| (a)
| Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A
eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2020, the total value of these securities amounted to $1,434,494,639, which represents 20.95% of total net assets.
|
| (b)
| Variable rate security. The interest rate shown was the current rate as of May 31, 2020.
|
| (c)
| Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The
interest rate shown was the current rate as of May 31, 2020.
|
| (d)
| Represents a security purchased on a when-issued basis.
|
| (e)
| Non-income producing investment.
|
| (f)
| Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash.
|
| (g)
| Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then
increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2020.
|
| (h)
| Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2020, the total value of these securities
amounted to $185,753, which represents less than 0.01% of total net assets.
|
| (i)
| Principal and interest may not be guaranteed by a governmental entity.
|
| (j)
| This security or a portion of this security has been pledged as collateral in connection with derivative contracts.
|
| (k)
| The stated interest rate represents the weighted average interest rate at May 31, 2020 of contracts within the senior loan facility. Interest rates on contracts are primarily
determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending
rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed.
Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining
maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.
|
| (l)
| Valuation based on significant unobservable inputs.
|
| (m)
| The rate shown is the seven-day current annualized yield at May 31, 2020.
|
| (n)
| As defined in the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company
which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended May 31, 2020 are as follows:
|