|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Corporate Bonds & Notes — 122.1%
|
|||||
|
Communication Services — 15.7%
|
|||||
|
Diversified Telecommunication Services — 3.8%
|
|||||
|
Altice Financing SA, Senior Secured Notes
|
5.750%
|
8/15/29
|
690,000
|
$519,801
(a)
|
|
|
Altice France Holding SA, Senior Secured Notes
|
6.000%
|
2/15/28
|
820,000
|
296,997
*(a)(b)
|
|
|
Altice France SA, Senior Secured Notes
|
5.500%
|
10/15/29
|
310,000
|
269,680
(a)
|
|
|
British Telecommunications PLC, Senior Notes
|
5.125%
|
12/4/28
|
500,000
|
512,406
|
|
|
British Telecommunications PLC, Senior Notes
|
3.250%
|
11/8/29
|
500,000
|
479,225
(a)
|
|
|
Level 3 Financing Inc., Senior Secured Notes
|
6.875%
|
6/30/33
|
220,000
|
224,403
(a)
|
|
|
Orange SA, Senior Notes
|
9.000%
|
3/1/31
|
600,000
|
729,186
|
|
|
Verizon Communications Inc., Senior Notes
|
3.875%
|
2/8/29
|
1,670,000
|
1,658,339
|
|
|
Verizon Communications Inc., Senior Notes
|
2.355%
|
3/15/32
|
500,000
|
438,614
|
|
|
Total Diversified Telecommunication Services
|
5,128,651
|
||||
|
Entertainment — 2.9%
|
|||||
|
Flutter Treasury DAC, Senior Secured Notes
|
5.875%
|
6/4/31
|
980,000
|
995,371
(a)
|
|
|
Netflix Inc., Senior Notes
|
6.375%
|
5/15/29
|
310,000
|
334,096
|
|
|
Walt Disney Co., Senior Notes
|
2.650%
|
1/13/31
|
1,280,000
|
1,191,305
|
|
|
Warnermedia Holdings Inc., Senior Notes
|
4.279%
|
3/15/32
|
247,000
|
226,623
|
|
|
Warnermedia Holdings Inc., Senior Notes
|
5.050%
|
3/15/42
|
1,600,000
|
1,278,312
|
|
|
Total Entertainment
|
4,025,707
|
||||
|
Media — 6.6%
|
|||||
|
AMC Networks Inc., Senior Secured Notes
|
10.250%
|
1/15/29
|
270,000
|
284,749
(a)
|
|
|
Charter Communications Operating LLC/Charter Communications Operating
Capital Corp., Senior Secured Notes
|
6.550%
|
6/1/34
|
310,000
|
330,486
|
|
|
Charter Communications Operating LLC/Charter Communications Operating
Capital Corp., Senior Secured Notes
|
6.484%
|
10/23/45
|
880,000
|
869,841
|
|
|
Clear Channel Outdoor Holdings Inc., Senior Secured Notes
|
7.125%
|
2/15/31
|
430,000
|
444,789
(a)
|
|
|
Comcast Corp., Senior Notes
|
7.050%
|
3/15/33
|
1,000,000
|
1,149,419
|
|
|
Comcast Corp., Senior Notes
|
4.200%
|
8/15/34
|
920,000
|
878,813
|
|
|
DirecTV Financing LLC, Senior Secured Notes
|
8.875%
|
2/1/30
|
450,000
|
445,037
(a)
|
|
|
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes
|
5.875%
|
8/15/27
|
5,000
|
4,998
(a)
|
|
|
EchoStar Corp., Senior Secured Notes
|
10.750%
|
11/30/29
|
1,271,800
|
1,400,188
|
|
|
EchoStar Corp., Senior Secured Notes (6.750% Cash or 6.750% PIK)
|
6.750%
|
11/30/30
|
120,789
|
124,621
(c)
|
|
|
EW Scripps Co., Senior Secured Notes
|
9.875%
|
8/15/30
|
450,000
|
422,803
(a)
|
|
|
Fox Corp., Senior Notes
|
3.500%
|
4/8/30
|
500,000
|
484,486
|
|
|
Getty Images Inc., Senior Secured Notes
|
11.250%
|
2/21/30
|
60,000
|
57,352
(a)
|
|
|
Gray Media Inc., Secured Notes
|
9.625%
|
7/15/32
|
340,000
|
347,654
(a)
|
|
|
Gray Media Inc., Senior Secured Notes
|
7.250%
|
8/15/33
|
440,000
|
436,294
(a)
|
|
|
Grupo Televisa SAB, Senior Notes
|
5.000%
|
5/13/45
|
550,000
|
383,661
|
|
|
Time Warner Cable LLC, Senior Secured Notes
|
5.875%
|
11/15/40
|
720,000
|
688,566
|
|
|
Univision Communications Inc., Senior Secured Notes
|
9.375%
|
8/1/32
|
280,000
|
298,622
(a)
|
|
|
Total Media
|
9,052,379
|
||||
|
Wireless Telecommunication Services — 2.4%
|
|||||
|
CSC Holdings LLC, Senior Notes
|
11.250%
|
5/15/28
|
550,000
|
509,590
(a)
|
|
|
CSC Holdings LLC, Senior Notes
|
3.375%
|
2/15/31
|
200,000
|
129,145
(a)
|
|
|
CSC Holdings LLC, Senior Notes
|
4.500%
|
11/15/31
|
740,000
|
481,844
(a)
|
|
|
Sprint Capital Corp., Senior Notes
|
6.875%
|
11/15/28
|
420,000
|
451,854
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Wireless Telecommunication Services — continued
|
|||||
|
Sprint Capital Corp., Senior Notes
|
8.750%
|
3/15/32
|
30,000
|
$36,558
|
|
|
T-Mobile USA Inc., Senior Notes
|
3.500%
|
4/15/31
|
1,140,000
|
1,084,687
|
|
|
Vmed O2 UK Financing I PLC, Senior Secured Notes
|
4.500%
|
7/15/31
|
500,000
GBP
|
617,772
(a)
|
|
|
Total Wireless Telecommunication Services
|
3,311,450
|
||||
|
|
|||||
|
Total Communication Services
|
21,518,187
|
||||
|
Consumer Discretionary — 15.7%
|
|||||
|
Automobile Components — 2.0%
|
|||||
|
American Axle & Manufacturing Inc., Senior Notes
|
6.500%
|
4/1/27
|
440,000
|
440,512
|
|
|
American Axle & Manufacturing Inc., Senior Notes
|
7.750%
|
10/15/33
|
550,000
|
554,631
(a)(d)
|
|
|
Clarios Global LP/Clarios US Finance Co., Senior Secured Notes
|
6.750%
|
2/15/30
|
500,000
|
516,903
(a)
|
|
|
JB Poindexter & Co. Inc., Senior Notes
|
8.750%
|
12/15/31
|
490,000
|
513,816
(a)
|
|
|
ZF North America Capital Inc., Senior Notes
|
7.500%
|
3/24/31
|
510,000
|
506,846
(a)
|
|
|
ZF North America Capital Inc., Senior Notes
|
6.875%
|
4/23/32
|
290,000
|
277,848
(a)
|
|
|
Total Automobile Components
|
2,810,556
|
||||
|
Automobiles — 3.8%
|
|||||
|
Ford Motor Co., Senior Notes
|
3.250%
|
2/12/32
|
1,700,000
|
1,487,871
|
|
|
General Motors Co., Senior Notes
|
4.200%
|
10/1/27
|
750,000
|
749,681
|
|
|
General Motors Co., Senior Notes
|
6.600%
|
4/1/36
|
140,000
|
151,176
|
|
|
Mercedes-Benz Finance North America LLC, Senior Notes
|
8.500%
|
1/18/31
|
1,000,000
|
1,191,863
|
|
|
Nissan Motor Co. Ltd., Senior Notes
|
4.810%
|
9/17/30
|
200,000
|
188,537
(a)
|
|
|
PM General Purchaser LLC, Senior Secured Notes
|
9.500%
|
10/1/28
|
1,190,000
|
1,032,325
(a)
|
|
|
Volkswagen Group of America Finance LLC, Senior Notes
|
1.250%
|
11/24/25
|
400,000
|
398,125
(a)
|
|
|
Total Automobiles
|
5,199,578
|
||||
|
Broadline Retail — 2.5%
|
|||||
|
Amazon.com Inc., Senior Notes
|
2.100%
|
5/12/31
|
700,000
|
630,081
|
|
|
Marks & Spencer PLC, Senior Notes
|
7.125%
|
12/1/37
|
1,050,000
|
1,164,390
(a)
|
|
|
MercadoLibre Inc., Senior Notes
|
3.125%
|
1/14/31
|
1,400,000
|
1,295,048
|
|
|
Prosus NV, Senior Notes
|
4.193%
|
1/19/32
|
300,000
|
288,040
(e)
|
|
|
Total Broadline Retail
|
3,377,559
|
||||
|
Hotels, Restaurants & Leisure — 5.8%
|
|||||
|
Carnival Corp., Senior Notes
|
6.125%
|
2/15/33
|
390,000
|
400,010
(a)
|
|
|
Carnival PLC, Senior Notes
|
1.000%
|
10/28/29
|
1,210,000
EUR
|
1,288,633
|
|
|
Full House Resorts Inc., Senior Secured Notes
|
8.250%
|
2/15/28
|
990,000
|
919,719
(a)
|
|
|
Las Vegas Sands Corp., Senior Notes
|
5.625%
|
6/15/28
|
60,000
|
61,355
|
|
|
Las Vegas Sands Corp., Senior Notes
|
3.900%
|
8/8/29
|
1,310,000
|
1,268,031
|
|
|
Las Vegas Sands Corp., Senior Notes
|
6.000%
|
6/14/30
|
690,000
|
718,870
|
|
|
Marston’s Issuer PLC, Secured Notes (SONIA + 2.669%)
|
6.738%
|
7/16/35
|
540,000
GBP
|
639,096
(e)(f)
|
|
|
Melco Resorts Finance Ltd., Senior Notes
|
6.500%
|
9/24/33
|
730,000
|
732,402
(a)
|
|
|
NCL Corp. Ltd., Senior Notes
|
7.750%
|
2/15/29
|
130,000
|
138,493
(a)
|
|
|
NCL Finance Ltd., Senior Notes
|
6.125%
|
3/15/28
|
560,000
|
572,604
(a)
|
|
|
Sands China Ltd., Senior Notes
|
3.250%
|
8/8/31
|
1,340,000
|
1,236,044
|
|
|
Total Hotels, Restaurants & Leisure
|
7,975,257
|
||||
|
Household Durables — 0.6%
|
|||||
|
Dream Finders Homes Inc., Senior Notes
|
6.875%
|
9/15/30
|
430,000
|
432,963
(a)
|
|
|
Lennar Corp., Senior Notes
|
5.000%
|
6/15/27
|
430,000
|
433,647
|
|
|
Total Household Durables
|
866,610
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Specialty Retail — 0.8%
|
|||||
|
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes
|
11.500%
|
8/15/29
|
740,000
|
$781,336
(a)
|
|
|
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes
|
8.750%
|
1/15/32
|
200,000
|
194,654
(a)
|
|
|
Michaels Cos. Inc., Senior Secured Notes
|
5.250%
|
5/1/28
|
190,000
|
175,828
(a)
|
|
|
Total Specialty Retail
|
1,151,818
|
||||
|
Textiles, Apparel & Luxury Goods — 0.2%
|
|||||
|
Saks Global Enterprises LLC, Second Out Senior Secured Notes
|
11.000%
|
12/15/29
|
424,000
|
220,480
(a)
|
|
|
Saks Global Enterprises LLC, Third Out Senior Secured Notes
|
11.000%
|
12/15/29
|
15,900
|
5,804
(a)
|
|
|
Total Textiles, Apparel & Luxury Goods
|
226,284
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
21,607,662
|
||||
|
Consumer Staples — 4.4%
|
|||||
|
Beverages — 1.1%
|
|||||
|
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes
|
4.700%
|
2/1/36
|
1,540,000
|
1,521,215
|
|
|
Food Products — 1.2%
|
|||||
|
JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, Senior Notes
|
3.750%
|
12/1/31
|
500,000
|
473,375
|
|
|
JBS USA LUX Sarl/JBS USA Food Co./JBS USA Foods Group, Senior Notes
|
5.950%
|
4/20/35
|
250,000
|
262,876
(a)
|
|
|
JBS USA LUX Sarl/JBS USA Food Co./JBS USA Foods Group, Senior Notes
|
6.375%
|
2/25/55
|
620,000
|
646,514
(a)
|
|
|
Kraft Heinz Foods Co., Senior Notes
|
5.500%
|
6/1/50
|
340,000
|
321,539
|
|
|
Total Food Products
|
1,704,304
|
||||
|
Tobacco — 2.1%
|
|||||
|
Altria Group Inc., Senior Notes
|
2.450%
|
2/4/32
|
1,000,000
|
880,599
|
|
|
Altria Group Inc., Senior Notes
|
5.625%
|
2/6/35
|
260,000
|
270,076
|
|
|
Altria Group Inc., Senior Notes
|
3.400%
|
2/4/41
|
1,000,000
|
775,699
|
|
|
BAT Capital Corp., Senior Notes
|
5.625%
|
8/15/35
|
320,000
|
332,696
|
|
|
Reynolds American Inc., Senior Notes
|
5.850%
|
8/15/45
|
610,000
|
604,844
|
|
|
Total Tobacco
|
2,863,914
|
||||
|
|
|||||
|
Total Consumer Staples
|
6,089,433
|
||||
|
Energy — 23.8%
|
|||||
|
Energy Equipment & Services — 1.6%
|
|||||
|
Halliburton Co., Senior Notes
|
4.850%
|
11/15/35
|
750,000
|
739,205
|
|
|
Nabors Industries Inc., Senior Notes
|
8.875%
|
8/15/31
|
240,000
|
223,697
(a)
|
|
|
Noble Finance II LLC, Senior Notes
|
8.000%
|
4/15/30
|
280,000
|
290,025
(a)
|
|
|
Shelf Drilling Holdings Ltd., Senior Secured Notes
|
9.625%
|
4/15/29
|
420,000
|
440,857
(a)
|
|
|
WBI Operating LLC, Senior Notes
|
6.500%
|
10/15/33
|
530,000
|
530,000
(a)
|
|
|
Total Energy Equipment & Services
|
2,223,784
|
||||
|
Oil, Gas & Consumable Fuels — 22.2%
|
|||||
|
Cheniere Energy Partners LP, Senior Notes
|
4.000%
|
3/1/31
|
500,000
|
482,347
|
|
|
Chord Energy Corp., Senior Notes
|
6.000%
|
10/1/30
|
390,000
|
387,528
(a)
|
|
|
Chord Energy Corp., Senior Notes
|
6.750%
|
3/15/33
|
270,000
|
273,730
(a)
|
|
|
Continental Resources Inc., Senior Notes
|
4.375%
|
1/15/28
|
210,000
|
208,705
|
|
|
Continental Resources Inc., Senior Notes
|
4.900%
|
6/1/44
|
250,000
|
204,473
|
|
|
Crescent Energy Finance LLC, Senior Notes
|
7.375%
|
1/15/33
|
590,000
|
574,934
(a)
|
|
|
Crescent Energy Finance LLC, Senior Notes
|
8.375%
|
1/15/34
|
130,000
|
131,829
(a)
|
|
|
Devon Energy Corp., Senior Notes
|
5.600%
|
7/15/41
|
600,000
|
578,023
|
|
|
Diamondback Energy Inc., Senior Notes
|
3.500%
|
12/1/29
|
400,000
|
386,049
|
|
|
Ecopetrol SA, Senior Notes
|
5.875%
|
5/28/45
|
390,000
|
298,570
|
|
|
Ecopetrol SA, Senior Notes
|
5.875%
|
11/2/51
|
2,400,000
|
1,779,605
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Oil, Gas & Consumable Fuels — continued
|
|||||
|
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo.
USD LIBOR + 4.155%)
|
6.625%
|
2/15/28
|
550,000
|
$549,705
(f)(g)
|
|
|
Hess Midstream Operations LP, Senior Notes
|
4.250%
|
2/15/30
|
720,000
|
698,452
(a)
|
|
|
Howard Midstream Energy Partners LLC, Senior Notes
|
6.625%
|
1/15/34
|
460,000
|
469,292
(a)
|
|
|
KazMunayGas National Co. JSC, Senior Notes
|
3.500%
|
4/14/33
|
1,120,000
|
1,011,705
(a)
|
|
|
KazTransGas JSC, Senior Notes
|
4.375%
|
9/26/27
|
650,000
|
646,257
(e)
|
|
|
Kinder Morgan Inc., Senior Notes
|
7.750%
|
1/15/32
|
190,000
|
221,056
|
|
|
Kinder Morgan Inc., Senior Notes
|
5.550%
|
6/1/45
|
1,500,000
|
1,458,123
|
|
|
New Generation Gas Gathering LLC, Senior Secured Notes (3 mo. Term SOFR +
5.750%)
|
10.051%
|
9/30/29
|
302,703
|
298,162
(a)(f)(h)(i)
|
|
|
NGPL PipeCo LLC, Senior Notes
|
7.768%
|
12/15/37
|
490,000
|
567,162
(a)
|
|
|
Northern Oil & Gas Inc., Senior Notes
|
7.875%
|
10/15/33
|
310,000
|
308,967
(a)(d)
|
|
|
Occidental Petroleum Corp., Senior Notes
|
6.200%
|
3/15/40
|
250,000
|
254,270
|
|
|
ONEOK Inc., Senior Notes
|
5.550%
|
11/1/26
|
500,000
|
506,491
|
|
|
Permian Resources Operating LLC, Senior Notes
|
6.250%
|
2/1/33
|
1,980,000
|
2,018,353
(a)
|
|
|
Petrobras Global Finance BV, Senior Notes
|
6.750%
|
1/27/41
|
920,000
|
932,381
|
|
|
Petroleos del Peru SA, Senior Notes
|
4.750%
|
6/19/32
|
670,000
|
583,192
(a)
|
|
|
Petroleos Mexicanos, Senior Notes
|
5.500%
|
6/27/44
|
360,000
|
277,254
|
|
|
Range Resources Corp., Senior Notes
|
8.250%
|
1/15/29
|
300,000
|
307,266
|
|
|
Rockies Express Pipeline LLC, Senior Notes
|
7.500%
|
7/15/38
|
350,000
|
374,128
(a)
|
|
|
Sabine Pass Liquefaction LLC, Senior Secured Notes
|
5.000%
|
3/15/27
|
1,850,000
|
1,861,750
|
|
|
Southern Natural Gas Co. LLC, Senior Notes
|
4.800%
|
3/15/47
|
800,000
|
711,833
(a)
|
|
|
Sunoco LP, Junior Subordinated Notes (7.875% to 9/18/30 then 5 year Treasury
Constant Maturity Rate + 4.230%)
|
7.875%
|
9/18/30
|
512,000
|
520,374
(a)(f)(g)
|
|
|
Sunoco LP, Senior Notes
|
5.625%
|
3/15/31
|
500,000
|
496,624
(a)
|
|
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior
Notes
|
6.875%
|
1/15/29
|
20,000
|
20,375
|
|
|
Tengizchevroil Finance Co. International Ltd., Senior Secured Notes
|
3.250%
|
8/15/30
|
350,000
|
323,166
(a)
|
|
|
Tengizchevroil Finance Co. International Ltd., Senior Secured Notes
|
3.250%
|
8/15/30
|
700,000
|
646,332
(e)
|
|
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
7.850%
|
2/1/26
|
1,000,000
|
1,002,091
|
|
|
Transportadora de Gas del Peru SA, Senior Notes
|
4.250%
|
4/30/28
|
450,000
|
449,900
(a)
|
|
|
Venture Global Calcasieu Pass LLC, Senior Secured Notes
|
3.875%
|
11/1/33
|
1,140,000
|
1,027,983
(a)
|
|
|
Venture Global LNG Inc., Junior Subordinated Notes (9.000% to 9/30/29 then 5
year Treasury Constant Maturity Rate + 5.440%)
|
9.000%
|
9/30/29
|
1,530,000
|
1,517,423
(a)(f)(g)
|
|
|
Venture Global LNG Inc., Senior Secured Notes
|
9.875%
|
2/1/32
|
380,000
|
413,952
(a)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
7.750%
|
5/1/35
|
340,000
|
383,973
(a)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
6.750%
|
1/15/36
|
220,000
|
233,816
(a)
|
|
|
Viper Energy Partners LLC, Senior Notes
|
5.700%
|
8/1/35
|
450,000
|
457,805
|
|
|
Western Midstream Operating LP, Senior Notes
|
4.050%
|
2/1/30
|
1,100,000
|
1,074,076
|
|
|
Western Midstream Operating LP, Senior Notes
|
5.300%
|
3/1/48
|
490,000
|
426,750
|
|
|
Western Midstream Operating LP, Senior Notes
|
5.250%
|
2/1/50
|
1,680,000
|
1,463,447
|
|
|
Williams Cos. Inc., Senior Notes
|
7.500%
|
1/15/31
|
443,000
|
502,267
|
|
|
Williams Cos. Inc., Senior Notes
|
8.750%
|
3/15/32
|
39,000
|
47,354
|
|
|
Total Oil, Gas & Consumable Fuels
|
30,369,300
|
||||
|
|
|||||
|
Total Energy
|
32,593,084
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Financials — 25.4%
|
|||||
|
Banks — 11.9%
|
|||||
|
Banco de Chile, Senior Notes
|
2.990%
|
12/9/31
|
400,000
|
$365,449
(a)
|
|
|
Banco de Credito e Inversiones SA, Senior Notes
|
2.875%
|
10/14/31
|
400,000
|
366,216
(a)
|
|
|
Bank of America Corp., Subordinated Notes
|
4.250%
|
10/22/26
|
1,500,000
|
1,502,356
|
|
|
Bank of America Corp., Subordinated Notes (5.518% to 10/25/34 then SOFR +
1.738%)
|
5.518%
|
10/25/35
|
450,000
|
461,114
(f)
|
|
|
Bank of Nova Scotia, Senior Notes
|
2.450%
|
2/2/32
|
600,000
|
533,173
|
|
|
Barclays PLC, Junior Subordinated Notes (6.125% to 6/15/26 then 5 year
Treasury Constant Maturity Rate + 5.867%)
|
6.125%
|
12/15/25
|
740,000
|
740,943
(f)(g)
|
|
|
Barclays PLC, Subordinated Notes
|
5.200%
|
5/12/26
|
1,000,000
|
1,004,928
|
|
|
Citigroup Inc., Junior Subordinated Notes (6.875% to 8/15/30 then 5 year
Treasury Constant Maturity Rate + 2.890%)
|
6.875%
|
8/15/30
|
180,000
|
185,696
(f)(g)
|
|
|
Citigroup Inc., Subordinated Notes
|
4.125%
|
7/25/28
|
800,000
|
799,344
|
|
|
Citigroup Inc., Subordinated Notes
|
6.625%
|
6/15/32
|
1,000,000
|
1,109,618
|
|
|
HSBC Holdings PLC, Junior Subordinated Notes (6.000% to 5/22/27 then USD 5
year ICE Swap Rate + 3.746%)
|
6.000%
|
5/22/27
|
400,000
|
402,037
(f)(g)
|
|
|
HSBC Holdings PLC, Senior Notes (3.973% to 5/22/29 then 3 mo. Term SOFR +
1.872%)
|
3.973%
|
5/22/30
|
1,130,000
|
1,113,191
(f)
|
|
|
HSBC Holdings PLC, Senior Notes (5.790% to 5/13/35 then SOFR + 1.880%)
|
5.790%
|
5/13/36
|
400,000
|
422,164
(f)
|
|
|
HSBC Holdings PLC, Subordinated Notes (8.113% to 11/3/32 then SOFR +
4.250%)
|
8.113%
|
11/3/33
|
700,000
|
821,206
(f)
|
|
|
Intesa Sanpaolo SpA, Subordinated Notes
|
5.710%
|
1/15/26
|
1,260,000
|
1,262,836
(a)
|
|
|
JPMorgan Chase & Co., Junior Subordinated Notes (6.500% to 4/1/30 then 5
year Treasury Constant Maturity Rate + 2.152%)
|
6.500%
|
4/1/30
|
500,000
|
518,122
(f)(g)
|
|
|
JPMorgan Chase & Co., Subordinated Notes
|
4.950%
|
6/1/45
|
500,000
|
471,204
|
|
|
Lloyds Banking Group PLC, Subordinated Notes
|
4.650%
|
3/24/26
|
1,500,000
|
1,501,267
|
|
|
PNC Financial Services Group Inc., Senior Notes
|
2.550%
|
1/22/30
|
750,000
|
701,182
|
|
|
Santander UK Group Holdings PLC, Senior Notes (5.136% to 9/22/35 then SOFR +
1.578%)
|
5.136%
|
9/22/36
|
450,000
|
446,025
(f)
|
|
|
Santander UK Group Holdings PLC, Subordinated Notes
|
5.625%
|
9/15/45
|
1,000,000
|
908,910
(a)
|
|
|
Truist Financial Corp., Senior Notes (5.711% to 1/24/34 then SOFR + 1.922%)
|
5.711%
|
1/24/35
|
700,000
|
734,803
(f)
|
|
|
Total Banks
|
16,371,784
|
||||
|
Capital Markets — 5.6%
|
|||||
|
Charles Schwab Corp., Junior Subordinated Notes (4.000% to 12/1/30 then 10
year Treasury Constant Maturity Rate + 3.079%)
|
4.000%
|
12/1/30
|
2,000,000
|
1,879,365
(f)(g)
|
|
|
Credit Suisse AG AT1 Claim
|
—
|
—
|
2,560,000
|
0
*(h)(i)(j)
|
|
|
Goldman Sachs Group Inc., Senior Notes (2.640% to 2/24/27 then SOFR +
1.114%)
|
2.640%
|
2/24/28
|
2,400,000
|
2,349,962
(f)
|
|
|
Goldman Sachs Group Inc., Senior Notes (5.536% to 1/28/35 then SOFR +
1.380%)
|
5.536%
|
1/28/36
|
260,000
|
271,525
(f)
|
|
|
KKR Group Finance Co. VI LLC, Senior Notes
|
3.750%
|
7/1/29
|
500,000
|
491,346
(a)
|
|
|
Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%)
|
2.699%
|
1/22/31
|
500,000
|
467,311
(f)
|
|
|
UBS AG, Senior Notes
|
7.500%
|
2/15/28
|
400,000
|
430,741
|
|
|
UBS Group AG, Junior Subordinated Notes (7.000% to 8/10/30 then USD 5 year
SOFR ICE Swap Rate + 3.077%)
|
7.000%
|
2/10/30
|
340,000
|
349,413
(a)(f)(g)
|
|
|
UBS Group AG, Junior Subordinated Notes (7.125% to 2/10/35 then USD 5 year
SOFR ICE Swap Rate + 3.179%)
|
7.125%
|
8/10/34
|
620,000
|
638,601
(a)(f)(g)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Capital Markets — continued
|
|||||
|
UBS Group AG, Senior Notes (6.537% to 8/12/32 then SOFR + 3.920%)
|
6.537%
|
8/12/33
|
770,000
|
$849,644
(a)(f)
|
|
|
Total Capital Markets
|
7,727,908
|
||||
|
Financial Services — 5.3%
|
|||||
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes
|
3.400%
|
10/29/33
|
2,500,000
|
2,247,536
|
|
|
Block Inc., Senior Notes
|
6.000%
|
8/15/33
|
980,000
|
1,004,226
(a)
|
|
|
Boost Newco Borrower LLC, Senior Secured Notes
|
7.500%
|
1/15/31
|
940,000
|
997,941
(a)
|
|
|
Boost Newco Borrower LLC/GTCR W Dutch Finance Sub BV, Senior Secured
Notes
|
8.500%
|
1/15/31
|
100,000
GBP
|
144,999
(a)
|
|
|
Capstone Borrower Inc., Senior Secured Notes
|
8.000%
|
6/15/30
|
210,000
|
219,868
(a)
|
|
|
Jane Street Group/JSG Finance Inc., Senior Secured Notes
|
7.125%
|
4/30/31
|
660,000
|
692,787
(a)
|
|
|
Rocket Cos. Inc., Senior Notes
|
6.125%
|
8/1/30
|
1,010,000
|
1,037,326
(a)
|
|
|
SGUS LLC, Senior Secured Notes
|
11.000%
|
12/15/29
|
181,645
|
173,049
(a)
|
|
|
VFH Parent LLC/Valor Co-Issuer Inc., Senior Secured Notes
|
7.500%
|
6/15/31
|
380,000
|
393,267
(a)
|
|
|
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes
|
6.375%
|
2/1/30
|
320,000
|
312,171
(a)
|
|
|
Total Financial Services
|
7,223,170
|
||||
|
Insurance — 1.5%
|
|||||
|
APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/APH3 Somerset
Investor 2 LLC, Senior Notes
|
7.875%
|
11/1/29
|
290,000
|
302,891
(a)
|
|
|
Marsh & McLennan Cos. Inc., Senior Notes
|
5.000%
|
3/15/35
|
1,000,000
|
1,012,812
|
|
|
MetLife Inc., Junior Subordinated Notes
|
10.750%
|
8/1/39
|
500,000
|
668,714
|
|
|
Total Insurance
|
1,984,417
|
||||
|
Mortgage Real Estate Investment Trusts (REITs) — 1.1%
|
|||||
|
Arbor Realty SR Inc., Senior Notes
|
7.875%
|
7/15/30
|
470,000
|
494,380
(a)
|
|
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior Notes
|
5.500%
|
8/1/30
|
330,000
|
336,750
|
|
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior Notes
|
7.000%
|
7/15/31
|
670,000
|
702,940
(a)
|
|
|
Total Mortgage Real Estate Investment Trusts (REITs)
|
1,534,070
|
||||
|
|
|||||
|
Total Financials
|
34,841,349
|
||||
|
Health Care — 12.5%
|
|||||
|
Biotechnology — 1.7%
|
|||||
|
AbbVie Inc., Senior Notes
|
5.050%
|
3/15/34
|
500,000
|
514,684
|
|
|
Amgen Inc., Senior Notes
|
5.150%
|
3/2/28
|
700,000
|
716,447
|
|
|
Amgen Inc., Senior Notes
|
2.450%
|
2/21/30
|
400,000
|
370,624
|
|
|
Gilead Sciences Inc., Senior Notes
|
1.200%
|
10/1/27
|
750,000
|
711,388
|
|
|
Total Biotechnology
|
2,313,143
|
||||
|
Health Care Equipment & Supplies — 0.6%
|
|||||
|
Solventum Corp., Senior Notes
|
5.600%
|
3/23/34
|
850,000
|
885,411
|
|
|
Health Care Providers & Services — 6.1%
|
|||||
|
CHS/Community Health Systems Inc., Secured Notes
|
6.875%
|
4/15/29
|
880,000
|
700,410
(a)
|
|
|
CHS/Community Health Systems Inc., Senior Secured Notes
|
10.875%
|
1/15/32
|
500,000
|
530,174
(a)
|
|
|
CHS/Community Health Systems Inc., Senior Secured Notes
|
9.750%
|
1/15/34
|
740,000
|
759,055
(a)
|
|
|
Cigna Group, Senior Notes
|
2.400%
|
3/15/30
|
1,000,000
|
923,290
|
|
|
CVS Health Corp., Senior Notes
|
3.250%
|
8/15/29
|
500,000
|
479,424
|
|
|
CVS Health Corp., Senior Notes
|
3.750%
|
4/1/30
|
1,000,000
|
968,940
|
|
|
CVS Health Corp., Senior Notes
|
5.250%
|
2/21/33
|
400,000
|
409,379
|
|
|
CVS Pass-Through Trust
|
5.789%
|
1/10/26
|
17,026
|
17,040
(a)
|
|
|
CVS Pass-Through Trust
|
7.507%
|
1/10/32
|
216,027
|
230,273
(a)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Health Care Providers & Services — continued
|
|||||
|
CVS Pass-Through Trust, Secured Trust
|
5.880%
|
1/10/28
|
108,956
|
$109,807
|
|
|
CVS Pass-Through Trust, Secured Trust
|
6.036%
|
12/10/28
|
137,923
|
140,816
|
|
|
CVS Pass-Through Trust, Secured Trust
|
6.943%
|
1/10/30
|
175,399
|
183,316
|
|
|
Elevance Health Inc., Senior Notes
|
4.100%
|
5/15/32
|
750,000
|
729,525
|
|
|
HCA Inc., Senior Notes
|
3.500%
|
9/1/30
|
1,000,000
|
955,464
|
|
|
Humana Inc., Senior Notes
|
5.875%
|
3/1/33
|
400,000
|
421,006
|
|
|
Sotera Health Holdings LLC, Senior Secured Notes
|
7.375%
|
6/1/31
|
480,000
|
504,609
(a)
|
|
|
UnitedHealth Group Inc., Senior Notes
|
2.000%
|
5/15/30
|
320,000
|
290,153
|
|
|
Total Health Care Providers & Services
|
8,352,681
|
||||
|
Pharmaceuticals — 4.1%
|
|||||
|
1261229 BC Ltd., Senior Secured Notes
|
10.000%
|
4/15/32
|
1,070,000
|
1,097,651
(a)
|
|
|
Bausch Health Americas Inc., Senior Notes
|
8.500%
|
1/31/27
|
860,000
|
852,217
(a)
|
|
|
Bausch Health Cos. Inc., Senior Notes
|
6.250%
|
2/15/29
|
100,000
|
78,172
(a)
|
|
|
Par Pharmaceutical Inc., Escrow
|
—
|
—
|
330,000
|
0
*(h)(i)(j)
|
|
|
Pfizer Inc., Senior Notes
|
3.000%
|
12/15/26
|
500,000
|
495,313
|
|
|
Pfizer Investment Enterprises Pte Ltd., Senior Notes
|
4.750%
|
5/19/33
|
1,800,000
|
1,819,032
|
|
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
|
5.125%
|
5/9/29
|
646,000
|
650,013
|
|
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
|
6.000%
|
12/1/32
|
460,000
|
479,417
|
|
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
|
4.100%
|
10/1/46
|
200,000
|
149,436
|
|
|
Total Pharmaceuticals
|
5,621,251
|
||||
|
|
|||||
|
Total Health Care
|
17,172,486
|
||||
|
Industrials — 10.1%
|
|||||
|
Aerospace & Defense — 2.7%
|
|||||
|
Avolon Holdings Funding Ltd., Senior Notes
|
3.250%
|
2/15/27
|
1,090,000
|
1,072,310
(a)
|
|
|
Avolon Holdings Funding Ltd., Senior Notes
|
2.750%
|
2/21/28
|
1,000,000
|
960,626
(a)
|
|
|
Boeing Co., Senior Notes
|
3.200%
|
3/1/29
|
500,000
|
482,601
|
|
|
Boeing Co., Senior Notes
|
3.250%
|
2/1/35
|
240,000
|
208,381
|
|
|
Bombardier Inc., Senior Notes
|
7.500%
|
2/1/29
|
310,000
|
323,530
(a)
|
|
|
Bombardier Inc., Senior Notes
|
7.000%
|
6/1/32
|
220,000
|
230,215
(a)
|
|
|
Bombardier Inc., Senior Notes
|
6.750%
|
6/15/33
|
420,000
|
438,820
(a)
|
|
|
Total Aerospace & Defense
|
3,716,483
|
||||
|
Commercial Services & Supplies — 1.5%
|
|||||
|
CoreCivic Inc., Senior Notes
|
8.250%
|
4/15/29
|
860,000
|
909,211
|
|
|
GEO Group Inc., Senior Notes
|
10.250%
|
4/15/31
|
460,000
|
506,434
|
|
|
GEO Group Inc., Senior Secured Notes
|
8.625%
|
4/15/29
|
170,000
|
180,090
|
|
|
RB Global Holdings Inc., Senior Secured Notes
|
6.750%
|
3/15/28
|
480,000
|
491,326
(a)
|
|
|
Total Commercial Services & Supplies
|
2,087,061
|
||||
|
Construction & Engineering — 0.2%
|
|||||
|
Tutor Perini Corp., Senior Notes
|
11.875%
|
4/30/29
|
210,000
|
235,385
(a)
|
|
|
Ground Transportation — 0.5%
|
|||||
|
Carriage Purchaser Inc., Senior Notes
|
7.875%
|
10/15/29
|
660,000
|
617,468
(a)
|
|
|
Machinery — 1.3%
|
|||||
|
Cellnex Finance Co. SA, Senior Notes
|
2.000%
|
2/15/33
|
500,000
EUR
|
528,996
(e)
|
|
|
Park-Ohio Industries Inc., Senior Secured Notes
|
8.500%
|
8/1/30
|
570,000
|
591,415
(a)
|
|
|
Titan International Inc., Senior Secured Notes
|
7.000%
|
4/30/28
|
170,000
|
170,346
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Machinery — continued
|
|||||
|
Vertiv Group Corp., Senior Secured Notes
|
4.125%
|
11/15/28
|
510,000
|
$498,629
(a)
|
|
|
Total Machinery
|
1,789,386
|
||||
|
Passenger Airlines — 2.1%
|
|||||
|
American Airlines Inc., Senior Secured Notes
|
7.250%
|
2/15/28
|
590,000
|
604,921
(a)
|
|
|
American Airlines Inc., Senior Secured Notes
|
8.500%
|
5/15/29
|
380,000
|
396,636
(a)
|
|
|
Delta Air Lines Inc., Senior Notes
|
7.375%
|
1/15/26
|
260,000
|
261,263
|
|
|
JetBlue Airways Corp./JetBlue Loyalty LP, Senior Secured Notes
|
9.875%
|
9/20/31
|
310,000
|
314,689
(a)
|
|
|
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes
|
11.000%
|
3/12/30
|
415,784
|
176,966
*(a)(b)
|
|
|
United Airlines Inc., Senior Secured Notes
|
4.625%
|
4/15/29
|
1,000,000
|
985,444
(a)
|
|
|
United Airlines Inc. Pass-Through Trust
|
4.875%
|
1/15/26
|
188,103
|
188,134
|
|
|
Total Passenger Airlines
|
2,928,053
|
||||
|
Trading Companies & Distributors — 1.8%
|
|||||
|
Aircastle Ltd./Aircastle Ireland DAC, Senior Notes
|
5.250%
|
3/15/30
|
330,000
|
336,797
(a)
|
|
|
Ashtead Capital Inc., Senior Notes
|
2.450%
|
8/12/31
|
1,230,000
|
1,091,568
(a)
|
|
|
Herc Holdings Inc., Senior Notes
|
7.000%
|
6/15/30
|
120,000
|
124,745
(a)
|
|
|
Herc Holdings Inc., Senior Notes
|
7.250%
|
6/15/33
|
360,000
|
376,091
(a)
|
|
|
QXO Building Products Inc., Senior Secured Notes
|
6.750%
|
4/30/32
|
480,000
|
498,190
(a)
|
|
|
Total Trading Companies & Distributors
|
2,427,391
|
||||
|
|
|||||
|
Total Industrials
|
13,801,227
|
||||
|
Information Technology — 3.5%
|
|||||
|
Communications Equipment — 0.8%
|
|||||
|
Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes
|
9.000%
|
9/15/29
|
650,000
|
684,226
(a)
|
|
|
Viasat Inc., Senior Notes
|
7.500%
|
5/30/31
|
450,000
|
422,842
(a)
|
|
|
Total Communications Equipment
|
1,107,068
|
||||
|
Electronic Equipment, Instruments & Components — 0.4%
|
|||||
|
EquipmentShare.com Inc., Secured Notes
|
8.625%
|
5/15/32
|
210,000
|
226,988
(a)
|
|
|
EquipmentShare.com Inc., Senior Secured Notes
|
8.000%
|
3/15/33
|
240,000
|
256,715
(a)
|
|
|
Total Electronic Equipment, Instruments & Components
|
483,703
|
||||
|
IT Services — 0.4%
|
|||||
|
CoreWeave Inc., Senior Notes
|
9.250%
|
6/1/30
|
240,000
|
248,161
(a)
|
|
|
CoreWeave Inc., Senior Notes
|
9.000%
|
2/1/31
|
250,000
|
256,532
(a)
|
|
|
Total IT Services
|
504,693
|
||||
|
Semiconductors & Semiconductor Equipment — 1.1%
|
|||||
|
Foundry JV Holdco LLC, Senior Secured Notes
|
5.900%
|
1/25/30
|
500,000
|
527,550
(a)
|
|
|
Qnity Electronics Inc., Senior Secured Notes
|
5.750%
|
8/15/32
|
980,000
|
988,699
(a)
|
|
|
Total Semiconductors & Semiconductor Equipment
|
1,516,249
|
||||
|
Software — 0.8%
|
|||||
|
Cloud Software Group Inc., Senior Secured Notes
|
8.250%
|
6/30/32
|
460,000
|
488,455
(a)
|
|
|
Cloud Software Group Inc., Senior Secured Notes
|
6.625%
|
8/15/33
|
210,000
|
213,988
(a)
|
|
|
Synopsys Inc., Senior Notes
|
5.150%
|
4/1/35
|
450,000
|
457,943
|
|
|
Total Software
|
1,160,386
|
||||
|
|
|||||
|
Total Information Technology
|
4,772,099
|
||||
|
Materials — 7.0%
|
|||||
|
Chemicals — 1.5%
|
|||||
|
Celanese US Holdings LLC, Senior Notes
|
6.750%
|
4/15/33
|
780,000
|
777,197
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Chemicals — continued
|
|||||
|
OCP SA, Senior Notes
|
6.750%
|
5/2/34
|
1,220,000
|
$1,327,641
(a)
|
|
|
Total Chemicals
|
2,104,838
|
||||
|
Metals & Mining — 4.8%
|
|||||
|
Antofagasta PLC, Senior Notes
|
5.625%
|
5/13/32
|
900,000
|
931,874
(a)
|
|
|
ArcelorMittal SA, Senior Notes
|
7.000%
|
10/15/39
|
430,000
|
483,312
|
|
|
First Quantum Minerals Ltd., Secured Notes
|
9.375%
|
3/1/29
|
330,000
|
350,155
(a)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
8.000%
|
3/1/33
|
2,570,000
|
2,716,764
(a)
|
|
|
Freeport-McMoRan Inc., Senior Notes
|
5.400%
|
11/14/34
|
220,000
|
225,608
|
|
|
Freeport-McMoRan Inc., Senior Notes
|
5.450%
|
3/15/43
|
580,000
|
558,987
|
|
|
Teck Resources Ltd., Senior Notes
|
6.000%
|
8/15/40
|
210,000
|
216,222
|
|
|
Vale Overseas Ltd., Senior Notes
|
6.875%
|
11/10/39
|
940,000
|
1,058,692
|
|
|
Total Metals & Mining
|
6,541,614
|
||||
|
Paper & Forest Products — 0.7%
|
|||||
|
Suzano Austria GmbH, Senior Notes
|
3.750%
|
1/15/31
|
1,000,000
|
947,303
|
|
|
|
|||||
|
Total Materials
|
9,593,755
|
||||
|
Real Estate — 1.8%
|
|||||
|
Diversified REITs — 1.0%
|
|||||
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
|
5.000%
|
10/15/27
|
530,000
|
513,945
|
|
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Secured Notes
|
8.500%
|
2/15/32
|
230,000
|
244,565
(a)
|
|
|
Trust Fibra Uno, Senior Notes
|
4.869%
|
1/15/30
|
700,000
|
686,759
(e)
|
|
|
Total Diversified REITs
|
1,445,269
|
||||
|
Specialized REITs — 0.8%
|
|||||
|
Millrose Properties Inc., Senior Notes
|
6.375%
|
8/1/30
|
790,000
|
804,030
(a)
|
|
|
Millrose Properties Inc., Senior Notes
|
6.250%
|
9/15/32
|
230,000
|
230,745
(a)
|
|
|
Total Specialized REITs
|
1,034,775
|
||||
|
|
|||||
|
Total Real Estate
|
2,480,044
|
||||
|
Utilities — 2.2%
|
|||||
|
Electric Utilities — 1.6%
|
|||||
|
Alpha Generation LLC, Senior Notes
|
6.750%
|
10/15/32
|
140,000
|
144,620
(a)
|
|
|
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds
|
5.050%
|
3/1/35
|
500,000
|
505,787
|
|
|
Comision Federal de Electricidad, Senior Notes
|
3.348%
|
2/9/31
|
400,000
|
360,722
(a)
|
|
|
Pacific Gas and Electric Co., First Mortgage Bonds
|
6.950%
|
3/15/34
|
700,000
|
777,437
|
|
|
Vistra Operations Co. LLC, Senior Notes
|
7.750%
|
10/15/31
|
300,000
|
317,675
(a)
|
|
|
Total Electric Utilities
|
2,106,241
|
||||
|
Independent Power and Renewable Electricity Producers — 0.6%
|
|||||
|
Lightning Power LLC, Senior Secured Notes
|
7.250%
|
8/15/32
|
270,000
|
286,049
(a)
|
|
|
Minejesa Capital BV, Senior Secured Notes
|
4.625%
|
8/10/30
|
582,552
|
578,653
(a)
|
|
|
Total Independent Power and Renewable Electricity Producers
|
864,702
|
||||
|
|
|||||
|
Total Utilities
|
2,970,943
|
||||
|
Total Corporate Bonds & Notes (Cost — $160,163,347)
|
167,440,269
|
||||
|
Asset-Backed Securities — 7.5%
|
|||||
|
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR +
1.014%)
|
5.172%
|
7/25/46
|
425,983
|
88,271
(a)(f)
|
|
|
AMMC CLO Ltd., 2021-24A ER (3 mo. Term SOFR + 6.500%)
|
10.825%
|
1/20/35
|
320,000
|
320,931
(a)(f)
|
|
|
AMMC CLO Ltd., 2022-27A DR (3 mo. Term SOFR + 2.700%)
|
7.025%
|
1/20/37
|
150,000
|
150,527
(a)(f)
|
|
|
Apex Credit CLO LLC, 2021-2A CR (3 mo. Term SOFR + 3.750%)
|
7.982%
|
10/20/34
|
260,000
|
262,979
(a)(f)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Asset-Backed Securities — continued
|
|||||
|
Apex Credit CLO Ltd., 2019-2A ERR (3 mo. Term SOFR + 7.670%)
|
11.988%
|
1/25/38
|
420,000
|
$421,989
(a)(f)
|
|
|
Apidos CLO Ltd., 2024-50A E (3 mo. Term SOFR + 5.100%)
|
9.425%
|
1/20/38
|
270,000
|
269,352
(a)(f)
|
|
|
Ares CLO Ltd., 2017-44A CRR (3 mo. Term SOFR + 2.750%)
|
7.044%
|
4/15/34
|
250,000
|
250,007
(a)(f)
|
|
|
Bain Capital Credit CLO Ltd., 2020-3A DRR (3 mo. Term SOFR + 3.100%)
|
7.419%
|
10/23/34
|
380,000
|
378,203
(a)(f)
|
|
|
Balboa Bay Loan Funding Ltd., 2020-1A ERR (3 mo. Term SOFR + 7.150%)
|
11.475%
|
10/20/35
|
440,000
|
443,297
(a)(f)
|
|
|
Bayview Financial Asset Trust, 2007-SR1A M4 (1 mo. Term SOFR + 1.614%)
|
5.772%
|
3/25/37
|
26,012
|
26,398
(a)(f)
|
|
|
Bear Mountain Park CLO Ltd., 2022-1A ER (3 mo. Term SOFR + 5.950%)
|
10.268%
|
7/15/37
|
390,000
|
393,916
(a)(f)
|
|
|
Black Diamond CLO Ltd., 2021-1A CR (3 mo. Term SOFR + 3.900%)
|
8.219%
|
11/22/34
|
400,000
|
400,959
(a)(f)
|
|
|
Dryden Senior Loan Fund, 2015-41A DR (3 mo. Term SOFR + 2.862%)
|
7.179%
|
4/15/31
|
500,000
|
502,564
(a)(f)
|
|
|
Elevation CLO Ltd., 2016-5A ERR (3 mo. Term SOFR + 7.580%)
|
11.898%
|
1/25/38
|
400,000
|
401,896
(a)(f)
|
|
|
GoldenTree Loan Management US CLO Ltd., 2020-8A ERR (3 mo. Term SOFR +
5.750%)
|
10.075%
|
10/20/34
|
410,000
|
404,467
(a)(f)
|
|
|
Golub Capital Partners CLO Ltd., 2024-77A E (3 mo. Term SOFR + 4.850%)
|
9.168%
|
1/25/38
|
680,000
|
684,576
(a)(f)
|
|
|
GSAMP Trust, 2003-SEA2 A1
|
4.421%
|
7/25/33
|
289,009
|
286,170
|
|
|
HalseyPoint CLO Ltd., 2019-1A FR (3 mo. Term SOFR + 10.730%)
|
15.055%
|
10/20/37
|
500,000
|
498,021
(a)(f)
|
|
|
Indymac Manufactured Housing Contract Pass-Through Certificates, 1997-1 A5
|
6.970%
|
2/25/28
|
6,441
|
6,416
|
|
|
Jamestown CLO Ltd., 2016-9A CR3 (3 mo. Term SOFR + 3.250%)
|
7.506%
|
7/25/34
|
280,000
|
280,721
(a)(f)
|
|
|
Morgan Stanley ABS Capital Inc. Trust, 2003-SD1 A1 (1 mo. Term SOFR +
1.114%)
|
5.272%
|
3/25/33
|
3,902
|
3,854
(f)
|
|
|
Mountain View CLO Ltd., 2022-1A DR (3 mo. Term SOFR + 4.190%)
|
8.508%
|
4/15/34
|
180,000
|
181,507
(a)(f)
|
|
|
New Mountain CLO Ltd., 5A D1R (3 mo. Term SOFR + 3.150%)
|
7.475%
|
7/20/36
|
290,000
|
291,449
(a)(f)
|
|
|
Oaktree CLO Ltd., 2022-2A D1R2 (3 mo. Term SOFR + 3.250%)
|
7.568%
|
10/15/37
|
340,000
|
342,861
(a)(f)
|
|
|
Obra CLO Ltd., 2024-1A E (3 mo. Term SOFR + 6.750%)
|
11.075%
|
1/20/38
|
390,000
|
397,983
(a)(f)
|
|
|
Ocean Trails CLO Ltd., 2023-14A ER (3 mo. Term SOFR + 6.340%)
|
10.665%
|
1/20/38
|
480,000
|
484,835
(a)(f)
|
|
|
Ocean Trails CLO Ltd., 2024-16A E (3 mo. Term SOFR + 6.690%)
|
11.015%
|
1/20/38
|
170,000
|
173,484
(a)(f)
|
|
|
OCP CLO Ltd., 2023-26A ER (3 mo. Term SOFR + 4.450%)
|
8.772%
|
4/17/37
|
310,000
|
304,757
(a)(f)
|
|
|
Octagon Investment Partners Ltd., 2020-1A ER2 (3 mo. Term SOFR + 6.000%)
|
10.332%
|
1/22/38
|
500,000
|
506,406
(a)(f)
|
|
|
OHA Credit Funding Ltd., 2022-11A D1R (3 mo. Term SOFR + 2.850%)
|
7.175%
|
7/19/37
|
150,000
|
150,904
(a)(f)
|
|
|
Origen Manufactured Housing Contract Trust, 2007-A A2
|
6.605%
|
4/15/37
|
164,904
|
153,600
(f)
|
|
|
Palmer Square CLO Ltd., 2022-3A D1R (3 mo. Term SOFR + 2.950%)
|
7.275%
|
7/20/37
|
110,000
|
110,828
(a)(f)
|
|
|
Trinitas CLO Ltd., 2024-27A D1 (3 mo. Term SOFR + 4.300%)
|
8.629%
|
4/18/37
|
110,000
|
111,983
(a)(f)
|
|
|
Voya CLO Ltd., 2020-3A D1RR (3 mo. Term SOFR + 2.700%)
|
7.025%
|
1/20/38
|
490,000
|
494,101
(a)(f)
|
|
|
Warwick Capital CLO Ltd., 2024-3A D (3 mo. Term SOFR + 4.500%)
|
8.825%
|
4/20/37
|
100,000
|
100,632
(a)(f)
|
|
|
|
|||||
|
Total Asset-Backed Securities (Cost — $10,310,028)
|
10,280,844
|
||||
|
Senior Loans — 7.2%
|
|||||
|
Communication Services — 0.6%
|
|||||
|
Interactive Media & Services — 0.6%
|
|||||
|
X Corp., Term Loan B1 (3 mo. Term SOFR + 6.650%)
|
10.958%
|
10/26/29
|
119,386
|
117,280
(f)(k)(l)
|
|
|
X Corp., Term Loan B3
|
9.500%
|
10/26/29
|
670,000
|
673,025
(k)(l)
|
|
|
|
|||||
|
Total Communication Services
|
790,305
|
||||
|
Consumer Discretionary — 1.8%
|
|||||
|
Diversified Consumer Services — 0.1%
|
|||||
|
WW International Inc., Take-Back Term Loan (3 mo. Term SOFR + 6.800%)
|
10.803%
|
6/25/30
|
149,391
|
136,693
(f)(k)(l)
|
|
|
Hotels, Restaurants & Leisure — 1.7%
|
|||||
|
Caesars Entertainment Inc., Incremental Term Loan B1 (1 mo. Term SOFR +
2.250%)
|
6.413%
|
2/6/31
|
372,841
|
372,454
(f)(k)(l)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Hotels, Restaurants & Leisure — continued
|
|||||
|
Flutter Entertainment Public Ltd. Co., 2024 Term Loan B (3 mo. Term SOFR +
1.750%)
|
5.752%
|
11/30/30
|
687,750
|
$686,718
(f)(k)(l)
|
|
|
Light and Wonder International Inc., Term Loan B2 (1 mo. Term SOFR + 2.250%)
|
6.393%
|
4/14/29
|
1,224,482
|
1,229,459
(f)(k)(l)
|
|
|
Total Hotels, Restaurants & Leisure
|
2,288,631
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
2,425,324
|
||||
|
Financials — 3.4%
|
|||||
|
Consumer Finance — 0.1%
|
|||||
|
Blackhawk Network Holdings Inc., Term Loan B (1 mo. Term SOFR + 4.000%)
|
8.163%
|
3/12/29
|
118,505
|
119,107
(f)(k)(l)
|
|
|
Financial Services — 2.7%
|
|||||
|
Boost Newco Borrower LLC, Term Loan B2 (3 mo. Term SOFR + 2.000%)
|
6.002%
|
1/31/31
|
1,141,389
|
1,144,363
(f)(k)(l)
|
|
|
Citadel Securities LP, 2024 Term Loan Facility (1 mo. Term SOFR + 2.000%)
|
6.163%
|
10/31/31
|
2,194,208
|
2,200,802
(f)(k)(l)
|
|
|
Nexus Buyer LLC, Amendment No. 10 Term Loan (1 mo. Term SOFR + 4.000%)
|
8.163%
|
7/31/31
|
130,000
|
130,163
(f)(k)(l)
|
|
|
Nexus Buyer LLC, Amendment No. 9 Refinancing Term Loan (1 mo. Term SOFR +
3.500%)
|
7.663%
|
7/31/31
|
247,508
|
247,204
(f)(k)(l)
|
|
|
Total Financial Services
|
3,722,532
|
||||
|
Insurance — 0.4%
|
|||||
|
Asurion LLC, New Term Loan B10 (1 mo. Term SOFR + 4.100%)
|
8.263%
|
8/19/28
|
491,139
|
492,708
(f)(k)(l)
|
|
|
Mortgage Real Estate Investment Trusts (REITs) — 0.2%
|
|||||
|
Starwood Property Mortgage LLC, 2025 Repricing Term Loan (1 mo. Term SOFR +
1.750%)
|
5.913%
|
11/18/27
|
343,882
|
343,667
(f)(k)(l)
|
|
|
|
|||||
|
Total Financials
|
4,678,014
|
||||
|
Industrials — 0.5%
|
|||||
|
Passenger Airlines — 0.5%
|
|||||
|
United Airlines Inc., Term Loan B (3 mo. Term SOFR + 2.000%)
|
6.196%
|
2/22/31
|
719,149
|
722,295
(f)(k)(l)
|
|
|
|
|||||
|
Information Technology — 0.9%
|
|||||
|
Semiconductors & Semiconductor Equipment — 0.3%
|
|||||
|
MKS Instruments Inc., 2025 Dollar Term Loan B (1 mo. Term SOFR + 2.000%)
|
6.166%
|
8/17/29
|
413,196
|
414,014
(f)(k)(l)
|
|
|
Software — 0.6%
|
|||||
|
Modena Buyer LLC, Initial Term Loan (3 mo. Term SOFR + 4.500%)
|
8.808%
|
7/1/31
|
198,500
|
196,303
(f)(k)(l)
|
|
|
X.Ai Corp., Initial Term Loan
|
12.500%
|
6/30/28
|
578,550
|
601,174
(k)(l)
|
|
|
Total Software
|
797,477
|
||||
|
|
|||||
|
Total Information Technology
|
1,211,491
|
||||
|
Total Senior Loans (Cost — $9,844,319)
|
9,827,429
|
||||
|
Collateralized Mortgage Obligations(m) — 4.7%
|
|||||
|
280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%)
|
7.345%
|
9/15/34
|
220,000
|
212,887
(a)(f)
|
|
|
Bear Stearns ALT-A Trust, 2004-3 A1 (1 mo. Term SOFR + 0.754%)
|
4.912%
|
4/25/34
|
18,981
|
18,837
(f)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-7 1A1 (1 mo. Term SOFR + 0.654%)
|
4.812%
|
3/25/35
|
118,356
|
111,286
(f)
|
|
|
Citigroup Commercial Mortgage Trust, 2015-GC29 D
|
3.110%
|
4/10/48
|
250,000
|
178,732
(a)
|
|
|
Citigroup Commercial Mortgage Trust, 2015-P1 D
|
3.225%
|
9/15/48
|
82,704
|
80,089
(a)
|
|
|
CSAIL Commercial Mortgage Trust, 2015-C3 C
|
4.205%
|
8/15/48
|
170,000
|
146,341
(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2020-DNA6 B1 (30 Day Average SOFR + 3.000%)
|
7.356%
|
12/25/50
|
310,000
|
331,551
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2021-DNA7 B2 (30 Day Average SOFR + 7.800%)
|
12.156%
|
11/25/41
|
450,000
|
477,213
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2022-DNA2 M2 (30 Day Average SOFR + 3.750%)
|
8.106%
|
2/25/42
|
910,000
|
941,054
(a)(f)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(m) — continued
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Trust, 2022-DNA6 M2 (30 Day Average SOFR + 5.750%)
|
10.106%
|
9/25/42
|
1,000,000
|
$1,087,129
(a)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2023-R06 1M2 (30 Day
Average SOFR + 2.700%)
|
7.056%
|
7/25/43
|
560,000
|
579,218
(a)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2024-R02 1M2 (30 Day
Average SOFR + 1.800%)
|
6.156%
|
2/25/44
|
520,000
|
525,014
(a)(f)
|
|
|
Federal National Mortgage Association (FNMA), 2004-W15 1A2
|
6.500%
|
8/25/44
|
31,889
|
33,276
|
|
|
GS Mortgage Securities Corp. II, 2024-70P E
|
9.263%
|
3/10/41
|
270,000
|
280,169
(a)(f)
|
|
|
Impac CMB Trust, 2004-10 2A (1 mo. Term SOFR + 0.754%)
|
4.912%
|
3/25/35
|
39,783
|
37,103
(f)
|
|
|
Impac CMB Trust, 2005-2 2A2 (1 mo. Term SOFR + 0.914%)
|
5.072%
|
4/25/35
|
5,280
|
5,178
(f)
|
|
|
MAFI II Remic Trust, 1998-BI B1
|
—
|
11/20/24
|
67,830
|
46,416
*(f)(n)
|
|
|
MERIT Securities Corp., 2011-PA B3 (1 mo. USD LIBOR + 2.250%)
|
7.210%
|
9/28/32
|
286,775
|
240,534
(a)(f)
|
|
|
Morgan Stanley Capital I Trust, 2015-UBS8 C
|
4.653%
|
12/15/48
|
410,000
|
391,108
(f)
|
|
|
Morgan Stanley Capital I Trust, 2016-BNK2 B
|
3.485%
|
11/15/49
|
430,000
|
394,253
|
|
|
Prime Mortgage Trust, 2005-2 2XB, IO
|
1.743%
|
10/25/32
|
645,880
|
34,464
(f)
|
|
|
Prime Mortgage Trust, 2005-5 1X, IO
|
1.098%
|
7/25/34
|
631,361
|
15,205
(f)
|
|
|
RAMP Trust, 2005-SL2 APO, STRIPS, PO
|
0.000%
|
2/25/32
|
717
|
664
|
|
|
Sequoia Mortgage Trust, 2003-2 A2 (6 mo. Term SOFR + 1.108%)
|
5.369%
|
6/20/33
|
1,714
|
1,684
(f)
|
|
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A
2A2
|
5.979%
|
3/25/33
|
14,901
|
14,594
(f)
|
|
|
UBS Commercial Mortgage Trust, 2018-C15 C
|
5.308%
|
12/15/51
|
285,000
|
272,331
(f)
|
|
|
|
|||||
|
Total Collateralized Mortgage Obligations (Cost — $6,284,563)
|
6,456,330
|
||||
|
Sovereign Bonds — 3.9%
|
|||||
|
Angola — 0.3%
|
|||||
|
|
|||||
|
Angolan Government International Bond, Senior Notes
|
8.000%
|
11/26/29
|
400,000
|
390,718
(a)
|
|
|
Argentina — 0.6%
|
|||||
|
Argentine Republic Government International Bond, Senior Notes
|
1.000%
|
7/9/29
|
34,715
|
25,318
|
|
|
Provincia de Buenos Aires, Senior Notes
|
6.625%
|
9/1/37
|
430,571
|
252,422
(a)
|
|
|
Provincia de Cordoba, Senior Notes
|
6.990%
|
6/1/27
|
560,000
|
547,995
(a)
|
|
|
Total Argentina
|
825,735
|
||||
|
Dominican Republic — 0.3%
|
|||||
|
|
|||||
|
Dominican Republic International Bond, Senior Notes
|
4.875%
|
9/23/32
|
380,000
|
363,964
(a)
|
|
|
Mexico — 1.6%
|
|||||
|
Mexico Government International Bond, Senior Notes
|
2.659%
|
5/24/31
|
360,000
|
320,724
|
|
|
Mexico Government International Bond, Senior Notes
|
5.850%
|
7/2/32
|
492,000
|
508,556
|
|
|
Mexico Government International Bond, Senior Notes
|
4.350%
|
1/15/47
|
1,750,000
|
1,353,100
|
|
|
Total Mexico
|
2,182,380
|
||||
|
Panama — 0.9%
|
|||||
|
|
|||||
|
Panama Government International Bond, Senior Notes
|
4.500%
|
5/15/47
|
1,650,000
|
1,276,687
|
|
|
Poland — 0.2%
|
|||||
|
Bank Gospodarstwa Krajowego, Senior Notes
|
5.375%
|
5/22/33
|
350,000
|
362,585
(e)
|
|
|
|
|||||
|
Total Sovereign Bonds (Cost — $5,190,458)
|
5,402,069
|
||||
|
Security
|
|
Rate
|
|
Shares
|
Value
|
|
Preferred Stocks — 0.6%
|
|||||
|
Financials — 0.6%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) — 0.6%
|
|||||
|
AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%)
|
9.276%
|
|
16,546
|
$419,607
(f)
|
|
|
Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%)
|
8.981%
|
|
5,224
|
120,674
(f)
|
|
|
MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%)
|
9.583%
|
|
9,538
|
227,672
(f)
|
|
|
|
|||||
|
Total Preferred Stocks (Cost — $770,651)
|
767,953
|
||||
|
|
|
|
Maturity
Date
|
Face
Amount†
|
|
|
Convertible Bonds & Notes — 0.2%
|
|||||
|
Communication Services — 0.2%
|
|||||
|
Media — 0.2%
|
|||||
|
EchoStar Corp., Senior Secured Notes (3.875% Cash or 3.875%
PIK) (Cost — $90,063)
|
3.875%
|
11/30/30
|
82,932
|
204,220
(c)
|
|
|
|
|||||
|
U.S. Government & Agency Obligations — 0.1%
|
|||||
|
U.S. Government Obligations — 0.1%
|
|||||
|
U.S. Treasury Notes (Cost — $196,805)
|
3.625%
|
8/31/29
|
200,000
|
199,551
|
|
|
|
|
|
|
Shares
|
|
|
Common Stocks — 0.0%††
|
|||||
|
Industrials — 0.0%††
|
|||||
|
Passenger Airlines — 0.0%††
|
|||||
|
Spirit Aviation Holdings Inc. (Cost — $98,429)
|
|
5,706
|
2,168
*
|
||
|
Total Investments before Short-Term Investments (Cost — $192,948,663)
|
200,580,833
|
||||
|
|
|
Rate
|
|
|
|
|
Short-Term Investments — 0.3%
|
|||||
|
Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost — $508,351)
|
4.101%
|
|
508,351
|
508,351
(o)(p)
|
|
|
Total Investments — 146.6% (Cost — $193,457,014)
|
201,089,184
|
||||
|
Liabilities in Excess of Other Assets — (46.6)%
|
(63,962,901
)
|
||||
|
Total Net Assets — 100.0%
|
$137,126,283
|
||||
|
†
|
Face amount denominated in U.S. dollars, unless otherwise noted.
|
|
††
|
Represents less than 0.1%.
|
|
*
|
Non-income producing security.
|
|
(a)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Trustees.
|
|
(b)
|
The coupon payment on this security is currently in default as of September 30, 2025.
|
|
(c)
|
Payment-in-kind security for which the issuer has the option at each interest payment
date of making interest payments in cash or additional securities.
|
|
(d)
|
Securities traded on a when-issued or delayed delivery basis.
|
|
(e)
|
Security is exempt from registration under Regulation S of the Securities Act of 1933.
Regulation S applies to securities offerings that are made outside of
the United States and do not involve direct selling efforts in the United States.
This security has been deemed liquid pursuant to guidelines approved by the
Board of Trustees.
|
|
(f)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
(g)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(h)
|
Security is fair valued in accordance with procedures approved by the Board of Trustees (Note 1).
|
|
(i)
|
Security is valued using significant unobservable inputs (Note 1).
|
|
(j)
|
Value is less than $1.
|
|
(k)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
|
(l)
|
Senior loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
|
|
(m)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
(n)
|
The maturity principal is currently in default as of September 30, 2025.
|
|
(o)
|
Rate shown is one-day yield as of the end of the reporting period.
|
|
(p)
|
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control
with the Fund. At September 30, 2025, the total market value of
investments in Affiliated Companies was $508,351 and the cost was $508,351 (Note 2).
|
|
Abbreviation(s) used in this schedule:
|
||
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
CLO
|
—
|
Collateralized Loan Obligation
|
|
DAC
|
—
|
Designated Activity Company
|
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
British Pound
|
|
ICE
|
—
|
Intercontinental Exchange
|
|
IO
|
—
|
Interest Only
|
|
JSC
|
—
|
Joint Stock Company
|
|
LIBOR
|
—
|
London Interbank Offered Rate
|
|
PIK
|
—
|
Payment-In-Kind
|
|
PO
|
—
|
Principal Only
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
SONIA
|
—
|
Sterling Overnight Index Average
|
|
STRIPS
|
—
|
Separate Trading of Registered Interest and Principal Securities
|
|
USD
|
—
|
United States Dollar
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral1
|
Collateral
Value**
|
|
Deutsche Bank Securities
|
4.400%
|
9/25/2025
|
12/17/2025
|
$4,850,413
|
Corporate Bonds & Notes
|
$5,137,090
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral1
|
Collateral
Value**
|
|
Royal Bank of Canada
|
4.650%
|
8/27/2025
|
11/25/2025
|
$1,346,100
|
Corporate Bonds & Notes
|
$1,478,148
|
|
|
|
|
|
$6,196,513
|
|
$6,615,238
|
|
1
|
All or a portion of this security is held by the counterparty as collateral for open
reverse repurchase agreements.
|
|
**
|
Including accrued interest.
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
1,361,790
|
EUR
|
1,158,117
|
BNP Paribas SA
|
10/16/25
|
$745
|
|
EUR
|
625,060
|
USD
|
736,374
|
Goldman Sachs Group Inc.
|
10/16/25
|
(1,791)
|
|
USD
|
447,109
|
GBP
|
329,312
|
Goldman Sachs Group Inc.
|
10/16/25
|
4,178
|
|
Net unrealized appreciation on open forward foreign currency contracts
|
$3,132
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
British Pound
|
|
USD
|
—
|
United States Dollar
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION12
|
||||||
|
Reference Entity
|
Notional
Amount3
|
Termination
Date
|
Periodic
Payments
Received by
the Fund†
|
Market
Value4
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
Markit CDX.NA.HY.44 Index
|
$287,000
|
6/20/30
|
5.000% quarterly
|
$22,923
|
$14,803
|
$8,120
|
|
1
|
If the Fund is a buyer of protection and 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
deliver the referenced obligation or the 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 the underlying securities comprising
the referenced index.
|
|
2
|
If the Fund is a seller of protection and 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
|
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
|
The quoted market prices and resulting values for credit default swap agreements on
asset-backed securities and credit indices serve as an indicator of the
current status of the payment/performance risk and represent the likelihood of an
expected loss (or profit) for the credit derivative had the notional amount
of the swap agreement been closed/sold as of the period end. Decreasing market values
(sell protection) or increasing market values (buy protection), when
compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement.
|
|
†
|
Percentage shown is an annual percentage rate.
|
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
Corporate Bonds & Notes:
|
|
|
|
|
|
Energy
|
—
|
$32,294,922
|
$298,162
|
$32,593,084
|
|
Financials
|
—
|
34,841,349
|
0
*
|
34,841,349
|
|
Health Care
|
—
|
17,172,486
|
0
*
|
17,172,486
|
|
Other Corporate Bonds & Notes
|
—
|
82,833,350
|
—
|
82,833,350
|
|
Asset-Backed Securities
|
—
|
10,280,844
|
—
|
10,280,844
|
|
Senior Loans
|
—
|
9,827,429
|
—
|
9,827,429
|
|
Collateralized Mortgage Obligations
|
—
|
6,456,330
|
—
|
6,456,330
|
|
Sovereign Bonds
|
—
|
5,402,069
|
—
|
5,402,069
|
|
Preferred Stocks
|
$767,953
|
—
|
—
|
767,953
|
|
Convertible Bonds & Notes
|
—
|
204,220
|
—
|
204,220
|
|
U.S. Government & Agency Obligations
|
—
|
199,551
|
—
|
199,551
|
|
Common Stocks
|
2,168
|
—
|
—
|
2,168
|
|
Total Long-Term Investments
|
770,121
|
199,512,550
|
298,162
|
200,580,833
|
|
Short-Term Investments†
|
508,351
|
—
|
—
|
508,351
|
|
Total Investments
|
$1,278,472
|
$199,512,550
|
$298,162
|
$201,089,184
|
|
Other Financial Instruments:
|
|
|
|
|
|
Forward Foreign Currency Contracts††
|
—
|
$4,923
|
—
|
$4,923
|
|
Centrally Cleared Credit Default Swaps on Credit Indices — Sell
Protection††
|
—
|
8,120
|
—
|
8,120
|
|
Total Other Financial Instruments
|
—
|
$13,043
|
—
|
$13,043
|
|
Total
|
$1,278,472
|
$199,525,593
|
$298,162
|
$201,102,227
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
Forward Foreign Currency Contracts††
|
—
|
$1,791
|
—
|
$1,791
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
*
|
Amount represents less than $1.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
|
Affiliate
Value at
December 31, 2024
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
$2,219,515
|
$46,255,832
|
46,255,832
|
$47,966,996
|
47,966,996
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
September 30,
2025
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$62,421
|
—
|
$508,351
|