|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Corporate Bonds & Notes — 72.4%
|
|||||
|
Communication Services — 13.4%
|
|||||
|
Diversified Telecommunication Services — 2.2%
|
|||||
|
Altice Financing SA, Senior Secured Notes
|
5.000%
|
1/15/28
|
5,890,000
|
$4,142,332
(a)
|
|
|
Altice Financing SA, Senior Secured Notes
|
5.750%
|
8/15/29
|
940,000
|
659,138
(a)(b)
|
|
|
Altice France Lux 3/Altice Holdings 1, Senior Notes
|
10.000%
|
1/15/33
|
1,200,000
|
1,091,985
(a)(b)
|
|
|
Altice France SA, Senior Secured Notes
|
9.500%
|
11/1/29
|
1,316,349
|
1,331,107
(a)(b)
|
|
|
Altice France SA, Senior Secured Notes
|
6.500%
|
4/15/32
|
762,196
|
722,862
(a)(b)
|
|
|
Altice France SA, Senior Secured Notes
|
6.875%
|
7/15/32
|
762,196
|
722,892
(a)(b)
|
|
|
Cogent Communications Group LLC/Cogent Finance Inc., Senior
Notes
|
7.000%
|
6/15/27
|
2,530,000
|
2,504,327
(a)(b)
|
|
|
Level 3 Financing Inc., Senior Notes
|
8.500%
|
1/15/36
|
2,840,000
|
2,965,987
(a)(b)
|
|
|
WULF Compute LLC, Senior Secured Notes
|
7.750%
|
10/15/30
|
1,710,000
|
1,808,009
(a)(b)
|
|
|
Total Diversified Telecommunication Services
|
15,948,639
|
||||
|
Entertainment — 1.0%
|
|||||
|
Allen Media LLC/Allen Media Co-Issuer Inc., Senior Notes
|
10.500%
|
2/15/28
|
7,160,000
|
2,935,672
(a)
|
|
|
AMC Entertainment Holdings Inc., Senior Secured Notes
|
7.500%
|
2/15/29
|
4,780,000
|
3,405,520
(a)(b)
|
|
|
Discovery Global Holdings Inc., Senior Notes
|
5.050%
|
3/15/42
|
800,000
|
529,044
|
|
|
OAK-Eagle Acquireco Inc., Senior Notes
|
8.750%
|
7/1/34
|
750,000
|
785,660
(a)(c)
|
|
|
Total Entertainment
|
7,655,896
|
||||
|
Media — 9.1%
|
|||||
|
AMC Networks Inc., Senior Secured Notes
|
10.500%
|
7/15/32
|
3,843,000
|
3,796,650
(a)(b)
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
4.750%
|
2/1/32
|
5,000,000
|
4,524,810
(a)(b)
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
7.375%
|
2/1/36
|
2,910,000
|
2,900,518
(a)(b)
|
|
|
Charter Communications Operating LLC/Charter Communications
Operating Capital Corp., Senior Secured Notes
|
6.834%
|
10/23/55
|
5,000,000
|
4,712,209
(b)
|
|
|
Clear Channel Outdoor Holdings Inc., Senior Notes
|
7.500%
|
6/1/29
|
3,590,000
|
3,607,214
(a)(b)
|
|
|
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior
Secured Notes
|
10.000%
|
2/15/31
|
7,230,000
|
7,386,307
(a)(b)
|
|
|
Discovery Communications LLC, Senior Notes
|
5.000%
|
9/20/37
|
5,000,000
|
3,621,325
(b)
|
|
|
DISH DBS Corp., Senior Secured Notes
|
5.250%
|
12/1/26
|
4,500,000
|
4,463,993
(a)(b)
|
|
|
DISH Network Corp., Senior Secured Notes
|
11.750%
|
11/15/27
|
1,000,000
|
1,030,790
(a)(b)
|
|
|
EchoStar Corp., Senior Secured Notes
|
10.750%
|
11/30/29
|
6,198,500
|
6,699,746
(b)
|
|
|
EchoStar Corp., Senior Secured Notes (6.750% Cash or 6.750%
PIK)
|
6.750%
|
11/30/30
|
3,183,257
|
3,218,298
(b)(d)
|
|
|
Getty Images Inc., Senior Secured Notes
|
11.250%
|
2/21/30
|
2,500,000
|
2,253,862
(a)(b)
|
|
|
Getty Images Inc., Senior Secured Notes
|
10.500%
|
11/15/30
|
1,820,000
|
1,633,959
(a)(b)
|
|
|
Gray Media Inc., Secured Notes
|
9.625%
|
7/15/32
|
2,450,000
|
2,452,123
(a)(b)
|
|
|
Grupo Televisa SAB, Senior Notes
|
5.000%
|
5/13/45
|
1,910,000
|
1,187,846
|
|
|
iHeartCommunications Inc., Senior Secured Notes
|
9.125%
|
5/1/29
|
1,900,000
|
1,727,300
(a)(b)
|
|
|
Mcclatchy Media Co. LLC, Senior Secured Notes (11.000% Cash
or 12.500% PIK)
|
11.000%
|
12/1/31
|
8,253,622
|
9,336,910
(a)(b)(d)
|
|
|
Versant Media Group Inc., Senior Secured Notes
|
7.250%
|
1/30/31
|
1,070,000
|
1,095,916
(a)(b)
|
|
|
VZ Secured Financing BV, Senior Secured Notes
|
7.500%
|
1/15/33
|
790,000
|
745,364
(a)(b)
|
|
|
Total Media
|
66,395,140
|
||||
|
Wireless Telecommunication Services — 1.1%
|
|||||
|
CSC Holdings LLC, Senior Notes
|
7.500%
|
4/1/28
|
5,000,000
|
2,757,195
(a)(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Wireless Telecommunication Services — continued
|
|||||
|
CSC Holdings LLC, Senior Notes
|
11.750%
|
1/31/29
|
7,780,000
|
$5,630,931
(a)(b)
|
|
|
Total Wireless Telecommunication Services
|
8,388,126
|
||||
|
|
|||||
|
Total Communication Services
|
98,387,801
|
||||
|
Consumer Discretionary — 11.8%
|
|||||
|
Automobile Components — 2.9%
|
|||||
|
American Axle & Manufacturing Inc., Senior Notes
|
7.750%
|
10/15/33
|
5,810,000
|
5,659,597
(a)(b)
|
|
|
Carbon Revolution Ltd., Senior Secured Notes
|
8.500%
|
5/15/27
|
3,350,252
|
3,320,937
(a)
|
|
|
JB Poindexter & Co. Inc., Senior Notes
|
8.750%
|
12/15/31
|
2,485,000
|
2,521,828
(a)(b)
|
|
|
ZF North America Capital Inc., Senior Notes
|
6.875%
|
4/14/28
|
2,000,000
|
2,029,816
(a)(b)
|
|
|
ZF North America Capital Inc., Senior Notes
|
6.875%
|
4/23/32
|
8,455,000
|
8,040,984
(a)(b)
|
|
|
Total Automobile Components
|
21,573,162
|
||||
|
Automobiles — 1.8%
|
|||||
|
Aston Martin Capital Holdings Ltd., Senior Secured Notes
|
10.000%
|
3/31/29
|
2,000,000
|
1,506,710
(a)(b)
|
|
|
Ford Motor Co., Senior Notes
|
6.100%
|
8/19/32
|
1,000,000
|
1,008,812
(b)
|
|
|
PM General Purchaser LLC, Senior Secured Notes
|
9.500%
|
10/1/28
|
11,000,000
|
10,431,960
(a)(b)
|
|
|
Total Automobiles
|
12,947,482
|
||||
|
Broadline Retail — 0.4%
|
|||||
|
QVC Inc., Senior Secured Notes
|
4.375%
|
9/1/28
|
6,670,000
|
2,901,450
|
|
|
Hotels, Restaurants & Leisure — 2.3%
|
|||||
|
Full House Resorts Inc., Senior Secured Notes
|
8.250%
|
2/15/28
|
7,059,000
|
6,441,337
(a)(b)
|
|
|
Kingpin Intermediate Holdings LLC, Senior Secured Notes
|
7.250%
|
10/15/32
|
4,000,000
|
3,544,300
(a)(b)
|
|
|
Pinnacle Bidco PLC, Senior Secured Notes
|
10.000%
|
10/11/28
|
2,500,000
GBP
|
3,435,843
(a)(b)
|
|
|
Six Flags Entertainment Corp./Canada’s Wonderland Co./
Millennium Operations LLC, Senior Notes
|
8.625%
|
1/15/32
|
830,000
|
831,908
(a)(b)
|
|
|
Wynn Macau Ltd., Senior Notes
|
5.500%
|
10/1/27
|
3,000,000
|
2,972,533
(a)
|
|
|
Total Hotels, Restaurants & Leisure
|
17,225,921
|
||||
|
Household Durables — 0.8%
|
|||||
|
Newell Brands Inc., Senior Notes
|
8.500%
|
6/1/28
|
2,500,000
|
2,581,875
(a)(b)
|
|
|
Newell Brands Inc., Senior Notes
|
7.500%
|
4/1/46
|
4,500,000
|
3,616,117
(b)
|
|
|
Total Household Durables
|
6,197,992
|
||||
|
Specialty Retail — 3.6%
|
|||||
|
Bath & Body Works Inc., Senior Notes
|
6.750%
|
7/1/36
|
3,250,000
|
3,120,264
(b)
|
|
|
Bath & Body Works Inc., Senior Notes
|
7.600%
|
7/15/37
|
4,275,000
|
4,166,198
(b)
|
|
|
Gee Automotive Holdings LLC, Senior Notes
|
7.250%
|
3/1/31
|
1,870,000
|
1,877,035
(a)(b)
|
|
|
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes
|
11.500%
|
8/15/29
|
8,500,000
|
8,464,028
(a)(b)
|
|
|
Michaels Cos. Inc., Secured Notes
|
11.000%
|
3/15/34
|
4,060,000
|
3,785,269
(a)(b)
|
|
|
Petco Health & Wellness Co. Inc., Senior Secured Notes
|
8.250%
|
2/1/31
|
1,930,000
|
1,928,677
(a)(b)
|
|
|
Staples Inc., Secured Notes
|
12.750%
|
1/15/30
|
1,315,228
|
890,068
(a)
|
|
|
Upbound Group Inc., Senior Notes
|
6.375%
|
2/15/29
|
2,000,000
|
1,939,937
(a)(b)
|
|
|
Total Specialty Retail
|
26,171,476
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
87,017,483
|
||||
|
Consumer Staples — 0.8%
|
|||||
|
Consumer Staples Distribution & Retail — 0.1%
|
|||||
|
Boots Group Finco LP, Senior Secured Notes
|
7.375%
|
8/31/32
|
640,000
GBP
|
845,568
(a)
|
|
|
Food Products — 0.4%
|
|||||
|
TKC Holdings Inc., Senior Secured Notes
|
8.500%
|
8/15/30
|
2,900,000
|
2,926,231
(a)(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Tobacco — 0.3%
|
|||||
|
Turning Point Brands Inc., Senior Secured Notes
|
7.625%
|
3/15/32
|
2,000,000
|
$2,051,800
(a)(b)
|
|
|
|
|||||
|
Total Consumer Staples
|
5,823,599
|
||||
|
Energy — 12.2%
|
|||||
|
Energy Equipment & Services — 1.0%
|
|||||
|
Borr IHC Ltd./Borr Finance LLC, Senior Secured Notes
|
10.000%
|
11/15/28
|
3,329,269
|
3,416,849
(a)(b)
|
|
|
Nabors Industries Inc., Senior Notes
|
8.875%
|
8/15/31
|
3,770,000
|
3,929,893
(a)(b)
|
|
|
Total Energy Equipment & Services
|
7,346,742
|
||||
|
Oil, Gas & Consumable Fuels — 11.2%
|
|||||
|
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior
Notes
|
7.250%
|
7/15/32
|
1,000,000
|
1,039,448
(a)(b)
|
|
|
Crescent Energy Finance LLC, Senior Notes
|
7.625%
|
4/1/32
|
3,000,000
|
3,046,137
(a)
|
|
|
Crescent Energy Finance LLC, Senior Notes
|
8.375%
|
1/15/34
|
3,790,000
|
3,965,363
(a)(b)
|
|
|
Energy Transfer LP, Junior Subordinated Notes (6.625% to
2/15/28 then 3 mo. Term SOFR + 4.417%)
|
6.625%
|
2/15/28
|
6,645,000
|
6,650,934
(b)(e)(f)
|
|
|
EQT Corp., Senior Notes
|
6.500%
|
7/15/48
|
3,000,000
|
3,015,765
|
|
|
Granite Ridge Resources Inc., Senior Notes
|
8.875%
|
11/5/29
|
6,790,000
|
6,531,131
(a)
|
|
|
New Generation Gas Gathering LLC, Senior Secured Notes (3 mo.
Term SOFR + 5.750%)
|
9.410%
|
9/30/29
|
4,474,324
|
4,653,374
(a)(f)(g)(h)
|
|
|
Northern Oil & Gas Inc., Senior Notes
|
7.875%
|
10/15/33
|
2,500,000
|
2,588,270
(a)(b)
|
|
|
Occidental Petroleum Corp., Senior Notes
|
7.500%
|
11/1/96
|
8,610,000
|
9,214,172
|
|
|
PBF Holding Co. LLC/PBF Finance Corp., Senior Notes
|
6.000%
|
2/15/28
|
2,000,000
|
1,992,125
(b)
|
|
|
Permian Resources Operating LLC, Senior Notes
|
9.875%
|
7/15/31
|
1,294,000
|
1,374,162
(a)(b)
|
|
|
Plains All American Pipeline LP, Junior Subordinated Notes (3 mo.
Term SOFR + 4.372%)
|
8.024%
|
4/30/26
|
7,000,000
|
6,987,189
(e)(f)
|
|
|
Rockies Express Pipeline LLC, Senior Notes
|
7.500%
|
7/15/38
|
7,500,000
|
7,832,797
(a)(b)
|
|
|
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
|
5,000,000
|
5,108,930
(a)(b)(e)(f)
|
|
|
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
|
2,000,000
|
1,993,662
(a)(b)(e)(f)
|
|
|
Venture Global LNG Inc., Senior Secured Notes
|
8.375%
|
6/1/31
|
5,000,000
|
5,202,477
(a)(b)
|
|
|
Venture Global LNG Inc., Senior Secured Notes
|
9.875%
|
2/1/32
|
4,510,000
|
4,845,896
(a)(b)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
6.500%
|
6/15/34
|
2,450,000
|
2,551,876
(a)(b)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
7.750%
|
5/1/35
|
2,125,000
|
2,382,981
(a)(b)
|
|
|
Venture Global Plaquemines LNG LLC, Senior Secured Notes
|
6.750%
|
1/15/36
|
1,180,000
|
1,250,566
(a)(b)
|
|
|
Total Oil, Gas & Consumable Fuels
|
82,227,255
|
||||
|
|
|||||
|
Total Energy
|
89,573,997
|
||||
|
Financials — 5.7%
|
|||||
|
Banks — 0.5%
|
|||||
|
Citigroup Inc., Junior Subordinated Notes (6.625% to 2/15/31
then 5 year Treasury Constant Maturity Rate + 3.001%)
|
6.625%
|
2/15/31
|
1,920,000
|
1,922,746
(b)(e)(f)
|
|
|
Ueno Bank SA, Senior Notes
|
6.700%
|
3/6/31
|
1,500,000
|
1,486,695
(a)
|
|
|
Total Banks
|
3,409,441
|
||||
|
Capital Markets — 0.4%
|
|||||
|
StoneX Group Inc., Secured Notes
|
7.875%
|
3/1/31
|
2,620,000
|
2,722,866
(a)(b)
|
|
|
Consumer Finance — 1.3%
|
|||||
|
Midcap Financial Issuer Trust, Junior Subordinated Notes (3 mo.
Term SOFR + 3.750%)
|
7.422%
|
1/15/56
|
1,890,000
|
1,775,692
(a)(f)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Consumer Finance — continued
|
|||||
|
Navient Corp., Senior Notes
|
5.500%
|
3/15/29
|
8,900,000
|
$8,166,303
(b)
|
|
|
Total Consumer Finance
|
9,941,995
|
||||
|
Financial Services — 1.5%
|
|||||
|
LD Holdings Group LLC, Senior Notes
|
6.125%
|
4/1/28
|
4,100,000
|
3,443,106
(a)(b)
|
|
|
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior
Notes
|
4.000%
|
10/15/33
|
1,000,000
|
897,127
(a)(b)
|
|
|
VistaJet Malta Finance PLC/Vista Management Holding Inc.,
Senior Notes
|
7.875%
|
5/1/27
|
6,500,000
|
6,421,814
(a)(b)
|
|
|
Total Financial Services
|
10,762,047
|
||||
|
Insurance — 0.9%
|
|||||
|
APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/
APH3 Somerset Investor 2 LLC, Senior Notes
|
7.875%
|
11/1/29
|
2,170,000
|
1,964,230
(a)(b)
|
|
|
Asurion LLC/Asurion Co-Issuer Inc., Senior Secured Notes
|
8.000%
|
12/31/32
|
4,790,000
|
4,973,399
(a)(b)
|
|
|
Total Insurance
|
6,937,629
|
||||
|
Mortgage Real Estate Investment Trusts (REITs) — 1.1%
|
|||||
|
Arbor Realty SR Inc., Senior Notes
|
8.500%
|
12/15/28
|
2,970,000
|
2,920,038
(a)(b)
|
|
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance
Corp., Senior Notes
|
4.750%
|
6/15/29
|
5,000,000
|
4,849,161
(a)(b)
|
|
|
Total Mortgage Real Estate Investment Trusts (REITs)
|
7,769,199
|
||||
|
|
|||||
|
Total Financials
|
41,543,177
|
||||
|
Health Care — 7.6%
|
|||||
|
Health Care Providers & Services — 5.0%
|
|||||
|
Akumin Inc., Senior Secured Notes
|
9.750%
|
8/31/31
|
6,982,000
|
6,423,440
(a)(b)
|
|
|
CHS/Community Health Systems Inc., Secured Notes
|
6.875%
|
4/15/29
|
13,930,000
|
13,409,962
(a)(b)
|
|
|
CHS/Community Health Systems Inc., Secured Notes
|
6.125%
|
4/1/30
|
600,000
|
522,345
(a)(b)
|
|
|
CHS/Community Health Systems Inc., Senior Secured Notes
|
4.750%
|
2/15/31
|
3,000,000
|
2,767,421
(a)(b)
|
|
|
CHS/Community Health Systems Inc., Senior Secured Notes
|
10.875%
|
1/15/32
|
2,424,000
|
2,603,645
(a)(b)
|
|
|
CHS/Community Health Systems Inc., Senior Secured Notes
|
9.750%
|
1/15/34
|
1,550,000
|
1,610,633
(a)(b)
|
|
|
LifePoint Health Inc., Senior Secured Notes
|
9.875%
|
8/15/30
|
3,000,000
|
3,176,286
(a)(b)
|
|
|
Sotera Health Holdings LLC, Senior Secured Notes
|
7.375%
|
6/1/31
|
2,500,000
|
2,585,558
(a)(b)
|
|
|
TEAM Services Holding Inc., Senior Secured Notes
|
9.000%
|
2/15/33
|
1,760,000
|
1,727,079
(a)(b)
|
|
|
U.S. Renal Care Inc., Senior Secured Notes
|
10.625%
|
6/28/28
|
1,883,000
|
1,572,305
(a)
|
|
|
Total Health Care Providers & Services
|
36,398,674
|
||||
|
Health Care Technology — 0.2%
|
|||||
|
Claritev Corp., Senior Secured Notes
|
6.750%
|
3/31/31
|
1,947,887
|
1,266,127
(a)
|
|
|
MPH Acquisition Holdings LLC, Senior Secured Notes
|
5.750%
|
12/31/30
|
223,925
|
171,550
(a)(b)
|
|
|
MPH Acquisition Holdings LLC, Senior Secured Notes (6.500%
Cash and 5.000% PIK)
|
11.500%
|
12/31/30
|
360,064
|
325,834
(a)(b)(d)
|
|
|
Total Health Care Technology
|
1,763,511
|
||||
|
Pharmaceuticals — 2.4%
|
|||||
|
1261229 BC Ltd., Senior Secured Notes
|
10.000%
|
4/15/32
|
2,920,000
|
2,992,092
(a)(b)
|
|
|
Bausch Health Cos. Inc., Senior Notes
|
7.000%
|
1/15/28
|
5,000,000
|
4,374,750
(a)
|
|
|
Bausch Health Cos. Inc., Senior Notes
|
6.250%
|
2/15/29
|
7,616,000
|
5,721,520
(a)(b)
|
|
|
Teva Pharmaceutical Finance Co. LLC, Senior Notes
|
6.150%
|
2/1/36
|
2,000,000
|
2,063,068
(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Pharmaceuticals — continued
|
|||||
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
|
4.100%
|
10/1/46
|
3,000,000
|
$2,227,488
|
|
|
Total Pharmaceuticals
|
17,378,918
|
||||
|
|
|||||
|
Total Health Care
|
55,541,103
|
||||
|
Industrials — 12.0%
|
|||||
|
Commercial Services & Supplies — 2.3%
|
|||||
|
CoreCivic Inc., Senior Notes
|
8.250%
|
4/15/29
|
3,359,000
|
3,508,956
(b)
|
|
|
GEO Group Inc., Senior Notes
|
10.250%
|
4/15/31
|
2,100,000
|
2,241,779
(b)
|
|
|
Neptune Bidco US Inc., Senior Secured Notes
|
10.375%
|
5/15/31
|
2,280,000
|
2,302,602
(a)(b)
|
|
|
Neptune Bidco US Inc., Senior Secured Notes
|
9.500%
|
2/15/33
|
1,300,000
|
1,262,936
(a)(b)
|
|
|
RR Donnelley & Sons Co., Secured Notes
|
10.875%
|
8/1/29
|
3,830,000
|
3,866,300
(a)(b)
|
|
|
RR Donnelley & Sons Co., Senior Secured Notes
|
9.500%
|
8/1/29
|
3,500,000
|
3,545,549
(a)(b)
|
|
|
Vortex Opco LLC, Senior Secured Notes
|
8.000%
|
4/30/30
|
4,075,500
|
59,767
*(a)(i)
|
|
|
Total Commercial Services & Supplies
|
16,787,889
|
||||
|
Construction & Engineering — 2.2%
|
|||||
|
ATP Tower Holdings/Andean Telecom Partners Chile SpA/Andean
Tower Partners Colombia SAS, Senior Secured Notes
|
7.875%
|
2/3/30
|
1,900,000
|
1,927,965
(a)(b)
|
|
|
Empire Communities Corp., Senior Notes
|
9.750%
|
5/1/29
|
3,000,000
|
3,016,032
(a)(b)
|
|
|
Tutor Perini Corp., Senior Notes
|
11.875%
|
4/30/29
|
9,921,000
|
10,874,398
(a)(b)
|
|
|
Total Construction & Engineering
|
15,818,395
|
||||
|
Electrical Equipment — 0.8%
|
|||||
|
Babcock & Wilcox Enterprises Inc., Secured Notes
|
8.750%
|
6/30/30
|
5,000,000
|
5,025,000
(a)
|
|
|
GrafTech Global Enterprises Inc., Secured Notes
|
9.875%
|
12/23/29
|
1,500,000
|
965,544
(a)
|
|
|
Total Electrical Equipment
|
5,990,544
|
||||
|
Ground Transportation — 1.1%
|
|||||
|
Carriage Purchaser Inc., Senior Notes
|
7.875%
|
10/15/29
|
8,250,000
|
7,885,438
(a)(b)
|
|
|
Machinery — 2.2%
|
|||||
|
Chart Industries Inc., Senior Secured Notes
|
7.500%
|
1/1/30
|
3,000,000
|
3,120,471
(a)(b)
|
|
|
Park-Ohio Industries Inc., Senior Secured Notes
|
8.500%
|
8/1/30
|
7,690,000
|
7,888,441
(a)(b)
|
|
|
Titan International Inc., Senior Secured Notes
|
7.000%
|
4/30/28
|
5,230,000
|
5,222,684
(b)
|
|
|
Total Machinery
|
16,231,596
|
||||
|
Marine Transportation — 0.5%
|
|||||
|
Stena International SA, Senior Secured Notes
|
7.625%
|
2/15/31
|
3,690,000
|
3,783,626
(a)(b)
|
|
|
Passenger Airlines — 1.7%
|
|||||
|
JetBlue Airways Corp./JetBlue Loyalty LP, Senior Secured Notes
|
9.875%
|
9/20/31
|
7,620,000
|
7,211,708
(a)(b)
|
|
|
Latam Airlines Group SA, Senior Secured Notes
|
7.875%
|
4/15/30
|
1,000,000
|
1,011,250
(a)(b)
|
|
|
RJET 2023-1 A
|
8.000%
|
6/15/30
|
4,312,500
|
4,506,637
|
|
|
Total Passenger Airlines
|
12,729,595
|
||||
|
Trading Companies & Distributors — 0.1%
|
|||||
|
Herc Holdings Inc., Senior Notes
|
7.000%
|
6/15/30
|
420,000
|
430,955
(a)(b)
|
|
|
Herc Holdings Inc., Senior Notes
|
7.250%
|
6/15/33
|
420,000
|
430,749
(a)(b)
|
|
|
Total Trading Companies & Distributors
|
861,704
|
||||
|
Transportation Infrastructure — 1.1%
|
|||||
|
Railworks Holdings LP/Railworks Rally Inc., Secured Notes
|
8.250%
|
11/15/28
|
8,000,000
|
8,022,406
(a)(b)
|
|
|
|
|||||
|
Total Industrials
|
88,111,193
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Information Technology — 4.1%
|
|||||
|
Communications Equipment — 0.6%
|
|||||
|
Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes
|
9.000%
|
9/15/29
|
2,000,000
|
$2,103,580
(a)(b)
|
|
|
Viasat Inc., Senior Secured Notes
|
5.625%
|
4/15/27
|
2,000,000
|
1,988,050
(a)(b)
|
|
|
Total Communications Equipment
|
4,091,630
|
||||
|
Electronic Equipment, Instruments & Components — 0.5%
|
|||||
|
EquipmentShare.com Inc., Secured Notes
|
9.000%
|
5/15/28
|
3,890,000
|
4,022,964
(a)(b)
|
|
|
IT Services — 1.5%
|
|||||
|
APLD ComputeCo 2 LLC, Senior Secured Notes
|
6.750%
|
3/15/31
|
710,000
|
705,271
(a)(b)
|
|
|
APLD ComputeCo LLC, Senior Secured Notes
|
9.250%
|
12/15/30
|
2,050,000
|
2,113,964
(a)(b)
|
|
|
CoreWeave Inc., Senior Notes
|
9.250%
|
6/1/30
|
6,380,000
|
6,205,280
(a)(b)
|
|
|
Sabre GLBL Inc., Senior Secured Notes
|
11.125%
|
7/15/30
|
2,000,000
|
1,700,020
(a)(b)
|
|
|
Total IT Services
|
10,724,535
|
||||
|
Software — 1.4%
|
|||||
|
Citrix Systems Inc., Senior Secured Notes
|
4.500%
|
12/1/27
|
8,164,000
|
7,744,294
|
|
|
NCR Voyix Corp., Senior Notes
|
5.125%
|
4/15/29
|
3,000,000
|
2,872,312
(a)(b)
|
|
|
Total Software
|
10,616,606
|
||||
|
Technology Hardware, Storage & Peripherals — 0.1%
|
|||||
|
Vericast Corp./Harland Clarke/Checks in the Mail/Valassis
Comm/Valassis Direct, Secured Notes (13.000% Cash)
|
13.000%
|
12/15/30
|
676,658
|
833,980
(a)(b)(d)
|
|
|
|
|||||
|
Total Information Technology
|
30,289,715
|
||||
|
Materials — 2.2%
|
|||||
|
Chemicals — 1.1%
|
|||||
|
ARC Falcon I Inc./Arclin USA LLC/New Arclin US Holding Corp.,
Senior Secured Notes
|
9.750%
|
3/1/33
|
3,990,000
|
3,845,043
(a)(b)
|
|
|
Cerdia Finanz GmbH, Senior Secured Notes
|
9.375%
|
10/3/31
|
3,620,000
|
3,603,819
(a)(b)
|
|
|
Orbia Advance Corp. SAB de CV, Senior Notes
|
2.875%
|
5/11/31
|
1,080,000
|
878,526
(b)(j)
|
|
|
Total Chemicals
|
8,327,388
|
||||
|
Construction Materials — 0.3%
|
|||||
|
Smyrna Ready Mix Concrete LLC, Senior Secured Notes
|
8.875%
|
11/15/31
|
2,070,000
|
2,136,188
(a)(b)
|
|
|
Metals & Mining — 0.8%
|
|||||
|
First Quantum Minerals Ltd., Senior Notes
|
8.625%
|
6/1/31
|
2,000,000
|
2,076,188
(a)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
8.000%
|
3/1/33
|
2,420,000
|
2,525,519
(a)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
7.250%
|
2/15/34
|
1,380,000
|
1,406,016
(a)
|
|
|
Total Metals & Mining
|
6,007,723
|
||||
|
|
|||||
|
Total Materials
|
16,471,299
|
||||
|
Real Estate — 2.1%
|
|||||
|
Diversified REITs — 1.4%
|
|||||
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
|
5.000%
|
10/15/27
|
5,610,000
|
5,226,837
(b)
|
|
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
|
4.625%
|
8/1/29
|
3,890,000
|
3,029,337
(b)
|
|
|
MPT Operating Partnership LP/MPT Finance Corp., Senior
Secured Notes
|
8.500%
|
2/15/32
|
900,000
|
913,142
(a)(b)
|
|
|
Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, Senior
Notes
|
8.625%
|
6/15/32
|
1,420,000
|
1,447,265
(a)(b)
|
|
|
Total Diversified REITs
|
10,616,581
|
||||
|
Health Care REITs — 0.2%
|
|||||
|
Diversified Healthcare Trust, Senior Secured Notes
|
7.250%
|
10/15/30
|
1,170,000
|
1,181,516
(a)(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Real Estate Management & Development — 0.5%
|
|||||
|
Add Hero Holdings Ltd., Senior Secured Notes (7.500% Cash or
8.500% PIK)
|
8.500%
|
9/30/29
|
557,668
|
$29,166
(d)(j)
|
|
|
Add Hero Holdings Ltd., Senior Secured Notes (8.000% Cash or
9.000% PIK)
|
9.000%
|
9/30/30
|
454,176
|
6,812
(d)(j)
|
|
|
Add Hero Holdings Ltd., Senior Secured Notes (8.800% Cash or
9.800% PIK)
|
9.800%
|
9/30/31
|
599,523
|
8,243
(d)(j)
|
|
|
China Aoyuan Group Ltd., Senior Notes, Step bond (0.000% to
9/30/31 then 1.000%)
|
0.000%
|
3/30/2173
|
786,962
|
5,902
(e)(j)
|
|
|
China Aoyuan Group Ltd., Senior Secured Notes (5.500% PIK)
|
5.500%
|
9/30/31
|
219,291
|
1,645
(d)(j)
|
|
|
Country Garden Holdings Co. Ltd., Senior Secured Notes (2.500%
Cash or 5.000% PIK)
|
5.000%
|
12/31/32
|
1,268,733
|
177,623
(d)(j)
|
|
|
Cushman & Wakefield US Borrower LLC, Senior Secured Notes
|
8.875%
|
9/1/31
|
1,000,000
|
1,059,880
(a)(b)
|
|
|
Five Point Operating Co. LP, Senior Notes
|
8.000%
|
10/1/30
|
2,170,000
|
2,166,261
(a)
|
|
|
Total Real Estate Management & Development
|
3,455,532
|
||||
|
|
|||||
|
Total Real Estate
|
15,253,629
|
||||
|
Utilities — 0.5%
|
|||||
|
Electric Utilities — 0.2%
|
|||||
|
Pampa Energia SA, Senior Notes
|
7.950%
|
9/10/31
|
1,210,000
|
1,262,817
(a)
|
|
|
Independent Power and Renewable Electricity Producers — 0.3%
|
|||||
|
AES Andes SA, Senior Notes
|
6.250%
|
3/14/32
|
300,000
|
308,082
(a)
|
|
|
Saavi Energia Sarl, Senior Notes
|
8.875%
|
2/10/35
|
1,800,000
|
1,891,170
(a)(b)
|
|
|
Total Independent Power and Renewable Electricity Producers
|
2,199,252
|
||||
|
|
|||||
|
Total Utilities
|
3,462,069
|
||||
|
Total Corporate Bonds & Notes (Cost — $529,045,545)
|
531,475,065
|
||||
|
Collateralized Mortgage Obligations(k) — 25.9%
|
|||||
|
Atrium Hotel Portfolio Trust, 2017-ATRM E (1 mo. Term SOFR +
3.347%)
|
7.020%
|
12/15/36
|
2,700,000
|
2,556,697
(a)(b)(f)
|
|
|
BANK, 2021-BN35 H
|
1.662%
|
6/15/64
|
9,451,000
|
3,815,988
(a)(f)
|
|
|
BANK, 2021-BN35 K
|
1.662%
|
6/15/64
|
21,846,154
|
8,291,159
(a)(f)
|
|
|
Benchmark Mortgage Trust, 2021-B27 F
|
2.250%
|
7/15/54
|
5,000,000
|
2,969,992
(a)(f)
|
|
|
Benchmark Mortgage Trust, 2021-B27 G
|
2.250%
|
7/15/54
|
5,000,000
|
2,413,220
(a)(f)
|
|
|
BRES Commercial Mortgage Trust, 2025-ATCAP F (1 mo. Term
SOFR + 5.189%)
|
8.861%
|
11/15/42
|
2,000,000
|
1,997,159
(a)(f)
|
|
|
BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term
SOFR + 5.614%)
|
9.287%
|
8/15/38
|
15,903,970
|
3,197,891
(a)(f)
|
|
|
BWAY Mortgage Trust, 2013-1515 F
|
3.928%
|
3/10/33
|
3,000,000
|
2,553,928
(a)(b)(f)
|
|
|
BX Commercial Mortgage Trust, 2019-IMC G (1 mo. Term SOFR +
3.646%)
|
7.319%
|
4/15/34
|
4,000,000
|
3,903,382
(a)(b)(f)
|
|
|
BX Commercial Mortgage Trust, 2026-VLT9 E (1 mo. Term SOFR +
4.250%)
|
7.923%
|
3/15/45
|
2,150,000
|
2,132,448
(a)(f)
|
|
|
CAFL Issuer LLC, 2024-RTL1 A2
|
8.680%
|
11/28/31
|
4,570,000
|
4,645,935
(a)(b)
|
|
|
CIM Trust, 2021-INV1 AXS, IO
|
0.190%
|
7/1/51
|
169,865,082
|
1,503,442
(a)(f)
|
|
|
Citigroup Commercial Mortgage Trust, 2015-P1 D
|
3.225%
|
9/15/48
|
15,319
|
15,021
(a)
|
|
|
CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%)
|
10.037%
|
7/15/38
|
7,860,000
|
574
(a)(f)
|
|
|
Easy Street Mortgage Loan Trust, 2025-RTL1 A2
|
8.299%
|
5/25/40
|
2,990,000
|
3,022,070
(a)(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(k) — continued
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily
Structured Credit Risk Trust, 2021-MN2 B1 (30 Day Average SOFR
+ 5.500%)
|
9.162%
|
7/25/41
|
2,500,000
|
$2,520,032
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily
Structured Credit Risk Trust, 2023-MN7 B1 (30 Day Average SOFR
+ 8.850%)
|
12.512%
|
9/25/43
|
1,960,000
|
2,280,126
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2020-DNA1 B2 (30 Day Average SOFR +
5.364%)
|
9.026%
|
1/25/50
|
2,225,000
|
2,474,452
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2020-DNA2 B2 (30 Day Average SOFR +
4.914%)
|
8.576%
|
2/25/50
|
5,437,500
|
5,979,071
(a)(b)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2020-DNA6 B2 (30 Day Average SOFR +
5.650%)
|
9.312%
|
12/25/50
|
5,000,000
|
5,827,886
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2021-DNA1 B2 (30 Day Average SOFR +
4.750%)
|
8.412%
|
1/25/51
|
6,000,000
|
6,712,638
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2021-DNA2 B2 (30 Day Average SOFR +
6.000%)
|
9.662%
|
8/25/33
|
4,500,000
|
5,607,781
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2021-DNA3 B2 (30 Day Average SOFR +
6.250%)
|
9.912%
|
10/25/33
|
5,000,000
|
6,309,421
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2021-DNA5 B2 (30 Day Average SOFR +
5.500%)
|
9.162%
|
1/25/34
|
5,025,000
|
6,135,173
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit
Risk Transfer Trust, 2018-3 BX
|
2.205%
|
8/25/57
|
9,332,186
|
2,730,023
(a)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit
Risk Transfer Trust, 2022-1 M
|
4.500%
|
11/25/61
|
5,000,000
|
4,662,750
(a)(b)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency
Credit Risk Trust, 2018-HRP1 B2 (30 Day Average SOFR +
11.864%)
|
15.526%
|
5/25/43
|
4,663,554
|
5,472,029
(a)(b)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency
Credit Risk Trust, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%)
|
12.126%
|
1/25/48
|
3,460,000
|
4,087,730
(a)(b)(f)
|
|
|
FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR +
6.400%)
|
10.069%
|
7/25/31
|
3,293,585
|
3,041,048
(a)(f)
|
|
|
Greystone CRE Notes LLC, 2025-HC4 D (1 mo. Term SOFR +
3.940%)
|
7.613%
|
10/15/42
|
3,500,000
|
3,487,859
(a)(f)
|
|
|
GS Mortgage Securities Corp., 2024-70P HRR
|
9.333%
|
3/10/41
|
17,680,000
|
17,722,595
(a)(f)
|
|
|
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term
SOFR + 4.747%)
|
8.420%
|
11/15/32
|
5,000,000
|
4,982,690
(a)(b)(f)
|
|
|
HIH Trust, 2024-61P F (1 mo. Term SOFR + 5.437%)
|
9.110%
|
10/15/41
|
3,611,150
|
3,625,200
(a)(b)(f)
|
|
|
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-
WPT GFX
|
5.364%
|
7/5/33
|
4,000,000
|
400,386
(a)(f)
|
|
|
KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%)
|
7.740%
|
8/15/38
|
5,951,129
|
5,880,121
(a)(b)(f)
|
|
|
MIRA Trust, 2023-MILE HRR
|
9.300%
|
6/10/38
|
13,750,000
|
13,827,229
(a)
|
|
|
Morgan Stanley Capital I Trust, 2021-L6 F
|
2.250%
|
6/15/54
|
7,195,000
|
4,415,938
(a)(f)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(k) — continued
|
|||||
|
Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR +
8.864%)
|
12.526%
|
10/25/49
|
2,000,000
|
$2,043,708
(a)(f)
|
|
|
Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR +
7.614%)
|
11.276%
|
3/25/50
|
2,500,000
|
2,592,025
(a)(f)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1
mo. Term SOFR + 7.608%)
|
11.280%
|
1/15/39
|
2,500,000
|
1,695,460
(a)(f)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo.
Term SOFR + 5.193%)
|
8.866%
|
3/15/35
|
1,240,552
|
1,243,205
(a)(b)(f)
|
|
|
New Residential Mortgage Loan Trust, 2017-2A B5
|
5.165%
|
3/25/57
|
2,819,937
|
2,543,547
(a)(f)
|
|
|
New Residential Mortgage Loan Trust, 2018-1A B6
|
5.590%
|
12/25/57
|
5,732,901
|
4,916,855
(a)(f)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L F
|
8.130%
|
11/5/38
|
1,500,000
|
1,515,122
(a)(f)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L G
|
9.321%
|
11/5/38
|
3,500,000
|
3,509,325
(a)(f)
|
|
|
Redwood Funding Trust, 2025-3 A
|
6.231%
|
12/27/56
|
3,827,337
|
3,863,701
(a)
|
|
|
SFO Commercial Mortgage Trust, 2021-555 E (1 mo. Term SOFR +
3.014%)
|
6.687%
|
5/15/38
|
1,650,000
|
1,632,421
(a)(b)(f)
|
|
|
Soho Trust, 2021-SOHO D
|
2.697%
|
8/10/38
|
4,050,000
|
2,967,025
(a)(f)
|
|
|
|
|||||
|
Total Collateralized Mortgage Obligations (Cost — $210,785,384)
|
189,723,478
|
||||
|
|
|
|
|
Face
Amount†/
Units
|
|
|
Asset-Backed Securities — 23.4%
|
|||||
|
720 East CLO Ltd., 2025-7A E (3 mo. Term SOFR + 4.750%)
|
8.418%
|
4/20/37
|
2,600,000
|
2,529,086
(a)(b)(f)
|
|
|
Abry Liquid Credit CLO Ltd., 2025-2A E (3 mo. Term SOFR +
5.850%)
|
9.535%
|
1/15/39
|
2,810,000
|
2,784,580
(a)(f)
|
|
|
AGL CLO Ltd., 2022-17A ER (3 mo. Term SOFR + 4.650%)
|
8.320%
|
1/21/35
|
1,530,000
|
1,391,607
(a)(f)
|
|
|
AGL CLO Ltd., 2025-44A E (3 mo. Term SOFR + 4.750%)
|
8.581%
|
10/22/37
|
3,600,000
|
3,539,618
(a)(f)
|
|
|
AGL CLO Ltd., 2021-16A DR (3 mo. Term SOFR + 2.400%)
|
6.068%
|
1/20/35
|
380,000
|
367,626
(a)(f)
|
|
|
AMMC CLO Ltd., 2020-23A D2R3 (3 mo. Term SOFR + 4.900%)
|
8.568%
|
7/17/38
|
1,500,000
|
1,496,361
(a)(f)
|
|
|
AMMC CLO Ltd., 2021-24A ER (3 mo. Term SOFR + 6.500%)
|
10.168%
|
1/20/35
|
1,890,000
|
1,738,263
(a)(b)(f)
|
|
|
AMSR Trust, 2026-SFR1 F1
|
3.775%
|
4/17/31
|
5,100,000
|
4,374,971
|
|
|
AMSR Trust, 2026-SFR1 F2
|
3.775%
|
4/17/31
|
1,258,000
|
1,015,144
|
|
|
Apex Credit CLO LLC, 2021-2A CR (3 mo. Term SOFR + 3.750%)
|
7.418%
|
10/20/34
|
970,000
|
934,939
(a)(f)
|
|
|
Apidos CLO Ltd., 2023-46A SUB
|
—
|
10/24/36
|
3,500,000
|
2,493,786
(a)(f)(l)
|
|
|
Apidos Loan Fund Ltd., 2024-1A ER (3 mo. Term SOFR + 4.750%)
|
8.418%
|
10/25/38
|
1,750,000
|
1,712,759
(a)(f)
|
|
|
Arini US CLO Ltd., 3A E (3 mo. Term SOFR + 5.250%)
|
9.170%
|
1/15/39
|
1,440,000
|
1,433,811
(a)(f)
|
|
|
Avis Budget Rental Car Funding AESOP LLC, 2023-6A D
|
7.370%
|
12/20/29
|
1,320,000
|
1,341,674
(a)
|
|
|
Avis Budget Rental Car Funding AESOP LLC, 2024-2A D
|
7.430%
|
10/20/28
|
840,000
|
853,411
(a)
|
|
|
Balboa Bay Loan Funding Ltd., 2020-1A ERR (3 mo. Term SOFR +
7.150%)
|
10.818%
|
10/20/35
|
2,620,000
|
2,527,910
(a)(b)(f)
|
|
|
Balboa Bay Loan Funding Ltd., 2023-1A D2RR (3 mo. Term SOFR +
4.250%)
|
7.918%
|
4/20/36
|
2,250,000
|
2,216,191
(a)(f)
|
|
|
Balboa Bay Loan Funding Ltd., 2024-2A F (3 mo. Term SOFR +
7.800%)
|
11.468%
|
1/20/38
|
200,000
|
192,601
(a)(b)(f)
|
|
|
Balboa Bay Loan Funding Ltd., 2024-2A E (3 mo. Term SOFR +
5.750%)
|
9.418%
|
1/20/38
|
1,630,000
|
1,591,064
(a)(b)(f)
|
|
|
Bayfront Iabs Pte. Ltd., 7A C (SOFR + 2.950%)
|
—
|
4/11/48
|
3,000,000
|
2,990,817
*
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†/
Units
|
Value
|
|
Asset-Backed Securities — continued
|
|||||
|
Bayview Opportunity Master Fund LLC, 2025-EDU1 D (30 Day
Average SOFR + 2.250%)
|
5.912%
|
7/27/48
|
1,612,397
|
$1,610,731
(a)(f)
|
|
|
Black Diamond CLO Ltd., 2021-1A CR (3 mo. Term SOFR +
3.900%)
|
7.569%
|
11/22/34
|
2,270,000
|
2,251,131
(a)(f)
|
|
|
BlueMountain CLO Ltd., 2020-29A ER (3 mo. Term SOFR +
7.122%)
|
10.790%
|
7/25/34
|
7,000,000
|
6,269,186
(a)(b)(f)
|
|
|
BlueMountain Fuji US CLO Ltd., 2017-2A D (3 mo. Term SOFR +
6.412%)
|
10.079%
|
10/20/30
|
5,350,000
|
4,354,786
(a)(b)(f)
|
|
|
Capital Four US CLO Ltd., 2025-4A E (3 mo. Term SOFR + 6.130%)
|
9.888%
|
10/18/38
|
2,660,000
|
2,646,514
(a)(f)
|
|
|
CarVal CLO Ltd., 2024-3A E (3 mo. Term SOFR + 6.350%)
|
10.018%
|
10/20/37
|
2,070,000
|
2,006,811
(a)(b)(f)
|
|
|
Davis Park CLO Ltd., 2022-1A ER (3 mo. Term SOFR + 6.000%)
|
9.668%
|
7/20/38
|
2,500,000
|
2,288,058
(a)(f)
|
|
|
Dryden CLO Ltd., 2021-95A SUB
|
—
|
8/20/34
|
6,870,000
|
1,923,812
(a)(f)(l)
|
|
|
Dryden CLO Ltd., 2022-113A D1R3 (3 mo. Term SOFR + 3.000%)
|
6.672%
|
10/15/37
|
1,970,000
|
1,965,075
(a)(f)
|
|
|
Elevation CLO Ltd., 2021-14A ER (3 mo. Term SOFR + 6.450%)
|
10.118%
|
1/20/38
|
4,400,000
|
3,848,796
(a)(f)
|
|
|
Elmwood CLO Ltd., 2019-2A SUB
|
—
|
4/20/34
|
4,600,000
|
1,544,591
(a)(f)(l)
|
|
|
Fortress Credit BSL Ltd., 2021-4A E (3 mo. Term SOFR + 7.392%)
|
11.064%
|
10/15/34
|
3,000,000
|
2,672,726
(a)(b)(f)
|
|
|
GGAM Master Trust International Ltd., 2025-1A A
|
5.923%
|
9/30/60
|
1,814,467
|
1,813,694
(a)
|
|
|
GoldenTree Loan Management US CLO Ltd., 2020-8A FR (3 mo.
Term SOFR + 8.312%)
|
11.979%
|
10/20/34
|
7,000,000
|
6,247,380
(a)(b)(f)
|
|
|
Greywolf CLO Ltd., 2015-1A DR (3 mo. Term SOFR + 6.112%)
|
9.780%
|
1/27/31
|
6,250,000
|
6,277,926
(a)(b)(f)
|
|
|
Greywolf CLO Ltd., 2018-1A D (3 mo. Term SOFR + 6.012%)
|
9.680%
|
4/26/31
|
3,000,000
|
3,014,962
(a)(b)(f)
|
|
|
HalseyPoint CLO Ltd., 2019-1A FR (3 mo. Term SOFR + 10.730%)
|
14.398%
|
10/20/37
|
2,930,000
|
2,577,612
(a)(f)
|
|
|
Hartwick Park CLO Ltd., 2023-1A ER (3 mo. Term SOFR + 4.850%)
|
8.518%
|
1/20/37
|
525,000
|
486,606
(a)(b)(f)
|
|
|
Hildene Community Funding CDO Ltd., 2015-1A ARR
|
2.600%
|
11/1/35
|
428,069
|
381,962
(a)
|
|
|
Huntington Bank Auto Credit-Linked Notes, 2025-1 D (30 Day
Average SOFR + 3.500%)
|
7.173%
|
3/21/33
|
761,335
|
753,774
(a)(f)
|
|
|
Huntington Bank Auto Credit-Linked Notes, 2025-2 D (30 Day
Average SOFR + 3.250%)
|
6.923%
|
9/20/33
|
679,047
|
664,173
(a)(f)
|
|
|
Lakeside Park CLO Ltd., 2025-1A E (3 mo. Term SOFR + 4.600%)
|
8.272%
|
4/15/38
|
2,000,000
|
1,902,382
(a)(f)
|
|
|
LCM Ltd., 33A E (3 mo. Term SOFR + 6.612%)
|
10.279%
|
7/20/34
|
3,000,000
|
1,309,251
(a)(f)
|
|
|
Lighthouse Park CLO Ltd., 2025-1A E (3 mo. Term SOFR + 4.650%)
|
8.571%
|
10/24/37
|
1,140,000
|
1,106,949
(a)(f)
|
|
|
Lunar Structured Aircraft Portfolio Notes, 2021-1 C
|
5.682%
|
10/15/46
|
2,742,561
|
2,672,470
(a)
|
|
|
Magnetite Ltd., 2020-26A ER2 (3 mo. Term SOFR + 4.700%)
|
8.368%
|
1/25/38
|
2,750,000
|
2,619,030
(a)(f)
|
|
|
Magnetite Ltd., 2022-32A ER (3 mo. Term SOFR + 4.600%)
|
8.272%
|
10/15/37
|
2,420,000
|
2,347,934
(a)(f)
|
|
|
MidOcean Credit CLO LLC, 2025-18A E (3 mo. Term SOFR +
5.400%)
|
9.070%
|
10/18/35
|
2,680,000
|
2,662,437
(a)(f)
|
|
|
National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1
mo. USD LIBOR + 0.850%)
|
5.819%
|
3/29/38
|
27,730,208
|
2,062,961
(a)(f)
|
|
|
Navesink CLO Ltd., 2024-2A ER (3 mo. Term SOFR + 7.040%)
|
10.712%
|
1/15/36
|
1,750,000
|
1,726,881
(a)(f)
|
|
|
Nelnet Student Loan Trust, 2025-DA D
|
5.860%
|
8/20/54
|
1,500,000
|
1,477,631
(a)
|
|
|
NMEF Funding LLC, 2025-A D
|
8.070%
|
7/15/32
|
3,420,000
|
3,528,430
(a)
|
|
|
Obra CLO Ltd., 2025-3A E (3 mo. Term SOFR + 5.900%)
|
9.559%
|
1/20/39
|
2,750,000
|
2,708,589
(a)(f)
|
|
|
Ocean Trails CLO Ltd., 2020-10A ER (3 mo. Term SOFR + 7.832%)
|
11.504%
|
10/15/34
|
3,750,000
|
3,455,438
(a)(b)(f)
|
|
|
Ocean Trails CLO Ltd., 2024-16A E (3 mo. Term SOFR + 6.690%)
|
10.358%
|
1/20/38
|
1,020,000
|
975,261
(a)(b)(f)
|
|
|
OCP CLO Ltd., 2023-26A ER (3 mo. Term SOFR + 4.450%)
|
8.118%
|
4/17/37
|
1,780,000
|
1,721,804
(a)(b)(f)
|
|
|
Point Broadband Funding LLC, 2025-1A C
|
8.156%
|
7/20/55
|
2,000,000
|
2,041,504
(a)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†/
Units
|
Value
|
|
Asset-Backed Securities — continued
|
|||||
|
Renew, 2024-1A B
|
9.001%
|
11/20/59
|
615,640
|
$619,500
(a)
|
|
|
Renew Financial, 2024-2A B
|
8.223%
|
11/20/60
|
1,756,712
|
1,759,892
(a)
|
|
|
Riserva CLO Ltd., 2016-3A FRR (3 mo. Term SOFR + 8.772%)
|
12.439%
|
1/18/34
|
2,500,000
|
1,552,038
(a)(f)
|
|
|
RR Ltd., 2021-18A DR (3 mo. Term SOFR + 4.900%)
|
8.572%
|
7/15/40
|
2,370,000
|
2,301,540
(a)(f)
|
|
|
Saratoga Investment Corp. CLO Ltd., 2013-1A (3 mo. Term SOFR +
10.262%)
|
—
|
4/20/33
|
4,000,000
|
672,334
(l)
|
|
|
SEB Funding LLC, 2024-1A A2
|
7.386%
|
4/30/54
|
2,030,000
|
2,067,927
(a)
|
|
|
Silver Point CLO Ltd., 2026-16A E (3 mo. Term SOFR + 4.750%)
|
8.405%
|
4/18/39
|
3,380,000
|
3,303,373
(a)(f)
|
|
|
Sixth Street CLO Ltd., 2021-19A FR (3 mo. Term SOFR + 7.910%)
|
11.578%
|
7/17/38
|
450,000
|
432,693
(a)(f)
|
|
|
SMB Private Education Loan Trust, 2015-C R
|
11.247%
|
9/18/46
|
7,570
|
2,134,262
(a)
|
|
|
Sound Point CLO Ltd., 2020-1A ER (3 mo. Term SOFR + 7.122%)
|
10.789%
|
7/20/34
|
4,200,000
|
3,760,236
(a)(f)
|
|
|
Sunnova Hellios II Issuer LLC, 2018-1A B
|
7.710%
|
7/20/48
|
3,252,830
|
2,910,933
(a)
|
|
|
Symphony CLO Ltd., 2021-28I SBPF
|
—
|
10/23/50
|
249,757
|
37
*(f)(g)(h)
|
|
|
Symphony CLO Ltd., 2019-21A ER (3 mo. Term SOFR + 6.862%)
|
10.534%
|
7/15/32
|
2,800,000
|
2,562,695
(a)(b)(f)
|
|
|
Symphony CLO Ltd., 2021-28A SUB
|
—
|
10/23/50
|
10,325,000
|
2,633,605
(a)(f)(l)
|
|
|
TCI-Symphony CLO Ltd., 2016-1A ER2 (3 mo. Term SOFR +
7.012%)
|
10.663%
|
10/13/32
|
3,500,000
|
3,005,731
(a)(f)
|
|
|
Venture CLO Ltd., 2021-43A D (3 mo. Term SOFR + 3.732%)
|
7.404%
|
4/15/34
|
1,500,000
|
1,429,570
(a)(f)
|
|
|
Voya CLO Ltd., 2018-2A E (3 mo. Term SOFR + 5.512%)
|
9.184%
|
7/15/31
|
6,750,000
|
6,112,504
(a)(b)(f)
|
|
|
Voya CLO Ltd., 2020-3A D1RR (3 mo. Term SOFR + 2.700%)
|
6.370%
|
1/20/38
|
1,250,000
|
1,233,225
(a)(b)(f)
|
|
|
Wave LLC, 2019-1 B
|
4.581%
|
9/15/44
|
250,266
|
244,843
(a)
|
|
|
Wellesley Park CLO Ltd., 2025-1A E (3 mo. Term SOFR + 4.600%)
|
8.507%
|
1/24/39
|
1,130,000
|
1,103,901
(a)(f)
|
|
|
Whitebox CLO Ltd., 2020-2A E1R2 (3 mo. Term SOFR + 5.750%)
|
9.418%
|
10/24/37
|
1,430,000
|
1,384,869
(a)(b)(f)
|
|
|
Wind River CLO Ltd., 2021-4A E3 (3 mo. Term SOFR + 8.512%)
|
12.179%
|
1/20/35
|
3,000,000
|
2,423,985
(a)(f)
|
|
|
Wind River CLO Ltd., 2021-4A F (3 mo. Term SOFR + 6.522%)
|
10.189%
|
1/20/35
|
2,450,000
|
635,383
(a)(f)
|
|
|
|
|||||
|
Total Asset-Backed Securities (Cost — $211,122,498)
|
171,730,553
|
||||
|
|
|
|
|
Face
Amount†
|
|
|
Senior Loans — 14.7%
|
|||||
|
Communication Services — 2.2%
|
|||||
|
Entertainment — 0.5%
|
|||||
|
Allen Media LLC, Term Loan B (3 mo. Term SOFR + 5.650%)
|
9.350%
|
2/10/27
|
4,665,583
|
2,974,310
(f)(m)(n)
|
|
|
OAK-Eagle Acquireco Inc., Term Loan B
|
—
|
3/24/33
|
750,000
|
746,250
(o)
|
|
|
Total Entertainment
|
3,720,560
|
||||
|
Media — 1.7%
|
|||||
|
CB Poly US Holdings Inc., Initial Term Loan (3 mo. Term SOFR +
5.500%)
|
9.200%
|
5/18/29
|
4,825,000
|
4,350,534
(f)(m)(n)
|
|
|
iHeartCommunications Inc., Refinanced Term Loan B (1 mo. Term
SOFR + 5.889%)
|
9.557%
|
5/1/29
|
5,628,750
|
4,950,654
(f)(m)(n)
|
|
|
Nexstar Media Inc., Term Loan B6
|
—
|
3/18/33
|
2,810,000
|
2,781,900
(o)
|
|
|
Total Media
|
12,083,088
|
||||
|
|
|||||
|
Total Communication Services
|
15,803,648
|
||||
|
Consumer Discretionary — 3.2%
|
|||||
|
Automobile Components — 0.9%
|
|||||
|
ABC Technologies Inc., Term Loan B
|
11.918-11.950%
|
1/2/40
|
4,080,370
|
3,927,576
(f)(h)(m)(n)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Automobile Components — continued
|
|||||
|
Autokiniton US Holdings Inc., 2024 Replacement Term Loan B (1
mo. Term SOFR + 4.114%)
|
7.782%
|
4/6/28
|
2,800,425
|
$2,771,721
(f)(m)(n)
|
|
|
First Brands Group LLC, 2021 First Lien Term Loan (1 mo. Term
SOFR + 7.114%)
|
10.782%
|
3/30/27
|
1,805,134
|
5,271
(f)(m)(n)
|
|
|
First Brands Group LLC, DIP Roll Up Term Loan (1 mo. Term SOFR
+ 7.000%)
|
10.671%
|
6/29/26
|
2,308,524
|
8,796
(f)(m)(n)
|
|
|
First Brands Group LLC, USD DIP Term Loan (1 mo. Term SOFR +
10.000%)
|
13.671%
|
6/29/26
|
807,808
|
196,903
(f)(m)(n)
|
|
|
Total Automobile Components
|
6,910,267
|
||||
|
Diversified Consumer Services — 0.8%
|
|||||
|
WW International Inc., Take-Back Term Loan (3 mo. Term SOFR +
6.800%)
|
10.506%
|
6/24/30
|
8,100,710
|
5,978,324
(f)(m)(n)
|
|
|
Hotels, Restaurants & Leisure — 0.4%
|
|||||
|
Catawba Nation Gaming Authority, Initial Term Loan B (3 mo.
Term SOFR + 4.750%)
|
8.417%
|
3/29/32
|
3,000,000
|
3,054,390
(f)(m)(n)
|
|
|
Specialty Retail — 1.1%
|
|||||
|
Empire Today IP LLC, Second Out Term Loan (3 mo. Term SOFR +
5.262%)
|
8.928%
|
8/3/29
|
1,786,155
|
35,723
(f)(h)(m)(n)
|
|
|
Harbor Freight Tools USA Inc., Initial Term Loan (1 mo. Term SOFR
+ 2.250%)
|
5.918%
|
6/11/31
|
1,732,412
|
1,717,019
(f)(m)(n)
|
|
|
Petco Health & Wellness Co. Inc., 2026 Term Loan (3 mo. Term
SOFR + 4.250%)
|
7.950%
|
1/22/31
|
3,610,000
|
3,536,573
(f)(m)(n)
|
|
|
The Michaels Cos. Inc., Term Loan B (3 mo. Term SOFR + 5.000%)
|
8.668%
|
3/15/33
|
2,650,000
|
2,577,284
(f)(m)(n)
|
|
|
Total Specialty Retail
|
7,866,599
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
23,809,580
|
||||
|
Consumer Staples — 0.2%
|
|||||
|
Beverages — 0.1%
|
|||||
|
Triton Water Holdings Inc., 2026 Refinancing Term Loan
|
—
|
3/19/31
|
1,120,000
|
1,123,147
(o)
|
|
|
Household Products — 0.1%
|
|||||
|
Knight Health Holdings LLC, Term Loan B (1 mo. Term SOFR +
5.364%)
|
9.032%
|
12/23/28
|
956,496
|
680,069
(f)(m)(n)
|
|
|
|
|||||
|
Total Consumer Staples
|
1,803,216
|
||||
|
Financials — 1.4%
|
|||||
|
Financial Services — 1.0%
|
|||||
|
Greystone Select Holdings LLC, Term Loan B (3 mo. Term SOFR +
5.262%)
|
8.931%
|
6/16/28
|
3,294,753
|
3,249,450
(f)(m)(n)
|
|
|
Nexus Buyer LLC, Amendment No. 9 Refinancing Term Loan (1
mo. Term SOFR + 3.500%)
|
7.168%
|
7/31/31
|
3,889,016
|
3,750,470
(f)(m)(n)
|
|
|
Total Financial Services
|
6,999,920
|
||||
|
Insurance — 0.4%
|
|||||
|
Asurion LLC, New Term Loan B14
|
—
|
3/11/33
|
970,000
|
939,086
(o)
|
|
|
Asurion LLC, New Term Loan B4 (1 mo. Term SOFR + 5.364%)
|
9.032%
|
1/20/29
|
1,962,617
|
1,952,980
(f)(m)(n)
|
|
|
Total Insurance
|
2,892,066
|
||||
|
|
|||||
|
Total Financials
|
9,891,986
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Health Care — 1.5%
|
|||||
|
Health Care Providers & Services — 0.6%
|
|||||
|
EyeCare Partners LLC, Term Loan B (4.730% Cash and 3.610%
PIK)
|
8.340%
|
11/30/28
|
1,101,113
|
$462,468
(d)(f)(m)(n)
|
|
|
TEAM Services Holding Inc., Initial Term Loan
|
—
|
3/31/33
|
3,870,000
|
3,683,756
(o)
|
|
|
Total Health Care Providers & Services
|
4,146,224
|
||||
|
Health Care Technology — 0.6%
|
|||||
|
MPH Acquisition Holdings LLC, First Out Term Loan (3 mo. Term
SOFR + 3.750%)
|
7.417%
|
12/31/30
|
528,768
|
528,635
(f)(m)(n)
|
|
|
MPH Acquisition Holdings LLC, Second Out Term Loan (3 mo.
Term SOFR + 4.862%)
|
8.528%
|
12/31/30
|
4,383,154
|
3,902,848
(f)(m)(n)
|
|
|
Total Health Care Technology
|
4,431,483
|
||||
|
Pharmaceuticals — 0.3%
|
|||||
|
Gainwell Acquisition Corp., Term Loan B (3 mo. Term SOFR +
4.100%)
|
7.800%
|
10/1/27
|
2,315,561
|
2,252,856
(f)(m)(n)
|
|
|
|
|||||
|
Total Health Care
|
10,830,563
|
||||
|
Industrials — 1.0%
|
|||||
|
Commercial Services & Supplies — 0.5%
|
|||||
|
DS Parent Inc., Term Loan B (3 mo. Term SOFR + 5.500%)
|
9.200%
|
1/31/31
|
4,465,909
|
3,970,930
(f)(m)(n)
|
|
|
Passenger Airlines — 0.5%
|
|||||
|
Spirit Airlines LLC, Contingent DIP Facility
|
—
|
7/14/26
|
1,215,610
|
151,951
*(h)(i)
|
|
|
Spirit Airlines LLC, New Money Term Loan (1 mo. Term SOFR +
8.000%)
|
11.678%
|
1/2/40
|
513,694
|
508,557
(f)(m)(n)
|
|
|
Spirit Airlines LLC, Roll Up Term Loan
|
—
|
10/14/26
|
3,190,690
|
2,233,483
(h)(o)
|
|
|
Spirit Airlines LLC, Second New Money Term Loan (1 mo. Term
SOFR + 8.000%)
|
11.678%
|
7/14/26
|
127,400
|
126,126
(f)(m)(n)
|
|
|
Spirit Airlines LLC, Third DIP New Money Term Loan (1 mo. Term
SOFR + 8.000%)
|
11.678%
|
7/14/26
|
251,619
|
249,103
(f)(m)(n)
|
|
|
Total Passenger Airlines
|
3,269,220
|
||||
|
|
|||||
|
Total Industrials
|
7,240,150
|
||||
|
Information Technology — 3.7%
|
|||||
|
Semiconductors & Semiconductor Equipment — 1.2%
|
|||||
|
VCI Asset Holdings 1 LLC, Term Loan
|
10.000%
|
11/20/30
|
4,060,000
|
4,359,445
(m)(n)
|
|
|
VCI Asset Holdings 2 LLC, Initial Term Loan
|
7.375%
|
2/6/31
|
4,220,000
|
4,346,600
(g)(m)(n)
|
|
|
Total Semiconductors & Semiconductor Equipment
|
8,706,045
|
||||
|
Software — 1.6%
|
|||||
|
DCert Buyer Inc., Second Lien Initial Term Loan (1 mo. Term SOFR
+ 7.000%)
|
10.668%
|
2/19/29
|
5,000,000
|
3,862,500
(f)(m)(n)
|
|
|
Magenta Security Holdings LLC, First Out Term Loan (3 mo. Term
SOFR + 7.010%)
|
10.677%
|
7/27/28
|
377,438
|
271,074
(f)(m)(n)
|
|
|
Planview Parent Inc., 2024 Incremental Term Loan B (3 mo. Term
SOFR + 3.500%)
|
7.200%
|
12/17/27
|
4,080,031
|
3,072,794
(f)(m)(n)
|
|
|
Starlight Parent LLC, Term Loan (3 mo. Term SOFR + 4.000%)
|
7.674%
|
4/16/32
|
3,482,500
|
2,968,832
(f)(m)(n)
|
|
|
UKG Inc., Term Loan B (3 mo. Term SOFR + 2.500%)
|
6.167%
|
2/10/31
|
1,605,965
|
1,536,812
(f)(m)(n)(o)
|
|
|
Total Software
|
11,712,012
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Technology Hardware, Storage & Peripherals — 0.9%
|
|||||
|
Vericast Corp., 2024 Extended Term Loan (3 mo. Term SOFR +
7.750%)
|
11.500%
|
6/14/30
|
7,168,482
|
$6,964,646
(f)(m)(n)
|
|
|
|
|||||
|
Total Information Technology
|
27,382,703
|
||||
|
Materials — 1.5%
|
|||||
|
Chemicals — 1.5%
|
|||||
|
ARC Falcon I Inc., Term Loan B
|
—
|
3/4/33
|
1,600,000
|
1,471,000
(o)
|
|
|
Hexion Holdings Corp., 2024 Refinancing Term Loan (1 mo. Term
SOFR + 4.000%)
|
7.675%
|
3/15/29
|
2,689,492
|
2,579,115
(f)(m)(n)
|
|
|
Natgasoline LLC, Term Loan B (3 mo. Term SOFR + 5.500%)
|
9.173%
|
3/29/30
|
2,437,500
|
2,460,352
(f)(m)(n)
|
|
|
Plastics Management LLC, First Lien Initial Term Loan (3 mo. Term
SOFR + 5.000%)
|
8.700%
|
8/3/27
|
4,780,726
|
4,763,878
(f)(m)(n)
|
|
|
|
|||||
|
Total Materials
|
11,274,345
|
||||
|
Total Senior Loans (Cost — $120,739,039)
|
108,036,191
|
||||
|
Sovereign Bonds — 6.7%
|
|||||
|
Angola — 0.8%
|
|||||
|
Angolan Government International Bond, Senior Notes
|
8.000%
|
11/26/29
|
1,600,000
|
1,584,299
(a)
|
|
|
Angolan Government International Bond, Senior Notes
|
8.750%
|
4/14/32
|
3,500,000
|
3,403,113
(a)(p)
|
|
|
Angolan Government International Bond, Senior Notes
|
9.125%
|
11/26/49
|
620,000
|
540,690
(j)
|
|
|
Total Angola
|
5,528,102
|
||||
|
Argentina — 0.7%
|
|||||
|
Ciudad Autonoma De Buenos Aires, Senior Notes
|
7.500%
|
6/1/27
|
3,400,170
|
3,431,230
(a)
|
|
|
Ciudad Autonoma De Buenos Aires, Senior Notes
|
7.500%
|
6/1/27
|
1,333,400
|
1,345,581
(j)
|
|
|
Total Argentina
|
4,776,811
|
||||
|
Bahamas — 0.4%
|
|||||
|
|
|||||
|
Bahamas Government International Bond, Senior Notes
|
8.250%
|
6/24/36
|
3,000,000
|
3,210,240
(a)
|
|
|
Brazil — 0.5%
|
|||||
|
|
|||||
|
Brazil Notas do Tesouro Nacional Serie F, Notes
|
10.000%
|
1/1/31
|
21,052,000
BRL
|
3,551,358
|
|
|
Dominican Republic — 0.4%
|
|||||
|
Dominican Republic International Bond, Senior Notes
|
4.500%
|
1/30/30
|
430,000
|
409,704
(j)
|
|
|
Dominican Republic International Bond, Senior Notes
|
4.875%
|
9/23/32
|
2,750,000
|
2,540,725
(j)(p)
|
|
|
Total Dominican Republic
|
2,950,429
|
||||
|
Ecuador — 0.5%
|
|||||
|
Ecuador Government International Bond, Senior Notes
|
8.750%
|
1/29/34
|
930,000
|
913,725
(a)
|
|
|
Ecuador Government International Bond, Senior Notes
|
6.900%
|
7/31/35
|
1,000,000
|
883,180
(j)
|
|
|
Ecuador Government International Bond, Senior Notes, Step bond
(5.000% to 7/31/26 then 5.500%)
|
5.000%
|
7/31/40
|
2,500,000
|
1,962,500
(a)
|
|
|
Total Ecuador
|
3,759,405
|
||||
|
Egypt — 0.1%
|
|||||
|
|
|||||
|
Egypt Government International Bond, Senior Notes
|
7.053%
|
1/15/32
|
700,000
|
662,100
(j)
|
|
|
El Salvador — 0.2%
|
|||||
|
El Salvador Government International Bond, Senior Notes
|
9.250%
|
4/17/30
|
440,000
|
458,234
(a)
|
|
|
El Salvador Government International Bond, Senior Notes
|
9.650%
|
11/21/54
|
900,000
|
956,880
(a)
|
|
|
Total El Salvador
|
1,415,114
|
||||
|
Ethiopia — 0.1%
|
|||||
|
|
|||||
|
Ethiopia International Bond, Senior Notes
|
6.625%
|
12/11/26
|
560,000
|
573,627
(j)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Ghana — 0.1%
|
|||||
|
Ghana Government International Bond, Senior Notes
|
0.000%
|
7/3/26
|
7,760
|
$7,629
(a)
|
|
|
Ghana Government International Bond, Senior Notes, Step bond
(5.000% to 7/3/28 then 6.000%)
|
5.000%
|
7/3/29
|
205,398
|
196,350
(a)
|
|
|
Ghana Government International Bond, Senior Notes, Step bond
(5.000% to 7/3/28 then 6.000%)
|
5.000%
|
7/3/35
|
337,560
|
288,758
(a)
|
|
|
Total Ghana
|
492,737
|
||||
|
Ivory Coast — 0.4%
|
|||||
|
Ivory Coast Government International Bond, Senior Notes
|
7.625%
|
1/30/33
|
2,040,000
|
2,078,433
(a)
|
|
|
Ivory Coast Government International Bond, Senior Notes
|
8.250%
|
1/30/37
|
1,000,000
|
1,028,575
(a)
|
|
|
Total Ivory Coast
|
3,107,008
|
||||
|
Jamaica — 0.1%
|
|||||
|
|
|||||
|
Jamaica Government International Bond, Senior Notes
|
9.625%
|
11/3/30
|
82,000,000
JMD
|
547,155
|
|
|
Kenya — 0.2%
|
|||||
|
Republic of Kenya Government International Bond, Senior Notes
|
8.000%
|
5/22/32
|
1,006,000
|
970,111
(a)
|
|
|
Republic of Kenya Government International Bond, Senior Notes
|
6.300%
|
1/23/34
|
550,000
|
458,191
(j)
|
|
|
Total Kenya
|
1,428,302
|
||||
|
Mexico — 0.3%
|
|||||
|
Eagle Funding Luxco Sarl, Senior Notes
|
5.500%
|
8/17/30
|
1,150,000
|
1,157,475
(a)(b)
|
|
|
Mexican Bonos, Senior Notes
|
8.500%
|
5/31/29
|
23,320,000
MXN
|
1,300,223
|
|
|
Total Mexico
|
2,457,698
|
||||
|
Mozambique — 0.0%††
|
|||||
|
|
|||||
|
Mozambique International Bond, Senior Notes
|
9.000%
|
9/15/31
|
460,000
|
345,876
(j)
|
|
|
Nigeria — 0.1%
|
|||||
|
|
|||||
|
Nigeria Government International Bond, Senior Notes
|
7.143%
|
2/23/30
|
940,000
|
948,797
(j)
|
|
|
Romania — 0.1%
|
|||||
|
|
|||||
|
Romanian Government International Bond, Senior Notes
|
7.500%
|
2/10/37
|
850,000
|
899,652
(a)
|
|
|
Senegal — 0.0%††
|
|||||
|
|
|||||
|
Senegal Government International Bond, Senior Notes
|
6.250%
|
5/23/33
|
550,000
|
294,328
(j)
|
|
|
South Africa — 0.2%
|
|||||
|
|
|||||
|
Republic of South Africa Government International Bond, Senior
Notes
|
6.125%
|
12/11/37
|
1,340,000
|
1,244,860
(a)
|
|
|
Sri Lanka — 0.1%
|
|||||
|
Sri Lanka Government International Bond, Senior Notes
|
4.000%
|
4/15/28
|
55,179
|
52,753
(a)
|
|
|
Sri Lanka Government International Bond, Senior Notes, Step
bond (3.100% to 7/15/27 then 3.350%)
|
3.100%
|
1/15/30
|
59,046
|
54,324
(a)
|
|
|
Sri Lanka Government International Bond, Senior Notes, Step
bond (3.350% to 9/15/27 then 3.600%)
|
3.350%
|
3/15/33
|
115,818
|
96,949
(a)
|
|
|
Sri Lanka Government International Bond, Senior Notes, Step
bond (3.600% to 12/15/27 then 5.100%)
|
3.600%
|
6/15/35
|
78,204
|
59,242
(a)
|
|
|
Sri Lanka Government International Bond, Senior Notes, Step
bond (3.600% to 11/15/27 then 3.850%)
|
3.600%
|
5/15/36
|
54,275
|
48,523
(a)
|
|
|
Sri Lanka Government International Bond, Senior Notes, Step
bond (3.600% to 8/15/27 then 3.850%)
|
3.600%
|
2/15/38
|
108,597
|
96,215
(a)
|
|
|
Total Sri Lanka
|
408,006
|
||||
|
Supranational — 0.8%
|
|||||
|
|
|||||
|
International Bank for Reconstruction & Development, Senior
Notes
|
8.050%
|
5/10/28
|
227,000,000
UYU
|
5,627,989
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Turkey — 0.4%
|
|||||
|
|
|||||
|
Turkiye Ihracat Kredi Bankasi AS, Senior Notes
|
5.750%
|
7/6/26
|
3,200,000
|
$3,207,816
(a)(p)
|
|
|
Ukraine — 0.1%
|
|||||
|
Ukraine Government International Bond, Senior Notes, Step bond
(0.000% to 2/1/27 then 3.000%)
|
0.000%
|
2/1/30
|
59,069
|
34,740
(j)
|
|
|
Ukraine Government International Bond, Senior Notes, Step bond
(0.000% to 2/1/27 then 3.000%)
|
0.000%
|
2/1/34
|
220,732
|
94,908
(j)
|
|
|
Ukraine Government International Bond, Senior Notes, Step bond
(4.500% to 2/1/27 then 6.000%)
|
4.500%
|
2/1/34
|
216,271
|
115,801
(j)
|
|
|
Ukraine Government International Bond, Senior Notes, Step bond
(0.000% to 2/1/27 then 3.000%)
|
0.000%
|
2/1/35
|
186,534
|
87,067
(j)
|
|
|
Ukraine Government International Bond, Senior Notes, Step bond
(4.500% to 2/1/27 then 6.000%)
|
4.500%
|
2/1/35
|
378,474
|
199,378
(j)
|
|
|
Ukraine Government International Bond, Senior Notes, Step bond
(0.000% to 2/1/27 then 3.000%)
|
0.000%
|
2/1/36
|
155,445
|
72,569
(j)
|
|
|
Ukraine Government International Bond, Senior Notes, Step bond
(4.500% to 2/1/27 then 6.000%)
|
4.500%
|
2/1/36
|
486,610
|
251,559
(j)
|
|
|
Total Ukraine
|
856,022
|
||||
|
Uzbekistan — 0.1%
|
|||||
|
Republic of Uzbekistan International Bond, Senior Notes
|
3.900%
|
10/19/31
|
590,000
|
533,960
(j)
|
|
|
|
|||||
|
Total Sovereign Bonds (Cost — $47,280,534)
|
48,827,392
|
||||
|
|
|
|
|
Shares
|
|
|
Preferred Stocks — 0.5%
|
|||||
|
Financials — 0.5%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) — 0.5%
|
|||||
|
Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR +
5.005%)
|
8.705%
|
|
77,758
|
1,533,388
(f)
|
|
|
MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR +
5.607%)
|
9.289%
|
|
107,413
|
2,273,933
(f)
|
|
|
|
|||||
|
Total Preferred Stocks (Cost — $4,369,237)
|
3,807,321
|
||||
|
|
|
|
Maturity
Date
|
Face
Amount†
|
|
|
Convertible Bonds & Notes — 0.3%
|
|||||
|
Financials — 0.3%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) — 0.3%
|
|||||
|
Blackstone Mortgage Trust Inc., Senior Notes
|
5.500%
|
3/15/27
|
2,000,000
|
1,990,000
|
|
|
|
|||||
|
Real Estate — 0.0%††
|
|||||
|
Real Estate Management & Development — 0.0%††
|
|||||
|
China Aoyuan Group Ltd., Senior Notes
|
0.000%
|
9/30/28
|
70,334
|
1,673
(j)
|
|
|
Country Garden Holdings Co. Ltd., Senior Notes
|
0.000%
|
12/31/31
|
2,628,484
|
294,128
(j)
|
|
|
|
|||||
|
Total Real Estate
|
295,801
|
||||
|
Total Convertible Bonds & Notes (Cost — $2,302,321)
|
2,285,801
|
||||
|
Security
|
|
|
|
Shares
|
Value
|
|
Common Stocks — 0.3%
|
|||||
|
Communication Services — 0.2%
|
|||||
|
Diversified Telecommunication Services — 0.2%
|
|||||
|
Altice France Luxco
|
|
61,743
|
$1,050,859
*
|
||
|
|
|||||
|
Industrials — 0.0%††
|
|||||
|
Passenger Airlines — 0.0%††
|
|||||
|
Spirit Airlines LLC
|
|
977
|
244
*(g)(q)
|
||
|
Spirit Aviation Holdings Inc.
|
|
168,247
|
42,062
*
|
||
|
|
|||||
|
Total Industrials
|
42,306
|
||||
|
Information Technology — 0.1%
|
|||||
|
Semiconductors & Semiconductor Equipment — 0.1%
|
|||||
|
VCI Asset Holdings 2 LLC
|
|
785,808
|
785,808
*(g)(h)
|
||
|
|
|||||
|
Real Estate — 0.0%††
|
|||||
|
Real Estate Management & Development — 0.0%††
|
|||||
|
China Aoyuan Group Ltd.
|
|
196,741
|
1,502
*(g)
|
||
|
Country Garden Holdings Co. Ltd.
|
|
10,500
|
430
*(g)
|
||
|
|
|||||
|
Total Real Estate
|
1,932
|
||||
|
Total Common Stocks (Cost — $3,153,390)
|
1,880,905
|
||||
|
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
|
|
Non-U.S. Treasury Inflation Protected Securities — 0.0%††
|
|||||
|
Uruguay — 0.0%††
|
|||||
|
Uruguay Government International Bond, Senior Notes
(Cost — $103,856)
|
3.400%
|
5/16/45
|
4,020,055
UYU
|
105,878
|
|
|
|
|
|
Expiration
Date
|
Rights
|
|
|
Rights — 0.0%††
|
|||||
|
Communication Services — 0.0%††
|
|||||
|
Diversified Telecommunication Services — 0.0%††
|
|||||
|
Altice France Luxco (Cost — $0)
|
|
—
|
5,018
|
73,951
*
|
|
|
|
|
|
|
Warrants
|
|
|
Warrants — 0.0%††
|
|||||
|
Industrials — 0.0%††
|
|||||
|
Passenger Airlines — 0.0%††
|
|||||
|
Spirit Airlines LLC (Cost — $1,455,203)
|
|
3/12/30
|
119,540
|
29,885
*(a)(g)(q)
|
|
|
Total Investments — 144.2% (Cost — $1,130,357,007)
|
1,057,976,420
|
||||
|
Liabilities in Excess of Other Assets — (44.2)%
|
(324,392,376
)
|
||||
|
Total Net Assets — 100.0%
|
$733,584,044
|
||||
|
†
|
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)
|
All or a portion of this security is pledged as collateral pursuant to the loan agreement.
|
|
(c)
|
Securities traded on a when-issued or delayed delivery basis.
|
|
(d)
|
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.
|
|
(e)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(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 is fair valued in accordance with procedures approved by the Board of Trustees (Note 1).
|
|
(h)
|
Security is valued using significant unobservable inputs (Note 1).
|
|
(i)
|
The coupon payment on this security is currently in default as of March 31, 2026.
|
|
(j)
|
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.
|
|
(k)
|
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.
|
|
(l)
|
Rate shown is the current yield based on income received over the trailing twelve
months.
|
|
(m)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
|
(n)
|
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.
|
|
(o)
|
All or a portion of this loan has not settled as of March 31, 2026. Interest rates
are not effective until settlement date. Interest rates shown, if any, are for
the settled portion of the loan.
|
|
(p)
|
All or a portion of this security is held by the counterparty as collateral for open
reverse repurchase agreements.
|
|
(q)
|
Restricted security (Note 3).
|
|
Abbreviation(s) used in this schedule:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
CDO
|
—
|
Collateralized Debt Obligation
|
|
CLO
|
—
|
Collateralized Loan Obligation
|
|
DIP
|
—
|
Debtor-in-possession
|
|
GBP
|
—
|
British Pound
|
|
IO
|
—
|
Interest Only
|
|
JMD
|
—
|
Jamaican Dollar
|
|
LIBOR
|
—
|
London Interbank Offered Rate
|
|
MXN
|
—
|
Mexican Peso
|
|
PIK
|
—
|
Payment-In-Kind
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
USD
|
—
|
United States Dollar
|
|
UYU
|
—
|
Uruguayan Peso
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral*
|
Collateral
Value**
|
|
Goldman Sachs Group Inc.
|
4.250%
|
12/12/2025
|
TBD***
|
$6,612,177
|
Sovereign Bonds
Cash
|
$9,340,143
110,000
|
|
|
|
|
|
$6,612,177
|
|
$9,450,143
|
|
*
|
Refer to the Schedule of Investments for positions held at the counterparty as collateral
for reverse repurchase agreements.
|
|
**
|
Including accrued interest.
|
|
***
|
TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either
the Fund or the counterparty in accordance with the terms of the agreements. The rates
for these agreements are variable. The rate disclosed is the rate as
of March 31, 2026.
|
|
Exchange-Traded Written Options
|
||||||
|
Security
|
|
Expiration
Date
|
Strike
Price
|
Contracts
|
Notional
Amount
|
Value
|
|
U.S. Treasury 5-Year Notes Futures, Call
|
4/24/26
|
$109.000
|
68
|
$68
|
$(12,219)
|
|
|
U.S. Treasury 5-Year Notes Futures, Put
|
4/24/26
|
107.000
|
68
|
68
|
(9,562)
|
|
|
Total Exchange-Traded Written Options (Premiums received — $30,827)
|
$(21,781)
|
|||||
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
Euro-Bund
|
34
|
6/26
|
$5,022,354
|
$4,927,689
|
$(94,665)
|
|
U.S. Treasury 5-Year Notes
|
184
|
6/26
|
19,831,998
|
19,905,063
|
73,065
|
|
U.S. Treasury 10-Year Notes
|
973
|
6/26
|
109,952,096
|
108,048,614
|
(1,903,482)
|
|
U.S. Treasury Long-Term Bonds
|
280
|
6/26
|
32,842,513
|
31,885,000
|
(957,513)
|
|
U.S. Treasury Ultra 10-Year Notes
|
170
|
6/26
|
19,723,741
|
19,297,657
|
(426,084)
|
|
|
|
|
|
|
(3,308,679)
|
|
Contracts to Sell:
|
|
|
|
|
|
|
3-Month SOFR
|
17
|
3/27
|
4,116,302
|
4,095,513
|
20,789
|
|
U.S. Treasury 2-Year Notes
|
150
|
6/26
|
31,360,281
|
31,116,797
|
243,484
|
|
U.S. Treasury Ultra Long-Term Bonds
|
169
|
6/26
|
20,229,536
|
19,699,062
|
530,474
|
|
|
|
|
|
|
794,747
|
|
Net unrealized depreciation on open futures contracts
|
$(2,513,932)
|
||||
|
Abbreviation(s) used in this table:
|
||
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
AUD
|
440,000
|
USD
|
302,777
|
Bank of America N.A.
|
4/16/26
|
$739
|
|
AUD
|
440,879
|
USD
|
302,940
|
Bank of America N.A.
|
4/16/26
|
1,182
|
|
AUD
|
890,000
|
USD
|
608,292
|
Bank of America N.A.
|
4/16/26
|
5,638
|
|
EUR
|
4,273,611
|
USD
|
5,068,075
|
Bank of America N.A.
|
4/16/26
|
(124,498)
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
JPY
|
73,010,000
|
USD
|
458,010
|
Bank of America N.A.
|
4/16/26
|
$2,729
|
|
MXN
|
62,417,000
|
USD
|
3,504,354
|
Bank of America N.A.
|
4/16/26
|
(26,510)
|
|
USD
|
5,397,249
|
MXN
|
97,912,568
|
Bank of America N.A.
|
4/16/26
|
(58,390)
|
|
AUD
|
500,000
|
USD
|
353,357
|
BNP Paribas SA
|
4/16/26
|
(8,453)
|
|
AUD
|
1,010,000
|
USD
|
715,859
|
BNP Paribas SA
|
4/16/26
|
(19,152)
|
|
AUD
|
1,510,000
|
USD
|
1,072,366
|
BNP Paribas SA
|
4/16/26
|
(30,754)
|
|
EUR
|
400,000
|
USD
|
476,090
|
BNP Paribas SA
|
4/16/26
|
(13,383)
|
|
EUR
|
660,000
|
USD
|
781,649
|
BNP Paribas SA
|
4/16/26
|
(18,182)
|
|
EUR
|
1,067,403
|
USD
|
1,253,816
|
BNP Paribas SA
|
4/16/26
|
(19,078)
|
|
USD
|
943,175
|
EUR
|
800,000
|
BNP Paribas SA
|
4/16/26
|
17,760
|
|
USD
|
943,320
|
EUR
|
800,000
|
BNP Paribas SA
|
4/16/26
|
17,905
|
|
USD
|
1,383,921
|
EUR
|
1,167,447
|
BNP Paribas SA
|
4/16/26
|
33,456
|
|
USD
|
4,733,024
|
GBP
|
3,514,416
|
BNP Paribas SA
|
4/16/26
|
81,463
|
|
CNH
|
6,622,705
|
USD
|
957,068
|
Citibank N.A.
|
4/16/26
|
5,692
|
|
EUR
|
520,000
|
USD
|
605,415
|
Citibank N.A.
|
4/16/26
|
(3,896)
|
|
EUR
|
770,000
|
USD
|
896,555
|
Citibank N.A.
|
4/16/26
|
(5,844)
|
|
JPY
|
50,310,000
|
USD
|
319,892
|
Citibank N.A.
|
4/16/26
|
(2,404)
|
|
JPY
|
50,310,000
|
USD
|
320,002
|
Citibank N.A.
|
4/16/26
|
(2,514)
|
|
JPY
|
50,310,000
|
USD
|
319,887
|
Citibank N.A.
|
4/16/26
|
(2,399)
|
|
JPY
|
60,358,000
|
USD
|
383,655
|
Citibank N.A.
|
4/16/26
|
(2,758)
|
|
JPY
|
125,770,000
|
USD
|
801,770
|
Citibank N.A.
|
4/16/26
|
(8,082)
|
|
JPY
|
125,770,000
|
USD
|
802,010
|
Citibank N.A.
|
4/16/26
|
(8,322)
|
|
JPY
|
125,770,000
|
USD
|
802,098
|
Citibank N.A.
|
4/16/26
|
(8,410)
|
|
USD
|
509,562
|
AUD
|
740,000
|
Citibank N.A.
|
4/16/26
|
(897)
|
|
USD
|
774,228
|
CAD
|
1,065,003
|
Citibank N.A.
|
4/16/26
|
8,103
|
|
USD
|
483,363
|
EUR
|
410,000
|
Citibank N.A.
|
4/16/26
|
9,088
|
|
USD
|
533,091
|
EUR
|
452,790
|
Citibank N.A.
|
4/16/26
|
9,318
|
|
USD
|
1,072,665
|
EUR
|
910,000
|
Citibank N.A.
|
4/16/26
|
20,006
|
|
USD
|
1,901,361
|
EUR
|
1,620,319
|
Citibank N.A.
|
4/16/26
|
27,028
|
|
AUD
|
220,505
|
USD
|
154,397
|
JPMorgan Chase & Co.
|
4/16/26
|
(2,291)
|
|
AUD
|
410,000
|
USD
|
289,476
|
JPMorgan Chase & Co.
|
4/16/26
|
(6,654)
|
|
AUD
|
410,000
|
USD
|
289,068
|
JPMorgan Chase & Co.
|
4/16/26
|
(6,246)
|
|
AUD
|
610,000
|
USD
|
431,398
|
JPMorgan Chase & Co.
|
4/16/26
|
(10,615)
|
|
AUD
|
620,000
|
USD
|
434,265
|
JPMorgan Chase & Co.
|
4/16/26
|
(6,583)
|
|
AUD
|
5,697,203
|
USD
|
3,839,419
|
JPMorgan Chase & Co.
|
4/16/26
|
90,563
|
|
CNH
|
6,590,000
|
USD
|
952,285
|
JPMorgan Chase & Co.
|
4/16/26
|
5,721
|
|
EUR
|
370,000
|
USD
|
429,255
|
JPMorgan Chase & Co.
|
4/16/26
|
(1,251)
|
|
JPY
|
73,460,000
|
USD
|
461,264
|
JPMorgan Chase & Co.
|
4/16/26
|
2,315
|
|
JPY
|
91,820,000
|
USD
|
578,058
|
JPMorgan Chase & Co.
|
4/16/26
|
1,384
|
|
USD
|
170,958
|
AUD
|
250,000
|
JPMorgan Chase & Co.
|
4/16/26
|
(1,495)
|
|
USD
|
181,426
|
AUD
|
265,286
|
JPMorgan Chase & Co.
|
4/16/26
|
(1,570)
|
|
USD
|
340,770
|
AUD
|
500,000
|
JPMorgan Chase & Co.
|
4/16/26
|
(4,135)
|
|
USD
|
504,167
|
AUD
|
740,000
|
JPMorgan Chase & Co.
|
4/16/26
|
(6,292)
|
|
USD
|
806,062
|
AUD
|
1,200,000
|
JPMorgan Chase & Co.
|
4/16/26
|
(21,709)
|
|
USD
|
1,428,007
|
AUD
|
2,065,410
|
JPMorgan Chase & Co.
|
4/16/26
|
3,269
|
|
USD
|
1,906,495
|
CNH
|
13,212,705
|
JPMorgan Chase & Co.
|
4/16/26
|
(14,270)
|
|
USD
|
2,569,658
|
BRL
|
13,578,845
|
JPMorgan Chase & Co.
|
6/2/26
|
(16,229)
|
|
Net unrealized depreciation on open forward foreign currency contracts
|
$(119,907)
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
AUD
|
—
|
Australian Dollar
|
|
BRL
|
—
|
Brazilian Real
|
|
CAD
|
—
|
Canadian Dollar
|
|
CNH
|
—
|
Chinese Offshore Yuan
|
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
British Pound
|
|
JPY
|
—
|
Japanese Yen
|
|
MXN
|
—
|
Mexican Peso
|
|
USD
|
—
|
United States Dollar
|
|
OTC INTEREST RATE SWAPS
|
|||||||
|
Swap Counterparty
|
Notional
Amount*
|
Termination
Date
|
Payments
Made by
the Fund†
|
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
JPMorgan Chase & Co.
|
63,990,000BRL
|
1/2/29
|
BRL-CDI**
|
10.230%**
|
$(1,381,206)
|
$—
|
$(1,381,206)
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS
|
|||||||
|
|
Notional
Amount*
|
Termination
Date
|
Payments
Made by
the Fund†
|
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
|
173,910,000MXN
|
11/10/34
|
28-Day MXN TIIE - Banxico
every 28 days
|
8.885%
every 28 days
|
$276,720
|
$—
|
$276,720
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES — SELL PROTECTION1
|
|||||||
|
Reference Entity
|
Notional
Amount2
|
Termination
Date
|
Implied
Credit
Spread at
March 31,
20263
|
Periodic
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
Caesars Entertainment Inc.,
4.625%, due 10/15/29
|
$1,123,000
|
6/20/30
|
3.027%
|
5.000% quarterly
|
$81,682
|
$104,567
|
$(22,885)
|
|
Nabors Industries Inc., 9.125%,
due 1/31/30
|
604,000
|
6/20/29
|
1.889%
|
1.000% quarterly
|
(15,918)
|
(70,934)
|
55,016
|
|
Total
|
$1,727,000
|
|
|
|
$65,764
|
$33,633
|
$32,131
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES — BUY PROTECTION4
|
|||||||
|
Reference Entity
|
Notional
Amount2
|
Termination
Date
|
Implied
Credit
Spread at
March 31,
20263
|
Periodic
Payments
Made by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
MGM Resorts International,
4.750%, due 10/15/28
|
$1,123,000
|
6/20/30
|
1.752%
|
5.000% quarterly
|
$(138,149)
|
$(127,925)
|
$(10,224)
|
|
Transocean Inc., 8.000%, due
2/1/27
|
604,000
|
6/20/29
|
1.607%
|
1.000% quarterly
|
10,946
|
44,370
|
(33,424)
|
|
Total
|
$1,727,000
|
|
|
|
$(127,203)
|
$(83,555)
|
$(43,648)
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION4
|
||||||
|
Reference Entity
|
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Made by
the Fund†
|
Market
Value5
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
Markit CDX.NA.HY.46 Index
|
$3,310,100
|
6/20/31
|
5.000% quarterly
|
$(158,589)
|
$(130,283)
|
$(28,306)
|
|
OTC TOTAL RETURN SWAPS
|
|||||||
|
Swap
Counterparty
|
Notional
Amount
|
Termination
Date
|
Periodic
Payments
Made by
the Fund†
|
Periodic
Payments
Received by
the Fund‡
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
JPMorgan Chase & Co.
|
$29,841
|
4/9/26
|
Daily SOFR
Compound +
1.100%**
|
JPEIFNTR^**
|
$(181,827)
|
—
|
$(181,827)
|
|
1
|
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.
|
|
2
|
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.
|
|
3
|
Implied credit spreads, utilized in determining the market value of credit default
swap agreements on corporate or sovereign issues as of period end, serve
as an indicator of the current status of the payment/performance risk and represent
the likelihood or risk of default for the credit derivative. The implied
credit spread of a particular referenced entity reflects the cost of buying/selling
protection and may include upfront payments required to be made to enter
into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or
other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for
the referenced entity or obligation.
|
|
4
|
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.
|
|
5
|
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.
|
|
‡
|
Periodic payments made/received by the Fund are based on the total return of the referenced
entity.
|
|
^
|
Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier
sector.
|
|
*
|
Notional amount denominated in U.S. dollars, unless otherwise noted.
|
|
**
|
One time payment made at termination date.
|
|
Reference Index
|
Reference
Rate
|
|
28-Day MXN TIIE - Banxico
|
7.057%
|
|
BRL-CDI
|
14.650%
|
|
Daily SOFR Compound
|
3.680%
|
|
Abbreviation(s) used in this table:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
BRL-CDI
|
—
|
Brazilian Cetip InterBank Deposit Rate
|
|
JPEIFNTR
|
—
|
Western Asset Management Emerging Markets Frontier Custom Basket
|
|
MXN
|
—
|
Mexican Peso
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
TIIE
|
—
|
Tasa de Intere’s Interbancaria de Equilibrio (Equilibrium Interbanking Interest 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
|
—
|
$84,920,623
|
$4,653,374
|
$89,573,997
|
|
Other Corporate Bonds & Notes
|
—
|
441,901,068
|
—
|
441,901,068
|
|
Collateralized Mortgage Obligations
|
—
|
189,723,478
|
—
|
189,723,478
|
|
Asset-Backed Securities
|
—
|
171,730,516
|
37
|
171,730,553
|
|
Senior Loans:
|
|
|
|
|
|
Consumer Discretionary
|
—
|
19,846,281
|
3,963,299
|
23,809,580
|
|
Industrials
|
—
|
4,854,716
|
2,385,434
|
7,240,150
|
|
Other Senior Loans
|
—
|
76,986,461
|
—
|
76,986,461
|
|
Sovereign Bonds
|
—
|
48,827,392
|
—
|
48,827,392
|
|
Preferred Stocks
|
$3,807,321
|
—
|
—
|
3,807,321
|
|
Convertible Bonds & Notes
|
—
|
2,285,801
|
—
|
2,285,801
|
|
Common Stocks:
|
|
|
|
|
|
Industrials
|
42,062
|
244
|
—
|
42,306
|
|
Information Technology
|
—
|
—
|
785,808
|
785,808
|
|
Other Common Stocks
|
—
|
1,052,791
|
—
|
1,052,791
|
|
Non-U.S. Treasury Inflation Protected Securities
|
—
|
105,878
|
—
|
105,878
|
|
Rights
|
—
|
73,951
|
—
|
73,951
|
|
ASSETS (cont’d)
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Warrants
|
—
|
$29,885
|
—
|
$29,885
|
|
Total Investments
|
$3,849,383
|
$1,042,339,085
|
$11,787,952
|
$1,057,976,420
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$867,812
|
—
|
—
|
$867,812
|
|
Forward Foreign Currency Contracts††
|
—
|
$343,359
|
—
|
343,359
|
|
Centrally Cleared Interest Rate Swaps††
|
—
|
276,720
|
—
|
276,720
|
|
Centrally Cleared Credit Default Swaps on Corporate Issues —
Sell Protection††
|
—
|
55,016
|
—
|
55,016
|
|
Total Other Financial Instruments
|
$867,812
|
$675,095
|
—
|
$1,542,907
|
|
Total
|
$4,717,195
|
$1,043,014,180
|
$11,787,952
|
$1,059,519,327
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
Written Options
|
$21,781
|
—
|
—
|
$21,781
|
|
Futures Contracts††
|
3,381,744
|
—
|
—
|
3,381,744
|
|
Forward Foreign Currency Contracts††
|
—
|
$463,266
|
—
|
463,266
|
|
OTC Interest Rate Swaps
|
—
|
1,381,206
|
—
|
1,381,206
|
|
Centrally Cleared Credit Default Swaps on Corporate Issues —
Sell Protection††
|
—
|
22,885
|
—
|
22,885
|
|
Centrally Cleared Credit Default Swaps on Corporate Issues —
Buy Protection††
|
—
|
43,648
|
—
|
43,648
|
|
Centrally Cleared Credit Default Swaps on Credit Indices — Buy
Protection††
|
—
|
28,306
|
—
|
28,306
|
|
OTC Total Return Swaps
|
—
|
181,827
|
—
|
181,827
|
|
Total
|
$3,403,525
|
$2,121,138
|
—
|
$5,524,663
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
Investments in
Securities
|
Balance
as of
December 31, 2025
|
Accrued
premiums/
discounts
|
Realized
gain
(loss)
|
Change in
unrealized
appreciation
(depreciation)1
|
Purchases
|
|
Corporate Bonds &
Notes:
|
|
|
|
|
|
|
Energy
|
$4,653,297
|
$3,180
|
—
|
$(3,103
)
|
—
|
|
Asset-Backed
Securities
|
—
|
—
|
—
|
—
|
—
|
|
Senior Loans:
|
|
|
|
|
|
|
Consumer
Discretionary
|
4,007,797
|
6,864
|
—
|
(208,947
)
|
$4,010,294
|
|
Financials
|
3,280,764
|
(1,301
)
|
$(42
)
|
(19,169
)
|
—
|
|
Industrials
|
1,796,449
|
890,721
|
(520,897
)
|
219,161
|
1,019,196
|
|
Common Stocks:
|
|
|
|
|
|
|
Information
Technology
|
—
|
—
|
—
|
—
|
785,808
|
|
Total
|
$13,738,307
|
$899,464
|
$(520,939
)
|
$(12,058
)
|
$5,815,298
|
|
Investments in
Securities (cont’d)
|
Sales
|
Transfers
into
Level 32
|
Transfers
out of
Level 33
|
Balance
as of
March 31, 2026
|
Net change
in unrealized
appreciation
(depreciation) for
investments
in securities
still held at
March 31, 20261
|
|
Corporate Bonds &
Notes:
|
|
|
|
|
|
|
Energy
|
—
|
—
|
—
|
$4,653,374
|
$(3,103
)
|
|
Asset-Backed
Securities
|
—
|
$37
|
—
|
37
|
—
|
|
Senior Loans:
|
|
|
|
|
|
|
Consumer
Discretionary
|
$(3,852,710
)
|
—
|
—
|
3,963,299
|
(70,906
)
|
|
Financials
|
(10,802
)
|
—
|
$(3,249,450
)
|
—
|
—
|
|
Industrials
|
(1,019,196
)
|
—
|
—
|
2,385,434
|
219,161
|
|
Common Stocks:
|
|
|
|
|
|
|
Information
Technology
|
—
|
—
|
—
|
785,808
|
—
|
|
Total
|
$(4,882,708
)
|
$37
|
$(3,249,450
)
|
$11,787,952
|
$145,152
|
|
1
|
Change in unrealized appreciation (depreciation) includes net unrealized appreciation
(depreciation) resulting from changes in investment values during the
reporting period and the reversal of previously recorded unrealized appreciation (depreciation)
when gains or losses are realized.
|
|
2
|
Transferred into Level 3 as a result of the unavailability of a quoted price in an
active market for an identical investment or the unavailability of other
significant observable inputs in the valuation obtained from independent third party
pricing services or broker/dealer quotations.
|
|
3
|
Transferred out of Level 3 as a result of the availability of a quoted price in an
active market for an identical investment or the availability of other
significant observable inputs.
|
|
|
Affiliate
Value at
December 31, 2025
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
—
|
$70,528,045
|
70,528,045
|
$70,528,045
|
70,528,045
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
March 31,
2026
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$60,278
|
—
|
—
|
|
Security
|
Number of
Shares/
Warrants
|
Acquisition
Date
|
Cost
|
Fair Value
at 3/31/2026
|
Value Per
Share/Warrant
|
Percent of
Net Assets
|
|
Spirit Airlines LLC, Common Shares
|
977
|
3/25
|
$11,893
|
$244
|
$0.25
|
0.00
%(a)
|
|
Spirit Airlines LLC, Warrants
|
119,540
|
3/25
|
1,455,203
|
29,885
(b)
|
0.25
|
0.00
(a)
|
|
Total
|
|
|
$1,467,096
|
$30,129
|
|
0.00
%(a)
|
|
(a)
|
Amount represents less than 0.005%.
|
|
(b)
|
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.
|