Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 99.6% | |||||
Asset-Backed Securities 3.5% | |||||
Collateralized Loan Obligations | |||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2022-25A, Class A1, 144A, 3 Month Term SOFR + 1.390% (Cap N/A, Floor 1.390%) | 1.631 %(c) | 04/20/35 | 25,000 | $24,009,253 | |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-03RA, Class A1A, 144A, 3 Month LIBOR + 1.050% (Cap N/A, Floor 0.000%) | 2.275(c) | 07/27/31 | 4,939 | 4,856,470 | |
Carlyle US CLO Ltd. (Cayman Islands), Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) | 2.224(c) | 01/15/30 | 8,750 | 8,641,484 | |
CIFC Funding Ltd. (Cayman Islands), Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) | 2.103(c) | 04/20/31 | 1,000 | 983,787 | |
HPS Loan Management Ltd. (Cayman Islands), Series 11A-17, Class AR, 144A, 3 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 2.426(c) | 05/06/30 | 26,000 | 25,599,688 | |
Jefferson Mill CLO Ltd. (Cayman Islands), Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 0.000%) | 2.238(c) | 10/20/31 | 997 | 980,099 | |
Madison Park Funding Ltd. (Cayman Islands), | |||||
Series 2019-33A, Class AR, 144A, 3 Month Term SOFR + 1.290% (Cap N/A, Floor 1.290%) | 2.136(c) | 10/15/32 | 2,500 | 2,462,465 | |
Series 2021-59A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) | 1.385(c) | 01/18/34 | 20,000 | 19,649,978 | |
Medalist Partners Corporate Finance CLO Ltd. (Cayman Islands), Series 2021-01A, Class A2, 144A, 3 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) | 2.913(c) | 10/20/34 | 4,725 | 4,493,019 | |
OCP CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1R2, 144A, 3 Month Term SOFR + 1.250% (Cap N/A, Floor 1.250%) | 1.658(c) | 01/15/33 | 40,000 | 39,887,648 | |
Palmer Square CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%) | 2.144(c) | 07/16/31 | 10,000 | 9,862,785 | |
Sixth Street CLO Ltd. (Cayman Islands), Series 2021-19A, Class A, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%) | 2.163(c) | 07/20/34 | 5,000 | 4,849,174 | |
St. Pauls CLO (Netherlands), Series 11A, Class C2R, 144A | 2.500 | 01/17/32 | EUR | 4,500 | 4,575,819 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 2.194 %(c) | 01/17/31 | 5,910 | $5,798,998 | |
Zais CLO Ltd. (Cayman Islands), Series 2015-03A, Class A2R, 144A, 3 Month LIBOR + 2.190% (Cap N/A, Floor 0.000%) | 3.234(c) | 07/15/31 | 1,500 | 1,486,704 | |
Total Asset-Backed Securities (cost $161,480,996) | 158,137,371 | ||||
Bank Loans 84.9% | |||||
Advertising 0.4% | |||||
Clear Channel Outdoor Holdings, Inc., Term B Loan, 3 Month LIBOR + 3.500% | 4.738(c) | 08/21/26 | 2,369 | 2,160,299 | |
Terrier Media Buyer, Inc., 2021 Refinancing Term B Loans, 1 Month LIBOR + 3.500% | 4.560(c) | 12/17/26 | 15,174 | 14,529,409 | |
16,689,708 | |||||
Aerospace & Defense 1.0% | |||||
Cobham Ultra U.S. Co-Borrower LLC, Term Loan | —(p) | 11/17/28 | 1,875 | 1,810,157 | |
Dynasty Acquisition Co., Inc., | |||||
2020 Specified Refinancing Term B-1 Facility, 3 Month LIBOR + 3.500% | 4.506(c) | 04/06/26 | 8,618 | 8,176,091 | |
2020 Specified Refinancing Term B-2 Facility, 3 Month LIBOR + 3.500% | 4.506(c) | 04/06/26 | 4,633 | 4,395,748 | |
Propulsion BC FI (Spain), Term Loan^ | —(p) | 02/10/29 | 3,475 | 3,370,750 | |
Spirit AeroSystems, Inc., Term Loan B, 1 Month LIBOR + 3.750% | 4.810(c) | 01/15/25 | 7,537 | 7,331,662 | |
TransDigm, Inc., | |||||
Tranche E Refinancing Term Loan, 1 Month LIBOR + 2.250% | 3.310(c) | 05/30/25 | 5,793 | 5,629,364 | |
Tranche F Refinancing Term Loan, 1 Month LIBOR + 2.250% | 3.310(c) | 12/09/25 | 15,460 | 15,054,081 | |
45,767,853 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Agriculture 0.3% | |||||
Alltech, Inc., Term B Loan, 1 Month LIBOR + 4.000%^ | 5.060 %(c) | 10/13/28 | 10,666 | $9,786,358 | |
Sycamore Buyer LLC, Term Loan | —(p) | 09/24/28 | 3,692 | 3,537,294 | |
13,323,652 | |||||
Airlines 2.2% | |||||
Air Canada (Canada), Term Loan, 3 Month LIBOR + 3.500% | 4.250(c) | 08/11/28 | 14,550 | 14,131,688 | |
American Airlines, Inc., | |||||
2017 Replacement Class B Term Loan, 1 Month LIBOR + 2.000% | 2.840(c) | 12/15/23 | 13,405 | 13,098,114 | |
2020 Replacement Term Loan, 1 Month LIBOR + 1.750% | 2.810(c) | 01/29/27 | 686 | 625,730 | |
Initial Term Loan, 3 Month LIBOR + 4.750% | 5.813(c) | 04/20/28 | 26,700 | 26,544,259 | |
Mileage Plus Holdings LLC, Initial Term Loan, 3 Month LIBOR + 5.250% | 6.250(c) | 06/21/27 | 17,000 | 17,217,226 | |
United Airlines, Inc., Class B Term Loan, 1 Month LIBOR + 3.750% | 4.711(c) | 04/21/28 | 27,806 | 27,001,262 | |
98,618,279 | |||||
Apparel 0.6% | |||||
Calceus Acquisition, Inc., Term Loan, 3 Month LIBOR + 5.500%^ | 7.075(c) | 02/12/25 | 15,556 | 12,445,047 | |
Fanatics Commerce Intermediate Holdco LLC, Initial Term Loan, 1 Month LIBOR + 3.250%^ | 4.310(c) | 11/24/28 | 13,047 | 12,623,275 | |
25,068,322 | |||||
Auto Manufacturers 0.5% | |||||
American Trailer World Corp., First Lien Initial Term Loan, Term SOFR + 3.600% | 4.634(c) | 03/03/28 | 15,623 | 13,917,531 | |
Novae LLC, | |||||
Delayed Draw Term Loan, Term SOFR + 5.150%^ | 5.919(c) | 12/22/28 | 2,494 | 2,419,611 | |
Tranche B Term Loan, Term SOFR + 5.000%^ | 5.801(c) | 12/22/28 | 8,731 | 8,468,639 | |
24,805,781 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Auto Parts & Equipment 2.1% | |||||
Adient US LLC, Term Loan, 1 Month LIBOR + 3.000% | 4.310 %(c) | 04/10/28 | 14,891 | $14,034,857 | |
American Axle & Manufacturing, Inc., Tranche B Term Loan, 1 Month LIBOR + 2.250% | 3.260(c) | 04/06/24 | 9,523 | 9,340,582 | |
Autokiniton U.S. Holdings, Inc., Closing Date Term B Loan, 3 Month LIBOR + 4.500% | 5.345(c) | 04/06/28 | 9,479 | 8,969,974 | |
Clarios Global LP, Amendment No. 1 Dollar Term Loan (First Lien), 1 Month LIBOR + 3.250% | 4.310(c) | 04/30/26 | 1,250 | 1,197,500 | |
Dexko Global, Inc., | |||||
Closing Date Dollar Term Loan (First Lien), 3 Month LIBOR + 3.750% | 4.717(c) | 10/04/28 | 5,869 | 5,483,188 | |
Delayed Draw Dollar Term Loan, 3 Month LIBOR + 3.750% | 4.717(c) | 10/04/28 | 1,118 | 1,044,417 | |
Excelitas Technologies Corp., First Lien Initial USD Term Loan, 3 Month LIBOR + 3.500%^ | 4.506(c) | 12/02/24 | 743 | 724,599 | |
First Brands Group LLC, First Lien 2021 Term Loan, 3 Month LIBOR + 5.000% | 6.287(c) | 03/30/27 | 5,400 | 5,143,500 | |
Holley, Inc., | |||||
Delayed Draw Term Loan, 3 Month LIBOR + 3.750% | 2.382(c) | 11/17/28 | 702 | 674,096 | |
Initial Term Loan, 3 Month LIBOR + 3.750% | 5.205(c) | 11/17/28 | 7,367 | 7,078,889 | |
IXS Holdings, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% | 5.000(c) | 03/05/27 | 8,331 | 7,330,936 | |
Superior Industries International, Inc., Replacement Term Loan, 1 Month LIBOR + 4.000%^ | 5.060(c) | 05/22/24 | 7,432 | 7,245,921 | |
Tenneco, Inc., | |||||
Tranche A Term Loan, 1 Month LIBOR + 2.000% | 3.060(c) | 09/29/23 | 12,545 | 12,043,409 | |
Tranche B Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 10/01/25 | 4,340 | 4,124,945 | |
Truck Hero, Inc., Initial Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 01/31/28 | 13,511 | 12,252,886 | |
96,689,699 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Banks 0.1% | |||||
Walker & Dunlop, Inc., Initial Term Loan, Term SOFR + 2.250%^ | 2.750 %(c) | 12/16/28 | 5,885 | $5,738,119 | |
Beverages 1.1% | |||||
Arctic Glacier USA, Inc., Specified Refinancing Term Loan, 3 Month LIBOR + 3.500% | 4.506(c) | 03/20/24 | 18,567 | 15,843,827 | |
City Brewing Co. LLC, First Lien Closing Date Term Loan, 3 Month LIBOR + 3.500% | 4.469(c) | 04/05/28 | 12,905 | 11,904,472 | |
Pegasus Bidco BV (United Kingdom), | |||||
Term Loan | —(p) | 05/04/29 | 3,000 | 3,656,261 | |
Term Loan | —(p) | 09/30/29 | 9,000 | 8,893,125 | |
Refresco Holding BV (Netherlands), Facility B2, 5 Day SONIA + 3.500% | 4.440(c) | 03/28/25 | GBP | 6,300 | 7,894,015 |
Sunshine Investments BV (Netherlands), Term Loan, 1 Month LIBOR + 3.000%^ | 4.194(c) | 03/28/25 | 1,632 | 1,619,836 | |
49,811,536 | |||||
Building Materials 1.5% | |||||
ACProducts Holdings, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% | 4.750(c) | 05/17/28 | 4,306 | 3,460,162 | |
Chariot Buyer LLC, Initial Term Loan, 3 Month LIBOR + 3.500%^ | 4.506(c) | 11/03/28 | 3,167 | 2,897,862 | |
Cornerstone Building Brands, Inc., New Term Loan B, 1 Month LIBOR + 3.250% | 4.125(c) | 04/12/28 | 7,009 | 6,220,630 | |
CPG International LLC, Closing Date Term Loan, Term SOFR + 2.600%^ | 4.092(c) | 04/28/29 | 3,000 | 2,910,000 | |
Griffon Corp., Term B Loan, Term SOFR + 2.850% | 3.772(c) | 01/24/29 | 2,875 | 2,770,781 | |
Hunter Douglas, Inc. (Netherlands), Tranche B-1 Term Loan, Term SOFR + 3.500% | 4.842(c) | 02/26/29 | 15,775 | 14,158,062 | |
ILPEA Parent, Inc., Term Loan, 1 Month LIBOR + 4.500%^ | 5.560(c) | 06/22/28 | 1,894 | 1,837,266 | |
Oscar Acquisitionco LLC, Term B Loan, Term SOFR + 4.600% | 6.108(c) | 04/29/29 | 8,050 | 7,365,750 | |
PHRG Intermediate LLC, Initial Term Loans, 1 Month LIBOR + 6.000%^ | 6.928(c) | 12/16/26 | 11,773 | 11,184,350 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Building Materials (cont’d.) | |||||
Smyrna Ready Mix Concrete LLC, Initial Term Loan, Term SOFR + 4.250%^ | 5.384 %(c) | 04/02/29 | 14,375 | $13,835,938 | |
Vector WP HoldCo, Inc., Initial Term B Loan, 1 Month LIBOR + 5.000%^ | 5.875(c) | 10/12/28 | 2,993 | 2,872,800 | |
69,513,601 | |||||
Chemicals 4.2% | |||||
Albaugh LLC, Term Loan B, Term SOFR + 3.750% | 4.750(c) | 04/06/29 | 12,764 | 12,620,107 | |
Alpha BV (United Kingdom), Initial Dollar Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 03/18/28 | 18,365 | 17,820,245 | |
Ascend Performance Materials Operations LLC, 2021 Refinancing Term Loan, 3 Month LIBOR + 4.750% | 5.756(c) | 08/27/26 | 166 | 163,337 | |
ColourOZ Investment LLC, | |||||
First Lien Initial Term B-2 Loan - Non-PIK, 3 Month LIBOR + 4.250% | 5.250(c) | 09/21/23 | 14,539 | 13,273,149 | |
First Lien Initial Term C Loan - Non-PIK, 3 Month LIBOR + 4.250% | 5.250(c) | 09/21/23 | 2,388 | 2,211,914 | |
Colouroz Midco - Colouroz Investment 2 LLC, Term Loan, 1 Month LIBOR + 10.000%^ | 11.000(c) | 09/21/24 | 130 | 120,540 | |
Cyanco Intermediate 2 Corp., First Lien Initial Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 03/16/25 | 11,127 | 10,629,700 | |
Diamond BC BV, Term Loan B, 1 Month LIBOR + 2.750% | 3.929(c) | 09/29/28 | 12,768 | 12,105,660 | |
DuBois Chemicals Group, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 4.500%^ | 5.560(c) | 09/30/26 | 14,587 | 13,893,682 | |
Geon Performance Solutions LLC, Initial Term Loans, 1 Month LIBOR + 4.500% | 5.560(c) | 08/18/28 | 9,277 | 9,014,208 | |
Herens U.S. Holdco Corp., Term Loan, 1 Month LIBOR + 4.000% | 5.000(c) | 07/03/28 | 5,786 | 5,340,740 | |
Ineos U.S. Petrochem LLC, | |||||
2026 Tranche B Dollar Term Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 01/29/26 | 5,136 | 4,976,966 | |
2028 Dollar Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 11/08/28 | 2,000 | 1,932,500 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Chemicals (cont’d.) | |||||
KRATON Polymers U.S. LLC, Initial Dollar Term Loan, Term SOFR + 3.250%^ | 3.990 %(c) | 03/15/29 | 8,400 | $8,043,000 | |
LSF11 A5 HoldCo LLC, Term Loan B, Term SOFR + 3.500% | 4.649(c) | 10/15/28 | 20,366 | 19,424,072 | |
Lummus Technology Holdings V LLC, New Term B Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 06/30/27 | 8,334 | 7,876,027 | |
Luxembourg Investment Co. Sarl (Luxembourg), Initial Term Loans, Term SOFR + 5.000% | 5.651(c) | 01/03/29 | 7,190 | 6,980,289 | |
Olympus Water US Holding Corp., | |||||
2022 Incremental Term Loan, Term SOFR + 4.500% | 5.298(c) | 11/09/28 | 3,600 | 3,451,500 | |
Initial Dollar Term Loan, 3 Month LIBOR + 3.750% | 4.813(c) | 11/09/28 | 1,122 | 1,068,884 | |
Perstorp Holding AB (Sweden), Facility B ($) Loan, 3 Month LIBOR + 4.250% | 6.250(c) | 02/27/26 | 9,746 | 9,563,375 | |
Plaskolite PPC Intermediate II LLC, 2021-1 Refinancing Term Loan, 1 Month LIBOR + 4.000%^ | 5.060(c) | 12/15/25 | 4,962 | 4,602,632 | |
PMHC II, Inc., Initial Term Loan, Term SOFR + 4.250% | 5.287(c) | 04/20/29 | 5,500 | 4,901,875 | |
PQ Corp., Initial Term Loan, 3 Month LIBOR + 2.500% | 3.739(c) | 06/09/28 | 4,367 | 4,228,348 | |
Tronox Finance LLC, | |||||
First Lien 2022 Incremental Term Loan, Term SOFR + 3.250%^ | 3.925(c) | 04/04/29 | 5,470 | 5,305,900 | |
First Lien Term Loan B, 1 Month LIBOR + 2.250% | 3.265(c) | 03/10/28 | 5,706 | 5,498,090 | |
Venator Materials LLC, Initial Term Loan, 1 Month LIBOR + 3.000%^ | 4.060(c) | 08/08/24 | 1,174 | 1,106,309 | |
WR Grace Holdings LLC, Initial Term Loan, 3 Month LIBOR + 3.750% | 4.813(c) | 09/22/28 | 2,045 | 1,986,723 | |
188,139,772 | |||||
Commercial Services 5.8% | |||||
Adtalem Global Education, Inc., Term B Loan, 1 Month LIBOR + 4.000% | 4.928(c) | 08/12/28 | 5,240 | 5,092,299 | |
AG Group Holdings, Inc., Initial Term Loan, Term SOFR + 4.000%^ | 5.034(c) | 12/29/28 | 2,880 | 2,757,600 | |
Albion Acquisitions Ltd. (United Kingdom), Term Loan B, 3 Month LIBOR + 5.250% | 5.750(c) | 08/17/26 | 2,993 | 2,900,241 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Commercial Services (cont’d.) | |||||
Allied Universal Holdco LLC, Term Loan USD, 1 Month LIBOR + 3.750% | 4.810 %(c) | 05/12/28 | 19,841 | $18,733,529 | |
Amentum Government Services Holdings LLC, Term Loan B, Term SOFR + 4.000% | 4.638(c) | 02/15/29 | 22,439 | 21,691,178 | |
APi Group DE, Inc., 2021 Incremental Term Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 01/03/29 | 540 | 527,171 | |
ArchKey Holdings, Inc., First Lien Initial Term Loan, 1 - 3 Month LIBOR + 5.250%^ | 6.251(c) | 06/29/28 | 8,786 | 8,258,945 | |
Boels Topholding BV (Netherlands), Facility B2, 1 Month EURIBOR + 3.250% (Cap N/A, Floor 0.000%) | 3.250(c) | 02/06/27 | EUR | 4,000 | 4,040,125 |
Bright Horizons Family Solutions LLC, Term Loan B, 1 Month LIBOR + 2.250% | 3.310(c) | 11/24/28 | 5,661 | 5,481,552 | |
Brightview Landscapes LLC, Initial Term Loan, Term SOFR + 3.250%^ | 4.284(c) | 04/20/29 | 5,579 | 5,370,092 | |
CCRR Parent, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.750%^ | 4.760(c) | 03/06/28 | 2,812 | 2,699,259 | |
Cimpress PLC, Tranche B-1 Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 05/17/28 | 4,275 | 4,061,446 | |
CoreLogic Inc, First Lien Initial Term Loan, 1 Month LIBOR + 3.500% | 4.563(c) | 06/02/28 | 29,075 | 26,632,577 | |
EAB Global, Inc., Term Loan, 3 Month LIBOR + 3.500% | 4.649(c) | 08/16/28 | 14,065 | 13,440,627 | |
Fly Funding II Sarl (Luxembourg), Term Loan B, 3 Month LIBOR + 1.750% | 3.130(c) | 08/11/25 | 9,839 | 9,474,983 | |
Indy U.S. Bidco LLC, Tranche B-1 Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 03/06/28 | 13,357 | 12,923,331 | |
Inmar, Inc., Initial Term Loan (First Lien), 3 Month LIBOR + 4.000% | 5.006(c) | 05/01/24 | 7,505 | 7,219,334 | |
Kingpin Intermediate Holdings LLC, 2018 Refinancing Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 07/03/24 | 7,062 | 6,872,461 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Commercial Services (cont’d.) | |||||
Latham Pool Products, Inc., Initial Term Loan, Term SOFR + 3.750% | 5.230 %(c) | 02/23/29 | 9,700 | $9,328,170 | |
Mavis Tire Express Services TopCo LP, First Lien Initial Term Loan, Term SOFR + 4.000% | 5.000(c) | 05/04/28 | 8,466 | 8,090,600 | |
MPH Acquisition Holdings LLC, Initial Term Loan, 3 Month LIBOR + 4.250% | 5.825(c) | 09/01/28 | 13,940 | 13,173,170 | |
NAB Holdings LLC, Initial Term Loan, Term SOFR + 3.000% | 3.801(c) | 11/23/28 | 13,067 | 12,373,052 | |
NorthRiver Midstream Finance LP (Canada), Initial Term B Loan, 3 Month LIBOR + 3.250% | 4.217(c) | 10/01/25 | 6,328 | 6,156,930 | |
PECF USS Intermediate Holding III Corp., Initial Term Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 12/15/28 | 3,068 | 2,887,409 | |
RLG Holdings LLC, First Lien Closing Date Initial Term Loan, 1 Month LIBOR + 4.250%^ | 5.310(c) | 07/07/28 | 2,234 | 2,117,094 | |
Sabre GLBL, Inc., | |||||
2021 Other Term B-1 Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 12/17/27 | 788 | 737,387 | |
2021 Other Term B-2 Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 12/17/27 | 1,256 | 1,175,439 | |
Safe Fleet Holdings LLC, 2022 Initial Term Loans, Term SOFR + 3.750%^ | 4.773(c) | 02/23/29 | 3,150 | 3,000,375 | |
Spectrum Group Buyer, Inc., Term Loan, 1 Month LIBOR + 6.000% | 7.774(c) | 05/31/28 | 4,950 | 4,844,812 | |
Syniverse Holdings, Inc., Term Loan, 1 Month LIBOR + 7.000% | 8.216(c) | 05/31/27 | 10,045 | 9,015,387 | |
Trans Union LLC, 2021 Incremental Term B-6 Loan, 1 Month LIBOR + 2.250% | 3.310(c) | 12/01/28 | 6,620 | 6,452,399 | |
Travelport Finance Sarl (Luxembourg), Term Loan Non-PIK, 3 Month LIBOR + 8.750% | 9.756(c) | 02/28/25 | 330 | 326,506 | |
University Support Services LLC (Canada), Initial Term Loan, 1 - 3 Month LIBOR + 3.250% | 4.123(c) | 02/10/29 | 11,443 | 11,071,429 | |
Vaco Holdings LLC, Initial Term Loan, Term SOFR + 5.000% | 5.801(c) | 01/19/29 | 6,653 | 6,453,725 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Commercial Services (cont’d.) | |||||
Verscend Holding Corp., New Term Loan B, 1 Month LIBOR + 4.000% | 5.060 %(c) | 08/27/25 | 5,181 | $5,064,693 | |
VT Topco, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.250% | 4.256(c) | 08/01/25 | 1,825 | 1,770,521 | |
262,215,848 | |||||
Computers 3.3% | |||||
ConvergeOne Holdings Corp., First Lien Initial Term Loan, 1 Month LIBOR + 5.000% | 6.060(c) | 01/04/26 | 23,932 | 21,249,787 | |
Escape Velocity Holdings, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.250%^ | 5.256(c) | 10/08/28 | 5,118 | 4,900,485 | |
McAfee Corp., Tranche B-1 Term Loan, Term SOFR + 4.000% | 4.842(c) | 03/01/29 | 27,125 | 25,646,687 | |
Peraton Corp., First Lien Term B Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 02/01/28 | 13,428 | 13,002,933 | |
Procera Networks, Inc. (Canada), Initial Term Loan (First Lien), 1 Month LIBOR + 4.500%^ | 5.560(c) | 10/31/25 | 8,853 | 8,565,011 | |
Redstone Holdco LP, First Lien Initial Term Loan, 3 Month LIBOR + 4.750%^ | 5.934(c) | 04/27/28 | 17,142 | 15,770,759 | |
SonicWall U.S. Holdings, Inc., First Lien Term Loan, 3 Month LIBOR + 3.750% | 5.256(c) | 05/16/25 | 6,811 | 6,552,813 | |
Tempo Acquisition LLC, Term Loan, 1 Month LIBOR + 3.000% | 4.034(c) | 08/31/28 | 10,624 | 10,364,645 | |
VeriFone Systems, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.000% | 5.524(c) | 08/20/25 | 17,684 | 15,694,898 | |
Vision Solutions, Inc., Third Amendment Term Loan (First Lien), 3 Month LIBOR + 4.000% | 5.184(c) | 04/24/28 | 16,854 | 16,011,149 | |
Western Digital Corp., Term Loan, 1 Month LIBOR + 3.000% | 3.250(c) | 04/11/29 | 13,660 | 13,432,329 | |
151,191,496 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Cosmetics/Personal Care 0.5% | |||||
Conair Holdings LLC, First Lien Initial Term Loan, 3 Month LIBOR + 3.750% | 4.756 %(c) | 05/17/28 | 11,181 | $10,184,167 | |
Rainbow Finco Sarl (Luxembourg), Term Loan B (GBP), Term SOFR + 5.000% | 5.445(c) | 02/23/29 | GBP | 9,275 | 11,570,553 |
21,754,720 | |||||
Distribution/Wholesale 0.4% | |||||
Fleetpride, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 4.500% | 5.560(c) | 02/04/26 | 4,697 | 4,521,275 | |
Pearls Netherlands Bidco BV (Netherlands), Facility B (USD) Loan, Term SOFR + 4.000% | 4.669(c) | 02/26/29 | 8,551 | 8,176,894 | |
Quimper AB (Sweden), New Facility B, 3 Month EURIBOR + 3.000% (Cap N/A, Floor 0.000%) | 3.000(c) | 02/16/26 | EUR | 7,000 | 7,050,808 |
19,748,977 | |||||
Diversified Financial Services 2.6% | |||||
Avolon TLB Borrower U.S. LLC (Ireland), Term B-5 Loan, 1 Month LIBOR + 2.250% | 3.177(c) | 12/01/27 | 2,469 | 2,382,961 | |
Castlelake Aviation One DAC, Initial Term Loan, 3 Month LIBOR + 2.750% | 3.576(c) | 10/22/26 | 24,050 | 23,087,739 | |
Cowen, Inc., Initial Term Loan, 3 Month LIBOR + 3.250% | 4.635(c) | 03/24/28 | 21,106 | 20,077,491 | |
Fly Willow Funding Ltd. (Cayman Islands), Term Loan, 3 Month LIBOR + 6.000% | 7.012(c) | 10/08/25 | 4,286 | 4,285,897 | |
Focus Financial Partners LLC, | |||||
First Lien Tranche B-4 Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 06/30/28 | 5,048 | 4,876,172 | |
Tranche B-3 Term Loan, 1 Month LIBOR + 2.000% | 3.060(c) | 07/03/24 | 3,670 | 3,577,394 | |
Hightower Holding LLC, Initial Term Loan, 3 Month LIBOR + 4.000% | 5.098(c) | 04/21/28 | 5,519 | 5,139,830 | |
Hudson River Trading LLC, Term Loan, Term SOFR + 3.000% | 4.149(c) | 03/20/28 | 21,776 | 20,796,083 | |
LHS Borrower LLC, Term Loan, 1 Month LIBOR + 4.000%^ | 5.784(c) | 02/16/29 | 11,300 | 9,746,250 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Diversified Financial Services (cont’d.) | |||||
Paysafe Holdings U.S. Corp., Facility B1, 1 Month LIBOR + 2.750% | 3.810 %(c) | 06/28/28 | 5,397 | $4,965,357 | |
VFH Parent LLC, Initial Term Loan, Term SOFR + 3.000% | 3.882(c) | 01/13/29 | 17,050 | 16,410,625 | |
115,345,799 | |||||
Electric 0.8% | |||||
Heritage Power LLC, Term Loan B, 1 - 3 Month LIBOR + 6.000% | 7.000(c) | 07/30/26 | 12,026 | 5,166,247 | |
Lightstone HoldCo LLC, | |||||
Term Loan | —(p) | 01/30/27 | 16,128 | 14,656,552 | |
Term Loan | —(p) | 01/30/27 | 910 | 834,613 | |
PG&E Corp., Term Loan B, 1 Month LIBOR + 3.000% | 4.063(c) | 06/23/25 | 13,767 | 13,353,940 | |
Pike Corp., 2028 Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 01/21/28 | 575 | 554,846 | |
34,566,198 | |||||
Electronics 0.5% | |||||
Deliver Buyer, Inc., Term Loan, 3 Month LIBOR + 5.000%^ | 6.006(c) | 05/01/24 | 1,890 | 1,882,991 | |
II-VI, Inc., Term Loan, 1 Month LIBOR + 2.000% | 3.250(c) | 12/31/28 | 11,600 | 11,300,337 | |
Ingram Micro, Inc., Initial Term Loan, 3 Month LIBOR + 3.500% | 4.506(c) | 06/30/28 | 6,708 | 6,502,128 | |
Token Buyer, Inc., Term Loan^ | —(p) | 05/31/29 | 1,125 | 1,040,625 | |
20,726,081 | |||||
Energy-Alternate Sources 0.2% | |||||
Esdec Solar Group BV (Netherlands), Initial Term Loan, 3 Month LIBOR + 5.000%^ | 6.500(c) | 08/30/28 | 1,658 | 1,558,050 | |
WIN Waste Innovations Holdings, Inc., Initial Term Loan, 3 Month LIBOR + 2.750% | 3.756(c) | 03/24/28 | 5,970 | 5,790,900 | |
7,348,950 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Engineering & Construction 1.2% | |||||
Artera Services LLC, First Lien Tranche B Term Loan, 3 Month LIBOR + 3.500% | 4.506 %(c) | 03/06/25 | 3,796 | $2,923,161 | |
Brand Industrial Services, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% | 5.331(c) | 06/21/24 | 32,319 | 28,634,925 | |
Centuri Group, Inc., Initial Term Loan, 1 Month LIBOR + 2.500% | 4.075(c) | 08/27/28 | 8,292 | 7,932,215 | |
Osmose Utilities Services, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 06/23/28 | 6,616 | 6,152,784 | |
Refficiency Holdings LLC, | |||||
2021 Delayed Draw Term Loan, 1 Month LIBOR + 3.750%^ | 4.810(c) | 12/16/27 | 35 | 33,215 | |
2021 Initial Term Loan, 1 Month LIBOR + 3.750%^ | 4.810(c) | 12/16/27 | 6,532 | 6,270,798 | |
TRC Cos., Inc., Term Loan, 1 Month LIBOR + 3.750%^ | 4.810(c) | 12/08/28 | 4,503 | 4,266,593 | |
56,213,691 | |||||
Entertainment 3.0% | |||||
Allen Media LLC, Term B Loan, 1 Month LIBOR + 5.650% | 6.301(c) | 02/10/27 | 29,367 | 27,761,272 | |
AMC Entertainment Holdings, Inc., Term B-1 Loan, 1 Month LIBOR + 3.000% | 3.962(c) | 04/22/26 | 735 | 644,567 | |
AP Gaming I LLC, Term Loan B, Term SOFR + 4.000% | 4.801(c) | 02/15/29 | 12,850 | 12,271,750 | |
CBAC Borrower LLC, Term B Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 07/08/24 | 16,756 | 16,239,589 | |
Dorna Sports SL (Spain), Term Loan, 1 Month LIBOR + 3.000% | 3.750(c) | 03/30/29 | 2,350 | 2,396,700 | |
Golden Entertainment, Inc., Term B Facility Loan (First Lien), 1 Month LIBOR + 3.000% | 4.030(c) | 10/21/24 | 11,877 | 11,609,553 | |
J&J Ventures Gaming LLC, Initial Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 04/26/28 | 10,267 | 10,010,753 | |
Maverick Gaming LLC, Term B Loan, 3 Month LIBOR + 7.500% | 9.075(c) | 09/03/26 | 10,721 | 9,863,355 | |
Raptor Acquisition Corp., Term B Loan, 3 Month LIBOR + 4.000% | 4.934(c) | 11/01/26 | 8,038 | 7,808,682 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Entertainment (cont’d.) | |||||
Scientific Games Holdings LP, Term Loan B2, Term SOFR + 3.500% | 4.175 %(c) | 04/04/29 | 16,225 | $15,548,109 | |
Scientific Games International, Inc., Initial Term B Loan, Term SOFR + 3.000% | 3.882(c) | 04/13/29 | 19,425 | 18,834,150 | |
Stars Group Holdings BV (Canada), 2021 Refinancing Dollar Term Loan, 3 Month LIBOR + 2.250% | 3.256(c) | 07/21/26 | 3,570 | 3,481,537 | |
136,470,017 | |||||
Environmental Control 1.0% | |||||
EWT Holdings III Corp., Term Loan, 1 Month LIBOR + 2.500% | 3.563(c) | 04/01/28 | 1,052 | 1,019,173 | |
Filtration Group Corp., | |||||
2021 Incremental Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 10/21/28 | 5,071 | 4,855,035 | |
Initial Dollar Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 03/31/25 | 10,694 | 10,293,263 | |
Harsco Corp., Term Loan, 1 Month LIBOR + 2.250% | 3.313(c) | 03/10/28 | 7,600 | 7,105,919 | |
Madison IAQ LLC, Initial Term Loan, 1 - 6 Month LIBOR + 3.250% | 4.524(c) | 06/21/28 | 11,652 | 11,040,341 | |
Packers Holdings LLC, Initial Term Loan, 1 Month LIBOR + 3.250% | 4.000(c) | 03/09/28 | 9,825 | 9,284,788 | |
43,598,519 | |||||
Foods 1.3% | |||||
American Seafoods Group LLC, Incremental Tranche B Term Loan, 3 Month LIBOR + 2.750%^ | 3.998(c) | 08/21/23 | 5,130 | 4,924,323 | |
BCPE North Star U.S. Holdco, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.000%^ | 5.006(c) | 06/09/28 | 11,031 | 10,369,406 | |
CHG PPC Parent LLC, Term Loan, 1 Month LIBOR + 3.000%^ | 4.063(c) | 12/08/28 | 7,750 | 7,440,000 | |
H-Food Holdings LLC, | |||||
2018 Incremental Term Loan B-2 Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 05/23/25 | 648 | 593,217 | |
Initial Term Loan, 1 Month LIBOR + 3.688% | 4.747(c) | 05/23/25 | 10,427 | 9,512,962 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Foods (cont’d.) | |||||
Shearer’s Foods LLC, Refinancing Term Loan (First Lien), 1 Month LIBOR + 3.500% | 4.560 %(c) | 09/23/27 | 19,523 | $17,863,886 | |
Sigma Bidco BV (Netherlands), Facility B2 Loan, 1 Month LIBOR + 3.000% | 3.345(c) | 07/02/25 | 7,867 | 6,794,902 | |
Sovos Brands Intermediate, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.750% | 4.250(c) | 06/08/28 | 680 | 653,765 | |
58,152,461 | |||||
Forest Products & Paper 0.4% | |||||
Domtar Corp., Initial Term Loan, 1 Month LIBOR + 5.500% | 6.345(c) | 11/30/28 | 5,978 | 5,873,571 | |
Neenah, Inc., New Term Loan B, 1 Month LIBOR + 3.000% | 4.063(c) | 04/06/28 | 7,965 | 7,828,870 | |
Schweitzer-Mauduit International, Inc., Term B Loan, 1 Month LIBOR + 3.750%^ | 4.813(c) | 04/20/28 | 1,509 | 1,448,256 | |
Sylvamo Corp., Term B Loan, 1 Month LIBOR + 4.500% | 5.560(c) | 08/18/28 | 4,864 | 4,645,396 | |
19,796,093 | |||||
Healthcare-Products 0.3% | |||||
Avantor Funding, Inc., Incremental B-5 Dollar Term Loan, 1 Month LIBOR + 2.250% | 3.310(c) | 11/08/27 | 2,927 | 2,853,916 | |
Bausch + Lomb Corp., Initial Term Loan, Term SOFR + 3.250% | 4.140(c) | 05/10/27 | 10,625 | 10,221,250 | |
13,075,166 | |||||
Healthcare-Services 4.7% | |||||
Accelerated Health Systems LLC, Initial Term B Loan, Term SOFR + 4.500% | 5.160(c) | 02/15/29 | 19,940 | 19,142,400 | |
Air Methods Corp., Initial Term Loan, 3 Month LIBOR + 3.500% | 4.506(c) | 04/22/24 | 7,932 | 7,148,473 | |
BW NHHC Holdco, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 5.000% | 6.455(c) | 05/15/25 | 5,208 | 3,794,174 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Healthcare-Services (cont’d.) | |||||
Confluent Health LLC, | |||||
Initial Delayed Draw Term Loan, 1 Month LIBOR + 4.000%/PRIME + 3.000% | 4.069 %(c) | 11/30/28 | 96 | $92,800 | |
Initial Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 11/30/28 | 2,717 | 2,615,283 | |
Dermatology Intermediate Holdings III, Inc., Initial Term Loan, Term SOFR + 4.250%^ | 4.992(c) | 04/02/29 | 6,820 | 6,615,591 | |
Electron Bidco, Inc., Initial Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 11/01/28 | 12,025 | 11,589,094 | |
Envision Healthcare Corp., Initial Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 10/10/25 | 748 | 292,078 | |
eResearch Technology, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 4.500% | 5.560(c) | 02/04/27 | 3,600 | 3,458,835 | |
Global Medical Response, Inc., | |||||
2017-2 New Term Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 03/14/25 | 15,514 | 14,745,206 | |
2020 Term Loan, 3 Month LIBOR + 4.250% | 5.250(c) | 10/02/25 | 3,285 | 3,133,215 | |
ICON Luxembourg Sarl (Luxembourg), Lux Term Loan, 3 Month LIBOR + 2.250% | 3.313(c) | 07/03/28 | 2,868 | 2,822,270 | |
LifePoint Health, Inc., First Lien Term B Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 11/16/25 | 17,900 | 17,184,000 | |
Mamba Purchaser, Inc., Initial Term Loan, 1 Month LIBOR + 3.750% | 4.678(c) | 10/16/28 | 7,478 | 7,204,122 | |
Medical Solutions Holdings, Inc., Initial Term Loan, 3 Month LIBOR + 3.500% | 4.000(c) | 11/01/28 | 3,360 | 3,200,400 | |
Pacific Dental Services LLC, Term Loan, 1 Month LIBOR + 3.250% | 4.125(c) | 05/05/28 | 5,600 | 5,371,569 | |
Phoenix Guarantor, Inc., | |||||
Term Loan, 1 Month LIBOR + 3.500% | 4.461(c) | 03/05/26 | 11,368 | 10,903,580 | |
Tranche B-1 Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 03/05/26 | 6,843 | 6,564,021 | |
PRA Health Sciences, Inc., US Term Loan, 3 Month LIBOR + 2.250% | 3.313(c) | 07/03/28 | 714 | 703,170 | |
Radnet Management, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.000% | 4.006(c) | 04/23/28 | 12,990 | 12,546,451 | |
Select Medical Corp., Tranche B Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 03/06/25 | 2,500 | 2,411,458 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Healthcare-Services (cont’d.) | |||||
Sound Inpatient Physicians Holdings LLC, | |||||
First Lien 2021 Incremental Term Loan, 1 Month LIBOR + 3.000%^ | 4.006 %(c) | 06/27/25 | 1,265 | $1,195,838 | |
First Lien Initial Term Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 06/27/25 | 1,995 | 1,873,258 | |
Sound Inpatient Physicians, Inc., Second Lien Initial Loan, 1 Month LIBOR + 6.750% | 7.810(c) | 06/26/26 | 12,676 | 11,979,213 | |
Surgery Center Holdings, Inc., 2021 New Term Loan, 1 Month LIBOR + 3.750% | 4.600(c) | 08/31/26 | 11,701 | 11,186,091 | |
U.S. Anesthesia Partners, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% | 5.050(c) | 10/01/28 | 16,050 | 15,336,342 | |
U.S. Renal Care, Inc., | |||||
2021 Incremental Term Loan, 1 Month LIBOR + 5.500% | 6.500(c) | 06/26/26 | 8,359 | 6,692,239 | |
First Lien Term Loan B, 1 Month LIBOR + 5.000% | 5.500(c) | 06/26/26 | 9,291 | 7,411,538 | |
Upstream Newco, Inc., August 2021 Incremental Term Loan, Term SOFR + 4.250% | 5.149(c) | 11/20/26 | 10,967 | 10,336,534 | |
WP CityMD Bidco LLC, Second Amendment Refinancing Term Loan, 1 Month LIBOR + 3.250% | 3.750(c) | 12/22/28 | 6,347 | 6,112,281 | |
213,661,524 | |||||
Holding Companies-Diversified 0.2% | |||||
Belfor Holdings, Inc., | |||||
First Lien Initial Term Loan, 1 Month LIBOR + 3.750%^ | 4.810(c) | 04/06/26 | 2,681 | 2,600,985 | |
First Lien Tranche B-2 Term Loan, Term SOFR + 4.250%^ | 5.284(c) | 04/06/26 | 5,700 | 5,529,000 | |
8,129,985 | |||||
Home Furnishings 0.9% | |||||
AI Aqua Merger Sub, Inc., Term Loan | —(p) | 06/23/28 | 3,421 | 3,239,540 | |
Culligan, Term Loan | —(p) | 07/31/28 | 15,054 | 14,253,976 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Home Furnishings (cont’d.) | |||||
Snap One Holdings Corp., TL, 3 Month LIBOR + 4.500% | 5.506 %(c) | 12/08/28 | 5,575 | $5,184,750 | |
TGP Holdings III LLC, | |||||
Delayed Draw Term Loan, 3 Month LIBOR + 3.250% | 3.497(c) | 06/29/28 | 503 | 452,309 | |
First Lien Closing Date Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 06/29/28 | 8,712 | 7,840,703 | |
Weber-Stephen Products LLC, | |||||
2022 Incremental Term B Loans, Term SOFR + 4.250%^ | 5.384(c) | 10/30/27 | 4,175 | 3,861,875 | |
Initial Term B Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 10/30/27 | 8,380 | 7,639,163 | |
42,472,316 | |||||
Household Products/Wares 0.1% | |||||
Kronos Acquisition Holdings, Inc. (Canada), Term Loan, 1 Month LIBOR + 3.000% | 4.418(c) | 12/22/26 | 4,550 | 4,186,000 | |
Housewares 0.3% | |||||
Ozark Holdings LLC, 2020 Incremental Term Loan, 1 Month LIBOR + 3.750%^ | 4.810(c) | 12/16/27 | 5,517 | 5,296,028 | |
SWF Holdings I Corp., Initial Term Loan, 1 Month LIBOR + 4.000% | 4.928(c) | 10/06/28 | 12,020 | 10,337,200 | |
15,633,228 | |||||
Insurance 2.1% | |||||
Acrisure LLC, | |||||
2021-2 Additional Term Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 02/15/27 | 1,596 | 1,540,140 | |
First Lien 2021-1 Additioanl Term Loan, 1 Month LIBOR + 3.750%^ | 4.810(c) | 02/15/27 | 1,229 | 1,185,816 | |
Term Loan B 2020, 1 Month LIBOR + 3.500% | 4.560(c) | 02/15/27 | 18,090 | 17,079,671 | |
AmWINS Group, Inc., Term Loan, 1 Month LIBOR + 2.250% | 3.310(c) | 02/19/28 | 12,625 | 12,101,307 | |
Asurion LLC, | |||||
New B-4 Term Loan, 1 Month LIBOR + 5.250% | 6.310(c) | 01/20/29 | 14,750 | 13,219,620 | |
New B-8 Term Loan, 3 Month LIBOR + 3.250% | 4.310(c) | 12/23/26 | 13,745 | 12,989,076 | |
New B-9 Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 07/31/27 | 14,645 | 13,832,262 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Insurance (cont’d.) | |||||
BroadStreet Partners, Inc., | |||||
Term Loan B-3, 1 Month LIBOR + 3.000% | 4.060 %(c) | 01/27/27 | 3,109 | $2,955,624 | |
Tranche B-2 Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 01/27/27 | 13,108 | 12,501,561 | |
Howden Group Holdings Ltd. (United Kingdom), 2021 Dollar Refinancing Term Loan, 1 Month LIBOR + 3.250% | 4.313(c) | 11/12/27 | 6,688 | 6,408,010 | |
93,813,087 | |||||
Internet 0.3% | |||||
Buzz Merger Sub Ltd. (Bermuda), Initial Term Loan, 1 Month LIBOR + 2.750%^ | 3.810(c) | 01/29/27 | 2,295 | 2,220,369 | |
CMI Marketing, Inc., Term Loan B, 1 Month LIBOR + 4.250% | 5.256(c) | 03/23/28 | 4,342 | 4,239,061 | |
MH Sub I LLC, 2020 June New Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 09/13/24 | 2,760 | 2,668,704 | |
Northwest Fiber LLC, First Lien Term B-2 Loan, 1 Month LIBOR + 3.750% | 4.625(c) | 04/30/27 | 666 | 626,325 | |
Voyage Australia Pty Ltd. (Australia), First Lien Term Loan, 3 Month LIBOR + 3.500% | 4.563(c) | 07/20/28 | 2,152 | 2,087,082 | |
11,841,541 | |||||
Investment Companies 0.1% | |||||
EIG Management Co. LLC, Initial Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 02/24/25 | 1,954 | 1,902,251 | |
Global Business Travel Holdings Ltd., Term Loan, 1 Month LIBOR + 3.000% | 3.560(c) | 08/13/25 | 722 | 675,853 | |
2,578,104 | |||||
Iron/Steel 0.0% | |||||
Helix Acquisition Holdings, Inc., Amendment No. 3 Incremental Term Loan, 3 Month LIBOR + 3.750% | 4.756(c) | 09/30/24 | 665 | 650,326 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Leisure Time 0.9% | |||||
Alterra Mountain Co., 2028 Term Loan B, 1 Month LIBOR + 3.500% | 4.560 %(c) | 08/17/28 | 9,605 | $9,262,411 | |
Bombardier Recreational Products, Inc. (Canada), 2020 Replacement Term Loan, 1 Month LIBOR + 2.000% | 3.060(c) | 05/24/27 | 8,769 | 8,357,817 | |
Fender Musical Instruments Corp., Initial Term Loan, Term SOFR + 4.000% | 4.895(c) | 12/01/28 | 3,636 | 3,440,388 | |
Hayward Industries, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 05/30/28 | 2,556 | 2,466,238 | |
MajorDrive Holdings IV LLC, Initial Term Loan, 3 Month LIBOR + 4.000% | 4.563(c) | 06/01/28 | 7,860 | 7,211,720 | |
Recess Holdings, Inc., Initial Term Loan (First Lien), 3 Month LIBOR + 3.750% | 4.869(c) | 09/30/24 | 8,048 | 7,806,753 | |
38,545,327 | |||||
Lodging 0.7% | |||||
Caesars Resort Collection LLC, | |||||
Term B Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 12/23/24 | 2,013 | 1,974,789 | |
Term B-1 Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 07/21/25 | 9,072 | 8,932,292 | |
Fertitta Entertainment LLC, Initial B Term Loan, Term SOFR + 4.000% | 5.034(c) | 01/26/29 | 13,527 | 12,931,276 | |
Spectacle Gary Holdings LLC, Term B Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 12/11/28 | 8,736 | 8,648,467 | |
32,486,824 | |||||
Machinery-Construction & Mining 0.3% | |||||
Vertiv Group Corp., Term B Loan, 3 Month LIBOR + 2.750% | 3.550(c) | 03/02/27 | 15,132 | 14,388,391 | |
Machinery-Diversified 1.4% | |||||
ASP Blade Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 10/13/28 | 11,367 | 10,769,941 | |
CD&R Hydra Buyer, Inc., | |||||
Initial Term Loan, 1 Month LIBOR + 4.250%^ | 5.310(c) | 12/11/24 | 3,074 | 2,981,761 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 8.000%^ | 9.060(c) | 04/30/26 | 300 | 288,000 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Machinery-Diversified (cont’d.) | |||||
Clark Equipment Co. (South Korea), Tranche B Term Loan, Term SOFR + 2.500% | 3.472 %(c) | 04/20/29 | 8,625 | $8,377,031 | |
Columbus McKinnon Corp., Initial Term Loan, 3 Month LIBOR + 2.750%^ | 3.813(c) | 05/15/28 | 3,641 | 3,558,861 | |
CPM Holdings, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 3.500%^ | 4.300(c) | 11/17/25 | 4,688 | 4,476,928 | |
Engineered Machinery Holdings, Inc., Incremental USD 1st Lien Term Loan, 3 Month LIBOR + 3.750% | 4.756(c) | 05/19/28 | 3,980 | 3,803,944 | |
Hyster-Yale Group, Inc., Term loan B Facility, 1 Month LIBOR + 3.500%^ | 4.560(c) | 05/26/28 | 5,082 | 4,827,632 | |
New VAC U.S. LLC (Germany), Term B Loan, 3 Month LIBOR + 4.000%^ | 5.006(c) | 03/08/25 | 1,337 | 1,269,748 | |
Pro Mach Group, Inc., | |||||
Delayed Draw Term Loan, 1 Month LIBOR + 4.000% | 4.261(c) | 08/31/28 | 136 | 131,464 | |
Initial Term Loan, 1 Month LIBOR + 4.000% | 5.030(c) | 08/31/28 | 7,584 | 7,321,718 | |
Vantage Elevator Solutions, First Lien Initial Term Loan, 1 Month LIBOR + 3.750%^ | 4.678(c) | 11/17/28 | 1,400 | 1,326,500 | |
Vertical Midco Gmbh (Germany), Term Loan B, 3 Month LIBOR + 3.500% | 4.019(c) | 07/30/27 | 9,070 | 8,727,286 | |
Welbilt, Inc., Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 10/23/25 | 4,060 | 3,968,286 | |
61,829,100 | |||||
Media 3.2% | |||||
COGECO Financing LP (Canada), Incremental Term Loan B, 1 Month LIBOR + 2.500% | 3.560(c) | 09/01/28 | 3,072 | 2,985,253 | |
Coral-U.S. Co-Borrower LLC (Chile), | |||||
Term B-5 Loan, 1 Month LIBOR + 2.250% | 3.125(c) | 01/31/28 | 3,000 | 2,895,000 | |
Term Loan B6, 1 Month LIBOR + 3.000% | 3.875(c) | 10/15/29 | 8,275 | 8,060,363 | |
CSC Holdings LLC, | |||||
October 2018 Incremental Term Loan, 1 Month LIBOR + 2.250% | 3.125(c) | 01/15/26 | 4,662 | 4,436,293 | |
September 2019 Term Loan, 1 Month LIBOR + 2.500% | 3.375(c) | 04/15/27 | 3,208 | 3,032,604 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Media (cont’d.) | |||||
Cumulus Media New Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.750% | 4.750 %(c) | 03/31/26 | 6,105 | $5,925,560 | |
Diamond Sports Group LLC, | |||||
Second Lien Term Loan, Term SOFR + 3.250% | 4.092(c) | 08/24/26 | 56,194 | 16,752,843 | |
Term Loan, Term SOFR + 8.000% | 9.000(c) | 05/25/26 | 6,257 | 6,282,837 | |
Entercom Media Corp., Term Loan B-2, 1 Month LIBOR + 2.500%^ | 3.560(c) | 11/18/24 | 5,192 | 4,672,356 | |
Gray Television, Inc., Term Loan D, 1 Month LIBOR + 3.000% | 3.800(c) | 12/01/28 | 6,656 | 6,471,727 | |
iHeartCommunications, Inc., | |||||
Incremental B Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 05/01/26 | 10,678 | 10,244,595 | |
New Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 05/01/26 | 12,484 | 11,951,607 | |
Mission Broadcasting, Inc., Term B-4 Loan, 1 Month LIBOR + 2.500% | 3.300(c) | 06/02/28 | 3,325 | 3,253,184 | |
Nexstar Broadcasting, Inc., Term B-4 Loan, 1 Month LIBOR + 2.500% | 3.300(c) | 09/18/26 | 4,000 | 3,946,668 | |
Radiate Holdco LLC, Amendment No. 6 New Term Loans, 1 Month LIBOR + 3.250% | 4.310(c) | 09/25/26 | 8,805 | 8,529,868 | |
Sinclair Television Group, Inc., | |||||
Term B-2 Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 09/30/26 | 3,126 | 2,954,440 | |
Term B-3 Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 04/01/28 | 1,642 | 1,551,656 | |
Term Loan B4, Term SOFR + 3.750% | 4.421(c) | 04/13/29 | 19,000 | 18,002,500 | |
Univision Communications, Inc., | |||||
2021 Replacement Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 03/15/26 | 4,105 | 3,976,996 | |
Initial First Lien Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 01/31/29 | 12,365 | 11,808,273 | |
WideOpenWest Finance LLC, Term B Loan, Term SOFR + 3.000% | 3.872(c) | 12/20/28 | 7,078 | 6,867,163 | |
144,601,786 | |||||
Metal Fabricate/Hardware 1.2% | |||||
AZZ, Inc., Initial Term Loan, Term SOFR + 4.350%^ | 5.384(c) | 05/13/29 | 8,075 | 7,792,375 | |
Crosby U.S. Acquisition Corp., First Lien Initial Term Loan, 1 Month LIBOR + 4.750% | 5.711(c) | 06/26/26 | 18,195 | 17,648,991 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Metal Fabricate/Hardware (cont’d.) | |||||
Form Technologies LLC, | |||||
Last Out Term Loan, 3 Month LIBOR + 9.000%^ | 10.506 %(c) | 10/22/25 | 3,460 | $3,252,535 | |
Term Loan B Non-PIK, 3 Month LIBOR + 4.500%^ | 6.006(c) | 07/22/25 | 2,540 | 2,375,016 | |
Grinding Media, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.000%^ | 4.796(c) | 10/12/28 | 11,126 | 10,569,920 | |
Hillman Group, Inc., | |||||
Initial Delayed Draw Term Loan, 1 Month LIBOR + 2.750% | 3.711(c) | 07/14/28 | 13 | 12,776 | |
Initial Term Loan, 1 Month LIBOR + 2.750% | 3.711(c) | 07/14/28 | 701 | 666,759 | |
Tank Holding Corp., Initial Term Loan, Term SOFR + 6.000%^ | 7.134(c) | 03/31/28 | 4,200 | 4,074,000 | |
WireCo WorldGroup, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% | 5.688(c) | 11/13/28 | 5,823 | 5,666,101 | |
52,058,473 | |||||
Miscellaneous Manufacturing 0.2% | |||||
Jadex, Inc., First Lien 2021 Refinancing Term Loan, 1 Month LIBOR + 4.750%^ | 5.810(c) | 02/18/28 | 1,323 | 1,249,990 | |
Plastipak Packaging, Inc., New Tranche B Term Loan, 1 Month LIBOR + 2.500% | 3.563(c) | 12/01/28 | 3,098 | 2,987,520 | |
Technimark Holdings LLC, First Lien Initial Term Loan, 1 Month LIBOR + 3.750% | 4.604(c) | 07/10/28 | 2,978 | 2,776,519 | |
7,014,029 | |||||
Oil & Gas 0.9% | |||||
Apro LLC, Replacement Term Loan, 3 Month LIBOR + 3.750% | 4.500(c) | 11/14/26 | 2,902 | 2,785,830 | |
Ascent Resources Utica Holdings LLC, Second Lien Term Loan, 3 Month LIBOR + 9.000% | 10.021(c) | 11/01/25 | 1,625 | 1,723,854 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Oil & Gas (cont’d.) | |||||
Citgo Petroleum Corp., 2019 Incremental Term B Loan, 1 Month LIBOR + 6.250% | 7.310 %(c) | 03/28/24 | 23,954 | $23,487,182 | |
Delek U.S. Holdings, Inc., Term Loan, 3 Month LIBOR + 2.250% | 3.273(c) | 03/31/25 | 11,244 | 10,822,488 | |
PowerTeam Services LLC, Initial Term Loan (First Lien), 3 Month LIBOR + 3.250% | 4.250(c) | 03/06/25 | 4,482 | 3,507,536 | |
42,326,890 | |||||
Packaging & Containers 3.4% | |||||
Albea Beauty Holdings Sarl (France), Facility B2 (USD), 3 Month LIBOR + 3.000%^ | 4.000(c) | 04/22/24 | 244 | 227,162 | |
Altium Packaging LLC, 2021 Term Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 02/03/28 | 1,352 | 1,268,533 | |
Berlin Packaging LLC, Tranche B-5 Term Loan, 1 Month LIBOR + 3.750% | 4.620(c) | 03/13/28 | 3,980 | 3,785,975 | |
BW Holding, Inc., | |||||
Delayed Draw Term Loan, Term SOFR + 4.000% | 5.547(c) | 12/14/28 | 575 | 552,170 | |
Initial Term Loan, 3 Month LIBOR + 4.000% | 5.239(c) | 12/14/28 | 2,169 | 2,082,479 | |
Term Loan, 1 Month LIBOR + 4.000% | 5.547(c) | 12/14/28 | 1,500 | 1,453,125 | |
BWay Holding Co., Initial Term Loan, 1 Month LIBOR + 3.250% | 4.050(c) | 04/03/24 | 4,757 | 4,553,001 | |
Charter Next Generation, Inc., Refinancing 2021 Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 12/01/27 | 11,460 | 11,001,285 | |
Clydesdale Acquisition Holdings, Inc., Term B Loan, Term SOFR + 4.250% | 5.384(c) | 04/13/29 | 18,460 | 17,403,497 | |
Five Star Lower Holding LLC, Initial Term Loan, Term SOFR + 4.500%^ | 5.061(c) | 05/04/29 | 3,375 | 3,240,000 | |
Graham Packaging Co., Inc., New Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 08/04/27 | 16,599 | 15,751,274 | |
LABL, Inc., Initial Dollar Term Loan, 1 Month LIBOR + 5.000% | 6.060(c) | 10/30/28 | 6,570 | 6,159,649 | |
Pactiv Evergreen Group Holdings, Inc., Tranche B-3 U.S. Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 09/25/28 | 8,945 | 8,525,752 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Packaging & Containers (cont’d.) | |||||
Plaze, Inc., | |||||
2021-1 Term Loan, 3 Month LIBOR + 3.750%^ | 4.756 %(c) | 08/03/26 | 3,874 | $3,660,603 | |
Initial Term Loan, 3 Month LIBOR + 3.500%^ | 4.506(c) | 08/03/26 | 449 | 424,081 | |
Pregis Topco LLC, First Lien Initial Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 07/31/26 | 7,458 | 7,122,554 | |
Pregis TopCo LLC, Facility Incremental Amendment No. 3, 1 Month LIBOR + 4.000%^ | 5.060(c) | 07/31/26 | 3,478 | 3,321,048 | |
Pretium PKG Holdings, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.000% | 4.883(c) | 10/02/28 | 10,795 | 10,030,675 | |
Proampac PG Borrower LLC, 2020-1 Term Loan, 1 Month LIBOR + 3.750% | 5.008(c) | 11/03/25 | 12,554 | 11,932,189 | |
Reynolds Group Holdings, Inc., Tranche B-2 US Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 02/05/26 | 16,841 | 16,014,742 | |
Ring Container Technologies Group LLC, Initial Term Loan, 1 - 3 Month LIBOR + 3.750% | 4.270(c) | 08/12/28 | 5,526 | 5,352,961 | |
Secure Acquisition, Inc., Term Loan B3m - GBP, 3 Month LIBOR + 5.000%^ | 5.500(c) | 12/15/28 | 2,394 | 2,298,621 | |
Tosca Services LLC, 2021 Refinancing Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 08/18/27 | 386 | 364,398 | |
TricorBraun Holdings, Inc., Term Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 03/03/28 | 7,479 | 7,070,895 | |
Trident TPI Holdings, Inc., | |||||
Tranche B-1 Term Loan, 3 Month LIBOR + 3.250% | 4.256(c) | 10/17/24 | 5,399 | 5,265,455 | |
Tranche B-3 DDTL Commitments, 1 Month LIBOR + 4.000% | 4.764(c) | 09/15/28 | 175 | 166,785 | |
Tranche B-3 Initial Term Loans, 1 Month LIBOR + 4.000% | 5.060(c) | 09/15/28 | 1,961 | 1,870,665 | |
Valcour Packaging LLC, First Lien Initial Term Loan, 6 Month LIBOR + 3.750%^ | 5.220(c) | 10/04/28 | 2,450 | 2,327,500 | |
153,227,074 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Pharmaceuticals 3.5% | |||||
AI Sirona Luxembourg Acquisition Sarl (Czech Republic), Term Loan B, 1 Month EURIBOR + 3.250% (Cap N/A, Floor 0.000%) | 3.250 %(c) | 09/29/25 | EUR | 7,000 | $7,165,199 |
Amneal Pharmaceuticals LLC, Initial Term Loan, 1 Month LIBOR + 3.500% | 4.563(c) | 05/04/25 | 27,228 | 25,628,264 | |
Bausch Health Cos., Inc., Term Loan | —(p) | 02/01/27 | 15,000 | 13,692,855 | |
Change Healthcare Holdings LLC, Closing Date Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 03/01/24 | 40,103 | 39,317,796 | |
Endo Luxembourg Finance Co., 2021 Term Loan, 1 Month LIBOR + 5.000% | 6.063(c) | 03/27/28 | 10,959 | 8,503,324 | |
Gainwell Acquisition Corp., Term B Loan, 3 Month LIBOR + 4.000% | 5.006(c) | 10/01/27 | 16,108 | 15,705,273 | |
Mallinckrodt International Finance SA, 2017 Term B Loan, 3 Month LIBOR + 6.000% | 6.000(c) | 09/24/24 | 21,102 | 18,288,052 | |
Milk Specialties Co., | |||||
2021 Refinancing Term Loan, 3 Month LIBOR + 4.000% | 5.000(c) | 08/15/25 | 10,785 | 10,538,216 | |
Second Lien Initial Term Loan, 3 Month LIBOR + 7.500%^ | 8.250(c) | 02/16/26 | 1,500 | 1,500,000 | |
Perrigo Investments LLC, Term Loan B, Term SOFR + 2.500%^ | 3.140(c) | 04/20/29 | 6,325 | 6,182,687 | |
Roar BidCo AB (Sweden), First Lien Term Loan, 3 Month EURIBOR + 3.250% (Cap N/A, Floor 0.000%) | 3.250(c) | 02/17/28 | EUR | 6,500 | 6,585,558 |
Sharp Midco LLC, First Lien Initial Term Loan, 3 Month LIBOR + 4.000%^ | 5.006(c) | 12/29/28 | 4,725 | 4,559,625 | |
157,666,849 | |||||
Pipelines 0.8% | |||||
BCP Renaissance Parent LLC, Term Loan B-3, Term SOFR + 3.500% | 4.534(c) | 11/02/26 | 8,977 | 8,725,072 | |
Medallion Midland Acquisition LP, Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 10/18/28 | 4,339 | 4,195,391 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Pipelines (cont’d.) | |||||
Prairie ECI Acquiror, LP, Initial Term Loan, 1 Month LIBOR + 4.750% | 5.810 %(c) | 03/11/26 | 22,532 | $21,461,721 | |
TransMontaigne Operating Co. LP, Tranche B Term Loan, 3 Month LIBOR + 3.500% | 4.027(c) | 11/17/28 | 2,484 | 2,402,154 | |
36,784,338 | |||||
Private Equity 0.0% | |||||
HarbourVest Partners, LP, Term Loan, 3 Month LIBOR + 2.250% | 3.288(c) | 03/03/25 | 1,943 | 1,880,240 | |
Real Estate 0.6% | |||||
ASP MCS Acquisition Corp., Term Loan, 1 Month LIBOR + 6.000% | 7.000(c) | 10/02/25 | 69 | 64,910 | |
Brookfield Property REIT, Inc., Initial Term B Loan, Term SOFR + 2.500% | 3.634(c) | 08/27/25 | 26,699 | 25,505,562 | |
25,570,472 | |||||
Real Estate Investment Trusts (REITs) 0.9% | |||||
Blackstone Mortgage Trust, Inc., | |||||
Term Loan, Term SOFR + 3.500%^ | 4.298(c) | 05/09/29 | 5,335 | 5,174,950 | |
Term Loan, 1 Month LIBOR + 2.250%^ | 3.310(c) | 04/23/26 | 14,520 | 14,011,632 | |
Term Loan, 1 Month LIBOR + 2.750%^ | 3.810(c) | 04/23/26 | 12,392 | 11,989,625 | |
Starwood Property Mortgage LLC, Term Loan B-3, 1 Month LIBOR + 3.250%^ | 4.310(c) | 07/27/26 | 3,776 | 3,728,333 | |
StarWood Property Mortgage LLC, Initial Term Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 07/26/26 | 3,866 | 3,784,023 | |
38,688,563 | |||||
Retail 5.6% | |||||
At Home Group, Inc., Initial Term Loan, 3 Month LIBOR + 4.250% | 4.967(c) | 07/24/28 | 30,791 | 26,325,903 | |
Constellation Automotive Group Ltd. (United Kingdom), Facility 1 Loan, 5 Day SONIA + 7.500% | 8.177(c) | 07/27/29 | GBP | 1,500 | 1,772,016 |
EG America LLC (United Kingdom), | |||||
Additional Facility Loan, 3 Month LIBOR + 4.000% | 5.006(c) | 02/07/25 | 14,643 | 14,039,325 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Retail (cont’d.) | |||||
EG America LLC (United Kingdom), (cont’d.) | |||||
Project Becker Additional Facility, 3 Month LIBOR + 4.250% | 5.246 %(c) | 03/31/26 | 4,239 | $4,055,378 | |
EG Finco Ltd. (United Kingdom), | |||||
Facility B (USD) Loan, 3 Month LIBOR + 4.000% | 5.006(c) | 02/07/25 | 5,178 | 4,963,996 | |
Term B, 5 Day SONIA + 4.869% | 5.645(c) | 02/06/25 | GBP | 3,969 | 4,751,261 |
Empire Today LLC, Closing Date Term Loan, 3 Month LIBOR + 5.000%^ | 5.750(c) | 04/03/28 | 13,013 | 10,540,411 | |
Floor & Decor Outlets of America, Inc., Replacement Term B-3 Loan, 1 Month LIBOR + 2.000%^ | 3.060(c) | 02/12/27 | 1,679 | 1,590,413 | |
Fogo de Chao, Inc., 2018 Refinancing Term Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 04/07/25 | 12,213 | 11,678,624 | |
Foundation Building Materials, Inc., Initial Term Loan (First Lien), 1 Month LIBOR + 3.250% | 4.429(c) | 01/31/28 | 17,294 | 16,224,224 | |
Great Outdoors Group LLC, Term B-2 Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 03/06/28 | 20,284 | 19,188,369 | |
Harbor Freight Tools USA, Inc., 2021 Refinancing Loans, 1 Month LIBOR + 2.750% | 3.810(c) | 10/19/27 | 7,012 | 6,482,756 | |
Hoffmaster Group, Inc., Tranche B-1 Term Loan, 3 Month LIBOR + 4.000% | 5.006(c) | 11/21/23 | 9,246 | 8,604,169 | |
IRB Holding Corp., 2022 Replacement Term B Loan, Term SOFR + 3.000% | 4.262(c) | 12/15/27 | 6,381 | 6,165,390 | |
LBM Acquisition LLC, First Lien Initial Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 12/17/27 | 19,231 | 17,538,761 | |
MIC Glen LLC, Initial Term Loan, 1 Month LIBOR + 3.500% | 4.300(c) | 07/21/28 | 1,079 | 1,026,655 | |
Pacific Bells LLC, Initial Term Loan, Term SOFR + 4.500% | 5.266(c) | 11/10/28 | 5,611 | 5,379,625 | |
Park River Holdings, Inc., Intial Term Loan, 3 Month LIBOR + 3.250% | 4.217(c) | 12/28/27 | 13,701 | 12,560,507 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Retail (cont’d.) | |||||
Peer Holding III BV (Netherlands), | |||||
Additional Facility B, 1 Month EURIBOR + 3.250% (Cap N/A, Floor 0.000%) | 3.250 %(c) | 01/16/27 | EUR | 4,000 | $4,104,396 |
Facility B, 3 Month EURIBOR + 3.000% (Cap N/A, Floor 0.000%) | 3.000(c) | 03/07/25 | EUR | 3,000 | 3,075,318 |
Petco Health & Wellness Co., Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.250% | 4.256(c) | 03/03/28 | 15,497 | 14,714,285 | |
Pilot Travel Centers LLC, Initial Tranche B Term Loan, 1 Month LIBOR + 2.000% | 3.134(c) | 08/04/28 | 17,701 | 17,087,048 | |
RC Buyer, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 3.500% | 4.506(c) | 07/28/28 | 5,678 | 5,422,609 | |
Serta Simmons Bedding LLC, New Money Facility 2016, 1 Month LIBOR + 7.500% | 8.500(c) | 08/10/23 | 1,769 | 1,726,056 | |
SRS Distribution, Inc., | |||||
2021 Refinancing Term Loan, 3 Month LIBOR + 3.500% | 4.019(c) | 06/02/28 | 12,567 | 11,917,791 | |
2022 Refinancing Term Loans, Term SOFR + 3.500% | 4.000(c) | 06/02/28 | 8,953 | 8,471,362 | |
White Cap Buyer LLC, Term Loan, 1 Month LIBOR + 3.000% | 4.784(c) | 10/19/27 | 12,829 | 12,243,844 | |
251,650,492 | |||||
Semiconductors 0.7% | |||||
Altar Bidco, Inc., | |||||
Initial Term Loan, Term SOFR + 3.350% | 4.116(c) | 02/01/29 | 10,000 | 9,581,250 | |
Second Lien Initial Term Loan, 1 Month LIBOR + 5.600% | 6.342(c) | 02/01/30 | 2,837 | 2,657,096 | |
Entegris, Inc., Term Loan | —(p) | 03/02/29 | 14,150 | 13,961,338 | |
Natel Engineering Co., Inc., Initial Term Loan, 1 - 6 Month LIBOR + 6.250% | 7.598(c) | 04/30/26 | 6,486 | 6,259,311 | |
32,458,995 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Software 9.6% | |||||
AppLovin Corp., Amendment No. 6 New Term Loans, 1 Month LIBOR + 3.000% | 4.060 %(c) | 10/25/28 | 17,017 | $16,549,276 | |
athenahealth, Inc., Initial Term Loan, Term SOFR + 3.500% | 4.363(c) | 02/15/29 | 18,063 | 17,205,394 | |
Boxer Parent Co., Inc., | |||||
2021 Replacement Dollar Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 10/02/25 | 24,516 | 23,476,761 | |
Second Lien Incremental Term Loan, 1 Month LIBOR + 5.500% | 6.560(c) | 02/27/26 | 15,245 | 14,616,417 | |
Bracket Intermediate Holding Corp., First Lien Initial Term Loan, 3 Month LIBOR + 4.250% | 5.219(c) | 09/05/25 | 10,796 | 10,471,955 | |
Camelot Co. (Luxembourg), Amendment No. 2 Incremental Term Loans, 1 Month LIBOR + 3.000% | 4.060(c) | 10/30/26 | 1,358 | 1,310,289 | |
Castle U.S. Holding Corp., Dollar Term B-2 Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 01/29/27 | 1,983 | 1,806,073 | |
Cloudera, Inc., Initial Term Loan, 1 Month LIBOR + 3.750% | 4.810(c) | 10/08/28 | 20,479 | 19,386,486 | |
ConnectWise LLC, Initial Term Loans, 1 Month LIBOR + 3.500% | 4.560(c) | 09/29/28 | 12,664 | 12,080,982 | |
Cornerstone OnDemand, Inc., Initial Term Loans, 1 Month LIBOR + 3.750% | 4.810(c) | 10/16/28 | 11,100 | 10,503,375 | |
CT Technologies Intermediate Holdings, Inc., Term Loan 2021 Reprice, 1 Month LIBOR + 4.250% | 5.310(c) | 12/16/25 | 10,371 | 9,882,830 | |
Dun & Bradstreet Corp., | |||||
2022 Incremental Term B-2 Loan, Term SOFR + 3.250% | 4.225(c) | 01/18/29 | 3,375 | 3,242,811 | |
Term Loan B, 1 Month LIBOR + 3.250% | 4.273(c) | 02/06/26 | 8,653 | 8,374,081 | |
EagleView Technology Corp., First Lien Term Loan, 3 Month LIBOR + 3.500%^ | 4.506(c) | 08/14/25 | 21,428 | 20,356,223 | |
Finastra USA, Inc., | |||||
Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250% | 8.489(c) | 06/13/25 | 36,315 | 31,594,360 | |
First Lien Dollar Term Loan, 3 Month LIBOR + 3.500% | 4.739(c) | 06/13/24 | 26,162 | 24,648,711 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Software (cont’d.) | |||||
GI Consilio Parent LLC, First Lien Initial Term Loan, 1 Month LIBOR + 4.000% | 5.060 %(c) | 05/12/28 | 9,862 | $9,337,987 | |
HS Purchaser LLC, First Lien 7th Amendment Refinancing Term Loan, Term SOFR + 4.000% | 4.813(c) | 11/19/26 | 16,433 | 15,796,297 | |
Informatica LLC, Initial Term Loan, 1 Month LIBOR + 2.750% | 3.813(c) | 10/27/28 | 7,555 | 7,328,350 | |
Iris Bidco Ltd. (United Kingdom), Term Loan, 1 Month LIBOR + 4.000% | 5.294(c) | 09/08/25 | 1,775 | 2,131,368 | |
MA FinanceCo LLC, | |||||
Tranche B-1 Term Loan, Term SOFR + 4.000%^ | 5.008(c) | 02/26/27 | 10,209 | 9,622,153 | |
Tranche B4 Term Loans, 3 Month LIBOR + 4.250%^ | 5.250(c) | 06/05/25 | 3,610 | 3,411,765 | |
MH Sub I LLC, Amendment No. 2 Initial Term Loan (First Lien), 1 Month LIBOR + 3.500% | 4.560(c) | 09/13/24 | 16,765 | 16,202,945 | |
Mitnick Corporate Purchaser, Inc., Initial Term Loan, Term SOFR + 4.850% | 5.924(c) | 05/02/29 | 4,970 | 4,827,113 | |
Playtika Ltd., Term B-1 Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 03/13/28 | 14,882 | 14,247,229 | |
PointClickCare Technologies, Inc. (Canada), 2022 Term Loans, Term SOFR + 4.000%^ | 4.775(c) | 12/29/27 | 1,350 | 1,312,875 | |
Polaris Newco LLC, First Lien Dollar Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 06/02/28 | 15,729 | 15,010,005 | |
Precise Bidco BV (Netherlands), Facility B, 3 Month EURIBOR + 3.750% (Cap N/A, Floor 0.000%) | 3.750(c) | 05/13/26 | EUR | 7,000 | 7,235,388 |
Project Sky Merger Sub, Inc., Second Lien Term Loan, 1 Month LIBOR + 6.000%^ | 7.060(c) | 10/08/29 | 6,820 | 6,308,500 | |
Quest Software, Inc., First Lien Initial Term Loan, Term SOFR + 4.250% | 5.474(c) | 02/01/29 | 850 | 784,125 | |
Rackspace Technology Global, Inc., Term B Loan, 3 Month LIBOR + 2.750% | 3.500(c) | 02/15/28 | 9,853 | 9,363,068 | |
Red Planet Borrower LLC, First Lien Initial Term Loan, 3 Month LIBOR + 3.750% | 4.756(c) | 10/02/28 | 11,620 | 10,966,132 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Software (cont’d.) | |||||
Seattle Escrow Borrower LLC, Initial Term Loan, 1 Month LIBOR + 2.750%^ | 3.810 %(c) | 06/21/24 | 1,039 | $986,981 | |
Skillsoft Finance II, Inc., Initial Term Loan, 3 Month LIBOR + 4.750% | 6.187(c) | 07/14/28 | 20,484 | 19,562,431 | |
SolarWinds Holdings, Inc., 2018 Refinancing Term Loan, 1 Month LIBOR + 2.750% | 3.810(c) | 02/05/24 | 14,250 | 13,840,572 | |
Sovos Compliance LLC, | |||||
Delayed Draw Term Loan, 3 Month LIBOR + 4.000% | 4.500(c) | 08/11/28 | 457 | 441,385 | |
First Lien Initial Term Loan, 1 Month LIBOR + 4.500% | 5.560(c) | 08/11/28 | 5,380 | 5,201,879 | |
SS&C Technologies, Inc., | |||||
Term B-6 Loan, Term SOFR + 2.250% | 3.384(c) | 03/22/29 | 3,415 | 3,325,794 | |
Term B-7 Loan, Term SOFR + 2.250% | 3.384(c) | 03/22/29 | 4,681 | 4,559,556 | |
TIBCO Software, Inc., | |||||
Second Lien Term Loan, 1 Month LIBOR + 7.250% | 8.310(c) | 03/03/28 | 5,638 | 5,532,287 | |
Term Loan B-3, 3 Month LIBOR + 3.750% | 4.810(c) | 06/30/26 | 7,061 | 6,928,595 | |
UKG, Inc., Second Lien 2021 Incremental Term Loan, 3 Month LIBOR + 5.250% | 6.212(c) | 05/03/27 | 7,250 | 6,941,875 | |
Upland Software, Inc., Senior Secured Term Loan, 1 Month LIBOR + 3.750% | 3.761(c) | 08/06/26 | 4,219 | 4,063,300 | |
Zelis Payments Buyer, Inc., Term B-1 Loan, 1 Month LIBOR + 3.500% | 4.300(c) | 09/30/26 | 3,147 | 3,059,803 | |
433,835,782 | |||||
Telecommunications 5.3% | |||||
CCI Buyer, Inc., First Lien Initial Term Loan, Term SOFR + 4.000% | 4.750(c) | 12/17/27 | 15,801 | 15,105,373 | |
CenturyLink, Inc., Term B Loan, 1 Month LIBOR + 2.250% | 3.310(c) | 03/15/27 | 3,709 | 3,475,435 | |
Cincinnati Bell, Inc., Term B2 Loan, Term SOFR + 3.250% | 4.051(c) | 11/22/28 | 4,117 | 4,003,357 | |
CommScope, Inc., Term Loan, 1 Month LIBOR + 3.000% | 4.310(c) | 04/06/26 | 7,500 | 7,096,875 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Telecommunications (cont’d.) | |||||
Connect Finco Sarl (United Kingdom), Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR + 3.500% | 4.560 %(c) | 12/11/26 | 18,548 | $17,759,372 | |
Consolidated Communications, Inc., Term B-1 Loan, 1 Month LIBOR + 3.500% | 4.563(c) | 10/02/27 | 8,250 | 7,306,406 | |
Crown Subsea Communications Holding, Inc., Initial Term Loan, 1 Month LIBOR + 4.750% | 5.550(c) | 04/27/27 | 5,282 | 5,163,443 | |
Digicel International Finance Ltd. (Saint Lucia), First Lien Initial Term B Loan, 1 Month LIBOR + 3.250% | 4.310(c) | 05/27/24 | 23,927 | 21,135,434 | |
Global Tel Link Corp., | |||||
First Lien Term Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 11/29/25 | 11,656 | 10,956,863 | |
Term Loan, 1 Month LIBOR + 10.000% | 11.134(c) | 11/29/26 | 355 | 328,375 | |
Gogo Intermediate Holdings LLC, Initial Term Loan, 3 Month LIBOR + 3.750% | 4.989(c) | 04/30/28 | 12,326 | 11,907,277 | |
GTT Communications, Inc., Closing Date U.S. Term Loan, PRIME + 3.750% | 7.750(c) | 05/30/25 | 16,674 | 13,156,134 | |
Intelsat Jackson Holdings SA (Luxembourg), Term B Loan, Term SOFR + 4.250% | 4.920(c) | 02/01/29 | 37,260 | 35,061,381 | |
Iridium Satellite LLC, Term B-2 Loan, 1 Month LIBOR + 2.500% | 3.560(c) | 11/04/26 | 4,299 | 4,170,956 | |
MLN U.S. HoldCo LLC, Term B Loan (First Lien), 1 Month LIBOR + 4.500% | 5.303(c) | 11/30/25 | 21,267 | 17,566,605 | |
ORBCOMM, Inc., Closing Date Term Loan, 1 Month LIBOR + 4.250% | 5.310(c) | 09/01/28 | 1,572 | 1,509,523 | |
Securus Technologies Holdings, Inc., Initial Term Loan (First Lien), 3 Month LIBOR + 4.500% | 5.506(c) | 11/01/24 | 11,888 | 10,901,654 | |
Viasat, Inc., Initial Term Loan, Term SOFR + 4.500% | 5.649(c) | 03/02/29 | 10,095 | 9,716,437 | |
West Corp., | |||||
Incremental B1 Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 10/10/24 | 4,081 | 3,621,922 | |
Initial Term B Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 10/10/24 | 17,758 | 15,834,594 | |
Xplornet Communications, Inc. (Canada), | |||||
Refinancing Term Loan, 1 Month LIBOR + 4.000% | 5.060(c) | 10/02/28 | 12,122 | 11,121,677 | |
Term Loan, 1 Month LIBOR + 6.000%^ | 7.764(c) | 10/01/29 | 6,630 | 6,033,300 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Telecommunications (cont’d.) | |||||
Zacapa Sarl (Luxembourg), Initial Term Loans 2022, Term SOFR + 4.250% | 4.766 %(c) | 03/22/29 | 8,600 | $8,288,250 | |
241,220,643 | |||||
Textiles 0.2% | |||||
ASP Unifrax Holdings, Inc., USD Term Loan (First Lien), 3 Month LIBOR + 3.750% | 4.756(c) | 12/12/25 | 9,638 | 8,903,475 | |
Transportation 1.5% | |||||
Daseke Cos., Inc., Term Loan, 1 Month LIBOR + 4.000%^ | 4.930(c) | 03/09/28 | 6,289 | 5,974,602 | |
Einstein Merger Sub, Inc., Initial Term Loan, 1 Month LIBOR + 3.500% | 4.560(c) | 11/23/28 | 10,224 | 9,763,920 | |
First Student Bidco, Inc., | |||||
Initial Term B Loan, 3 Month LIBOR + 3.000% | 3.983(c) | 07/21/28 | 11,850 | 11,138,871 | |
Initial Term C Loan, 3 Month LIBOR + 3.000% | 3.983(c) | 07/21/28 | 4,385 | 4,121,969 | |
Kenan Advantage Group, Inc., Term Loan B, 1 Month LIBOR + 3.750% | 4.810(c) | 03/24/26 | 494 | 467,211 | |
LaserShip, Inc., First Lien Initial Term Loan, 1 Month LIBOR + 4.500% | 5.250(c) | 05/08/28 | 14,660 | 13,951,183 | |
PODS LLC, Term Loan, 1 Month LIBOR + 3.000% | 4.060(c) | 03/31/28 | 7,729 | 7,376,342 | |
Rinchem Co. LLC, Initial Term Loan, 3 Month LIBOR + 4.500%^ | 5.000(c) | 03/02/29 | 2,475 | 2,348,156 | |
Savage Enterprises LLC, Term Loan B, 1 Month LIBOR + 3.250% | 4.220(c) | 09/15/28 | 5,945 | 5,771,934 | |
STG Logistics, Inc., Initial Term Loan, Term SOFR + 6.000% | 6.987(c) | 03/24/28 | 4,000 | 3,910,000 | |
Worldwide Express, Inc., First Lien Initial Term Loan, 3 Month LIBOR + 4.250% | 5.256(c) | 07/26/28 | 4,663 | 4,348,539 | |
69,172,727 | |||||
Total Bank Loans (cost $4,044,057,222) | 3,831,646,919 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds 11.0% | |||||
Aerospace & Defense 0.5% | |||||
Boeing Co. (The), Sr. Unsec’d. Notes | 5.805 % | 05/01/50 | 8,875 | $8,749,768 | |
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A(a) | 7.125 | 06/15/26 | 5,450 | 4,984,462 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 12/01/24 | 360 | 349,479 | |
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 1,170 | 1,139,558 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 5,375 | 4,925,533 | |
20,148,800 | |||||
Airlines 0.0% | |||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Sr. Sec’d. Notes, 144A | 5.750 | 01/20/26 | 375 | 372,787 | |
Apparel 0.0% | |||||
Kontoor Brands, Inc., Gtd. Notes, 144A | 4.125 | 11/15/29 | 1,100 | 938,175 | |
Auto Parts & Equipment 0.1% | |||||
American Axle & Manufacturing, Inc., Gtd. Notes(a) | 5.000 | 10/01/29 | 3,900 | 3,483,795 | |
Dana, Inc., Sr. Unsec’d. Notes | 4.500 | 02/15/32 | 2,200 | 1,885,653 | |
5,369,448 | |||||
Banks 5.8% | |||||
Bank of America Corp., | |||||
Jr. Sub. Notes, Series JJ | 5.125(ff) | 06/20/24(oo) | 1,500 | 1,467,944 | |
Jr. Sub. Notes, Series MM | 4.300(ff) | 01/28/25(oo) | 40,670 | 37,424,807 | |
Jr. Sub. Notes, Series RR | 4.375(ff) | 01/27/27(oo) | 31,877 | 28,338,236 | |
Citigroup, Inc., | |||||
Jr. Sub. Notes, Series U | 5.000(ff) | 09/12/24(oo) | 20,875 | 19,244,974 | |
Jr. Sub. Notes, Series V | 4.700(ff) | 01/30/25(oo) | 56,123 | 50,009,935 | |
Goldman Sachs Group, Inc. (The), | |||||
Jr. Sub. Notes, Series U | 3.650(ff) | 08/10/26(oo) | 3,000 | 2,527,218 | |
Jr. Sub. Notes, Series V | 4.125(ff) | 11/10/26(oo) | 26,859 | 23,762,650 | |
JPMorgan Chase & Co., | |||||
Jr. Sub. Notes, Series HH | 4.600(ff) | 02/01/25(oo) | 96,366 | 86,768,706 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Banks (cont’d.) | |||||
JPMorgan Chase & Co., (cont’d.) | |||||
Jr. Sub. Notes, Series II | 4.000 %(ff) | 04/01/25(oo) | 8,813 | $7,711,375 | |
Texas Capital Bank NA, Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 4.500% | 5.506(c) | 09/30/24 | 3,670 | 3,568,914 | |
260,824,759 | |||||
Building Materials 0.2% | |||||
Eco Material Technologies, Inc., Sr. Sec’d. Notes, 144A | 7.875 | 01/31/27 | 1,975 | 1,871,540 | |
Masonite International Corp., Gtd. Notes, 144A | 3.500 | 02/15/30 | 125 | 108,636 | |
SRM Escrow Issuer LLC, Sr. Sec’d. Notes, 144A | 6.000 | 11/01/28 | 6,035 | 5,633,743 | |
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(a) | 5.000 | 02/15/27 | 985 | 952,805 | |
8,566,724 | |||||
Chemicals 0.1% | |||||
Chemours Co. (The), Gtd. Notes, 144A(a) | 4.625 | 11/15/29 | 2,625 | 2,371,242 | |
Tronox, Inc., Gtd. Notes, 144A(a) | 4.625 | 03/15/29 | 3,000 | 2,753,851 | |
5,125,093 | |||||
Commercial Services 0.4% | |||||
Adtalem Global Education, Inc., Sr. Sec’d. Notes, 144A(a) | 5.500 | 03/01/28 | 8,596 | 7,952,977 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., Sr. Unsec’d. Notes, 144A | 6.000 | 06/01/29 | 400 | 323,986 | |
Castor SpA (Italy), Sr. Sec’d. Notes, 144A, 3 Month EURIBOR + 5.250% (Cap N/A, Floor 5.250%) | 5.250(c) | 02/15/29 | EUR | 6,900 | 7,189,282 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Commercial Services (cont’d.) | |||||
Hertz Corp. (The), Gtd. Notes, 144A | 5.000 % | 12/01/29 | 2,475 | $2,170,439 | |
Ren10 Holding AB (Sweden), Sr. Sec’d. Notes, 144A, 3 Month EURIBOR + 4.375% (Cap N/A, Floor 0.000%) | 3.937(c) | 02/01/27 | EUR | 2,125 | 2,173,920 |
19,810,604 | |||||
Distribution/Wholesale 0.0% | |||||
H&E Equipment Services, Inc., Gtd. Notes, 144A | 3.875 | 12/15/28 | 1,000 | 871,785 | |
Diversified Financial Services 0.1% | |||||
VistaJet Malta Finance PLC/XO Management Holding, Inc. (Switzerland), | |||||
Sr. Unsec’d. Notes, 144A(a) | 6.375 | 02/01/30 | 1,875 | 1,592,361 | |
Sr. Unsec’d. Notes, 144A(a) | 7.875 | 05/01/27 | 3,575 | 3,368,122 | |
4,960,483 | |||||
Electric 0.6% | |||||
Calpine Corp., | |||||
Sr. Sec’d. Notes, 144A | 3.750 | 03/01/31 | 2,200 | 1,938,466 | |
Sr. Unsec’d. Notes, 144A | 4.625 | 02/01/29 | 8,975 | 7,987,750 | |
Sr. Unsec’d. Notes, 144A | 5.000 | 02/01/31 | 650 | 579,437 | |
Vistra Corp., | |||||
Jr. Sub. Notes, 144A | 7.000(ff) | 12/15/26(oo) | 7,375 | 7,090,428 | |
Jr. Sub. Notes, 144A | 8.000(ff) | 10/15/26(oo) | 5,225 | 5,192,285 | |
Vistra Operations Co. LLC, Gtd. Notes, 144A | 4.375 | 05/01/29 | 2,250 | 2,098,542 | |
24,886,908 | |||||
Electronics 0.0% | |||||
Sensata Technologies BV, Gtd. Notes, 144A(a) | 4.000 | 04/15/29 | 1,575 | 1,500,575 | |
Sensata Technologies, Inc., Gtd. Notes, 144A | 3.750 | 02/15/31 | 500 | 447,413 | |
1,947,988 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Entertainment 0.1% | |||||
AMC Entertainment Holdings, Inc., Sec’d. Notes, 144A, Cash coupon 10.000% or PIK 12.000% or Cash coupon 5.000% and PIK 6.000% | 10.000 % | 06/15/26 | 468 | $358,921 | |
Scientific Games Holdings LP/Scientific Games US FinCo, Inc., Sr. Unsec’d. Notes, 144A(a) | 6.625 | 03/01/30 | 2,950 | 2,739,847 | |
Scientific Games International, Inc., Gtd. Notes, 144A | 8.625 | 07/01/25 | 600 | 633,032 | |
3,731,800 | |||||
Foods 0.0% | |||||
B&G Foods, Inc., Gtd. Notes(a) | 5.250 | 09/15/27 | 2,000 | 1,791,292 | |
Healthcare-Products 0.2% | |||||
Mozart Debt Merger Sub, Inc., Sr. Sec’d. Notes, 144A | 3.875 | 04/01/29 | 10,457 | 9,440,642 | |
Home Builders 0.2% | |||||
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec’d. Notes, 144A(a) | 4.625 | 04/01/30 | 3,960 | 3,335,968 | |
Beazer Homes USA, Inc., Gtd. Notes | 5.875 | 10/15/27 | 500 | 448,984 | |
Brookfield Residential Properties, Inc./Brookfield Residential US LLC (Canada), Gtd. Notes, 144A | 4.875 | 02/15/30 | 5,000 | 4,072,414 | |
7,857,366 | |||||
Housewares 0.1% | |||||
Scotts Miracle-Gro Co. (The), | |||||
Gtd. Notes(a) | 4.000 | 04/01/31 | 3,000 | 2,512,096 | |
Gtd. Notes | 4.375 | 02/01/32 | 1,000 | 828,442 | |
SWF Escrow Issuer Corp., Sr. Unsec’d. Notes, 144A(a) | 6.500 | 10/01/29 | 2,550 | 1,948,651 | |
5,289,189 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Internet 0.3% | |||||
United Group BV (Netherlands), | |||||
Sr. Sec’d. Notes, 3 Month EURIBOR + 3.250% (Cap N/A, Floor 3.250%) | 3.250 %(c) | 02/15/26 | EUR | 5,000 | $4,866,114 |
Sr. Sec’d. Notes, 144A, 3 Month EURIBOR + 4.875% (Cap N/A, Floor 4.875%) | 4.875(c) | 02/01/29 | EUR | 6,575 | 6,601,050 |
11,467,164 | |||||
Media 0.2% | |||||
CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(a) | 5.000 | 11/15/31 | 3,557 | 2,802,546 | |
Diamond Sports Group LLC/Diamond Sports Finance Co., | |||||
Gtd. Notes, 144A | 6.625 | 08/15/27 | 3,075 | 582,959 | |
Sec’d. Notes, 144A(a) | 5.375 | 08/15/26 | 2,080 | 679,870 | |
DISH DBS Corp., Gtd. Notes(a) | 7.750 | 07/01/26 | 1,000 | 854,831 | |
Sinclair Television Group, Inc., Sr. Sec’d. Notes, 144A | 4.125 | 12/01/30 | 3,000 | 2,550,569 | |
7,470,775 | |||||
Metal Fabricate/Hardware 0.0% | |||||
Roller Bearing Co. of America, Inc., Sr. Unsec’d. Notes, 144A(a) | 4.375 | 10/15/29 | 1,600 | 1,423,729 | |
Miscellaneous Manufacturing 0.0% | |||||
Amsted Industries, Inc., Sr. Unsec’d. Notes, 144A | 4.625 | 05/15/30 | 1,500 | 1,345,038 | |
Oil & Gas 0.4% | |||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes^ | 7.875 | 12/15/24(d) | 6,725 | 45,730 | |
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A(a) | 9.250 | 08/01/24 | 125 | 124,214 | |
Hilcorp Energy I LP/Hilcorp Finance Co., | |||||
Sr. Unsec’d. Notes, 144A | 6.000 | 04/15/30 | 3,750 | 3,647,330 | |
Sr. Unsec’d. Notes, 144A | 6.250 | 04/15/32 | 4,750 | 4,627,670 | |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A(a) | 7.125 % | 02/01/27 | 6,546 | $6,865,787 | |
Nabors Industries, Inc., Gtd. Notes, 144A | 7.375 | 05/15/27 | 4,100 | 4,139,955 | |
19,450,686 | |||||
Packaging & Containers 0.3% | |||||
Graphic Packaging International LLC, Gtd. Notes, 144A(a) | 3.750 | 02/01/30 | 2,600 | 2,329,419 | |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC (Canada), Sr. Sec’d. Notes, 144A | 6.000 | 09/15/28 | 3,250 | 3,006,260 | |
OI European Group BV, Gtd. Notes, 144A | 4.750 | 02/15/30 | 2,200 | 1,932,364 | |
Sealed Air Corp., Gtd. Notes, 144A(a) | 5.000 | 04/15/29 | 6,075 | 6,033,652 | |
13,301,695 | |||||
Pharmaceuticals 0.1% | |||||
Bausch Health Cos., Inc., | |||||
Gtd. Notes, 144A | 5.000 | 02/15/29 | 2,250 | 1,347,280 | |
Gtd. Notes, 144A | 5.250 | 01/30/30 | 525 | 306,987 | |
Gtd. Notes, 144A | 6.250 | 02/15/29 | 759 | 473,124 | |
2,127,391 | |||||
Real Estate 0.1% | |||||
Howard Hughes Corp. (The), Gtd. Notes, 144A(a) | 4.375 | 02/01/31 | 3,145 | 2,796,611 | |
Hunt Cos., Inc., Sr. Sec’d. Notes, 144A | 5.250 | 04/15/29 | 2,100 | 1,986,493 | |
4,783,104 | |||||
Real Estate Investment Trusts (REITs) 0.2% | |||||
Diversified Healthcare Trust, | |||||
Gtd. Notes | 4.375 | 03/01/31 | 10,519 | 8,270,731 |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Real Estate Investment Trusts (REITs) (cont’d.) | |||||
Diversified Healthcare Trust, (cont’d.) | |||||
Gtd. Notes | 9.750 % | 06/15/25 | 1,450 | $1,521,377 | |
Sr. Unsec’d. Notes(a) | 4.750 | 02/15/28 | 1,375 | 1,151,088 | |
10,943,196 | |||||
Retail 0.3% | |||||
At Home Group, Inc., Gtd. Notes, 144A(a) | 7.125 | 07/15/29 | 8,000 | 5,419,686 | |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., | |||||
Gtd. Notes, 144A(a) | 6.750 | 01/15/30 | 3,275 | 2,837,304 | |
Sr. Sec’d. Notes, 144A | 4.625 | 01/15/29 | 400 | 363,790 | |
Gap, Inc. (The), Gtd. Notes, 144A(a) | 3.875 | 10/01/31 | 5,000 | 3,559,316 | |
12,180,096 | |||||
Software 0.2% | |||||
Dun & Bradstreet Corp. (The), Gtd. Notes, 144A(a) | 5.000 | 12/15/29 | 3,487 | 3,170,354 | |
TeamSystem SpA (Italy), Sr. Sec’d. Notes, 3 Month EURIBOR + 3.750% (Cap N/A, Floor 3.750%) | 3.750(c) | 02/15/28 | EUR | 5,000 | 5,146,110 |
8,316,464 | |||||
Telecommunications 0.5% | |||||
Digicel International Finance Ltd./Digicel International Holdings Ltd. (Jamaica), | |||||
Gtd. Notes, 144A | 8.000 | 12/31/26 | 242 | 205,712 | |
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% | 13.000 | 12/31/25 | 708 | 688,178 | |
Sr. Sec’d. Notes, 144A | 8.750 | 05/25/24 | 3,005 | 2,868,995 | |
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750 | 03/01/23 | 8,113 | 6,397,766 | |
Intelsat Jackson Holdings SA Escrow (Luxembourg), | |||||
Gtd. Notes^ | 5.500 | 08/01/23(d) | 2,975 | 3 | |
Gtd. Notes, 144A^ | 8.500 | 10/15/24(d) | 25 | — | |
Gtd. Notes, 144A^ | 9.750 | 07/15/25(d) | 25 | — |
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Telecommunications (cont’d.) | |||||
Level 3 Financing, Inc., Gtd. Notes, 144A | 3.750 % | 07/15/29 | 1,500 | $1,280,927 | |
Lumen Technologies, Inc., | |||||
Sr. Unsec’d. Notes, Series P | 7.600 | 09/15/39 | 650 | 559,697 | |
Sr. Unsec’d. Notes, Series U | 7.650 | 03/15/42 | 950 | 818,127 | |
WP/AP Telecom Holdings IV BV (Netherlands), Sr. Sec’d. Notes, 144A(a) | 3.750 | 01/15/29 | EUR | 9,025 | 8,725,519 |
21,544,924 | |||||
Total Corporate Bonds (cost $560,415,855) | 496,288,105 | ||||
Residential Mortgage-Backed Securities 0.1% | |||||
FHLMC Structured Agency Credit Risk REMIC Trust, Series 2021-DNA06, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%) | 3.984(c) | 10/25/41 | 5,000 | 4,398,398 | |
PMT Credit Risk Transfer Trust, Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%) | 4.838(c) | 12/25/22 | 948 | 941,385 | |
Total Residential Mortgage-Backed Securities (cost $5,721,055) | 5,339,783 |
Shares | |||||
Common Stocks 0.1% | |||||
Gas Utilities 0.0% | |||||
Ferrellgas Partners LP (Class B Stock) | 3,597 | 737,385 | |||
Oil, Gas & Consumable Fuels 0.1% | |||||
Chesapeake Energy Corp.(a) | 37,250 | 3,627,405 | |||
Chesapeake Energy Corp. Backstop Commitment | 848 | 82,578 | |||
Civitas Resources, Inc. | 4,519 | 345,026 | |||
4,055,009 |
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Real Estate Management & Development 0.0% | |||||
ASP MCS Acquisition Corp. (original cost $265,715; purchased 09/22/20)*(f) | 2,797 | $223,760 | |||
Wireless Telecommunication Services 0.0% | |||||
Intelsat Emergence SA (Luxembourg)* | 28,297 | 850,678 | |||
Total Common Stocks (cost $2,309,089) | 5,866,832 |
Units | |||||
Rights* 0.0% | |||||
Diversified Telecommunication Services | |||||
Intelsat Jackson Holdings SA, Series A (Luxembourg), expiring 12/05/25^ | 2,962 | 5,646 | |||
Intelsat Jackson Holdings SA, Series B (Luxembourg), expiring 12/05/25^ | 2,962 | 1,041 | |||
Total Rights (cost $0) | 6,687 | ||||
Total Long-Term Investments (cost $4,773,984,217) | 4,497,285,697 |
Shares | |||||
Short-Term Investment 1.3% | |||||
Affiliated Mutual Fund | |||||
PGIM Institutional Money Market Fund (cost $56,324,363; includes $56,289,165 of cash collateral for securities on loan)(b)(we) | 56,376,550 | 56,331,449 | |||
TOTAL INVESTMENTS 100.9% (cost $4,830,308,580) | 4,553,617,146 | ||||
Liabilities in excess of other assets(z) (0.9)% | (39,481,021) | ||||
Net Assets 100.0% | $4,514,136,125 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
EUR—Euro |
GBP—British Pound | |
USD—US Dollar |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
CDX—Credit Derivative Index | |
CLO—Collateralized Loan Obligation | |
EURIBOR—Euro Interbank Offered Rate | |
FHLMC—Federal Home Loan Mortgage Corporation | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
Q—Quarterly payment frequency for swaps | |
REITs—Real Estate Investment Trust | |
REMICS—Real Estate Mortgage Investment Conduit Security | |
SOFR—Secured Overnight Financing Rate | |
SONIA—Sterling Overnight Index Average |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $447,748,322 and 9.9% 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 $54,986,985; cash collateral of $56,289,165 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at May 31, 2022. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(f) | Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $265,715. The aggregate value of $223,760 is 0.0% of net assets. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(oo) | Perpetual security. Maturity date represents next call date. |
(p) | Represents a security with a delayed settlement and therefore the interest rate is not available until settlement which is after the period end. |
(we) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the 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 | ||||
athenahealth, Inc., Initial Delayed Draw Term Loan, 1 - 3 Month LIBOR + 1.000%, 1.000%(c), Maturity Date 02/15/29 (cost $3,061,594) | 3,062 | $2,916,169 | $— | $(145,426) | ||||
BCPE North Star U.S. Holdco 2, Inc., First Lien Delayed Draw Term Loan, 1 - 3 Month LIBOR + 4.000%, 4.000%(c), Maturity Date 06/09/28 (cost $607,895)^ | 608 | 571,421 | — | (36,473) | ||||
Confluent Health LLC, Initial Delayed Draw Term Loan, 1 Month LIBOR + 4.000%, 4.000%(c), Maturity Date 11/30/28 (cost $485,554) | 488 | 469,626 | — | (15,928) | ||||
Dermatology Intermediate Holdings III, Inc., Delayed Draw Term Loan, 1 Month LIBOR + 0.500%, 0.500%(c), Maturity Date 04/02/29 (cost $1,267,067)^ | 1,275 | 1,236,559 | — | (30,508) | ||||
Hillman Group, Inc., Initial Delayed Draw Term Loan, 1 Month LIBOR + 1.893%, 1.893%(c), Maturity Date 07/14/28 (cost $155,371) | 155 | 147,665 | — | (7,706) | ||||
Holley, Inc., Delayed Draw Term Loan, 1 Month LIBOR + 1.000%, 1.000%(c), Maturity Date 12/31/28 (cost $529,733) | 531 | 509,870 | — | (19,863) | ||||
Medical Solutions Holdings, Inc., Delayed Draw Term Loan, 1 - 3 Month LIBOR + 3.500%, 3.500%(c), Maturity Date 11/01/28 (cost $637,033) | 640 | 609,600 | — | (27,433) | ||||
Pro Mach Group, Inc., Delayed Draw Term Loan, 1 Month LIBOR + 8.029%, 8.029%(c), Maturity Date 08/31/28 (cost $385,824) | 386 | 372,481 | — | (13,343) | ||||
Refficiency Holdings LLC, 2021 Delayed Draw Term Loan, 1 Month LIBOR + 3.750%, 3.750%(c), Maturity Date 12/16/27 (cost $1,237,342)^ | 1,237 | 1,187,849 | — | (49,494) | ||||
Secure Acquisition, Inc., Delayed Draw Term Loan, 3 Month LIBOR + 1.000%, 1.000%(c), Maturity Date 12/15/28 (cost $353,933)^ | 356 | 341,379 | — | (12,554) | ||||
Sovos Compliance LLC, First Lien Delayed Draw Term Loan, 3 Month LIBOR + 4.500%, 4.500%(c), Maturity Date 08/11/28 (cost $767,645) | 769 | 743,947 | — | (23,697) | ||||
TGP Holdings III LLC, Delayed Draw Term Loan, 1 - 3 Month LIBOR + 1.625%, 3.375%(c), Maturity Date 06/29/28 (cost $639,572) | 646 | 581,539 | — | (58,033) | ||||
Trident TPI Holdings, Inc., Tranche B-3 DDTL Commitments, 3 Month LIBOR + 4.000%, 4.000%(c), Maturity Date 09/15/28 (cost $103,975) | 104 | 99,203 | — | (4,772) | ||||
$9,787,308 | $— | $(445,230) |
Futures contracts outstanding at May 31, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Position: | ||||||||
65 | 20 Year U.S. Treasury Bonds | Sep. 2022 | $9,063,438 | $(48,927) | ||||
Short Positions: | ||||||||
315 | 2 Year U.S. Treasury Notes | Sep. 2022 | 66,496,992 | (88,307) | ||||
60 | 5 Year Euro-Bobl | Sep. 2022 | 8,065,796 | 6,709 | ||||
970 | 5 Year U.S. Treasury Notes | Sep. 2022 | 109,564,536 | (6,659) | ||||
40 | 10 Year Euro-Bund | Sep. 2022 | 6,524,178 | 7,472 | ||||
689 | 10 Year U.S. Treasury Notes | Sep. 2022 | 82,303,207 | 59,853 | ||||
11 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2022 | 1,713,250 | 12,008 | ||||
141 | Euro Schatz Index | Jun. 2022 | 16,668,925 | 279,082 | ||||
270,158 | ||||||||
$221,231 |
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 06/06/22 | BNP Paribas S.A. | GBP | 22,524 | $28,152,275 | $28,382,028 | $229,753 | $— | ||||||
Euro, | |||||||||||||
Expiring 06/02/22 | The Toronto-Dominion Bank | EUR | 78,665 | 84,412,409 | 84,457,786 | 45,377 | — | ||||||
$112,564,684 | $112,839,814 | 275,130 | — |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 06/06/22 | The Toronto-Dominion Bank | GBP | 22,524 | $28,660,256 | $28,382,028 | $278,228 | $— | ||||||
Expiring 07/05/22 | BNP Paribas S.A. | GBP | 22,524 | 28,158,131 | 28,388,131 | — | (230,000) | ||||||
Euro, | |||||||||||||
Expiring 06/02/22 | BNP Paribas S.A. | EUR | 76,613 | 82,347,223 | 82,254,815 | 92,408 | — |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Euro (cont’d.), | |||||||||||||
Expiring 06/02/22 | Standard Chartered Bank | EUR | 2,052 | $2,176,292 | $2,202,971 | $— | $(26,679) | ||||||
Expiring 07/05/22 | The Toronto-Dominion Bank | EUR | 78,665 | 84,557,389 | 84,613,702 | — | (56,313) | ||||||
$225,899,291 | $225,841,647 | 370,636 | (312,992) | ||||||||||
$645,766 | $(312,992) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at May 31, 2022(4) | Value at Trade Date | Value at May 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Sell Protection(2): | |||||||||||||||
CDX.NA.HY.37.V1 | 12/20/26 | 5.000%(Q) | 100,000 | 4.291% | $7,219,845 | $3,689,295 | $(3,530,550) |
(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. |