% | |||||
Thor
Industries, Inc., Term Loan |
—(p) | 12/31/25 | 875 | 861,875 | |
Home Furnishings 0.3% | |||||
Global
Appliance, Inc., Tranche B Term Loan, 1 Month LIBOR + 4.000%^ |
6.350(c) | 10/04/24 | 3,685 | 3,565,208 | |
Household Products/Wares 0.5% | |||||
Diamond
(BC) BV, Initial USD Term Loan, 2 - 3 Month LIBOR + 3.000% |
5.460(c) | 09/06/24 | 3,404 | 3,302,406 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Household Products/Wares (cont’d.) | |||||
Energizer
Holdings, Inc., Term Loan^ |
— %(p) | 07/31/25 | 1,325 | $ 1,291,875 | |
Spectrum
Brands, Inc., 2017 Replacement USD Term Loan, 1 - 3 Month LIBOR + 2.000% |
4.418(c) | 06/23/22 | 995 | 982,720 | |
5,577,001 | |||||
Housewares 0.3% | |||||
Carlisle
Foodservice Products, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.000% |
5.320(c) | 03/20/25 | 1,869 | 1,832,752 | |
Lifetime
Brands, Inc., Tranche B Term Loan, 1 Month LIBOR + 3.500%^ |
5.840(c) | 02/28/25 | 821 | 812,666 | |
Radio
Systems Corp., Term Loan, 1 Month LIBOR + 2.750%^ |
5.090(c) | 05/02/24 | 1,436 | 1,430,531 | |
4,075,949 | |||||
Insurance 1.3% | |||||
Amwins
Group, Inc., Term Loan (First Lien), 1 Month LIBOR + 2.750% |
5.077(c) | 01/25/24 | 3,022 | 2,989,796 | |
Assuredpartners,
Inc., 2017 September Refinancing Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 10/22/24 | 1,000 | 980,630 | |
Asurion LLC, | |||||
New B-7 Term Loan, 1 Month LIBOR + 3.000% | 5.340(c) | 11/03/24 | 4,713 | 4,657,218 | |
Replacement B-6 Term Loan, 1 Month LIBOR + 3.000% | 5.340(c) | 11/03/23 | 500 | 494,625 | |
Second Lien Replacement B-2 Term Loan, 1 Month LIBOR + 6.500% | 8.840(c) | 08/04/25 | 1,075 | 1,095,156 | |
FHC
Health Systems, Inc., Initial Term Loan, 1 Month LIBOR + 4.000% |
6.340(c) | 12/23/21 | 1,609 | 1,367,914 | |
Hyperion
Insurance Group Limited - Hyperion Refinance Sarl (United Kingdom), Initial Dollar Term Loan, 1 Month LIBOR + 3.500% |
5.880(c) | 12/20/24 | 2,084 | 2,072,787 | |
Sedgwick
Claims Management Services, Inc., Term Loan |
—(p) | 12/31/25 | 2,175 | 2,147,813 | |
15,805,939 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Internet 0.5% | |||||
Ancestry.Com
Operations, Inc., Term B Loan, 1 Month LIBOR + 3.250% |
5.600 %(c) | 10/19/23 | 2,904 | $ 2,889,800 | |
Lands’
End, Inc., Initial Term B Loan, 1 Month LIBOR + 3.250% |
5.600(c) | 04/02/21 | 1,198 | 1,139,956 | |
Ping
Identity Corp., Term Loan, 1 Month LIBOR + 3.750%^ |
6.090(c) | 01/24/25 | 1,347 | 1,326,426 | |
5,356,182 | |||||
Investment Companies 0.4% | |||||
EIG
Management Co. LLC, Initial Term Loan, 1 Month LIBOR + 3.750% |
6.060(c) | 02/24/25 | 721 | 720,924 | |
Masergy
Holdings, Inc., 2017 Replacement Term Loan (First Lien), 3 Month LIBOR + 3.250% |
5.640(c) | 12/15/23 | 1,523 | 1,492,418 | |
Road
Infrastructure Investment Holdings, Inc., Term Loan (First Lien), 1 Month LIBOR + 3.500% |
5.840(c) | 06/13/23 | 1,517 | 1,486,416 | |
TKC Holdings, Inc., | |||||
Initial Term Loan (First Lien), 1 Month LIBOR + 3.750% | 6.100(c) | 02/01/23 | 931 | 913,920 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 8.000% | 10.350(c) | 02/01/24 | 225 | 223,031 | |
4,836,709 | |||||
Iron/Steel 0.1% | |||||
Phoenix
Services International LLC, Term B Loan, 1 Month LIBOR + 3.750%^ |
6.070(c) | 03/01/25 | 1,343 | 1,329,818 | |
Leisure Time 1.5% | |||||
Bombardier,
Inc. (Canada), Term Loan B, 1 Month LIBOR + 2.000% |
4.350(c) | 05/23/25 | 2,918 | 2,883,040 | |
Clubcorp
Holdings, Inc., Term B Loan (First Lien), 3 Month LIBOR + 2.750% |
5.140(c) | 09/18/24 | 4,180 | 4,039,219 | |
Fitness
International LLC, Term Loan B, 1 Month LIBOR + 3.250% |
5.590(c) | 04/18/25 | 898 | 888,997 | |
Intrawest
Resorts Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 07/31/24 | 4,168 | 4,141,127 | |
Life
Time, Inc., New 2017 Refinancing Term Loan, 1 - 3 Month LIBOR + 2.750% |
5.275(c) | 06/10/22 | 992 | 976,147 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Leisure Time (cont’d.) | |||||
Recess
Holdings, Inc., Initial Term Loan (First Lien), 1 - 3 Month LIBOR + 3.750%/PRIME + 2.750%^ |
6.369 %(c) | 09/30/24 | 2,397 | $ 2,360,707 | |
Sabre
Glbl, Inc., 2018 Other Term B Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 02/22/24 | 1,154 | 1,136,683 | |
Sram,
LLC, New Term Loan B 2018, 2 Month LIBOR + 2.750%/PRIME + 1.750% |
6.636(c) | 03/15/24 | 1,172 | 1,165,672 | |
17,591,592 | |||||
Lodging 1.3% | |||||
Caesars
Resort Collection LLC, Term B Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 12/23/24 | 3,446 | 3,383,347 | |
Citycenter
Holdings LLC, Refinancing Term Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 04/18/24 | 4,847 | 4,756,168 | |
Four
Seasons Hotels Ltd. (Canada), Restated Term Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 11/30/23 | 2,084 | 2,061,798 | |
Golden
Nugget, Inc., B Term Loan, 1 - 3 Month LIBOR + 2.750% |
5.187(c) | 10/04/23 | 1,995 | 1,964,423 | |
Marriott
Ownership Resorts Inc, Initial Term Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 08/29/25 | 625 | 622,136 | |
Station
Casinos LLC, Term B Facility Loan, 1 Month LIBOR + 2.500% |
4.850(c) | 06/08/23 | 965 | 953,548 | |
Wynn
Resorts Ltd., Term Loan, 1 Month LIBOR + 2.250% |
4.600(c) | 10/30/24 | 1,875 | 1,832,812 | |
15,574,232 | |||||
Machinery-Construction & Mining 0.5% | |||||
North American Lifting Holdings, Inc., | |||||
Initial Term Loan (First Lien), 3 Month LIBOR + 4.500% | 6.890(c) | 11/27/20 | 4,067 | 3,803,055 | |
Loan (Second Lien), 3 Month LIBOR + 9.000% | 11.390(c) | 11/26/21 | 900 | 767,250 | |
Vertiv
Group Corp., Term B Loan, 3 Month LIBOR + 4.000% |
6.710(c) | 11/30/23 | 1,571 | 1,521,449 | |
6,091,754 | |||||
Machinery-Diversified 2.5% | |||||
AI
Alpine AT Bidco, Facility B (USD), 3 Month LIBOR + 3.250%^ |
5.810(c) | 10/27/25 | 1,225 | 1,203,563 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Machinery-Diversified (cont’d.) | |||||
Allflex
Holdings III, Inc., Initial Term Loan (First Lien), 3 Month LIBOR + 3.250% |
5.700 %(c) | 07/17/20 | 1,017 | $ 1,012,239 | |
CD&R
Hydra Buyer, Inc., Initial Term Loan, 1 Month LIBOR + 4.250%^ |
6.590(c) | 12/11/24 | 1,889 | 1,874,573 | |
Clark
Equipment Company (South Korea), Refinancing Tranche B Term Loan, 1 - 3 Month LIBOR + 2.000% |
4.378(c) | 05/18/24 | 5,379 | 5,282,315 | |
Douglas
Dynamics LLC, 2017 Replacement Term Loan B, 1 Month LIBOR + 3.000% |
5.350(c) | 12/31/21 | 1,391 | 1,385,682 | |
DXP
Enterprises, Inc., Initial Term Loan, 1 Month LIBOR + 4.750%^ |
7.090(c) | 08/29/23 | 718 | 721,339 | |
Engineered
Machinery Holdings, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.250% |
5.640(c) | 07/19/24 | 3,415 | 3,330,045 | |
Harsco
Corp., Term Loan |
—(p) | 12/06/24 | 1,900 | 1,883,375 | |
Hyster
Yale Group, Inc., Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 05/30/23 | 885 | 881,067 | |
Pro
Mach, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.000% |
5.320(c) | 03/07/25 | 3,209 | 3,128,653 | |
Sunsource,
Inc., Second Lien Initial Term Loan, 1 Month LIBOR + 8.000% |
10.340(c) | 04/30/26 | 300 | 285,750 | |
Terex
Corp., Term Loan^ |
—(p) | 01/31/24 | 1,679 | 1,654,314 | |
Thermon
Holding Corp., Term B Loan, 1 Month LIBOR + 3.750%^ |
6.050(c) | 10/30/24 | 1,122 | 1,114,218 | |
Titan
Acquisition Ltd. (Canada), Initial Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 03/28/25 | 2,489 | 2,328,534 | |
VAC
(Germany), Term B Loan, 3 Month LIBOR + 4.000%^ |
6.390(c) | 03/08/25 | 1,642 | 1,610,967 | |
Welbilt,
Inc., Term Loan, 1 Month LIBOR + 2.500% |
4.840(c) | 10/23/25 | 1,483 | 1,461,083 | |
29,157,717 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Media 5.4% | |||||
Altice
Financing SA (Luxembourg), October 2017 USD Term Loan, 1 Month LIBOR + 2.750% |
5.050 %(c) | 01/31/26 | 743 | $ 716,513 | |
Beasley
Mezzanine Holdings LLC, Initial Term Loan, 1 Month LIBOR + 4.000% |
6.300(c) | 11/01/23 | 2,065 | 2,061,622 | |
CBS
Radio, Inc., Term Loan B-1, 1 Month LIBOR + 2.750% |
5.070(c) | 11/18/24 | 2,494 | 2,460,059 | |
Charter
Communications Operating LLC, Term B Loan, 1 Month LIBOR + 2.000% |
4.350(c) | 04/30/25 | 5,486 | 5,422,404 | |
Cogeco
Communications (USA), L.P., Term B Loan, 1 Month LIBOR + 2.380% |
4.720(c) | 01/03/25 | 3,722 | 3,654,618 | |
CSC Holdings LLC, | |||||
2017 Refinancing Term Loan, 1 Month LIBOR + 2.250% | 4.560(c) | 07/17/25 | 995 | 976,294 | |
January 2018 Term Loan, 1 Month LIBOR + 2.500% | 4.810(c) | 01/25/26 | 1,493 | 1,469,180 | |
Term Loan^ | —(p) | 01/15/26 | 3,700 | 3,607,500 | |
Entravision
Communications Corp., Term B Loan, 1 Month LIBOR + 2.750%^ |
5.090(c) | 11/22/24 | 1,995 | 1,950,076 | |
Gray
Television, Inc., Term Loan |
—(p) | 12/31/25 | 1,400 | 1,380,750 | |
Learfield
Communications, Inc., Term Loan |
—(p) | 12/01/23 | 1,511 | 1,516,720 | |
Meredith
Corp., Tranche B-1 Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 01/31/25 | 2,289 | 2,277,474 | |
Mission
Broadcasting, Inc., Term B-3 Loan, 1 Month LIBOR + 2.250% |
4.570(c) | 01/17/24 | 262 | 258,912 | |
NEP
Group, Inc., First Lien Initial Dollar Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 10/19/25 | 3,325 | 3,297,293 | |
Nexstar
Broadcasting, Inc., Term B-3 Loan, 1 Month LIBOR + 2.250% |
4.570(c) | 01/17/24 | 1,512 | 1,493,899 | |
Nielsen
Finance LLC, Class B-4 Term Loan, 1 Month LIBOR + 2.000% |
4.320(c) | 10/04/23 | 4,092 | 4,020,166 | |
Numericable U.S. LLC (France), | |||||
USD TLB-11 Term Loan, 1 Month LIBOR + 2.750% | 5.090(c) | 07/31/25 | 591 | 550,369 | |
USD TLB-12 Term Loan, 1 Month LIBOR + 3.690% | 5.990(c) | 01/31/26 | 1,708 | 1,603,862 | |
USD TLB-13 Incremental Term Loan, 1 Month LIBOR + 4.000% | 6.310(c) | 08/14/26 | 2,500 | 2,377,500 | |
Radiate
HoldCo LLC, Closing Date Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 02/01/24 | 5,166 | 5,057,382 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Media (cont’d.) | |||||
Tribune
Media Company, Term C Loan, 1 Month LIBOR + 3.000% |
5.340 %(c) | 01/27/24 | 2,933 | $ 2,920,877 | |
UnityMedia Finance LLC (Germany), | |||||
Facility E Loan, 1 Month LIBOR + 2.000% | 4.310(c) | 06/01/23 | 600 | 593,625 | |
First Lien Term Loan D, 1 Month LIBOR + 2.250% | 4.560(c) | 01/15/26 | 2,000 | 1,978,214 | |
UnityMedia
Hessen Gmbh & Co Kg (Germany), Senior Facility B, 1 Month LIBOR + 2.250% |
4.560(c) | 09/30/25 | 1,000 | 989,688 | |
Univision
Communications, Inc., 2017 Replacement Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 03/15/24 | 2,819 | 2,621,823 | |
UPC
Financing Partnership, Facility AR, 1 Month LIBOR + 2.500% |
4.810(c) | 01/15/26 | 3,291 | 3,246,437 | |
Virgin
Media Bristol LLC, K Facility, 1 Month LIBOR + 2.500% |
4.810(c) | 01/15/26 | 3,000 | 2,959,686 | |
Wideopenwest
Finance LLC, Refinancing Term B Loan, 1 Month LIBOR + 3.250% |
5.550(c) | 08/18/23 | 3,034 | 2,871,360 | |
64,334,303 | |||||
Metal Fabricate/Hardware 1.7% | |||||
Anvil
International LLC, Initial Term Loan B, 1 - 2 Month LIBOR + 4.500%^ |
6.925(c) | 08/01/24 | 2,556 | 2,543,586 | |
Crosby
US Acquisition Corp., First Lien Initial Term Loan, 1 Month LIBOR + 3.000% |
5.310(c) | 11/23/20 | 9,143 | 8,952,614 | |
Dynacast
International LLC, Term B-1 Loan (First Lien), 3 Month LIBOR + 3.250%^ |
5.640(c) | 01/28/22 | 2,824 | 2,792,593 | |
Global
Brass and Copper, Inc., New Term Loan B, 1 Month LIBOR + 2.500%^ |
4.880(c) | 05/29/25 | 1,995 | 1,984,936 | |
Penn
Engineering & Manufacturing Corp., Tranche B Term Loan, 1 Month LIBOR + 2.750%^ |
5.090(c) | 06/27/24 | 543 | 537,694 | |
Wireco
Worldgroup, Inc. (Cayman Islands), First Lien Term Loan, 1 Month LIBOR + 5.000% |
7.340(c) | 09/29/23 | 1,111 | 1,110,708 | |
Zekelman
Industries, Inc., Term Loan, 3 Month LIBOR + 2.250% |
4.620(c) | 06/14/21 | 2,840 | 2,809,592 | |
20,731,723 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Mining 0.2% | |||||
Aleris
International, Inc., Initial Term Loan, 1 - 2 Month LIBOR + 4.750% |
7.170 %(c) | 02/27/23 | 973 | $ 977,425 | |
Unimin
Corp., Initial Term Loan, 3 Month LIBOR + 3.750% |
6.140(c) | 06/01/25 | 1,471 | 1,169,694 | |
2,147,119 | |||||
Miscellaneous Manufacturing 0.3% | |||||
Blount
International, Inc., New Refinance Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 04/12/23 | 1,269 | 1,265,453 | |
Clover
Technologies Group LLC, Initial Term Loan, 1 Month LIBOR + 4.500% |
6.850(c) | 05/08/20 | 383 | 372,081 | |
Gates
Global LLC, Initial B-2 Dollar Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 04/01/24 | 1,000 | 982,083 | |
International
Textile Group, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 5.000% |
7.300(c) | 05/01/24 | 1,068 | 1,064,275 | |
3,683,892 | |||||
Office Furnishings 0.0% | |||||
VIP
Cinema Holdings, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 6.000%^ |
8.350(c) | 03/01/23 | 417 | 412,706 | |
Oil & Gas 1.1% | |||||
Ascent
Resources Marcellus LLC, Exit Term Loan, 1 Month LIBOR + 6.500% |
8.820(c) | 03/30/23 | 250 | 250,000 | |
California
Resources Corp., Term Loan (08/16), 1 Month LIBOR + 10.380%^ |
12.720(c) | 12/31/21 | 1,275 | 1,348,313 | |
Citgo
Petroleum Corp., Term B Loan, 3 Month LIBOR + 3.500% |
5.900(c) | 07/29/21 | 4,595 | 4,554,578 | |
Delek
Us Holdings, Inc., Term Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 03/14/25 | 2,341 | 2,311,984 | |
Powerteam
Services LLC, Initial Term Loan (First Lien), 3 Month LIBOR + 3.250%^ |
5.640(c) | 03/06/25 | 3,674 | 3,572,768 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Oil & Gas (cont’d.) | |||||
Sonneborn
LLC, Initial US Term Loan, 1 Month LIBOR + 3.750% |
6.090 %(c) | 12/10/20 | 639 | $ 636,728 | |
Sonneborn
Refined Products BV, Initial BV Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 12/10/20 | 113 | 112,364 | |
12,786,735 | |||||
Oil & Gas Services 0.4% | |||||
Brazos
Delaware II LLC, Initial Term Loan, 1 Month LIBOR + 4.000% |
6.300(c) | 05/21/25 | 1,746 | 1,693,256 | |
FTS
International, Inc., Initial Term Loan, 1 Month LIBOR + 4.750% |
7.090(c) | 04/16/21 | 71 | 70,448 | |
Lucid
Energy Group II Borrower LLC, Initial Term Loan, 1 Month LIBOR + 3.000% |
5.310(c) | 02/17/25 | 3,482 | 3,312,728 | |
5,076,432 | |||||
Packaging & Containers 1.7% | |||||
Albea
Beauty Holdings SA (France), Facility B2 (USD), 1 - 6 Month LIBOR + 2.750%^ |
5.365(c) | 04/22/24 | 1,269 | 1,252,767 | |
Berry
Global, Inc., Term R Loan, 1 Month LIBOR + 2.000% |
4.320(c) | 01/19/24 | 2,594 | 2,571,823 | |
BWay
Holding Co., Initial Term Loan, 3 Month LIBOR + 3.250% |
5.660(c) | 04/03/24 | 1,395 | 1,355,427 | |
Charter
Nex US, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 05/16/24 | 2,405 | 2,353,563 | |
Multi-Color
Corporation, Term B Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 10/31/24 | 1,500 | 1,475,625 | |
Plastipak
Packaging, Inc., Tranche B Term Loan (2018), 1 Month LIBOR + 2.500% |
4.850(c) | 10/14/24 | 992 | 984,293 | |
Plaze,
Inc., Term Loan, 3 Month LIBOR + 3.500%^ |
5.873(c) | 07/31/22 | 1,868 | 1,849,404 | |
Pregis
Holding I Corp., First Lien Term Loan, 3 Month LIBOR + 3.500%^ |
5.890(c) | 05/20/21 | 2,115 | 2,117,533 | |
Proampac
PG Borrower LLC, Initial Term Loan (First Lien), 1 - 3 Month LIBOR + 3.500%/PRIME + 2.500% |
6.519(c) | 11/20/23 | 1,946 | 1,911,794 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Packaging & Containers (cont’d.) | |||||
Ring
Container Technologies LLC, Initial Term Loan (First Lien), 1 Month LIBOR + 2.750%^ |
5.090 %(c) | 10/31/24 | 2,512 | $ 2,474,059 | |
Tank
Holding Corp., New Initial Term Loan, 1 - 3 Month LIBOR + 3.375% |
5.785(c) | 03/17/22 | 2,160 | 2,131,518 | |
20,477,806 | |||||
Pharmaceuticals 2.6% | |||||
Alphabet
Holding Company, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.500% |
5.840(c) | 09/26/24 | 2,359 | 2,212,785 | |
Amneal
Pharmaceuticals LLC, Initial Term Loan, 1 Month LIBOR + 3.500% |
5.880(c) | 05/04/25 | 3,590 | 3,575,922 | |
Arbor
Pharmaceuticals LLC, Initial Term Loan, 1 Month LIBOR + 5.000%^ |
7.350(c) | 07/05/23 | 2,155 | 1,982,436 | |
Change
Healthcare Holdings LLC, Closing Date Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 03/01/24 | 4,345 | 4,285,173 | |
Endo
Luxembourg Finance Company I Sarl, Initial Term Loan, 1 Month LIBOR + 4.250% |
6.630(c) | 04/29/24 | 2,738 | 2,727,166 | |
Horizon
Pharma, Inc., Fourth Amendment Refinancing Term Loan, 1 Month LIBOR + 3.000% |
5.380(c) | 03/29/24 | 1,400 | 1,387,750 | |
Lannett
Company, Inc., Initial Tranche B Term Loan, 1 Month LIBOR + 5.380% |
7.720(c) | 11/25/22 | 2,192 | 1,771,903 | |
NVA
Holdings, Inc., Term B-3 Loan (First Lien), 1 Month LIBOR + 2.750% |
5.090(c) | 02/02/25 | 4,758 | 4,621,442 | |
Pearl Intermediate Parent LLC, | |||||
Delayed Draw Term Loan (First Lien), 1 Month LIBOR + 2.750%/PRIME + 1.750% | 4.346(c) | 02/14/25 | 95 | 91,211 | |
Initial Term Loan (First Lien), 1 Month LIBOR + 2.750% | 5.060(c) | 02/14/25 | 423 | 404,903 | |
Pharmerica
Corp., Initial Term Loan (First Lien), 1 Month LIBOR + 3.500% |
5.810(c) | 12/06/24 | 1,816 | 1,799,229 | |
Valeant
Pharmaceuticals International, Inc., Initial Term Loan, 1 Month LIBOR + 3.000% |
5.310(c) | 06/02/25 | 5,211 | 5,153,517 | |
Vetcor
Professional Practices LLC, First Lien Initial Term Loan, 1 Month LIBOR + 3.000%^ |
5.340(c) | 07/02/25 | 1,372 | 1,357,847 | |
31,371,284 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Pipelines 0.7% | |||||
BCP
Renaissance Parent LLC, Initial Term Loan, 3 Month LIBOR + 3.500% |
6.030 %(c) | 10/31/24 | 2,743 | $ 2,720,494 | |
Medallion
Midland Acquisition LLC, Initial Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 10/30/24 | 1,117 | 1,077,017 | |
Southcross
Energy Partners LP, Initial Term Loan, 3 Month LIBOR + 4.250% |
6.640(c) | 08/04/21 | 2,233 | 1,998,918 | |
WMG
Acquisition Corp., Initial Term Loan, 1 Month LIBOR + 4.500%^ |
6.810(c) | 12/13/24 | 1,985 | 1,960,188 | |
7,756,617 | |||||
Private Equity 0.7% | |||||
Canyon
Valor Companies, Inc., Initial Dollar Term Loan (First Lien), 3 Month LIBOR + 2.750%^ |
5.140(c) | 06/16/23 | 3,796 | 3,757,944 | |
Harnourvest
Partners LLC, Term Loan, 1 Month LIBOR + 2.250% |
4.560(c) | 03/03/25 | 4,659 | 4,617,988 | |
8,375,932 | |||||
Real Estate 2.4% | |||||
ASP
MCS Acquisition Corp., Initial Term Loan, 3 Month LIBOR + 4.750% |
7.140(c) | 05/20/24 | 1,259 | 1,022,988 | |
Brookfeild
Retail Holdings VII, Initial Term B Loan, 1 Month LIBOR + 2.500% |
4.850(c) | 08/27/25 | 15,175 | 14,666,000 | |
DTZ
US Borrower LLC, Closing Date Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 08/21/25 | 8,800 | 8,651,500 | |
Lightstone Holdco LLC, | |||||
2018 Refinancing Term B Facility, 1 Month LIBOR + 3.750%^ | 6.090(c) | 01/30/24 | 4,286 | 4,253,813 | |
2018 Refinancing Term C Facility, 1 Month LIBOR + 3.750% | 6.090(c) | 01/30/24 | 230 | 222,838 | |
28,817,139 | |||||
Real Estate Investment Trusts (REITs) 1.3% | |||||
Geo
Group, Inc., Refinancing Term Loan, 1 Month LIBOR + 2.000% |
4.350(c) | 03/22/24 | 2,863 | 2,817,669 | |
Istar,
Inc., New Term Loan B, 1 Month LIBOR + 2.750%^ |
5.060(c) | 06/28/23 | 2,639 | 2,616,276 | |
MGM
Growth Properties Operating Partnership LP, Term B Loan, 1 Month LIBOR + 2.000% |
4.340(c) | 03/21/25 | 3,007 | 2,951,819 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Real Estate Investment Trusts (REITs) (cont’d.) | |||||
RHP
Hotel Properties, LP, Tranche B Term Loan, 3 Month LIBOR + 2.000% |
4.390 %(c) | 05/11/24 | 2,743 | $ 2,716,751 | |
Vici
Properties 1 LLC, Term B Loan, 1 Month LIBOR + 2.000% |
4.310(c) | 12/20/24 | 4,412 | 4,336,681 | |
15,439,196 | |||||
Retail 6.7% | |||||
1011778
BC Unlimited Liability Co. (Canada), Term B-3 Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 02/16/24 | 5,728 | 5,594,808 | |
Academy,
Ltd., Initial Term Loan, 1 Month LIBOR + 4.000% |
6.303(c) | 07/01/22 | 4,073 | 2,959,698 | |
Ashco
LLC, Initial Term Loan, 1 Month LIBOR + 5.000% |
7.340(c) | 09/25/24 | 4,356 | 4,290,414 | |
At
Home Holding III, Inc., Term Loan, 3 Month LIBOR + 3.500% |
6.030(c) | 06/03/22 | 3,383 | 3,362,162 | |
Beacon
Roofing Supply, Inc., Initial Term Loan, 1 Month LIBOR + 2.250% |
4.570(c) | 01/02/25 | 4,284 | 4,159,695 | |
CEC
Entertainment, Inc., First Lien Term B Loan, 1 Month LIBOR + 3.250% |
5.600(c) | 02/15/21 | 1,518 | 1,447,741 | |
CWGS
Group LLC, Term Loan, 1 Month LIBOR + 2.750% |
5.070(c) | 11/08/23 | 2,835 | 2,627,987 | |
EG America, LLC (United Kingdom), | |||||
Additional Facility Loan, 3 Month LIBOR + 4.000% | 6.390(c) | 02/07/25 | 3,065 | 3,030,148 | |
Second Lien Facility (USD), 3 Month LIBOR + 8.000% | 10.390(c) | 03/23/26 | 1,400 | 1,380,750 | |
Fogo
de Chao, Inc., 2018 Refinancing Term Loan, 1 Month LIBOR + 4.250%^ |
6.590(c) | 04/07/25 | 1,546 | 1,538,394 | |
Foundation
Building Materials LLC, Term Loan, 1 Month LIBOR + 3.250% |
5.560(c) | 08/13/25 | 2,225 | 2,180,500 | |
GOBP
Holdings, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 10/22/25 | 2,950 | 2,924,188 | |
Harbor
Freight Tools USA, Inc., 2018 Initial Term Loan, 1 Month LIBOR + 2.500% |
4.840(c) | 08/18/23 | 3,532 | 3,413,425 | |
Highline
Aftermarket Acquisition LLC, Term Loan, 1 Month LIBOR + 3.500%^ |
5.880(c) | 04/28/25 | 1,466 | 1,447,640 | |
Hoffmaster
Group, Inc., Tranche B-1 Term Loan, 1 Month LIBOR + 4.000% |
6.340(c) | 11/21/23 | 2,684 | 2,684,249 | |
K-Mac
Holdings Corp., First Lien Initial Term Loan, 1 Month LIBOR + 3.250% |
5.560(c) | 03/14/25 | 2,292 | 2,246,991 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Retail (cont’d.) | |||||
LBM
Borrower LLC, Tranche C Term Loan, 3 Month LIBOR + 3.750% |
6.280 %(c) | 08/19/22 | 2,728 | $ 2,600,106 | |
Leslies
Poolmart, Inc., Tranche B-2 Term Loan, 1 Month LIBOR + 3.500% |
5.840(c) | 08/16/23 | 3,238 | 3,193,099 | |
Michaels
Stores, Inc., 2018 New Replacement Term B Loan, 1 Month LIBOR + 2.500% |
4.825(c) | 01/30/23 | 2,614 | 2,566,350 | |
Neiman
Marcus Group Ltd. LLC, Other Term Loan, 1 Month LIBOR + 3.250% |
5.570(c) | 10/25/20 | 1,922 | 1,663,161 | |
Petco
Animal Supplies, Inc., Term Loan, 3 Month LIBOR + 3.250% |
5.780(c) | 01/26/23 | 4,424 | 3,309,110 | |
Petsmart,
Inc., Tranche B-2 Loan, 1 Month LIBOR + 3.000% |
5.320(c) | 03/11/22 | 2,299 | 1,916,086 | |
Pf
Changs China Bistro, Inc., Initial Term Loan, 3 Month LIBOR + 5.000%^ |
7.530(c) | 09/01/22 | 1,387 | 1,355,519 | |
Rough
Country LLC, Term Loan (First Lien), 1 Month LIBOR + 3.750% |
6.090(c) | 05/25/23 | 1,966 | 1,936,661 | |
Sally
Holdings LLC, Term B-2 Loan^ |
4.500 | 07/05/24 | 4,046 | 3,823,697 | |
Serta
Simmons Bedding LLC, First Lien Initial Term Loan, 1 Month LIBOR + 3.500% |
5.815(c) | 11/08/23 | 2,137 | 1,890,582 | |
Staples,
Inc., Closing Date Term Loan, 3 Month LIBOR + 4.000% |
6.540(c) | 09/12/24 | 4,092 | 4,019,392 | |
Tacala
LLC, Initial Term Loan (First Lien), 1 Month LIBOR + 3.250% |
5.590(c) | 01/31/25 | 2,409 | 2,363,455 | |
The
Men’s Wearhouse, Inc., Tranche B-2 Term Loan, 1 Month LIBOR + 3.250%^ |
5.550(c) | 04/09/25 | 3,750 | 3,721,557 | |
79,647,565 | |||||
Semiconductors 1.7% | |||||
Bright
Bidco BV (Netherlands), 2018 Refinancing Term Loan B, 1 - 3 Month LIBOR + 3.500%^ |
5.857(c) | 06/30/24 | 3,342 | 3,024,414 | |
Brooks
Automation, Inc., Initial Term B Loan, 3 Month LIBOR + 2.500%^ |
4.910(c) | 10/04/24 | 1,315 | 1,295,337 | |
Cabot
Microelectronics Corp., Initial Term Loan, 1 Month LIBOR + 2.250% |
4.630(c) | 11/17/25 | 1,150 | 1,143,531 | |
Cohu,
Inc., Initial Term B Loan, 3 Month LIBOR + 3.000%^ |
5.400(c) | 09/19/25 | 2,875 | 2,817,500 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Semiconductors (cont’d.) | |||||
Lattice
Semiconductor Corp., Term Loan, 1 Month LIBOR + 4.250%^ |
6.570 %(c) | 03/10/21 | 2,776 | $ 2,775,522 | |
Macom
Technology Solutions Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 2.250% |
4.590(c) | 05/17/24 | 3,474 | 3,338,095 | |
Maxlinear,
Inc., Initial Term B Loan, 3 Month LIBOR + 2.500%^ |
4.795(c) | 05/12/24 | 2,049 | 2,020,412 | |
Microchip
Technology, Inc., Initial Term Loan, 1 Month LIBOR + 2.000% |
4.350(c) | 05/29/25 | 3,728 | 3,701,883 | |
20,116,694 | |||||
Software 7.8% | |||||
Almonde, Inc., | |||||
Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250% | 9.640(c) | 06/13/25 | 1,500 | 1,430,250 | |
First Lien Dollar Term Loan, 3 Month LIBOR + 3.500% | 5.890(c) | 06/13/24 | 4,961 | 4,803,395 | |
Aptean,
Inc., Term Loan B, 3 Month LIBOR + 4.250% |
6.640(c) | 12/20/22 | 723 | 719,432 | |
Ascend
Learning LLC, Initial Term Loan, 1 Month LIBOR + 3.000% |
5.340(c) | 07/12/24 | 2,126 | 2,102,225 | |
Boxer
Parent Co., Inc., Initial Dollar Term Loan, 3 Month LIBOR + 4.250% |
6.650(c) | 10/02/25 | 7,325 | 7,231,775 | |
Bracket
Intermediate Holding Corp., First Lien Initial Term Loan, 3 Month LIBOR + 4.250%^ |
6.570(c) | 08/15/25 | 1,575 | 1,575,000 | |
CommerceHub,
Inc., First Lien Term Loan, 1 Month LIBOR + 3.750%^ |
6.090(c) | 05/21/25 | 2,992 | 2,977,537 | |
Cypress
Intermediate Holdings III, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.000% |
5.350(c) | 04/29/24 | 242 | 238,519 | |
Dynatrace
LLC, Senior Secured First Lien Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 08/25/25 | 1,950 | 1,938,626 | |
Eagleview
Technology Corp., First Lien Term Loan, 1 Month LIBOR + 3.500% |
5.810(c) | 08/14/25 | 3,000 | 2,960,625 | |
Evergreen
Skills Lux Sarl (Luxembourg), First Lien Initial Term Loan, 1 Month LIBOR + 4.750% |
7.090(c) | 04/28/21 | 1,800 | 1,636,324 | |
Evertec
Group LLC (Puerto Rico), Term Loan |
—(p) | 11/27/24 | 1,800 | 1,788,750 | |
Exela
Intermediate LLC, 2018 Repriced Term Loan, 3 Month LIBOR + 6.500% |
8.830(c) | 07/12/23 | 1,491 | 1,490,566 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Software (cont’d.) | |||||
First Data Corp., | |||||
2022D New Dollar Term Loan, 1 Month LIBOR + 2.000% | 4.320 %(c) | 07/08/22 | 4,869 | $ 4,784,265 | |
2024A New Dollar Term Loan, 1 Month LIBOR + 2.000% | 4.320(c) | 04/26/24 | 3,550 | 3,488,280 | |
Greeneden
U.S. Holdings II LLC, Tranche B-3 Dollar Term Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 12/01/23 | 4,134 | 4,085,408 | |
Informatica
LLC, Dollar Term B-1 Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 08/05/22 | 2,339 | 2,329,320 | |
Inovalon
Holdings, Inc., Term Loan, 1 Month LIBOR + 3.500% |
5.880(c) | 04/02/25 | 860 | 851,395 | |
Iqvia,
Inc., Term B-3 Dollar Loan, 3 Month LIBOR + 1.750% |
4.140(c) | 06/11/25 | 997 | 986,029 | |
Kronos, Inc., | |||||
2018 New Incremental Term Loan, 2 - 3 Month LIBOR + 3.000% | 5.465(c) | 11/01/23 | 3,116 | 3,074,818 | |
Second Lien Initial Term Loan, 3 Month LIBOR + 8.250% | 10.790(c) | 11/01/24 | 400 | 400,667 | |
MA Financeco LLC (United Kingdom), | |||||
Tranche B-2 Term Loan, 1 Month LIBOR + 2.250% | 4.590(c) | 11/19/21 | 1,451 | 1,421,412 | |
Tranche B-3 Term Loan, 1 Month LIBOR + 2.500% | 4.840(c) | 06/21/24 | 629 | 615,204 | |
Marcel
Bidco LLC, Term Loan |
—(p) | 12/31/25 | 750 | 747,812 | |
Micro
Holding Corp., Amendment No. 2 Initial Term Loan (First Lien), 1 Month LIBOR + 3.750% |
6.060(c) | 09/13/24 | 3,157 | 3,125,031 | |
Nthrive,
Inc., First Lien Term B-2 Loan, 1 Month LIBOR + 4.500% |
6.840(c) | 10/20/22 | 2,962 | 2,961,172 | |
Omnitracs,
LLC, Term Loan, 3 Month LIBOR + 2.750% |
5.120(c) | 03/21/25 | 3,892 | 3,831,930 | |
Quest
Software Us Holdings, Inc., Initial Term Loan (First Lien), 3 Month LIBOR + 4.250% |
6.780(c) | 05/16/25 | 2,525 | 2,520,266 | |
Rackspace
Hosting, Inc., Term B Loan (First Lien), 2 - 3 Month LIBOR + 3.000% |
5.500(c) | 11/03/23 | 5,245 | 4,835,763 | |
Renaissance
Learning, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.250% |
5.590(c) | 05/30/25 | 1,646 | 1,619,130 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Software (cont’d.) | |||||
RP
Crown Parent LLC, Initial Term Loan, 1 Month LIBOR + 2.750% |
5.090 %(c) | 10/12/23 | 1,995 | $ 1,960,013 | |
SCS Holdings I, Inc., | |||||
Initial Term Loan (Second Lien), 1 Month LIBOR + 9.500% | 11.840(c) | 10/30/23 | 500 | 500,416 | |
New Tranche B Term Loan (First Lien), 1 Month LIBOR + 4.250% | 6.590(c) | 10/30/22 | 1,820 | 1,817,580 | |
Seattle
Escrow Borrower LLC, Initial Term Loan, 1 Month LIBOR + 2.500% |
4.840(c) | 06/21/24 | 4,247 | 4,155,074 | |
Severin
Acquisition LLC, First Lien Term Loan, 1 Month LIBOR + 3.250% |
5.520(c) | 08/01/25 | 2,575 | 2,529,937 | |
Solarwinds
Holdings, Inc., Term Loan |
—(p) | 02/05/24 | 2,299 | 2,285,941 | |
SS&C Technologies, Inc., | |||||
Term B-3 Loan, 1 Month LIBOR + 2.250% | 4.590(c) | 04/16/25 | 2,751 | 2,684,157 | |
Term B-4 Loan, 1 Month LIBOR + 2.250% | 4.590(c) | 04/16/25 | 1,048 | 1,022,334 | |
Term B-5 Loan, 1 Month LIBOR + 2.250% | 4.590(c) | 04/16/25 | 2,225 | 2,169,773 | |
Tibco
Software, Inc., Term B-1 Loan, 1 Month LIBOR + 3.500% |
5.850(c) | 12/04/20 | 1,573 | 1,568,166 | |
93,264,317 | |||||
Storage/Warehousing 0.1% | |||||
Contanda
LLC, Term Loan, 3 Month LIBOR + 3.500%^ |
5.890(c) | 02/27/20 | 1,175 | 1,145,625 | |
Telecommunications 6.4% | |||||
Avaya,
Inc., Tranche B Term Loan, 1 - 2 Month LIBOR + 4.250% |
6.625(c) | 12/15/24 | 2,834 | 2,800,584 | |
C1
Holdings Corp., Term Loan, 1 Month LIBOR + 3.750% |
6.090(c) | 04/10/25 | 3,093 | 3,089,633 | |
Casa
Systems, Inc., Initial Term Loan, 1 Month LIBOR + 4.000% |
6.340(c) | 12/14/23 | 1,229 | 1,223,365 | |
Centurylink,
Inc., Initial Term B Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 01/31/25 | 8,101 | 7,865,046 | |
Consolidated
Communications, Inc., 2016 Initial Term Loan, 1 Month LIBOR + 3.000% |
5.350(c) | 10/05/23 | 3,996 | 3,843,738 | |
Coral
US Co-Borrower LLC, Term B-4 Loan, 1 Month LIBOR + 3.250% |
5.590(c) | 02/02/26 | 4,275 | 4,246,947 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Telecommunications (cont’d.) | |||||
Digicel
International Finance Ltd. (Saint Lucia), First Lien Initial Term B Loan, 3 Month LIBOR + 3.250% |
5.960 %(c) | 05/27/24 | 4,291 | $ 4,023,079 | |
Frontier
Communications Corp., Term B-1 Loan, 1 Month LIBOR + 3.750% |
6.100(c) | 06/15/24 | 4,104 | 3,900,431 | |
Global Tel Link Corp., | |||||
First Lien Term Loan, 3 Month LIBOR + 4.250% | 6.960(c) | 11/20/25 | 1,250 | 1,243,750 | |
Term Loan | —(p) | 05/22/20 | 2,451 | 2,447,742 | |
Term Loan | —(p) | 11/20/26 | 825 | 820,875 | |
GTT
Communications, Inc., Closing Date U.S. Term Loan, 1 Month LIBOR + 2.750% |
5.090(c) | 05/31/25 | 5,436 | 5,251,767 | |
Intelsat
Jackson Holdings SA (Luxembourg), Tranche B-3 Term Loan, 1 Month LIBOR + 3.750% |
6.070(c) | 11/27/23 | 3,775 | 3,746,688 | |
IPC
Corp., Term B-1 Loan (First Lien), 3 Month LIBOR + 4.500%^ |
7.030(c) | 08/06/21 | 757 | 698,617 | |
MLN
US Holdco LLC, Term Loan |
—(p) | 07/13/25 | 2,125 | 2,119,688 | |
SBA
SR Finance II LLC, Refinancing Term Loan, 1 Month LIBOR + 2.000% |
4.350(c) | 04/11/25 | 2,993 | 2,959,370 | |
Securus Technologies Holdings, Inc., | |||||
Initial Loan (Second Lien), 1 Month LIBOR + 8.250% | 10.590(c) | 11/01/25 | 750 | 743,125 | |
Initial Term Loan (First Lien), 1 Month LIBOR + 4.500% | 6.840(c) | 11/01/24 | 2,045 | 2,024,375 | |
Term Loan | —(p) | 11/01/24 | 440 | 435,600 | |
Speedcast International Ltd. (Australia), | |||||
Initial Term Loan, 3 Month LIBOR + 2.500% | 4.890(c) | 05/15/25 | 1,945 | 1,889,203 | |
Term Loan | —(p) | 05/15/25 | 1,000 | 971,250 | |
Sprint
Communications, Inc., Initial Term Loan, 1 Month LIBOR + 2.500% |
4.880(c) | 02/02/24 | 8,940 | 8,801,750 | |
Telenet
Finance USD LLC (Belgium), Term Loan AN Facility, 1 Month LIBOR + 2.250% |
4.560(c) | 08/15/26 | 2,750 | 2,700,728 | |
West Corp., | |||||
Incremental B1 Term Loan, 1 - 3 Month LIBOR + 3.500% | 5.935(c) | 10/10/24 | 2,244 | 2,184,257 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Bank Loans (Continued) | |||||
Telecommunications (cont’d.) | |||||
West Corp., (cont’d.) | |||||
Initial Term B Loan, 1 - 3 Month LIBOR + 4.000% | 6.467 %(c) | 10/10/24 | 2,008 | $1,978,760 | |
Windstream
Services LLC, Tranche B-7 Term Loan, 1 Month LIBOR + 3.250% |
5.560(c) | 02/17/24 | 687 | 589,344 | |
Xplornet
Communications, Inc. (Canada), New Term B Loan, 3 Month LIBOR + 4.000%^ |
6.390(c) | 09/09/21 | 3,897 | 3,886,788 | |
76,486,500 | |||||
Textiles 0.1% | |||||
ASP
Unifrax Holdings, Inc., Term Loan^ |
—(p) | 12/31/25 | 1,525 | 1,505,938 | |
Transportation 0.8% | |||||
Daseke
Companies, Inc., Replacement Term Loan, 1 Month LIBOR + 5.000% |
7.340(c) | 02/27/24 | 1,338 | 1,325,865 | |
Pods
LLC, Tranche B-4 Term Loan, 1 Month LIBOR + 2.750% |
5.070(c) | 12/06/24 | 1,126 | 1,105,108 | |
Rep
Wwex Acquisition Parent LLC, Term Loan (First Lien), 3 - 6 Month LIBOR + 4.000% |
6.457(c) | 02/05/24 | 2,274 | 2,247,062 | |
Savage
Enterprises LLC, Initial Loan, 1 Month LIBOR + 4.500% |
6.820(c) | 08/01/25 | 1,485 | 1,482,666 | |
Transplace Holdings, Inc., | |||||
2018 Incremental Term Loan, 1 Month LIBOR + 3.750% | 6.050(c) | 10/07/24 | 1,167 | 1,158,258 | |
Initial Loan (Second Lien), 1 Month LIBOR + 8.750%^ | 11.060(c) | 10/06/25 | 204 | 200,923 | |
XPO
Logistics Inc., Term Loan |
—(p) | 02/24/25 | 2,000 | 1,978,612 | |
9,498,494 | |||||
Trucking & Leasing 0.4% | |||||
Avolon
Tlb Borrower 1 (US) LLC (Ireland), Term B-3 Loan, 1 Month LIBOR + 2.000% |
4.300(c) | 01/15/25 | 4,434 | 4,385,123 | |
Total
Bank Loans (cost $1,125,474,531) |
1,100,889,388 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds 2.3% | |||||
Aerospace & Defense 0.1% | |||||
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A | 7.500 % | 12/01/24 | 500 | $ 475,625 | |
Sr. Unsec’d. Notes, 144A | 8.750 | 12/01/21 | 750 | 773,438 | |
1,249,063 | |||||
Agriculture 0.1% | |||||
Vector
Group Ltd., Sr. Sec’d. Notes, 144A |
6.125 | 02/01/25 | 700 | 626,500 | |
Building Materials 0.1% | |||||
Griffon
Corp., Gtd. Notes |
5.250 | 03/01/22 | 1,550 | 1,447,312 | |
Standard
Industries, Inc., Sr. Unsec’d. Notes, 144A |
5.375 | 11/15/24 | 50 | 47,500 | |
1,494,812 | |||||
Computers 0.2% | |||||
Everi
Payments, Inc., Gtd. Notes, 144A |
7.500 | 12/15/25 | 2,500 | 2,437,500 | |
Exela
Intermediate LLC/Exela Finance, Inc., Sr. Sec’d. Notes, 144A |
10.000 | 07/15/23 | 425 | 429,250 | |
2,866,750 | |||||
Distribution/Wholesale 0.1% | |||||
Global
Partners LP/GLP Finance Corp., Gtd. Notes |
6.250 | 07/15/22 | 1,125 | 1,108,463 | |
Electric 0.1% | |||||
Calpine
Corp., Sr. Unsec’d. Notes(a) |
5.750 | 01/15/25 | 1,600 | 1,472,000 | |
Entertainment 0.3% | |||||
AMC
Entertainment Holdings, Inc., Gtd. Notes |
5.875 | 11/15/26 | 1,000 | 890,000 | |
International Game Technology PLC, | |||||
Sr. Sec’d. Notes, 144A | 6.250 | 02/15/22 | 1,500 | 1,545,000 | |
Sr. Sec’d. Notes, 144A | 6.250 | 01/15/27 | 1,300 | 1,300,812 | |
3,735,812 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Foods 0.3% | |||||
JBS
USA LUX SA/JBS USA Finance, Inc., Gtd. Notes, 144A |
5.750 % | 06/15/25 | 2,650 | $ 2,563,875 | |
Pilgrim’s
Pride Corp., Gtd. Notes, 144A |
5.750 | 03/15/25 | 915 | 889,837 | |
3,453,712 | |||||
Healthcare-Products 0.0% | |||||
Mallinckrodt
International Finance SA, Gtd. Notes |
4.750 | 04/15/23 | 200 | 161,000 | |
Healthcare-Services 0.2% | |||||
CHS/Community
Health Systems, Inc., Sr. Sec’d. Notes(a) |
6.250 | 03/31/23 | 1,050 | 973,875 | |
Tenet Healthcare Corp., | |||||
Sr. Unsec’d. Notes(a) | 6.750 | 06/15/23 | 1,000 | 987,500 | |
Sr. Unsec’d. Notes | 8.125 | 04/01/22 | 700 | 728,000 | |
2,689,375 | |||||
Home Builders 0.1% | |||||
Mattamy
Group Corp. (Canada), Sr. Unsec’d. Notes, 144A |
6.875 | 12/15/23 | 1,000 | 960,000 | |
Home Furnishings 0.1% | |||||
Tempur
Sealy International, Inc., Gtd. Notes |
5.500 | 06/15/26 | 1,000 | 942,500 | |
Housewares 0.0% | |||||
Scotts
Miracle-Gro Co. (The), Gtd. Notes |
5.250 | 12/15/26 | 500 | 467,500 | |
Lodging 0.1% | |||||
Boyd
Gaming Corp., Gtd. Notes(a) |
6.000 | 08/15/26 | 1,000 | 967,500 | |
Media 0.1% | |||||
CSC
Holdings LLC, Sr. Unsec’d. Notes, 144A |
5.125 | 12/15/21 | 500 | 498,125 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Media (cont’d.) | |||||
DISH
DBS Corp., Gtd. Notes |
7.875 % | 09/01/19 | 250 | $ 256,562 | |
Sinclair
Television Group, Inc., Gtd. Notes, 144A |
5.875 | 03/15/26 | 250 | 237,813 | |
992,500 | |||||
Oil & Gas 0.3% | |||||
Alta
Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes |
7.875 | 12/15/24 | 950 | 676,875 | |
Citgo
Holding, Inc., Sr. Sec’d. Notes, 144A |
10.750 | 02/15/20 | 2,150 | 2,219,875 | |
2,896,750 | |||||
Pharmaceuticals 0.1% | |||||
NVA
Holdings, Inc., Gtd. Notes, 144A |
6.875 | 04/01/26 | 700 | 667,625 | |
Real Estate Investment Trusts (REITs) 0.0% | |||||
MGM
Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., Gtd. Notes |
4.500 | 01/15/28 | 300 | 264,750 | |
Retail 0.0% | |||||
Rite
Aid Corp., Gtd. Notes, 144A |
6.125 | 04/01/23 | 500 | 430,000 | |
Total
Corporate Bonds (cost $28,491,408) |
27,446,612 |
Shares | |||||
Common Stocks 0.1% | |||||
Commercial Services & Supplies 0.0% | |||||
Tweddle Group, Inc.(original cost $2,705; purchased 09/17/18)^(f) | 2,705 | 27 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Oil, Gas & Consumable Fuels 0.1% | |||||
Ascent Resources - Marcellus LLC (Class A Stock)*^ | 182,358 | $ 556,192 | |||
Software 0.0% | |||||
Avaya Holdings Corp.* | 32,696 | 509,077 | |||
Total
Common Stocks (cost $1,057,511) |
1,065,296 |
Units | |||||
Warrants 0.0% | |||||
Oil, Gas & Consumable Fuels | |||||
Ascent Resources - Marcellus LLC, expiring 03/30/23^ | 46,500 | 1,395 | |||
Ascent Resources - Marcellus LLC, expiring 03/30/23^ | 18,026 | 2,163 | |||
Ascent Resources - Marcellus LLC, expiring 03/30/23^ | 14,021 | 1,122 | |||
Total
Warrants (cost $6,431) |
4,680 | ||||
Total
Long-Term Investments (cost $1,207,172,520) |
1,181,548,500 |
Shares | |||||
Short-Term Investments 1.8% | |||||
Affiliated Mutual Funds | |||||
PGIM Core Ultra Short Bond Fund(w) | 16,937,393 | 16,937,393 | |||
PGIM
Institutional Money Market Fund (cost $3,845,636; includes $3,839,790 of cash collateral for securities on loan)(b)(w) |
3,845,652 | 3,845,268 | |||
Total
Short-Term Investments (cost $20,783,029) |
20,782,661 | ||||
TOTAL
INVESTMENTS 101.0% (cost $1,227,955,549) |
1,202,331,161 | ||||
Liabilities in excess of other assets(z) (1.0)% | (11,703,586) | ||||
Net Assets 100.0% | $ 1,190,627,575 |
See the Glossary for abbreviations used in the quarterly schedule of portfolio holdings. |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $180,458,125 and 15.2% 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 $3,759,011; cash collateral of $3,839,790 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. |
(b) | Represents security 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 November 30, 2018. |
(f) | Indicates a restricted security; the aggregate original cost of such securities is $2,705. The aggregate value of $27 is 0.0% of net assets. |
(p) | Interest rate not available as of November 30, 2018. |
(w) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
(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 | ||||
Carlisle Foodservice Products, Inc., First Lien Delayed Draw Term Loan, 3 Month LIBOR + 3.000%, 5.338%, Maturity Date 3/20/2025 (cost $422,536) | 424 | $ 415,480 | $— | $ (7,056) | ||||
Dentalcorp Perfect Smile ULC, Delayed Draw Term Loan, 3 Month LIBOR + 3.750%, 6.073%, Maturity Date 6/6/2025 (cost $171,360) | 171 | 171,039 | — | (321) | ||||
Heartland Dental LLC, Delayed Draw Term Loan, 3 Month LIBOR + 3.750%, 6.270%, Maturity Date 4/30/2025 (cost $251,087) | 251 | 246,588 | — | (4,499) | ||||
Pearl Intermediate Parent LLC, Delayed Draw Term Loan (First Lien), 3 Month LIBOR + 2.750%, 5.457%, Maturity Date 2/14/2025 (cost $29,654) | 30 | 28,394 | — | (1,260) | ||||
St. George’s University Scholastic Services LLC, First Lien Delayed Draw Term Loan, 3 Month LIBOR + 3.500%, 5.834%, Maturity Date 7/17/2025 (cost $646,436) | 647 | 643,377 | — | (3,059) | ||||
VT Topco, Inc., First Lien Delayed Draw Term Loan, 3 Month LIBOR + 3.750%, 6.291%, Maturity Date 8/1/2025 (cost $130,900) | 131 | 130,246 | — | (655) | ||||
$1,635,124 | $— | $(16,850) |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at November 30, 2018(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^: | |||||||||||||||||
3i Debt Management | 12/07/18 | 1.000%(M) | 3,574 | * | $ 4,465 | $— | $ 4,465 |
Goldman Sachs International | |||||||||
AMMC CLO Ltd. | 12/07/18 | 1.000%(M) | 1,325 | * | 1,655 | — | 1,655 |
Goldman Sachs International | |||||||||
Anchorage Capital CLO Ltd. | 12/07/18 | 0.500%(M) | 4,007 | 15.670% | 2,503 | — | 2,503 |
Goldman Sachs International | |||||||||
Anchorage Capital CLO Ltd. | 12/07/18 | 0.500%(M) | 687 | * | 429 | — | 429 |
Goldman Sachs International | |||||||||
Arrowpoint CLO Ltd. | 12/07/18 | 0.500%(M) | 4,557 | * | 2,847 | — | 2,847 |
Goldman Sachs International | |||||||||
Arrowpoint CLO Ltd. | 12/07/18 | 0.500%(M) | 2,661 | * | 1,796 | — | 1,796 |
Goldman Sachs International | |||||||||
Bain Capital Credit LP | 12/07/18 | 1.000%(M) | 765 | * | 956 | — | 956 |
Goldman Sachs International | |||||||||
BlackRock | 12/07/18 | 1.000%(M) | 327 | * | 409 | — | 409 |
Goldman Sachs International | |||||||||
Blue Mountain CLO II Ltd. | 12/07/18 | 1.000%(M) | 441 | * | 551 | — | 551 |
Goldman Sachs International | |||||||||
BlueMountain CLO II Ltd. | 12/07/18 | 0.500%(M) | 82 | * | 61 | — | 61 |
Goldman Sachs International | |||||||||
Carlyle | 12/07/18 | 0.500%(M) | 81 | * | 51 | — | 51 |
Goldman Sachs International | |||||||||
CIFC | 12/07/18 | 1.000%(M) | 656 | * | 409 | — | 409 |
Goldman Sachs International | |||||||||
CSAM | 12/07/18 | 0.500%(M) | 98 | * | 61 | — | 61 |
Goldman Sachs International |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at November 30, 2018(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
Ellington CLO I Ltd. | 12/07/18 | 0.500%(M) | 1,704 | * | $ 1,065 | $— | $ 1,065 |
Goldman Sachs International | |||||||||
Ellington CLO I Ltd. | 12/07/18 | 1.000%(M) | 1,065 | 7.000% | 1,331 | — | 1,331 |
Goldman Sachs International | |||||||||
Ellington CLO I Ltd. | 12/07/18 | 1.000%(M) | 959 | * | 1,198 | — | 1,198 |
Goldman Sachs International | |||||||||
Fortress Credit BSL Ltd. CLO | 12/07/18 | 0.500%(M) | 1,463 | * | 914 | — | 914 |
Goldman Sachs International | |||||||||
Fortress Credit BSL Ltd. CLO | 12/07/18 | 0.500%(M) | 944 | * | 590 | — | 590 |
Goldman Sachs International | |||||||||
Galaxy CLO Ltd. | 12/07/18 | 1.000%(M) | 527 | * | 659 | — | 659 |
Goldman Sachs International | |||||||||
Golub Capital Partners Fundings Ltd. | 12/07/18 | 0.500%(M) | 647 | * | 404 | — | 404 |
Goldman Sachs International | |||||||||
Greywolf CLO III Ltd. | 12/07/18 | 1.000%(M) | 465 | * | 581 | — | 581 |
Goldman Sachs International | |||||||||
GSO | 12/07/18 | 0.500%(M) | 164 | * | 102 | — | 102 |
Goldman Sachs International | |||||||||
Halcyon Access LLC | 12/07/18 | 0.500%(M) | 164 | * | 82 | — | 82 |
Goldman Sachs International | |||||||||
HAYFIN | 12/07/18 | 0.500%(M) | 195 | * | 122 | — | 122 |
Goldman Sachs International | |||||||||
HighBridge | 12/07/18 | 0.500%(M) | 1,285 | * | 803 | — | 803 |
Goldman Sachs International | |||||||||
ICG US CLO Ltd. | 12/07/18 | 1.000%(M) | 1,393 | * | 1,740 | — | 1,740 |
Goldman Sachs International |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at November 30, 2018(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
Invesco | 12/07/18 | 1.000%(M) | 624 | 7.000% | $ 779 | $— | $ 779 |
Goldman Sachs International | |||||||||
Invesco | 12/07/18 | 0.500%(M) | 188 | * | 117 | — | 117 |
Goldman Sachs International | |||||||||
KVK CLO Ltd. | 12/07/18 | 1.000%(M) | 572 | * | 714 | — | 714 |
Goldman Sachs International | |||||||||
MidOcean Credit CLO I | 12/07/18 | 0.500%(M) | 1,662 | * | 1,038 | — | 1,038 |
Goldman Sachs International | |||||||||
Octagon | 12/07/18 | 0.500%(M) | 1,191 | * | 744 | — | 744 |
Goldman Sachs International | |||||||||
Octagon | 12/07/18 | 0.500%(M) | 187 | * | 117 | — | 117 |
Goldman Sachs International | |||||||||
Octagon Investment Partners X Ltd. | 12/07/18 | 0.500%(M) | 320 | * | 200 | — | 200 |
Goldman Sachs International | |||||||||
Octagon Investment Partners X Ltd. | 12/07/18 | 0.500%(M) | 309 | * | 193 | — | 193 |
Goldman Sachs International | |||||||||
Octagon Investment Partners X Ltd. | 12/07/18 | 1.000%(M) | 109 | 7.000% | 136 | — | 136 |
Goldman Sachs International | |||||||||
Octagon Investment Partners XXV Ltd. | 12/07/18 | 1.000%(M) | 97 | 7.000% | 121 | — | 121 |
Goldman Sachs International | |||||||||
Rothchild Corp. | 12/07/18 | 0.500%(M) | 145 | * | 90 | — | 90 |
Goldman Sachs International | |||||||||
Rsource CLO | 12/07/18 | 0.500%(M) | 646 | * | 403 | — | 403 |
Goldman Sachs International |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at November 30, 2018(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
SEIX Investments Advisors | 12/07/18 | 0.500%(M) | 4,350 | * | $ 2,717 | $— | $ 2,717 |
Goldman Sachs International | |||||||||
SEIX Investments Advisors | 12/07/18 | 0.500%(M) | 900 | * | 562 | — | 562 |
Goldman Sachs International | |||||||||
Shackleton I CLO Ltd. | 12/07/18 | 1.000%(M) | 290 | * | 362 | — | 362 |
Goldman Sachs International | |||||||||
Shenkman Capital | 12/07/18 | 0.500%(M) | 1,304 | * | 815 | — | 815 |
Goldman Sachs International | |||||||||
Sound Point CLO I Ltd. | 12/07/18 | 1.000%(M) | 942 | * | 1,177 | — | 1,177 |
Goldman Sachs International | |||||||||
Steele Creek | 12/07/18 | 1.000%(M) | 876 | * | 1,094 | — | 1,094 |
Goldman Sachs International | |||||||||
Steele Creek | 12/07/18 | 0.500%(M) | 673 | * | 421 | — | 421 |
Goldman Sachs International | |||||||||
Steele Creek | 12/07/18 | 0.500%(M) | 660 | * | 412 | — | 412 |
Goldman Sachs International | |||||||||
Telos CLO Ltd. | 12/07/18 | 0.500%(M) | 1,062 | * | 663 | — | 663 |
Goldman Sachs International | |||||||||
TPG | 12/07/18 | 1.000%(M) | 2,016 | * | 2,518 | — | 2,518 |
Goldman Sachs International | |||||||||
Trimaran | 12/07/18 | 1.000%(M) | 736 | 9.580% | 919 | — | 919 |
Goldman Sachs International | |||||||||
Trimaran | 12/07/18 | 1.000%(M) | 540 | * | 675 | — | 675 |
Goldman Sachs International | |||||||||
Venture CDO Ltd. | 12/07/18 | 0.500%(M) | 1,577 | * | 985 | — | 985 |
Goldman Sachs International |
Reference
Entity/ Obligation |
Termination
Date |
Fixed
Rate |
Notional
Amount (000)#(3) |
Implied
Credit Spread at November 30, 2018(4) |
Fair
Value |
Upfront
Premiums Paid (Received) |
Unrealized
Appreciation (Depreciation) |
Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
Venture CDO Ltd. | 12/07/18 | 1.000%(M) | 768 | * | $ 864 | $— | $ 864 |
Goldman Sachs International | |||||||||
Venture CDO Ltd. | 12/07/18 | 1.000%(M) | 131 | * | 163 | — | 163 |
Goldman Sachs International | |||||||||
VOYA | 12/07/18 | 1.000%(M) | 1,641 | * | 2,051 | — | 2,051 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 1.000%(M) | 2,097 | * | 2,619 | — | 2,619 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 0.500%(M) | 1,229 | * | 768 | — | 768 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 1.000%(M) | 919 | 7.000% | 1,148 | — | 1,148 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 0.500%(M) | 600 | * | 375 | — | 375 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 0.500%(M) | 562 | * | 351 | — | 351 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 0.500%(M) | 337 | * | 211 | — | 211 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 1.000%(M) | 152 | * | 190 | — | 190 |
Goldman Sachs International | |||||||||
Wind River CLO Ltd. | 12/07/18 | 1.000%(M) | 152 | * | 190 | — | 190 |
Goldman Sachs International | |||||||||
ZAIS CDO | 12/07/18 | 1.000%(M) | 569 | * | 711 | — | 711 |
Goldman Sachs International | |||||||||
$53,397 | $— | $53,397 |
(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. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Fund is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents 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. |
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating
Rate |
Value
at Trade Date |
Value
at November 30, 2018 |
Unrealized
Appreciaton (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
4,800 | 02/03/19 | 1.538%(S) | 3 Month LIBOR(1)(Q) | $ (1,913) | $ (5,645) | $ (3,732) | ||||||||
9,350 | 02/02/22 | 1.994%(S) | 3 Month LIBOR(1)(Q) | (8,646) | 238,526 | 247,172 | ||||||||
7,200 | 02/03/24 | 2.228%(S) | 3 Month LIBOR(1)(Q) | (53,105) | 221,355 | 274,460 | ||||||||
$(63,664) | $454,236 | $517,900 |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
Broker | Cash and/or Foreign Currency | Securities Market Value | ||
Citigroup Global Markets | $438,000 | $— |
Level 1 | Level 2 | Level 3 | |||
Investments in Securities | |||||
Asset-Backed Securities | |||||
Collateralized Loan
Obligations |
$ — | $ 52,142,524 | $ — | ||
Bank
Loans |
— | 921,045,559 | 179,843,829 | ||
Corporate
Bonds |
— | 27,446,612 | — | ||
Common
Stocks |
509,077 | — | 556,219 | ||
Warrants |
— | — | 4,680 | ||
Affiliated Mutual
Funds |
20,782,661 | — | — | ||
Other Financial Instruments* | |||||
Unfunded Loan
Commitments |
— | (16,850) | — |
Level 1 | Level 2 | Level 3 | |||
Other Financial Instruments* (continued) | |||||
OTC Credit Default Swap
Agreements |
$ — | $ — | $ 53,397 | ||
Centrally Cleared Interest Rate Swap
Agreements |
— | 517,900 | — | ||
Total | $21,291,738 | $1,001,135,745 | $180,458,125 |
Bank
Loans |
Common
Stocks |
Warrants | Credit
Default Swap Agreements |
|||||||
Balance as of
02/28/18 |
$103,260,724 | $ — | $ — | $ 12,894 | ||||||
Realized gain
(loss) |
148,138 | — | — | 12,089 | ||||||
Change in unrealized appreciation
(depreciation) |
(4,650,560) | (2,678) | (1,751) | 40,503 | ||||||
Purchases/Exchanges/Issuances |
114,653,159 | 558,897 | 6,431 | — | ||||||
Sales/Paydowns |
(38,720,409) | — | — | (12,089) | ||||||
Accrued
discount/premium |
67,753 | — | — | — | ||||||
Transfers into of Level
3 |
38,847,900 | — | — | — | ||||||
Transfers out of Level
3 |
(33,762,876) | — | — | — | ||||||
Balance as of
11/30/18 |
$179,843,829 | $556,219 | $ 4,680 | $ 53,397 | ||||||
Change in unrealized appreciation (depreciation) relating to securities still held at reporting period
end |
$ (2,947,763) | $ (2,678) | $(1,751) | $ 53,397 |
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
Level 3 Securities | Fair
Value as of November 30, 2018 |
Valuation
Methodology |
Unobservable Inputs | Range
(Weighted Average) | ||||
Bank Loans | $179,843,829 | Market Approach | Single Broker Indicative Quote | $90.50-$105.75 ($98.51) | ||||
Common Stocks | 556,192 | Stale Pricing | Unadjusted Bid Price | $3.05 | ||||
Common Stocks | 27 | Enterprise Value | EBITDA Multiple | $0.01 | ||||
Warrants | 4,680 | Stale Pricing | Unadjusted Bid Price | $0.03 - $0.12 ($0.06) | ||||
Credit
Default Swap Agreements |
53,397 | Market Approach | Single Broker Indicative Quote | $0.05 - $0.12 ($0.09) | ||||
180,458,125 |
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||
Bank Loans | $33,762,876 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes | |||
Bank Loans | $38,847,900 | L2 to L3 | Multiple Broker Quotes to Single Broker Indicative Quote |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Long-Term Investments 99.9% | |||||
Asset-Backed Securities 3.9% | |||||
Collateralized Loan Obligations | |||||
Battalion
CLO Ltd. (Cayman Islands), Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040% |
3.489 %(c) | 07/17/28 | 1,250 | $ 1,249,005 | |
BlueMountain
CLO Ltd. (Cayman Islands), Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330% |
3.766(c) | 04/13/27 | 1,250 | 1,250,361 | |
Flagship
CLO Ltd. (Cayman Islands), Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850% |
3.286(c) | 01/16/26 | 4,500 | 4,487,760 | |
Limerock
CLO LLC (Cayman Islands), Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200% |
3.669(c) | 10/20/26 | 2,450 | 2,450,431 | |
Romark
CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% |
3.431(c) | 07/25/31 | 4,000 | 3,980,126 | |
Sound
Point CLO Ltd. (Cayman Islands), Series 2014-03RA, Class A1, 144A |
0.000(cc) | 10/23/31 | 1,500 | 1,499,281 | |
Total
Asset-Backed Securities (cost $14,939,033) |
14,916,964 | ||||
Commercial Mortgage-Backed Securities 18.9% | |||||
BANK,
Series 2017-BNK05, Class A3 |
3.020 | 06/15/60 | 3,600 | 3,455,002 | |
Citigroup
Commercial Mortgage Trust, Series 2015-GC33, Class A3 |
3.515 | 09/10/58 | 2,500 | 2,464,035 | |
Deutsche
Bank Commercial Mortgage Trust, Series 2017-C06, Class A3 |
3.269 | 06/10/50 | 3,600 | 3,515,835 | |
Fannie Mae-Aces, | |||||
Series 2012-M02, Class A2 | 2.717 | 02/25/22 | 236 | 232,664 | |
Series 2015-M01, Class AB2 | 2.465 | 09/25/24 | 652 | 630,556 | |
Series 2015-M17, Class A2 | 3.035(cc) | 11/25/25 | 2,900 | 2,812,282 | |
Series 2016-M11, Class A2 | 2.369(cc) | 07/25/26 | 2,600 | 2,388,058 | |
Series 2016-M13, Class A2 | 2.560(cc) | 09/25/26 | 4,400 | 4,078,549 | |
Series 2018-M14, Class A1 | 3.578(cc) | 08/25/28 | 1,650 | 1,670,943 | |
FHLMC
Multifamily Structured Pass-Through Certificates, |
|||||
Series K008, Class X1, IO | 1.671(cc) | 06/25/20 | 22,728 | 404,772 | |
Series K019, Class X1, IO | 1.768(cc) | 03/25/22 | 23,860 | 1,070,124 | |
Series K020, Class X1, IO | 1.546(cc) | 05/25/22 | 13,963 | 561,269 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
FHLMC Multifamily Structured Pass-Through Certificates, (cont’d.) | |||||
Series K021, Class X1, IO | 1.578 %(cc) | 06/25/22 | 15,141 | $ 642,623 | |
Series K025, Class X1, IO | 0.979(cc) | 10/25/22 | 39,094 | 1,089,381 | |
Series K060, Class AM | 3.300(cc) | 10/25/26 | 3,860 | 3,806,538 | |
Series K064, Class A2 | 3.224 | 03/25/27 | 3,900 | 3,809,155 | |
Series K064, Class AM | 3.327(cc) | 03/25/27 | 2,100 | 2,065,224 | |
Series K068, Class AM | 3.315 | 08/25/27 | 3,200 | 3,114,472 | |
Series K073, Class A2 | 3.350 | 01/25/28 | 3,800 | 3,726,661 | |
Series K076, Class A2 | 3.900 | 06/25/51 | 2,700 | 2,751,513 | |
Series K076, Class AM | 3.900 | 06/25/51 | 750 | 764,928 | |
Series K077, Class A2 | 3.850(cc) | 05/25/28 | 1,570 | 1,593,810 | |
Series K077, Class AM | 3.850(cc) | 05/25/28 | 310 | 314,205 | |
Series K078, Class AM | 3.920(cc) | 06/25/28 | 925 | 941,224 | |
Series K079, Class AM | 3.930 | 06/25/28 | 1,225 | 1,253,384 | |
Series K080, Class AM | 3.986(cc) | 07/25/28 | 3,300 | 3,391,540 | |
Series K081, Class AM | 3.900(cc) | 08/25/28 | 2,600 | 2,630,867 | |
Series K083, Class A2 | 4.050(cc) | 09/25/28 | 1,125 | 1,158,520 | |
Series K083, Class AM | 4.030(cc) | 10/25/28 | 450 | 460,467 | |
Series K084, Class AM | 3.880(cc) | 10/25/28 | 2,200 | 2,224,143 | |
Series K085, Class AM | 4.060(cc) | 10/25/28 | 1,100 | 1,128,016 | |
Series K151, Class A3 | 3.511 | 04/25/30 | 900 | 877,528 | |
Series K157, Class A2 | 3.990(cc) | 05/25/33 | 2,900 | 2,974,026 | |
Series K158, Class A2 | 3.900(cc) | 12/25/30 | 1,275 | 1,285,722 | |
Series K710, Class X1, IO | 1.865(cc) | 05/25/19 | 11,140 | 43,623 | |
Series K711, Class X1, IO | 1.799(cc) | 07/25/19 | 10,829 | 51,049 | |
Series W5FX, Class AFX | 3.336(cc) | 04/25/28 | 1,970 | 1,916,333 | |
JPMBB
Commercial Mortgage Securities Trust, Series 2016-C01, Class A3 |
3.515 | 03/15/49 | 2,500 | 2,458,486 | |
JPMorgan
Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 |
2.694 | 04/15/46 | 459 | 444,517 | |
Morgan
Stanley Bank of America Merrill Lynch Trust, Series 2013-C09, Class A3 |
2.834 | 05/15/46 | 886 | 860,179 | |
Wells
Fargo Commercial Mortgage Trust, Series 2015-LC22, Class A3 |
3.572 | 09/15/58 | 2,500 | 2,471,068 | |
Total
Commercial Mortgage-Backed Securities (cost $74,980,662) |
73,533,291 | ||||
Corporate Bonds 1.7% | |||||
Diversified Financial Services | |||||
CDP
Financial, Inc. (Canada), Gtd. Notes, 144A |
3.150 | 07/24/24 | 470 | 464,709 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
Corporate Bonds (Continued) | |||||
Diversified Financial Services (cont’d.) | |||||
Private Export Funding Corp., | |||||
Series BB, U.S. Gov’t. Gtd. Notes | 4.300 % | 12/15/21 | 1,210 | $ 1,256,199 | |
Series KK, U.S. Gov’t. Gtd. Notes | 3.550 | 01/15/24 | 2,085 | 2,134,896 | |
Sr. Unsec’d. Notes, 144A | 2.650 | 02/16/21 | 2,870 | 2,853,087 | |
Total
Corporate Bonds (cost $6,820,311) |
6,708,891 | ||||
Municipal Bonds 0.3% | |||||
California 0.1% | |||||
California
Educational Facilities Authority, Revenue Bonds |
5.000 | 06/01/46 | 275 | 344,322 | |
Texas 0.2% | |||||
University
of Texas System (The), Revenue Bonds |
5.000 | 08/15/47 | 610 | 764,641 | |
Total
Municipal Bonds (cost $1,129,587) |
1,108,963 | ||||
Residential Mortgage-Backed Securities 0.1% | |||||
Merrill
Lynch Mortgage Investors Trust, Series 2003-E, Class A1, 1 Month LIBOR + 0.620% |
2.935(c) | 10/25/28 | 60 | 59,683 | |
Structured
Adjustable Rate Mortgage Loan Trust, Series 2004-01, Class 4A3 |
4.221(cc) | 02/25/34 | 258 | 257,866 | |
Total
Residential Mortgage-Backed Securities (cost $318,822) |
317,549 | ||||
U.S. Government Agency Obligations 44.7% | |||||
Federal Home Loan Banks | 2.625 | 10/01/20 | 1,345 | 1,339,173 | |
Federal Home Loan Banks | 3.000 | 10/12/21 | 870 | 871,640 | |
Federal Home Loan Banks | 3.250 | 11/16/28 | 1,800 | 1,791,191 | |
Federal Home Loan Mortgage Corp. | 2.000 | 01/01/32 | 523 | 491,146 | |
Federal Home Loan Mortgage Corp. | 2.375 | 02/16/21 | 1,755 | 1,736,644 | |
Federal Home Loan Mortgage Corp. | 2.375 | 01/13/22 | 190 | 186,936 | |
Federal Home Loan Mortgage Corp. | 2.500 | 03/01/30 | 1,189 | 1,152,647 | |
Federal Home Loan Mortgage Corp. | 2.500 | 09/01/31 | 763 | 734,933 | |
Federal Home Loan Mortgage Corp. | 3.000 | 10/01/28 | 233 | 230,524 | |
Federal Home Loan Mortgage Corp. | 3.000 | 06/01/29 | 671 | 663,508 | |
Federal Home Loan Mortgage Corp. | 3.000 | 12/01/30 | 707 | 696,286 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Federal Home Loan Mortgage Corp. | 3.000 % | 01/01/37 | 1,479 | $ 1,435,889 | |
Federal Home Loan Mortgage Corp. | 3.000 | 04/01/43 | 1,724 | 1,656,944 | |
Federal Home Loan Mortgage Corp. | 3.000 | 11/01/46 | 913 | 871,251 | |
Federal Home Loan Mortgage Corp. | 3.000 | 11/01/46 | 1,107 | 1,056,189 | |
Federal Home Loan Mortgage Corp. | 3.000 | 12/01/46 | 902 | 860,664 | |
Federal Home Loan Mortgage Corp. | 3.000 | 01/01/47 | 1,921 | 1,832,072 | |
Federal Home Loan Mortgage Corp., MTN | 3.208(s) | 12/11/25 | 1,100 | 878,055 | |
Federal Home Loan Mortgage Corp. | 3.500 | 08/01/26 | 393 | 394,325 | |
Federal Home Loan Mortgage Corp. | 3.500 | 01/01/27 | 204 | 204,603 | |
Federal Home Loan Mortgage Corp. | 3.500 | 11/01/37 | 734 | 731,716 | |
Federal Home Loan Mortgage Corp. | 3.500 | 06/01/42 | 1,780 | 1,761,281 | |
Federal Home Loan Mortgage Corp. | 3.500 | 06/01/43 | 1,313 | 1,298,873 | |
Federal Home Loan Mortgage Corp. | 3.500 | 08/01/47 | 954 | 936,934 | |
Federal Home Loan Mortgage Corp. | 3.500 | 10/01/47 | 475 | 466,358 | |
Federal Home Loan Mortgage Corp. | 4.000 | 06/01/26 | 129 | 132,119 | |
Federal Home Loan Mortgage Corp. | 4.000 | 09/01/26 | 350 | 357,954 | |
Federal Home Loan Mortgage Corp. | 4.000 | 11/01/39 | 1,207 | 1,225,825 | |
Federal Home Loan Mortgage Corp. | 4.000 | 09/01/40 | 848 | 860,700 | |
Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 461 | 468,440 | |
Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 650 | 659,895 | |
Federal Home Loan Mortgage Corp. | 4.000 | 04/01/42 | 1,508 | 1,530,981 | |
Federal Home Loan Mortgage Corp. | 4.000 | 05/01/46 | 2,095 | 2,110,018 | |
Federal Home Loan Mortgage Corp. | 4.000 | 08/01/46 | 423 | 426,466 | |
Federal Home Loan Mortgage Corp. | 4.000 | 12/01/46 | 433 | 436,063 | |
Federal Home Loan Mortgage Corp. | 4.000 | 08/01/47 | 482 | 484,565 | |
Federal Home Loan Mortgage Corp. | 4.000 | 10/01/48 | 1,493 | 1,502,200 | |
Federal Home Loan Mortgage Corp. | 4.000 | 11/01/48 | 499 | 501,724 | |
Federal Home Loan Mortgage Corp. | 4.500 | 09/01/39 | 1,783 | 1,855,052 | |
Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 469 | 482,172 | |
Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 470 | 483,414 | |
Federal Home Loan Mortgage Corp. | 5.000 | 06/01/33 | 739 | 783,482 | |
Federal Home Loan Mortgage Corp. | 5.000 | 03/01/34 | 74 | 78,830 | |
Federal Home Loan Mortgage Corp. | 5.000 | 05/01/34 | 83 | 88,518 | |
Federal Home Loan Mortgage Corp. | 5.000 | 05/01/34 | 997 | 1,056,796 | |
Federal Home Loan Mortgage Corp. | 5.000 | 02/01/48 | 488 | 510,360 | |
Federal Home Loan Mortgage Corp. | 5.500 | 05/01/37 | 117 | 126,118 | |
Federal Home Loan Mortgage Corp. | 5.500 | 01/01/38 | 103 | 111,362 | |
Federal Home Loan Mortgage Corp. | 6.000 | 12/01/33 | 61 | 68,361 | |
Federal Home Loan Mortgage Corp. | 6.000 | 09/01/34 | 146 | 158,299 | |
Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 48 | 52,492 | |
Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 140 | 153,912 | |
Federal Home Loan Mortgage Corp. | 7.000 | 09/01/32 | 31 | 31,965 | |
Federal Home Loan Mortgage Corp. | 8.000 | 03/01/22 | 11 | 11,227 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Federal Home Loan Mortgage Corp. | 8.000 % | 08/01/22 | 3 | $ 2,570 | |
Federal Home Loan Mortgage Corp. | 8.500 | 09/01/19 | 1 | 940 | |
Federal Home Loan Mortgage Corp. | 9.000 | 01/01/20 | —(r) | 113 | |
Federal National Mortgage Assoc. | 1.000 | 10/24/19 | 5,000 | 4,922,935 | |
Federal National Mortgage Assoc. | 1.875 | 09/24/26 | 520 | 474,375 | |
Federal National Mortgage Assoc. | 2.000 | 08/01/31 | 622 | 583,925 | |
Federal National Mortgage Assoc. | 2.375 | 01/19/23 | 500 | 489,476 | |
Federal National Mortgage Assoc. | 2.500 | 08/01/28 | 749 | 730,414 | |
Federal National Mortgage Assoc. | 2.500 | 08/01/29 | 168 | 163,156 | |
Federal National Mortgage Assoc. | 2.500 | 11/01/31 | 436 | 420,270 | |
Federal National Mortgage Assoc. | 2.500 | 02/01/43 | 319 | 295,672 | |
Federal National Mortgage Assoc. | 2.500 | 12/01/46 | 1,436 | 1,324,377 | |
Federal National Mortgage Assoc. | 2.750 | 06/22/21 | 765 | 762,931 | |
Federal National Mortgage Assoc. | 2.875 | 09/12/23 | 2,145 | 2,134,350 | |
Federal National Mortgage Assoc. | 3.000 | 01/01/27 | 748 | 742,470 | |
Federal National Mortgage Assoc. | 3.000 | 08/01/28 | 1,321 | 1,308,366 | |
Federal National Mortgage Assoc. | 3.000 | 02/01/31 | 2,760 | 2,725,707 | |
Federal National Mortgage Assoc. | 3.000 | 01/01/32 | 381 | 375,868 | |
Federal National Mortgage Assoc. | 3.000 | 11/01/36 | 1,620 | 1,573,252 | |
Federal National Mortgage Assoc. | 3.000 | 12/01/42 | 1,375 | 1,322,442 | |
Federal National Mortgage Assoc. | 3.000 | 02/01/43 | 862 | 828,696 | |
Federal National Mortgage Assoc. | 3.000 | 03/01/43 | 406 | 388,452 | |
Federal National Mortgage Assoc. | 3.000 | 04/01/43 | 797 | 766,119 | |
Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 433 | 416,321 | |
Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 952 | 915,159 | |
Federal National Mortgage Assoc. | 3.000 | 07/01/43 | 2,569 | 2,469,196 | |
Federal National Mortgage Assoc. | 3.000 | 01/01/47 | 1,658 | 1,582,534 | |
Federal National Mortgage Assoc. | 3.500 | 09/01/26 | 245 | 245,891 | |
Federal National Mortgage Assoc. | 3.500 | 03/01/27 | 616 | 619,111 | |
Federal National Mortgage Assoc. | 3.500 | 12/01/30 | 115 | 116,083 | |
Federal National Mortgage Assoc. | 3.500 | 12/01/32 | 348 | 349,505 | |
Federal National Mortgage Assoc. | 3.500 | 02/01/33 | 249 | 250,186 | |
Federal National Mortgage Assoc. | 3.500 | 05/01/33 | 864 | 867,271 | |
Federal National Mortgage Assoc. | 3.500 | 08/01/33 | 236 | 237,000 | |
Federal National Mortgage Assoc. | 3.500 | 10/01/41 | 2,721 | 2,692,394 | |
Federal National Mortgage Assoc. | 3.500 | 12/01/41 | 739 | 730,927 | |
Federal National Mortgage Assoc. | 3.500 | 03/01/42 | 705 | 697,629 | |
Federal National Mortgage Assoc. | 3.500 | 05/01/42 | 3,328 | 3,292,845 | |
Federal National Mortgage Assoc. | 3.500 | 12/01/42 | 1,726 | 1,707,218 | |
Federal National Mortgage Assoc. | 3.500 | 03/01/43 | 827 | 818,234 | |
Federal National Mortgage Assoc. | 3.500 | 06/01/45 | 6,940 | 6,833,742 | |
Federal National Mortgage Assoc. | 3.500 | 12/01/46 | 2,194 | 2,157,540 | |
Federal National Mortgage Assoc. | 3.500 | 11/01/47 | 847 | 831,389 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Federal National Mortgage Assoc. | 4.000 % | TBA | 1,500 | $ 1,506,696 | |
Federal National Mortgage Assoc. | 4.000 | 09/01/40 | 1,402 | 1,420,373 | |
Federal National Mortgage Assoc. | 4.000 | 01/01/41 | 1,813 | 1,836,871 | |
Federal National Mortgage Assoc. | 4.000 | 07/01/42 | 478 | 483,322 | |
Federal National Mortgage Assoc. | 4.000 | 09/01/44 | 1,484 | 1,495,539 | |
Federal National Mortgage Assoc. | 4.000 | 06/01/47 | 501 | 504,004 | |
Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 477 | 480,145 | |
Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 957 | 963,018 | |
Federal National Mortgage Assoc. | 4.000 | 06/01/48 | 742 | 746,547 | |
Federal National Mortgage Assoc. | 4.500 | 01/01/20 | 15 | 14,852 | |
Federal National Mortgage Assoc. | 4.500 | 04/01/41 | 1,563 | 1,625,819 | |
Federal National Mortgage Assoc. | 4.500 | 01/01/45 | 375 | 387,806 | |
Federal National Mortgage Assoc. | 4.500 | 06/01/48 | 1,218 | 1,253,172 | |
Federal National Mortgage Assoc. | 5.000 | 01/01/19 | 1 | 930 | |
Federal National Mortgage Assoc. | 5.000 | 02/01/19 | 9 | 9,430 | |
Federal National Mortgage Assoc. | 5.000 | 11/01/19 | 16 | 16,555 | |
Federal National Mortgage Assoc. | 5.000 | 12/01/31 | 69 | 72,015 | |
Federal National Mortgage Assoc. | 5.000 | 03/01/34 | 412 | 438,175 | |
Federal National Mortgage Assoc. | 5.000 | 07/01/35 | 160 | 168,735 | |
Federal National Mortgage Assoc. | 5.000 | 09/01/35 | 84 | 88,447 | |
Federal National Mortgage Assoc. | 5.000 | 11/01/35 | 103 | 109,411 | |
Federal National Mortgage Assoc. | 5.000 | 05/01/36 | 63 | 67,225 | |
Federal National Mortgage Assoc. | 5.500 | 02/01/34 | 384 | 413,389 | |
Federal National Mortgage Assoc. | 5.500 | 09/01/34 | 699 | 755,779 | |
Federal National Mortgage Assoc. | 5.500 | 02/01/35 | 586 | 633,526 | |
Federal National Mortgage Assoc. | 5.500 | 06/01/35 | 117 | 125,095 | |
Federal National Mortgage Assoc. | 5.500 | 06/01/35 | 196 | 208,773 | |
Federal National Mortgage Assoc. | 5.500 | 09/01/35 | 110 | 117,356 | |
Federal National Mortgage Assoc. | 5.500 | 09/01/35 | 263 | 280,298 | |
Federal National Mortgage Assoc. | 5.500 | 10/01/35 | 380 | 408,783 | |
Federal National Mortgage Assoc. | 5.500 | 11/01/35 | 554 | 592,679 | |
Federal National Mortgage Assoc. | 5.500 | 11/01/35 | 968 | 1,042,803 | |
Federal National Mortgage Assoc. | 5.500 | 11/01/36 | 11 | 11,820 | |
Federal National Mortgage Assoc. | 6.000 | 08/01/21 | 23 | 23,255 | |
Federal National Mortgage Assoc. | 6.000 | 09/01/21 | 14 | 14,081 | |
Federal National Mortgage Assoc. | 6.000 | 07/01/22 | 1 | 1,346 | |
Federal National Mortgage Assoc. | 6.000 | 09/01/33 | 1 | 623 | |
Federal National Mortgage Assoc. | 6.000 | 11/01/33 | —(r) | 489 | |
Federal National Mortgage Assoc. | 6.000 | 02/01/34 | —(r) | 514 | |
Federal National Mortgage Assoc. | 6.000 | 06/01/34 | —(r) | 164 | |
Federal National Mortgage Assoc. | 6.000 | 09/01/34 | —(r) | 311 | |
Federal National Mortgage Assoc. | 6.000 | 09/01/34 | 24 | 25,584 | |
Federal National Mortgage Assoc. | 6.000 | 09/01/34 | 27 | 29,326 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Federal National Mortgage Assoc. | 6.000 % | 11/01/34 | 4 | $ 4,440 | |
Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 34 | 37,023 | |
Federal National Mortgage Assoc. | 6.000 | 02/01/35 | 1 | 1,359 | |
Federal National Mortgage Assoc. | 6.000 | 03/01/35 | 20 | 21,254 | |
Federal National Mortgage Assoc. | 6.000 | 04/01/35 | 1 | 929 | |
Federal National Mortgage Assoc. | 6.000 | 12/01/35 | 126 | 135,396 | |
Federal National Mortgage Assoc. | 6.000 | 01/01/36 | 245 | 264,018 | |
Federal National Mortgage Assoc. | 6.000 | 05/01/36 | 102 | 111,867 | |
Federal National Mortgage Assoc. | 6.000 | 05/01/36 | 463 | 505,276 | |
Federal National Mortgage Assoc. | 6.250 | 05/15/29 | 210 | 263,671 | |
Federal National Mortgage Assoc. | 6.500 | 07/01/32 | 753 | 832,569 | |
Federal National Mortgage Assoc. | 6.500 | 08/01/32 | 243 | 263,830 | |
Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 90 | 97,104 | |
Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 99 | 107,103 | |
Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 716 | 798,626 | |
Federal National Mortgage Assoc. | 6.500 | 10/01/37 | 331 | 365,310 | |
Federal National Mortgage Assoc. | 6.625 | 11/15/30 | 350 | 460,370 | |
Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 4 | 3,790 | |
Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 5 | 4,702 | |
Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 11 | 11,064 | |
Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 17 | 17,387 | |
Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 21 | 21,348 | |
Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 87 | 93,702 | |
Federal National Mortgage Assoc. | 7.000 | 12/01/31 | 1 | 1,258 | |
Federal National Mortgage Assoc. | 7.000 | 12/01/31 | 318 | 354,609 | |
Federal National Mortgage Assoc. | 7.000 | 09/01/33 | 68 | 68,642 | |
Federal National Mortgage Assoc. | 7.000 | 10/01/33 | 32 | 31,965 | |
Federal National Mortgage Assoc. | 7.000 | 11/01/33 | 11 | 11,549 | |
Federal National Mortgage Assoc. | 7.000 | 11/01/33 | 70 | 71,546 | |
Federal National Mortgage Assoc. | 7.000 | 02/01/36 | 6 | 6,328 | |
Federal National Mortgage Assoc. | 9.000 | 04/01/25 | 4 | 3,953 | |
Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 1 | 1,579 | |
Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 2 | 2,476 | |
Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 8 | 7,618 | |
Federal National Mortgage Assoc. | 9.500 | 02/01/25 | 1 | 1,375 | |
Freddie Mac Strips Coupon | 3.318(s) | 09/15/23 | 515 | 444,052 | |
Freddie Mac Strips Coupon | 3.366(s) | 07/15/24 | 1,105 | 926,631 | |
Freddie Mac Strips Coupon | 3.374(s) | 09/15/24 | 495 | 412,538 | |
Government National Mortgage Assoc. | 2.500 | 12/20/46 | 593 | 553,732 | |
Government National Mortgage Assoc. | 3.000 | 03/15/45 | 2,482 | 2,392,294 | |
Government National Mortgage Assoc. | 3.000 | 10/20/46 | 412 | 397,307 | |
Government National Mortgage Assoc. | 3.000 | 02/20/47 | 6,847 | 6,598,440 | |
Government National Mortgage Assoc. | 3.500 | 04/20/42 | 417 | 414,735 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 3.500 % | 01/20/43 | 2,334 | $ 2,320,671 | |
Government National Mortgage Assoc. | 3.500 | 04/20/43 | 1,082 | 1,075,220 | |
Government National Mortgage Assoc. | 3.500 | 03/20/45 | 2,061 | 2,042,357 | |
Government National Mortgage Assoc. | 3.500 | 04/20/45 | 1,163 | 1,152,130 | |
Government National Mortgage Assoc. | 3.500 | 07/20/46 | 4,412 | 4,366,671 | |
Government National Mortgage Assoc. | 3.500 | 01/20/47 | 933 | 923,186 | |
Government National Mortgage Assoc. | 3.500 | 03/20/47 | 456 | 451,220 | |
Government National Mortgage Assoc. | 4.000 | 02/20/41 | 554 | 565,437 | |
Government National Mortgage Assoc. | 4.000 | 06/20/44 | 1,208 | 1,231,801 | |
Government National Mortgage Assoc. | 4.000 | 08/20/44 | 362 | 367,929 | |
Government National Mortgage Assoc. | 4.000 | 11/20/45 | 831 | 848,012 | |
Government National Mortgage Assoc. | 4.000 | 11/20/46 | 842 | 858,182 | |
Government National Mortgage Assoc. | 4.000 | 02/20/47 | 876 | 887,442 | |
Government National Mortgage Assoc. | 4.500 | 02/20/40 | 330 | 345,252 | |
Government National Mortgage Assoc. | 4.500 | 01/20/41 | 192 | 201,085 | |
Government National Mortgage Assoc. | 4.500 | 02/20/41 | 963 | 1,007,671 | |
Government National Mortgage Assoc. | 4.500 | 03/20/41 | 495 | 517,551 | |
Government National Mortgage Assoc. | 4.500 | 06/20/44 | 728 | 763,187 | |
Government National Mortgage Assoc. | 4.500 | 02/20/46 | 73 | 76,573 | |
Government National Mortgage Assoc. | 4.500 | 03/20/46 | 368 | 382,545 | |
Government National Mortgage Assoc. | 4.500 | 03/20/47 | 2,488 | 2,589,969 | |
Government National Mortgage Assoc. | 4.500 | 08/20/47 | 491 | 507,347 | |
Government National Mortgage Assoc. | 4.500 | 01/20/48 | 470 | 485,546 | |
Government National Mortgage Assoc. | 4.500 | 02/20/48 | 3,024 | 3,122,016 | |
Government National Mortgage Assoc. | 5.000 | 07/15/33 | 525 | 557,006 | |
Government National Mortgage Assoc. | 5.000 | 09/15/33 | 668 | 709,748 | |
Government National Mortgage Assoc. | 5.000 | 04/15/34 | 65 | 67,348 | |
Government National Mortgage Assoc. | 5.500 | 02/15/34 | 538 | 582,204 | |
Government National Mortgage Assoc. | 5.500 | 02/15/36 | 120 | 129,678 | |
Government National Mortgage Assoc. | 7.000 | 12/15/22 | —(r) | 320 | |
Government National Mortgage Assoc. | 7.000 | 12/15/22 | 1 | 958 | |
Government National Mortgage Assoc. | 7.000 | 01/15/23 | —(r) | 452 | |
Government National Mortgage Assoc. | 7.000 | 01/15/23 | 2 | 1,613 | |
Government National Mortgage Assoc. | 7.000 | 01/15/23 | 2 | 1,874 | |
Government National Mortgage Assoc. | 7.000 | 01/15/23 | 3 | 2,601 | |
Government National Mortgage Assoc. | 7.000 | 01/15/23 | 3 | 3,225 | |
Government National Mortgage Assoc. | 7.000 | 02/15/23 | 3 | 2,969 | |
Government National Mortgage Assoc. | 7.000 | 03/15/23 | 2 | 1,930 | |
Government National Mortgage Assoc. | 7.000 | 03/15/23 | 4 | 3,515 | |
Government National Mortgage Assoc. | 7.000 | 04/15/23 | 1 | 976 | |
Government National Mortgage Assoc. | 7.000 | 04/15/23 | 1 | 1,161 | |
Government National Mortgage Assoc. | 7.000 | 04/15/23 | 2 | 1,613 | |
Government National Mortgage Assoc. | 7.000 | 04/15/23 | 4 | 4,248 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 7.000 % | 05/15/23 | —(r) | $ 106 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 336 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 625 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 649 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 652 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 921 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 1,449 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 2 | 2,003 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 5 | 5,462 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 8 | 8,002 | |
Government National Mortgage Assoc. | 7.000 | 05/15/23 | 13 | 13,027 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 133 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 343 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 415 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 1,303 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 1,337 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | 2 | 1,539 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | 2 | 1,829 | |
Government National Mortgage Assoc. | 7.000 | 06/15/23 | 3 | 3,466 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 250 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 319 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 624 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 688 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 750 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 1,084 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 1,408 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 2 | 2,061 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 3 | 2,765 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 3 | 3,526 | |
Government National Mortgage Assoc. | 7.000 | 07/15/23 | 15 | 14,974 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 186 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 544 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 614 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 617 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 653 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 986 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,040 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,395 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 1,630 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 1,842 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 2,332 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 3 | 2,804 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 3 | 3,313 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 7.000 % | 08/15/23 | 4 | $ 4,217 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 5 | 4,936 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 5 | 5,026 | |
Government National Mortgage Assoc. | 7.000 | 08/15/23 | 6 | 6,032 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 638 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 806 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 982 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 1,080 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 1,153 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 1,480 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 8 | 8,410 | |
Government National Mortgage Assoc. | 7.000 | 09/15/23 | 33 | 34,404 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 200 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 216 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 317 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 585 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 775 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,066 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,146 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,255 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,359 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,496 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,584 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,597 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,667 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,782 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,796 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,960 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 3 | 2,788 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 3 | 3,519 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 4 | 3,716 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 4 | 3,810 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 4 | 4,219 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 4 | 4,316 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 5 | 4,729 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 5 | 4,972 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 6 | 6,420 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 7 | 6,618 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 11 | 11,124 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 13 | 13,507 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 37 | 37,489 | |
Government National Mortgage Assoc. | 7.000 | 10/15/23 | 44 | 45,354 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | —(r) | 417 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 7.000 % | 11/15/23 | —(r) | $ 496 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 508 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 730 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 992 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,201 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,302 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,335 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,462 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 1,611 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 2,100 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 3,006 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 3,276 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 4 | 4,382 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 4 | 4,582 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 5 | 5,459 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 6 | 6,107 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 6 | 6,178 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 6 | 6,413 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 6 | 6,546 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 12 | 12,196 | |
Government National Mortgage Assoc. | 7.000 | 11/15/23 | 13 | 13,588 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 467 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 589 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 652 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 660 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 782 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,078 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,136 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,242 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,246 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,534 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,671 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 2,318 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 2,359 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 2,580 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 2,636 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 3,162 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 3,269 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 4 | 3,703 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 4 | 4,315 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 4 | 4,498 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 5 | 4,540 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 5 | 5,008 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 7.000 % | 12/15/23 | 5 | $ 5,103 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 5 | 5,677 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 6 | 6,362 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 8 | 7,762 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 8 | 7,821 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 9 | 9,743 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 12 | 12,102 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 15 | 14,994 | |
Government National Mortgage Assoc. | 7.000 | 12/15/23 | 18 | 19,105 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | —(r) | 374 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 944 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,008 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,071 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,425 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 1,559 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 2,338 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 3 | 2,609 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 3 | 2,624 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 4 | 4,072 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 4 | 4,381 | |
Government National Mortgage Assoc. | 7.000 | 01/15/24 | 7 | 7,332 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | —(r) | 416 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 608 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 760 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | 2 | 1,706 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | 2 | 1,934 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | 2 | 2,314 | |
Government National Mortgage Assoc. | 7.000 | 02/15/24 | 11 | 11,451 | |
Government National Mortgage Assoc. | 7.000 | 03/15/24 | —(r) | 19 | |
Government National Mortgage Assoc. | 7.000 | 03/15/24 | —(r) | 115 | |
Government National Mortgage Assoc. | 7.000 | 03/15/24 | 1 | 769 | |
Government National Mortgage Assoc. | 7.000 | 03/15/24 | 1 | 1,266 | |
Government National Mortgage Assoc. | 7.000 | 03/15/24 | 1 | 1,272 | |
Government National Mortgage Assoc. | 7.000 | 03/15/24 | 3 | 2,774 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 115 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 495 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 590 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 678 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 786 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 813 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 882 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 2 | 1,609 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 2 | 1,999 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 7.000 % | 04/15/24 | 2 | $ 2,117 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 2 | 2,243 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 2 | 2,299 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 5 | 4,604 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 7 | 6,797 | |
Government National Mortgage Assoc. | 7.000 | 04/15/24 | 10 | 10,829 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 250 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 466 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 1 | 724 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 1,692 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 1,865 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 3 | 2,744 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 3 | 3,157 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 4 | 4,376 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 4 | 4,525 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 7 | 6,908 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 7 | 7,268 | |
Government National Mortgage Assoc. | 7.000 | 05/15/24 | 10 | 9,914 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 364 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 406 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 1 | 1,118 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 1 | 1,158 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 2 | 1,585 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 3 | 3,254 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 4 | 3,691 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 4 | 4,108 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 7 | 7,088 | |
Government National Mortgage Assoc. | 7.000 | 06/15/24 | 10 | 9,862 | |
Government National Mortgage Assoc. | 7.000 | 07/15/24 | 2 | 1,669 | |
Government National Mortgage Assoc. | 7.000 | 07/15/24 | 3 | 2,905 | |
Government National Mortgage Assoc. | 7.000 | 10/15/24 | 5 | 5,509 | |
Government National Mortgage Assoc. | 7.000 | 02/15/29 | 7 | 6,959 | |
Government National Mortgage Assoc. | 7.500 | 01/15/23 | —(r) | 101 | |
Government National Mortgage Assoc. | 7.500 | 01/15/23 | —(r) | 340 | |
Government National Mortgage Assoc. | 7.500 | 03/15/23 | 1 | 961 | |
Government National Mortgage Assoc. | 7.500 | 05/15/23 | 1 | 603 | |
Government National Mortgage Assoc. | 7.500 | 05/15/23 | 5 | 4,838 | |
Government National Mortgage Assoc. | 7.500 | 06/15/23 | —(r) | 348 | |
Government National Mortgage Assoc. | 7.500 | 07/15/23 | —(r) | 119 | |
Government National Mortgage Assoc. | 7.500 | 07/15/23 | —(r) | 212 | |
Government National Mortgage Assoc. | 7.500 | 09/15/23 | 3 | 2,845 | |
Government National Mortgage Assoc. | 7.500 | 10/15/23 | 4 | 3,897 | |
Government National Mortgage Assoc. | 7.500 | 10/15/23 | 9 | 9,260 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Government National Mortgage Assoc. | 7.500 % | 11/15/23 | 1 | $ 746 | |
Government National Mortgage Assoc. | 7.500 | 11/15/23 | 9 | 9,686 | |
Government National Mortgage Assoc. | 7.500 | 12/15/23 | 1 | 690 | |
Government National Mortgage Assoc. | 7.500 | 12/15/23 | 3 | 2,789 | |
Government National Mortgage Assoc. | 7.500 | 01/15/24 | 2 | 1,637 | |
Government National Mortgage Assoc. | 7.500 | 01/15/24 | 2 | 2,508 | |
Government National Mortgage Assoc. | 7.500 | 01/15/24 | 3 | 3,035 | |
Government National Mortgage Assoc. | 7.500 | 01/15/24 | 13 | 12,874 | |
Government National Mortgage Assoc. | 7.500 | 01/15/24 | 13 | 12,943 | |
Government National Mortgage Assoc. | 7.500 | 02/15/24 | 1 | 990 | |
Government National Mortgage Assoc. | 7.500 | 02/15/24 | 11 | 11,979 | |
Government National Mortgage Assoc. | 7.500 | 03/15/24 | 1 | 690 | |
Government National Mortgage Assoc. | 7.500 | 03/15/24 | 1 | 1,325 | |
Government National Mortgage Assoc. | 7.500 | 03/15/24 | 3 | 3,285 | |
Government National Mortgage Assoc. | 7.500 | 04/15/24 | 3 | 2,665 | |
Government National Mortgage Assoc. | 7.500 | 04/15/24 | 3 | 2,817 | |
Government National Mortgage Assoc. | 7.500 | 04/15/24 | 6 | 6,462 | |
Government National Mortgage Assoc. | 7.500 | 05/15/24 | 1 | 607 | |
Government National Mortgage Assoc. | 7.500 | 05/15/24 | 1 | 1,022 | |
Government National Mortgage Assoc. | 7.500 | 06/15/24 | 1 | 1,338 | |
Government National Mortgage Assoc. | 7.500 | 06/15/24 | 2 | 2,126 | |
Government National Mortgage Assoc. | 7.500 | 06/15/24 | 4 | 4,067 | |
Government National Mortgage Assoc. | 7.500 | 06/15/24 | 6 | 5,577 | |
Government National Mortgage Assoc. | 7.500 | 07/15/24 | 5 | 5,198 | |
Government National Mortgage Assoc. | 7.500 | 07/15/24 | 12 | 12,189 | |
Government National Mortgage Assoc. | 8.500 | 04/15/25 | 125 | 137,579 | |
Government National Mortgage Assoc. | 9.500 | 07/20/21 | —(r) | 22 | |
Government National Mortgage Assoc. | 9.500 | 08/20/21 | 4 | 4,226 | |
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000 | 06/30/25 | 2,669 | 2,612,718 | |
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.141(s) | 05/15/23 | 600 | 522,721 | |
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.329(s) | 05/15/25 | 1,000 | 811,989 | |
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500 | 09/18/23 | 2,700 | 2,995,831 | |
Residual Funding Corp. Strips Principal, Bonds, PO | 1.753(s) | 01/15/21 | 2,490 | 2,340,264 | |
Residual Funding Corp. Strips Principal, Bonds, PO | 2.862(s) | 01/15/30 | 1,260 | 857,251 | |
Residual Funding Corp. Strips Principal, Bonds, PO | 3.132(s) | 04/15/30 | 2,215 | 1,494,601 | |
Resolution Funding Corp. Strips Interest, Bonds, IO | 3.657(s) | 04/15/30 | 1,000 | 673,290 | |
Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.250 | 03/15/20 | 650 | 645,309 | |
Tennessee Valley Authority, Series A, Sr. Unsec’d. Notes | 2.875 | 02/01/27 | 335 | 323,915 | |
Tennessee Valley Authority, Sr. Unsec’d. Notes | 5.880 | 04/01/36 | 170 | 214,201 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Government Agency Obligations (Continued) | |||||
Tennessee Valley Authority, Series E, Sr. Unsec’d. Notes | 6.750 % | 11/01/25 | 1,300 | $ 1,585,254 | |
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125 | 05/01/30 | 1,170 | 1,573,126 | |
Total
U.S. Government Agency Obligations (cost $177,657,184) |
173,521,605 | ||||
U.S. Treasury Obligations 30.3% | |||||
U.S. Treasury Bonds | 2.500 | 02/15/45 | 620 | 531,335 | |
U.S. Treasury Bonds | 2.875 | 08/15/45 | 1,565 | 1,443,040 | |
U.S. Treasury Bonds | 3.000 | 05/15/45 | 2,300 | 2,174,938 | |
U.S. Treasury Bonds | 3.000 | 08/15/48 | 2,100 | 1,975,230 | |
U.S. Treasury Bonds | 3.125 | 05/15/48 | 75 | 72,296 | |
U.S. Treasury Bonds | 3.625 | 08/15/43 | 1,780 | 1,875,327 | |
U.S. Treasury Bonds | 3.750 | 11/15/43 | 215 | 231,100 | |
U.S. Treasury Inflation Indexed Bonds | 0.625 | 04/15/23 | 5,015 | 4,920,620 | |
U.S. Treasury Notes | 1.375 | 08/31/20 | 3,465 | 3,379,864 | |
U.S. Treasury Notes | 1.625 | 04/30/23 | 945 | 896,716 | |
U.S. Treasury Notes | 1.750 | 05/15/23 | 7,415 | 7,070,318 | |
U.S. Treasury Notes | 1.875 | 04/30/22 | 15,233 | 14,753,994 | |
U.S. Treasury Notes | 2.000 | 11/30/20 | 8,210 | 8,079,153 | |
U.S. Treasury Notes | 2.125 | 09/30/21 | 15,715 | 15,412,364 | |
U.S. Treasury Notes | 2.125 | 06/30/22 | 4,040 | 3,939,947 | |
U.S. Treasury Notes | 2.125 | 02/29/24 | 3,825 | 3,685,148 | |
U.S. Treasury Notes | 2.125 | 05/15/25(k) | 9,695 | 9,240,547 | |
U.S. Treasury Notes | 2.250 | 12/31/24 | 3,485 | 3,357,852 | |
U.S. Treasury Notes | 2.250 | 11/15/27 | 1,310 | 1,232,884 | |
U.S. Treasury Notes | 2.375 | 01/31/23 | 85 | 83,413 | |
U.S. Treasury Notes | 2.375 | 08/15/24 | 12,660 | 12,310,861 | |
U.S. Treasury Notes | 2.875 | 10/31/20 | 3,065 | 3,067,514 | |
U.S. Treasury Notes | 2.875 | 11/15/21 | 2,135 | 2,137,585 | |
U.S. Treasury Notes | 3.000 | 09/30/25 | 1,310 | 1,316,141 | |
U.S. Treasury Strips Coupon | 1.881(s) | 05/15/31 | 1,100 | 741,538 | |
U.S. Treasury Strips Coupon | 1.898(s) | 08/15/29 | 1,100 | 787,008 | |
U.S. Treasury Strips Coupon | 2.100(s) | 11/15/35 | 2,200 | 1,269,171 | |
U.S. Treasury Strips Coupon | 2.184(s) | 02/15/28 | 695 | 523,422 | |
U.S. Treasury Strips Coupon | 2.241(s) | 05/15/28 | 345 | 257,523 | |
U.S. Treasury Strips Coupon | 2.264(s) | 08/15/40 | 2,200 | 1,066,498 | |
U.S. Treasury Strips Coupon | 2.280(s) | 02/15/29 | 345 | 250,935 | |
U.S. Treasury Strips Coupon | 2.384(s) | 05/15/29 | 710 | 511,998 | |
U.S. Treasury Strips Coupon | 2.404(s) | 08/15/21 | 3,185 | 2,950,301 | |
U.S. Treasury Strips Coupon | 2.499(s) | 02/15/22(k) | 1,675 | 1,528,286 | |
U.S. Treasury Strips Coupon | 3.143(s) | 08/15/27 | 920 | 704,924 | |
U.S. Treasury Strips Principal, PO | 2.543(s) | 02/15/45 | 1,365 | 568,764 | |
U.S. Treasury Strips Principal, PO | 2.620(s) | 05/15/43 | 1,140 | 504,383 |
Description | Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | |
U.S. Treasury Obligations (Continued) | |||||
U.S. Treasury Strips Principal, PO | 2.993 %(s) | 11/15/43 | 440 | $ 191,156 | |
U.S. Treasury Strips Principal, PO | 3.005(s) | 11/15/44 | 1,045 | 440,074 | |
U.S. Treasury Strips Principal, PO | 3.429(s) | 08/15/43 | 2,480 | 1,086,394 | |
U.S. Treasury Strips Principal, PO | 3.626(s) | 05/15/44 | 2,865 | 1,224,699 | |
Total
U.S. Treasury Obligations (cost $120,857,311) |
117,795,261 | ||||
Total
Long-Term Investments (cost $396,702,910) |
387,902,524 |
Shares | |||||||
Short-Term Investments 0.8% | |||||||
Affiliated Mutual Fund 0.8% | |||||||
PGIM
Core Ultra Short Bond Fund (cost $3,059,650)(w) |
3,059,650 | 3,059,650 | |||||
Options Purchased*~ 0.0% | |||||||
(cost $20,693) | 208,294 | ||||||
TOTAL
SHORT-TERM INVESTMENTS (cost $3,080,343) |
3,267,944 | ||||||
TOTAL
INVESTMENTS 100.7% (cost $399,783,253) |
391,170,468 | ||||||
Liabilities in excess of other assets(z) (0.7)% | (2,901,084) | ||||||
Net Assets 100.0% | $ 388,269,384 |
See the Glossary for abbreviations used in the quarterly schedule of portfolio holdings. |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at November 30, 2018. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of November 30, 2018. 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. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(w) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Forward Commitment Contract | ||||||||||
U.S. Government Agency Obligations | Interest
Rate |
Maturity
Date |
Settlement
Date |
Principal
Amount (000)# |
Value | |||||
Federal
National Mortgage Assoc. (proceeds receivable $3,405,254) |
3.500% | TBA | 12/13/18 | (3,500) | $(3,431,539) |
OTC Traded | ||||||||||||||||
Description | Call/
Put |
Counterparty | Expiration
Date |
Strike | Contracts | Notional
Amount (000)# |
Value | |||||||||
2- Year 10 CMS Curve CAP | Call | Morgan Stanley & Co. International PLC | 11/21/19 | 0.13% | — | 1,200 | $ 2,753 | |||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/21/19 | 0.12% | — | 1,800 | 4,347 | |||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11% | — | 2,178 | 12,275 | |||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11% | — | 2,118 | 11,947 | |||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15% | — | 5,296 | 29,199 | |||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15% | — | 10,512 | 64,504 | |||||||||
2- Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14% | — | 10,660 | 68,005 | |||||||||
2- Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21% | — | 2,118 | 15,264 | |||||||||
Total Options Purchased (cost $20,693) | $208,294 |
Futures contracts outstanding at November 30, 2018: | ||||||||
Number
of Contracts |
Type | Expiration
Date |
Current
Notional Amount |
Value
/ Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
191 | 2 Year U.S. Treasury Notes | Mar. 2019 | $40,298,016 | $ 22,957 | ||||
192 | 5 Year U.S. Treasury Notes | Mar. 2019 | 21,688,500 | 29,417 | ||||
140 | 10 Year U.S. Treasury Notes | Mar. 2019 | 16,723,438 | 43,095 | ||||
22 | 10 Year U.S. Ultra Treasury Notes | Mar. 2019 | 2,783,000 | 9,937 | ||||
282 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2019 | 42,978,562 | 39,385 | ||||
144,791 | ||||||||
Short Positions: | ||||||||
229 | 90 Day Euro Dollar | Dec. 2018 | 55,648,431 | 487,582 | ||||
278 | 20 Year U.S. Treasury Bonds | Mar. 2019 | 38,893,937 | (161,500) | ||||
326,082 | ||||||||
$ 470,873 |
Notional
Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating
Rate |
Value
at Trade Date |
Value
at November 30, 2018 |
Unrealized
Appreciaton (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
736,115 | 01/30/19 | 2.261%(A) | 1 Day USOIS(1)(A) | $ — | $ 114,395 | $ 114,395 | ||||||||
38,885 | 06/30/19 | 1.486%(A) | 1 Day USOIS(1)(A) | (14,796) | 313,898 | 328,694 | ||||||||
8,820 | 06/30/19 | 1.502%(A) | 1 Day USOIS(1)(A) | (4,485) | 69,803 | 74,288 | ||||||||
14,465 | 09/30/19 | 1.707%(A) | 1 Day USOIS(1)(A) | 4,073 | 111,103 | 107,030 | ||||||||
20,905 | 12/31/19 | 1.840%(A) | 1 Day USOIS(1)(A) | 7,832 | 178,531 | 170,699 | ||||||||
6,995 | 12/31/19 | 1.950%(A) | 1 Day USOIS(1)(A) | 1,724 | 46,394 | 44,670 | ||||||||
2,115 | 12/31/19 | 2.040%(A) | 1 Day USOIS(1)(A) | 23 | 10,688 | 10,665 | ||||||||
8,455 | 03/23/21 | 2.369%(A) | 1 Day USOIS(1)(A) | — | 26,538 | 26,538 | ||||||||
22,835 | 08/15/24 | 2.170%(S) | 3 Month LIBOR(1)(Q) | (7,171) | 859,025 | 866,196 | ||||||||
8,110 | 11/15/24 | 2.334%(S) | 3 Month LIBOR(1)(Q) | 21,190 | 291,116 | 269,926 | ||||||||
6,650 | 02/12/25 | 2.408%(A) | 1 Day USOIS(1)(A) | — | 66,929 | 66,929 | ||||||||
590 | 02/28/25 | 2.454%(A) | 1 Day USOIS(1)(A) | — | 5,966 | 5,966 | ||||||||
3,684 | 05/31/25 | 2.998%(S) | 3 Month LIBOR(1)(Q) | (2,550) | (1,258) | 1,292 | ||||||||
1,905 | 07/31/25 | 2.802%(A) | 1 Day USOIS(1)(A) | — | (15,319) | (15,319) | ||||||||
1,780 | 07/31/25 | 3.105%(S) | 3 Month LIBOR(1)(Q) | 1,404 | (11,414) | (12,818) | ||||||||
8,016 | 07/31/25 | 3.109%(S) | 3 Month LIBOR(1)(Q) | 501 | (53,524) | (54,025) | ||||||||
11,445 | 01/08/26 | 2.210%(S) | 3 Month LIBOR(1)(Q) | 115,325 | 520,853 | 405,528 | ||||||||
4,745 | 02/15/27 | 1.824%(A) | 1 Day USOIS(1)(A) | 53,761 | 304,697 | 250,936 | ||||||||
1,575 | 02/15/27 | 1.899%(A) | 1 Day USOIS(1)(A) | 1,998 | 91,515 | 89,517 | ||||||||
795 | 02/15/27 | 1.965%(A) | 1 Day USOIS(1)(A) | — | 41,908 | 41,908 | ||||||||
2,625 | 02/15/27 | 2.067%(A) | 1 Day USOIS(1)(A) | (1,634) | 116,268 | 117,902 | ||||||||
525 | 05/15/27 | 2.295%(S) | 3 Month LIBOR(1)(Q) | — | 28,834 | 28,834 | ||||||||
145 | 11/15/43 | 2.659%(S) | 3 Month LIBOR(1)(Q) | — | 12,885 | 12,885 | ||||||||
$177,195 | $3,129,831 | $2,952,636 |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
Broker | Cash and/or Foreign Currency | Securities Market Value | ||
Citigroup Global Markets | $— | $3,839,151 |
Level 1 | Level 2 | Level 3 | |||
Investments in Securities | |||||
Asset-Backed Securities | |||||
Collateralized Loan
Obligations |
$ — | $ 14,916,964 | $— | ||
Commercial Mortgage-Backed
Securities |
— | 73,533,291 | — | ||
Corporate
Bonds |
— | 6,708,891 | — | ||
Municipal
Bonds |
— | 1,108,963 | — | ||
Residential Mortgage-Backed
Securities |
— | 317,549 | — | ||
U.S. Government Agency
Obligations |
— | 173,521,605 | — | ||
U.S. Treasury
Obligations |
— | 117,795,261 | — | ||
Affiliated Mutual
Fund |
3,059,650 | — | — | ||
Options
Purchased |
— | 208,294 | — | ||
Other Financial Instruments* | |||||
Forward Commitment
Contract |
— | (3,431,539) | — | ||
Futures
Contracts |
470,873 | — | — | ||
Centrally Cleared Interest Rate Swap
Agreements |
— | 2,952,636 | — | ||
Total | $3,530,523 | $387,631,915 | $— |
* | Other financial instruments are derivatives, with the exception of forward commitment contracts and are not reflected in the Schedule of Investments. Futures, forwards and centrally cleared swap contracts are recorded at net unrealized appreciation (depreciation) and OTC swap contracts are recorded at fair value. Forward commitment contracts are recorded at market value. |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
A—Annual payment frequency for swaps | |
Aces—Alternative Credit Enhancements Securities | |
CDO—Collateralized Debt Obligation | |
CLO—Collateralized Loan Obligation | |
CMS—Constant Maturity Swap | |
FHLMC—Federal Home Loan Mortgage Corporation | |
IO—Interest Only (Principal amount represents notional) | |
L2—Level 2 | |
L3—Level 3 | |
LIBOR—London Interbank Offered Rate | |
M—Monthly payment frequency for swaps | |
MTN—Medium Term Note | |
OTC—Over-the-counter | |
PO—Principal Only | |
Q—Quarterly payment frequency for swaps | |
REITs—Real Estate Investment Trusts | |
S—Semiannual payment frequency for swaps | |
Strips—Separate Trading of Registered Interest and Principal of Securities | |
TBA—To Be Announced | |
USAID—United States Agency for International Development | |
USOIS—United States Overnight Index Swap |
Item 2. Controls and Procedures
(a) | It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There have been no significant changes in the registrants internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. |
Item 3. Exhibits
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Prudential Investment Portfolios, Inc. 14
By (Signature and Title)* | /s/ Andrew R. French | |
Andrew R. French | ||
Secretary of the Fund |
Date | January 15, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Stuart S. Parker | |
Stuart S. Parker | ||
President and Principal Executive Officer |
Date | January 15, 2019 |
By (Signature and Title)* | /s/ Christian J. Kelly | |
Christian J. Kelly | ||
Treasurer and Principal Financial and Accounting Officer |
Date | January 15, 2019 |
* Print the name and title of each signing officer under his or her signature
CERTIFICATIONS
I, Stuart S. Parker, certify that:
1. | I have reviewed this report on Form N-Q of Prudential Investment Portfolios, Inc. 14; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: January 15, 2019 |
/s/ Stuart S. Parker | |
Stuart S. Parker | ||
President and Principal | ||
Executive Officer |
CERTIFICATIONS
I, Christian J. Kelly, certify that:
1. | I have reviewed this report on Form N-Q of Prudential Investment Portfolios, Inc. 14; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: January 15, 2019 |
/s/ Christian J. Kelly | |
Christian J. Kelly | ||
Treasurer and Principal | ||
Financial and Accounting Officer |