Putnam VT High Yield Fund | ||||||
The fund's portfolio | ||||||
3/31/20 (Unaudited) |
CORPORATE BONDS AND NOTES (85.1%)(a) | ||||||
Principal amount | Value | |||||
Advertising and marketing services (0.7%) | ||||||
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 | $285,000 | $269,681 | ||||
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. notes 9.25%, 2/15/24 | 191,000 | 163,783 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. bonds 4.625%, 3/15/30 | 95,000 | 84,550 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 | 140,000 | 134,400 | ||||
Terrier Media Buyer, Inc. 144A company guaranty sr. unsec. notes 8.875%, 12/15/27 | 470,000 | 397,150 | ||||
1,049,564 | ||||||
Automotive (0.4%) | ||||||
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 | 630,000 | 524,475 | ||||
524,475 | ||||||
Broadcasting (3.3%) | ||||||
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 | 345,000 | 280,319 | ||||
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 | 720,000 | 481,500 | ||||
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 | 360,000 | 312,300 | ||||
Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 | 370,000 | 308,950 | ||||
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 | 630,000 | 626,850 | ||||
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 447,569 | 389,663 | ||||
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 | 460,000 | 432,970 | ||||
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 | 520,000 | 508,300 | ||||
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. bonds 5.50%, 3/1/30 | 315,000 | 260,663 | ||||
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 750,000 | 755,625 | ||||
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 | 270,000 | 259,200 | ||||
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 | 380,000 | 323,950 | ||||
4,940,290 | ||||||
Building materials (1.5%) | ||||||
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 | 100,000 | 95,250 | ||||
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 160,000 | 145,600 | ||||
Cornerstone Building Brands, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 | 270,000 | 233,888 | ||||
Installed Building Products, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/28 | 60,000 | 57,000 | ||||
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 | 320,000 | 282,400 | ||||
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 | 135,000 | 118,800 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 125,000 | 122,850 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 | 255,000 | 250,614 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 335,000 | 323,275 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 115,000 | 104,650 | ||||
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 30,000 | 27,629 | ||||
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 | 495,000 | 435,600 | ||||
2,197,556 | ||||||
Cable television (5.1%) | ||||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 | 440,000 | 446,600 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 1,965,000 | 2,019,234 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 5/1/32 | 210,000 | 204,792 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 | 145,000 | 142,100 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 | 165,000 | 167,087 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 | 380,000 | 380,950 | ||||
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 1,385,000 | 1,388,449 | ||||
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 | 265,000 | 267,242 | ||||
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.875%, 10/15/25 | 200,000 | 216,250 | ||||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 | 865,000 | 841,213 | ||||
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) | 110,000 | 111,100 | ||||
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) | 225,000 | 225,000 | ||||
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) | 325,000 | 325,000 | ||||
Virgin Media Finance PLC 144A company guaranty sr. unsec. unsub. notes 5.75%, 1/15/25 (United Kingdom) | 335,000 | 324,950 | ||||
Ziggo Bond Co. BV 144A sr. unsec. notes 6.00%, 1/15/27 (Netherlands) | 400,000 | 388,000 | ||||
Ziggo BV 144A company guaranty sr. notes 5.50%, 1/15/27 (Netherlands) | 175,000 | 175,000 | ||||
7,622,967 | ||||||
Capital goods (7.5%) | ||||||
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 | 405,000 | 372,600 | ||||
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 | 230,000 | 223,770 | ||||
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 305,000 | 272,213 | ||||
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Luxembourg)(PIK) | 690,000 | 592,641 | ||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 6.00%, 2/15/25 (Ireland) | 285,000 | 285,798 | ||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 8/15/27 (Ireland) | 325,000 | 333,125 | ||||
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) | 80,000 | 79,000 | ||||
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 | 235,000 | 242,783 | ||||
Berry Global, Inc. 144A notes 4.50%, 2/15/26 | 110,000 | 106,150 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 370,000 | 246,920 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) | 95,000 | 64,125 | ||||
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 | 125,000 | 116,250 | ||||
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 | 215,000 | 210,464 | ||||
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 | 220,000 | 225,434 | ||||
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 | 470,000 | 481,750 | ||||
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 305,000 | 297,375 | ||||
GFL Environmental, Inc. 144A sr. unsec. notes 8.50%, 5/1/27 (Canada) | 195,000 | 195,917 | ||||
GFL Environmental, Inc. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) | 495,000 | 482,625 | ||||
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 | 525,000 | 513,843 | ||||
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 (Canada)(PIK) | 390,000 | 286,447 | ||||
Moog, Inc. 144A company guaranty sr. unsec. notes 4.25%, 12/15/27 | 125,000 | 112,813 | ||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 | 245,000 | 231,525 | ||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 | 310,000 | 270,444 | ||||
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 | 465,000 | 367,543 | ||||
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 | 350,000 | 327,250 | ||||
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 715,000 | 631,881 | ||||
Staples, Inc. 144A sr. unsec. notes 10.75%, 4/15/27 | 440,000 | 337,612 | ||||
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 | 410,000 | 405,045 | ||||
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 | 295,000 | 283,938 | ||||
Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) | 245,000 | 204,575 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 | 470,000 | 450,025 | ||||
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 595,000 | 592,769 | ||||
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 | 355,000 | 318,613 | ||||
Trivium Packaging Finance BV 144A company guaranty sr. notes 5.50%, 8/15/26 (Netherlands) | 235,000 | 233,825 | ||||
Trivium Packaging Finance BV 144A company guaranty sr. unsec. notes 8.50%, 8/15/27 (Netherlands) | 210,000 | 211,050 | ||||
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 595,000 | 552,041 | ||||
11,160,179 | ||||||
Chemicals (4.2%) | ||||||
Atotech Alpha 2 BV 144A sr. unsec. notes 8.75%, 6/1/23 (Netherlands)(PIK) | 310,000 | 279,000 | ||||
Atotech Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) | 400,000 | 370,000 | ||||
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 | 235,000 | 225,600 | ||||
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 610,000 | 579,317 | ||||
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 | 145,000 | 110,903 | ||||
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 | 165,000 | 137,363 | ||||
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 | 470,000 | 424,293 | ||||
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 | 160,000 | 150,400 | ||||
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 | 285,000 | 265,050 | ||||
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 | 455,000 | 425,425 | ||||
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 | 300,000 | 265,500 | ||||
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 | 435,000 | 391,500 | ||||
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) | 640,000 | 562,400 | ||||
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) | 390,000 | 332,763 | ||||
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 4.892%, 4/24/25 (Switzerland) | 390,000 | 382,390 | ||||
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) | 275,000 | 245,438 | ||||
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 | 110,000 | 99,000 | ||||
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 | 545,000 | 495,950 | ||||
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes 4.25%, 2/15/30 | 195,000 | 182,793 | ||||
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 | 325,000 | 320,028 | ||||
6,245,113 | ||||||
Commercial and consumer services (2.2%) | ||||||
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 | 480,000 | 470,400 | ||||
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 | 430,000 | 420,325 | ||||
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) | 378,000 | 337,894 | ||||
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) | 165,000 | 170,775 | ||||
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) | 340,000 | 350,200 | ||||
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) | 95,000 | 91,675 | ||||
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) | 355,000 | 350,669 | ||||
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) | 400,000 | 388,000 | ||||
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 | 310,000 | 267,375 | ||||
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 | 435,000 | 449,138 | ||||
3,296,451 | ||||||
Construction (2.3%) | ||||||
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 | 255,000 | 235,314 | ||||
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 | 385,000 | 347,463 | ||||
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 515,000 | 496,975 | ||||
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 | 212,000 | 207,760 | ||||
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) | 399,000 | 343,140 | ||||
Cemex SAB de CV 144A company guaranty sr. notes 5.45%, 11/19/29 (Mexico) | 225,000 | 183,600 | ||||
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) | 200,000 | 166,500 | ||||
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 | 255,000 | 247,452 | ||||
James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) | 200,000 | 189,000 | ||||
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 | 230,000 | 200,675 | ||||
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 | 420,000 | 386,400 | ||||
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 | 384,000 | 346,560 | ||||
3,350,839 | ||||||
Consumer (0.6%) | ||||||
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 | 455,000 | 433,388 | ||||
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 | 215,000 | 205,325 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 240,000 | 204,000 | ||||
842,713 | ||||||
Consumer staples (6.6%) | ||||||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) | 340,000 | 328,100 | ||||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) | 215,000 | 198,639 | ||||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) | 365,000 | 346,750 | ||||
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) | 145,000 | 144,636 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 90,000 | 89,775 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 310,000 | 308,450 | ||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson's, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 | 365,000 | 393,397 | ||||
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 | 460,000 | 446,200 | ||||
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 | 390,000 | 306,228 | ||||
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 | 320,000 | 330,784 | ||||
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 | 115,000 | 116,150 | ||||
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 | 375,000 | 174,375 | ||||
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 | 150,000 | 151,380 | ||||
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 | 410,000 | 209,100 | ||||
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 515,000 | 324,393 | ||||
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 | 480,000 | 456,000 | ||||
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 405,000 | 404,433 | ||||
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | 180,000 | 176,400 | ||||
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 | 240,000 | 225,600 | ||||
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 5.00%, 7/15/35 | 425,000 | 422,539 | ||||
Kraft Heinz Co. (The) company guaranty sr. unsec. notes 3.00%, 6/1/26 | 460,000 | 446,925 | ||||
Kraft Heinz Co. (The) 144A company guaranty sr. unsec. sub. notes 3.75%, 4/1/30 | 310,000 | 294,653 | ||||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 | 490,000 | 498,516 | ||||
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 | 35,000 | 34,475 | ||||
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 | 740,000 | 706,700 | ||||
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | 120,000 | 123,600 | ||||
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 | 250,000 | 272,425 | ||||
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 440,000 | 470,140 | ||||
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 165,000 | 171,212 | ||||
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 | 95,000 | 96,439 | ||||
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 | 295,000 | 289,630 | ||||
Party City Holdings, Inc. 144A company guaranty sr. unsec. notes 6.125%, 8/15/23 | 175,000 | 40,250 | ||||
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.125%, 1/15/28 | 65,000 | 64,370 | ||||
Rite Aid Corp. 144A company guaranty sr. unsec. sub. notes 7.50%, 7/1/25 | 209,000 | 198,550 | ||||
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 | 361,000 | 310,460 | ||||
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 | 240,000 | 225,600 | ||||
Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 | 60,000 | 63,000 | ||||
9,860,274 | ||||||
Energy (5.0%) | ||||||
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) | 355,000 | 314,120 | ||||
Aker BP ASA 144A sr. unsec. notes 3.75%, 1/15/30 (Norway) | 325,000 | 242,998 | ||||
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 | 175,000 | 127,313 | ||||
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 | 340,000 | 176,800 | ||||
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 | 350,000 | 269,500 | ||||
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 | 354,000 | 207,090 | ||||
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) | 165,000 | 61,050 | ||||
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 | 176,000 | 2,640 | ||||
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 | 350,000 | 293,169 | ||||
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 | 305,000 | 270,873 | ||||
Comstock Escrow Corp. company guaranty sr. unsec. sub. notes 9.75%, 8/15/26 | 140,000 | 99,722 | ||||
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 | 280,000 | 182,000 | ||||
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 | 420,000 | 226,800 | ||||
Denbury Resources, Inc. 144A company guaranty notes 9.25%, 3/31/22 | 25,000 | 6,000 | ||||
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 | 544,000 | 159,120 | ||||
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 | 400,000 | 294,919 | ||||
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 620,000 | 421,600 | ||||
Energy Transfer Operating LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity | 890,000 | 440,550 | ||||
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 | 640,000 | 451,882 | ||||
Hess Midstream Operations LP 144A sr. unsec. notes 5.125%, 6/15/28 | 290,000 | 203,812 | ||||
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 75,000 | 62,813 | ||||
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 | 195,000 | 128,700 | ||||
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) | 48,000 | 22,140 | ||||
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 399,000 | 252,368 | ||||
MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) | 230,000 | 113,648 | ||||
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 | 530,000 | 116,600 | ||||
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 1/15/28 | 155,000 | 49,600 | ||||
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/26 | 155,000 | 52,700 | ||||
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 5,000 | 3,404 | ||||
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 | 160,000 | 40,016 | ||||
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 | 150,000 | 13,500 | ||||
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 | 155,000 | 37,200 | ||||
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 | 75,000 | 14,813 | ||||
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 | 315,000 | 50,400 | ||||
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) | 450,000 | 148,500 | ||||
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 145,000 | 42,204 | ||||
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 300,000 | 99,000 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 135,000 | 40,500 | ||||
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 12,000 | 5,078 | ||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 480,000 | 249,600 | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 | 130,000 | 104,650 | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 | 155,000 | 132,138 | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 | 140,000 | 112,849 | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 | 95,000 | 73,378 | ||||
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) | 137,775 | 111,598 | ||||
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 | 235,000 | 190,350 | ||||
Transocean, Inc. company guaranty sr. unsec. unsub. bonds 7.50%, 4/15/31 | 140,000 | 35,679 | ||||
Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) | 150,000 | 13,875 | ||||
Valaris PLC sr. unsec. sub. notes 8.00%, 1/31/24 (United Kingdom) | 70,000 | 6,300 | ||||
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 | 275,000 | 231,000 | ||||
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 255,000 | 187,425 | ||||
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 | 85,000 | 48,450 | ||||
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 | 125,000 | 67,875 | ||||
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 | 275,000 | 151,250 | ||||
7,461,559 | ||||||
Entertainment (0.9%) | ||||||
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 | 225,000 | 94,500 | ||||
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 | 85,000 | 67,150 | ||||
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 | 160,000 | 119,600 | ||||
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 | 485,000 | 291,000 | ||||
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 | 35,000 | 31,863 | ||||
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 | 265,000 | 246,450 | ||||
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 | 590,000 | 497,075 | ||||
1,347,638 | ||||||
Financials (9.7%) | ||||||
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 275,000 | 231,000 | ||||
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 | 195,000 | 182,598 | ||||
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 1,425,000 | 1,651,148 | ||||
Altice France Holding SA 144A company guaranty sr. sub. notes 10.50%, 5/15/27 (Luxembourg) | 345,000 | 363,975 | ||||
Altice France Holding SA 144A company guaranty sr. unsec. notes 6.00%, 2/15/28 (Luxembourg) | 510,000 | 448,637 | ||||
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 | 360,000 | 421,200 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | 140,000 | 140,700 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity | 270,000 | 284,850 | ||||
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 195,000 | 186,225 | ||||
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 | 220,000 | 214,500 | ||||
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 | 210,000 | 203,759 | ||||
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 335,000 | 348,609 | ||||
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.625%, 3/15/26 | 155,000 | 147,204 | ||||
Credit Acceptance Corp. 144A sr. unsec. notes 5.125%, 12/31/24 | 155,000 | 141,050 | ||||
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) | 500,000 | 470,625 | ||||
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 150,000 | 174,516 | ||||
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) | 270,000 | 226,800 | ||||
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 205,000 | 222,208 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 | 295,000 | 231,575 | ||||
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 | 270,000 | 217,509 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 | 135,000 | 124,875 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 245,000 | 217,168 | ||||
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) | 310,000 | 288,982 | ||||
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 | 410,000 | 405,900 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 | 135,000 | 130,275 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 | 365,000 | 344,925 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 | 185,000 | 170,894 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4.75%, 9/15/24 | 180,000 | 165,548 | ||||
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24(R) | 420,000 | 352,800 | ||||
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25(R) | 430,000 | 353,632 | ||||
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27(R) | 305,000 | 240,950 | ||||
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13.00%, perpetual maturity (United Kingdom) | GBP | 115,000 | 245,568 | |||
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) | $328,000 | 281,654 | ||||
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 | 630,000 | 604,800 | ||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) | 150,000 | 127,500 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 | 315,000 | 285,863 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 | 130,000 | 127,075 | ||||
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 6.00%, 1/15/27 | 150,000 | 127,500 | ||||
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 | 505,000 | 424,200 | ||||
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) | 675,000 | 862,313 | ||||
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 160,000 | 158,400 | ||||
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 | 255,000 | 240,975 | ||||
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 | 205,000 | 206,460 | ||||
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 | 330,000 | 301,950 | ||||
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) | 420,000 | 369,600 | ||||
Stearns Holdings, LLC/Stearns Co-Issuer, Inc. 144A notes 5.00%, 11/5/24 | 14,103 | 9,237 | ||||
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 | 155,000 | 138,402 | ||||
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 | 340,000 | 255,850 | ||||
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 | 430,000 | 399,900 | ||||
14,471,884 | ||||||
Forest products and packaging (2.0%) | ||||||
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 | 695,000 | 658,513 | ||||
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 | 440,000 | 349,800 | ||||
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 | 395,000 | 378,845 | ||||
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 | 345,000 | 297,563 | ||||
Mauser Packaging Solutions Holding Co. 144A sr. notes 5.50%, 4/15/24 | 175,000 | 161,000 | ||||
Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) | 45,000 | 37,463 | ||||
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) | 205,000 | 174,250 | ||||
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 185,000 | 140,572 | ||||
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) | 635,000 | 758,825 | ||||
2,956,831 | ||||||
Gaming and lottery (2.0%) | ||||||
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 | 160,000 | 137,600 | ||||
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 | 170,000 | 147,050 | ||||
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes 4.75%, 12/1/27 | 155,000 | 127,875 | ||||
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 | 615,000 | 444,153 | ||||
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 | 60,000 | 54,150 | ||||
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 | 215,000 | 192,965 | ||||
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 340,000 | 248,200 | ||||
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | 500,000 | 312,500 | ||||
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/15/26 | 320,000 | 204,835 | ||||
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 | 145,000 | 89,175 | ||||
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 305,000 | 247,050 | ||||
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 415,000 | 375,575 | ||||
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 | 395,000 | 359,450 | ||||
2,940,578 | ||||||
Health care (8.6%) | ||||||
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 | 135,000 | 103,275 | ||||
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 | 435,000 | 255,693 | ||||
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 | 395,000 | 412,775 | ||||
Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 | EUR | 275,000 | 289,500 | |||
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 | $235,000 | 237,421 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds 5.25%, 1/30/30 | 125,000 | 118,195 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 | 290,000 | 300,962 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.00%, 1/15/28 | 145,000 | 148,828 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 | 495,000 | 487,575 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/30/28 | 125,000 | 118,338 | ||||
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 | 300,000 | 305,622 | ||||
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | 90,000 | 90,450 | ||||
Centene Corp. 144A sr. unsec. bonds 4.625%, 12/15/29 | 680,000 | 683,400 | ||||
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 | 130,000 | 132,600 | ||||
Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 | 220,000 | 221,100 | ||||
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 | 80,000 | 82,409 | ||||
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 | 940,000 | 892,413 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 | 245,000 | 232,750 | ||||
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 | 296,000 | 205,092 | ||||
CHS/Community Health Systems, Inc. 144A sr. notes 6.625%, 2/15/25 | 415,000 | 383,875 | ||||
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.65%, 8/28/28 | 340,000 | 358,480 | ||||
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) | 328,000 | 229,600 | ||||
Envision Healthcare Corp. 144A company guaranty sr. unsec. notes 8.75%, 10/15/26 | 215,000 | 52,675 | ||||
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 470,000 | 492,921 | ||||
HCA, Inc. company guaranty sr. unsec. notes 5.625%, 9/1/28 | 5,000 | 5,234 | ||||
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 655,000 | 674,650 | ||||
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 150,000 | 136,082 | ||||
Hologic, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/15/25 | 170,000 | 168,349 | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) | 146,000 | 105,120 | ||||
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 | 350,000 | 341,250 | ||||
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 | 90,000 | 87,750 | ||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 7.25%, 2/1/28 | 145,000 | 124,686 | ||||
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 435,000 | 443,700 | ||||
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 125,000 | 125,000 | ||||
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 | 355,000 | 361,213 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 | 110,000 | 105,050 | ||||
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 | 510,000 | 485,775 | ||||
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 | 155,000 | 151,125 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 | 620,000 | 590,550 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 | 1,020,000 | 971,550 | ||||
Teva Pharmaceutical Finance IV BV company guaranty sr. unsec. unsub. notes 3.65%, 11/10/21 (Israel) | 120,000 | 115,420 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 465,000 | 442,913 | ||||
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 545,000 | 535,457 | ||||
12,806,823 | ||||||
Homebuilding (2.3%) | ||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) | 325,000 | 281,905 | ||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 (Canada) | 90,000 | 68,373 | ||||
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 | 465,000 | 449,888 | ||||
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 | 250,000 | 252,875 | ||||
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) | 465,000 | 432,450 | ||||
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) | 365,000 | 313,900 | ||||
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 | 630,000 | 693,000 | ||||
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 9.375%, 4/1/27 | 90,000 | 75,851 | ||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 | 405,000 | 376,237 | ||||
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 | 535,000 | 502,900 | ||||
3,447,379 | ||||||
Lodging/Tourism (0.6%) | ||||||
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 | 365,000 | 346,750 | ||||
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 | 370,000 | 303,289 | ||||
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 | 295,000 | 256,650 | ||||
906,689 | ||||||
Media (1.4%) | ||||||
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 | 375,000 | 320,625 | ||||
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 | 310,000 | 272,800 | ||||
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) | 420,000 | 389,550 | ||||
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 | 610,000 | 562,310 | ||||
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 | 390,000 | 387,075 | ||||
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 | 110,000 | 107,525 | ||||
2,039,885 | ||||||
Metals (3.4%) | ||||||
Allegheny Technologies, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | 30,000 | 24,975 | ||||
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 | 320,000 | 308,707 | ||||
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) | 395,000 | 401,593 | ||||
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 | 665,000 | 605,150 | ||||
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (France) | 250,000 | 212,813 | ||||
Constellium NV 144A company guaranty sr. unsec. notes 5.75%, 5/15/24 (France) | 315,000 | 279,956 | ||||
Constellium NV 144A sr. unsec. notes 6.625%, 3/1/25 (France) | 250,000 | 222,813 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) | 200,000 | 166,500 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) | 360,000 | 288,900 | ||||
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) | 205,000 | 183,475 | ||||
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) | 355,000 | 308,850 | ||||
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 180,000 | 167,400 | ||||
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) | 170,000 | 165,113 | ||||
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 | 650,000 | 637,887 | ||||
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 215,000 | 191,350 | ||||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 | 265,000 | 257,604 | ||||
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 | 515,000 | 463,500 | ||||
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 | 166,000 | 161,020 | ||||
5,047,606 | ||||||
Publishing (0.3%) | ||||||
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 | 525,000 | 460,583 | ||||
460,583 | ||||||
Regional Bells (0.3%) | ||||||
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 (In default)(NON) | 565,000 | 146,900 | ||||
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 | 325,000 | 298,188 | ||||
445,088 | ||||||
Retail (1.3%) | ||||||
eG Global Finance PLC 144A company guaranty sr. notes 6.75%, 2/7/25 (United Kingdom) | 410,000 | 336,200 | ||||
L Brands, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity | 165,000 | 118,800 | ||||
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity | 345,000 | 272,171 | ||||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 | 325,000 | 300,625 | ||||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 | 175,000 | 159,635 | ||||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 | 450,000 | 370,670 | ||||
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 | 325,000 | 310,050 | ||||
1,868,151 | ||||||
Technology (3.8%) | ||||||
Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 | 685,000 | 602,800 | ||||
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 140,000 | 139,790 | ||||
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 | 95,000 | 96,140 | ||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 | 890,000 | 918,553 | ||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 | 110,000 | 113,575 | ||||
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 | 155,000 | 161,200 | ||||
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 | 148,000 | 132,830 | ||||
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 | 775,000 | 563,813 | ||||
Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 | 255,000 | 266,539 | ||||
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 | 385,000 | 377,300 | ||||
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 | 790,000 | 823,575 | ||||
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 | 895,000 | 818,979 | ||||
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 | 615,000 | 516,600 | ||||
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 | 170,000 | 172,550 | ||||
5,704,244 | ||||||
Telecommunications (4.3%) | ||||||
Altice Financing SA 144A company guaranty sr. notes 5.00%, 1/15/28 (Luxembourg) | 205,000 | 181,425 | ||||
Altice Finco SA 144A company guaranty sr. unsec. unsub. notes 7.625%, 2/15/25 (Luxembourg) | 265,000 | 244,794 | ||||
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) | 400,000 | 377,000 | ||||
Altice France SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) | 510,000 | 506,252 | ||||
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | 255,000 | 233,376 | ||||
Front Range BidCo., Inc. 144A sr. notes 4.00%, 3/1/27 | 60,000 | 57,375 | ||||
Front Range BidCo., Inc. 144A sr. unsec. notes 6.125%, 3/1/28 | 145,000 | 137,750 | ||||
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Luxembourg) | 925,000 | 578,125 | ||||
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 | 130,000 | 129,350 | ||||
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 | 715,000 | 714,553 | ||||
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 | 150,000 | 149,085 | ||||
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 690,000 | 788,118 | ||||
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 | 330,000 | 373,494 | ||||
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 | 1,140,000 | 1,251,241 | ||||
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 | 225,000 | 231,908 | ||||
Sprint Corp. 144A company guaranty sr. unsec. notes 7.25%, 2/1/28 | 360,000 | 361,800 | ||||
6,315,646 | ||||||
Telephone (0.9%) | ||||||
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 | 430,000 | 439,150 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 | 210,000 | 216,300 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 | 595,000 | 619,871 | ||||
1,275,321 | ||||||
Textiles (0.2%) | ||||||
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 | 325,000 | 321,750 | ||||
321,750 | ||||||
Toys (0.3%) | ||||||
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 | 440,000 | 452,232 | ||||
452,232 | ||||||
Transportation (0.3%) | ||||||
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 | 465,000 | 453,375 | ||||
453,375 | ||||||
Utilities and power (3.1%) | ||||||
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 | 520,000 | 507,000 | ||||
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 | 180,000 | 180,446 | ||||
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 | 169,000 | 163,085 | ||||
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 | 165,000 | 161,700 | ||||
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 | 145,000 | 97,107 | ||||
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 80,000 | 65,576 | ||||
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 | 120,000 | 98,400 | ||||
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 250,000 | 237,500 | ||||
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 460,000 | 445,855 | ||||
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 | 445,000 | 498,747 | ||||
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 | 75,000 | 78,563 | ||||
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 | 80,000 | 83,200 | ||||
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 | 155,000 | 158,100 | ||||
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 | 210,000 | 212,464 | ||||
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 470,000 | 464,539 | ||||
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 | 375,000 | 386,250 | ||||
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20(F) | 415,000 | 623 | ||||
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 | 200,000 | 203,000 | ||||
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 | 135,000 | 119,692 | ||||
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 | 35,000 | 32,894 | ||||
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 | 185,000 | 190,781 | ||||
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 | 270,000 | 278,100 | ||||
4,663,622 | ||||||
Total corporate bonds and notes (cost $143,047,749) | $126,477,305 |
SENIOR LOANS (5.3%)(a)(c) | ||||||
Principal amount | Value | |||||
Basic materials (0.5%) | ||||||
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.777%, 9/6/24 | $69,241 | $51,931 | ||||
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.561%, 4/12/25 | 184,063 | 158,294 | ||||
Solenis International LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 5.612%, 6/26/25 | 389,532 | 305,782 | ||||
Solenis International, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 8.50%), 10.831%, 6/26/26 | 205,000 | 135,300 | ||||
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 4.629%, 10/1/25 | 184,046 | 165,641 | ||||
816,948 | ||||||
Capital goods (0.8%) | ||||||
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.084%, 4/3/24 | 407,306 | 330,936 | ||||
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.515%, 4/12/26 | 134,323 | 105,948 | ||||
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.45%, 3/28/25 | 347,770 | 290,388 | ||||
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 3.00%), 4.655%, 3/2/27 | 455,000 | 407,225 | ||||
1,134,497 | ||||||
Communication services (0.6%) | ||||||
Asurion, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.50%), 7.489%, 8/4/25 | 445,000 | 409,400 | ||||
Front Range BidCo, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 4.668%, 3/9/27 | 170,000 | 157,250 | ||||
WideOpenWest Finance, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 8/19/23 | 286,329 | 256,980 | ||||
823,630 | ||||||
Consumer cyclicals (2.3%) | ||||||
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.489%, 8/21/26 | 447,750 | 399,596 | ||||
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.719%, 5/5/24 | 295,370 | 243,680 | ||||
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.69%, 10/23/26 | 292,003 | 274,483 | ||||
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.66%, 4/29/26 | 129,675 | 109,381 | ||||
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 10.25%, 5/21/24 | 397,950 | 49,744 | ||||
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 6.00%, 10/16/23 | 196,829 | 74,303 | ||||
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.28%, 11/6/24 | 838,603 | 721,198 | ||||
PetSmart, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 3/11/22 | 503,001 | 482,252 | ||||
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.239%, 10/1/25 | 279,343 | 267,238 | ||||
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 | 270,000 | 148,500 | ||||
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 4.25%, 2/28/25 | 269,426 | 161,656 | ||||
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 8.45%, 11/28/22 | 306,258 | 229,693 | ||||
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 5.99%, 12/17/26 | 269,325 | 229,600 | ||||
3,391,324 | ||||||
Consumer staples (0.6%) | ||||||
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.085%, 6/21/24 | 587,723 | 470,178 | ||||
CEC Entertainment, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 6.50%), 7.572%, 8/30/26 | 492,525 | 261,038 | ||||
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.113%, 9/7/23 | 252,884 | 96,096 | ||||
827,312 | ||||||
Energy (0.1%) | ||||||
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.363%, 12/31/22 | 120,000 | 32,400 | ||||
Lower Cadence Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.989%, 5/22/26 | 202,171 | 122,650 | ||||
155,050 | ||||||
Financials (0.1%) | ||||||
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.927%, 4/25/25 | 184,538 | 169,775 | ||||
169,775 | ||||||
Technology (0.3%) | ||||||
Kronos, Inc./MA bank term loan FRN (BBA LIBOR USD 3 Month + 8.25%), 10.013%, 11/1/24 | 310,000 | 287,370 | ||||
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.763%, 11/3/23 | 92,315 | 82,622 | ||||
Star Merger Sub, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR + 4.00%), 5.658%, 2/8/26 | 145,000 | 131,225 | ||||
501,217 | ||||||
Total senior loans (cost $10,056,033) | $7,819,753 |
CONVERTIBLE PREFERRED STOCKS (0.8%)(a) | ||||||
Shares | Value | |||||
Broadcom, Inc. 8.00% cv. pfd. | 240 | $224,246 | ||||
Crown Castle International Corp. Ser. A, 6.875% cv. pfd. | 316 | 408,539 | ||||
Danaher Corp. 4.75% cv. pfd. | 235 | 245,006 | ||||
EPR Properties Ser. C, $1.438 cv. pfd.(R) | 10,002 | 157,982 | ||||
Nine Point Energy 6.75% cv. pfd.(F) | 144 | — | ||||
Stanley Black & Decker, Inc. $5.25 cv. pfd. | 2,560 | 179,098 | ||||
Total convertible preferred stocks (cost $1,530,687) | $1,214,871 |
CONVERTIBLE BONDS AND NOTES (0.8%)(a) | ||||||
Principal amount | Value | |||||
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 (acquired 2/2/17, cost $79,504) (Cayman Islands)(RES) | $114,839 | $22,968 | ||||
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 273,000 | 221,635 | ||||
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 | 260,000 | 242,450 | ||||
Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 | 280,000 | 288,400 | ||||
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 | 96,000 | 14,473 | ||||
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 | 115,000 | 114,221 | ||||
Splunk, Inc. cv. sr. unsec. notes 1.125%, 9/15/25 | 225,000 | 248,625 | ||||
Total convertible bonds and notes (cost $1,477,467) | $1,152,772 |
COMMON STOCKS (0.7%)(a) | ||||||
Shares | Value | |||||
Advanz Pharma Corp., Ltd. (Canada)(NON) | 1,941 | $7,473 | ||||
Ally Financial, Inc. | 12,375 | 178,571 | ||||
CHC Group, LLC (Units) (acquired 3/23/17, cost $32,379) (Cayman Islands)(RES)(NON) | 2,233 | 558 | ||||
CIT Group, Inc. | 6,345 | 109,515 | ||||
Clear Channel Outdoor Holdings, Inc.(NON) | 30,412 | 19,464 | ||||
iHeartMedia, Inc. Class A(NON) | 12,745 | 93,166 | ||||
Live Nation Entertainment, Inc.(NON) | 3,790 | 172,293 | ||||
MWO Holdings, LLC (Units)(F) | 281 | — | ||||
Nine Point Energy(F) | 6,715 | — | ||||
T-Mobile US, Inc.(NON) | 3,499 | 293,566 | ||||
Tervita Corp. (Canada)(NON) | 748 | 1,844 | ||||
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 36,615 | 40,277 | ||||
Tribune Media Co. Class 1C | 93,841 | 51,613 | ||||
Total common stocks (cost $2,144,587) | $968,340 |
WARRANTS (0.0%)(a)(NON) | ||||||
Expiration date | Strike Price | Warrants | Value | |||
iHeartMedia, Inc. Class A | 5/1/39 | $16.75 | 189 | $1,229 | ||
Stearns Holdings, LLC Class B(F) | 11/5/39 | 0.01 | 39,447 | 39,447 | ||
Total warrants (cost $43,654) | $40,676 |
SHORT-TERM INVESTMENTS (6.4%)(a) | ||||||
Shares | Value | |||||
Putnam Short Term Investment Fund 0.92%(AFF) | 9,551,790 | $9,551,790 | ||||
Total short-term investments (cost $9,551,790) | $9,551,790 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $167,851,967) | $147,225,507 |
FORWARD CURRENCY CONTRACTS at 3/31/20 (aggregate face value $630,745) (Unaudited) | |||||||
Counterparty | Currency | Contract type* | Delivery date |
Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
|
Bank of America N.A. | |||||||
Euro | Sell | 6/17/20 | $363,244 | $367,010 | $3,766 | ||
JPMorgan Chase Bank N.A. | |||||||
Canadian Dollar | Sell | 4/15/20 | 134,393 | 145,721 | 11,328 | ||
UBS AG | |||||||
British Pound | Sell | 6/17/20 | 113,555 | 118,014 | 4,459 | ||
Unrealized appreciation | 19,553 | ||||||
Unrealized (depreciation) | — | ||||||
Total | $19,553 | ||||||
* | The exchange currency for all contracts listed is the United States Dollar. |
Key to holding's currency abbreviations | ||||||
EUR | Euro | |||||
GBP | British Pound | |||||
Key to holding's abbreviations | ||||||
DAC | Designated Activity Company | |||||
EMTN | Euro Medium Term Notes | |||||
FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
MTN | Medium Term Notes | |||||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
Notes to the fund's portfolio | ||||||
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2020 through March 31, 2020 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
(a) | Percentages indicated are based on net assets of $148,565,786. | |||||
(NON) | This security is non-income-producing. | |||||
(RES) | This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $23,526, or less than 0.1% of net assets. | |||||
(PIK) | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | |||||
(AFF) | Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
Name of affiliate | Fair
value as of 12/31/19 |
Purchase cost |
Sale proceeds |
Investment income |
Shares
outstanding and fair value as of 3/31/20 |
|
Short-term investments | ||||||
Putnam Short Term Investment Fund* | $7,253,537 | $24,607,378 | $22,309,125 | $5,109 | $9,551,790 | |
Total Short-term investments | $7,253,537 | $24,607,378 | $22,309,125 | $5,109 | $9,551,790 | |
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
(c) | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | |||||
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | ||||||
(F) | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. | |||||
(R) | Real Estate Investment Trust. | |||||
Debt obligations are considered secured unless otherwise indicated. | ||||||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||
The dates shown on debt obligations are the original maturity dates. | ||||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging currency exposures. | ||||||
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | ||||||
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
Valuation inputs |
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Investments in securities: | Level 1 | Level 2 | Level 3 | |
Common stocks*: | ||||
Capital goods | $1,844 | $— | $— | |
Communication services | 293,566 | — | — | |
Consumer cyclicals | 284,923 | 51,613 | — | |
Energy | — | 558 | — | |
Financials | 288,086 | — | — | |
Health care | 7,473 | — | — | |
Utilities and power | — | 40,277 | — | |
Total common stocks | 875,892 | 92,448 | — | |
Convertible bonds and notes | — | 1,152,772 | — | |
Convertible preferred stocks | 403,344 | 811,527 | — | |
Corporate bonds and notes | — | 126,476,682 | 623 | |
Senior loans | — | 7,819,753 | — | |
Warrants | 1,229 | — | 39,447 | |
Short-term investments | 9,551,790 | — | — | |
Totals by level | $10,832,255 | $136,353,182 | $40,070 | |
Valuation inputs |
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Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $19,553 | $— | |
Totals by level | $— | $19,553 | $— | |
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | ||||
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
Forward currency contracts (contract amount) | $620,000 | |||
Warrants (number of warrants) | 30,000 | |||
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |