Eaton Vance
Core Bond Fund
September 30, 2021 (Unaudited)
Eaton Vance Core Bond Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets in Core Bond Portfolio (the Portfolio) and owns a pro-rata interest in the Portfolio’s net assets. At September 30, 2021, the value of the Fund’s investment in the Portfolio was $140,305,702 and the Fund owned 24.5% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
Core Bond Portfolio
September 30, 2021
PORTFOLIO OF INVESTMENTS (Unaudited)
Asset-Backed Securities — 12.1%
Security | Principal Amount (000’s omitted) | Value | ||||||
Adams Outdoor Advertising L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | $ | 697 | $ | 733,084 | ||||
Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.88%, 8/15/25(1) | 505 | 506,191 | ||||||
Aligned Data Centers Issuer, LLC, Series 2021-1A, Class A2, 1.937%, 8/15/46(1) | 2,187 | 2,200,779 | ||||||
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 2,268 | 2,274,665 | ||||||
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 328 | 347,185 | ||||||
Diamond Infrastructure Funding, LLC: | ||||||||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 1,460 | 1,441,964 | ||||||
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 313 | 313,854 | ||||||
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 1,122 | 1,193,072 | ||||||
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 958 | 1,017,257 | ||||||
Foundation Finance Trust, Series 2017-1A, Class A, 3.30%, 7/15/33(1) | 387 | 391,493 | ||||||
Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A, 3.425%, 11/15/39(1) | 1,485 | 1,488,520 | ||||||
Jack in the Box Funding, LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49(1) | 1,573 | 1,611,257 | ||||||
Jersey Mike’s Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 1,039 | 1,107,921 | ||||||
JPMorgan Chase Bank, NA: | ||||||||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 1,945 | 1,945,220 | ||||||
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 1,474 | 1,473,825 | ||||||
LL ABS Trust, Series 2020-1A, Class A, 2.33%, 1/17/28(1) | 221 | 221,928 | ||||||
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 339 | 316,660 | ||||||
Marlette Funding Trust, Series 2021-1A, Class A, 0.60%, 6/16/31(1) | 195 | 194,851 | ||||||
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 1,367 | 1,415,382 | ||||||
OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.30%, 3/14/29(1) | 1,144 | 1,147,419 | ||||||
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 419 | 420,295 | ||||||
Oportun Issuance Trust, Series 2021-B, Class A, 1.47%, 5/8/31(1) | 1,547 | 1,549,318 | ||||||
Pagaya AI Debt Selection Trust: | ||||||||
Series 2021-2, 3.00%, 1/25/29(1) | 1,885 | 1,900,833 | ||||||
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 3,375 | 3,377,045 | ||||||
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 1,067 | 1,068,169 | ||||||
Planet Fitness Master Issuer, LLC: | ||||||||
Series 2018-1A, Class A2I, 4.262%, 9/5/48(1) | 1,964 | 1,972,924 | ||||||
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 1,022 | 1,040,976 | ||||||
ServiceMaster Funding, LLC: | ||||||||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 557 | 569,984 | ||||||
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 650 | 676,062 | ||||||
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 3,682 | 3,860,038 | ||||||
Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26(1) | 168 | 167,978 | ||||||
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,810 | 1,912,177 | ||||||
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 1,660 | 1,676,102 | ||||||
Stack Infrastructure Issuer, LLC: | ||||||||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 8,685 | 9,142,791 | ||||||
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 750 | 770,885 | ||||||
Sunnova Helios II Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 268 | 268,314 | ||||||
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 2,499 | 2,545,638 |
1
Security | Principal Amount (000’s omitted) | Value | ||||||
Tesla Auto Lease Trust: | ||||||||
Series 2019-A, Class A3, 2.16%, 10/20/22(1) | $ | 3,680 | $ | 3,712,626 | ||||
Series 2020-A, Class A3, 0.68%, 12/20/23(1) | 288 | 289,270 | ||||||
Series 2020-A, Class A4, 0.78%, 12/20/23(1) | 361 | 363,192 | ||||||
Theorem Funding Trust, Series 2021-1A, Class A, 1.21%, 12/15/27(1) | 3,409 | 3,412,906 | ||||||
Towd Point Asset Trust, Series 2018-SL1, Class A, 0.686%, (1 mo. USD LIBOR + 0.60%), 1/25/46(1)(2) | 2,545 | 2,532,519 | ||||||
Vantage Data Centers Issuer, LLC: | ||||||||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,143 | 1,181,374 | ||||||
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 2,220 | 2,211,146 | ||||||
Willis Engine Structured Trust V: | ||||||||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 964 | 916,917 | ||||||
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 302 | 221,136 | ||||||
|
| |||||||
Total Asset-Backed Securities | $ | 69,103,142 | ||||||
|
| |||||||
Collateralized Mortgage Obligations — 4.2% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Bellemeade Re, Ltd.: | ||||||||
Series 2021-1A, Class M1A, 1.80%, (30-day average SOFR + 1.75%), 3/25/31(1)(2) | $ | 550 | $ | 557,975 | ||||
Series 2021-1A, Class M1B, 2.25%, (30-day average SOFR + 2.20%), 3/25/31(1)(2) | 390 | 401,003 | ||||||
Series 2021-2A, Class M1A, 1.25%, (30-day average SOFR + 1.20%), 6/25/31(1)(2) | 857 | 863,517 | ||||||
Series 2021-3A, Class A2, 1.05%, (30-day average SOFR + 1.00%), 9/25/31(1)(2) | 830 | 835,089 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | ||||||||
Series 2017-DNA3, Class M2, 2.586%, (1 mo. USD LIBOR + 2.50%), 3/25/30(2) | 757 | 776,376 | ||||||
Series 2018-DNA1, Class M2AT, 1.136%, (1 mo. USD LIBOR + 1.05%), 7/25/30(2) | 1,206 | 1,202,627 | ||||||
Series 2019-DNA3, Class M2, 2.136%, (1 mo. USD LIBOR + 2.05%), 7/25/49(1)(2) | 1,879 | 1,904,186 | ||||||
Series 2019-DNA4, Class M2, 2.036%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(2) | 491 | 493,905 | ||||||
Series 2020-DNA5, Class M2, 2.85%, (30-day average SOFR + 2.80%), 10/25/50(1)(2) | 439 | 444,507 | ||||||
Series 2020-DNA6, Class M2, 2.05%, (30-day average SOFR + 2.00%), 12/25/50(1)(2) | 1,215 | 1,226,596 | ||||||
Series 2021-DNA3, Class M1, 0.80%, (30-day average SOFR + 0.75%), 10/25/33(1)(2) | 1,015 | 1,017,538 | ||||||
Federal National Mortgage Association: | ||||||||
Series 2005-58, Class MA, 5.50%, 7/25/35 | 108 | 120,725 | ||||||
Series 2011-135, Class PK, 4.50%, 5/25/40 | 257 | 263,517 | ||||||
Series 2013-6, Class HD, 1.50%, 12/25/42 | 77 | 78,217 | ||||||
Series 2014-70, Class KP, 3.50%, 3/25/44 | 510 | 538,085 | ||||||
Series 2018-M4, Class A2, 3.161%, 3/25/28(3) | 601 | 657,735 | ||||||
Series 2019-M1, Class A2, 3.673%, 9/25/28(3) | 2,771 | 3,141,475 | ||||||
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 4,434 | 4,697,557 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities: | ||||||||
Series 2013-C01, Class M2, 5.336%, (1 mo. USD LIBOR + 5.25%), 10/25/23(2) | 706 | 736,626 | ||||||
Series 2014-C02, Class 2M2, 2.686%, (1 mo. USD LIBOR + 2.60%), 5/25/24(2) | 325 | 329,764 | ||||||
Series 2014-C03, Class 2M2, 2.986%, (1 mo. USD LIBOR + 2.90%), 7/25/24(2) | 564 | 576,113 | ||||||
Series 2017-C06, Class 1M2, 2.736%, (1 mo. USD LIBOR + 2.65%), 2/25/30(2) | 922 | 940,356 | ||||||
Series 2018-R07, Class 1M2, 2.486%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(2) | 297 | 298,576 | ||||||
Series 2019-R05, Class 1M2, 2.086%, (1 mo. USD LIBOR + 2.00%), 7/25/39(1)(2) | 66 | 66,267 | ||||||
Home Re, Ltd., Series 2021-1, Class M1B, 1.636%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(2) | 1,135 | 1,131,909 |
2
Security | Principal Amount (000’s omitted) | Value | ||||||
Toorak Mortgage Corp., Ltd., Series 2020-1, Class A1, 2.734% to 1/25/23, 3/25/23(1)(4) | $ | 730 | $ | 734,086 | ||||
|
| |||||||
Total Collateralized Mortgage Obligations | $ | 24,034,327 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 8.9% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
BAMLL Commercial Mortgage Securities Trust: | ||||||||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(3) | $ | 3,325 | $ | 3,286,662 | ||||
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(3) | 1,635 | 1,401,320 | ||||||
BX Commercial Mortgage Trust: | ||||||||
Series 2019-XL, Class A, 1.004%, (1 mo. USD LIBOR + 0.92%), 10/15/36(1)(2) | 2,934 | 2,942,297 | ||||||
Series 2019-XL, Class B, 1.164%, (1 mo. USD LIBOR + 1.08%), 10/15/36(1)(2) | 1,166 | 1,168,432 | ||||||
Series 2021-VOLT, Class B, 1.034%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(2) | 3,103 | 3,109,870 | ||||||
Series 2021-VOLT, Class C, 1.184%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(2) | 1,461 | 1,464,856 | ||||||
Series 2021-VOLT, Class D, 1.734%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(2) | 1,074 | 1,076,727 | ||||||
CFCRE Commercial Mortgage Trust: | ||||||||
Series 2016-C7, Class C, 4.555%, 12/10/54(3) | 1,250 | 1,241,995 | ||||||
Series 2016-C7, Class D, 4.555%, 12/10/54(1)(3) | 2,000 | 1,819,494 | ||||||
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class C, 2.584%, (1 mo. USD LIBOR + 2.50%), 7/15/30(1)(2) | 3,000 | 2,951,600 | ||||||
COMM Mortgage Trust, Series 2014-CR21, Class C, 4.421%, 12/10/47(3) | 500 | 520,840 | ||||||
Credit Suisse Mortgage Trust, Series 2016-NXSR, Class C, 4.354%, 12/15/49(3) | 1,775 | 1,590,363 | ||||||
Extended Stay America Trust: | ||||||||
Series 2021-ESH, Class A, 1.164%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(2) | 495 | 497,693 | ||||||
Series 2021-ESH, Class C, 1.784%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(2) | 1,729 | 1,744,407 | ||||||
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 3.836%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(2) | 1,260 | 1,310,359 | ||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 1.234%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(2) | 2,443 | 2,450,367 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C22, Class D, 4.553%, 9/15/47(1)(3) | 990 | 769,263 | ||||||
Series 2014-C25, Class D, 3.941%, 11/15/47(1)(3) | 1,960 | 1,584,424 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2011-C5, Class D, 5.752%, 8/15/46(1)(3) | 832 | 826,924 | ||||||
Series 2012-CIBX, Class AS, 4.271%, 6/15/45 | 3,325 | 3,389,655 | ||||||
Series 2013-C13, Class D, 4.077%, 1/15/46(1)(3) | 2,000 | 2,040,133 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, | 993 | 1,045,742 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(5) | 1,745 | 1,009,277 | ||||||
Series 2019-BPR, Class A, 1.484%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1)(2)(5) | 2,521 | 2,500,426 | ||||||
Motel Trust, Series 2021-MTL6, Class A, 0.984%, (1 mo. USD LIBOR + 0.90%), 9/15/38(1)(2) | 794 | 796,520 | ||||||
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 2.284%, (1 mo. USD LIBOR + 2.20%), 6/15/35(1)(2) | 5,000 | 4,502,398 | ||||||
Provident Funding Mortgage Trust, Series 2020-1, Class A3, 3.00%, 2/25/50(1) | 29 | 28,711 | ||||||
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 2,427 | 2,514,560 |
3
Security | Principal Amount (000’s omitted) | Value | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2015-LC22, Class C, 4.709%, 9/15/58(3) | $ | 900 | $ | 952,607 | ||||
Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 500 | 429,146 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | $ | 50,967,068 | ||||||
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|
U.S. Government Agency Mortgage-Backed Securities — 11.2% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
Pool #A93547, 4.50%, 8/1/40 | $ | 386 | $ | 431,242 | ||||
Pool #C03490, 4.50%, 8/1/40 | 231 | 257,414 | ||||||
Pool #C09031, 2.50%, 2/1/43 | 895 | 927,960 | ||||||
Pool #G07589, 5.50%, 6/1/41 | 1,431 | 1,666,329 | ||||||
Pool #G08596, 4.50%, 7/1/44 | 371 | 412,084 | ||||||
Pool #G08670, 3.00%, 10/1/45 | 529 | 560,518 | ||||||
Pool #G08701, 3.00%, 4/1/46 | 711 | 751,559 | ||||||
Pool #G60608, 4.00%, 5/1/46 | 1,747 | 1,903,466 | ||||||
Pool #G60761, 3.00%, 10/1/43 | 910 | 971,855 | ||||||
Pool #Q17453, 3.50%, 4/1/43 | 908 | 985,261 | ||||||
Pool #Q34310, 3.50%, 6/1/45 | 600 | 646,228 | ||||||
Pool #Q40264, 3.50%, 5/1/46 | 512 | 548,179 | ||||||
Pool #Q45051, 3.00%, 12/1/46 | 1,789 | 1,913,924 | ||||||
Pool #Q46889, 3.50%, 3/1/47 | 1,337 | 1,449,933 | ||||||
Pool #Q47999, 4.00%, 5/1/47 | 1,526 | 1,669,309 | ||||||
Pool #ZT0383, 3.50%, 3/1/48 | 653 | 693,541 | ||||||
|
| |||||||
$ | 15,788,802 | |||||||
|
| |||||||
Federal National Mortgage Association: | ||||||||
2.50%, 30-Year, TBA(6) | $ | 24,521 | $ | 25,288,241 | ||||
3.00%, 30-Year, TBA(6) | 6,075 | 6,358,574 | ||||||
Pool #AB3678, 3.50%, 10/1/41 | 2,126 | 2,329,267 | ||||||
Pool #AL7524, 5.00%, 7/1/41 | 387 | 440,957 | ||||||
Pool #AS3892, 4.00%, 11/1/44 | 510 | 559,156 | ||||||
Pool #AS5332, 4.00%, 7/1/45 | 508 | 555,459 | ||||||
Pool #AS6014, 4.00%, 10/1/45 | 303 | 331,498 | ||||||
Pool #BA0891, 3.50%, 1/1/46 | 1,111 | 1,190,483 | ||||||
Pool #BA3938, 3.50%, 1/1/46 | 718 | 770,098 | ||||||
Pool #BD1183, 3.50%, 12/1/46 | 406 | 435,960 | ||||||
Pool #BE2316, 3.50%, 1/1/47 | 1,339 | 1,433,980 | ||||||
Pool #BM1144, 2.50%, 3/1/47 | 1,006 | 1,041,413 | ||||||
Pool #FM7023, 3.00%, 7/1/49 | 1,507 | 1,577,022 | ||||||
Pool #MA1789, 4.50%, 2/1/44 | 373 | 411,975 | ||||||
Pool #MA2653, 4.00%, 6/1/46 | 765 | 833,782 | ||||||
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| |||||||
$ | 43,557,865 | |||||||
|
|
4
Security | Principal Amount (000’s omitted) | Value | ||||||
Government National Mortgage Association: | ||||||||
Pool #AQ1784, 3.50%, 12/20/45 | $ | 1,301 | $ | 1,417,501 | ||||
Pool #CB2653, 2.50%, 3/20/51 | 1,524 | 1,583,196 | ||||||
Pool #CB8629, 2.50%, 4/20/51 | 2,124 | 2,216,237 | ||||||
|
| |||||||
$ | 5,216,934 | |||||||
|
| |||||||
Total U.S. Government Agency Mortgage-Backed Securities | $ | 64,563,601 | ||||||
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Corporate Bonds — 42.1% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Aerospace & Defense — 0.4% | ||||||||
Delta Air Lines, Inc., 3.625%, 3/15/22 | $ | 914 | $ | 922,154 | ||||
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | 1,436 | 1,602,027 | ||||||
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| |||||||
$ | 2,524,181 | |||||||
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Automotive — 0.8% | ||||||||
General Motors Co.: | ||||||||
4.20%, 10/1/27 | $ | 2,383 | $ | 2,650,697 | ||||
5.40%, 4/1/48 | 1,563 | 1,941,439 | ||||||
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| |||||||
$ | 4,592,136 | |||||||
|
| |||||||
Banks — 15.4% | ||||||||
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(7) | $ | 2,150 | $ | 2,235,791 | ||||
Banco Safra S.A., 4.125%, 2/8/23(1) | 1,210 | 1,250,341 | ||||||
Banco Santander S.A., 1.722% to 9/14/26, 9/14/27(7) | 1,200 | 1,195,066 | ||||||
Bank of America Corp.: | ||||||||
1.734% to 7/22/26, 7/22/27(7) | 3,431 | 3,447,396 | ||||||
1.898% to 7/23/30, 7/23/31(7) | 2,400 | 2,315,790 | ||||||
1.922% to 10/24/30, 10/24/31(7) | 1,806 | 1,738,700 | ||||||
2.087% to 6/14/28, 6/14/29(7) | 3,387 | 3,383,646 | ||||||
2.299% to 7/21/31, 7/21/32(7) | 2,050 | 2,022,131 | ||||||
2.456% to 10/22/24, 10/22/25(7) | 963 | 1,006,186 | ||||||
3.974% to 2/7/29, 2/7/30(7) | 807 | 904,202 | ||||||
BankUnited, Inc., 5.125%, 6/11/30 | 521 | 602,490 | ||||||
Barclays PLC: | ||||||||
2.852% to 5/7/25, 5/7/26(7) | 2,585 | 2,716,148 | ||||||
4.836%, 5/9/28 | 1,610 | 1,820,789 | ||||||
BBVA Bancomer S.A./Texas: | ||||||||
1.875%, 9/18/25(1) | 1,165 | 1,172,806 | ||||||
5.125% to 1/18/28, 1/18/33(1)(7) | 1,000 | 1,043,895 | ||||||
Capital One Bank (USA), N.A., 3.375%, 2/15/23 | 892 | 928,012 | ||||||
Capital One Financial Corp.: | ||||||||
3.30%, 10/30/24 | 3,227 | 3,463,258 | ||||||
3.75%, 4/24/24 | 700 | 751,232 | ||||||
Citigroup, Inc.: | ||||||||
2.666% to 1/29/30, 1/29/31(7) | 912 | 934,486 | ||||||
3.106% to 4/8/25, 4/8/26(7) | 1,447 | 1,536,855 |
5
Security | Principal Amount (000’s omitted) | Value | ||||||
3.668% to 7/24/27, 7/24/28(7) | $ | 1,685 | $ | 1,853,343 | ||||
3.70%, 1/12/26 | 1,000 | 1,098,988 | ||||||
3.887% to 1/10/27, 1/10/28(7) | 909 | 1,005,181 | ||||||
4.00% to 12/10/25(7)(8) | 1,090 | 1,132,183 | ||||||
4.075% to 4/23/28, 4/23/29(7) | 1,855 | 2,080,261 | ||||||
Commonwealth Bank of Australia, 3.61% to 9/12/29, 9/12/34(1)(7) | 982 | 1,042,023 | ||||||
Deutsche Bank AG/New York, NY, 2.222% to 9/18/23, 9/18/24(7) | 1,516 | 1,554,290 | ||||||
Discover Bank, 4.682% to 8/9/23, 8/9/28(7) | 1,193 | 1,269,500 | ||||||
Discover Financial Services, 3.95%, 11/6/24 | 490 | 530,977 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.905% to 7/24/22, 7/24/23(7) | 1,909 | 1,946,035 | ||||||
3.75%, 2/25/26 | 970 | 1,064,920 | ||||||
3.85%, 1/26/27 | 1,510 | 1,660,017 | ||||||
5.75%, 1/24/22 | 951 | 967,149 | ||||||
HSBC Holdings PLC, 2.357% to 8/18/30, 8/18/31(7) | 982 | 971,708 | ||||||
International Bank for Reconstruction & Development, 0.18%, (SOFR + 0.13%), 1/13/23(2) | 2,756 | 2,758,150 | ||||||
JPMorgan Chase & Co.: | ||||||||
0.63%, (SOFR + 0.58%), 3/16/24(2) | 482 | 483,856 | ||||||
1.47% to 9/22/26, 9/22/27(7) | 1,953 | 1,941,299 | ||||||
2.522% to 4/22/30, 4/22/31(7) | 1,500 | 1,531,173 | ||||||
2.739% to 10/15/29, 10/15/30(7) | 3,235 | 3,351,865 | ||||||
2.956% to 5/13/30, 5/13/31(7) | 634 | 659,955 | ||||||
3.782% to 2/1/27, 2/1/28(7) | 1,000 | 1,102,573 | ||||||
5.625%, 8/16/43 | 628 | 870,888 | ||||||
Lloyds Banking Group PLC, 2.438% to 2/5/25, 2/5/26(7) | 1,661 | 1,723,910 | ||||||
Macquarie Bank, Ltd.: | ||||||||
3.052% to 3/3/31, 3/3/36(1)(7) | 1,854 | 1,837,235 | ||||||
3.624%, 6/3/30(1) | 970 | 1,018,955 | ||||||
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(7) | 1,294 | 1,291,739 | ||||||
PPTT, 2006-A GS, Class A, 5.626%(1)(8)(9) | 259 | 287,980 | ||||||
Santander Holdings USA, Inc.: | ||||||||
3.45%, 6/2/25 | 1,788 | 1,915,235 | ||||||
4.50%, 7/17/25 | 712 | 784,763 | ||||||
Societe Generale S.A., 4.75% to 5/26/26(1)(7)(8) | 777 | 795,943 | ||||||
Standard Chartered PLC: | ||||||||
1.319% to 10/14/22, 10/14/23(1)(7) | 800 | 805,175 | ||||||
1.456% to 1/14/26, 1/14/27(1)(7) | 808 | 795,901 | ||||||
Synovus Bank/Columbus, GA: | ||||||||
2.289% to 2/10/22, 2/10/23(7) | 2,450 | 2,461,018 | ||||||
4.00% to 10/29/25, 10/29/30(7) | 940 | 985,208 | ||||||
Synovus Financial Corp., 3.125%, 11/1/22 | 622 | 636,222 | ||||||
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(7) | 655 | 681,835 | ||||||
Truist Financial Corp.: | ||||||||
1.267% to 3/2/26, 3/2/27(7) | 1,185 | 1,181,338 | ||||||
5.10% to 3/1/30(7)(8) | 1,427 | 1,643,904 |
6
Security | Principal Amount (000’s omitted) | Value | ||||||
UBS AG, 1.25%, 6/1/26(1) | $ | 1,442 | $ | 1,435,421 | ||||
UBS Group AG, 2.095% to 2/11/31, 2/11/32(1)(7) | 1,652 | 1,608,306 | ||||||
Westpac Banking Corp., 2.668% to 11/15/30, 11/15/35(7) | 966 | 946,577 | ||||||
|
| |||||||
$ | 88,182,219 | |||||||
|
| |||||||
Beverages — 0.1% | ||||||||
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | $ | 541 | $ | 537,381 | ||||
|
| |||||||
$ | 537,381 | |||||||
|
| |||||||
Biotechnology — 0.3% | ||||||||
Royalty Pharma PLC, 3.35%, 9/2/51 | $ | 1,588 | $ | 1,507,464 | ||||
|
| |||||||
$ | 1,507,464 | |||||||
|
| |||||||
Building Materials — 1.6% | ||||||||
Builders FirstSource, Inc., 5.00%, 3/1/30(1) | $ | 2,715 | $ | 2,896,579 | ||||
Eagle Materials, Inc., 2.50%, 7/1/31 | 3,005 | 2,988,456 | ||||||
Owens Corning, 3.95%, 8/15/29 | 2,512 | 2,807,119 | ||||||
Vulcan Materials Co., 4.50%, 6/15/47 | 479 | 581,846 | ||||||
|
| |||||||
$ | 9,274,000 | |||||||
|
| |||||||
Chemicals — 0.4% | ||||||||
Alpek SAB de CV: | ||||||||
3.25%, 2/25/31(1) | $ | 1,200 | $ | 1,214,226 | ||||
4.25%, 9/18/29(1) | 920 | 987,298 | ||||||
|
| |||||||
$ | 2,201,524 | |||||||
|
| |||||||
Commercial Services — 1.1% | ||||||||
Ashtead Capital, Inc., 4.25%, 11/1/29(1) | $ | 1,752 | $ | 1,924,994 | ||||
Block Financial, LLC, 3.875%, 8/15/30 | 1,362 | 1,482,173 | ||||||
Ford Foundation (The), 2.415%, 6/1/50 | 650 | 620,525 | ||||||
Western Union Co. (The), 6.20%, 11/17/36 | 1,545 | 1,972,496 | ||||||
|
| |||||||
$ | 6,000,188 | |||||||
|
| |||||||
Computers — 0.7% | ||||||||
DXC Technology Co., 2.375%, 9/15/28 | $ | 1,181 | $ | 1,167,723 | ||||
Seagate HDD Cayman: | ||||||||
3.375%, 7/15/31(1) | 870 | 849,338 | ||||||
4.091%, 6/1/29 | 463 | 486,944 | ||||||
5.75%, 12/1/34 | 1,473 | 1,725,251 | ||||||
|
| |||||||
$ | 4,229,256 | |||||||
|
| |||||||
Consumer Products — 0.2% | ||||||||
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | $ | 1,117 | $ | 1,132,080 | ||||
|
| |||||||
$ | 1,132,080 | |||||||
|
| |||||||
Diversified Financial Services — 4.1% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||||
4.50%, 9/15/23 | $ | 1,246 | $ | 1,327,923 | ||||
6.50%, 7/15/25 | 742 | 860,667 | ||||||
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 1,810 | 1,938,172 | ||||||
Air Lease Corp., 2.875%, 1/15/26 | 700 | 731,768 | ||||||
Alliance Data Systems Corp., 4.75%, 12/15/24(1) | 1,140 | 1,169,079 | ||||||
Banco BTG Pactual S.A., 4.50%, 1/10/25(1) | 3,000 | 3,086,280 |
7
Security | Principal Amount (000’s omitted) | Value | ||||||
Brookfield Finance, LLC, 3.45%, 4/15/50 | $ | 1,943 | $ | 2,009,499 | ||||
CI Financial Corp.: | ||||||||
3.20%, 12/17/30 | 1,403 | 1,457,549 | ||||||
4.10%, 6/15/51 | 1,090 | 1,173,933 | ||||||
Ford Motor Credit Co., LLC: | ||||||||
0.999%, (3 mo. USD LIBOR + 0.88%), 10/12/21(2) | 1,566 | 1,566,011 | ||||||
2.979%, 8/3/22 | 2,203 | 2,229,789 | ||||||
4.14%, 2/15/23 | 300 | 307,935 | ||||||
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 1,350 | 1,453,587 | ||||||
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp.: | ||||||||
4.50%, 3/15/27(1) | 432 | 492,077 | ||||||
4.875%, 4/15/45(1) | 1,157 | 1,337,180 | ||||||
Stifel Financial Corp., 4.00%, 5/15/30 | 1,408 | 1,571,016 | ||||||
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(7) | 611 | 674,637 | ||||||
|
| |||||||
$ | 23,387,102 | |||||||
|
| |||||||
Electric Utilities — 1.1% | ||||||||
AES Corp. (The), 2.45%, 1/15/31 | $ | 2,342 | $ | 2,312,878 | ||||
Enel Finance International N.V., 1.375%, 7/12/26(1) | 873 | 868,448 | ||||||
Entergy Corp., 4.00%, 7/15/22 | 1,046 | 1,068,969 | ||||||
ITC Holdings Corp., 4.05%, 7/1/23 | 680 | 714,038 | ||||||
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 1,240 | 1,241,561 | ||||||
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 38 | 40,229 | ||||||
|
| |||||||
$ | 6,246,123 | |||||||
|
| |||||||
Electrical and Electronic Equipment — 1.1% | ||||||||
Jabil, Inc.: | ||||||||
3.00%, 1/15/31 | $ | 2,773 | $ | 2,847,310 | ||||
3.60%, 1/15/30 | 2,207 | 2,394,940 | ||||||
4.70%, 9/15/22 | 934 | 971,356 | ||||||
|
| |||||||
$ | 6,213,606 | |||||||
|
| |||||||
Foods — 0.9% | ||||||||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/1/31(1) | $ | 1,587 | $ | 1,653,305 | ||||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 1,757 | 2,002,729 | ||||||
Smithfield Foods, Inc.: | ||||||||
2.625%, 9/13/31(1) | 1,120 | 1,089,981 | ||||||
3.00%, 10/15/30(1) | 210 | 211,624 | ||||||
|
| |||||||
$ | 4,957,639 | |||||||
|
| |||||||
Health Care — 0.6% | ||||||||
Centene Corp.: | ||||||||
2.50%, 3/1/31 | $ | 1,583 | $ | 1,563,213 | ||||
3.375%, 2/15/30 | 784 | 812,655 | ||||||
4.25%, 12/15/27 | 798 | 836,224 | ||||||
|
| |||||||
$ | 3,212,092 | |||||||
|
| |||||||
Insurance — 0.7% | ||||||||
Athene Global Funding, 2.45%, 8/20/27(1) | $ | 2,795 | $ | 2,885,396 | ||||
Liberty Mutual Group, Inc., 4.125%, 12/15/51(1)(7) | 823 | 846,260 | ||||||
|
| |||||||
$ | 3,731,656 | |||||||
|
|
8
Security | Principal Amount (000’s omitted) | Value | ||||||
Lodging and Gaming — 0.1% | ||||||||
Hyatt Hotels Corp.: | ||||||||
1.30%, 10/1/23(10) | $ | 577 | $ | 577,847 | ||||
1.80%, 10/1/24(10) | 237 | 237,536 | ||||||
|
| |||||||
$ | 815,383 | |||||||
|
| |||||||
Machinery — 0.9% | ||||||||
Flowserve Corp., 3.50%, 10/1/30 | $ | 695 | $ | 726,544 | ||||
nVent Finance S.a.r.l., 4.55%, 4/15/28 | 2,700 | 2,965,537 | ||||||
Valmont Industries, Inc., 5.25%, 10/1/54 | 1,373 | 1,718,689 | ||||||
|
| |||||||
$ | 5,410,770 | |||||||
|
| |||||||
Media — 1.5% | ||||||||
Charter Communications Operating, LLC/Charter Communications Operating Capital: | ||||||||
2.80%, 4/1/31 | $ | 1,269 | $ | 1,272,912 | ||||
4.80%, 3/1/50 | 2,895 | 3,254,601 | ||||||
Comcast Corp.: | ||||||||
2.45%, 8/15/52 | 2,146 | 1,897,532 | ||||||
2.937%, 11/1/56(1) | 832 | 787,401 | ||||||
Discovery Communications, LLC, 5.20%, 9/20/47 | 1,321 | 1,648,821 | ||||||
|
| |||||||
$ | 8,861,267 | |||||||
|
| |||||||
Miscellaneous Manufacturing — 0.2% | ||||||||
Hexcel Corp., 4.20%, 2/15/27 | $ | 786 | $ | 859,327 | ||||
|
| |||||||
$ | 859,327 | |||||||
|
| |||||||
Oil and Gas — 0.9% | ||||||||
Helmerich & Payne, Inc., 2.90%, 9/29/31(1) | $ | 712 | $ | 714,273 | ||||
National Fuel Gas Co., 2.95%, 3/1/31 | 1,707 | 1,730,552 | ||||||
NOV, Inc., 3.60%, 12/1/29 | 961 | 1,011,437 | ||||||
Patterson-UTI Energy, Inc., 3.95%, 2/1/28 | 1,830 | 1,840,072 | ||||||
|
| |||||||
$ | 5,296,334 | |||||||
|
| |||||||
Other Revenue — 0.8% | ||||||||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 3,160 | $ | 3,274,897 | ||||
OneMain Finance Corp., 3.50%, 1/15/27 | 1,146 | 1,147,948 | ||||||
|
| |||||||
$ | 4,422,845 | |||||||
|
| |||||||
Pharmaceuticals — 0.2% | ||||||||
CVS Health Corp., 3.00%, 8/15/26 | $ | 1,236 | $ | 1,327,825 | ||||
|
| |||||||
$ | 1,327,825 | |||||||
|
| |||||||
Pipelines — 0.3% | ||||||||
Plains All America Pipeline, L.P./PAA Finance Corp., 3.55%, 12/15/29 | $ | 1,851 | $ | 1,948,619 | ||||
|
| |||||||
$ | 1,948,619 | |||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.1% | ||||||||
Agree, L.P., 2.00%, 6/15/28 | $ | 520 | $ | 516,021 | ||||
Digital Realty Trust, L.P., 3.70%, 8/15/27 | 1,272 | 1,414,863 | ||||||
Extra Space Storage, L.P., 2.55%, 6/1/31 | 1,011 | 1,014,382 | ||||||
HAT Holdings I, LLC/HAT Holdings II, LLC, 3.375%, 6/15/26(1) | 1,436 | 1,459,335 | ||||||
Iron Mountain, Inc.: | ||||||||
4.50%, 2/15/31(1) | 977 | 992,192 |
9
Security | Principal Amount (000’s omitted) | Value | ||||||
5.00%, 7/15/28(1) | $ | 339 | $ | 353,763 | ||||
Life Storage, L.P., 2.40%, 10/15/31(10) | 1,473 | 1,459,940 | ||||||
Newmark Group, Inc., 6.125%, 11/15/23 | 2,890 | 3,130,593 | ||||||
SITE Centers Corp., 3.625%, 2/1/25 | 874 | 926,651 | ||||||
Sun Communities Operating, L.P.: | ||||||||
2.30%, 11/1/28(10) | 543 | 544,343 | ||||||
2.70%, 7/15/31 | 455 | 460,254 | ||||||
|
| |||||||
$ | 12,272,337 | |||||||
|
| |||||||
Retail-Specialty and Apparel — 1.1% | ||||||||
7-Eleven, Inc., 0.80%, 2/10/24(1) | $ | 1,478 | $ | 1,477,790 | ||||
Macy’s Retail Holdings, LLC, 2.875%, 2/15/23 | 1,182 | 1,201,207 | ||||||
Nordstrom, Inc.: | ||||||||
4.25%, 8/1/31 | 819 | 830,430 | ||||||
4.375%, 4/1/30 | 1,040 | 1,064,535 | ||||||
5.00%, 1/15/44 | 1,508 | 1,481,158 | ||||||
|
| |||||||
$ | 6,055,120 | |||||||
|
| |||||||
Technology — 0.1% | ||||||||
Western Digital Corp., 4.75%, 2/15/26 | $ | 690 | $ | 765,051 | ||||
|
| |||||||
$ | 765,051 | |||||||
|
| |||||||
Telecommunications — 2.6% | ||||||||
AT&T, Inc.: | ||||||||
3.55%, 9/15/55 | $ | 1,251 | $ | 1,236,187 | ||||
3.65%, 6/1/51 | 2,875 | 2,935,574 | ||||||
3.65%, 9/15/59 | 372 | 371,705 | ||||||
3.80%, 12/1/57 | 2,258 | 2,311,515 | ||||||
Nokia Oyj: | ||||||||
4.375%, 6/12/27 | 981 | 1,077,874 | ||||||
6.625%, 5/15/39 | 1,242 | 1,697,653 | ||||||
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 661 | 757,385 | ||||||
SES S.A., 5.30%, 4/4/43(1) | 393 | 450,177 | ||||||
T-Mobile USA, Inc.: | ||||||||
2.25%, 11/15/31 | 278 | 272,830 | ||||||
2.55%, 2/15/31 | 646 | 648,724 | ||||||
2.625%, 4/15/26 | 1,394 | 1,427,107 | ||||||
4.50%, 4/15/50 | 1,511 | 1,764,485 | ||||||
|
| |||||||
$ | 14,951,216 | |||||||
|
| |||||||
Transportation — 0.3% | ||||||||
FedEx Corp., 4.55%, 4/1/46 | $ | 500 | $ | 592,121 | ||||
SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1) | 1,200 | 1,271,188 | ||||||
|
| |||||||
$ | 1,863,309 | |||||||
|
| |||||||
Utilities — 1.5% | ||||||||
American Water Capital Corp.: | ||||||||
2.30%, 6/1/31 | $ | 2,740 | $ | 2,771,168 | ||||
2.95%, 9/1/27 | 1,426 | 1,535,739 |
10
Security | Principal Amount (000’s omitted) | Value | ||||||
Southern Co. (The), Series B, 4.00% to 10/15/25, 1/15/51(7) | $ | 1,704 | $ | 1,805,507 | ||||
Southern Co. Gas Capital Corp.: | ||||||||
2.45%, 10/1/23 | 1,060 | 1,098,108 | ||||||
3.95%, 10/1/46 | 1,270 | 1,411,549 | ||||||
|
| |||||||
$ | 8,622,071 | |||||||
|
| |||||||
Total Corporate Bonds | $ | 241,400,121 | ||||||
|
| |||||||
Preferred Securities — 0.9% | ||||||||
Security | Shares | Value | ||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||
NuStar Energy, L.P., Series B, 7.625% to 6/15/22(7) | 24,632 | $ | 523,923 | |||||
|
| |||||||
$ | 523,923 | |||||||
|
| |||||||
Real Estate Management & Development — 0.4% | ||||||||
Brookfield Property Partners, L.P., Series A, 5.75% | 85,000 | $ | 1,994,950 | |||||
|
| |||||||
$ | 1,994,950 | |||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% | ||||||||
United States Cellular Corp., 5.50% | 93,600 | $ | 2,474,784 | |||||
|
| |||||||
$ | 2,474,784 | |||||||
|
| |||||||
Total Preferred Securities | $ | 4,993,657 | ||||||
|
| |||||||
Senior Floating-Rate Loans — 1.5%(11) | ||||||||
Borrower/Description | Principal Amount (000’s omitted) | Value | ||||||
Building and Development — 0.2% | ||||||||
Cushman & Wakefield U.S. Borrower, LLC, Term Loan, 2.834%, (1 mo. USD LIBOR + 2.75%), 8/21/25 | $ | 1,216 | $ | 1,207,196 | ||||
|
| |||||||
$ | 1,207,196 | |||||||
|
| |||||||
Drugs — 0.3% | ||||||||
PPD, Inc., Term Loan, 2.50%, (1 mo. USD LIBOR + 2.00%, Floor 0.50%), 1/13/28 | $ | 1,791 | $ | 1,790,215 | ||||
|
| |||||||
$ | 1,790,215 | |||||||
|
| |||||||
Electronics/Electrical — 0.3% | ||||||||
Hyland Software, Inc., Term Loan, 4.25%, (1 mo. USD LIBOR + 3.50%, Floor 0.75%), 7/1/24 | $ | 1,004 | $ | 1,006,908 | ||||
MA FinanceCo., LLC, Term Loan, 2.834%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 76 | 75,499 | ||||||
Seattle Spinco, Inc., Term Loan, 2.834%, (1 mo. USD LIBOR + 2.75%), 6/21/24 | 514 | 509,859 | ||||||
|
| |||||||
$ | 1,592,266 | |||||||
|
|
11
Borrower/Description | Principal Amount (000’s omitted) | Value | ||||||
Equipment Leasing — 0.1% | ||||||||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 2.50%, (1 mo. USD LIBOR + 1.75%, Floor 0.75%), 1/15/25 | $ | 631 | $ | 629,313 | ||||
|
| |||||||
$ | 629,313 | |||||||
|
| |||||||
Health Care — 0.1% | ||||||||
Change Healthcare Holdings, LLC, Term Loan, 3.50%, (USD LIBOR + 2.50%, Floor 1.00%), 3/1/24(12) | $ | 739 | $ | 739,224 | ||||
|
| |||||||
$ | 739,224 | |||||||
|
| |||||||
Insurance — 0.1% | ||||||||
Asurion, LLC: | ||||||||
Term Loan, 3.209%, (1 mo. USD LIBOR + 3.125%), 11/3/23 | $ | 457 | $ | 455,307 | ||||
Term Loan, 3.334%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | 248 | 244,739 | ||||||
|
| |||||||
$ | 700,046 | |||||||
|
| |||||||
Leisure Goods/Activities/Movies — 0.1% | ||||||||
Bombardier Recreational Products, Inc., Term Loan, 2.084%, (1 mo. USD LIBOR + 2.00%), 5/24/27 | $ | 243 | $ | 241,492 | ||||
|
| |||||||
$ | 241,492 | |||||||
|
| |||||||
Telecommunications — 0.3% | ||||||||
CenturyLink, Inc., Term Loan, 2.334%, (1 mo. USD LIBOR + 2.25%), 3/15/27 | $ | 491 | $ | 486,474 | ||||
Level 3 Financing, Inc., Term Loan, 1.834%, (1 mo. USD LIBOR + 1.75%), 3/1/27 | 250 | 246,926 | ||||||
Ziggo Financing Partnership, Term Loan, 2.584%, (1 mo. USD LIBOR + 2.50%), 4/30/28 | 1,000 | 993,125 | ||||||
|
| |||||||
$ | 1,726,525 | |||||||
|
| |||||||
Total Senior Floating-Rate Loans | $ | 8,626,277 | ||||||
|
| |||||||
Sovereign Government Bonds — 1.2% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Kreditanstalt fuer Wiederaufbau, 2.00%, 9/29/22 | $ | 7,000 | $ | 7,129,481 | ||||
|
| |||||||
Total Sovereign Government Bonds | $ | 7,129,481 | ||||||
|
| |||||||
Taxable Municipal Obligations — 2.0% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
Special Tax Revenue — 0.3% | ||||||||
California Health Facilities Financing Authority, (No Place Like Home Program), | $ | 1,430 | $ | 1,522,335 | ||||
|
| |||||||
$ | 1,522,335 | |||||||
|
| |||||||
Water and Sewer — 1.7% | ||||||||
Narragansett Bay Commission, RI, Wastewater System Revenue, Green Bonds: | ||||||||
2.094%, 9/1/30 | $ | 820 | $ | 835,219 | ||||
2.184%, 9/1/31 | 650 | 661,986 |
12
Security | Principal Amount (000’s omitted) | Value | ||||||
2.264%, 9/1/32 | $ | 585 | $ | 595,179 | ||||
2.344%, 9/1/33 | 635 | 647,319 | ||||||
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 6,750 | 7,219,260 | ||||||
|
| |||||||
$ | 9,958,963 | |||||||
|
| |||||||
Total Taxable Municipal Obligations | $ | 11,481,298 | ||||||
|
| |||||||
U.S. Treasury Obligations — 20.3% | ||||||||
Security | Principal Amount (000’s omitted) | Value | ||||||
U.S. Treasury Bonds: | ||||||||
1.375%, 8/15/50 | $ | 2,806 | $ | 2,368,659 | ||||
1.625%, 11/15/50 | 8,674 | 7,795,239 | ||||||
1.875%, 2/15/41 | 1,069 | 1,046,033 | ||||||
1.875%, 2/15/51 | 7,427 | 7,084,662 | ||||||
2.00%, 8/15/51 | 917 | 900,953 | ||||||
2.25%, 5/15/41 | 4,238 | 4,408,182 | ||||||
U.S. Treasury Inflation-Protected Note, 0.75%, 7/15/28(13) | 2,514 | 2,880,424 | ||||||
U.S. Treasury Notes: | ||||||||
0.125%, 1/31/23 | 8,469 | 8,466,353 | ||||||
0.125%, 7/31/23 | 13,550 | 13,522,212 | ||||||
0.125%, 8/15/23 | 4,423 | 4,412,806 | ||||||
0.25%, 6/15/24 | 978 | 972,850 | ||||||
0.25%, 5/31/25 | 3,310 | 3,254,920 | ||||||
0.375%, 11/30/25 | 1,414 | 1,387,322 | ||||||
0.375%, 12/31/25 | 12,408 | 12,160,809 | ||||||
0.375%, 1/31/26 | 8,006 | 7,835,873 | ||||||
0.50%, 2/28/26 | 3,144 | 3,091,559 | ||||||
0.625%, 7/31/26 | 6,812 | 6,703,434 | ||||||
0.75%, 4/30/26 | 4,590 | 4,555,575 | ||||||
1.00%, 7/31/28 | 3,735 | 3,663,218 | ||||||
1.125%, 2/29/28 | 5,780 | 5,745,004 | ||||||
1.125%, 8/31/28 | 1,045 | 1,032,836 | ||||||
1.25%, 3/31/28 | 2,415 | 2,415,660 | ||||||
1.25%, 4/30/28 | 8,955 | 8,950,802 | ||||||
1.25%, 6/30/28 | 1,455 | 1,452,101 | ||||||
1.625%, 5/15/31 | 432 | 437,130 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | $ | 116,544,616 | ||||||
|
|
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Short-Term Investments — 0.1% | ||||||||
Description | Units | Value | ||||||
Eaton Vance Cash Reserves Fund, LLC, 0.05%(14) | $ | 661,200 | $ | 661,200 | ||||
|
| |||||||
Total Short-Term Investments | $ | 661,200 | ||||||
|
| |||||||
Total Investments — 104.5% | $ | 599,504,788 | ||||||
|
| |||||||
Other Assets, Less Liabilities — (4.5)% | $ | (25,810,863 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 573,693,925 | ||||||
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The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
(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 September 30, 2021, the aggregate value of these securities is $171,849,444 or 30.0% of the Portfolio’s net assets. |
(2) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2021. |
(3) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2021. |
(4) | Step coupon security. Interest rate represents the rate in effect at September 30, 2021. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate effective March 1, 2021. |
(6) | 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. |
(7) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(8) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(9) | Variable rate security. The stated interest rate, which resets quarterly, is determined at auction and represents the rate in effect at September 30, 2021. |
(10) | When-issued security. |
(11) | 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 a minimum rate. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(12) | The stated interest rate represents the weighted average interest rate at September 30, 2021 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. |
(13) | Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. |
(14) | 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 September 30, 2021. |
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Futures Contracts
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||||
Interest Rate Futures |
| |||||||||||||||||||||
U.S. 2-Year Treasury Note | 31 | Long | 12/31/21 | $ | 6,821,695 | $ | 1,109 | |||||||||||||||
U.S. 10-Year Treasury Note | 25 | Long | 12/21/21 | 3,290,235 | (32,460 | ) | ||||||||||||||||
U.S. Ultra-Long Treasury Bond | 110 | Long | 12/21/21 | 21,016,875 | (570,160 | ) | ||||||||||||||||
U.S. Ultra 10-Year Treasury Note | (393 | ) | Short | 12/21/21 | (57,083,250 | ) | 774,413 | |||||||||||||||
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$ | 172,902 | |||||||||||||||||||||
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Abbreviations: | ||||||||||||
LIBOR | - | London Interbank Offered Rate | ||||||||||
PPTT | - | Preferred Pass-Through Trust | ||||||||||
SOFR | - | Secured Overnight Financing Rate | ||||||||||
TBA | - | To Be Announced | ||||||||||
Currency Abbreviations: | ||||||||||||
USD | - | United States Dollar |
The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Because the Portfolio holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. The Portfolio enters into U.S. Treasury futures contracts to hedge against fluctuations in interest rates.
At September 30, 2021, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
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The Portfolio invested in issuers that may be deemed to be affiliated with Morgan Stanley. At September 30, 2021, the value of the Portfolio’s investment in affiliated issuers and funds was $5,216,645, which represents 0.9% of the Portfolio’s net assets. Transactions in affiliated issuers and funds by the Portfolio for the fiscal year to date ended September 30, 2021 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Units, end of period | ||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||||||||||||||||||||||
Series 2016-C29, Class C, 4.733%, 5/15/49(1) | $ | — | $ | — | $ | — | $ | — | $ | (4,253 | ) | $ | 1,045,742 | $ | 28,108 | $ | 993,200 | |||||||||||||||
Morgan Stanley Capital I Trust: | ||||||||||||||||||||||||||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1) | — | — | — | — | 448 | 1,009,277 | 42,244 | 1,745,000 | ||||||||||||||||||||||||
Series 2019-BPR, Class A, 1.484%, (1 mo. USD LIBOR + 1.40%), 5/15/36(1) | — | — | — | — | 48,035 | 2,500,426 | 22,565 | 2,521,000 | ||||||||||||||||||||||||
Corporate Bonds | ||||||||||||||||||||||||||||||||
Morgan Stanley: | ||||||||||||||||||||||||||||||||
0.71%, (SOFR + 0.70%), 1/20/23(1) | — | — | (4,546,503 | ) | 12,503 | (21,490 | ) | — | 2,375 | — | ||||||||||||||||||||||
3.772% to 1/24/28, 1/24/29(1) | — | — | (1,142,216 | ) | 122,216 | (125,574 | ) | — | 214 | — | ||||||||||||||||||||||
4.875%, 11/1/22(1) | — | — | (1,207,629 | ) | 50,463 | (57,012 | ) | — | 3,716 | — | ||||||||||||||||||||||
Short-Term Investments | ||||||||||||||||||||||||||||||||
Eaton Vance Cash Reserves Fund, LLC | 52,287,209 | 179,750,125 | (231,373,967 | ) | (2,167 | ) | — | 661,200 | 13,736 | 661,200 | ||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||
Totals | $ | 183,015 | $ | (159,846 | ) | $ | 5,216,645 | $ | 112,958 | |||||||||||||||||||||||
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(1) May be deemed to be an affiliated issuer as of March 1, 2021.
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 September 30, 2021, the hierarchy of inputs used in valuing the Portfolio’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 | $ | — | $ | 69,103,142 | $ | — | $ | 69,103,142 | ||||||||
Collateralized Mortgage Obligations | — | 24,034,327 | — | 24,034,327 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 50,967,068 | — | 50,967,068 | ||||||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 64,563,601 | — | 64,563,601 | ||||||||||||
Corporate Bonds | — | 241,400,121 | — | 241,400,121 | ||||||||||||
Preferred Securities | 4,993,657 | — | — | 4,993,657 | ||||||||||||
Senior Floating-Rate Loans | — | 8,626,277 | — | 8,626,277 | ||||||||||||
Sovereign Government Bonds | — | 7,129,481 | — | 7,129,481 | ||||||||||||
Taxable Municipal Obligations | — | 11,481,298 | — | 11,481,298 | ||||||||||||
U.S. Treasury Obligations | — | 116,544,616 | — | 116,544,616 | ||||||||||||
Short-Term Investments | — | 661,200 | — | 661,200 | ||||||||||||
Total Investments | $ | 4,993,657 | $ | 594,511,131 | $ | — | $ | 599,504,788 | ||||||||
Futures Contracts | $ | 775,522 | $ | — | $ | — | $ | 775,522 | ||||||||
Total | $ | 5,769,179 | $ | 594,511,131 | $ | — | $ | 600,280,310 | ||||||||
Liability Description | ||||||||||||||||
Futures Contracts | $ | (602,620 | ) | $ | — | $ | — | $ | (602,620 | ) | ||||||
Total | $ | (602,620 | ) | $ | — | $ | — | $ | (602,620 | ) |
For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.
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