NPORT-EX 2 vghghyldcorpfnd103119.htm vghghyldcorpfnd103119.htm - Generated by SEC Publisher for SEC Filing
Vanguard High-Yield Corporate Fund         
 
 
 
Schedule of Investments (unaudited)       
As of October 31, 2019         
 
        Face  Market 
      Maturity  Amount  Value 
    Coupon  Date  ($000)  ($000) 
U.S. Government and Agency Obligations (3.8%)         
U.S. Government Securities (3.8%)         
  United States Treasury Note/Bond  1.375%  1/15/20  250,000  249,883 
1  United States Treasury Note/Bond  1.500%  4/15/20  250,000  249,923 
2  United States Treasury Note/Bond  1.500%  7/15/20  250,000  249,805 
  United States Treasury Note/Bond  1.625%  10/15/20  250,000  250,117 
Total U.S. Government and Agency Obligations (Cost $997,577)      999,728 
Corporate Bonds (90.7%)         
Finance (11.5%)         
  Banking (3.2%)         
  Ally Financial Inc.  4.250%  4/15/21  1,500  1,538 
  Ally Financial Inc.  4.625%  5/19/22  3,595  3,766 
  Ally Financial Inc.  5.125%  9/30/24  56,315  61,876 
  Ally Financial Inc.  4.625%  3/30/25  18,965  20,577 
  Ally Financial Inc.  5.750%  11/20/25  56,528  62,887 
  Ally Financial Inc.  8.000%  11/1/31  7,355  10,223 
  Barclays plc  4.375%  9/11/24  26,785  28,078 
  Barclays plc  5.200%  5/12/26  15,000  16,326 
3  BNP Paribas SA  6.750%  3/14/66  57,750  61,128 
3  Credit Suisse AG  6.250%  12/31/50  163,170  173,957 
3  ING Groep NV  6.875%  4/16/66  71,510  75,618 
4  Intesa Sanpaolo SPA  5.017%  6/26/24  21,570  22,487 
4  Intesa Sanpaolo SPA  5.710%  1/15/26  110,000  117,562 
  Royal Bank of Scotland Group plc  6.125%  12/15/22  52,705  57,301 
3  UBS Group AG  6.875%  3/22/66  114,390  118,937 
 
  Finance Companies (5.3%)         
3,4 AerCap Global Aviation Trust  6.500%  6/15/45  125,050  137,086 
  Aircastle Ltd.  5.000%  4/1/23  33,700  36,015 
  Aircastle Ltd.  4.125%  5/1/24  53,980  56,485 
4  Avolon Holdings Funding Ltd.  5.250%  5/15/24  50,695  55,197 
  CIT Group Inc.  5.000%  8/15/22  68,933  72,983 
  CIT Group Inc.  5.000%  8/1/23  67,070  72,268 
  CIT Group Inc.  4.750%  2/16/24  27,340  29,254 
4  Freedom Mortgage Corp.  8.250%  4/15/25  24,260  22,835 
  Navient Corp.  7.250%  1/25/22  43,900  47,522 
  Navient Corp.  6.500%  6/15/22  144,669  155,881 
  Navient Corp.  5.500%  1/25/23  48,120  50,045 
  Navient Corp.  7.250%  9/25/23  24,615  26,892 
  Navient Corp.  6.750%  6/25/25  138,585  146,554 
  Navient Corp.  5.625%  8/1/33  34,226  29,948 
4  Park Aerospace Holdings Ltd.  5.500%  2/15/24  20,000  21,943 
  Springleaf Finance Corp.  8.250%  12/15/20  36,210  38,382 
  Springleaf Finance Corp.  7.750%  10/1/21  69,567  75,915 
  Springleaf Finance Corp.  6.125%  5/15/22  13,610  14,631 
  Springleaf Finance Corp.  8.250%  10/1/23  17,136  19,963 
  Springleaf Finance Corp.  6.125%  3/15/24  53,330  58,263 
  Springleaf Finance Corp.  6.875%  3/15/25  23,455  26,504 
  Springleaf Finance Corp.  7.125%  3/15/26  142,691  162,846 

 

 

  Springleaf Finance Corp.  6.625%  1/15/28  25,345  28,038 
 
  Insurance (2.7%)         
3  Aegon NV  5.500%  4/11/48  72,780  77,966 
5,6 Asurion LLC Bank Loan, 1M USD LIBOR +         
  3.000%  4.786%  11/3/24  100,073  100,123 
  Centene Corp.  4.750%  1/15/25  20,000  20,725 
4  Centene Corp.  5.375%  6/1/26  10,000  10,575 
  CNO Financial Group Inc.  5.250%  5/30/25  57,853  63,349 
  CNO Financial Group Inc.  5.250%  5/30/29  54,320  59,820 
  Genworth Holdings Inc.  7.700%  6/15/20  2,480  2,520 
  Genworth Holdings Inc.  7.200%  2/15/21  28,015  28,645 
  Genworth Holdings Inc.  7.625%  9/24/21  25,505  26,270 
  Genworth Holdings Inc.  4.900%  8/15/23  49,580  45,923 
  Genworth Holdings Inc.  4.800%  2/15/24  15,900  14,787 
  MGIC Investment Corp.  5.750%  8/15/23  24,695  27,134 
  Radian Group Inc.  4.500%  10/1/24  73,175  76,559 
  Radian Group Inc.  4.875%  3/15/27  21,000  21,683 
3  Voya Financial Inc.  5.650%  5/15/53  87,753  92,909 
  WellCare Health Plans Inc.  5.250%  4/1/25  41,580  43,451 
4  WellCare Health Plans Inc.  5.375%  8/15/26  5,000  5,325 
 
  Other Finance (0.1%)         
5,6 Trans Union LLC Bank Loan, 1M USD LIBOR         
  + 2.000%  3.800%  6/19/25  36,819  36,873 
 
  Real Estate Investment Trusts (0.2%)         
  Felcor Lodging LP  6.000%  6/1/25  46,060  48,075 
          3,020,423 
Industrial (77.7%)         
  Basic Industry (3.9%)         
4  Alliance Resource Operating Partners LP /         
  Alliance Resource Finance Corp.  7.500%  5/1/25  84,507  71,937 
  Chemours Co.  6.625%  5/15/23  44,094  43,763 
  Chemours Co.  7.000%  5/15/25  93,595  90,319 
  Chemours Co.  5.375%  5/15/27  31,740  28,130 
  Commercial Metals Co.  4.875%  5/15/23  6,540  6,753 
  Commercial Metals Co.  5.750%  4/15/26  45,720  47,149 
  Commercial Metals Co.  5.375%  7/15/27  19,735  20,154 
4  Constellium NV  5.750%  5/15/24  34,862  35,864 
4  Constellium NV  6.625%  3/1/25  68,600  71,773 
4  Constellium NV  5.875%  2/15/26  10,195  10,654 
4,7 CTC BondCo GmbH  5.250%  12/15/25  13,800  15,912 
  Graphic Packaging International Inc.  4.125%  8/15/24  23,920  24,697 
4  Graphic Packaging International LLC  4.750%  7/15/27  7,870  8,352 
4  Novelis Corp.  6.250%  8/15/24  53,590  56,202 
4  Novelis Corp.  5.875%  9/30/26  63,010  66,318 
4,7 OCI NV  3.125%  11/1/24  31,590  35,953 
4  OCI NV  5.250%  11/1/24  41,765  43,070 
  Olin Corp.  5.125%  9/15/27  61,215  62,975 
  Olin Corp.  5.625%  8/1/29  43,495  45,344 
  Olin Corp.  5.000%  2/1/30  10,215  10,062 
  PolyOne Corp.  5.250%  3/15/23  6,310  6,807 
5,6 Starfruit Finco B.V. Bank Loan, 1M USD         
  LIBOR + 3.250%  5.190%  10/1/25  17,072  16,635 
5,6 Starfruit Finco B.V. Bank Loan, 1M USD         
  LIBOR + 3.250%  5.190%  10/1/25  3,320  3,235 

 

 

  Steel Dynamics Inc.  5.125%  10/1/21  31,770  31,889 
  Steel Dynamics Inc.  5.500%  10/1/24  40,885  42,112 
  Steel Dynamics Inc.  4.125%  9/15/25  3,305  3,379 
  Steel Dynamics Inc.  5.000%  12/15/26  9,730  10,362 
4  Tronox Finance plc  5.750%  10/1/25  9,105  8,581 
4  Tronox Inc.  6.500%  4/15/26  90,895  87,714 
  United States Steel Corp.  6.650%  6/1/37  13,760  10,182 
 
  Capital Goods (12.0%)         
4  American Builders & Contractors Supply Co.         
  Inc.  5.875%  5/15/26  59,970  62,894 
4  American Builders & Contractors Supply Co.         
  Inc.  4.000%  1/15/28  30,106  29,956 
4  ARD Finance SA  7.125%  9/15/23  21,790  22,607 
  ARD Finance SA  7.125%  9/15/23  13,860  14,380 
4  Ardagh Packaging Finance plc / Ardagh         
  Holdings USA Inc.  6.000%  2/15/25  126,361  132,521 
4  Ardagh Packaging Finance plc / Ardagh         
  Holdings USA Inc.  4.125%  8/15/26  51,660  52,177 
4,8 Ardagh Packaging Finance plc / Ardagh         
  Holdings USA Inc.  4.750%  7/15/27  5,520  7,370 
4  Ardagh Packaging Finance plc / Ardagh         
  Holdings USA Inc.  5.250%  8/15/27  24,300  24,786 
4  Ashtead Capital Inc.  4.125%  8/15/25  46,175  47,156 
4  Ashtead Capital Inc.  5.250%  8/1/26  17,715  18,822 
4  Ashtead Capital Inc.  4.375%  8/15/27  46,175  47,503 
  Ball Corp.  5.000%  3/15/22  8,535  9,004 
  Ball Corp.  4.000%  11/15/23  15,403  16,115 
7  Ball Corp.  4.375%  12/15/23  17,385  22,438 
  Ball Corp.  5.250%  7/1/25  4,690  5,212 
  Ball Corp.  4.875%  3/15/26  86,335  93,674 
4  BBA US Holdings Inc.  4.000%  3/1/28  59,880  59,655 
4  Beacon Escrow Corp.  4.875%  11/1/25  86,460  84,947 
4  Beacon Roofing Supply Inc.  4.500%  11/15/26  9,205  9,389 
4  Berry Global Escrow Corp.  5.625%  7/15/27  7,055  7,478 
4  Berry Global Inc.  4.500%  2/15/26  57,898  58,188 
4  Berry Global Inc.  4.875%  7/15/26  53,380  56,510 
4  Bombardier Inc.  5.750%  3/15/22  21,545  21,114 
4  Bombardier Inc.  6.125%  1/15/23  76,319  74,029 
4  Bombardier Inc.  7.500%  12/1/24  14,540  14,067 
4  Bombardier Inc.  7.500%  3/15/25  47,116  44,760 
4  Bombardier Inc.  7.875%  4/15/27  52,285  49,409 
4  CD&R Waterworks Merger Sub LLC  6.125%  8/15/25  5,535  5,604 
4  Cemex SAB de CV  6.125%  5/5/25  101,200  104,363 
4  Cemex SAB de CV  7.750%  4/16/26  24,265  26,237 
4  Clean Harbors Inc.  4.875%  7/15/27  32,416  33,632 
4  Clean Harbors Inc.  5.125%  7/15/29  25,851  27,337 
  Crown Americas LLC / Crown Americas         
  Capital Corp. IV  4.500%  1/15/23  40,500  42,323 
  Crown Americas LLC / Crown Americas         
  Capital Corp. V  4.250%  9/30/26  4,060  4,243 
  Crown Americas LLC / Crown Americas         
  Capital Corp. VI  4.750%  2/1/26  23,465  24,609 
4,7 Crown European Holdings SA  2.875%  2/1/26  51,200  61,148 
4  Flex Acquisition Co. Inc.  6.875%  1/15/25  127,475  120,464 
4  HD Supply Inc.  5.375%  10/15/26  38,211  40,408 
4  Herc Holdings Inc.  5.500%  7/15/27  141,788  147,814 

 

 

4  Jeld-Wen Inc.  4.625%  12/15/25  11,180  11,068 
4  Jeld-Wen Inc.  4.875%  12/15/27  6,320  6,194 
4  LANXESS AG  6.000%  4/1/24  21,210  21,740 
4,7 Loxam SAS  4.250%  4/15/24  5,520  6,223 
4  OI European Group BV  4.000%  3/15/23  22,215  22,215 
4  Owens-Brockway Glass Container Inc.  5.000%  1/15/22  6,120  6,311 
4  Owens-Brockway Glass Container Inc.  5.875%  8/15/23  70,800  74,694 
4  Owens-Brockway Glass Container Inc.  6.375%  8/15/25  15,170  15,947 
  Reynolds Group Issuer Inc. / Reynolds Group         
  Issuer LLC / Reynolds Group Issuer Lu  5.750%  10/15/20  20,676  20,676 
  Reynolds Group Issuer Inc. / Reynolds Group         
  Issuer LLC / Reynolds Group Issuer Lu  6.875%  2/15/21  13,417  13,433 
4  Reynolds Group Issuer Inc. / Reynolds Group         
  Issuer LLC / Reynolds Group Issuer Lu  5.125%  7/15/23  63,805  65,400 
4  Reynolds Group Issuer Inc. / Reynolds Group         
  Issuer LLC / Reynolds Group Issuer Lu  7.000%  7/15/24  14,670  15,183 
4  Standard Industries Inc.  5.500%  2/15/23  9,705  9,911 
4  Standard Industries Inc.  5.375%  11/15/24  65,655  67,461 
4  Standard Industries Inc.  6.000%  10/15/25  143,050  150,203 
4  Standard Industries Inc.  5.000%  2/15/27  16,990  17,776 
4  Standard Industries Inc.  4.750%  1/15/28  31,995  33,155 
  TransDigm Inc.  6.000%  7/15/22  44,150  44,905 
  TransDigm Inc.  6.500%  7/15/24  144,895  149,604 
  TransDigm Inc.  6.500%  5/15/25  44,030  45,736 
4  TransDigm Inc.  6.250%  3/15/26  20,000  21,425 
  TransDigm Inc.  6.375%  6/15/26  41,650  43,628 
4  TransDigm Inc.  5.500%  11/15/27  97,190  96,826 
  TransDigm UK Holdings plc  6.875%  5/15/26  5,000  5,338 
4,7 Trivium Packaging Finance BV  3.750%  8/15/26  6,095  7,049 
4  Trivium Packaging Finance BV  5.500%  8/15/26  11,810  12,356 
  United Rentals North America Inc.  5.500%  7/15/25  48,115  49,979 
  United Rentals North America Inc.  4.625%  10/15/25  52,360  53,538 
  United Rentals North America Inc.  5.875%  9/15/26  62,210  65,943 
  United Rentals North America Inc.  6.500%  12/15/26  55,080  59,555 
  United Rentals North America Inc.  5.500%  5/15/27  76,330  80,528 
  United Rentals North America Inc.  3.875%  11/15/27  30,420  30,876 
  United Rentals North America Inc.  4.875%  1/15/28  60,445  62,334 
  United Rentals North America Inc.  5.250%  1/15/30  24,410  25,661 
 
  Communication (18.2%)         
4  Altice Financing SA  6.625%  2/15/23  58,671  60,284 
4  Altice Financing SA  7.500%  5/15/26  25,000  26,531 
4  Altice France SA  7.375%  5/1/26  132,794  142,256 
4  Altice Luxembourg SA  7.625%  2/15/25  40,000  41,200 
  Belo Corp.  7.750%  6/1/27  29,475  33,896 
  Belo Corp.  7.250%  9/15/27  24,707  28,042 
  Cablevision Systems Corp.  8.000%  4/15/20  15,000  15,375 
  CCO Holdings LLC / CCO Holdings Capital         
  Corp.  5.250%  9/30/22  12,635  12,793 
  CCO Holdings LLC / CCO Holdings Capital         
  Corp.  5.125%  2/15/23  33,021  33,558 
4  CCO Holdings LLC / CCO Holdings Capital         
  Corp.  5.125%  5/1/23  99,510  101,749 
  CCO Holdings LLC / CCO Holdings Capital         
  Corp.  5.750%  9/1/23  33,450  34,077 
  CCO Holdings LLC / CCO Holdings Capital         
  Corp.  5.750%  1/15/24  2,184  2,236 

 

 

4 CCO Holdings LLC / CCO Holdings Capital         
Corp.  5.375%  5/1/25  82,205  85,082 
4 CCO Holdings LLC / CCO Holdings Capital         
Corp.  5.750%  2/15/26  47,140  49,674 
4 CCO Holdings LLC / CCO Holdings Capital         
Corp.  5.500%  5/1/26  46,840  49,299 
4 CCO Holdings LLC / CCO Holdings Capital         
Corp.  5.875%  5/1/27  14,255  15,110 
4 CCO Holdings LLC / CCO Holdings Capital         
Corp.  5.000%  2/1/28  25,000  26,094 
CenturyLink Inc.  5.625%  4/1/20  2,500  2,531 
CenturyLink Inc.  5.800%  3/15/22  10,107  10,688 
CenturyLink Inc.  6.750%  12/1/23  23,920  26,611 
CenturyLink Inc.  7.500%  4/1/24  17,708  20,076 
Charter Communications Operating LLC /         
Charter Communications Operating Capital  6.484%  10/23/45  4,215  5,176 
CSC Holdings LLC  6.750%  11/15/21  74,262  80,017 
4 CSC Holdings LLC  5.375%  7/15/23  26,366  27,025 
4 CSC Holdings LLC  10.875%  10/15/25  5,000  5,638 
4 CSC Holdings LLC  5.500%  5/15/26  142,685  150,533 
4 CSC Holdings LLC  5.500%  4/15/27  76,415  80,904 
DISH DBS Corp.  6.750%  6/1/21  152,345  160,343 
DISH DBS Corp.  5.875%  7/15/22  105,934  110,701 
DISH DBS Corp.  5.000%  3/15/23  43,776  44,050 
DISH DBS Corp.  5.875%  11/15/24  87,950  87,950 
DISH DBS Corp.  7.750%  7/1/26  107,230  108,838 
Embarq Corp.  7.995%  6/1/36  23,035  22,805 
Gannett Co. Inc.  6.375%  10/15/23  22,021  22,682 
4 Gray Escrow Inc.  7.000%  5/15/27  27,142  29,687 
4 Gray Television Inc.  5.125%  10/15/24  77,032  79,921 
4 Gray Television Inc.  5.875%  7/15/26  60,725  63,837 
Level 3 Financing Inc.  5.375%  8/15/22  55,038  55,176 
Level 3 Financing Inc.  5.625%  2/1/23  26,620  26,820 
Level 3 Financing Inc.  5.125%  5/1/23  36,380  36,835 
Netflix Inc.  5.375%  2/1/21  4,500  4,646 
Nokia Oyj  3.375%  6/12/22  41,636  42,104 
Nokia Oyj  4.375%  6/12/27  51,270  52,279 
Quebecor Media Inc.  5.750%  1/15/23  103,907  111,960 
Qwest Corp.  6.875%  9/15/33  25,162  25,322 
4 Sinclair Television Group Inc.  5.625%  8/1/24  15,715  16,186 
4 Sinclair Television Group Inc.  5.875%  3/15/26  90,410  94,478 
4 Sinclair Television Group Inc.  5.125%  2/15/27  57,340  58,057 
4 Sirius XM Radio Inc.  3.875%  8/1/22  43,500  44,424 
4 Sirius XM Radio Inc.  4.625%  7/15/24  55,185  57,530 
Sprint Capital Corp.  6.875%  11/15/28  99,215  107,648 
Sprint Capital Corp.  8.750%  3/15/32  33,969  41,442 
4 Sprint Communications Inc.  7.000%  3/1/20  73,700  74,713 
Sprint Corp.  7.875%  9/15/23  280,264  309,692 
Sprint Corp.  7.125%  6/15/24  70,886  77,000 
Sprint Corp.  7.625%  2/15/25  53,661  59,094 
T-Mobile USA Inc.  6.000%  4/15/24  17,553  18,211 
T-Mobile USA Inc.  5.125%  4/15/25  22,338  23,092 
T-Mobile USA Inc.  5.375%  4/15/27  102,055  109,709 
Telecom Italia Capital SA  6.375%  11/15/33  12,326  13,543 
Telecom Italia Capital SA  6.000%  9/30/34  33,530  35,793 
Telecom Italia Capital SA  7.721%  6/4/38  42,725  52,071 
4 Telecom Italia SpA  5.303%  5/30/24  6,555  7,062 

 

 

4  Telenet Finance Luxembourg Notes Sarl  5.500%  3/1/28  110,200  116,495 
  Time Warner Cable LLC  5.875%  11/15/40  2,050  2,358 
  Time Warner Cable LLC  5.500%  9/1/41  40,846  44,893 
4  Univision Communications Inc.  5.125%  5/15/23  17,900  17,900 
4  Univision Communications Inc.  5.125%  2/15/25  133,227  130,063 
4  UPC Holding BV  5.500%  1/15/28  20,000  20,375 
4  UPCB Finance IV Ltd.  5.375%  1/15/25  80,000  82,500 
3  Viacom Inc.  5.875%  2/28/57  82,651  85,544 
3  Viacom Inc.  6.250%  2/28/57  33,146  36,295 
  Videotron Ltd.  5.000%  7/15/22  113,654  119,621 
4  Videotron Ltd.  5.375%  6/15/24  12,673  13,750 
4  Videotron Ltd.  5.125%  4/15/27  5,000  5,281 
4  Virgin Media Finance plc  6.000%  10/15/24  58,255  60,076 
4  Virgin Media Secured Finance plc  5.500%  8/15/26  15,225  15,967 
4  Virgin Media Secured Finance plc  5.500%  5/15/29  72,780  77,147 
4  VTR Finance BV  6.875%  1/15/24  79,760  81,754 
4  WMG Acquisition Corp.  5.000%  8/1/23  26,706  27,307 
4  WMG Acquisition Corp.  4.875%  11/1/24  72,596  74,865 
4  WMG Acquisition Corp.  5.500%  4/15/26  90,226  94,850 
4,7 WMG Acquisition Corp.  3.625%  10/15/26  7,030  8,269 
  Zayo Group LLC / Zayo Capital Inc.  6.000%  4/1/23  107,300  110,251 
4  Ziggo BV  5.500%  1/15/27  67,005  70,272 
4  Ziggo BV  4.875%  1/15/30  21,665  21,965 
 
  Consumer Cyclical (12.5%)         
4  1011778 BC ULC / New Red Finance Inc.  4.250%  5/15/24  136,714  140,303 
4  1011778 BC ULC / New Red Finance Inc.  5.000%  10/15/25  115,010  118,748 
4  1011778 BC ULC / New Red Finance Inc.  3.875%  1/15/28  28,645  28,788 
4  Adient Global Holdings Ltd.  4.875%  8/15/26  149,047  117,747 
4  Adient US LLC  7.000%  5/15/26  17,845  18,782 
4  APX Group Inc.  8.875%  12/1/22  134,375  132,359 
5,6 Bass Pro Group, LLC Bank Loan, 1M USD         
  LIBOR + 5.000%  6.786%  12/15/23  63,058  60,347 
4  Cedar Fair LP  5.250%  7/15/29  31,623  33,678 
  Cedar Fair LP / Canada's Wonderland Co. /         
  Magnum Management Corp. / Millennium         
  Op  5.375%  4/15/27  27,005  28,760 
  Cedar Fair LP / Canada's Wonderland Co. /         
  Magnum Management Corp.  5.375%  6/1/24  15,675  16,106 
4  CRC Escrow Issuer LLC / CRC Finco Inc.  5.250%  10/15/25  203,306  207,626 
  Dana Holding Corp.  5.500%  12/15/24  34,460  35,321 
  Delta Merger Sub Inc.  6.000%  9/15/26  58,115  63,709 
4  FirstCash Inc.  5.375%  6/1/24  25,977  26,886 
  GLP Capital LP / GLP Financing II Inc.  5.250%  6/1/25  14,310  15,712 
  GLP Capital LP / GLP Financing II Inc.  5.375%  4/15/26  60,235  65,952 
  GLP Capital LP / GLP Financing II Inc.  5.300%  1/15/29  41,865  46,373 
  Goodyear Tire & Rubber Co.  5.125%  11/15/23  8,000  8,110 
  Goodyear Tire & Rubber Co.  5.000%  5/31/26  52,202  54,029 
  Goodyear Tire & Rubber Co.  4.875%  3/15/27  112,833  113,397 
4  Hanesbrands Inc.  4.625%  5/15/24  26,770  28,109 
4  Hanesbrands Inc.  4.875%  5/15/26  24,510  25,858 
  Hilton Domestic Operating Co. Inc.  4.250%  9/1/24  67,921  69,110 
  Hilton Domestic Operating Co. Inc.  5.125%  5/1/26  76,465  80,288 
  Hilton Worldwide Finance LLC / Hilton         
  Worldwide Finance Corp.  4.625%  4/1/25  105,130  108,021 
  Hilton Worldwide Finance LLC / Hilton         
  Worldwide Finance Corp.  4.875%  4/1/27  64,885  68,454 

 

 

4  Jack Ohio Finance LLC / Jack Ohio Finance 1         
  Corp.  6.750%  11/15/21  7,300  7,464 
4  Jacobs Entertainment Inc.  7.875%  2/1/24  26,555  28,148 
  KB Home  7.000%  12/15/21  7,810  8,386 
  KB Home  7.500%  9/15/22  6,935  7,819 
  KB Home  7.625%  5/15/23  41,775  47,206 
  KB Home  4.800%  11/15/29  12,085  12,191 
4  KFC Holding Co./Pizza Hut Holdings         
  LLC/Taco Bell of America LLC  5.000%  6/1/24  64,095  66,499 
4  KFC Holding Co./Pizza Hut Holdings         
  LLC/Taco Bell of America LLC  5.250%  6/1/26  29,156  30,760 
4  KFC Holding Co./Pizza Hut Holdings         
  LLC/Taco Bell of America LLC  4.750%  6/1/27  24,810  25,926 
  L Brands Inc.  6.694%  1/15/27  12,466  12,279 
  L Brands Inc.  5.250%  2/1/28  42,804  39,808 
  Lennar Corp.  4.125%  1/15/22  40,495  41,457 
  Lennar Corp.  4.875%  12/15/23  21,825  23,325 
  Lennar Corp.  4.500%  4/30/24  112,404  118,586 
  Lennar Corp.  5.875%  11/15/24  4,860  5,413 
  Lennar Corp.  5.250%  6/1/26  9,460  10,406 
  Lennar Corp.  5.000%  6/15/27  42,955  46,499 
  Lennar Corp.  4.750%  11/29/27  44,610  48,067 
4,7 LHMC Finco Sarl  6.250%  12/20/23  46,210  54,561 
4  LHMC Finco Sarl  7.875%  12/20/23  66,800  70,557 
4  Lithia Motors Inc.  5.250%  8/1/25  5,708  5,979 
  Meritage Homes Corp.  5.125%  6/6/27  17,560  18,921 
  MGM Growth Properties Operating         
  Partnership LP / MGP Finance Co-Issuer         
  Inc.  5.625%  5/1/24  5,000  5,513 
  MGM Resorts International  6.625%  12/15/21  40,997  44,328 
  MGM Resorts International  6.000%  3/15/23  12,554  13,841 
  MGM Resorts International  5.750%  6/15/25  50,000  55,500 
  MGM Resorts International  5.500%  4/15/27  45,055  49,504 
4  Panther BF Aggregator 2 LP / Panther         
  Finance Co. Inc.  6.250%  5/15/26  20,000  21,200 
4  Panther BF Aggregator 2 LP / Panther         
  Finance Co. Inc.  8.500%  5/15/27  17,505  17,636 
5,6 Panther BF Aggregator Bank Loan, 1M USD         
  LIBOR + 3.500%  5.300%  4/30/26  25,875  25,471 
4  Party City Holdings Inc.  6.125%  8/15/23  6,000  6,045 
4  PetSmart Inc.  5.875%  6/1/25  41,731  41,105 
  PulteGroup Inc.  5.500%  3/1/26  66,505  74,652 
  PulteGroup Inc.  5.000%  1/15/27  4,315  4,720 
  Service Corp. International  4.625%  12/15/27  33,435  34,940 
  Service Corp. International  5.125%  6/1/29  50,495  53,840 
  Toll Brothers Finance Corp.  5.875%  2/15/22  4,000  4,255 
  Toll Brothers Finance Corp.  4.375%  4/15/23  10,000  10,500 
  Toll Brothers Finance Corp.  4.875%  11/15/25  9,595  10,387 
  Toll Brothers Finance Corp.  4.875%  3/15/27  68,200  74,082 
  Toll Brothers Finance Corp.  3.800%  11/1/29  25,000  24,484 
  William Lyon Homes Inc.  7.000%  8/15/22  2,972  2,979 
  William Lyon Homes Inc.  5.875%  1/31/25  48,230  49,074 
4  Wynn Las Vegas LLC / Wynn Las Vegas         
  Capital Corp.  5.500%  3/1/25  117,416  124,754 
4  Wynn Las Vegas LLC / Wynn Las Vegas         
  Capital Corp.  5.250%  5/15/27  54,650  57,041 

 

 

4  Wynn Resorts Finance LLC / Wynn Resorts         
  Capital Corp.  5.125%  10/1/29  19,140  20,001 
4  Yum Brands Inc.  4.750%  1/15/30  14,455  15,160 
 
  Consumer Noncyclical (11.9%)         
  Aramark Services Inc.  5.125%  1/15/24  51,465  53,009 
4  Aramark Services Inc.  5.000%  4/1/25  54,020  56,248 
  Aramark Services Inc.  4.750%  6/1/26  48,420  49,752 
4  Aramark Services Inc.  5.000%  2/1/28  47,085  49,204 
4  Avantor Inc.  6.000%  10/1/24  30,000  32,062 
  B&G Foods Inc.  5.250%  4/1/25  38,900  39,727 
  B&G Foods Inc.  5.250%  9/15/27  70,975  70,798 
4  Bausch Health Americas Inc.  9.250%  4/1/26  17,325  19,707 
4  Bausch Health Cos. Inc.  6.500%  3/15/22  21,490  22,081 
4  Bausch Health Cos. Inc.  5.500%  3/1/23  2,066  2,087 
4  Bausch Health Cos. Inc.  5.875%  5/15/23  13,055  13,235 
4  Bausch Health Cos. Inc.  7.000%  3/15/24  38,315  40,135 
4  Bausch Health Cos. Inc.  5.500%  11/1/25  71,675  74,811 
4  Bausch Health Cos. Inc.  7.000%  1/15/28  18,060  19,505 
4  Bausch Health Cos. Inc.  7.250%  5/30/29  1,940  2,139 
4  Catalent Pharma Solutions Inc.  5.000%  7/15/27  21,270  22,280 
4  Change Healthcare Holdings LLC / Change         
  Healthcare Finance Inc.  5.750%  3/1/25  69,800  71,370 
4  Charles River Laboratories International Inc.  5.500%  4/1/26  21,738  23,260 
4  Charles River Laboratories International Inc.  4.250%  5/1/28  12,490  12,693 
  CHS/Community Health Systems Inc.  5.125%  8/1/21  15,235  15,197 
  CHS/Community Health Systems Inc.  6.875%  2/1/22  22,992  17,761 
  CHS/Community Health Systems Inc.  6.250%  3/31/23  120,190  117,185 
4  CHS/Community Health Systems Inc.  8.125%  6/30/24  37,651  28,803 
4,7 Darling Global Finance BV  3.625%  5/15/26  12,945  15,203 
4  Darling Ingredients Inc.  5.250%  4/15/27  25,305  26,634 
4,7 Diamond BC BV  5.625%  8/15/25  101,750  103,989 
4  Endo DAC / Endo Finance LLC / Endo Finco         
  Inc.  6.000%  2/1/25  64,855  40,859 
4  Endo Finance LLC / Endo Ltd. / Endo Finco         
  Inc.  6.000%  7/15/23  91,343  60,401 
  HCA Inc.  6.250%  2/15/21  36,347  38,073 
  HCA Inc.  7.500%  2/15/22  21,845  24,248 
  HCA Inc.  4.750%  5/1/23  27,500  29,391 
  HCA Inc.  5.875%  5/1/23  68,728  75,515 
  HCA Inc.  5.375%  2/1/25  66,825  73,424 
  HCA Inc.  5.250%  4/15/25  45,000  50,062 
  HCA Inc.  7.690%  6/15/25  4,510  5,446 
  HCA Inc.  5.875%  2/15/26  110,595  124,143 
  HCA Inc.  5.250%  6/15/26  31,895  35,643 
  HCA Inc.  5.625%  9/1/28  12,585  14,142 
  HCA Inc.  5.875%  2/1/29  13,700  15,515 
4  Hologic Inc.  4.375%  10/15/25  5,000  5,125 
4  Hologic Inc.  4.625%  2/1/28  18,855  19,727 
4  IQVIA Inc.  5.000%  5/15/27  51,620  54,717 
4,7 IQVIA Inc.  2.250%  1/15/28  41,670  47,485 
5,6 Lands' End, Inc. Bank Loan, 1M USD LIBOR         
  + 3.250%  5.036%  3/12/21  62,064  59,643 
  Mattel Inc.  4.350%  10/1/20  8,422  8,517 
  Mattel Inc.  2.350%  8/15/21  5,000  4,887 
4  MPH Acquisition Holdings LLC  7.125%  6/1/24  53,485  50,008 
4  Performance Food Group Inc.  5.500%  10/15/27  20,330  21,575 

 

 

4  Polaris Intermediate Corp.  8.500%  12/1/22  82,880  69,516 
4  Post Holdings Inc.  5.500%  3/1/25  56,995  59,631 
4  Post Holdings Inc.  5.000%  8/15/26  117,433  122,130 
4  Post Holdings Inc.  5.750%  3/1/27  37,091  39,409 
4  Post Holdings Inc.  5.625%  1/15/28  90,650  96,995 
4  Post Holdings Inc.  5.500%  12/15/29  16,000  16,840 
4  Quintiles IMS Inc.  5.000%  10/15/26  66,310  69,957 
  Revlon Consumer Products Corp.  5.750%  2/15/21  19,165  16,578 
  Revlon Consumer Products Corp.  6.250%  8/1/24  67,860  34,609 
5,6 Revlon Consumer Products Corp. Bank Loan,         
  1M USD LIBOR + 3.500%  5.604%  9/7/23  67  52 
5,6 Revlon Consumer Products Corp. Bank Loan,         
  1M USD LIBOR + 3.500%  5.624%  9/7/23  5,921  4,641 
5,6 Revlon Consumer Products Corp. Bank Loan,         
  1M USD LIBOR + 3.500%  5.624%  9/7/23  19,858  15,564 
4  Sterigenics-Nordion Holdings LLC  6.500%  5/15/23  62,435  63,840 
4  Sterigenics-Nordion Topco LLC  8.125%  11/1/21  24,400  24,339 
  Tenet Healthcare Corp.  4.625%  7/15/24  9,660  9,926 
  Teva Pharmaceutical Finance Co. BV  2.950%  12/18/22  13,080  11,903 
  Teva Pharmaceutical Finance Netherlands III         
  BV  2.200%  7/21/21  10,000  9,500 
  Teva Pharmaceutical Finance Netherlands III         
  BV  3.150%  10/1/26  87,800  66,179 
  Teva Pharmaceutical Finance Netherlands III         
  BV  6.750%  3/1/28  87,505  78,426 
  Teva Pharmaceutical Finance Netherlands III         
  BV  4.100%  10/1/46  10,000  6,850 
4  TreeHouse Foods Inc.  6.000%  2/15/24  70,000  72,625 
4  Valeant Pharmaceuticals International Inc.  9.000%  12/15/25  26,760  30,105 
4  Valeant Pharmaceuticals International Inc.  8.500%  1/31/27  48,400  54,389 
4  VRX Escrow Corp.  6.125%  4/15/25  154,710  160,705 
4  West Street Merger Sub Inc.  6.375%  9/1/25  133,245  126,916 
 
  Energy (9.4%)         
  AmeriGas Finance LLC / AmeriGas Finance         
  Corp.  5.625%  5/20/24  46,910  50,663 
  AmeriGas Finance LLC / AmeriGas Finance         
  Corp.  5.875%  8/20/26  46,910  51,953 
  AmeriGas Partners LP / AmeriGas Finance         
  Corp.  5.500%  5/20/25  21,659  23,229 
  AmeriGas Partners LP / AmeriGas Finance         
  Corp.  5.750%  5/20/27  59,170  64,791 
4  Blue Racer Midstream LLC / Blue Racer         
  Finance Corp.  6.125%  11/15/22  44,736  43,953 
4  Blue Racer Midstream LLC / Blue Racer         
  Finance Corp.  6.625%  7/15/26  24,310  22,669 
  Cheniere Corpus Christi Holdings LLC  7.000%  6/30/24  26,612  30,604 
  Cheniere Corpus Christi Holdings LLC  5.875%  3/31/25  39,084  43,334 
  Cheniere Corpus Christi Holdings LLC  5.125%  6/30/27  43,385  46,910 
4  Cheniere Energy Partners LP  4.500%  10/1/29  53,654  54,727 
  Chesapeake Energy Corp.  7.500%  10/1/26  31,450  19,814 
  Chesapeake Energy Corp.  8.000%  6/15/27  100,395  62,496 
4  DCP Midstream Operating LP  4.750%  9/30/21  26,924  27,328 
  DCP Midstream Operating LP  4.950%  4/1/22  45,799  47,287 
  DCP Midstream Operating LP  3.875%  3/15/23  31,988  32,388 
  DCP Midstream Operating LP  5.600%  4/1/44  26,895  25,281 
  Diamondback Energy Inc.  4.750%  11/1/24  5,895  6,057 

 

 

  Diamondback Energy Inc.  5.375%  5/31/25  37,860  39,469 
  Energy Transfer Operating LP  5.500%  6/1/27  41,716  46,845 
  Ferrellgas LP / Ferrellgas Finance Corp.  6.500%  5/1/21  82,009  69,298 
  Ferrellgas LP / Ferrellgas Finance Corp.  6.750%  1/15/22  16,317  13,747 
  Ferrellgas LP / Ferrellgas Finance Corp.  6.750%  6/15/23  26,720  22,512 
  Laredo Petroleum Inc.  5.625%  1/15/22  69,522  66,046 
  Laredo Petroleum Inc.  6.250%  3/15/23  90,158  81,142 
  Matador Resources Co.  5.875%  9/15/26  105,470  101,251 
4  MEG Energy Corp.  6.375%  1/30/23  30,650  29,194 
4  MEG Energy Corp.  7.000%  3/31/24  37,348  35,574 
4  MEG Energy Corp.  6.500%  1/15/25  97,700  101,608 
4  NGPL PipeCo LLC  4.375%  8/15/22  13,995  14,485 
4  NGPL PipeCo LLC  4.875%  8/15/27  16,650  17,774 
4  Noble Holding International Ltd.  7.875%  2/1/26  15,185  10,402 
4  Parsley Energy LLC / Parsley Finance Corp.  5.375%  1/15/25  47,585  48,656 
4  Parsley Energy LLC / Parsley Finance Corp.  5.250%  8/15/25  6,810  6,929 
  QEP Resources Inc.  6.800%  3/1/20  7,370  7,407 
  QEP Resources Inc.  5.375%  10/1/22  42,485  41,635 
  QEP Resources Inc.  5.250%  5/1/23  42,925  40,779 
4  Rockies Express Pipeline LLC  7.500%  7/15/38  38,048  42,091 
4  Rockies Express Pipeline LLC  6.875%  4/15/40  13,880  14,574 
  SM Energy Co.  6.125%  11/15/22  30,015  28,589 
  SM Energy Co.  5.000%  1/15/24  69,110  60,990 
  SM Energy Co.  5.625%  6/1/25  54,040  45,664 
  SM Energy Co.  6.750%  9/15/26  17,855  15,266 
  SM Energy Co.  6.625%  1/15/27  9,500  7,980 
  Sunoco LP / Sunoco Finance Corp.  4.875%  1/15/23  50,180  51,497 
  Sunoco LP / Sunoco Finance Corp.  5.500%  2/15/26  82,984  86,096 
  Sunoco LP / Sunoco Finance Corp.  6.000%  4/15/27  77,623  82,280 
  Sunoco LP / Sunoco Finance Corp.  5.875%  3/15/28  18,335  19,343 
4  Tallgrass Energy Partners LP / Tallgrass         
  Energy Finance Corp.  4.750%  10/1/23  66,577  65,245 
4  Tallgrass Energy Partners LP / Tallgrass         
  Energy Finance Corp.  5.500%  9/15/24  24,498  23,886 
4  Tallgrass Energy Partners LP / Tallgrass         
  Energy Finance Corp.  5.500%  1/15/28  84,770  79,684 
  Targa Resources Partners LP / Targa         
  Resources Partners Finance Corp.  5.125%  2/1/25  10,000  10,250 
4  Targa Resources Partners LP / Targa         
  Resources Partners Finance Corp.  6.875%  1/15/29  37,470  40,280 
3,4 Transocean Guardian Ltd.  5.875%  1/15/24  52,040  52,040 
3,4 Transocean Phoenix 2 Ltd.  7.750%  10/15/24  21,021  21,809 
3,4 Transocean Pontus Ltd.  6.125%  8/1/25  41,993  41,888 
3,4 Transocean Proteus Ltd.  6.250%  12/1/24  25,944  26,009 
4  Vine Oil & Gas LP / Vine Oil & Gas Finance         
  Corp.  8.750%  4/15/23  62,530  24,387 
  Whiting Petroleum Corp.  6.625%  1/15/26  106,234  65,865 
  WPX Energy Inc.  5.250%  9/15/24  112,100  113,221 
  WPX Energy Inc.  5.750%  6/1/26  11,975  12,035 
 
  Other Industrial (0.7%)         
4  Brand Energy & Infrastructure Services Inc.  8.500%  7/15/25  104,430  101,428 
5,6 Core & Main LP Bank Loan, 1M USD LIBOR         
  + 3.000%  4.761%  8/1/24  1,641  1,604 
5,6 Core & Main LP Bank Loan, 1M USD LIBOR         
  + 3.000%  4.761%  8/1/24  4,052  3,960 

 

 

5,6 Core & Main LP Bank Loan, 1M USD LIBOR         
  + 3.000%  4.882%  8/1/24  3,646  3,564 
4  KAR Auction Services Inc.  5.125%  6/1/25  73,923  76,880 
 
  Technology (8.9%)         
  Alcatel-Lucent USA Inc.  6.500%  1/15/28  56,315  58,145 
  Alcatel-Lucent USA Inc.  6.450%  3/15/29  88,747  91,853 
  CDK Global Inc.  5.000%  10/15/24  6,015  6,496 
  CDK Global Inc.  5.875%  6/15/26  29,700  31,779 
  CDK Global Inc.  4.875%  6/1/27  22,545  23,757 
4  CDK Global Inc.  5.250%  5/15/29  25,050  26,647 
  CDW LLC / CDW Finance Corp.  5.500%  12/1/24  20,655  22,979 
  CDW LLC / CDW Finance Corp.  5.000%  9/1/25  31,255  32,661 
  CDW LLC / CDW Finance Corp.  4.250%  4/1/28  92,250  95,594 
4  Dun & Bradstreet Corp.  6.875%  8/15/26  32,229  35,210 
5,6 Dun & Bradstreet Corp. Bank Loan, 1M USD         
  LIBOR + 5.000%  6.804%  2/8/26  103,345  103,571 
4  Entegris Inc.  4.625%  2/10/26  5,000  5,162 
7  Equinix Inc.  2.875%  2/1/26  102,180  118,460 
  Equinix Inc.  5.375%  5/15/27  47,030  51,028 
5,6 Grizzly Acquisitions Inc. Bank Loan  5.349%  10/1/25  23,463  23,072 
  Infor US Inc.  6.500%  5/15/22  97,200  98,658 
4  Iron Mountain Inc.  4.375%  6/1/21  14,300  14,461 
  Iron Mountain Inc.  5.750%  8/15/24  28,364  28,648 
4  Iron Mountain Inc.  4.875%  9/15/27  28,670  29,530 
4  Iron Mountain Inc.  4.875%  9/15/29  68,270  69,635 
5,6 Microchip Technology Inc. Bank Loan, 1M         
  USD LIBOR + 2.000%  3.790%  5/24/25  20,725  20,777 
4  MSCI Inc.  5.250%  11/15/24  23,975  24,634 
4  MSCI Inc.  5.750%  8/15/25  62,816  65,957 
4  MSCI Inc.  4.750%  8/1/26  10,330  10,808 
4  MSCI Inc.  5.375%  5/15/27  28,181  30,189 
  Nokia Oyj  6.625%  5/15/39  123,574  140,874 
4  Open Text Corp.  5.625%  1/15/23  57,998  59,230 
4  Open Text Corp.  5.875%  6/1/26  81,555  87,060 
  Pitney Bowes Inc.  4.625%  5/15/22  5,610  5,624 
  Pitney Bowes Inc.  5.200%  4/1/23  76,725  75,958 
  Pitney Bowes Inc.  4.625%  3/15/24  17,215  16,139 
  Qorvo Inc.  5.500%  7/15/26  65,125  69,521 
4  Qorvo Inc.  4.375%  10/15/29  81,508  81,916 
4  Sensata Technologies BV  4.875%  10/15/23  10,000  10,562 
4  Sensata Technologies BV  5.625%  11/1/24  19,290  21,074 
4  Sensata Technologies BV  5.000%  10/1/25  52,750  56,838 
4  Sensata Technologies UK Financing Co. plc  6.250%  2/15/26  49,705  53,060 
5,6 SS&C Technologies Holdings Inc. Bank Loan,         
  1M USD LIBOR + 2.250%  4.036%  4/16/25  20,445  20,467 
5,6 SS&C Technologies Holdings Inc. Bank Loan,         
  1M USD LIBOR + 2.250%  4.036%  4/16/25  31,319  31,353 
5,6 SS&C Technologies Holdings Inc. Bank Loan,         
  1M USD LIBOR + 2.250%  4.036%  4/16/25  18,833  18,867 
4  SS&C Technologies Inc.  5.500%  9/30/27  130,305  138,938 
  Symantec Corp.  3.950%  6/15/22  11,455  11,756 
4  Symantec Corp.  5.000%  4/15/25  108,631  111,347 
  Western Digital Corp.  4.750%  2/15/26  78,703  80,474 
  Xerox Corp.  2.800%  5/15/20  11,685  11,641 
  Xerox Corp.  2.750%  9/1/20  7,000  6,965 
  Xerox Corp.  4.125%  3/15/23  71,975  73,651 

 

 

Xerox Corp.  4.800%  3/1/35  24,564  20,764 
Xerox Corp.  6.750%  12/15/39  13,400  13,437 
 
Transportation (0.2%)         
Avis Budget Car Rental LLC / Avis Budget         
Finance Inc.  5.500%  4/1/23  17,496  17,802 
4 Avis Budget Car Rental LLC / Avis Budget         
Finance Inc.  6.375%  4/1/24  32,663  34,051 
        20,382,055 
Utilities (1.5%)         
Electric (1.5%)         
AES Corp.  4.500%  3/15/23  59,805  61,151 
AES Corp.  4.875%  5/15/23  21,494  21,816 
AES Corp.  5.500%  4/15/25  5,475  5,694 
AES Corp.  6.000%  5/15/26  5,920  6,320 
AES Corp.  5.125%  9/1/27  58,610  62,566 
AES Corp.  4.000%  3/15/21  20,000  20,325 
4 NextEra Energy Operating Partners LP  4.250%  7/15/24  39,739  40,931 
4 NextEra Energy Operating Partners LP  4.250%  9/15/24  38,850  40,016 
4 NextEra Energy Operating Partners LP  3.875%  10/15/26  104,720  105,192 
4 NextEra Energy Operating Partners LP  4.500%  9/15/27  24,185  24,820 
        388,831 
Total Corporate Bonds (Cost $23,424,713)        23,791,309 
Sovereign Bonds (0.7%)         
4 DAE Funding LLC  4.000%  8/1/20  7,170  7,214 
4 DAE Funding LLC  5.250%  11/15/21  26,185  27,265 
4 DAE Funding LLC  4.500%  8/1/22  52,168  52,951 
4 DAE Funding LLC  5.750%  11/15/23  2,500  2,619 
4 DAE Funding LLC  5.000%  8/1/24  80,610  84,237 
Total Sovereign Bonds (Cost $172,285)        174,286 
      Shares   
Preferred Stocks (0.5%)         
GMAC Capital Trust I Pfd. (Cost $123,777)  8.303%    4,743,200  125,410 
Common Stocks (0.2%)         
Utilities (0.2%)         
§ Homer City Generation LP      2,020,431  41,520 
Total Common Stocks (Cost $41,520)        41,520 
      Face   
    Maturity  Amount   
  Coupon  Date  ($000)   
Temporary Cash Investments (4.0%)         
Repurchase Agreements (4.0%)         
Bank of America Securities, LLC         
(Dated 10/31/19, Repurchase Value         
$103,805,000, collateralized by         
Government National Mortgage Assn.         
4.500%, 4/20/47, with a value of         
$105,876,000)  1.750%  11/1/19  103,800  103,800 
Credit Agricole Securities (USA) Inc.         
(Dated 10/31/19, Repurchase Value         
$250,012,000, collateralized by U.S.         
Treasury Note/Bond 3.625%, 2/15/44, with         
a value of $255,000,000)  1.720%  11/1/19  250,000  250,000 

 

 

JP Morgan Securities LLC         
(Dated 10/31/19, Repurchase Value         
$322,015,000, collateralized by U.S.         
Treasury Note/Bond 3.000%-4.625%,         
2/15/36-11/15/45, with a value of         
$328,440,000)  1.730%  11/1/19  322,000  322,000 
RBC Dominion Securities Inc.         
(Dated 10/31/19, Repurchase Value         
$209,310,000, collateralized by Federal         
National Mortgage Assn. 3.000%-5.000%,         
11/1/32-10/1/49, Federal Home Loan         
Mortgage Corp. 3.000%-5.000%, 9/1/44-         
8/1/49, with a value of $213,486,000)  1.730%  11/1/19  209,300  209,300 
TD Securities (USA) LLC         
(Dated 10/31/19, Repurchase Value         
$176,809,000, collateralized by Federal         
National Mortgage Assn. 3.500%-4.000%,         
5/1/47-9/1/49, with a value of         
$180,336,000)  1.750%  11/1/19  176,800  176,800 
Total Temporary Cash Investments (Cost $1,061,900)        1,061,900 
Total Investments (99.9%) (Cost $25,821,772)        26,194,153 
Other Assets and Liabilities-Net (0.1%)        37,902 
Net Assets (100%)        26,232,055 

§ Security value determined using significant unobservable inputs.
1 Securities with a value of $3,689,000 have been segregated as collateral for open forward currency contracts.
2 Securities with a value of $6,845,000 have been segregated as initial margin for open centrally cleared swap
contracts.
3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim
principal payments and prepayments or the possibility of the issue being called.
4 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2019, the
aggregate value of these securities was $11,154,446,000, representing 42.5% of net assets.
5 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and
private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At October
31, 2019, the aggregate value of these securities was $549,819,000, representing 2.1% of net assets.
6 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not
based on a published reference rate and spread but are determined by the issuer or agent based on current
market conditions.
7 Face amount denominated in euro.
8 Face amount denominated in British pounds.
LIBOR—London Interbank Offered Rate.

 

Derivative Financial Instruments Outstanding as of Period End       
 
Forward Currency Contracts             
 
         
  Contract          Unrealized  Unrealized  
  Settlement      Contract Amount (000)  Appreciation  (Depreciation) 
Counterpar               
ty  Date    Receive    Deliver  ($000)  ($000) 
Citibank,               
N.A.  11/29/19  USD  486,989  EUR  438,078  —  (2,519) 
Bank of               
America,               
N.A.  11/29/19  USD  6,030  EUR  5,418  —  (24) 
Barclays               
Bank plc  11/29/19  USD  4,439  GBP  3,455  —  (40) 

 

 

High-Yield Corporate Fund           
 
 
 
        —  (2,583) 
EUR—euro.           
GBP—British pound.           
USD—U.S. dollar.           
 
Centrally Cleared Credit Default Swaps         
      Periodic     
      Premium    Unrealized 
      Received    Appreciation 
  Termination  Notional Amount  (Paid)1  Value  (Depreciation) 
Reference Entity  Date  (000)  (%)  ($000)  ($000) 
Credit Protection Sold           
 
CDX-NA-HY-S33-V1  12/20/24  USD 121,775  5.000  8,661  1,580 

 

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit
protection if the reference entity was subject to a credit event.

1 Periodic premium received/paid quarterly.
USD—U.S. dollar.

A. Security Valuation: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4 p.m., Eastern time) on the
valuation date. Bonds and temporary cash investments are valued using the
latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and
ratings), both as furnished by independent pricing services. Structured
debt securities, including mortgages and asset-backed securities, are
valued using the latest bid prices or using valuations based on a matrix
system that considers such factors as issuer, tranche, nominal or option-
adjusted spreads, weighted average coupon, weighted average maturity,
credit enhancements, and collateral. Equity securities are valued at the
latest quoted sales prices or official closing prices taken from the
primary market in which each security trades; such securities not traded on
the valuation date are valued at the mean of the latest quoted bid and
asked prices. Securities for which market quotations are not readily
available, or whose values have been affected by events occurring before
the fund's pricing time but after the close of the securities’ primary
markets, are valued at their fair values calculated according to procedures
adopted by the board of trustees. These procedures include obtaining
quotations from an independent pricing service, monitoring news to identify
significant market- or security-specific events, and evaluating changes in
the values of foreign market proxies (for example, ADRs, futures contracts,
or exchange-traded funds), between the time the foreign markets close and
the fund's pricing time. When fair-value pricing is employed, the prices of
securities used by a fund to calculate its net asset value may differ from
quoted or published prices for the same securities.

B. Foreign Currency: Securities and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using

 

High-Yield Corporate Fund

exchange rates obtained from an independent third party as of the fund's
pricing time on the valuation date. Realized gains (losses) and unrealized
appreciation (depreciation) on investment securities include the effects of
changes in exchange rates since the securities were purchased, combined
with the effects of changes in security prices. Fluctuations in the value
of other assets and liabilities resulting from changes in exchange rates
are recorded as unrealized foreign currency gains (losses) until the assets
or liabilities are settled in cash, at which time they are recorded as
realized foreign currency gains (losses).

C. Forward Currency Contracts: The fund enters into forward currency
contracts to protect the value of securities and related receivables and
payables against changes in future foreign exchange rates. The fund's risks
in using these contracts include movement in the values of the foreign
currencies relative to the U.S. dollar and the ability of the
counterparties to fulfill their obligations under the contracts. The fund
mitigates its counterparty risk by entering into forward currency contracts
only with a diverse group of prequalified counterparties, monitoring their
financial strength, entering into master netting arrangements with its
counterparties, and requiring its counterparties to transfer collateral as
security for their performance. In the absence of a default, the collateral
pledged or received by the fund cannot be repledged, resold, or
rehypothecated. The master netting arrangements provide that, in the event
of a counterparty’s default (including bankruptcy), the fund may terminate
the forward currency contracts, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or
retain any collateral held up to the net amount owed to the fund under the
master netting arrangements. The forward currency contracts contain
provisions whereby a counterparty may terminate open contracts if the
fund's net assets decline below a certain level, triggering a payment by
the fund if the fund is in a net liability position at the time of the
termination. The payment amount would be reduced by any collateral the fund
has pledged. Any assets pledged as collateral for open contracts are noted
in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the forward currency contracts exposure
with each counterparty, and any difference, if in excess of a specified
minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained
from an independent third party, adjusted for currency risk based on the
expiration date of each contract. The notional amounts of the contracts are
not recorded in the Schedule of Investments. Fluctuations in the value of
the contracts are recorded as an asset (liability).

D. Swap Contracts: The fund invests in credit default swaps to adjust the
overall credit risk of the fund or to actively overweight or underweight
credit risk to a specific issuer or group of issuers. The fund may sell
credit protection through credit default swaps to simulate investments in
long positions that are either unavailable or considered to be less
attractively priced in the bond market. The fund may purchase credit
protection through credit default swaps to reduce credit exposure to a
given issuer or issuers. Under the terms of the swaps, an up-front payment

 

High-Yield Corporate Fund

may be exchanged between the seller and buyer. In addition, the seller of
the credit protection receives a periodic payment of premium from the buyer
that is a fixed percentage applied to a notional amount. If, for example,
the reference entity is subject to a credit event (such as bankruptcy,
failure to pay, or obligation acceleration) during the term of the swap,
the seller agrees to either physically settle or cash settle the swap
contract. If the swap is physically settled, the seller agrees to pay the
buyer an amount equal to the notional amount and take delivery of a debt
instrument of the reference issuer with a par amount equal to such notional
amount. If the swap is cash settled, the seller agrees to pay the buyer the
difference between the notional amount and the final price for the relevant
debt instrument, as determined either in a market auction or pursuant to a
pre-agreed-upon valuation procedure.

The notional amounts of swap contracts are not recorded in the Schedule of
Investments. Swaps are valued daily based on market quotations received
from independent pricing services or recognized dealers and the change in
value is recorded as an asset (liability) and as unrealized appreciation
(depreciation) until the seller of credit protection is required to take
delivery (or, in a cash settled swap, pay the settlement amount determined)
upon occurrence of a credit event, periodic payments are made, or the swap
terminates, at which time realized gain (loss) is recorded. The net premium
to be received or paid by the fund under swap contracts is accrued daily
and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon
the occurrence of a defined credit event, the market value of the debt
instrument received by the fund (or, in a cash settled swap, the debt
instruments used to determine the settlement payment by the fund) will be
significantly less than the amount paid by the fund and, in a physically
settled swap, the fund may receive an illiquid debt instrument. A risk
associated with all types of swaps is the possibility that a counterparty
may default on its obligation to pay net amounts due to the fund. The
fund's maximum amount subject to counterparty risk is the unrealized
appreciation on the swap contract. The fund mitigates its counterparty risk
by entering into swaps only with a diverse group of prequalified
counterparties, monitoring their financial strength, entering into master
netting arrangements with its counterparties, and requiring its
counterparties to transfer collateral as security for their performance. In
the absence of a default, the collateral pledged or received by the fund
cannot be repledged, resold, or rehypothecated. In the event of a
counterparty’s default (including bankruptcy), the fund may terminate any
swap contracts with that counterparty, determine the net amount owed by
either party in accordance with its master netting arrangements, and sell
or retain any collateral held up to the net amount owed to the fund under
the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net
assets decline below a certain level, triggering a payment by the fund if
the fund is in a net liability position at the time of the termination. The
payment amount would be reduced by any collateral the fund has pledged. Any
securities pledged as collateral for open contracts are noted in the
Schedule of Investments. The value of collateral received or pledged is

 

High-Yield Corporate Fund

compared daily to the value of the swap contracts exposure with each
counterparty, and any difference, if in excess of a specified minimum
transfer amount, is adjusted and settled within two business days.

The fund enters into centrally cleared credit default swaps to achieve the
same objectives specified with respect to the equivalent over-the-counter
swaps but with less counterparty risk because a regulated clearinghouse is
the counterparty instead of the clearing broker or executing broker. The
clearinghouse imposes initial margin requirements to secure the fund's
performance, and requires daily settlement of variation margin representing
changes in the market value of each contract. To further mitigate
counterparty risk, the fund trades with a diverse group of prequalified
executing brokers; monitors the financial strength of its clearing brokers,
executing brokers and clearinghouse; and has entered into agreements with
its clearing brokers and executing brokers.

E. Repurchase Agreements: The fund enters into repurchase agreements with
institutional counterparties. Securities pledged as collateral to the fund
under repurchase agreements are held by a custodian bank until the
agreements mature, and in the absence of a default, such collateral cannot
be repledged, resold, or rehypothecated. Each agreement requires that the
market value of the collateral be sufficient to cover payments of interest
and principal. The fund further mitigates its counterparty risk by entering
into repurchase agreements only with a diverse group of prequalified
counterparties, monitoring their financial strength, and entering into
master repurchase agreements with its counterparties. The master repurchase
agreements provide that, in the event of a counterparty's default
(including bankruptcy), the fund may terminate any repurchase agreements
with that counterparty, determine the net amount owed, and sell or retain
the collateral up to the net amount owed to the fund. Such action may be
subject to legal proceedings, which may delay or limit the disposition of
collateral.

F. Various inputs may be used to determine the value of the fund's
investments. These inputs are summarized in three broad levels for
financial statement purposes. The inputs or methodologies used to value
securities are not necessarily an indication of the risk associated with
investing in those securities.

Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments). Any
investments valued with significant unobservable inputs are noted on the
Schedule of Investments.

The following table summarizes the market value of the fund's investments
and derivatives as of October 31, 2019, based on the inputs used to value
them:

  Level 1  Level 2  Level 3 
Investments  ($000)  ($000)  ($000) 

 

 

High-Yield Corporate Fund       
 
 
U.S. Government and Agency Obligations  —  999,728  — 
Corporate Bonds  —  23,791,309  — 
Sovereign Bonds  —  174,286  — 
Preferred Stocks  —  125,410  — 
Common Stocks  —  —  41,520 
Temporary Cash Investments  —  1,061,900  — 
Forward Currency Contracts—Liabilities  —  (2,583)  — 
Swap Contracts—Liabilities1  (324)  —  — 
Total  (324)  26,150,050  41,520 
1 Represents variation margin on the last day of the reporting period.