Eaton Vance

Limited Duration Income Fund

December 31, 2020

PORTFOLIO OF INVESTMENTS (Unaudited)

Asset-Backed Securities — 7.8%

Security	Principal Amount (000’s omitted)		Value
Alinea CLO, Ltd.
Series 2018-1A, Class E, 6.218%, (3 mo. USD LIBOR + 6.00%), 7/20/31(1)(2)	$	1,000	$	950,622
AMMC CLO 15, Ltd.
Series 2014-15A, Class ERR, 7.147%, (3 mo. USD LIBOR + 6.91%), 1/15/32(1)(2)		500		490,819
AMMC CLO XII, Ltd.
Series 2013-12A, Class ER, 6.386%, (3 mo. USD LIBOR + 6.18%), 11/10/30(1)(2)		2,000		1,733,906
Ares LII CLO, Ltd.
Series 2019-52A, Class E, 6.766%, (3 mo. USD LIBOR + 6.55%), 4/22/31(1)(2)		1,000		1,000,797
Ares XL CLO, Ltd.
Series 2016-40A, Class DR, 6.587%, (3 mo. USD LIBOR + 6.35%), 1/15/29(1)(2)		1,000		977,262
Ares XXXIV CLO, Ltd.
Series 2015-2A, Class ER, 7.068%, (3 mo. USD LIBOR + 6.85%), 4/17/33(1)(2)		2,000		1,993,906
Ares XXXVR CLO, Ltd.
Series 2015-35RA, Class E, 5.937%, (3 mo. USD LIBOR + 5.70%), 7/15/30(1)(2)		2,000		1,919,706
Babson CLO, Ltd.
Series 2016-1A, Class ER, 6.209%, (3 mo. USD LIBOR + 6.00%), 7/23/30(1)(2)		1,000		967,896
Bain Capital Credit CLO, Ltd.
Series 2017-2A, Class E, 6.565%, (3 mo. USD LIBOR + 6.35%), 7/25/30(1)(2)		2,000		1,979,512
Bardot CLO, Ltd.
Series 2019-2A, Class E, 7.166%, (3 mo. USD LIBOR + 6.95%), 10/22/32(1)(2)		1,850		1,870,533
Benefit Street Partners CLO XVI, Ltd.
Series 2018-16A, Class E, 6.918%, (3 mo. USD LIBOR + 6.70%), 1/17/32(1)(2)		3,000		2,981,598
Benefit Street Partners CLO XVII, Ltd.
Series 2019-17A, Class E, 6.837%, (3 mo. USD LIBOR + 6.60%), 7/15/32(1)(2)		3,000		2,968,398
Benefit Street Partners CLO XVIII, Ltd.
Series 2019-18A, Class E, 7.137%, (3 mo. USD LIBOR + 6.90%), 10/15/32(1)(2)		4,500		4,486,954
BlueMountain CLO XXIV, Ltd.
Series 2019-24A, Class E, 6.978%, (3 mo. USD LIBOR + 6.76%), 4/20/31(1)(2)		1,000		1,001,016
BlueMountain CLO XXV, Ltd.
Series 2019-25A, Class E, 6.937%, (3 mo. USD LIBOR + 6.70%), 7/15/32(1)(2)		4,500		4,508,973
BlueMountain CLO XXVI, Ltd.
Series 2019-26A, Class E, 7.918%, (3 mo. USD LIBOR + 7.70%), 10/20/32(1)(2)		6,500		6,547,933
BlueMountain CLO, Ltd.
Series 2016-3A, Class ER, 6.171%, (3 mo. USD LIBOR + 5.95%), 11/15/30(1)(2)		2,000		1,829,108
Series 2018-1A, Class E, 6.164%, (3 mo. USD LIBOR + 5.95%), 7/30/30(1)(2)		1,000		914,510
Canyon Capital CLO, Ltd.
Series 2016-2A, Class ER, 6.237%, (3 mo. USD LIBOR + 6.00%), 10/15/31(1)(2)		3,350		3,141,037
Series 2019-2A, Class E, 7.387%, (3 mo. USD LIBOR + 7.15%), 10/15/32(1)(2)		1,000		1,001,840
Carlyle Global Market Strategies CLO, Ltd.
Series 2012-3A, Class DR2, 6.724%, (3 mo. USD LIBOR + 6.50%), 1/14/32(1)(2)		2,000		1,865,208
Series 2014-4RA, Class D, 5.887%, (3 mo. USD LIBOR + 5.65%), 7/15/30(1)(2)		1,250		1,060,168
Series 2015-5A, Class DR, 6.918%, (3 mo. USD LIBOR + 6.70%), 1/20/32(1)(2)		1,000		932,376
Cedar Funding X CLO, Ltd.
Series 2019-10A, Class E, 7.218%, (3 mo. USD LIBOR + 7.00%), 10/20/32(1)(2)		1,500		1,503,065

1

Security	Principal Amount (000’s omitted)		Value
Cent CLO 17, Ltd.
Series C17A, Class DR, 6.214%, (3 mo. USD LIBOR + 6.00%), 4/30/31(1)(2)	$	1,750	$	1,645,675
Cole Park CLO, Ltd.
Series 2015-1A, Class ER, 6.818%, (3 mo. USD LIBOR + 6.60%), 10/20/28(1)(2)		2,000		1,965,845
Dryden Senior Loan Fund
Series 2015-41A, Class ER, 5.537%, (3 mo. USD LIBOR + 5.30%), 4/15/31(1)(2)		2,000		1,863,048
Series 2016-42A, Class ER, 5.787%, (3 mo. USD LIBOR + 5.55%), 7/15/30(1)(2)		1,000		955,856
FOCUS Brands Funding, LLC
Series 2017-1A, Class A2I, 3.857%, 4/30/47(1)		1,563		1,569,069
Fort Washington CLO, Ltd.
Series 2019-1A, Class E, 7.468%, (3 mo. USD LIBOR + 7.25%), 10/20/32(1)(2)		1,500		1,503,719
Galaxy XIX CLO, Ltd.
Series 2015-19A, Class D2R, 7.215%, (3 mo. USD LIBOR + 7.00%), 7/24/30(1)(2)		1,600		1,540,221
Galaxy XV CLO, Ltd.
Series 2013-15A, Class ER, 6.882%, (3 mo. USD LIBOR + 6.65%), 10/15/30(1)(2)		3,275		3,121,136
Galaxy XXI CLO, Ltd.
Series 2015-21A, Class ER, 5.468%, (3 mo. USD LIBOR + 5.25%), 4/20/31(1)(2)		1,100		1,016,339
Galaxy XXV CLO, Ltd.
Series 2018-25A, Class E, 6.165%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2)		1,000		948,164
Golub Capital Partners CLO 37B, Ltd.
Series 2018-37A, Class E, 5.968%, (3 mo. USD LIBOR + 5.75%), 7/20/30(1)(2)		3,000		2,737,045
Kayne CLO 5, Ltd.
Series 2019-5A, Class E, 6.915%, (3 mo. USD LIBOR + 6.70%), 7/24/32(1)(2)		4,550		4,561,166
Madison Park Funding XVII, Ltd.
Series 2015-17A, Class ER, 6.709%, (3 mo. USD LIBOR + 6.50%), 7/21/30(1)(2)		2,000		1,990,920
Madison Park Funding XXXVI, Ltd.
Series 2019-36A, Class E, 7.487%, (3 mo. USD LIBOR + 7.25%), 1/15/33(1)(2)		1,500		1,508,280
Madison Park Funding XXXVII, Ltd.
Series 2019-37A, Class E, 6.787%, (3 mo. USD LIBOR + 6.55%), 7/15/32(1)(2)		5,500		5,505,736
Magnetite XXII, Ltd.
Series 2019-22A, Class E, 6.987%, (3 mo. USD LIBOR + 6.75%), 4/15/31(1)(2)		1,500		1,502,209
Magnetite XXIV, Ltd.
Series 2019-24A, Class E, 7.187%, (3 mo. USD LIBOR + 6.95%), 1/15/33(1)(2)		3,000		3,019,076
MVW Owner Trust
Series 2014-1A, Class A, 2.25%, 9/22/31(1)		239		239,444
Neuberger Berman CLO XXII, Ltd.
Series 2016-22A, Class ER, 6.278%, (3 mo. USD LIBOR + 6.06%), 10/17/30(1)(2)		1,500		1,465,152
Neuberger Berman Loan Advisers CLO 30, Ltd.
Series 2018-30A, Class E, 6.968%, (3 mo. USD LIBOR + 6.75%), 1/20/31(1)(2)		2,000		2,000,436
Neuberger Berman Loan Advisers CLO 31, Ltd.
Series 2019-31A, Class E, 6.968%, (3 mo. USD LIBOR + 6.75%), 4/20/31(1)(2)		1,000		1,001,349
Neuberger Berman Loan Advisers CLO 33, Ltd.
Series 2019-33A, Class E, 7.03%, (3 mo. USD LIBOR + 6.80%), 10/16/32(1)(2)		2,250		2,256,982
Oaktree CLO, Ltd.
Series 2019-3A, Class E, 6.988%, (3 mo. USD LIBOR + 6.77%), 7/20/31(1)(2)		3,625		3,478,329
Palmer Square CLO, Ltd.
Series 2013-2A, Class DRR, 6.068%, (3 mo. USD LIBOR + 5.85%), 10/17/31(1)(2)		2,000		1,952,710
Series 2018-2A, Class D, 5.83%, (3 mo. USD LIBOR + 5.60%), 7/16/31(1)(2)		1,000		964,797
Series 2019-1A, Class D, 7.221%, (3 mo. USD LIBOR + 7.00%), 11/14/32(1)(2)		2,000		2,012,827
Regatta IX Funding, Ltd.
Series 2017-1A, Class E, 6.218%, (3 mo. USD LIBOR + 6.00%), 4/17/30(1)(2)		450		442,137
Regatta XII Funding, Ltd.
Series 2019-1A, Class E, 7.087%, (3 mo. USD LIBOR + 6.85%), 10/15/32(1)(2)		2,000		1,999,562

2

Security	Principal Amount (000’s omitted)		Value
Regatta XIII Funding, Ltd.
Series 2018-2A, Class D, 6.187%, (3 mo. USD LIBOR + 5.95%), 7/15/31(1)(2)	$	2,000	$	1,888,105
Regatta XIV Funding, Ltd.
Series 2018-3A, Class E, 6.165%, (3 mo. USD LIBOR + 5.95%), 10/25/31(1)(2)		1,000		970,486
Regatta XVI Funding, Ltd.
Series 2019-2A, Class E, 7.237%, (3 mo. USD LIBOR + 7.00%), 1/15/33(1)(2)		1,800		1,803,011
Southwick Park CLO, LLC
Series 2019-4A, Class E, 6.918%, (3 mo. USD LIBOR + 6.70%), 7/20/32(1)(2)		6,000		6,014,326
Vibrant CLO IX, Ltd.
Series 2018-9A, Class D, 6.468%, (3 mo. USD LIBOR + 6.25%), 7/20/31(1)(2)		1,000		910,910
Vibrant CLO XI, Ltd.
Series 2019-11A, Class D, 6.988%, (3 mo. USD LIBOR + 6.77%), 7/20/32(1)(2)		575		532,429
Voya CLO, Ltd.
Series 2015-3A, Class DR, 6.418%, (3 mo. USD LIBOR + 6.20%), 10/20/31(1)(2)		3,000		2,751,921
Series 2016-3A, Class DR, 6.298%, (3 mo. USD LIBOR + 6.08%), 10/18/31(1)(2)		1,400		1,276,104
Series 2019-4A, Class E, 7.717%, (3 mo. USD LIBOR + 7.48%), 1/15/33(1)(2)		3,000		3,004,989
Wellfleet CLO, Ltd.
Series 2020-1A, Class D, 7.477%, (3 mo. USD LIBOR + 7.24%), 4/15/33(1)(2)		2,000		2,013,214
Total Asset-Backed Securities (identified cost $125,555,457)			$	124,559,867
Closed-End Funds — 1.6%
Security	Shares		Value
BlackRock Corporate High Yield Fund, Inc.		2,188,579	$	25,015,458
Total Closed-End Funds (identified cost $26,361,519)			$	25,015,458
Collateralized Mortgage Obligations — 13.1%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 24, Class J, 6.25%, 11/25/23	$	102	$	108,192
Series 1497, Class K, 7.00%, 4/15/23		77		82,071
Series 1529, Class Z, 7.00%, 6/15/23		144		154,066
Series 1620, Class Z, 6.00%, 11/15/23		86		90,909
Series 1677, Class Z, 7.50%, 7/15/23		74		79,657
Series 1702, Class PZ, 6.50%, 3/15/24		967		1,039,503
Series 2113, Class QG, 6.00%, 1/15/29		318		359,836
Series 2122, Class K, 6.00%, 2/15/29		63		71,055
Series 2130, Class K, 6.00%, 3/15/29		43		48,141
Series 2167, Class BZ, 7.00%, 6/15/29		52		59,411
Series 2182, Class ZB, 8.00%, 9/15/29		491		570,393
Series 2198, Class ZA, 8.50%, 11/15/29		523		603,689
Series 2458, Class ZB, 7.00%, 6/15/32		590		707,157
Series 3762, Class SH, 9.691%, (10.00% - 1 mo. USD LIBOR x 2.00), 11/15/40(3)		630		796,949
Series 4097, Class PE, 3.00%, 11/15/40		587		592,859
Series 4273, Class PU, 4.00%, 11/15/43		2,263		2,551,056

3

Security	Principal Amount (000’s omitted)		Value
Series 4273, Class SP, 11.587%, (12.00% - 1 mo. USD LIBOR x 2.67), 11/15/43(3)	$	503	$	807,217
Series 4337, Class YT, 3.50%, 4/15/49		2,360		2,362,030
Series 4416, Class SU, 8.291%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44(3)		40		40,435
Series 4452, Class ZJ, 3.00%, 11/15/44		3,208		3,224,076
Series 4584, Class PM, 3.00%, 5/15/46		2,195		2,200,216
Series 4594, Class FM, 1.155%, (1 mo. USD LIBOR + 1.00%), 6/15/46(2)		286		285,390
Series 4608, Class TV, 3.50%, 1/15/55		3,963		4,018,124
Series 4637, Class CU, 3.00%, 8/15/44		3,086		3,148,166
Series 4637, Class QF, 1.155%, (1 mo. USD LIBOR + 1.00%), 4/15/44(2)		5,385		5,280,158
Series 4639, Class KF, 1.455%, (1 mo. USD LIBOR + 1.30%), 12/15/44(2)		1,715		1,712,081
Series 4678, Class PC, 3.00%, 1/15/46		6,279		6,505,721
Series 4774, Class MH, 4.50%, 12/15/42		1,768		1,782,352
Series 4774, Class QD, 4.50%, 1/15/43		5,462		5,535,304
Series 4776, Class C, 4.50%, 3/15/43		487		487,542
Series 4859, Class GA, 4.50%, 10/15/43		104		103,622
Series 4980, Class ZP, 2.50%, 7/25/49		2,166		2,171,177
Series 5028, Class TZ, 2.00%, 10/25/50		4,806		4,724,940
Series 5035, Class AZ, 2.00%, 11/25/50		21,815		21,504,625
Series 5038, Class CZ, 2.00%, 11/25/50		4,475		4,440,967
Interest Only:(4)
Series 284, Class S6, 5.941%, (6.10% - 1 mo. USD LIBOR), 10/15/42(3)		2,477		411,250
Series 362, Class C7, 3.50%, 9/15/47		11,457		1,008,384
Series 362, Class C11, 4.00%, 12/15/47		10,568		1,174,289
Series 3973, Class SG, 6.491%, (6.65% - 1 mo. USD LIBOR), 4/15/30(3)		207		1,456
Series 4067, Class JI, 3.50%, 6/15/27		1,913		141,176
Series 4070, Class S, 5.941%, (6.10% - 1 mo. USD LIBOR), 6/15/32(3)		5,143		881,274
Series 4088, Class EI, 3.50%, 9/15/41		4,090		221,710
Series 4094, Class CS, 5.841%, (6.00% - 1 mo. USD LIBOR), 8/15/42(3)		1,767		377,661
Series 4095, Class HS, 5.941%, (6.10% - 1 mo. USD LIBOR), 7/15/32(3)		1,477		186,032
Series 4109, Class ES, 5.991%, (6.15% - 1 mo. USD LIBOR), 12/15/41(3)		84		21,879
Series 4110, Class SA, 5.491%, (5.65% - 1 mo. USD LIBOR), 9/15/42(3)		3,477		728,124
Series 4149, Class S, 6.091%, (6.25% - 1 mo. USD LIBOR), 1/15/33(3)		2,642		481,342
Series 4188, Class AI, 3.50%, 4/15/28		1,519		98,664
Series 4203, Class QS, 6.091%, (6.25% - 1 mo. USD LIBOR), 5/15/43(3)		4,051		677,380
Series 4408, Class IP, 3.50%, 4/15/44		3,648		276,557
Series 4435, Class BI, 3.50%, 7/15/44		8,182		781,252
Series 4629, Class QI, 3.50%, 11/15/46		4,108		299,261
Series 4644, Class TI, 3.50%, 1/15/45		4,065		231,764
Series 4653, Class PI, 3.50%, 7/15/44		1,073		8,722
Series 4667, Class PI, 3.50%, 5/15/42		4,441		82,298
Series 4676, Class DI, 4.00%, 7/15/44		5,713		117,571
Series 4744, Class IO, 4.00%, 11/15/47		5,976		642,210
Series 4749, Class IL, 4.00%, 12/15/47		2,589		301,458
Series 4767, Class IM, 4.00%, 5/15/45		3,089		60,822
Series 4793, Class SD, 6.041%, (6.20% - 1 mo. USD LIBOR), 6/15/48(3)		13,086		1,772,242
Series 4966, Class SY, 5.902%, (6.05% - 1 mo. USD LIBOR), 4/25/50(3)		29,462		4,318,199
Principal Only:(5)
Series 242, Class PO, 0.00%, 11/15/36		3,343		3,193,383
Series 259, Class PO, 0.00%, 4/15/39		2,024		2,004,792
Series 3606, Class PO, 0.00%, 12/15/39		2,201		2,063,604
Series 4417, Class KO, 0.00%, 12/15/43		424		356,488

4

Security	Principal Amount (000’s omitted)		Value
Series 4478, Class PO, 0.00%, 5/15/45	$	1,443	$	1,344,058
Series 4754, Class JO, 0.00%, 4/15/44		1,009		876,393
			$	103,390,782
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2020-DNA4, Class M2, 3.898%, (1 mo. USD LIBOR + 3.75%), 8/25/50(1)(2)	$	8,000	$	8,091,183
			$	8,091,183
Federal National Mortgage Association:
Series G92-44, Class ZQ, 8.00%, 7/25/22	$	1	$	483
Series G92-46, Class Z, 7.00%, 8/25/22		22		22,712
Series G92-60, Class Z, 7.00%, 10/25/22		34		35,604
Series G93-35, Class ZQ, 6.50%, 11/25/23		1,180		1,253,677
Series G93-40, Class H, 6.40%, 12/25/23		260		275,622
Series 1991-98, Class J, 8.00%, 8/25/21		4		4,112
Series 1992-77, Class ZA, 8.00%, 5/25/22		39		40,542
Series 1992-103, Class Z, 7.50%, 6/25/22		5		4,736
Series 1992-113, Class Z, 7.50%, 7/25/22		14		14,101
Series 1992-185, Class ZB, 7.00%, 10/25/22		21		21,798
Series 1993-16, Class Z, 7.50%, 2/25/23		53		56,298
Series 1993-22, Class PM, 7.40%, 2/25/23		44		46,499
Series 1993-25, Class J, 7.50%, 3/25/23		67		70,899
Series 1993-30, Class PZ, 7.50%, 3/25/23		117		124,556
Series 1993-42, Class ZQ, 6.75%, 4/25/23		165		174,395
Series 1993-56, Class PZ, 7.00%, 5/25/23		29		30,480
Series 1993-156, Class ZB, 7.00%, 9/25/23		36		38,493
Series 1994-45, Class Z, 6.50%, 2/25/24		250		266,227
Series 1994-89, Class ZQ, 8.00%, 7/25/24		230		254,466
Series 1996-57, Class Z, 7.00%, 12/25/26		254		284,648
Series 1997-77, Class Z, 7.00%, 11/18/27		135		153,301
Series 1998-44, Class ZA, 6.50%, 7/20/28		139		157,404
Series 1999-45, Class ZG, 6.50%, 9/25/29		42		48,120
Series 2000-22, Class PN, 6.00%, 7/25/30		562		642,558
Series 2002-1, Class G, 7.00%, 7/25/23		43		46,050
Series 2002-21, Class PE, 6.50%, 4/25/32		349		408,963
Series 2005-75, Class CS, 23.608%, (24.20% - 1 mo. USD LIBOR x 4.00), 9/25/35(3)		914		1,609,264
Series 2007-74, Class AC, 5.00%, 8/25/37		3,860		4,349,177
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41(3)		422		469,670
Series 2011-109, Class PE, 3.00%, 8/25/41		1,704		1,732,337
Series 2012-134, Class ZT, 2.00%, 12/25/42		2,208		2,137,039
Series 2013-6, Class TA, 1.50%, 1/25/43		3,168		3,214,461
Series 2013-52, Class MD, 1.25%, 6/25/43		3,147		3,124,046
Series 2013-67, Class NF, 1.148%, (1 mo. USD LIBOR + 1.00%), 7/25/43(2)		2,357		2,373,953
Series 2014-64, Class PA, 3.00%, 3/25/44		1,583		1,606,965
Series 2016-22, Class ZE, 3.00%, 6/25/44		91		90,651
Series 2017-15, Class LE, 3.00%, 6/25/46		4,895		5,004,349
Series 2017-39, Class JZ, 3.00%, 5/25/47		347		347,484
Series 2017-48, Class LG, 2.75%, 5/25/47		4,357		4,577,405
Series 2017-66, Class ZJ, 3.00%, 9/25/57		457		456,443
Series 2017-75, Class Z, 3.00%, 9/25/57		299		298,619
Series 2018-18, Class QD, 4.50%, 5/25/45		11,080		11,303,291
Series 2020-45, Class HZ, 2.50%, 7/25/50		5,244		5,252,136

5

Security	Principal Amount (000’s omitted)		Value
Series 2020-46, Class KZ, 2.50%, 7/25/50	$	2,744	$	2,743,706
Series 2020-46, Class QZ, 2.50%, 3/15/48		661		660,861
Interest Only:(4)
Series 2010-124, Class SJ, 5.902%, (6.05% - 1 mo. USD LIBOR), 11/25/38(3)		480		8,564
Series 2011-101, Class IC, 3.50%, 10/25/26		5,011		305,895
Series 2011-101, Class IE, 3.50%, 10/25/26		1,617		97,171
Series 2012-24, Class S, 5.352%, (5.50% - 1 mo. USD LIBOR), 5/25/30(3)		414		6,853
Series 2012-33, Class CI, 3.50%, 3/25/27		2,989		173,182
Series 2012-94, Class KS, 6.502%, (6.65% - 1 mo. USD LIBOR), 5/25/38(3)		2,501		97,380
Series 2012-97, Class PS, 6.002%, (6.15% - 1 mo. USD LIBOR), 3/25/41(3)		2,761		193,287
Series 2012-103, Class GS, 5.952%, (6.10% - 1 mo. USD LIBOR), 2/25/40(3)		243		3,029
Series 2012-118, Class IN, 3.50%, 11/25/42		6,029		764,754
Series 2012-124, Class IO, 1.594%, 11/25/42(6)		2,754		134,239
Series 2012-125, Class IG, 3.50%, 11/25/42		19,161		2,496,724
Series 2012-150, Class SK, 6.002%, (6.15% - 1 mo. USD LIBOR), 1/25/43(3)		3,356		611,145
Series 2013-12, Class SP, 5.502%, (5.65% - 1 mo. USD LIBOR), 11/25/41(3)		892		81,125
Series 2013-15, Class DS, 6.052%, (6.20% - 1 mo. USD LIBOR), 3/25/33(3)		7,067		1,389,955
Series 2013-16, Class SY, 6.002%, (6.15% - 1 mo. USD LIBOR), 3/25/43(3)		1,617		329,771
Series 2013-54, Class HS, 6.152%, (6.30% - 1 mo. USD LIBOR), 10/25/41(3)		1,155		72,251
Series 2013-64, Class PS, 6.102%, (6.25% - 1 mo. USD LIBOR), 4/25/43(3)		2,295		364,398
Series 2013-75, Class SC, 6.102%, (6.25% - 1 mo. USD LIBOR), 7/25/42(3)		4,399		443,670
Series 2014-32, Class EI, 4.00%, 6/25/44		810		113,632
Series 2014-55, Class IN, 3.50%, 7/25/44		1,926		239,017
Series 2014-89, Class IO, 3.50%, 1/25/45		2,320		210,549
Series 2015-17, Class SA, 6.052%, (6.20% - 1 mo. USD LIBOR), 11/25/43(3)		1,780		132,077
Series 2015-52, Class MI, 3.50%, 7/25/45		2,365		261,138
Series 2017-46, Class NI, 3.00%, 8/25/42		4,596		70,734
Series 2018-21, Class IO, 3.00%, 4/25/48		10,748		1,006,645
Series 2019-1, Class AS, 5.852%, (6.00% - 1 mo. USD LIBOR), 2/25/49(3)		16,022		3,024,867
Series 2019-33, Class SK, 5.902%, (6.05% - 1 mo. USD LIBOR), 7/25/49(3)		14,309		1,560,521
Series 2020-23, Class SP, 5.902%, (6.05% - 1 mo. USD LIBOR), 2/25/50(3)		9,501		1,455,904
Principal Only:(5)
Series 379, Class 1, 0.00%, 5/25/37		2,120		2,029,365
Series 2006-8, Class WQ, 0.00%, 3/25/36		3,229		2,958,240
			$	76,464,683
Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	283	$	276,232
Series 2017-121, Class DF, 0.652%, (1 mo. USD LIBOR + 0.50%), 8/20/47(2)		8,062		8,109,734
Series 2017-137, Class AF, 0.652%, (1 mo. USD LIBOR + 0.50%), 9/20/47(2)		4,489		4,516,126
Series 2017-141, Class KZ, 3.00%, 9/20/47		320		320,226
Series 2018-6, Class JZ, 4.00%, 1/20/48		4,663		4,629,343
Series 2019-108, Class KZ, 3.50%, 8/20/49		1,028		1,028,826
Interest Only:(4)
Series 2017-104, Class SD, 6.048%, (6.20% - 1 mo. USD LIBOR), 7/20/47(3)		5,516		995,909
			$	19,876,396
Total Collateralized Mortgage Obligations (identified cost $229,100,687)			$	207,823,044

6

Commercial Mortgage-Backed Securities — 4.9%
Security	Principal Amount (000’s omitted)		Value
BAMLL Commercial Mortgage Securities Trust
Series 2019-BPR, Class ENM, 3.719%, 11/5/32(1)(6)	$	795	$	650,158
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(6)		3,205		2,363,521
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class D, 3.052%, 1/10/48(1)(6)		3,500		2,315,194
Series 2016-C7, Class D, 4.429%, 12/10/54(1)(6)		1,675		1,396,842
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48(1)		1,000		827,492
Series 2017-MDRB, Class C, 2.659%, (1 mo. USD LIBOR + 2.50%), 7/15/30(1)(2)		5,000		4,782,227
COMM Mortgage Trust
Series 2013-CR11, Class D, 5.12%, 8/10/50(1)(6)		7,400		6,646,370
Series 2015-CR22, Class D, 4.106%, 3/10/48(1)(6)		4,100		3,984,880
Credit Suisse Mortgage Trust
Series 2016-NXSR, Class C, 4.357%, 12/15/49(6)		2,770		2,326,665
Series 2016-NXSR, Class D, 4.357%, 12/15/49(1)(6)		3,000		2,391,058
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust
Series 2019-01, Class M7, 1.848%, (1 mo. USD LIBOR + 1.70%), 10/15/49(1)(2)		206		201,577
Series 2019-01, Class M10, 3.398%, (1 mo. USD LIBOR + 3.25%), 10/15/49(1)(2)		120		112,789
Series 2020-01, Class M10, 3.898%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2)		2,000		1,961,937
JPMBB Commercial Mortgage Securities Trust
Series 2014-C22, Class D, 4.554%, 9/15/47(1)(6)		5,276		3,773,539
Series 2014-C25, Class D, 3.948%, 11/15/47(1)(6)		4,400		3,412,535
Series 2015-C29, Class D, 3.697%, 5/15/48(6)		2,000		1,576,436
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.424%, 8/15/46(1)(6)		7,167		5,632,015
Series 2013-C13, Class D, 4.078%, 1/15/46(1)(6)		3,000		3,046,278
Series 2013-C16, Class D, 5.027%, 12/15/46(1)(6)		3,500		3,469,885
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1)		2,600		895,054
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.145%, 7/15/50(1)(6)		2,000		1,970,377
Series 2016-C29, Class D, 3.00%, 5/15/49(1)		3,577		2,901,248
Series 2016-C32, Class D, 3.396%, 12/15/49(1)(6)		1,600		1,190,272
Morgan Stanley Capital I Trust
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)		4,489		2,158,973
Series 2017-CLS, Class A, 0.859%, (1 mo. USD LIBOR + 0.70%), 11/15/34(1)(2)		2,000		2,001,048
Series 2019-BPR, Class C, 3.209%, (1 mo. USD LIBOR + 3.05%), 5/15/36(1)(2)		1,845		1,357,825
Motel 6 Trust
Series 2017-MTL6, Class C, 1.559%, (1 mo. USD LIBOR + 1.40%), 8/15/34(1)(2)		2,365		2,358,170
RETL Trust
Series 2019-RVP, Class B, 1.709%, (1 mo. USD LIBOR + 1.55%), 3/15/36(1)(2)		4		3,586
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.569%, 5/10/45(1)(6)		3,000		2,329,390
UBS-Barclays Commercial Mortgage Trust
Series 2013-C6, Class D, 4.307%, 4/10/46(1)(6)		4,437		3,097,637
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class D, 4.275%, 7/15/46(1)(6)		3,000		1,426,148
Series 2015-C31, Class D, 3.852%, 11/15/48		2,475		2,158,112
Series 2015-LC22, Class C, 4.537%, 9/15/58(6)		1,250		1,299,249

7

Security	Principal Amount (000’s omitted)		Value
Series 2016-C35, Class D, 3.142%, 7/15/48(1)	$	1,850	$	1,467,156
Series 2016-C36, Class D, 2.942%, 11/15/59(1)		1,500		930,474
Total Commercial Mortgage-Backed Securities (identified cost $88,888,276)			$	78,416,117
Common Stocks — 0.7%
Security	Shares		Value
Aerospace and Defense — 0.0%(7)
IAP Global Services, LLC(8)(9)(10)		31	$	456,403
			$	456,403
Automotive — 0.0%(7)
Dayco Products, LLC(9)(10)		27,250	$	149,875
			$	149,875
Business Equipment and Services — 0.0%(7)
Crossmark Holdings, Inc.(9)(10)		4,883	$	280,773
			$	280,773
Containers and Glass Products — 0.0%(7)
LG Newco Holdco, Inc.(9)(10)		166,175	$	415,438
			$	415,438
Electronics/Electrical — 0.3%
Answers Corp.(8)(9)(10)		78,756	$	45,678
Software Luxembourg Holding S.A.(9)(10)		22,890		3,891,300
			$	3,936,978
Health Care — 0.0%(7)
Akorn Holding Company, LLC, Class A(9)(10)		42,374	$	566,752
			$	566,752
Nonferrous Metals/Minerals — 0.0%(7)
ACNR Holdings, Inc., Class A(9)(10)		3,818	$	26,726
			$	26,726
Oil and Gas — 0.1%
AFG Holdings, Inc.(8)(9)(10)		29,751	$	553,071
EP Energy Corp.(9)(10)		4,381		175,240
Fieldwood Energy, Inc.(9)(10)		10,085		1,009
McDermott International, Ltd.(9)(10)		93,940		76,091
Nine Point Energy Holdings, Inc.(8)(10)(11)		29,787		0
RDV Resources, Inc., Class A(8)(9)(10)		27,724		0
Samson Resources II, LLC, Class A(8)(9)(10)		45,294		294,411
Sunrise Oil & Gas, Inc., Class A(9)(10)		15,647		4,694
			$	1,104,516
Publishing — 0.2%
ION Media Networks, Inc.(8)(9)(10)		5,187	$	3,444,842
Tweddle Group, Inc.(8)(9)(10)		5,433		9,997
			$	3,454,839

8

Security	Shares		Value
Radio and Television — 0.1%
Clear Channel Outdoor Holdings, Inc.(9)(10)		74,443	$	122,831
Cumulus Media, Inc., Class A(9)(10)		50,522		440,552
iHeartMedia, Inc., Class A(9)(10)		31,657		410,908
			$	974,291
Retailers (Except Food and Drug) — 0.0%(7)
David’s Bridal, LLC(8)(9)(10)		40,851	$	281,463
Phillips Pet Holding Corp.(8)(9)(10)		582		250,956
			$	532,419
Utilities — 0.0%(7)
Longview Intermediate Holdings, LLC, Class A(8)(9)(10)		10,730	$	86,591
			$	86,591
Total Common Stocks (identified cost $12,439,573)			$	11,985,601
Convertible Bonds — 0.2%
Security	Principal Amount (000’s omitted)		Value
Electronics/Electrical — 0.1%
Western Digital Corp., 1.50%, 2/1/24	$	1,293	$	1,291,637
			$	1,291,637
Semiconductors & Semiconductor Equipment — 0.1%
ams AG, 0.875%, 9/28/22(12)	$	800	$	751,424
			$	751,424
Total Convertible Bonds (identified cost $1,996,294)			$	2,043,061
Convertible Preferred Stocks — 0.0%
Security	Shares		Value
Oil and Gas — 0.0%
Nine Point Energy Holdings, Inc., Series A, 12.00%(8)(10)(11)		555	$	0
Total Convertible Preferred Stocks (identified cost $555,000)			$	0

9

Corporate Bonds & Notes — 51.3%
Security	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 1.4%
Bombardier, Inc.
6.125%, 5/15/21(12)	EUR	100	$	121,840
6.00%, 10/15/22(1)		1,472		1,448,669
6.125%, 1/15/23(1)		2,227		2,179,119
7.875%, 4/15/27(1)		602		554,424
Howmet Aerospace, Inc.
6.875%, 5/1/25		1,683		1,988,044
Moog, Inc.
4.25%, 12/15/27(1)		955		992,006
Rolls-Royce PLC
5.75%, 10/15/27(1)		1,804		2,000,185
5.75%, 10/15/27(12)	GBP	200		303,585
Spirit AeroSystems, Inc.
7.50%, 4/15/25(1)		741		796,116
TransDigm UK Holdings PLC
6.875%, 5/15/26		725		768,264
TransDigm, Inc.
6.50%, 7/15/24		4,410		4,496,414
6.50%, 5/15/25		185		190,434
6.25%, 3/15/26 (1)		2,408		2,567,542
6.375%, 6/15/26		100		103,687
7.50%, 3/15/27		1,862		1,990,832
5.50%, 11/15/27		2,052		2,160,346
			$	22,661,507
Agriculture — 0.0%(7)
Tereos Finance Groupe I S.A.
4.125%, 6/16/23(12)	EUR	100	$	120,333
			$	120,333
Air Transport — 0.4%
Azul Investments LLP
5.875%, 10/26/24(1)		1,030	$	965,120
Delta Air Lines, Inc.
7.375%, 1/15/26		1,266		1,447,077
Delta Air Lines, Inc./SkyMiles IP, Ltd.
4.50%, 10/20/25(1)		681		728,129
4.75%, 10/20/28(1)		683		746,057
Mileage Plus Holdings, LLC/Mileage Plus Intellectual Property Assets, Ltd.
6.50%, 6/20/27(1)		2,418		2,603,884
			$	6,490,267
Automotive — 1.6%
Adient Global Holdings, Ltd.
3.50%, 8/15/24(12)	EUR	150	$	183,362

10

Security	Principal Amount* (000’s omitted)		Value
Clarios Global, L.P.
6.75%, 5/15/25(1)		480	$	517,954
4.375%, 5/15/26(12)	EUR	300		381,320
6.25%, 5/15/26(1)		1,671		1,794,236
8.50%, 5/15/27(1)		3,233		3,517,696
Cummins, Inc.
1.50%, 9/1/30		1,000		1,007,343
Faurecia S.E.
3.75%, 6/15/28(12)	EUR	260		334,503
Fiat Chrysler Automobiles N.V.
4.50%, 7/7/28(12)	EUR	420		628,282
Ford Motor Co.
8.50%, 4/21/23		2,361		2,665,982
9.00%, 4/22/25		2,833		3,484,972
9.625%, 4/22/30		1,184		1,672,820
7.45%, 7/16/31		993		1,275,384
4.75%, 1/15/43		274		279,823
Frigoglass Finance B.V.
6.875%, 2/12/25(12)	EUR	100		94,555
General Motors Co.
5.00%, 4/1/35		1,495		1,801,688
GKN Holdings, Ltd.
4.625%, 5/12/32(12)	GBP	120		175,319
IAA, Inc.
5.50%, 6/15/27(1)		444		471,473
Jaguar Land Rover Automotive PLC
6.875%, 11/15/26(12)	EUR	100		125,879
Lithia Motors, Inc.
4.625%, 12/15/27(1)		514		543,234
4.375%, 1/15/31(1)		333		357,767
LKQ European Holdings B.V.
3.625%, 4/1/26(12)	EUR	125		156,780
Navistar International Corp.
9.50%, 5/1/25(1)		564		634,148
6.625%, 11/1/25(1)		1,572		1,648,871
RAC Bond Co. PLC
5.00%, 11/6/22(12)	GBP	150		206,384
Renault S.A.
1.25%, 6/24/25(12)	EUR	300		359,396
Volkswagen International Finance N.V.
3.875% to 6/17/29(12)(13)(14)	EUR	200		264,725
ZF North America Capital, Inc.
4.50%, 4/29/22(1)		392		404,132
4.75%, 4/29/25(1)		200		215,772
			$	25,203,800
Banks and Thrifts — 1.0%
Banco Comercial Portugues S.A.
4.50% to 12/7/22, 12/7/27(12)(13)	EUR	500	$	607,349

11

Security	Principal Amount* (000’s omitted)		Value
Banco Mercantil del Norte S.A./Grand Cayman
5.75% to 10/4/26, 10/4/31(1)(13)		1,160	$	1,251,130
Bank of Montreal
3.803% to 12/15/27, 12/15/32(13)		1,325		1,502,340
BankUnited, Inc.
5.125%, 6/11/30		1,000		1,172,134
BBVA Bancomer S.A.
5.125% to 1/18/28, 1/18/33(1)(13)		1,100		1,186,900
Commonwealth Bank of Australia
3.61% to 9/12/29, 9/12/34(1)(13)		1,500		1,650,189
Danske Bank A/S
1.621% to 9/11/25, 9/11/26(1)(13)		1,086		1,091,893
Deutsche Bank AG/New York, NY
2.222% to 9/18/23, 9/18/24(13)		720		741,126
First Midwest Bancorp, Inc.
5.875%, 9/29/26		1,000		1,138,569
Flagstar Bancorp, Inc.
6.125%, 7/15/21		650		664,270
Nationwide Building Society
4.125% to 10/18/27, 10/18/32(1)(13)		1,280		1,400,549
Synovus Bank/Columbus, GA
4.00% to 10/29/25, 10/29/30(13)		500		529,587
Wells Fargo & Co.
3.584% to 5/22/27, 5/22/28(13)		2,000		2,267,617
Westpac Banking Corp.
2.668% to 11/15/30, 11/15/35(13)		1,033		1,065,447
			$	16,269,100
Beverage and Tobacco — 0.2%
Altria Group, Inc.
3.875%, 9/16/46		650	$	686,616
Anheuser-Busch InBev Worldwide, Inc.
3.50%, 6/1/30		1,500		1,738,699
Coca-Cola Co. (The)
2.75%, 6/1/60		500		540,459
Vector Group, Ltd.
6.125%, 2/1/25(1)		500		509,322
			$	3,475,096
Brokerage/Securities Dealers/Investment Houses — 0.1%
Alliance Data Systems Corp.
4.75%, 12/15/24(1)		1,071	$	1,083,718
Intrum AB
3.50%, 7/15/26(12)	EUR	200		243,108
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp.
4.875%, 4/15/45(1)		688		781,344
			$	2,108,170
Building and Development — 1.6%
ADLER Real Estate AG
1.875%, 4/27/23(12)	EUR	300	$	369,244
AT Securities B.V.
5.25% to 7/21/23(12)(13)(14)		250		262,500

12

Security	Principal Amount* (000’s omitted)		Value
Boise Cascade Co.
4.875%, 7/1/30(1)		707	$	766,653
Brookfield Property REIT, Inc./BPR Cumulus, LLC/BPR Nimbus, LLC/GGSI Sellco, LLC
5.75%, 5/15/26(1)		1,592		1,573,612
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.
6.25%, 9/15/27(1)		378		402,806
4.875%, 2/15/30(1)		697		721,179
Builders FirstSource, Inc.
6.75%, 6/1/27(1)		852		925,238
5.00%, 3/1/30(1)		510		548,887
CP Atlas Buyer, Inc.
7.00%, 12/1/28(1)		310		322,206
CyrusOne, L.P./CyrusOne Finance Corp.
3.45%, 11/15/29		562		605,507
Empire Communities Corp.
7.00%, 12/15/25(1)		866		914,808
Five Point Operating Co., L.P./Five Point Capital Corp.
7.875%, 11/15/25(1)		1,213		1,286,296
Greystar Real Estate Partners, LLC
5.75%, 12/1/25(1)		2,076		2,133,090
Hillman Group, Inc. (The)
6.375%, 7/15/22(1)		2,695		2,684,260
HT Troplast GmbH
9.25%, 7/15/25(12)	EUR	215		292,796
James Hardie International Finance DAC
3.625%, 10/1/26(12)	EUR	200		252,607
Masonite International Corp.
5.375%, 2/1/28(1)		570		613,001
MDC Holdings, Inc.
6.00%, 1/15/43		425		570,528
Miller Homes Group Holdings PLC
5.50%, 10/15/24(12)	GBP	100		140,887
Shea Homes, L.P./Shea Homes Funding Corp.
4.75%, 2/15/28(1)		1,423		1,475,473
4.75%, 4/1/29 (1)		440		453,200
SRM Escrow Issuer, LLC
6.00%, 11/1/28(1)		1,525		1,599,283
Standard Industries, Inc.
2.25%, 11/21/26(12)	EUR	250		309,524
5.00%, 2/15/27(1)		457		478,422
4.375%, 7/15/30(1)		1,146		1,227,670
Taylor Morrison Communities, Inc.
5.875%, 6/15/27(1)		808		917,565
5.75%, 1/15/28(1)		1,062		1,206,034
5.125%, 8/1/30(1)		685		768,484
TRI Pointe Group, Inc./TRI Pointe Homes, Inc.
5.875%, 6/15/24		280		306,495
5.70%, 6/15/28		385		435,627
White Cap Buyer, LLC
6.875%, 10/15/28(1)		1,083		1,156,779
			$	25,720,661

13

Security	Principal Amount* (000’s omitted)		Value
Business Equipment and Services — 1.4%
Adevinta ASA
2.625%, 11/15/25(12)	EUR	166	$	207,661
3.00%, 11/15/27(12)	EUR	100		126,713
Allied Universal Holdco, LLC
6.625%, 7/15/26(1)		1,274		1,360,059
9.75%, 7/15/27(1)		845		922,521
EIG Investors Corp.
10.875%, 2/1/24		5,445		5,649,868
Garda World Security Corp.
9.50%, 11/1/27(1)		2,416		2,679,803
GEMS MENASA Cayman, Ltd./GEMS Education Delaware, LLC
7.125%, 7/31/26(1)		2,279		2,398,648
7.125%, 7/31/26(12)		350		368,375
Iron Mountain, Inc.
5.00%, 7/15/28(1)		94		99,981
4.50%, 2/15/31(1)		1,431		1,500,761
5.625%, 7/15/32(1)		792		874,261
ServiceMaster Co., LLC (The)
7.45%, 8/15/27		4,075		4,756,788
Techem Verwaltungsgesellschaft 674 mbH
6.00%, 7/30/26(12)	EUR	300		385,324
			$	21,330,763
Cable and Satellite Television — 3.0%
Altice France S.A.
7.375%, 5/1/26(1)		1,249	$	1,316,134
8.125%, 2/1/27(1)		4,904		5,412,324
5.50%, 1/15/28(1)		841		880,325
5.125%, 1/15/29(1)		686		711,296
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.75%, 2/15/26(1)		1,885		1,947,394
5.00%, 2/1/28(1)		1,755		1,857,668
5.375%, 6/1/29(1)		595		652,947
4.75%, 3/1/30(1)		1,789		1,932,567
4.50%, 8/15/30(1)		1,640		1,742,508
4.25%, 2/1/31(1)		1,739		1,834,836
4.50%, 5/1/32(1)		771		824,176
Charter Communications Operating, LLC/Charter Communications Operating Capital
4.80%, 3/1/50		975		1,165,294
CSC Holdings, LLC
6.75%, 11/15/21		2,780		2,910,312
5.875%, 9/15/22		1,085		1,150,778
5.25%, 6/1/24		355		384,918
5.50%, 5/15/26(1)		2,000		2,082,500
7.50%, 4/1/28(1)		619		696,972
6.50%, 2/1/29(1)		543		614,092
5.75%, 1/15/30(1)		5,848		6,418,209
4.625%, 12/1/30(1)		932		974,066
3.375%, 2/15/31(1)		912		896,040

14

Security	Principal Amount* (000’s omitted)		Value
DISH DBS Corp.
6.75%, 6/1/21		410	$	418,696
5.875%, 11/15/24		530		556,500
Radiate Holdco, LLC/Radiate Finance, Inc.
6.50%, 9/15/28(1)		1,165		1,225,434
TEGNA, Inc.
4.75%, 3/15/26(1)		440		470,382
4.625%, 3/15/28(1)		372		381,068
5.00%, 9/15/29		766		809,936
UPC Holding B.V.
5.50%, 1/15/28(1)		593		626,727
UPCB Finance VII, Ltd.
3.625%, 6/15/29(12)	EUR	300		381,246
Virgin Media Finance PLC
5.00%, 7/15/30(1)		946		982,658
Virgin Media Secured Finance PLC
5.50%, 8/15/26(1)		1,163		1,210,247
5.00%, 4/15/27(12)	GBP	100		143,676
Virgin Media Vendor Financing Notes III DAC
4.875%, 7/15/28(12)	GBP	500		700,075
Ziggo B.V.
5.50%, 1/15/27(1)		1,808		1,890,436
4.875%, 1/15/30(1)		802		844,606
Ziggo Bond Co., B.V.
6.00%, 1/15/27(1)		745		788,691
3.375%, 2/28/30(12)	EUR	230		283,473
			$	48,119,207
Capital Goods — 0.2%
BWX Technologies, Inc.
5.375%, 7/15/26(1)		1,305	$	1,360,215
4.125%, 6/30/28(1)		948		990,067
Valmont Industries, Inc.
5.25%, 10/1/54		610		719,086
			$	3,069,368
Chemicals and Plastics — 0.6%
Alpek SAB de CV
4.25%, 9/18/29(1)		610	$	669,643
K+S AG
2.625%, 4/6/23(12)	EUR	200		241,251
Nufarm Australia, Ltd./Nufarm Americas, Inc.
5.75%, 4/30/26(1)		1,800		1,855,908
OCI N.V.
3.125%, 11/1/24(12)	EUR	200		251,996
3.625%, 10/15/25(12)	EUR	100		127,241
SGL Carbon SE
3.00%, 9/20/23(12)	EUR	400		450,826
SPCM S.A.
4.875%, 9/15/25(1)		1,356		1,400,070
2.625%, 2/1/29(12)	EUR	150		188,846
Synthomer PLC
3.875%, 7/1/25(12)	EUR	100		128,426

15

Security	Principal Amount* (000’s omitted)		Value
Univar Solutions USA, Inc.
5.125%, 12/1/27(1)		360	$	380,858
Valvoline, Inc.
4.25%, 2/15/30(1)		790		838,585
3.625%, 6/15/31(1)(15)		802		825,864
W.R. Grace & Co.
4.875%, 6/15/27(1)		1,472		1,562,925
Westlake Chemical Corp.
5.00%, 8/15/46		710		922,722
			$	9,845,161
Clothing/Textiles — 0.4%
Hanesbrands Finance Luxembourg SCA
3.50%, 6/15/24(12)	EUR	300	$	385,813
PrestigeBidCo GmbH
6.25%, 12/15/23(12)	EUR	265		329,332
PVH Corp.
7.75%, 11/15/23		3,740		4,388,240
William Carter Co. (The)
5.50%, 5/15/25(1)		331		352,138
5.625%, 3/15/27(1)		811		855,098
			$	6,310,621
Commercial Services — 0.6%
Abertis Infraestructuras Finance B.V.
3.248% to 11/24/25(12)(13)(14)	EUR	300	$	380,880
AMN Healthcare, Inc.
4.625%, 10/1/27(1)		458		480,646
4.00%, 4/15/29(1)		1,029		1,054,725
Autostrade per l’Italia SpA
6.25%, 6/9/22	GBP	250		362,356
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc.
6.375%, 4/1/24(1)		225		229,922
5.25%, 3/15/25(1)		685		689,709
5.75%, 7/15/27(1)		1,215		1,236,966
Block Financial, LLC
3.875%, 8/15/30		988		1,067,598
Ellaktor Value PLC
6.375%, 12/15/24(1)	EUR	226		259,389
6.375%, 12/15/24(12)	EUR	2,759		3,198,298
Intertrust Group B.V.
3.375%, 11/15/25(12)	EUR	140		175,052
Korn Ferry
4.625%, 12/15/27(1)		355		370,531
Loxam S.A.S.
3.25%, 1/14/25(12)	EUR	200		245,576
Nexi SpA
1.75%, 10/31/24(12)	EUR	200		248,213
Sisal Pay SpA
3.875%, (3 mo. EURIBOR + 3.875%), 12/17/26(2)(12)	EUR	110		134,583
Verisure Holding AB
3.50%, 5/15/23(12)	EUR	140		173,708

16

Security	Principal Amount* (000’s omitted)		Value
Verisure Midholding AB
5.75%, 12/1/23(12)	EUR	200	$	248,067
			$	10,556,219
Computers — 0.4%
Booz Allen Hamilton, Inc.
3.875%, 9/1/28(1)		1,341	$	1,383,744
DXC Technology Co.
4.75%, 4/15/27		1,000		1,145,328
International Business Machines Corp.
2.95%, 5/15/50		500		533,984
Presidio Holdings, Inc.
8.25%, 2/1/28(1)		1,543		1,705,980
Seagate HDD Cayman
3.125%, 7/15/29(1)		865		866,717
5.75%, 12/1/34		995		1,173,866
			$	6,809,619
Conglomerates — 0.3%
Spectrum Brands, Inc.
5.75%, 7/15/25		3,470	$	3,587,460
5.00%, 10/1/29(1)		406		437,018
5.50%, 7/15/30(1)		691		745,848
TMS International Holding Corp.
7.25%, 8/15/25(1)		543		553,860
			$	5,324,186
Consumer Products — 0.0%(7)
Central Garden & Pet Co.
5.125%, 2/1/28		285	$	304,095
4.125%, 10/15/30		302		315,401
			$	619,496
Containers and Glass Products — 0.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
2.125%, 8/15/26(12)	EUR	100	$	122,664
5.25%, 8/15/27(1)		1,661		1,745,395
Crown Americas, LLC/Crown Americas Capital Corp. V
4.25%, 9/30/26		660		728,657
Crown Americas, LLC/Crown Americas Capital Corp. VI
4.75%, 2/1/26		750		780,795
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
5.125%, 7/15/23(1)		38		38,486
Smurfit Kappa Acquisitions ULC
2.375%, 2/1/24 (12)	EUR	200		259,783
2.875%, 1/15/26 (12)	EUR	100		135,384
			$	3,811,164
Cosmetics/Toiletries — 0.1%
Edgewell Personal Care Co.
5.50%, 6/1/28(1)		1,067	$	1,148,183

17

Security	Principal Amount* (000’s omitted)		Value
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.
5.00%, 12/31/26(1)		170	$	177,650
7.00%, 12/31/27(1)		312		327,255
Prestige Brands, Inc.
5.125%, 1/15/28(1)		357		381,321
			$	2,034,409
Distribution & Wholesale — 0.1%
Parts Europe S.A.
4.375%, (3 mo. EURIBOR + 4.375%), 5/1/22(2)(12)	EUR	307	$	375,501
6.50%, 7/16/25(12)	EUR	100		127,766
Performance Food Group, Inc.
5.50%, 10/15/27(1)		935		988,136
Travis Perkins PLC
4.50%, 9/7/23(12)	GBP	175		255,916
3.75%, 2/17/26(12)	GBP	100		142,408
			$	1,889,727
Diversified Financial Services — 1.1%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
6.50%, 7/15/25		459	$	549,040
Affiliated Managers Group, Inc.
3.30%, 6/15/30		849		922,935
AG Issuer, LLC
6.25%, 3/1/28(1)		1,117		1,132,359
Arrow Global Finance PLC
2.875%, (3 mo. EURIBOR + 2.875%), 4/1/25(2)(12)	EUR	100		119,123
Barclays PLC
5.088% to 6/20/29, 6/20/30(13)		1,000		1,199,867
BrightSphere Investment Group, Inc.
4.80%, 7/27/26		2,195		2,357,328
Cabot Financial Luxembourg S.A.
7.50%, 10/1/23(12)	GBP	44		61,567
Discover Bank
4.682% to 8/9/23, 8/9/28(13)		1,000		1,063,815
Encore Capital Group, Inc.
5.375%, 2/15/26(12)	GBP	100		139,998
4.25%, (3 mo. EURIBOR + 4.25%), 1/15/28 (2)(12)	EUR	600		736,699
Lincoln Financing S.a.r.l.
3.625%, 4/1/24(12)	EUR	145		179,531
Louvre Bidco S.A.S.
6.50%, 9/30/24(12)	EUR	400		504,524
PRA Group, Inc.
7.375%, 9/1/25(1)		1,353		1,472,233
ProGroup AG
3.00%, 3/31/26(12)	EUR	300		372,569
Stifel Financial Corp.
4.00%, 5/15/30		769		879,984
UniCredit SpA
5.861% to 6/19/27, 6/19/32(1)(13)		715		806,393
7.296% to 4/2/29, 4/2/34(1)(13)		500		604,755
Unifin Financiera SAB de CV
7.375%, 2/12/26(1)		620		595,200

18

Security	Principal Amount* (000’s omitted)		Value
Vivion Investments S.a.r.l.
3.00%, 8/8/24(12)	EUR	3,400	$	3,849,358
3.50%, 11/1/25(12)	EUR	200		229,450
			$	17,776,728
Drugs — 1.9%
AdaptHealth, LLC
6.125%, 8/1/28(1)		685	$	737,231
4.625%, 8/1/29(1)(15)		643		661,486
Bausch Health Americas, Inc.
9.25%, 4/1/26(1)		670		747,921
8.50%, 1/31/27(1)		3,076		3,425,387
Bausch Health Companies, Inc.
7.00%, 3/15/24(1)		3,810		3,923,347
6.125%, 4/15/25(1)		345		355,923
5.50%, 11/1/25(1)		955		990,612
9.00%, 12/15/25(1)		2,340		2,592,615
5.75%, 8/15/27(1)		412		442,643
7.00%, 1/15/28(1)		2,092		2,303,062
5.00%, 1/30/28(1)		1,051		1,084,411
5.00%, 2/15/29(1)		1,549		1,595,586
6.25%, 2/15/29(1)		1,508		1,640,237
7.25%, 5/30/29(1)		544		612,432
5.25%, 2/15/31(1)		885		926,237
Catalent Pharma Solutions, Inc.
4.875%, 1/15/26(1)		2,700		2,763,612
5.00%, 7/15/27(1)		656		693,936
2.375%, 3/1/28(12)	EUR	1,274		1,570,094
Jaguar Holding Co. II/PPD Development, L.P.
4.625%, 6/15/25(1)		1,159		1,224,182
5.00%, 6/15/28(1)		1,022		1,092,263
Nidda Healthcare Holding GmbH
3.50%, 9/30/24(12)	EUR	124		151,807
			$	29,535,024
Ecological Services and Equipment — 0.6%
Clean Harbors, Inc.
4.875%, 7/15/27(1)		551	$	575,795
5.125%, 7/15/29(1)		332		363,684
Covanta Holding Corp.
5.875%, 7/1/25		860		897,535
5.00%, 9/1/30		841		900,869
GFL Environmental, Inc.
3.75%, 8/1/25(1)		776		792,975
8.50%, 5/1/27(1)		2,822		3,137,711
3.50%, 9/1/28(1)		1,499		1,531,168
Waste Pro USA, Inc.
5.50%, 2/15/26(1)		446		457,331
			$	8,657,068

19

Security	Principal Amount* (000’s omitted)		Value
Electric Utilities — 0.8%
Consolidated Edison Co. of New York, Inc.
4.125%, 5/15/49		400	$	494,935
ContourGlobal Power Holdings S.A.
4.125%, 8/1/25(12)	EUR	200		250,868
Drax Finco PLC
6.625%, 11/1/25(1)		806		845,796
Duke Energy Indiana, LLC
2.75%, 4/1/50		500		520,992
Duquesne Light Holdings, Inc.
2.532%, 10/1/30(1)		992		1,027,692
Edison International
3.55%, 11/15/24		614		661,693
EDP – Energias de Portugal S.A.
4.496% to 1/30/24, 4/30/79(12)(13)	EUR	300		403,456
Liberty Utilities Finance GP 1
2.05%, 9/15/30(1)		526		529,552
Orano S.A.
4.875%, 9/23/24	EUR	200		281,043
Pattern Energy Operations, L.P./Pattern Energy Operations, Inc.
4.50%, 8/15/28(1)		705		745,097
Pike Corp.
5.50%, 9/1/28(1)		890		942,288
Southern California Edison Co.
4.00%, 4/1/47		845		992,579
Southern Co. (The)
4.40%, 7/1/46		971		1,222,498
TenneT Holding B.V.
2.995% to 3/1/24(12)(13)(14)	EUR	350		453,236
Virginia Electric & Power Co.
4.00%, 1/15/43		410		516,131
WESCO Distribution, Inc.
7.125%, 6/15/25(1)		1,024		1,127,583
7.25%, 6/15/28(1)		915		1,041,906
			$	12,057,345
Electronics/Electrical — 0.9%
Enel Finance International N.V.
3.625%, 5/25/27(1)		2,310	$	2,623,976
Energizer Holdings, Inc.
7.75%, 1/15/27(1)		657		730,666
4.375%, 3/31/29(1)		707		733,173
Engie Energia Chile S.A.
3.40%, 1/28/30(1)		960		1,041,600
Entegris, Inc.
4.625%, 2/10/26(1)		517		537,034
4.375%, 4/15/28(1)		727		776,073
Go Daddy Operating Co., LLC/GD Finance Co., Inc.
5.25%, 12/1/27(1)		1,249		1,316,914
Jabil, Inc.
3.00%, 1/15/31		1,040		1,108,097
LogMeIn, Inc.
5.50%, 9/1/27(1)		662		694,273

20

Security	Principal Amount* (000’s omitted)		Value
Open Text Corp.
3.875%, 2/15/28(1)		1,009	$	1,048,573
Open Text Holdings, Inc.
4.125%, 2/15/30(1)		883		940,960
RWE AG
6.625% to 3/30/26, 7/30/75(12)(13)		266		309,890
Sensata Technologies, Inc.
4.375%, 2/15/30(1)		627		675,984
3.75%, 2/15/31 (1)		680		705,724
SS&C Technologies, Inc.
5.50%, 9/30/27(1)		517		552,813
			$	13,795,750
Energy — 0.4%
Empresa Electrica Cochrane SpA
5.50%, 5/14/27(1)		2,013	$	2,127,747
Enviva Partners, L.P./Enviva Partners Finance Corp.
6.50%, 1/15/26(1)		1,988		2,115,977
Sunoco, L.P./Sunoco Finance Corp.
5.50%, 2/15/26		412		423,767
4.50%, 5/15/29(1)		884		921,018
			$	5,588,509
Engineering & Construction — 0.0%(7)
Weekley Homes, LLC/Weekley Finance Corp.
4.875%, 9/15/28(1)		396	$	414,810
			$	414,810
Entertainment — 0.7%
Caesars Entertainment, Inc.
6.25%, 7/1/25(1)		2,521	$	2,688,029
8.125%, 7/1/27(1)		2,032		2,252,121
CPUK Finance, Ltd.
4.25%, 8/28/22(12)	GBP	52		71,791
4.875%, 2/28/47(12)	GBP	135		184,973
Lions Gate Capital Holdings, LLC
5.875%, 11/1/24(1)		1,034		1,053,279
Live Nation Entertainment, Inc.
4.75%, 10/15/27(1)		1,226		1,260,487
3.75%, 1/15/28(1)(15)		431		436,560
Pinewood Finance Co., Ltd.
3.25%, 9/30/25(12)	GBP	450		629,251
Powdr Corp.
6.00%, 8/1/25(1)		1,040		1,098,500
Six Flags Entertainment Corp.
5.50%, 4/15/27(1)		86		88,473
Speedway Motorsports, LLC/Speedway Funding II, Inc.
4.875%, 11/1/27(1)		871		864,467
			$	10,627,931
Equipment Leasing — 0.1%
Ashtead Capital, Inc.
4.125%, 8/15/25(1)		1,425	$	1,467,037
4.25%, 11/1/29(1)		526		577,201
			$	2,044,238

21

Security	Principal Amount* (000’s omitted)		Value
Financial Intermediaries — 1.9%
Alpha Holding S.A. de CV
10.00%, 12/19/22(1)		200	$	171,750
9.00%, 2/10/25(1)		765		564,953
CIT Group, Inc.
6.125%, 3/9/28		650		795,314
Citigroup, Inc.
3.98% to 3/20/29, 3/20/30(13)		1,700		1,999,691
FCE Bank PLC
1.875%, 6/24/21(12)	EUR	100		122,547
Ford Motor Credit Co., LLC
3.813%, 10/12/21		466		472,116
5.596%, 1/7/22		1,127		1,167,775
1.521%, (3 mo. USD LIBOR + 1.27%), 3/28/22(2)		230		226,107
3.339%, 3/28/22		530		535,963
4.25%, 9/20/22		500		516,900
3.087%, 1/9/23		439		447,481
1.456%, (3 mo. USD LIBOR + 1.24%), 2/15/23(2)		479		462,394
3.37%, 11/17/23		1,030		1,051,671
5.584%, 3/18/24		257		277,560
5.125%, 6/16/25		938		1,021,060
4.271%, 1/9/27		476		499,800
4.125%, 8/17/27		2,739		2,872,526
3.815%, 11/2/27		1,984		2,042,280
4.00%, 11/13/30		995		1,047,914
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.25%, 2/1/22		1,606		1,613,588
6.375%, 12/15/25		820		850,340
6.25%, 5/15/26		1,615		1,713,903
5.25%, 5/15/27		1,614		1,734,243
JPMorgan Chase & Co.
Series S, 6.75% to 2/1/24(13)(14)		3,325		3,734,030
4.60% to 2/1/25(13)(14)		1,674		1,730,498
4.26% to 2/22/47, 2/22/48(13)		1,035		1,355,578
MSCI, Inc.
3.625%, 9/1/30(1)		520		544,294
Synovus Financial Corp.
5.90% to 2/7/24, 2/7/29(13)		1,011		1,090,476
			$	30,662,752
Financial Services — 0.4%
Banco BTG Pactual S.A./Cayman Islands
4.50%, 1/10/25(1)		1,100	$	1,177,011
Brookfield Finance, Inc.
4.70%, 9/20/47		1,050		1,328,771
Carlyle Finance Subsidiary, LLC
3.50%, 9/19/29(1)		1,000		1,100,086
Debt and Asset Trading Corp.
1.00%, 10/10/25(12)		2,600		2,255,500
Nordea Bank Abp
4.625% to 9/13/28, 9/13/33(1)(13)		1,000		1,161,322
			$	7,022,690

22

Security	Principal Amount* (000’s omitted)		Value
Food Products — 0.9%
Chobani, LLC/Chobani Finance Corp., Inc.
4.625%, 11/15/28(1)		436	$	443,630
JBS USA LUX S.A./JBS USA Finance, Inc.
6.75%, 2/15/28(1)		650		731,100
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.
5.50%, 1/15/30(1)		1,046		1,203,172
Kraft Heinz Foods Co.
3.875%, 5/15/27(1)		1,261		1,359,893
4.25%, 3/1/31(1)		1,261		1,406,472
4.625%, 10/1/39(1)		425		475,451
4.375%, 6/1/46		3,059		3,309,803
5.50%, 6/1/50(1)		1,261		1,592,432
Post Holdings, Inc.
5.00%, 8/15/26(1)		1,377		1,424,142
4.625%, 4/15/30(1)		558		587,691
Smithfield Foods, Inc.
2.65%, 10/3/21(1)		550		555,006
Tesco PLC
6.125%, 2/24/22	GBP	200		291,016
United Natural Foods, Inc.
6.75%, 10/15/28(1)		370		387,568
			$	13,767,376
Food Service — 0.5%
1011778 B.C. Unlimited Liability Company/New Red Finance, Inc.
5.75%, 4/15/25(1)		372	$	398,624
3.875%, 1/15/28(1)		663		674,450
4.375%, 1/15/28(1)		1,014		1,046,133
4.00%, 10/15/30(1)		2,705		2,746,684
IRB Holding Corp.
7.00%, 6/15/25(1)		451		493,518
6.75%, 2/15/26(1)		448		462,941
US Foods, Inc.
5.875%, 6/15/24(1)		1,995		2,026,172
Yum! Brands, Inc.
7.75%, 4/1/25(1)		304		337,060
			$	8,185,582
Food/Drug Retailers — 0.2%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons, L.P./Albertsons, LLC
5.875%, 2/15/28(1)		1,004	$	1,094,239
4.875%, 2/15/30(1)		1,042		1,149,201
Casino Guichard Perrachon S.A.
4.048% to 8/5/21, 8/5/26(12)(16)	EUR	200		217,087
Fresh Market, Inc. (The)
9.75%, 5/1/23(1)		1,174		1,211,680
			$	3,672,207
Health Care — 4.1%
Acadia Healthcare Co., Inc.
5.50%, 7/1/28 (1)		980	$	1,054,407
5.00%, 4/15/29(1)		873		934,110

23

Security	Principal Amount* (000’s omitted)		Value
Amgen, Inc.
3.375%, 2/21/50		400	$	447,350
Anthem, Inc.
3.125%, 5/15/50		500		548,911
Avantor Funding, Inc.
2.625%, 11/1/25(12)	EUR	217		272,223
4.625%, 7/15/28(1)		1,630		1,725,762
Baxter International, Inc.
3.95%, 4/1/30(1)		1,000		1,195,882
Centene Corp.
4.75%, 1/15/25		1,227		1,260,718
5.375%, 6/1/26(1)		2,690		2,840,532
5.375%, 8/15/26(1)		672		711,480
4.25%, 12/15/27		1,795		1,906,855
4.625%, 12/15/29		1,758		1,954,026
3.375%, 2/15/30		3,056		3,219,970
3.00%, 10/15/30		2,345		2,488,397
Charles River Laboratories International, Inc.
5.50%, 4/1/26(1)		545		571,855
4.25%, 5/1/28(1)		502		526,693
CHS/Community Health Systems, Inc.
5.625%, 3/15/27(1)		875		941,938
6.00%, 1/15/29(1)		784		847,904
Emergent BioSolutions, Inc.
3.875%, 8/15/28(1)		1,115		1,156,673
Encompass Health Corp.
4.50%, 2/1/28		998		1,044,597
4.75%, 2/1/30		1,098		1,178,088
4.625%, 4/1/31		787		843,074
Grifols S.A.
3.20%, 5/1/25(12)	EUR	250		309,337
HCA, Inc.
5.00%, 3/15/24		675		759,588
5.875%, 2/15/26		2,705		3,114,131
5.375%, 9/1/26		1,610		1,853,553
5.625%, 9/1/28		1,990		2,354,220
5.875%, 2/1/29		1,076		1,298,415
3.50%, 9/1/30		1,136		1,207,404
Hologic, Inc.
3.25%, 2/15/29(1)		454		462,796
IQVIA, Inc.
3.25%, 3/15/25(12)	EUR	300		371,305
5.00%, 10/15/26(1)		850		891,969
5.00%, 5/15/27(1)		577		614,499
2.25%, 1/15/28(12)	EUR	250		308,925
Legacy LifePoint Health, LLC
6.75%, 4/15/25(1)		731		786,783
4.375%, 2/15/27(1)		1,408		1,432,640
Lifepoint Health, Inc.
5.375%, 1/15/29(1)		557		557,306
Molina Healthcare, Inc.
4.375%, 6/15/28(1)		1,257		1,324,249
3.875%, 11/15/30(1)		863		927,725

24

Security	Principal Amount* (000’s omitted)		Value
MPH Acquisition Holdings, LLC
5.75%, 11/1/28(1)		4,138	$	4,050,067
Prime Healthcare Services, Inc.
7.25%, 11/1/25(1)		1,049		1,116,346
Providence Service Corp. (The)
5.875%, 11/15/25(1)		1,122		1,188,619
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/26(1)		1,485		1,639,997
RP Escrow Issuer, LLC
5.25%, 12/15/25(1)		1,167		1,222,047
Syneos Health, Inc.
3.625%, 1/15/29(1)		867		871,023
Synlab Bondco PLC
4.75%, (3 mo. EURIBOR + 4.75%), 7/1/25(2)(12)	EUR	100		124,975
Team Health Holdings, Inc.
6.375%, 2/1/25(1)		703		608,095
Teleflex, Inc.
4.625%, 11/15/27		1,055		1,136,261
4.25%, 6/1/28(1)		230		244,088
Tenet Healthcare Corp.
4.625%, 9/1/24(1)		268		276,962
4.875%, 1/1/26(1)		1,607		1,683,091
5.125%, 11/1/27(1)		1,607		1,705,429
4.625%, 6/15/28(1)		377		395,614
6.125%, 10/1/28(1)		276		288,566
Thermo Fisher Scientific, Inc.
4.10%, 8/15/47		400		537,313
UnitedHealth Group, Inc.
3.75%, 10/15/47		650		808,898
Varex Imaging Corp.
7.875%, 10/15/27(1)		546		582,855
			$	64,726,536
Home Furnishings — 0.1%
Harman International Industries, Inc.
4.15%, 5/15/25		940	$	1,047,474
			$	1,047,474
Homebuilders/Real Estate — 0.0%(7)
M/I Homes, Inc.
4.95%, 2/1/28		459	$	487,309
			$	487,309
Industrial Equipment — 0.1%
Colfax Corp.
6.00%, 2/15/24(1)		478	$	496,532
6.375%, 2/15/26(1)		780		833,871
Vertical Midco GmbH
4.75%, (3 mo. EURIBOR + 4.75%), 7/15/27(2)(12)	EUR	115		142,829
			$	1,473,232

25

Security	Principal Amount* (000’s omitted)		Value
Insurance — 1.3%
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer
6.75%, 10/15/27(1)		3,898	$	4,177,448
AmWINS Group, Inc.
7.75%, 7/1/26(1)		1,557		1,677,605
AssuredPartners, Inc.
5.625%, 1/15/29(1)		450		470,250
Athene Holding, Ltd.
3.50%, 1/15/31		1,000		1,058,384
Galaxy Finco, Ltd.
9.25%, 7/31/27(12)	GBP	575		819,731
GTCR AP Finance, Inc.
8.00%, 5/15/27(1)		1,078		1,173,349
Hub International, Ltd.
7.00%, 5/1/26(1)		2,618		2,740,509
Kemper Corp.
2.40%, 9/30/30		1,115		1,136,899
MetLife, Inc.
4.05%, 3/1/45		300		384,661
NFP Corp.
6.875%, 8/15/28(1)		1,911		2,042,725
Radian Group, Inc.
4.875%, 3/15/27		1,032		1,135,923
USI, Inc.
6.875%, 5/1/25(1)		3,948		4,058,998
			$	20,876,482
Internet Software & Services — 0.9%
Arches Buyer, Inc.
4.25%, 6/1/28(1)		1,268	$	1,286,481
6.125%, 12/1/28(1)		886		916,633
Cars.com, Inc.
6.375%, 11/1/28(1)		1,025		1,090,569
CDK Global, Inc.
5.25%, 5/15/29(1)		531		588,805
eDreams ODIGEO S.A.
5.50%, 9/1/23(12)	EUR	200		232,114
Expedia Group, Inc.
6.25%, 5/1/25(1)		487		564,692
7.00%, 5/1/25(1)		243		267,696
Netflix, Inc.
5.50%, 2/15/22		1,825		1,912,828
3.00%, 6/15/25(12)	EUR	100		131,108
4.875%, 4/15/28		1,665		1,880,334
5.875%, 11/15/28		1,810		2,172,968
5.375%, 11/15/29(1)		1,000		1,180,000
3.625%, 6/15/30(12)	EUR	350		487,605
4.875%, 6/15/30(1)		1,300		1,497,438
Science Applications International Corp.
4.875%, 4/1/28(1)		362		384,343

26

Security	Principal Amount* (000’s omitted)		Value
United Group BV
4.00%, 11/15/27(12)	EUR	200	$	244,657
			$	14,838,271
Leisure Goods/Activities/Movies — 1.0%
AMC Entertainment Holdings, Inc.
10.50%, 4/15/25(1)		1,249	$	889,132
Carnival Corp.
11.50%, 4/1/23(1)		531		614,778
7.625%, 3/1/26(1)		539		588,246
7.625%, 3/1/26(12)	EUR	133		172,748
Carnival PLC
1.00%, 10/28/29	EUR	220		194,074
Cinemark USA, Inc.
4.875%, 6/1/23		2,730		2,598,619
Explorer II AS
3.375%, 2/24/25	EUR	400		432,464
National CineMedia, LLC
5.875%, 4/15/28(1)		1,303		1,107,550
NCL Corp, Ltd.
3.625%, 12/15/24(1)		1,065		1,013,747
10.25%, 2/1/26(1)		955		1,119,737
5.875%, 3/15/26(1)		662		698,824
Royal Caribbean Cruises, Ltd.
7.50%, 10/15/27		306		334,114
3.70%, 3/15/28		692		614,682
Sabre GLBL, Inc.
9.25%, 4/15/25(1)		483		575,374
Viking Cruises, Ltd.
6.25%, 5/15/25(1)		1,690		1,662,360
5.875%, 9/15/27(1)		3,332		3,264,873
WMG Acquisition Corp.
3.625%, 10/15/26(12)	EUR	165		208,676
			$	16,089,998
Lodging and Casinos — 1.7%
Accor S.A.
4.375% to 1/30/24(12)(13)(14)	EUR	300	$	366,825
Caesars Resort Collection, LLC/CRC Finco, Inc.
5.25%, 10/15/25(1)		3,279		3,318,036
Gateway Casinos & Entertainment, Ltd.
8.25%, 3/1/24(1)		2,543		2,399,689
Golden Nugget, Inc.
6.75%, 10/15/24(1)		1,665		1,655,127
MGM Growth Properties Operating Partnership, L.P./MGP Finance Co-Issuer, Inc.
5.625%, 5/1/24		480		522,252
4.50%, 9/1/26		895		965,168
5.75%, 2/1/27		573		643,728
MGM Resorts International
7.75%, 3/15/22		2,300		2,453,813
5.75%, 6/15/25		948		1,049,934
4.75%, 10/15/28		1,637		1,757,721

27

Security	Principal Amount* (000’s omitted)		Value
Peninsula Pacific Entertainment, LLC/Peninsula Pacific Entertainment Finance, Inc.
8.50%, 11/15/27(1)		797	$	854,284
Stars Group Holdings B.V./Stars Group US Co-Borrower, LLC
7.00%, 7/15/26(1)		3,930		4,143,694
VICI Properties, L.P./VICI Note Co., Inc.
4.25%, 12/1/26(1)		1,653		1,717,012
3.75%, 2/15/27(1)		1,108		1,134,836
4.625%, 12/1/29(1)		1,574		1,686,840
4.125%, 8/15/30(1)		1,108		1,171,023
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp.
5.25%, 5/15/27(1)		812		838,492
			$	26,678,474
Machinery — 0.1%
Flowserve Corp.
3.50%, 10/1/30		244	$	260,526
nVent Finance S.a.r.l.
4.55%, 4/15/28		1,500		1,631,037
Sofima Holding SpA
3.75%, 1/15/28(12)	EUR	121		150,170
			$	2,041,733
Manufacturing — 0.2%
Novelis Corp.
5.875%, 9/30/26(1)		1,530	$	1,600,763
4.75%, 1/30/30(1)		1,068		1,152,628
			$	2,753,391
Media — 0.3%
Banijay Group S.A.S.
6.50%, 3/1/26(12)	EUR	150	$	184,691
Discovery Communications, LLC
4.65%, 5/15/50		300		375,565
Outfront Media Capital, LLC/Outfront Media Capital Corp.
6.25%, 6/15/25(1)		807		852,898
4.625%, 3/15/30(1)		127		129,970
Scripps Escrow, Inc.
5.875%, 7/15/27(1)		1,036		1,083,604
Scripps Escrow II, Inc.
5.375%, 1/15/31(1)		756		796,431
Tele Columbus AG
3.875%, 5/2/25(12)	EUR	300		369,267
Telenet Finance Luxembourg S.a.r.l.
3.50%, 3/1/28(12)	EUR	200		254,103
			$	4,046,529
Metals/Mining — 1.0%
Arconic Corp.
6.125%, 2/15/28(1)		2,573	$	2,778,840
Cleveland-Cliffs, Inc.
9.875%, 10/17/25(1)		443		521,633
6.75%, 3/15/26(1)		2,808		3,036,150

28

Security	Principal Amount* (000’s omitted)		Value
Compass Minerals International, Inc.
6.75%, 12/1/27(1)		3,005	$	3,262,859
Constellium N.V.
4.25%, 2/15/26(12)	EUR	150		187,435
5.875%, 2/15/26(1)		837		863,679
Freeport-McMoRan, Inc.
5.45%, 3/15/43		1,821		2,270,532
Hudbay Minerals, Inc.
6.125%, 4/1/29(1)		920		993,600
Joseph T. Ryerson & Son, Inc.
8.50%, 8/1/28(1)		1,062		1,204,706
			$	15,119,434
Nonferrous Metals/Minerals — 0.4%
Eldorado Gold Corp.
9.50%, 6/1/24(1)		419	$	463,475
First Quantum Minerals, Ltd.
7.25%, 4/1/23(1)		1,332		1,374,890
7.50%, 4/1/25(1)		1,615		1,683,637
New Gold, Inc.
6.375%, 5/15/25(1)		671		702,453
7.50%, 7/15/27(1)		1,621		1,796,271
			$	6,020,726
Oil and Gas — 5.0%
Aethon III BR, LLC
1.50%, 10/1/25(8)		2,366	$	2,340,684
Aker BP ASA
4.75%, 6/15/24(1)		1,106		1,144,483
AmeriGas Partners, L.P./AmeriGas Finance Corp.
5.625%, 5/20/24		216		233,280
5.50%, 5/20/25		880		976,800
Apache Corp.
4.625%, 11/15/25		605		636,006
4.875%, 11/15/27		755		801,432
4.375%, 10/15/28		767		799,582
4.25%, 1/15/30		1,529		1,608,317
Archrock Partners, L.P./Archrock Partners Finance Corp.
6.25%, 4/1/28(1)		756		788,856
Ascent Resources Utica Holdings, LLC/ARU Finance Corp.
7.00%, 11/1/26(1)		1,601		1,535,359
Berry Petroleum Co., LLC
7.00%, 2/15/26(1)		722		616,270
BP Capital Markets America, Inc.
2.772%, 11/10/50		544		538,259
Buckeye Partners, L.P.
4.50%, 3/1/28(1)		921		950,357
Cenovus Energy, Inc.
6.75%, 11/15/39		1,500		1,983,203
5.40%, 6/15/47		633		743,111
Centennial Resource Production, LLC
5.375%, 1/15/26(1)		1,535		1,074,500
6.875%, 4/1/27(1)		2,055		1,480,432

29

Security	Principal Amount* (000’s omitted)		Value
Chevron Corp.
3.078%, 5/11/50		500	$	555,959
CNX Resources Corp.
6.00%, 1/15/29(1)		844		866,248
Continental Resources, Inc.
4.375%, 1/15/28		1,220		1,246,584
5.75%, 1/15/31(1)		1,458		1,621,085
4.90%, 6/1/44		47		46,266
CrownRock, L.P./CrownRock Finance, Inc.
5.625%, 10/15/25(1)		3,677		3,757,434
CVR Energy, Inc.
5.75%, 2/15/28(1)		1,497		1,422,150
Double Eagle III Midco 1, LLC/Double Eagle Finance Corp.
7.75%, 12/15/25(1)		1,097		1,165,979
Endeavor Energy Resources, L.P./EER Finance, Inc.
6.625%, 7/15/25(1)		707		757,593
5.50%, 1/30/26(1)		1,045		1,074,286
5.75%, 1/30/28(1)		250		270,050
Energy Transfer Operating, L.P.
Series A, 6.25% to 2/15/23(13)(14)		1,045		833,387
5.875%, 1/15/24		875		983,936
Eni SpA
4.75%, 9/12/28(1)		1,000		1,223,917
EQT Corp.
7.875%, 2/1/25		407		464,039
5.00%, 1/15/29		335		354,035
8.75%, 2/1/30		594		726,907
Extraction Oil & Gas, Inc.
7.375%, 5/15/24(1)(17)		689		126,531
5.625%, 2/1/26(1)(17)		1,821		334,263
Gran Tierra Energy International Holdings, Ltd.
6.25%, 2/15/25(1)		550		375,380
Gran Tierra Energy, Inc.
7.75%, 5/23/27(1)		405		279,454
Great Western Petroleum, LLC/Great Western Finance Corp.
9.00%, 9/30/21(1)		2,423		1,429,570
Jagged Peak Energy, LLC
5.875%, 5/1/26		507		526,248
Laredo Petroleum, Inc.
9.50%, 1/15/25		414		360,569
10.125%, 1/15/28		622		529,944
Matador Resources Co.
5.875%, 9/15/26		1,543		1,514,069
MEG Energy Corp.
7.125%, 2/1/27(1)		1,300		1,345,500
Moss Creek Resources Holdings, Inc.
7.50%, 1/15/26(1)		1,915		1,460,187
Nabors Industries, Ltd.
7.25%, 1/15/26(1)		617		433,779
7.50%, 1/15/28(1)		665		457,404
National Oilwell Varco, Inc.
3.60%, 12/1/29		248		259,686
Neptune Energy Bondco PLC

30

Security	Principal Amount* (000’s omitted)		Value
6.625%, 5/15/25(1)		3,225	$	3,198,458
Nine Energy Service, Inc.
8.75%, 11/1/23(1)		500		224,533
Occidental Petroleum Corp.
3.45%, 7/15/24		244		233,630
2.90%, 8/15/24		97		93,508
3.40%, 4/15/26		455		434,652
8.50%, 7/15/27		1,965		2,271,393
3.50%, 8/15/29		599		549,145
8.875%, 7/15/30		1,685		1,980,928
6.625%, 9/1/30		1,511		1,642,835
6.125%, 1/1/31		1,203		1,290,458
6.20%, 3/15/40		480		477,600
4.625%, 6/15/45		499		436,191
4.20%, 3/15/48		931		758,765
4.40%, 8/15/49		748		631,817
Ovintiv Exploration, Inc.
5.625%, 7/1/24		246		264,227
5.375%, 1/1/26		675		724,835
Ovintiv, Inc.
8.125%, 9/15/30		248		303,020
6.50%, 2/1/38		43		48,062
Parsley Energy, LLC/Parsley Finance Corp.
5.375%, 1/15/25(1)		1,240		1,277,541
5.25%, 8/15/25(1)		1,170		1,221,480
Patterson-UTI Energy, Inc.
3.95%, 2/1/28		1,310		1,210,652
Petrobras Global Finance B.V.
6.90%, 3/19/49		850		1,079,500
Petroleos Mexicanos
6.75%, 9/21/47		1,747		1,640,616
Precision Drilling Corp.
7.75%, 12/15/23		216		199,125
5.25%, 11/15/24		303		263,042
7.125%, 1/15/26(1)		500		436,780
Seven Generations Energy, Ltd.
6.875%, 6/30/23(1)		243		246,923
5.375%, 9/30/25(1)		1,710		1,745,252
Shelf Drilling Holdings, Ltd.
8.25%, 2/15/25(1)		2,715		1,259,081
Shell International Finance B.V.
2.375%, 11/7/29		500		538,038
3.75%, 9/12/46		400		484,421
Southwestern Energy Co.
7.50%, 4/1/26		98		102,949
7.75%, 10/1/27		289		312,575
8.375%, 9/15/28		1,007		1,094,483
Targa Resources Partners, L.P./Targa Resources Partners Finance Corp.
5.875%, 4/15/26		985		1,046,164
6.50%, 7/15/27		566		615,525
Tervita Corp.
11.00%, 12/1/25(1)		1,072		1,157,020
Transocean Guardian, Ltd.

31

Security	Principal Amount* (000’s omitted)		Value
5.875%, 1/15/24(1)		827	$	696,579
Transocean Pontus, Ltd.
6.125%, 8/1/25(1)		566		538,987
Transocean Poseidon, Ltd.
6.875%, 2/1/27(1)		386		352,225
Williams Cos., Inc. (The)
5.75%, 6/24/44		790		1,025,310
			$	79,161,695
Packaging & Containers — 0.3%
ARD Finance S.A.
6.50%, (6.50% cash or 7.25% PIK), 6/30/27(1)(18)		1,933	$	2,065,894
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC
6.00%, 9/15/28(1)		664		683,505
Silgan Holdings, Inc.
2.25%, 6/1/28	EUR	1,070		1,330,002
Smurfit Kappa Treasury ULC
1.50%, 9/15/27(12)	EUR	145		185,733
Trivium Packaging Finance B.V.
3.75%, 8/15/26(12)	EUR	280		352,965
5.50%, 8/15/26(1)		779		825,253
			$	5,443,352
Pharmaceuticals — 0.3%
Cheplapharm Arzneimittel GmbH
4.375%, 1/15/28(12)	EUR	218	$	273,795
5.50%, 1/15/28(1)		668		698,895
CVS Health Corp.
4.78%, 3/25/38		1,080		1,364,476
Diocle SpA
3.875%, (3 mo. EURIBOR + 3.875%), 6/30/26(2)(12)	EUR	126		154,359
Herbalife Nutrition, Ltd./HLF Financing, Inc.
7.875%, 9/1/25(1)		1,169		1,278,594
Merck & Co., Inc.
2.45%, 6/24/50		400		414,162
Pfizer, Inc.
2.70%, 5/28/50		500		537,570
Rossini S.a.r.l.
3.875%, (3 mo. EURIBOR + 3.875%), 10/30/25(2)(12)	EUR	300		366,037
			$	5,087,888
Pipelines — 0.9%
Antero Midstream Partners, L.P./Antero Midstream Finance Corp.
7.875%, 5/15/26(1)		879	$	909,835
5.75%, 3/1/27(1)		1,874		1,844,719
Cheniere Energy Partners, L.P.
4.50%, 10/1/29		1,722		1,824,063
Cheniere Energy, Inc.
4.625%, 10/15/28(1)		1,122		1,179,502
Crestwood Midstream Partners, L.P./Crestwood Midstream Finance Corp.
5.625%, 5/1/27(1)		1,060		1,051,388
EnLink Midstream, LLC
5.625%, 1/15/28(1)		304		311,291

32

Security	Principal Amount* (000’s omitted)		Value
5.375%, 6/1/29		653	$	636,267
EQM Midstream Partners, L.P.
6.00%, 7/1/25(1)		699		766,279
6.50%, 7/1/27(1)		702		791,470
Genesis Energy, L.P./Genesis Energy Finance Corp.
8.00%, 1/15/27		435		433,913
Kinder Morgan, Inc.
5.05%, 2/15/46		500		612,825
Magellan Midstream Partners, L.P.
4.20%, 10/3/47		300		342,725
Plains All American Pipeline, L.P.
Series B, 6.125% to 11/15/22(13)(14)		2,344		1,910,360
TransCanada PipeLines, Ltd.
4.75%, 5/15/38		390		487,988
Western Midstream Operating, L.P.
4.50%, 3/1/28		148		153,920
4.75%, 8/15/28		150		156,375
5.05%, 2/1/30		1,187		1,322,122
			$	14,735,042
Private Equity — 0.0%(7)
KKR Group Finance Co. VII, LLC
3.625%, 2/25/50(1)		400	$	446,467
			$	446,467
Publishing — 0.1%
Nielsen Finance, LLC/Nielsen Finance Co.
5.625%, 10/1/28(1)		447	$	486,526
5.875%, 10/1/30(1)		447		506,507
			$	993,033
Radio and Television — 1.1%
Clear Channel Worldwide Holdings, Inc.
9.25%, 2/15/24		1,554	$	1,577,473
5.125%, 8/15/27(1)		740		748,325
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.375%, 8/15/26(1)		2,646		2,154,836
iHeartCommunications, Inc.
6.375%, 5/1/26		179		191,901
8.375%, 5/1/27		2,130		2,277,875
Nexstar Broadcasting, Inc.
5.625%, 7/15/27(1)		1,312		1,407,533
Nielsen Co. Luxembourg S.a.r.l. (The)
5.50%, 10/1/21(1)		300		301,595
Sirius XM Radio, Inc.
4.625%, 7/15/24(1)		1,595		1,654,813
5.00%, 8/1/27(1)		1,609		1,711,936
Terrier Media Buyer, Inc.
8.875%, 12/15/27(1)		3,987		4,403,143
Townsquare Media, Inc.
6.875%, 2/1/26(1)(15)		1,135		1,192,062
			$	17,621,492

33

Security	Principal Amount* (000’s omitted)		Value
Real Estate Investment Trusts (REITs) — 0.6%
ADLER Group S.A.
3.25%, 8/5/25(12)	EUR	100	$	127,565
Consus Real Estate AG
9.625%, 5/15/24(12)	EUR	250		329,195
Corporate Office Properties, L.P.
2.25%, 3/15/26		292		304,702
HAT Holdings I, LLC/HAT Holdings II, LLC
6.00%, 4/15/25(1)		716		767,015
3.75%, 9/15/30(1)		905		943,462
Newmark Group, Inc.
6.125%, 11/15/23		2,126		2,313,639
Service Properties Trust
7.50%, 9/15/25		993		1,144,920
4.75%, 10/1/26		995		985,050
5.50%, 12/15/27		307		335,814
3.95%, 1/15/28		1,626		1,574,171
4.95%, 10/1/29		158		158,691
WP Carey, Inc.
3.85%, 7/15/29		159		182,825
			$	9,167,049
Retail — 0.4%
Dufry One B.V.
2.00%, 2/15/27(12)	EUR	200	$	229,976
eG Global Finance PLC
6.25%, 10/30/25(12)	EUR	300		378,479
Ferrellgas, L.P./Ferrellgas Finance Corp.
10.00%, 4/15/25(1)		1,215		1,344,725
Group 1 Automotive, Inc.
4.00%, 8/15/28(1)		895		923,667
Ken Garff Automotive, LLC
4.875%, 9/15/28(1)		957		997,074
Penske Automotive Group, Inc.
3.50%, 9/1/25		1,110		1,129,425
Stonegate Pub Co. Financing 2019 PLC
8.25%, 7/31/25(12)	GBP	100		138,938
Walmart, Inc.
2.95%, 9/24/49		500		576,523
			$	5,718,807
Retailers (Except Food and Drug) — 0.8%
Academy, Ltd.
6.00%, 11/15/27(1)		971	$	1,019,550
Asbury Automotive Group, Inc.
4.50%, 3/1/28		312		326,820
4.75%, 3/1/30		410		440,238
Burlington Coat Factory Warehouse Corp.
6.25%, 4/15/25(1)		1,000		1,063,750
Dave & Buster’s, Inc.
7.625%, 11/1/25(1)		1,882		1,985,510

34

Security	Principal Amount* (000’s omitted)		Value
L Brands, Inc.
6.875%, 7/1/25(1)		451	$	490,368
9.375%, 7/1/25(1)		316		389,075
6.625%, 10/1/30(1)		884		985,107
6.875%, 11/1/35		1,651		1,856,343
6.75%, 7/1/36		437		487,692
7.60%, 7/15/37		254		273,050
Macy’s Retail Holdings, LLC
4.30%, 2/15/43		1,252		905,822
Murphy Oil USA, Inc.
5.625%, 5/1/27		560		594,194
4.75%, 9/15/29		728		776,095
Nordstrom, Inc.
4.375%, 4/1/30		158		155,933
5.00%, 1/15/44		775		727,682
			$	12,477,229
Semiconductors & Semiconductor Equipment — 0.2%
ON Semiconductor Corp.
3.875%, 9/1/28(1)		1,544	$	1,596,110
Sensata Technologies UK Financing Co. PLC
6.25%, 2/15/26(1)		1,588		1,653,505
			$	3,249,615
Software and Services — 0.4%
Black Knight InfoServ, LLC
3.625%, 9/1/28(1)		752	$	770,800
Gartner, Inc.
4.50%, 7/1/28(1)		908		959,075
3.75%, 10/1/30(1)		660		693,825
Microsoft Corp.
2.525%, 6/1/50		750		790,951
Oracle Corp.
2.95%, 4/1/30		1,500		1,677,653
Rackspace Technology Global, Inc.
5.375%, 12/1/28(1)		1,500		1,574,362
			$	6,466,666
Steel — 0.6%
Allegheny Ludlum, LLC
6.95%, 12/15/25		225	$	242,695
Allegheny Technologies, Inc.
7.875%, 8/15/23		4,801		5,266,433
5.875%, 12/1/27		434		457,599
Big River Steel, LLC/BRS Finance Corp.
6.625%, 1/31/29(1)		1,433		1,550,327
Infrabuild Australia Pty, Ltd.
12.00%, 10/1/24(1)		2,494		2,534,527
thyssenkrupp AG
2.875%, 2/22/24(12)	EUR	100		123,474
			$	10,175,055

35

Security	Principal Amount* (000’s omitted)		Value
Surface Transport — 0.4%
Anglian Water Osprey Financing PLC
4.00%, 3/8/26(12)	GBP	325	$	448,549
CMA CGM S.A.
5.25%, 1/15/25(12)	EUR	185		226,050
Moto Finance PLC
4.50%, 10/1/22(12)	GBP	250		333,995
XPO Logistics, Inc.
6.50%, 6/15/22(1)		2,276		2,287,665
6.125%, 9/1/23(1)		2,221		2,264,032
			$	5,560,291
Technology — 0.5%
Dell International, LLC/EMC Corp.
5.875%, 6/15/21(1)		66	$	66,201
7.125%, 6/15/24(1)		2,440		2,533,025
5.85%, 7/15/25(1)		504		605,801
6.02%, 6/15/26(1)		1,945		2,375,938
6.10%, 7/15/27(1)		1,016		1,263,443
6.20%, 7/15/30(1)		507		659,715
Western Union Co. (The)
6.20%, 11/17/36		872		1,109,223
			$	8,613,346
Telecommunications — 3.0%
Altice Financing S.A.
2.25%, 1/15/25(12)	EUR	100	$	118,286
Altice Finco S.A.
4.75%, 1/15/28(12)	EUR	716		849,987
Altice France Holding S.A.
10.50%, 5/15/27(1)		1,599		1,797,876
4.00%, 2/15/28(12)	EUR	1,108		1,294,369
6.00%, 2/15/28(1)		719		729,487
AT&T, Inc.
3.55%, 9/15/55(1)		1,589		1,583,688
CenturyLink, Inc.
7.50%, 4/1/24		47		53,286
Connect Finco S.a.r.l./Connect US Finco, LLC
6.75%, 10/1/26(1)		2,698		2,909,982
DKT Finance ApS
9.375%, 6/17/23(1)		201		208,525
eircom Finance DAC
3.50%, 5/15/26(12)	EUR	200		249,998
Equinix, Inc.
2.875%, 2/1/26	EUR	220		273,587
Hughes Satellite Systems Corp.
5.25%, 8/1/26		1,245		1,378,601
6.625%, 8/1/26		770		873,973
Level 3 Financing, Inc.
5.375%, 1/15/24		2,190		2,215,065
Lorca Telecom Bondco S.A.U.
4.00%, 9/18/27(12)	EUR	135		174,059

36

Security	Principal Amount* (000’s omitted)		Value
Matterhorn Telecom S.A.
3.125%, 9/15/26(12)	EUR	200	$	242,985
PLT VII Finance S.a.r.l.
4.625%, 1/5/26(12)	EUR	200		254,445
SBA Communications Corp.
4.00%, 10/1/22		1,020		1,032,113
4.875%, 9/1/24		460		472,411
SoftBank Group Corp.
4.00%, 4/20/23(12)	EUR	200		255,606
3.125%, 9/19/25(12)	EUR	250		314,346
Sprint Capital Corp.
6.875%, 11/15/28		840		1,109,098
Sprint Communications, Inc.
6.00%, 11/15/22		365		395,569
Sprint Corp.
7.25%, 9/15/21		3,265		3,401,314
7.875%, 9/15/23		9,822		11,384,189
7.625%, 2/15/25		1,785		2,137,912
7.625%, 3/1/26		993		1,234,011
Summer (BC) Holdco A S.a.r.l.
9.25%, 10/31/27(12)	EUR	180		233,341
Summer (BC) Holdco B S.a.r.l.
5.75%, 10/31/26(12)	EUR	150		193,803
T-Mobile USA, Inc.
6.50%, 1/15/26		595		616,569
4.50%, 2/1/26		980		1,003,726
4.75%, 2/1/28		1,045		1,124,566
3.875%, 4/15/30(1)		1,000		1,159,260
Telecom Italia Capital S.A.
6.00%, 9/30/34		1,271		1,551,370
Telecom Italia Finance S.A.
7.75%, 1/24/33	EUR	185		334,394
Telecom Italia SpA
2.50%, 7/19/23(12)	EUR	400		512,238
5.303%, 5/30/24(1)		1,118		1,217,530
2.75%, 4/15/25(12)	EUR	256		328,415
3.00%, 9/30/25(12)	EUR	140		182,813
ViaSat, Inc.
5.625%, 4/15/27(1)		796		837,293
Vmed O2 UK Financing I PLC
3.25%, 1/31/31(12)	EUR	400		503,819
4.25%, 1/31/31(1)		474		485,442
Vodafone Group PLC
4.875% to 7/3/25, 10/3/78(12)(13)	GBP	350		524,214
VTR Comunicaciones SpA
5.125%, 1/15/28(1)		590		629,294
			$	48,382,855
Transportation — 0.4%
A.P. Moller – Maersk A/S
4.50%, 6/20/29(1)		1,000	$	1,173,144
Cargo Aircraft Management, Inc.
4.75%, 2/1/28(1)		716		739,718

37

Security	Principal Amount* (000’s omitted)		Value
FedEx Corp.
4.10%, 2/1/45		500	$	591,380
Watco Cos., LLC/Watco Finance Corp.
6.50%, 6/15/27(1)		1,900		2,060,312
XPO CNW, Inc.
6.70%, 5/1/34		1,000		1,193,368
			$	5,757,922
Utilities — 1.1%
AES Corp. (The)
2.45%, 1/15/31(1)		556	$	563,663
Calpine Corp.
5.25%, 6/1/26(1)		697		722,092
4.50%, 2/15/28(1)		1,073		1,117,530
5.125%, 3/15/28(1)		1,511		1,591,665
4.625%, 2/1/29(1)		680		700,250
5.00%, 2/1/31(1)		910		952,315
ENERGO-PRO AS
4.50%, 5/4/24(12)	EUR	450		537,109
NextEra Energy Operating Partners, L.P.
4.25%, 9/15/24(1)		60		64,275
4.50%, 9/15/27(1)		851		954,626
NRG Energy, Inc.
7.25%, 5/15/26		1,278		1,350,207
5.75%, 1/15/28		1,455		1,592,316
3.375%, 2/15/29(1)		664		681,048
5.25%, 6/15/29(1)		673		741,858
3.625%, 2/15/31(1)		1,107		1,140,957
TerraForm Power Operating, LLC
4.25%, 1/31/23(1)		655		678,334
5.00%, 1/31/28(1)		1,497		1,684,911
Vistra Operations Co., LLC
5.00%, 7/31/27(1)		1,278		1,355,958
4.30%, 7/15/29(1)		202		229,348
			$	16,658,462
Total Corporate Bonds & Notes (identified cost $772,681,999)			$	817,492,739
Foreign Government Securities — 5.0%
Security	Principal Amount* (000’s omitted)		Value
Argentina — 0.1%
Republic of Argentina
0.125% to 1/29/21, 7/9/35(16)		2,741	$	1,005,796
0.125% to 1/29/21, 7/9/41(16)		750		284,441
Total Argentina			$	1,290,237

38

Security	Principal Amount* (000’s omitted)		Value
Bahrain — 0.4%
CBB International Sukuk Programme Co.
6.25%, 11/14/24(12)		665	$	734,762
Kingdom of Bahrain
6.75%, 9/20/29(12)		1,040		1,197,935
7.00%, 1/26/26(12)		402		469,036
7.00%, 10/12/28(12)		728		845,061
7.375%, 5/14/30(12)		2,804		3,339,775
Total Bahrain			$	6,586,569
Barbados — 0.2%
Government of Barbados
6.50%, 10/1/29(1)		3,080	$	3,133,595
Total Barbados			$	3,133,595
Belarus — 0.2%
Republic of Belarus
5.875%, 2/24/26(12)		440	$	452,544
6.875%, 2/28/23(12)		2,615		2,740,873
Total Belarus			$	3,193,417
Benin — 0.2%
Benin Government International Bond
5.75%, 3/26/26(12)	EUR	1,928	$	2,494,424
Total Benin			$	2,494,424
Brazil — 0.1%
Federative Republic of Brazil
4.625%, 1/13/28		1,850	$	2,076,061
Total Brazil			$	2,076,061
Colombia — 0.2%
Republic of Colombia
4.50%, 3/15/29		1,550	$	1,797,705
6.125%, 1/18/41		1,000		1,345,000
Total Colombia			$	3,142,705
Dominican Republic — 0.4%
Dominican Republic
4.50%, 1/30/30(12)		2,600	$	2,830,750
5.875%, 1/30/60(12)		1,470		1,624,350
6.85%, 1/27/45(12)		436		533,555
7.45%, 4/30/44(12)		868		1,125,145
Total Dominican Republic			$	6,113,800
Ecuador — 0.2%
Republic of Ecuador
0.50% to 7/31/21, 7/31/30(12)(16)		1,557	$	1,002,054
0.50% to 7/31/21, 7/31/40(12)(16)		1,708		875,182
0.50%, 7/31/40(12)		2319		956, 710
Total Ecuador			$	2,833,946

39

Security	Principal Amount* (000’s omitted)		Value
Egypt — 0.5%
Arab Republic of Egypt
8.15%, 11/20/59(12)		2,338	$	2,579,095
8.50%, 1/31/47(12)		3,343		3,799,737
8.70%, 3/1/49(12)		1,463		1,696,166
8.875%, 5/29/50(12)		355		417,579
Total Egypt			$	8,492,577
Gabon — 0.0%(7)
Republic of Gabon
6.625%, 2/6/31(12)		494	$	511,318
Total Gabon			$	511,318
Ivory Coast — 0.2%
Ivory Coast Government International Bond
4.875%, 1/30/32(12)	EUR	433	$	545,309
5.25%, 3/22/30(12)	EUR	709		931,512
6.625%, 3/22/48(12)	EUR	897		1,217,570
6.875%, 10/17/40(12)	EUR	402		560,137
Total Ivory Coast			$	3,254,528
Jamaica — 0.2%
Jamaica Government International Bond
7.875%, 7/28/45		1,928	$	2,771,500
Total Jamaica			$	2,771,500
Jordan — 0.2%
Jordan Government International Bond
7.375%, 10/10/47(12)		2,600	$	3,039,508
Total Jordan			$	3,039,508
Lebanon — 0.0%(7)
Lebanese Republic
6.25%, 11/4/24(12)(17)		16	$	2,315
6.25%, 6/12/25(12)(17)		287		42,614
6.40%, 5/26/23(17)		13		1,829
6.65%, 4/22/24(12)(17)		715		98,312
6.65%, 11/3/28(12)(17)		207		29,185
6.75%, 11/29/27(12)(17)		4		570
6.85%, 3/23/27(12)(17)		412		58,389
6.85%, 5/25/29(17)		8		1,132
7.00%, 3/20/28(12)(17)		466		65,175
7.05%, 11/2/35(12)(17)		86		12,364
7.15%, 11/20/31(12)(17)		451		64,258
8.20%, 5/17/33(17)		156		21,060
8.25%, 5/17/34(17)		129		17,927
Total Lebanon			$	415,130

40

Security	Principal Amount (000’s omitted)		Value
Mongolia — 0.0%(7)
Mongolia Government International Bond
5.125%, 4/7/26(12)		200	$	216,248
Total Mongolia			$	216,248
Philippines — 0.2%
Republic of the Philippines
2.95%, 5/5/45		2,898	$	3,066,400
Total Philippines			$	3,066,400
Romania — 0.6%
Romania Government International Bond
2.625%, 12/2/40(12)	EUR	101	$	131,826
3.375%, 1/28/50(12)	EUR	2,768		3,899,733
3.624%, 5/26/30(12)	EUR	610		890,958
4.625%, 4/3/49(12)	EUR	2,495		4,127,061
Total Romania			$	9,049,578
Seychelles — 0.1%
Republic of Seychelles
8.00%, 1/1/26(12)		1,232	$	1,176,875
Total Seychelles			$	1,176,875
Suriname — 0.1%
Republic of Suriname
9.25%, 10/26/26(12)		3,121	$	2,003,058
Total Suriname			$	2,003,058
Turkey — 0.1%
Republic of Turkey
6.75%, 5/30/40		630	$	673,076
7.625%, 4/26/29		500		578,306
Total Turkey			$	1,251,382
Ukraine — 0.7%
Ukraine Government International Bond
0.00%, GDP-Linked, 5/31/40(1)(12)(19)		1,697	$	1,754,520
9.75%, 11/1/28(12)		7,659		9,444,696
Total Ukraine			$	11,199,216
United Arab Emirates — 0.1%
Abu Dhabi Government International Bond
3.125%, 9/30/49(12)		2,300	$	2,469,912
Total United Arab Emirates			$	2,469,912
Zambia — 0.0%(7)
Republic of Zambia
5.375%, 9/20/22(12)		402	$	211,156
8.50%, 4/14/24(12)		206		111,370
8.97%, 7/30/27(12)		200		106,003
Total Zambia			$	428,529
Total Foreign Government Securities (identified cost $73,670,106)			$	80,210,513

41

Mortgage Pass-Throughs — 16.9%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.50%, with maturity at 2050	$	29,625	$	31,327,182
3.00%, with various maturities to 2050		20,587		21,733,623
4.50%, with various maturities to 2048		803		851,475
5.50%, with maturity at 2032		381		432,562
6.50%, with various maturities to 2036		3,094		3,520,218
7.00%, with various maturities to 2036		2,848		3,261,133
7.13%, with maturity at 2023		20		19,889
7.50%, with various maturities to 2035		1,847		2,050,101
7.65%, with maturity at 2022		3		2,731
8.00%, with various maturities to 2030		456		469,141
8.50%, with various maturities to 2022		54		56,715
9.00%, with various maturities to 2031		30		32,920
9.50%, with various maturities to 2025		1		1,025
			$	63,758,715
Federal National Mortgage Association:
30-Year, 2.00%, TBA(20)	$	40,000	$	41,587,314
1.963%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037(21)		728		755,495
2.664%, (COF + 1.25%), with maturity at 2036(21)		647		664,871
2.825%, (1 yr. CMT + 2.265%), with maturity at 2036(21)		4,782		5,023,226
3.00%, with maturity at 2050		18,790		19,786,975
4.50%, with maturity at 2042		5,765		6,440,158
5.00%, with various maturities to 2040		5,631		6,453,947
5.50%, with various maturities to 2033		566		650,211
6.00%, with various maturities to 2029		813		867,991
6.332%, (COF + 2.00%, Floor 6.332%), with maturity at 2032(21)		1,214		1,343,690
6.50%, with various maturities to 2036		12,539		14,291,735
6.75%, with maturity at 2023		18		19,240
7.00%, with various maturities to 2037		3,195		3,646,241
7.50%, with various maturities to 2035		1,516		1,756,989
7.891%, with maturity at 2027(6)		127		138,465
8.00%, with various maturities to 2027		192		207,562
8.203%, with maturity at 2028(6)		27		29,920
8.23%, with maturity at 2024(6)		6		5,999
8.275%, with maturity at 2029(6)		30		32,903
8.29%, with maturity at 2027(6)		45		49,920
8.50%, with various maturities to 2037		455		514,915
9.00%, with various maturities to 2032		467		515,511
9.126%, with maturity at 2025(6)		2		1,625
9.50%, with various maturities to 2030		88		97,956
9.819%, with maturity at 2048		1,358		1,654,170
			$	106,537,029

42

Security	Principal Amount (000’s omitted)		Value
Government National Mortgage Association:
3.00%, with maturity at 2050	$	83,796	$	88,193,065
4.00%, with maturity at 2049		1,304		1,399,199
4.50%, with maturity at 2047		2,944		3,282,327
6.00%, with maturity at 2024		201		211,299
6.50%, with maturity at 2024		1,093		1,156,601
7.00%, with maturity at 2026		123		134,903
7.50%, with various maturities to 2032		2,195		2,418,376
8.00%, with various maturities to 2034		1,798		2,027,655
8.50%, with maturity at 2022		12		12,527
9.00%, with various maturities to 2025		234		254,299
9.50%, with various maturities to 2021		4		3,728
			$	99,093,979
Total Mortgage Pass-Throughs (identified cost $265,283,161)			$	269,389,723
Preferred Stocks — 0.2%
Security	Shares		Value
Building and Development — 0.1%
Brookfield Property Partners, L.P., Series A, 5.75%(9)		40,000	$	856,000
			$	856,000
Containers and Glass Products — 0.1%
LG Newco Holdco, Inc.(9)(10)		25,199	$	1,385,971
			$	1,385,971
Financial Services — 0.0%(7)
DBI Investors, Inc., Series A-1(8)(9)(10)		1,932	$	155,198
			$	155,198
Nonferrous Metals/Minerals — 0.0%(7)
ACNR Holdings, Inc., 15.00%, (PIK)(9)(10)		1,803	$	85,192
			$	85,192
Pipelines — 0.0%(7)
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(13)		31,500	$	566,370
			$	566,370
Retailers (Except Food and Drug) — 0.0%(7)
David’s Bridal, LLC, Series A, 8.00% (PIK)(8)(9)(10)		1,136	$	90,880
David’s Bridal, LLC, Series B, 10.00% (PIK)(8)(9)(10)		4,631		374,926
			$	465,806

43

Security	Shares		Value
Telecommunications — 0.0%(7)
United States Cellular Corp., 6.25%(9)		18,950	$	503,122
			$	503,122
Total Preferred Stocks (identified cost $3,900,629)			$	4,017,659
Senior Floating-Rate Loans — 48.4%(22)
Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 1.1%
Aernnova Aerospace S.A.U.
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing February 22, 2027	EUR	204	$	232,072
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing February 26, 2027	EUR	796		905,080
AI Convoy (Luxembourg) S.a.r.l.
Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), Maturing January 17, 2027	EUR	1,000		1,221,841
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing January 17, 2027		744		745,073
Dynasty Acquisition Co., Inc.
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026		354		338,770
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.50%), Maturing April 6, 2026		659		630,112
IAP Worldwide Services, Inc.
Revolving Loan, 1.38%, (3 mo. USD LIBOR + 5.50%, Floor 1.50%), Maturing July 19, 2021(23)		172		170,592
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 6.50%, Floor 1.50%), Maturing July 18, 2021(8)		223		177,373
Spirit Aerosystems, Inc.
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.25%, Floor 0.75%), Maturing January 30, 2025		400		405,250
TransDigm, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing August 22, 2024		1,364		1,341,099
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing December 9, 2025		5,488		5,391,994
WP CPP Holdings, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing April 30, 2025		6,603		6,205,173
			$	17,764,429
Air Transport — 0.2%
JetBlue Airways Corporation
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing June 17, 2024		390	$	402,258
Mileage Plus Holdings, LLC
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing June 25, 2027		750		782,864
SkyMiles IP, Ltd.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing October 20, 2027		1,950		2,025,806
			$	3,210,928
Automotive — 1.2%
Adient US, LLC
Term Loan, 4.41%, (USD LIBOR + 4.25%), Maturing May 6, 2024(24)		714	$	715,375

44

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
American Axle and Manufacturing, Inc.
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing April 6, 2024		2,414	$	2,385,663
Autokiniton US Holdings, Inc.
Term Loan, 6.52%, (1 mo. USD LIBOR + 6.38%), Maturing May 22, 2025		829		824,606
Bright Bidco B.V.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing June 30, 2024		1,739		1,014,019
Chassix, Inc.
Term Loan, 6.50%, (USD LIBOR + 5.50%, Floor 1.00%), Maturing November 15, 2023(24)		1,455		1,396,800
Clarios Global, L.P.
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), Maturing April 30, 2026	EUR	1,450		1,768,596
Dayco Products, LLC
Term Loan, 4.48%, (3 mo. USD LIBOR + 4.25%), Maturing May 19, 2023		1,158		895,520
Garrett LX III S.a.r.l.
Term Loan, 5.75%, (USD Prime + 2.50%), Maturing September 27, 2025		295		290,697
Garrett Motion, Inc.
DIP Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing March 15, 2021		62		62,452
IAA, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing June 28, 2026		581		579,774
Les Schwab Tire Centers
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), Maturing November 2, 2027		2,525		2,528,156
Tenneco, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		3,700		3,623,967
Thor Industries, Inc.
Term Loan, 3.94%, (1 mo. USD LIBOR + 3.75%), Maturing February 1, 2026		1,085		1,086,005
TI Group Automotive Systems, LLC
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.75%), Maturing December 16, 2024		1,341		1,343,996
Term Loan, 4.50%, (3 mo. EURIBOR + 3.75%, Floor 0.75%), Maturing December 16, 2024	EUR	903		1,113,704
			$	19,629,330
Brokerage/Securities Dealers/Investment Houses — 0.2%
Advisor Group, Inc.
Term Loan, 5.15%, (1 mo. USD LIBOR + 5.00%), Maturing July 31, 2026		1,163	$	1,158,161
Clipper Acquisitions Corp.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing December 27, 2024		1,237		1,227,474
			$	2,385,635
Building and Development — 1.7%
ACProducts, Inc.
Term Loan, 7.50%, (6 mo. USD LIBOR + 6.50%, Floor 1.00%), Maturing August 18, 2025		393	$	404,030
Advanced Drainage Systems, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing July 31, 2026		206		205,936
American Builders & Contractors Supply Co., Inc.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2027		2,419		2,400,221
American Residential Services, LLC
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), Maturing October 15, 2027		575		574,641

45

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
APi Group DE, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing October 1, 2026		1,510	$	1,506,919
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing October 1, 2026		300		300,188
Beacon Roofing Supply, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing January 2, 2025		632		628,833
Brookfield Property REIT, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing August 27, 2025		1,002		953,844
Core & Main L.P.
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing August 1, 2024		1,169		1,167,221
CPG International, Inc.
Term Loan, 4.75%, (12 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing May 5, 2024		976		978,480
Cushman & Wakefield U.S. Borrower, LLC
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing August 21, 2025		5,783		5,677,744
LSF11 Skyscraper Holdco S.a.r.l.
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), Maturing September 29, 2027	EUR	1,000		1,226,231
Quikrete Holdings, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing February 1, 2027		2,975		2,964,431
RE/MAX International, Inc.
Term Loan, 3.50%, (3 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing December 15, 2023		2,193		2,193,432
Realogy Group, LLC
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing February 8, 2025		894		881,686
Werner FinCo L.P.
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing July 24, 2024		1,017		1,016,542
White Cap Buyer, LLC
Term Loan, 4.50%, (6 mo. USD LIBOR + 4.00%, Floor 0.50%), Maturing October 19, 2027		2,100		2,102,625
WireCo WorldGroup, Inc.
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing September 30, 2023		1,335		1,279,943
Term Loan—Second Lien, 10.00%, (6 mo. USD LIBOR + 9.00%, Floor 1.00%), Maturing September 30, 2024		1,425		1,182,750
			$	27,645,697
Business Equipment and Services — 4.4%
Adevinta ASA
Term Loan, Maturing October 13, 2027(25)		300	$	300,563
Term Loan, Maturing October 13, 2027(25)	EUR	2,000		2,455,517
Adtalem Global Education, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing April 11, 2025		414		411,785
Airbnb, Inc.
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing April 17, 2025		796		863,660
AlixPartners, LLP
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing April 4, 2024	EUR	1,749		2,134,605
Allied Universal Holdco, LLC
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing July 10, 2026		2,747		2,740,874
Amentum Government Services Holdings, LLC
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing February 1, 2027		1,020		1,018,600

46

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
AppLovin Corporation
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing August 15, 2025		2,256	$	2,253,603
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing August 15, 2025		670		669,833
ASGN Incorporated
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing April 2, 2025		313		313,598
Asplundh Tree Expert, LLC
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing September 7, 2027		1,122		1,126,997
BidFair MergeRight, Inc
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing January 15, 2027		643		647,325
Bracket Intermediate Holding Corp.
Term Loan, 4.48%, (3 mo. USD LIBOR + 4.25%), Maturing September 5, 2025		929		919,339
Brand Energy & Infrastructure Services, Inc.
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing June 21, 2024		579		566,374
Camelot U.S. Acquisition 1 Co.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing October 30, 2026		1,832		1,825,548
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing October 30, 2026		1,075		1,074,776
Cardtronics USA, Inc.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing June 29, 2027		547		548,481
CCC Information Services, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing April 29, 2024		1,919		1,917,467
Ceridian HCM Holding, Inc.
Term Loan, 2.60%, (1 week USD LIBOR + 2.50%), Maturing April 30, 2025		1,515		1,498,395
CM Acquisition Co.
Term Loan, 11.00%, (3 mo. USD LIBOR + 10.00%, Floor 1.00%), Maturing July 26, 2023		260		240,408
Deerfield Dakota Holding, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing April 9, 2027		1,965		1,971,266
EAB Global, Inc.
Term Loan, 4.75%, (USD LIBOR + 3.75%, Floor 1.00%), Maturing November 15, 2024(24)		1,386		1,380,616
EIG Investors Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 9, 2023		3,033		3,035,155
Garda World Security Corporation
Term Loan, 4.99%, (3 mo. USD LIBOR + 4.75%), Maturing October 30, 2026		859		861,516
Greeneden U.S. Holdings II, LLC
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing December 1, 2027	EUR	750		918,385
Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), Maturing December 1, 2027		825		827,965
IG Investment Holdings, LLC
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing May 23, 2025		2,880		2,879,234
Illuminate Buyer, LLC
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing June 30, 2027		798		799,496
IRI Holdings, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing December 1, 2025		9,957		9,882,552

47

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Iron Mountain, Inc.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing January 2, 2026		900	$	894,315
Ivanti Software, Inc.
Term Loan, 5.75%, (1 mo. USD LIBOR + 4.75%, Floor 1.00%), Maturing December 1, 2027		2,500		2,500,780
KAR Auction Services, Inc.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing September 19, 2026		642		630,910
KUEHG Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 21, 2025		2,271		2,166,911
Term Loan - Second Lien, 9.25%, (3 mo. USD LIBOR + 8.25%, Floor 1.00%), Maturing August 22, 2025		425		399,500
LGC Group Holdings, Ltd.
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), Maturing April 21, 2027	EUR	1,000		1,208,416
Loire Finco Luxembourg S.a.r.l.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing April 21, 2027		348		343,464
Monitronics International, Inc.
Term Loan, 7.75%, (1 mo. USD LIBOR + 6.50%, Floor 1.25%), Maturing March 29, 2024		1,998		1,782,994
Packaging Coordinators Midco, Inc.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing September 25, 2027		1,100		1,102,750
PGX Holdings, Inc.
Term Loan, 10.50%, (12 mo. USD LIBOR + 9.50%, Floor 1.00%), 6.25% cash, 4.25% PIK, Maturing September 29, 2023		1,289		1,039,910
Prime Security Services Borrower, LLC
Term Loan, 4.25%, (USD LIBOR + 3.25%, Floor 1.00%), Maturing  September 23, 2026(24)		1,544		1,549,569
Rockwood Service Corporation
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing January 23, 2027		496		496,560
SMG US Midco 2, Inc.
Term Loan, 2.69%, (USD LIBOR + 2.50%), Maturing January 23, 2025(24)		243		229,794
Speedster Bidco GmbH
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing March 31, 2027	EUR	1,000		1,204,089
Spin Holdco, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing November 14, 2022		3,828		3,813,964
Techem Verwaltungsgesellschaft 675 mbH
Term Loan, 2.63%, (6 mo. EURIBOR + 2.63%), Maturing July 15, 2025	EUR	826		1,000,364
Tempo Acquisition, LLC
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), Maturing November 2, 2026		850		845,647
Vestcom Parent Holdings, Inc.
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing December 19, 2023		599		589,645
West Corporation
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing October 10, 2024		341		329,573
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing October 10, 2024		1,188		1,154,830
Zephyr Bidco Limited
Term Loan, 4.52%, (1 mo. GBP LIBOR + 4.50%), Maturing July 23, 2025	GBP	775		1,043,254
			$	70,411,172

48

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Cable and Satellite Television — 1.9%
CSC Holdings, LLC
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025		3,923	$	3,879,858
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026		1,056		1,041,476
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2027		1,348		1,339,543
Numericable Group S.A.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing July 31, 2025		2,075		2,036,496
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing July 31, 2025	EUR	507		609,580
Telenet International Finance S.a.r.l.
Term Loan, 2.25%, (6 mo. EURIBOR + 2.25%), Maturing April 30, 2029	EUR	3,750		4,579,145
UPC Broadband Holding B.V.
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing April 30, 2028		900		892,406
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing January 31, 2029	EUR	500		613,933
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing January 31, 2029	EUR	500		613,933
Term Loan, 3.67%, (2 mo. USD LIBOR + 3.50%), Maturing January 31, 2029		1,825		1,829,106
Term Loan, 3.67%, (2 mo. USD LIBOR + 3.50%), Maturing January 31, 2029		1,825		1,829,106
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing April 30, 2029	EUR	1,500		1,826,749
Virgin Media Bristol, LLC
Term Loan, Maturing January 31, 2029(25)		1,150		1,150,359
Virgin Media SFA Finance Limited
Term Loan, 3.28%, (1 mo. GBP LIBOR + 3.25%), Maturing November 15, 2027	GBP	1,500		2,009,859
Term Loan, 2.50%, (6 mo. EURIBOR + 2.50%), Maturing January 31, 2029	EUR	1,300		1,588,542
Ziggo B.V.
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing January 31, 2029	EUR	3,750		4,579,396
			$	30,419,487
Chemicals and Plastics — 2.1%
Alpha 3 B.V.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing January 31, 2024		669	$	667,564
Aruba Investments, Inc.
Term Loan, 4.00%, (6 mo. EURIBOR + 4.00%), Maturing October 28, 2027	EUR	1,000		1,221,650
Caldic B.V.
Term Loan, 2.75%, (3 mo. EURIBOR + 2.75%), Maturing July 18, 2024	EUR	1,000		1,203,325
Emerald Performance Materials, LLC
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing August 12, 2025		1,914		1,926,945
Ferro Corporation
Term Loan, 2.50%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		337		334,761
Term Loan, 2.50%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		344		342,038
Term Loan, 2.50%, (3 mo. USD LIBOR + 2.25%), Maturing February 14, 2024		481		478,594
Flint Group GmbH
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, Maturing September 21, 2023		187		176,178
Flint Group US, LLC
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), 5.25% cash, 0.75% PIK, Maturing September 21, 2023		1,130		1,065,729
Hexion, Inc.
Term Loan, 3.73%, (3 mo. USD LIBOR + 3.50%), Maturing July 1, 2026		763		761,944
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing July 1, 2026	EUR	1,075		1,313,274

49

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
INEOS Enterprises Holdings II Limited
Term Loan, 4.25%, (3 mo. EURIBOR + 3.25%, Floor 1.00%), Maturing August 28, 2026	EUR	200	$	243,458
INEOS Enterprises Holdings US Finco, LLC
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%),  Maturing August 28, 2026		223		223,030
INEOS Finance PLC
Term Loan, 2.50%, (1 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing April 1, 2024	EUR	1,221		1,474,881
INEOS Styrolution Group GmbH
Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing January 29, 2027	EUR	1,000		1,216,741
Inovyn Finance PLC
Term Loan, 2.50%, (3 mo. EURIBOR + 2.00%, Floor 0.50%), Maturing March 9, 2027	EUR	1,000		1,219,687
Messer Industries GmbH
Term Loan, 2.75%, (3 mo. USD LIBOR + 2.50%), Maturing March 1, 2026		1,597		1,586,833
Minerals Technologies, Inc.
Term Loan, 3.00%, (USD LIBOR + 2.25%, Floor 0.75%), Maturing February 14, 2024(24)		922		922,692
Momentive Performance Materials, Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing May 15, 2024		468		462,757
Orion Engineered Carbons GmbH
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing July 25, 2024	EUR	955		1,166,415
Term Loan, 2.25%, (3 mo. USD LIBOR + 2.00%), Maturing July 25, 2024		699		691,712
PMHC II, Inc.
Term Loan, 4.50%, (12 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing March 31, 2025		2,664		2,503,766
PQ Corporation
Term Loan, 2.46%, (3 mo. USD LIBOR + 2.25%), Maturing February 7, 2027		1,173		1,168,657
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing February 7, 2027		1,449		1,451,052
Pregis TopCo Corporation
Term Loan, 3.90%, (1 mo. USD LIBOR + 3.75%), Maturing July 31, 2026		644		641,623
Rohm Holding GmbH
Term Loan, 5.32%, (6 mo. USD LIBOR + 5.00%), Maturing July 31, 2026		945		918,989
Starfruit Finco B.V.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		2,919		2,891,222
Tronox Finance, LLC
Term Loan, 3.20%, (USD LIBOR + 3.00%), Maturing September 23, 2024(24)		2,832		2,822,685
Univar, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing July 1, 2024		2,089		2,084,211
Venator Materials Corporation
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing August 8, 2024		411		406,048
			$	33,588,461
Conglomerates — 0.1%
Penn Engineering & Manufacturing Corp.
Term Loan, 3.50%, (1 mo. EURIBOR + 2.50%, Floor 1.00%),  Maturing June 27, 2024	EUR	1,285	$	1,545,746
			$	1,545,746
Containers and Glass Products — 1.0%
Berry Global, Inc.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2022		497	$	497,434

50

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing July 1, 2026		985	$	981,922
BWAY Holding Company
Term Loan, 3.48%, (3 mo. USD LIBOR + 3.25%), Maturing April 3, 2024		2,544		2,467,741
Flex Acquisition Company, Inc.
Term Loan, 4.00%, (USD LIBOR + 3.00%, Floor 1.00%), Maturing December 29, 2023(24)		1,457		1,452,569
Term Loan, 3.23%, (3 mo. USD LIBOR + 3.00%), Maturing June 29, 2025		1,515		1,501,432
Libbey Glass, Inc.
Term Loan, 9.00%, (6 mo. USD LIBOR + 8.00%, Floor 1.00%), Maturing November 12, 2025		4,937		4,739,214
Reynolds Consumer Products, LLC
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing February 4, 2027		2,279		2,268,545
Reynolds Group Holdings, Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing February 5, 2026		1,375		1,368,554
Trident TPI Holdings, Inc.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing October 17, 2024		826		818,697
			$	16,096,108
Drugs — 2.1%
Aenova Holding GmbH
Term Loan, 5.00%, (6 mo. EURIBOR + 5.00%), Maturing March 6, 2025	EUR	500	$	614,833
Akorn, Inc.
Term Loan, 8.50%, (3 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing October 1, 2025		498		500,628
Albany Molecular Research, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing August 30, 2024		250		252,031
Alkermes, Inc.
Term Loan, 2.41%, (1 mo. USD LIBOR + 2.25%), Maturing March 27, 2023		1,107		1,106,772
Amneal Pharmaceuticals, LLC
Term Loan, 3.69%, (1 mo. USD LIBOR + 3.50%), Maturing May 4, 2025		3,655		3,571,423
Arbor Pharmaceuticals, Inc.
Term Loan, 6.00%, (6 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing July 5, 2023		1,289		1,250,027
Bausch Health Companies, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing June 2, 2025		4,699		4,686,682
Catalent Pharma Solutions, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing May 18, 2026		835		837,213
Elanco Animal Health Incorporated
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing August 1, 2027		1,802		1,789,147
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.25%, Floor 0.75%), Maturing April 29, 2024		5,235		5,171,319
Horizon Therapeutics USA, Inc.
Term Loan, 2.19%, (1 mo. USD LIBOR + 2.00%), Maturing May 22, 2026		654		652,018
Jaguar Holding Company II
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing August 18, 2022		6,247		6,249,519
Mallinckrodt International Finance S.A.
Term Loan, 5.50%, (6 mo. USD LIBOR + 4.75%, Floor 0.75%), Maturing September 24, 2024		3,648		3,447,387

51

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Term Loan, 5.75%, (6 mo. USD LIBOR + 5.00%, Floor 0.75%), Maturing February 24, 2025		2,092	$	1,974,085
Nidda Healthcare Holding AG
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing August 21, 2026	EUR	625		757,327
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing August 21, 2026	EUR	1,000		1,211,724
			$	34,072,135
Ecological Services and Equipment — 0.4%
EnergySolutions, LLC
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing May 9, 2025		5,217	$	5,158,178
Patriot Container Corp.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing March 20, 2025		146		143,687
US Ecology Holdings, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing November 1, 2026		272		272,590
			$	5,574,455
Electronics/Electrical — 8.0%
Allegro Microsystems, Inc.
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing September 30, 2027		42	$	42,255
Applied Systems, Inc.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%),  Maturing September 19, 2024		3,055		3,058,662
Term Loan - Second Lien, 8.00%, (3 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing September 19, 2025		475		478,859
Aptean, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing April 23, 2026		738		729,130
Term Loan - Second Lien, 8.65%, (1 mo. USD LIBOR + 8.50%), Maturing April 23, 2027		1,450		1,501,910
Astra Acquisition Corp.
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing March 1, 2027		769		776,879
Avast Software B.V.
Term Loan, 2.25%, (3 mo. EURIBOR + 2.25%), Maturing September 29, 2023	EUR	1,978		2,427,016
Banff Merger Sub, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing October 2, 2025		2,965		2,958,571
Term Loan, 4.75%, (3 mo. EURIBOR + 4.75%), Maturing October 2, 2025	EUR	294		360,886
Barracuda Networks, Inc.
Term Loan - Second Lien, 7.50%, (3 mo. USD LIBOR + 6.75%, Floor 0.75%), Maturing October 30, 2028		400		405,000
Buzz Merger Sub, Ltd.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing January 29, 2027		571		571,044
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.25%, Floor 0.50%), Maturing January 29, 2027		224		224,718
Cambium Learning Group, Inc.
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.50%), Maturing December 18, 2025		848		845,364
Castle US Holding Corporation
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.75%), Maturing January 29, 2027		1,053		1,035,204
Celestica, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing June 27, 2025		263		260,859

52

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
CentralSquare Technologies, LLC
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.75%), Maturing August 29, 2025		882	$	824,670
Cohu, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing October 1, 2025		806		798,029
CommScope, Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing April 6, 2026		1,802		1,794,143
Cornerstone OnDemand, Inc.
Term Loan, 4.39%, (1 mo. USD LIBOR + 4.25%), Maturing April 22, 2027		1,635		1,647,784
CPI International, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 26, 2024		660		651,412
Delta TopCo, Inc.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing December 1, 2027		1,400		1,402,625
Term Loan - Second Lien, 8.00%, (6 mo. USD LIBOR + 7.25%, Floor 0.75%), Maturing December 1, 2028		1,950		1,974,375
ECI Macola/Max Holdings, LLC
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing November 9, 2027		1,075		1,073,656
Electro Rent Corporation
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing January 31, 2024		1,837		1,850,393
Epicor Software Corporation
Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing July 30, 2027		792		797,903
EXC Holdings III Corp.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing December 2, 2024		509		504,158
Finastra USA, Inc.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing June 13, 2024		3,024		2,969,192
Fiserv Investment Solutions, Inc.
Term Loan, 4.97%, (3 mo. USD LIBOR + 4.75%), Maturing February 18, 2027		522		527,490
GlobalLogic Holdings, Inc.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing August 1, 2025		450		447,455
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing September 14, 2027		748		749,060
Go Daddy Operating Company, LLC
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing August 10, 2027		1,095		1,101,568
Hyland Software, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), Maturing July 1, 2024		7,747		7,770,979
Informatica, LLC
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing February 25, 2027	EUR	3,474		4,218,508
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing February 25, 2027		5,707		5,678,341
Term Loan - Second Lien, 7.13%, Maturing February 25, 2025(26)		500		510,625
LogMeIn, Inc.
Term Loan, 4.90%, (1 mo. USD LIBOR + 4.75%), Maturing August 31, 2027		1,475		1,472,234
MA FinanceCo., LLC
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing June 21, 2024		533		527,028

53

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), Maturing June 5, 2025	EUR	994	$	1,222,741
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing June 5, 2025		1,789		1,807,383
MACOM Technology Solutions Holdings, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing May 17, 2024		1,451		1,422,650
Marcel LUX IV S.a.r.l.
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 16, 2026	EUR	1,500		1,832,475
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), Maturing December 31, 2027		425		426,594
Milano Acquisition Corp.
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), Maturing October 1, 2027		2,800		2,807,000
Mirion Technologies, Inc.
Term Loan, 4.26%, (3 mo. USD LIBOR + 4.00%), Maturing March 6, 2026		442		442,618
NCR Corporation
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing August 28, 2026		938		926,399
Recorded Books, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing August 29, 2025		235		235,084
Term Loan, 4.75%, (1 mo. USD LIBOR + 4.25%, Floor 0.50%), Maturing August 29, 2025		1,425		1,426,781
Redstone Buyer, LLC
Term Loan, 6.00%, (2 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing September 1, 2027		1,525		1,534,531
Refinitiv US Holdings, Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing October 1, 2025		1,201		1,200,219
Renaissance Holding Corp.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing May 30, 2025		1,268		1,248,751
Term Loan - Second Lien, 7.15%, (1 mo. USD LIBOR + 7.00%), Maturing May 29, 2026		200		198,750
Riverbed Technology, Inc.
Term Loan - Second Lien, 11.00%, (1 mo. USD LIBOR + 10.00%, Floor 1.00%), 6.50% cash, 4.50% PIK, Maturing December 31, 2026		1,546		1,781,210
Seattle Spinco, Inc.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing June 21, 2024		3,602		3,559,149
SkillSoft Corporation
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing December 27, 2024		740		758,211
Term Loan - Second Lien, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing April 27, 2025		2,444		2,450,128
SolarWinds Holdings, Inc.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing February 5, 2024		1,164		1,116,713
Solera, LLC
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing March 3, 2023		848		843,393
Sophia L.P.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing October 7, 2027		400		401,250
Sparta Systems, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing August 21, 2024		4,431		4,375,225

54

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
SS&C Technologies Holdings Europe S.a.r.l.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025		1,071	$	1,060,694
SS&C Technologies, Inc.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing April 16, 2025		1,384		1,370,802
STG-Fairway Holdings, LLC
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2027		423		417,325
SurveyMonkey, Inc.
Term Loan, 3.86%, (1 week USD LIBOR + 3.75%), Maturing October 10, 2025		717		714,593
Syncsort Incorporated
Term Loan, 6.48%, (3 mo. USD LIBOR + 6.25%), Maturing August 16, 2024		2,564		2,564,471
Tech Data Corporation
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing June 30, 2025		1,122		1,132,007
Tibco Software, Inc.
Term Loan, 3.90%, (1 mo. USD LIBOR + 3.75%), Maturing June 30, 2026		5,096		5,041,705
Term Loan - Second Lien, 7.40%, (1 mo. USD LIBOR + 7.25%), Maturing March 3, 2028		475		481,531
TTM Technologies, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing September 28, 2024		150		149,623
Uber Technologies, Inc.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing July 13, 2023		3,495		3,493,316
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing April 4, 2025		7,712		7,762,180
Ultimate Software Group, Inc. (The)
Term Loan, 3.90%, (1 mo. USD LIBOR + 3.75%), Maturing May 4, 2026		1,703		1,705,141
Term Loan, 4.75%, (3 mo. USD LIBOR + 4.00%, Floor 0.75%), Maturing May 4, 2026		3,940		3,968,198
Ultra Clean Holdings, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		740		737,641
Verifone Systems, Inc.
Term Loan, 4.22%, (3 mo. USD LIBOR + 4.00%), Maturing August 20, 2025		1,251		1,213,329
Veritas US, Inc.
Term Loan, 6.50%, (3 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing September 1, 2025		2,469		2,466,756
Term Loan, Maturing September 1, 2025(25)	EUR	1,000		1,227,104
VS Buyer, LLC
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing February 28, 2027		1,092		1,088,565
Vungle, Inc.
Term Loan, 5.65%, (1 mo. USD LIBOR + 5.50%), Maturing September 30, 2026		4,493		4,512,782
			$	128,093,003
Equipment Leasing — 0.2%
Boels Topholding B.V.
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing February 6, 2027	EUR	750	$	919,444
Delos Finance S.a.r.l.
Term Loan, 2.00%, (3 mo. USD LIBOR + 1.75%), Maturing October 6, 2023		2,293		2,292,500
			$	3,211,944

55

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Financial Intermediaries — 1.5%
Apollo Commercial Real Estate Finance, Inc.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing May 15, 2026		443	$	427,736
Aretec Group, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing October 1, 2025		2,360		2,316,573
Citco Funding, LLC
Term Loan, 2.77%, (6 mo. USD LIBOR + 2.50%), Maturing September 28, 2023		3,924		3,912,169
Claros Mortgage Trust, Inc.
Term Loan, 6.00%, (1 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing August 9, 2026		591		594,934
Ditech Holding Corporation
Term Loan, 0.00%, Maturing June 30, 2022(17)		3,264		1,036,423
EIG Management Company, LLC
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing February 22, 2025		267		268,106
Evergood 4 ApS
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing February 6, 2025	EUR	750		918,338
FinCo I, LLC
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing June 27, 2025		864		864,153
Focus Financial Partners, LLC
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing July 3, 2024		2,984		2,969,788
Franklin Square Holdings, L.P.
Term Loan, 2.44%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2025		538		535,608
Greenhill & Co., Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing April 12, 2024		1,068		1,059,783
GreenSky Holdings, LLC
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing March 31, 2025		1,507		1,484,764
Guggenheim Partners, LLC
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing July 21, 2023		2,684		2,688,187
Harbourvest Partners, LLC
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing March 3, 2025		988		980,715
Nets Holding A/S
Term Loan, 3.25%, (3 mo. EURIBOR + 3.25%), Maturing February 6, 2025	EUR	1,000		1,222,318
Starwood Property Trust, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing July 27, 2026		518		513,253
Victory Capital Holdings, Inc.
Term Loan, 2.73%, (3 mo. USD LIBOR + 2.50%), Maturing July 1, 2026		1,102		1,099,859
Virtus Investment Partners, Inc.
Term Loan, 3.00%, (3 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing June 1, 2024		453		454,362
			$	23,347,069
Food Products — 1.7%
Alphabet Holding Company, Inc.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024		3,810	$	3,784,628
Atkins Nutritionals Holdings II, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing July 7, 2024		355		356,562

56

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
B&G Foods, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing October 10, 2026		227	$	227,287
Badger Buyer Corp.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing September 30, 2024		387		369,585
CHG PPC Parent, LLC
Term Loan, 3.50%, (1 mo. EURIBOR + 3.50%), Maturing March 31, 2025	EUR	2,000		2,434,138
Froneri International, Ltd.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing January 31, 2027		2,189		2,171,488
Term Loan, 2.63%, (1 mo. EURIBOR + 2.63%), Maturing January 31, 2027	EUR	1,275		1,539,350
H Food Holdings, LLC
Term Loan, 3.83%, (1 mo. USD LIBOR + 3.69%), Maturing May 23, 2025		756		745,100
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing May 23, 2025		466		460,222
HLF Financing S.a.r.l.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing August 18, 2025		1,075		1,076,863
Jacobs Douwe Egberts International B.V.
Term Loan, 2.25%, (3 mo. EURIBOR + 1.75%, Floor 0.50%), Maturing November 1, 2025	EUR	2,221		2,724,900
JBS USA LUX S.A.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing May 1, 2026		4,691		4,657,227
Nomad Foods Europe Midco Limited
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing May 15, 2024	EUR	3,000		3,678,694
Shearer’s Foods, Inc.
Term Loan, 4.75%, (USD LIBOR + 4.00%, Floor 0.75%), Maturing September 23, 2027(24)		399		399,784
Sunshine Investments B.V.
Term Loan, 4.05%, (3 mo. GBP LIBOR + 4.00%), Maturing March 28, 2025	GBP	750		1,014,087
Valeo F1 Company Limited (Ireland)
Term Loan, 4.50%, (3 mo. EURIBOR + 4.50%), Maturing August 27, 2027	EUR	1,000		1,214,015
			$	26,853,930
Food Service — 0.4%
Aramark Services, Inc.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing March 11, 2025		933	$	923,336
IRB Holding Corp.
Term Loan, 3.75%, (6 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing February 5, 2025		2,222		2,207,543
US Foods, Inc.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing June 27, 2023		851		840,143
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing September 13, 2026		1,703		1,678,853
			$	5,649,875
Food/Drug Retailers — 0.1%
BW Gas & Convenience Holdings, LLC
Term Loan, 6.40%, (1 mo. USD LIBOR + 6.25%), Maturing November 18, 2024		483	$	485,962
L1R HB Finance Limited
Term Loan, 4.25%, (3 mo. EURIBOR + 4.25%), Maturing August 9, 2024	EUR	750		813,924
			$	1,299,886
Forest Products — 0.0%(7)
Clearwater Paper Corporation
Term Loan, 3.25%, (USD LIBOR + 3.00%), Maturing July 26, 2026(24)		151	$	151,923
			$	151,923

57

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Health Care — 5.0%
Accelerated Health Systems, LLC
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing October 31, 2025		564	$	552,934
ADMI Corp.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing April 30, 2025		1,804		1,781,736
AI Sirona (Luxembourg) Acquisition S.a.r.l.
Term Loan, Maturing September 29, 2025(25)	EUR	1,000		1,222,159
Alliance Healthcare Services, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing October 24, 2023		783		710,693
Term Loan - Second Lien, 12.00%, (1 mo. USD LIBOR + 11.00%, Floor 1.00%), Maturing April 24, 2024		534		249,683
athenahealth, Inc.
Term Loan, 4.65%, (1 mo. USD LIBOR + 4.50%), Maturing February 11, 2026		1,940		1,943,672
Avantor Funding, Inc.
Term Loan, 3.25%, (1 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing November 21, 2024		945		947,112
BioClinica Holding I L.P.
Term Loan, 5.25%, (1 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing October 20, 2023		3,886		3,858,005
BW NHHC Holdco, Inc.
Term Loan, 5.22%, (3 mo. USD LIBOR + 5.00%), Maturing May 15, 2025		3,758		3,316,769
CeramTec AcquiCo GmbH
Term Loan, 2.50%, (1 mo. EURIBOR + 2.50%), Maturing March 7, 2025	EUR	1,903		2,260,297
Change Healthcare Holdings, LLC
Term Loan, 3.50%, (USD LIBOR + 2.50%, Floor 1.00%), Maturing March 1, 2024(24)		5,367		5,349,464
CHG Healthcare Services, Inc.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing June 7, 2023		2,590		2,584,175
CryoLife, Inc.
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing December 1, 2024		534		534,834
Dedalus Finance GmbH
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing May 4, 2027	EUR	500		613,879
Elsan S.A.S.
Term Loan, 3.00%, (6 mo. EURIBOR + 3.00%), Maturing October 31, 2024	EUR	1,500		1,834,766
Ensemble RCM, LLC
Term Loan, 3.96%, (3 mo. USD LIBOR + 3.75%), Maturing August 3, 2026		518		518,502
Envision Healthcare Corporation
Term Loan, 3.90%, (1 mo. USD LIBOR + 3.75%), Maturing October 10, 2025		8,974		7,534,551
Gentiva Health Services, Inc.
Term Loan, 3.44%, (1 mo. USD LIBOR + 3.25%), Maturing July 2, 2025		2,310		2,306,418
GHX Ultimate Parent Corporation
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing June 28, 2024		943		929,523
Greatbatch, Ltd.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing October 27, 2022		1,058		1,059,683
Hanger, Inc.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing March 6, 2025		1,118		1,119,424

58

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Inovalon Holdings, Inc.
Term Loan, 3.19%, (1 mo. USD LIBOR + 3.00%), Maturing April 2, 2025		1,204	$	1,201,915
IQVIA, Inc.
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing March 7, 2024		1,503		1,496,883
Term Loan, 1.90%, (1 mo. USD LIBOR + 1.75%), Maturing January 17, 2025		1,475		1,469,720
Medical Solutions, LLC
Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing June 14, 2024		1,220		1,213,624
MPH Acquisition Holdings, LLC
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing June 7, 2023		7,881		7,862,266
National Mentor Holdings, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing March 9, 2026		612		612,957
Term Loan, 4.51%, (3 mo. USD LIBOR + 4.25%), Maturing March 9, 2026		28		28,051
Navicure, Inc.
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing October 22, 2026		993		991,880
Term Loan, 4.75%, (1 mo. USD LIBOR + 4.00%, Floor 0.75%), Maturing October 22, 2026		499		499,062
One Call Corporation
Term Loan, 6.25%, (3 mo. USD LIBOR + 5.25%, Floor 1.00%), Maturing November 25, 2022		1,473		1,426,347
Ortho-Clinical Diagnostics S.A.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing June 30, 2025		3,304		3,263,167
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing June 30, 2025	EUR	744		896,483
Parexel International Corporation
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024		582		572,729
Phoenix Guarantor, Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing March 5, 2026		1,921		1,913,944
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.75%, Floor 0.50%), Maturing March 5, 2026		550		550,516
Radiology Partners, Inc.
Term Loan, 4.81%, (USD LIBOR + 4.25%), Maturing July 9, 2025(24)		597		588,564
RadNet, Inc.
Term Loan, 4.75%, (3 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing June 30, 2023		1,740		1,740,171
Select Medical Corporation
Term Loan, 2.53%, (6 mo. USD LIBOR + 2.25%), Maturing March 6, 2025		2,968		2,951,573
Sound Inpatient Physicians
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing June 27, 2025		488		484,859
Surgery Center Holdings, Inc.
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing September 3, 2024		1,064		1,048,951
Synlab Bondco PLC
Term Loan, Maturing July 31, 2024(25)	EUR	1,000		1,225,795
Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), Maturing July 31, 2027	EUR	500		611,283
Team Health Holdings, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing February 6, 2024		2,334		2,103,574
Tecomet, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing May 1, 2024		1,165		1,147,895

59

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
U.S. Anesthesia Partners, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%),  Maturing June 23, 2024		1,671	$	1,639,061
Verscend Holding Corp.
Term Loan, 4.65%, (1 mo. USD LIBOR + 4.50%), Maturing August 27, 2025		1,564		1,566,339
			$	80,335,888
Home Furnishings — 0.6%
Serta Simmons Bedding, LLC
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing August 10, 2023		2,486	$	2,506,484
Term Loan - Second Lien, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing August 10, 2023		8,217		7,426,505
			$	9,932,989
Industrial Equipment — 2.7%
AI Alpine AT Bidco GmbH
Term Loan, 3.23%, (6 mo. USD LIBOR + 3.00%), Maturing October 31, 2025		221	$	210,853
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing October 31, 2025	EUR	750		891,041
Alliance Laundry Systems, LLC
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.50%, Floor 0.75%), Maturing October 8, 2027		1,100		1,101,489
Altra Industrial Motion Corp.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing October 1, 2025		615		615,694
Apex Tool Group, LLC
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.25%, Floor 1.25%), Maturing August 1, 2024		4,369		4,328,266
CFS Brands, LLC
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing March 20, 2025		268		249,424
CPM Holdings, Inc.
Term Loan, 3.91%, (1 mo. USD LIBOR + 3.75%), Maturing November 17, 2025		319		310,289
Delachaux Group S.A.
Term Loan, 3.75%, (6 mo. EURIBOR + 3.75%), Maturing April 16, 2026	EUR	375		456,759
Term Loan, 4.74%, (6 mo. USD LIBOR + 4.50%), Maturing April 16, 2026		470		460,845
DexKo Global, Inc.
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024	EUR	318		385,514
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 24, 2024	EUR	796		963,789
Term Loan, 4.50%, (3 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing July 24, 2024		917		910,155
Dynacast International, LLC
Term Loan, 4.25%, (3 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing January 28, 2022		1,427		1,362,396
Engineered Machinery Holdings, Inc.
Term Loan, 4.00%, (3 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 19, 2024		1,576		1,573,294
Term Loan, 5.25%, (3 mo. USD LIBOR + 4.25%, Floor 1.00%), Maturing July 19, 2024		319		320,292
EWT Holdings III Corp.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing December 20, 2024		1,995		1,992,437
Filtration Group Corporation
Term Loan, 3.50%, (3 mo. EURIBOR + 3.50%), Maturing March 29, 2025	EUR	1,376		1,672,962
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing March 29, 2025		349		350,289
Gardner Denver, Inc.
Term Loan, 2.00%, (1 mo. EURIBOR + 2.00%), Maturing March 1, 2027	EUR	1,434		1,754,759

60

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Gates Global, LLC
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing April 1, 2024	EUR	963	$	1,167,216
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 1, 2024		4,020		4,014,807
Hayward Industries, Inc.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing August 5, 2024		478		474,202
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing August 4, 2026		625		624,219
LTI Holdings, Inc.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing September 6, 2025		3,426		3,337,713
Term Loan, 4.90%, (1 mo. USD LIBOR + 4.75%), Maturing July 24, 2026		198		194,620
Minimax Viking GmbH
Term Loan, 3.00%, (1 mo. EURIBOR + 3.00%), Maturing July 31, 2025	EUR	965		1,181,097
Quimper AB
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing February 13, 2026	EUR	1,875		2,299,184
Robertshaw US Holding Corp.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 28, 2025		1,021		959,857
Thermon Industries, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing October 30, 2024		271		270,600
Titan Acquisition Limited
Term Loan, 3.27%, (6 mo. USD LIBOR + 3.00%), Maturing March 28, 2025		3,088		3,021,294
Vertical Midco GmbH
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), Maturing July 30, 2027	EUR	1,500		1,848,509
Term Loan, 4.57%, (6 mo. USD LIBOR + 4.25%), Maturing July 30, 2027		1,222		1,229,097
Welbilt, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing October 23, 2025		1,767		1,681,480
			$	42,214,442
Insurance — 2.2%
Alliant Holdings Intermediate, LLC
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025		468	$	460,893
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing May 9, 2025		2,708		2,665,716
AmWINS Group, Inc.
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing January 25, 2024(24)		4,857		4,862,763
Andromeda Investissements
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing June 12, 2026	EUR	1,250		1,533,266
AssuredPartners, Inc.
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing February 12, 2027		173		171,012
Asurion, LLC
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023		1,787		1,781,987
Term Loan, Maturing December 23, 2026(25)		3,160		3,134,325
Term Loan - Second Lien, 6.65%, (1 mo. USD LIBOR + 6.50%), Maturing August 4, 2025		2,583		2,605,937
Financiere CEP S.A.S.
Term Loan, 4.00%, (3 mo. EURIBOR + 4.00%), Maturing June 3, 2027		EUR 550		675,435

61

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
FrontDoor, Inc.
Term Loan, 2.69%, (1 mo. USD LIBOR + 2.50%), Maturing August 16, 2025		464	$	463,152
Hub International Limited
Term Loan, 2.96%, (3 mo. USD LIBOR + 2.75%), Maturing April 25, 2025		5,070		4,985,884
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing April 25, 2025		1,856		1,864,104
NFP Corp.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing February 15, 2027		3,163		3,100,077
Ryan Specialty Group, LLC
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing September 1, 2027		1,721		1,720,688
Sedgwick Claims Management Services, Inc.
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing December 31, 2025		1,250		1,232,059
USI, Inc.
Term Loan, 3.25%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024		3,144		3,104,743
Term Loan, 4.25%, (3 mo. USD LIBOR + 4.00%), Maturing December 2, 2026		1,411		1,411,455
			$	35,773,496
Leisure Goods/Activities/Movies — 1.5%
AMC Entertainment Holdings, Inc.
Term Loan, 3.23%, (3 mo. USD LIBOR + 3.00%), Maturing April 22, 2026		1,842	$	1,193,130
Amer Sports Oyj
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing March 30, 2026	EUR	1,550		1,813,081
Carnival Corporation
Term Loan, 8.50%, (1 mo. USD LIBOR + 7.50%, Floor 1.00%), Maturing June 30, 2025		1,294		1,340,066
ClubCorp Holdings, Inc.
Term Loan, 3.00%, (3 mo. USD LIBOR + 2.75%), Maturing September 18, 2024		1,935		1,815,674
Crown Finance US, Inc.
Term Loan, Maturing May 23, 2024(25)		228		272,794
Term Loan, 2.63%, (6 mo. EURIBOR + 2.63%), Maturing February 28, 2025	EUR	290		241,693
Term Loan, 3.75%, (6 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing September 30, 2026(24)		1,510		1,016,036
Delta 2 (LUX) S.a.r.l.
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.50%, Floor 1.00%), Maturing February 1, 2024		725		719,546
Etraveli Holding AB
Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing August 2, 2024	EUR	950		1,073,525
Lindblad Expeditions, Inc.
Term Loan, 6.75%, (1 mo. USD LIBOR + 6.00%, Floor 0.75%), 5.50% cash, 1.25% PIK, Maturing March 27, 2025		464		427,321
Term Loan, 6.75%, (1 mo. USD LIBOR + 6.00%, Floor 0.75%), 5.50% cash, 1.25% PIK, Maturing March 27, 2025		1,858		1,709,285
Match Group, Inc.
Term Loan, 1.96%, (3 mo. USD LIBOR + 1.75%), Maturing February 13, 2027		675		669,938
Playtika Holding Corp.
Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing December 10, 2024		3,325		3,352,431
SeaWorld Parks & Entertainment, Inc.
Term Loan, 3.75%, (1 mo. USD LIBOR + 3.00%, Floor 0.75%), Maturing March 31, 2024		2,180		2,123,401
SRAM, LLC
Term Loan, 3.75%, (USD LIBOR + 2.75%, Floor 1.00%), Maturing March 15, 2024(24)		938		939,149

62

Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Steinway Musical Instruments, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing February 14, 2025		307	$	298,466
Travel Leaders Group, LLC
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing January 25, 2024		951		843,680
UFC Holdings, LLC
Term Loan, 4.25%, (6 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing April 29, 2026		3,109		3,106,772
Vue International Bidco PLC
Term Loan, 4.75%, (6 mo. EURIBOR + 4.75%), Maturing July 3, 2026	EUR	1,081		1,133,027
			$	24,089,015
Lodging and Casinos — 1.6%
Aristocrat Technologies, Inc.
Term Loan, 1.96%, (3 mo. USD LIBOR + 1.75%), Maturing October 19, 2024		1,061	$	1,051,635
Azelis Finance S.A.
Term Loan, 3.25%, (6 mo. EURIBOR + 3.25%), Maturing November 10, 2025	EUR	1,925		2,341,094
Boyd Gaming Corporation
Term Loan, 2.35%, (1 week USD LIBOR + 2.25%), Maturing September 15, 2023		724		719,431
CityCenter Holdings, LLC
Term Loan, 3.00%, (1 mo. USD LIBOR + 2.25%, Floor 0.75%), Maturing April 18, 2024		2,754		2,724,567
ESH Hospitality, Inc.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing September 18, 2026		1,193		1,181,332
Four Seasons Hotels Limited
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing November 30, 2023		1,056		1,049,813
Golden Nugget, Inc.
Term Loan, 3.25%, (2 mo. USD LIBOR + 2.50%, Floor 0.75%), Maturing October 4, 2023		4,261		4,129,334
GVC Holdings (Gibraltar) Limited
Term Loan, 3.25%, (3 mo. USD LIBOR + 2.25%, Floor 1.00%), Maturing March 29, 2024		1,143		1,146,021
GVC Holdings PLC
Term Loan, 2.50%, (3 mo. EURIBOR + 2.50%), Maturing March 29, 2024	EUR	1,850		2,258,500
Playa Resorts Holding B.V.
Term Loan, 3.75%, (1 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing April 29, 2024		2,635		2,447,171
Sportradar Capital S.a.r.l.
Term Loan, 4.25%, (6 mo. EURIBOR + 4.25%), Maturing October 27, 2027	EUR	750		919,101
Stars Group Holdings B.V. (The)
Term Loan, 3.75%, (3 mo. EURIBOR + 3.75%), Maturing July 10, 2025	EUR	582		714,269
Term Loan, 3.75%, (3 mo. USD LIBOR + 3.50%), Maturing July 10, 2025		1,752		1,759,736
VICI Properties 1, LLC
Term Loan, 1.89%, (1 mo. USD LIBOR + 1.75%), Maturing December 20, 2024		2,315		2,281,979
			$	24,723,983
Nonferrous Metals/Minerals — 0.2%
American Consolidated Natural Resources, Inc.
Term Loan, 14.00%, (1 mo. USD LIBOR + 13.00%, Floor 1.00%), Maturing September 16, 2025		738	$	712,278

63

Security	Principal Amount* (000’s omitted)		Value
CD&R Hydra Buyer, Inc.
Term Loan, 7.50%, (0.00% cash, 7.50% PIK), Maturing August 15, 2021(8)(26)		166		132,757
Oxbow Carbon, LLC
Term Loan, 5.00%, (1 mo. USD LIBOR + 4.25%, Floor 0.75%), Maturing October 13, 2025		346		346,489
Rain Carbon GmbH
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing January 16, 2025	EUR	1,025		1,220,887
			$	2,412,411
Oil and Gas — 1.0%
Ameriforge Group, Inc.
Term Loan, 14.00%, (3 mo. USD LIBOR + 13.00%, Floor 1.00%), 9.00% cash, 5.00% PIK, Maturing June 8, 2022		754	$	602,928
Apergy Corporation
Term Loan, 2.69%, (1 mo. USD LIBOR + 2.50%), Maturing May 9, 2025		127		125,083
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%), Maturing May 28, 2027		219		222,666
Blackstone CQP Holdco L.P.
Term Loan, 3.74%, (3 mo. USD LIBOR + 3.50%), Maturing September 30, 2024		1,010		1,007,606
Buckeye Partners L.P.
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing November 1, 2026		2,754		2,754,760
Centurion Pipeline Company, LLC
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), Maturing September 28, 2025		225		224,437
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing September 29, 2025		270		269,500
CITGO Holding, Inc.
Term Loan, 8.00%, (6 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing August 1, 2023		246		229,322
CITGO Petroleum Corporation
Term Loan, 7.25%, (6 mo. USD LIBOR + 6.25%, Floor 1.00%), Maturing March 28, 2024		2,284		2,274,805
Delek US Holdings, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing March 31, 2025		1,375		1,329,551
Term Loan, 6.50%, (1 mo. USD LIBOR + 5.50%, Floor 1.00%), Maturing March 31, 2025		571		565,694
Fieldwood Energy, LLC
DIP Loan, 3.68%, (1 mo. USD LIBOR + 8.75%, Floor 1.00%), Maturing August 4, 2021(23)		409		408,335
Term Loan, 0.00%, Maturing April 11, 2022(17)		2,771		644,243
Lealand Finance Company B.V.
Term Loan, 4.15%, (1 mo. USD LIBOR + 4.00%), 1.15% cash, 3.00% PIK, Maturing June 30, 2025		214		146,291
Matador Bidco S.a.r.l.
Term Loan, 4.90%, (1 mo. USD LIBOR + 4.75%), Maturing October 15, 2026		1,737		1,736,333
McDermott Technology Americas, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing June 30, 2024		26		21,079
Prairie ECI Acquiror L.P.
Term Loan, 4.90%, (1 mo. USD LIBOR + 4.75%), Maturing March 11, 2026		1,304		1,274,899
PSC Industrial Holdings Corp.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing October 11, 2024		776		754,660

64

Security	Principal Amount* (000’s omitted)		Value
RDV Resources Properties, LLC
Term Loan, 15.50%, (1 mo. USD LIBOR + 14.50%, Floor 1.00%), Maturing March 29, 2024(8)		463	$	306,463
Sunrise Oil & Gas Properties, LLC
Term Loan, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		103		92,347
Term Loan - Second Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		107		78,588
Term Loan - Third Lien, 8.00%, (1 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing January 17, 2023		124		43,234
UGI Energy Services, LLC
Term Loan, 3.90%, (1 mo. USD LIBOR + 3.75%), Maturing August 13, 2026		1,059		1,062,846
			$	16,175,670
Publishing — 0.5%
Alchemy Copyrights, LLC
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing August 16, 2027		474	$	477,366
Ascend Learning, LLC
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 12, 2024		1,185		1,182,521
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing July 12, 2024		374		375,777
Axel Springer S.E.
Term Loan, 5.00%, (3 mo. EURIBOR + 5.00%), Maturing December 18, 2026	EUR	1,000		1,203,325
Getty Images, Inc.
Term Loan, 4.69%, (1 mo. USD LIBOR + 4.50%), Maturing February 19, 2026		1,066		1,054,369
LSC Communications, Inc.
Term Loan, 0.00%, Maturing September 30, 2022(17)		798		114,403
Nielsen Finance, LLC
Term Loan, 3.75%, (1 mo. EURIBOR + 3.75%), Maturing June 4, 2025	EUR	997		1,223,915
ProQuest, LLC
Term Loan, 3.65%, (1 mo. USD LIBOR + 3.50%), Maturing October 23, 2026		1,510		1,512,371
Tweddle Group, Inc.
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%),  Maturing September 17, 2023		576		532,459
			$	7,676,506
Radio and Television — 1.2%
Cumulus Media New Holdings, Inc.
Term Loan, 4.75%, (6 mo. USD LIBOR + 3.75%, Floor 1.00%),  Maturing March 31, 2026		425	$	418,760
Diamond Sports Group, LLC
Term Loan, 3.40%, (1 mo. USD LIBOR + 3.25%), Maturing August 24, 2026		3,061		2,739,819
Entercom Media Corp.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing November 18, 2024		999		976,777
Entravision Communications Corporation
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024		843		826,201
Gray Television, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing February 7, 2024		278		276,056
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing January 2, 2026		637		633,780
Hubbard Radio, LLC
Term Loan, 5.25%, (6 mo. USD LIBOR + 4.25%, Floor 1.00%),  Maturing March 28, 2025		814		794,295
iHeartCommunications, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2026		495		487,781
Nexstar Broadcasting, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing January 17, 2024		137		135,911
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing September 18, 2026		453		450,740

65

Security	Principal Amount* (000’s omitted)		Value
Sinclair Television Group, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing January 3, 2024		413	$	409,184
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing September 30, 2026		642		636,660
Terrier Media Buyer, Inc.
Term Loan, 4.40%, (1 mo. USD LIBOR + 4.25%), Maturing December 17, 2026		1,856		1,859,086
Townsquare Media, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing April 1, 2022		2,196		2,192,875
Univision Communications, Inc.
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing March 15, 2026		7,016		7,031,408
			$	19,869,333
Retailers (Except Food and Drug) — 0.6%
Apro, LLC
Term Loan, 5.00%, (3 mo. USD LIBOR + 4.00%, Floor 1.00%), Maturing November 14, 2026		669	$	670,294
Ascena Retail Group, Inc.
Term Loan, 0.00%, Maturing August 21, 2022(17)		2,227		451,002
Bass Pro Group, LLC
Term Loan, 5.75%, (1 mo. USD LIBOR + 5.00%, Floor 0.75%), Maturing September 25, 2024		1,500		1,506,303
BJ’s Wholesale Club, Inc.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing February 3, 2024		556		556,458
CNT Holdings I Corp.
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.75%, Floor 0.75%), Maturing November 8, 2027		700		701,187
David’s Bridal, Inc.
Term Loan, 12.00%, (3 mo. USD LIBOR + 11.00%, Floor 1.00%), 6.00% cash, 6.00% PIK, Maturing June 23, 2023		516		486,371
Term Loan, 7.00%, (3 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing June 30, 2023		606		510,668
Harbor Freight Tools USA, Inc.
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.25%, Floor 0.75%), Maturing October 19, 2027		1,400		1,401,481
Hoya Midco, LLC
Term Loan, 4.50%, (6 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing June 30, 2024		2,077		1,976,482
LSF9 Atlantis Holdings, LLC
Term Loan, 7.00%, (1 mo. USD LIBOR + 6.00%, Floor 1.00%), Maturing May 1, 2023		1,035		1,031,981
Phillips Feed Service, Inc.
Term Loan, 8.00%, (2 mo. USD LIBOR + 7.00%, Floor 1.00%), Maturing November 13, 2024(8)		109		86,985
Pier 1 Imports (U.S.), Inc.
Term Loan, 0.00%, Maturing April 30, 2021(8)(17)		281		112,525
WASH Multifamily Laundry Systems, LLC
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing May 14, 2022		301		299,137
Term Loan, 4.25%, (1 mo. USD LIBOR + 3.25%, Floor 1.00%), Maturing May 14, 2022		53		52,526
			$	9,843,400
Steel — 0.3%
Atkore International, Inc.
Term Loan, 3.75%, (3 mo. USD LIBOR + 2.75%, Floor 1.00%), Maturing December 22, 2023		357	$	358,517

66

Security	Principal Amount* (000’s omitted)		Value
GrafTech Finance, Inc.
Term Loan, 4.50%, (1 mo. USD LIBOR + 3.50%, Floor 1.00%), Maturing February 12, 2025		2,129	$	2,131,454
Neenah Foundry Company
Term Loan, 10.00%, (USD LIBOR + 9.00%, Floor 1.00%), Maturing  December 13, 2022(24)		682		597,009
Phoenix Services International, LLC
Term Loan, 4.75%, (1 mo. USD LIBOR + 3.75%, Floor 1.00%), Maturing March 1, 2025		875		867,044
Zekelman Industries, Inc.
Term Loan, 2.14%, (1 mo. USD LIBOR + 2.00%), Maturing January 24, 2027		1,116		1,109,762
			$	5,063,786
Surface Transport — 0.2%
Hertz Corporation (The)
DIP Loan, 4.43%, (USD LIBOR + 3.25%, Floor 1.00%), Maturing  December 31, 2021(23)(24)		1,017	$	1,044,600
Term Loan, 3.50%, (1 mo. USD LIBOR + 2.75%, Floor 0.75%), Maturing June 30, 2023		1,195		1,179,091
Kenan Advantage Group, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing July 31, 2022		417		410,953
Term Loan, 4.00%, (1 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing July 31, 2022		127		124,968
XPO Logistics, Inc.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing February 24, 2025		650		647,698
			$	3,407,310
Telecommunications — 2.1%
CenturyLink, Inc.
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing March 15, 2027		7,326	$	7,251,216
Colorado Buyer, Inc.
Term Loan, 4.00%, (6 mo. USD LIBOR + 3.00%, Floor 1.00%), Maturing May 1, 2024		917		860,958
Digicel International Finance Limited
Term Loan, 3.51%, (6 mo. USD LIBOR + 3.25%), Maturing May 28, 2024		4,914		4,508,729
eircom Finco S.a.r.l.
Term Loan, 2.75%, (1 mo. EURIBOR + 2.75%), Maturing May 15, 2026	EUR	1,786		2,180,226
Gamma Infrastructure III B.V.
Term Loan, 3.50%, (6 mo. EURIBOR + 3.50%), Maturing January 9, 2025	EUR	1,700		2,050,845
Global Eagle Entertainment, Inc.
DIP Loan, 11.25%, (1 mo. USD LIBOR + 10.00%, Floor 1.25%), Maturing January 22, 2021		329		324,704
Term Loan, 0.00%, Maturing January 6, 2023(17)		2,210		1,678,020
Intelsat Jackson Holdings S.A.
DIP Loan, 6.50%, (USD LIBOR + 5.50%, Floor 1.00%), Maturing July 13, 2022(24)		444		454,947
Term Loan, 8.75%, (USD Prime + 5.50%), Maturing January 2, 2024		1,500		1,528,500
IPC Corp.
Term Loan, 5.50%, (3 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing August 6, 2021(8)		1,088		802,914
Onvoy, LLC
Term Loan, 5.50%, (1 mo. USD LIBOR + 4.50%, Floor 1.00%), Maturing February 10, 2024		818		801,763
Plantronics, Inc.
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing July 2, 2025		1,304		1,278,745
Syniverse Holdings, Inc.
Term Loan, 6.00%, (3 mo. USD LIBOR + 5.00%, Floor 1.00%),  Maturing March 9, 2023		1,045		951,674

67

Security	Principal Amount* (000’s omitted)		Value
Telesat Canada
Term Loan, 2.90%, (1 mo. USD LIBOR + 2.75%), Maturing December 7, 2026		1,139	$	1,130,504
Zayo Group Holdings, Inc.
Term Loan, 3.15%, (1 mo. USD LIBOR + 3.00%), Maturing March 9, 2027		2,071		2,061,200
Term Loan, 3.25%, (1 mo. EURIBOR + 3.25%), Maturing March 9, 2027	EUR	993		1,212,866
Ziggo Financing Partnership
Term Loan, 2.66%, (1 mo. USD LIBOR + 2.50%), Maturing April 30, 2028		4,150		4,121,469
			$	33,199,280
Utilities — 0.4%
Calpine Construction Finance Company L.P.
Term Loan, 2.15%, (1 mo. USD LIBOR + 2.00%), Maturing January 15, 2025		2,722	$	2,694,601
Calpine Corporation
Term Loan, 2.40%, (1 mo. USD LIBOR + 2.25%), Maturing April 5, 2026		911		906,000
Term Loan, 2.65%, (1 mo. USD LIBOR + 2.50%), Maturing December 16, 2027		2,032		2,023,513
Longview Power, LLC
Term Loan, 11.50%, (3 mo. USD LIBOR + 10.00%, Floor 1.50%), Maturing July 30, 2025(8)		43		34,165
			$	5,658,279
Total Senior Floating-Rate Loans (identified cost $776,642,994)			$	771,327,001
Sovereign Loans — 0.6%
Borrower	Principal Amount (000’s omitted)		Value
Kenya — 0.2%
Government of Kenya
Term Loan, 6.71%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(2)	$	4,050	$	4,096,121
Total Kenya			$	4,096,121
Nigeria — 0.2%
Bank of Industry Limited
Term Loan, 6.22%, (3 mo. USD LIBOR + 6.00%), Maturing December 14, 2023(2)(27)	$	2,500	$	2,509,498
Total Nigeria			$	2,509,498
Tanzania — 0.2%
Government of the United Republic of Tanzania
Term Loan, 5.46%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(2)	$	1,532	$	1,564,433
Term Loan, 5.46%, (6 mo. USD LIBOR + 5.20%), Maturing May 23, 2023(2)		1,214		1,252,475
Total Tanzania			$	2,816,908
Total Sovereign Loans (identified cost $9,277,910)			$	9,422,527

68

Warrants — 0.0%(7)
Security	Shares		Value
Health Care — 0.0%(7)
THAIHOT Investment Company US Limited, Exp. 10/13/27(8)(9)(10)		24	$	6,833
THAIHOT Investment Company US Limited, Exp. 10/13/27(8)(9)(10)		175		49,828
THAIHOT Investment Company US Limited, Exp. 10/13/27, (Contingent Warrants)(8)(9)(10)		11,110		0
			$	56,661
Retailers (Except Food and Drug) — 0.0%
David’s Bridal, LLC, Exp. 11/26/22(8)(9)(10)		7,886	$	0
			$	0
Total Warrants (identified cost $0)			$	56,661
Miscellaneous — 0.0%(7)
Security	Shares		Value
Cable and Satellite Television — 0.0%
ACC Claims Holdings, LLC(8)(9)		2,257,600	$	0
			$	0
Oil and Gas — 0.0%(7)
Paragon Offshore Finance Company, Class A(9)(10)		2,021	$	606
Paragon Offshore Finance Company, Class B(9)(10)		1,011		12,385
			$	12,991
Total Miscellaneous (identified cost $21,988)			$	12,991
Short-Term Investments — 2.3%
U.S. Treasury Obligations — 0.0%(7)
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 1/7/21(28)	$	500	$	499,999
Total U.S. Treasury Obligations (identified cost $499,994)			$	499,999

69

Other — 2.3%
Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 0.11%(29)		35,652,758	$	35,652,758
Total Other (identified cost $35,652,758)			$	35,652,758
Total Short-Term Investments (identified cost $36,152,752)			$	36,152,757
Total Investments — 153.0% (identified cost $2,422,528,345)			$	2,437,925,719
Less Unfunded Loan Commitments — (0.1)%			$	(1,386,306	)
Net Investments — 152.9% (identified cost $2,421,142,039)			$	2,436,539,413
Other Assets, Less Liabilities — (39.4)%			$	(627,410,499	)
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (13.5)%			$	(216,003,004	)
Net Assets Applicable to Common Shares — 100.0%			$	1,593,125,910

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

* In U.S. dollars unless otherwise indicated.

(1) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2020, the aggregate value of these securities is $686,539,735 or 43.1% of the Fund’s net assets applicable to common shares.

(2) Variable rate security. The stated interest rate represents the rate in effect at December 31, 2020.

(3) Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at December 31, 2020.

(4) Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

(5) Principal only security that entitles the holder to receive only principal payments on the underlying mortgages.

(6) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2020.

(7) Amount is less than 0.05%.

(8) For fair value measurement disclosure purposes, security is categorized as Level 3.

(9) Security was acquired in connection with a restructuring of a Senior Loan and may be subject to restrictions on resale.

(10) Non-income producing security.

70

(11) Restricted security.

(12) Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At December 31, 2020, the aggregate value of these securities is $109,637,446 or 6.9% of the Fund’s net assets applicable to common shares.

(13) Security converts to variable rate after the indicated fixed-rate coupon period.

(14) Perpetual security with no stated maturity date but may be subject to calls by the issuer.

(15) When-issued security.

(16) Step coupon security. Interest rate represents the rate in effect at December 31, 2020.

(17) Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(18) Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

(19) Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.

(20) TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement.

(21) Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at December 31, 2020.

(22) Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold.

(23) Unfunded or partially unfunded loan commitments. The Fund may enter into certain loan agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At December 31, 2020, the total value of unfunded loan commitments is $1,407,362.

(24) The stated interest rate represents the weighted average interest rate at December 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

(25) This Senior Loan will settle after December 31, 2020, at which time the interest rate will be determined.

(26) Fixed-rate loan.

(27) Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

(28) Security (or a portion thereof) has been pledged to cover margin requirements on open derivative contracts.

(29) Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of December 31, 2020.

71

Centrally Cleared Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Settlement Date		Value/Unrealized Appreciation (Depreciation)
EUR	4,641,043	USD	5,678,549		1/5/21	$	(8,818	)
USD	5,557,970	EUR	4,641,043		1/5/21		(111,761	)
USD	5,682,252	EUR	4,641,043		2/2/21		8,680
						$	(111,899	)

Forward Foreign Currency Exchange Contracts

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	28,169,930	USD	34,369,318	Standard Chartered Bank		1/5/21	$	—	$	(53,521	)
USD	33,735,668	EUR	28,169,930	Standard Chartered Bank		1/5/21		—		(678,130	)
USD	77,641	EUR	63,399	Bank of America, N.A.		1/8/21		183		—
USD	216,924	EUR	181,789	Bank of America, N.A.		1/8/21		—		(5,178	)
USD	1,937,399	EUR	1,623,780	Bank of America, N.A.		1/8/21		—		(46,466	)
USD	2,124,918	EUR	1,780,945	Bank of America, N.A.		1/8/21		—		(50,964	)
USD	2,654,754	EUR	2,225,012	Bank of America, N.A.		1/8/21		—		(63,671	)
USD	82,833	EUR	67,659	Citibank, N.A.		1/8/21		170		—
USD	21,938	EUR	17,997	HSBC Bank USA, N.A.		1/8/21		—		(50	)
EUR	217,000	USD	253,267	Bank of America, N.A.		1/29/21		11,987		—
EUR	220,516	USD	260,525	Bank of America, N.A.		1/29/21		9,027		—
EUR	267,160	USD	317,876	Bank of America, N.A.		1/29/21		8,692		—
EUR	216,033	USD	256,743	Bank of America, N.A.		1/29/21		7,329		—
EUR	105,554	USD	123,096	Bank of America, N.A.		1/29/21		5,929		—
EUR	126,141	USD	150,081	Bank of America, N.A.		1/29/21		4,110		—
EUR	259,466	USD	314,828	Bank of America, N.A.		1/29/21		2,335		—
EUR	179,559	USD	217,894	Bank of America, N.A.		1/29/21		1,593		—
EUR	172,321	USD	204,854	Citibank, N.A.		1/29/21		5,785		—
EUR	299,561	USD	362,510	Citibank, N.A.		1/29/21		3,663		—
EUR	103,899	USD	123,493	Citibank, N.A.		1/29/21		3,510		—
EUR	101,859	USD	121,070	Citibank, N.A.		1/29/21		3,440		—
EUR	725,581	USD	863,821	State Street Bank and Trust Company		1/29/21		23,105		—
GBP	134,640	USD	178,952	Bank of America, N.A.		1/29/21		5,203		—
GBP	216,773	USD	291,795	Bank of America, N.A.		1/29/21		4,700		—
GBP	198,540	USD	268,070	Citibank, N.A.		1/29/21		3,486		—
GBP	98,523	USD	132,055	State Street Bank and Trust Company		1/29/21		2,702		—
USD	11,461	EUR	9,348	Bank of America, N.A.		1/29/21		34		—
USD	336,439	EUR	277,276	Bank of America, N.A.		1/29/21		—		(2,495	)
USD	158,022	EUR	133,000	Bank of America, N.A.		1/29/21		—		(4,553	)
USD	257,916	EUR	217,000	Bank of America, N.A.		1/29/21		—		(7,338	)
USD	378,823	EUR	318,772	Bank of America, N.A.		1/29/21		—		(10,833	)
USD	435,018	EUR	366,000	Bank of America, N.A.		1/29/21		—		(12,368	)
USD	2,618,908	EUR	2,224,601	Bank of America, N.A.		1/29/21		—		(100,373	)
USD	6,105,965	EUR	5,186,643	Bank of America, N.A.		1/29/21		—		(234,019	)
USD	121,316	EUR	100,250	Citibank, N.A.		1/29/21		—		(1,226	)
USD	554,857	EUR	457,510	Citibank, N.A.		1/29/21		—		(4,389	)
USD	783,398	EUR	645,955	Citibank, N.A.		1/29/21		—		(6,196	)
USD	2,579,748	EUR	2,191,376	Citibank, N.A.		1/29/21		—		(98,919	)

72

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	6,014,664	EUR	5,109,177	Citibank, N.A.		1/29/21	$	—	$	(230,628	)
USD	2,618,797	EUR	2,224,587	Goldman Sachs International		1/29/21		—		(100,466	)
USD	6,105,708	EUR	5,186,610	Goldman Sachs International		1/29/21		—		(234,235	)
USD	30,874,239	EUR	26,219,047	Goldman Sachs International		1/29/21		—		(1,175,072	)
USD	81,084	EUR	68,218	HSBC Bank USA, N.A.		1/29/21		—		(2,304	)
USD	246,531	EUR	204,321	HSBC Bank USA, N.A.		1/29/21		—		(3,224	)
USD	314,355	EUR	264,500	HSBC Bank USA, N.A.		1/29/21		—		(8,961	)
USD	1,169,480	EUR	982,424	HSBC Bank USA, N.A.		1/29/21		—		(31,403	)
USD	1,180,106	EUR	1,000,000	HSBC Bank USA, N.A.		1/29/21		—		(42,261	)
USD	217,583	EUR	178,244	State Street Bank and Trust Company		1/29/21		—		(298	)
USD	106,991	EUR	88,318	State Street Bank and Trust Company		1/29/21		—		(966	)
USD	146,816	EUR	121,000	State Street Bank and Trust Company		1/29/21		—		(1,091	)
USD	233,345	EUR	191,835	State Street Bank and Trust Company		1/29/21		—		(1,148	)
USD	103,933	EUR	87,304	State Street Bank and Trust Company		1/29/21		—		(2,785	)
USD	103,761	EUR	87,304	State Street Bank and Trust Company		1/29/21		—		(2,957	)
USD	100,409	EUR	84,740	State Street Bank and Trust Company		1/29/21		—		(3,174	)
USD	118,855	EUR	100,000	State Street Bank and Trust Company		1/29/21		—		(3,382	)
USD	110,724	EUR	93,585	State Street Bank and Trust Company		1/29/21		—		(3,671	)
USD	116,983	EUR	98,736	State Street Bank and Trust Company		1/29/21		—		(3,709	)
USD	599,015	EUR	495,000	State Street Bank and Trust Company		1/29/21		—		(6,057	)
USD	222,629	EUR	187,956	State Street Bank and Trust Company		1/29/21		—		(7,122	)
USD	249,887	EUR	211,329	State Street Bank and Trust Company		1/29/21		—		(8,435	)
USD	391,766	EUR	328,254	State Street Bank and Trust Company		1/29/21		—		(9,481	)
USD	363,727	EUR	306,514	State Street Bank and Trust Company		1/29/21		—		(10,945	)
USD	354,726	EUR	300,150	State Street Bank and Trust Company		1/29/21		—		(12,168	)
USD	462,812	EUR	388,747	State Street Bank and Trust Company		1/29/21		—		(12,379	)
USD	2,087,222	EUR	1,742,500	State Street Bank and Trust Company		1/29/21		—		(42,753	)
USD	2,605,535	EUR	2,213,502	State Street Bank and Trust Company		1/29/21		—		(100,178	)
USD	6,074,787	EUR	5,160,766	State Street Bank and Trust Company		1/29/21		—		(233,565	)
USD	183,562	GBP	141,312	Bank of America, N.A.		1/29/21		—		(9,720	)
USD	183,568	GBP	141,316	Bank of America, N.A.		1/29/21		—		(9,720	)
USD	2,900,308	GBP	2,232,751	Bank of America, N.A.		1/29/21		—		(153,574	)
USD	2,900,390	GBP	2,232,815	Bank of America, N.A.		1/29/21		—		(153,579	)
USD	141,422	GBP	105,885	Citibank, N.A.		1/29/21		—		(3,404	)
USD	139,106	GBP	105,944	Citibank, N.A.		1/29/21		—		(5,801	)
USD	15,974	GBP	11,918	State Street Bank and Trust Company		1/29/21		—		(327	)
USD	132,580	GBP	100,000	State Street Bank and Trust Company		1/29/21		—		(4,196	)
USD	131,928	GBP	100,000	State Street Bank and Trust Company		1/29/21		—		(4,849	)
USD	34,490,036	EUR	28,169,930	Standard Chartered Bank		2/2/21		52,930		—
USD	31,934,429	EUR	26,825,623	HSBC Bank USA, N.A.		2/26/21		—		(876,594	)
USD	613,086	EUR	498,750	State Street Bank and Trust Company		2/26/21		3,054		—
USD	903,445	EUR	742,500	State Street Bank and Trust Company		2/26/21		—		(4,724	)
USD	1,570,594	EUR	1,319,072	State Street Bank and Trust Company		2/26/21		—		(42,792	)
USD	3,965,544	GBP	2,967,952	State Street Bank and Trust Company		2/26/21		—		(94,535	)
							$	162,967	$	(5,039,322	)

73

Futures Contracts

Description	Number of Contracts			Position	Expiration Date		Notional Amount			Value/ Unrealized Appreciation (Depreciation)
Interest Rate Futures
U.S. 10-Year Treasury Note		91		Long		3/22/21	$	12,565,109		$	14,586
5-Year USD Deliverable Interest Rate Swap		(4	)	Short		3/15/21		(400,719	)		(375	)
10-Year USD Deliverable Interest Rate Swap		(4	)	Short		3/15/21		(391,938	)		312
Euro-Bobl		(11	)	Short		3/8/21		(1,816,569	)		1,075
Euro-Bund		(9	)	Short		3/8/21		(1,953,125	)		(4,068	)
Euro-Buxl		(9	)	Short		3/8/21		(2,476,480	)		(14,517	)
U.S. 5-Year Treasury Note		(2	)	Short		3/31/21		(252,328	)		(485	)
U.S. Long Treasury Bond		(28	)	Short		3/22/21		(4,849,250	)		35,206
U.S. Ultra-Long Treasury Bond		(28	)	Short		3/22/21		(5,979,750	)		19,267
										$	51,001

Centrally Cleared Interest Rate Swaps

Notional Amount (000’s omitted)		Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
EUR	950	Receives	6-month EURIBOR (pays semi-annually)	(0.53)% (pays annually)		8/22/24	$	1,870		$	—		$	1,870
EUR	246	Receives	6-month EURIBOR (pays semi-annually)	0.37% (pays annually)		2/12/50		(36,231	)		—			(36,231	)
EUR	207	Receives	6-month EURIBOR (pays semi-annually)	0.38% (pays annually)		2/13/50		(30,996	)		3			(30,993	)
EUR	242	Receives	6-month EURIBOR (pays semi-annually)	0.39% (pays annually)		2/13/50		(36,578	)		—			(36,578	)
EUR	1,500	Receives	6-month EURIBOR (pays semi-annually)	0.26% (pays annually)		2/25/50		(158,728	)		—			(158,728	)
EUR	260	Receives	6-month EURIBOR (pays semi-annually)	0.21% (pays annually)		2/26/50		(22,513	)		(2	)		(22,515	)
EUR	681	Receives	6-month EURIBOR (pays semi-annually)	0.12% (pays annually)		6/8/50		(36,385	)		—			(36,385	)
USD	2,680	Receives	3-month USD-LIBOR (pays quarterly)	0.55% (pays semi-annually)		3/12/23		(24,582	)		—			(24,582	)
USD	200	Receives	3-month USD-LIBOR (pays quarterly)	1.49% (pays semi-annually)		1/28/25		(10,635	)		—			(10,635	)
USD	461	Receives	3-month USD-LIBOR (pays quarterly)	1.46% (pays semi-annually)		1/30/25		(23,990	)		—			(23,990	)
USD	800	Receives	3-month USD-LIBOR (pays quarterly)	1.41% (pays semi-annually)		2/3/25		(39,704	)		—			(39,704	)
USD	260	Receives	3-month USD-LIBOR (pays quarterly)	1.44% (pays semi-annually)		2/18/25		(13,139	)		—			(13,139	)
USD	200	Receives	3-month USD-LIBOR (pays quarterly)	1.16% (pays semi-annually)		2/28/25		(7,630	)		—			(7,630	)

74

Notional Amount (000’s omitted)			Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)			Unrealized Appreciation (Depreciation)
	USD	120	Receives	3-month USD-LIBOR (pays quarterly)	0.83% (pays semi-annually)		3/5/25	$	(2,760	)	$	—		$	(2,760	)
	USD	232	Receives	3-month USD-LIBOR (pays quarterly)	0.33% (pays semi-annually)		5/12/25		192			—			192
	USD	452	Receives	3-month USD-LIBOR (pays quarterly)	0.39% (pays semi-annually)		6/19/25		(455	)		—			(455	)
	USD	2,240	Receives	3-month USD-LIBOR (pays quarterly)	1.74% (pays semi-annually)		12/16/26		(161,491	)		—			(161,491	)
	USD	600	Receives	3-month USD-LIBOR (pays quarterly)	0.57% (pays semi-annually)		4/17/27		(373	)		—			(373	)
	USD	5,222	Receives	3-month USD-LIBOR (pays quarterly)	2.09% (pays semi-annually)		7/15/29		(608,238	)		1,513			(606,725	)
	USD	800	Receives	3-month USD-LIBOR (pays quarterly)	1.76% (pays semi-annually)		12/12/29		(65,386	)		—			(65,386	)
	USD	511	Receives	3-month USD-LIBOR (pays quarterly)	0.60% (pays semi-annually)		5/12/30		12,403			—			12,403
	USD	163	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		5/26/30		3,100			—			3,100
	USD	173	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/1/30		2,874			—			2,874
	USD	1,850	Receives	3-month USD-LIBOR (pays quarterly)	0.66% (pays semi-annually)		6/2/30		36,936			—			36,936
	USD	511	Receives	3-month USD-LIBOR (pays quarterly)	0.80% (pays semi-annually)		6/11/30		3,880			—			3,880
	USD	68	Receives	3-month USD-LIBOR (pays quarterly)	0.77% (pays semi-annually)		6/12/30		657			—			657
	USD	375	Receives	3-month USD-LIBOR (pays quarterly)	0.69% (pays semi-annually)		6/16/30		6,509			—			6,509
	USD	313	Receives	3-month USD-LIBOR (pays quarterly)	0.74% (pays semi-annually)		6/18/30		4,129			—			4,129
	USD	43	Receives	3-month USD-LIBOR (pays quarterly)	0.67% (pays semi-annually)		6/26/30		852			—			852
	USD	1,280	Receives	3-month USD-LIBOR (pays quarterly)	2.88% (pays semi-annually)		1/31/49		(478,640	)		(631	)		(479,271	)
	USD	128	Receives	3-month USD-LIBOR (pays quarterly)	1.71% (pays semi-annually)		8/27/49		(10,820	)		—			(10,820	)
	USD	148	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		8/27/49		(12,101	)		—			(12,101	)
	USD	160	Receives	3-month USD-LIBOR (pays quarterly)	1.65% (pays semi-annually)		8/28/49		(10,853	)		—			(10,853	)
	USD	85	Receives	3-month USD-LIBOR (pays quarterly)	1.54% (pays semi-annually)		8/30/49		(3,425	)		—			(3,425	)
	USD	88	Receives	3-month USD-LIBOR (pays quarterly)	1.70% (pays semi-annually)		9/12/49		(7,043	)		—			(7,043	)
	USD	1,400	Receives	3-month USD-LIBOR (pays quarterly)	1.87% (pays semi-annually)		10/25/49		(169,760	)		—			(169,760	)
	USD	92	Receives	3-month USD-LIBOR (pays quarterly)	1.82% (pays semi-annually)		12/6/49		(10,161	)		—			(10,161	)

75

Notional Amount (000’s omitted)			Fund Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
	USD	91	Receives	3-month USD-LIBOR (pays quarterly)	1.81% (pays semi-annually)		12/6/49	$	(9,920	)	$	—	$	(9,920	)
	USD	19	Receives	3-month USD-LIBOR (pays quarterly)	1.94% (pays semi-annually)		1/9/50		(2,771	)		—		(2,771	)
	USD	1,650	Receives	3-month USD-LIBOR (pays quarterly)	0.96% (pays semi-annually)		6/2/50		182,064			—		182,064
	USD	383	Receives	3-month USD-LIBOR (pays quarterly)	1.10% (pays semi-annually)		6/11/50		28,592			—		28,592
	USD	347	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		41,080			—		41,080
	USD	316	Receives	3-month USD-LIBOR (pays quarterly)	0.93% (pays semi-annually)		6/15/50		37,772			—		37,772
	USD	121	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/16/50		13,114			—		13,114
	USD	280	Receives	3-month USD-LIBOR (pays quarterly)	0.97% (pays semi-annually)		6/17/50		30,183			—		30,183
	Total							$	(1,589,101	)	$	883	$	(1,588,218	)

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Entity	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Indonesia	$	3,750	1.00% (pays quarterly)(1)		12/20/25		0.68	%	$	60,377		$	—	$	60,377
South Africa		1,840	1.00% (pays quarterly)(1)		6/20/21		0.25			7,123			10,285		17,408
Turkey		1,996	1.00% (pays quarterly)(1)		6/20/21		1.37			(2,863	)		45,076		42,213
Turkey		2,400	1.00% (pays quarterly)(1)		6/20/25		2.91			(191,034	)		383,881		192,847
Total	$	9,986							$	(126,397	)	$	439,242	$	312,845

Credit Default Swaps — Sell Protection

Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date		Current Market Annual Fixed Rate***			Value			Unamortized Upfront Receipts (Payments)		Unrealized Appreciation (Depreciation)
Bahamas	Deutsche Bank AG	$	1,150	1.00% (pays quarterly)(1)		6/20/22		4.84	%	$	(62,281	)	$	30,299	$	(31,982	)
Mexico	Citibank, N.A.		1,155	1.00% (pays quarterly)(1)		12/20/30		1.44			(46,332	)		94,119		47,787
Mexico	Goldman Sachs International		2,385	1.00% (pays quarterly)(1)		12/20/30		1.44			(95,673	)		182,647		86,974
Total		$	4,690							$	(204,286	)	$	307,065	$	102,779

* If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At December 31, 2020, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $14,676,000.

76

** The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract.

*** Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

(1) Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Abbreviations:

CMT	-	Constant Maturity Treasury
COF	-	Cost of Funds 11th District
DIP	-	Debtor In Possession
EURIBOR	-	Euro Interbank Offered Rate
GDP	-	Gross Domestic Product
LIBOR	-	London Interbank Offered Rate
PIK	-	Payment In Kind
TBA	-	To Be Announced

Currency Abbreviations:

EUR	-	Euro
GBP	-	British Pound Sterling
USD	-	United States Dollar

77

In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:

Credit Risk: The Fund enters into credit default swap contracts to enhance total return and/or as a substitute for the purchase of securities.

Foreign Exchange Risk: The Fund holds foreign currency denominated investments. The value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Fund enters into forward foreign currency exchange contracts.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures contracts and interest rate swaps to manage the duration of its portfolio and to hedge against fluctuations in securities prices due to interest rates.

At December 31, 2020, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

Restricted Securities

At December 31, 2020, the Fund owned the following securities which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.

Description	Date of Acquisition		Shares		Cost		Value
Common Stocks
Nine Point Energy Holdings, Inc.		7/15/14		29,787	$	1,370,397	$	0
Convertible Preferred Stocks
Nine Point Energy Holdings, Inc., Series A, 12.00%		5/26/17		555		555,000		0
Total Restricted Securities					$	1,925,397	$	0

At December 31, 2020, the value of the Fund’s investment in affiliated funds was $35,652,758, which represents 2.3% of the Fund’s net assets applicable to common shares. Transactions in affiliated funds by the Fund for the fiscal year to date ended December 31, 2020 were as follows:

Name of affiliated fund	Value, beginning of period		Purchases		Sales proceeds			Net realized gain (loss)		Change in unrealized appreciation (depreciation)			Value, end of period		Dividend income		Units, end of period
Short-Term Investments
Eaton Vance Cash Reserves Fund, LLC	$	24,661,698	$	721,017,370	$	(710,040,196	)	$	14,291	$	(405	)	$	35,652,758	$	61,263		35,652,758

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

• Level 1 — quoted prices in active markets for identical investments

• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

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In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At December 31, 2020, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1			Level 2			Level 3*		Total
Asset-Backed Securities	$	—		$	124,559,867		$	—	$	124,559,867
Closed-End Funds		25,015,458			—			—		25,015,458
Collateralized Mortgage Obligations		—			207,823,044			—		207,823,044
Commercial Mortgage-Backed Securities		—			78,416,117			—		78,416,117
Common Stocks		1,050,382			5,511,807			5,423,412		11,985,601
Convertible Bonds		—			2,043,061			—		2,043,061
Convertible Preferred Stocks		—			—			0		0
Corporate Bonds & Notes		—			815,152,055			2,340,684		817,492,739
Foreign Government Securities		—			80,210,513			—		80,210,513
Mortgage Pass-Throughs		—			269,389,723			—		269,389,723
Preferred Stocks		1,925,492			1,471,163			621,004		4,017,659
Senior Floating-Rate Loans (Less Unfunded Loan Commitments)		—			768,287,513			1,653,182		769,940,695
Sovereign Loans		—			9,422,527			—		9,422,527
Warrants		—			—			56,661		56,661
Miscellaneous		—			12,991			0		12,991
Short-Term Investments - U.S. Treasury Obligations		—			499,999			—		499,999
Other		—			35,652,758			—		35,652,758
Total Investments	$	27,991,332		$	2,398,453,138		$	10,094,943	$	2,436,539,413
Forward Foreign Currency Exchange Contracts	$	—		$	171,647		$	—	$	171,647
Futures Contracts		70,446			—			—		70,446
Swap Contracts		—			473,707			—		473,707
Total	$	28,061,778		$	2,399,098,492		$	10,094,943	$	2,437,255,213
Liability Description
Forward Foreign Currency Exchange Contracts	$	—		$	(5,159,901	)	$	—	$	(5,159,901	)
Futures Contracts		(19,445	)		—			—		(19,445	)
Swap Contracts		—			(2,393,491	)		—		(2,393,491	)
Total	$	(19,445	)	$	(7,553,392	)	$	—	$	(7,572,837	)

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended December 31, 2020 is not presented.

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

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