有価証券報告書(内国投資信託受益証券)-第27期(令和2年1月21日-令和2年7月20日)

【提出】
2020/10/15 9:02
【資料】
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【項目】
60項目
野村米国好利回り社債投信 マザーファンド
貸借対照表
(単位:円)
(2020年 7月20日現在)
資産の部
流動資産
預金214,576,825
コール・ローン124,284,175
株式44,779,614
新株予約権証券774,611
社債券11,871,286,252
貸付債権303,662,341
未収入金82,799,710
未収利息182,820,851
前払費用8,928,902
流動資産合計12,833,913,281
資産合計12,833,913,281
負債の部
流動負債
未払金97,961,723
未払解約金9,500,000
未払利息134
流動負債合計107,461,857
負債合計107,461,857
純資産の部
元本等
元本5,308,452,852
剰余金
期末剰余金又は期末欠損金(△)7,417,998,572
元本等合計12,726,451,424
純資産合計12,726,451,424
負債純資産合計12,833,913,281

注記表
(重要な会計方針に係る事項に関する注記)

1.運用資産の評価基準及び評価方法株式
原則として時価で評価しております。
時価評価にあたっては、市場価格のある有価証券についてはその最終相場(計算日に最終相場のない場合には、直近の日の最終相場)で評価しております。
新株予約権証券
原則として時価で評価しております。
時価評価にあたっては、市場価格のある有価証券についてはその最終相場(計算日に最終相場のない場合には、直近の日の最終相場)で評価しております。
社債券
原則として時価で評価しております。
時価評価にあたっては、価格情報会社の提供する価額等で評価しております。
貸付債権
原則として時価で評価しております。
時価評価にあたっては、価格情報会社の提供する価額等で評価しております。
2.外貨建資産・負債の本邦通貨への換算基準信託財産に属する外貨建資産・負債の円換算は、原則として、わが国における計算期間末日の対顧客電信売買相場の仲値によって計算しております。
3.費用・収益の計上基準受取配当金
原則として配当落ち日において、確定配当金額又は予想配当金額を計上しております。
投資信託受益証券については、原則として収益分配金落ち日において、当該収益分配金額を計上しております。
有価証券売買等損益
約定日基準で計上しております。
為替差損益
約定日基準で計上しております。
4.金融商品の時価等に関する事項の補足説明金融商品の時価には、市場価格に基づく価額のほか、市場価格がない場合には合理的に算定された価額が含まれております。当該価額の算定においては一定の前提条件等を採用しているため、異なる前提条件等によった場合、当該価額が異なることもあります。

(貸借対照表に関する注記)

2020年 7月20日現在
1.計算期間の末日における1単位当たりの純資産の額
1口当たり純資産額2.3974円
(10,000口当たり純資産額)(23,974円)

(金融商品に関する注記)
(1)金融商品の状況に関する事項

自 2020年 1月21日
至 2020年 7月20日
1.金融商品に対する取組方針
当ファンドは、投資信託及び投資法人に関する法律第2条第4項に定める証券投資信託であり、信託約款に規定する運用の基本方針に従い、有価証券等の金融商品に対して投資として運用することを目的としております。
2.金融商品の内容及びその金融商品に係るリスク
当ファンドが保有する金融商品の種類は、有価証券、コール・ローン等の金銭債権及び金銭債務であります。
当ファンドが保有する有価証券の詳細は、附属明細表に記載しております。
これらは、金利変動リスク、為替変動リスクなどの市場リスク、信用リスク及び流動性リスクにさらされております。
3.金融商品に係るリスク管理体制
委託会社においては、独立した投資リスク管理に関する委員会を設け、パフォーマンスの考査及び運用リスクの管理を行なっております。
○市場リスクの管理
市場リスクに関しては、資産配分等の状況を常時、分析･把握し、投資方針に沿っているか等の管理を行なっております。
○信用リスクの管理
信用リスクに関しては、発行体や取引先の財務状況等に関する情報収集･分析を常時、継続し、格付等の信用度に応じた組入制限等の管理を行なっております。
○流動性リスクの管理
流動性リスクに関しては、必要に応じて市場流動性の状況を把握し、取引量や組入比率等の管理を行なっております。

(2)金融商品の時価等に関する事項

2020年 7月20日現在
1.貸借対照表計上額、時価及び差額
貸借対照表上の金融商品は原則としてすべて時価で評価しているため、貸借対照表計上額と時価との差額はありません。
2.時価の算定方法
株式
(重要な会計方針に係る事項に関する注記)に記載しております。
新株予約権証券
(重要な会計方針に係る事項に関する注記)に記載しております。
社債券
(重要な会計方針に係る事項に関する注記)に記載しております。
貸付債権
(重要な会計方針に係る事項に関する注記)に記載しております。
コール・ローン等の金銭債権及び金銭債務(貸付債権は除く)
これらの科目は短期間で決済されるため、帳簿価額は時価と近似していることから、当該帳簿価額を時価としております。

(その他の注記)
元本の移動及び期末元本額の内訳

2020年 7月20日現在
期首2020年 1月21日
本報告書における開示対象ファンドの期首における当ファンドの元本額5,651,903,270円
同期中における追加設定元本額153,720,229円
同期中における一部解約元本額497,170,647円
期末元本額5,308,452,852円
期末元本額の内訳*
野村米国好利回り社債投信 Aコース272,117,297円
野村米国好利回り社債投信 Bコース504,636,635円
野村米国好利回り社債投信 Cコース591,460,000円
野村米国好利回り社債投信 Dコース3,051,175,786円
ノムラ・グローバル・オールスターズ844,516,866円
野村オールウェザー・ファクターアロケーションファンド(非課税適格機関投資家専用)44,546,268円

*は当該親投資信託受益証券を投資対象とする証券投資信託ごとの元本額

附属明細表
第1 有価証券明細表
(1)株式(2020年7月20日現在)

種類通貨銘柄株式数評価額備考
単価金額
株式米ドルMOOD MEDIA CORP COMMON STOCK35,0000.6522,750.00
MOOD MEDIA CORP RESTRICTED COMMON STOCK28,5710.6518,571.15
NINE POINT ENERGY HOLDINGS COMMON2,7070.501,353.50
RUE21 CLASS A COM1125.00275.00
SUNEDISON INC COM38217.006,494.00
VISTRA ENERGY CORP RIGHTS3,8530.853,275.05
WARREN RESOURCES INC3,6490.000.00
HERCULES OFFSHORE ESCROW COM11,9430.000.00
NINE POINT ENERGY HOLDINGS-PFD4650.002,300.00
PARKER DRILLING CO-POST BANK9684.504,356.00
WEATHERFORD INTERNATIONAL PLC6951.701,181.50
JONES ENERGY II INC2,48913.9534,721.55
HEXION HOLDINGS CORP -B15,4736.50100,574.50
NEENAH ENTERPRISES INC107,7780.000.00
CORNERSTONE BUILDING BRANDS INC3,0225.7217,285.84
UC HOLDINGS INC6,82510.0068,250.00
GATEWAY CASINOS ENTERTAINMENT LTD140,8130.4462,588.56
BLUESTEM GROUP INC11,3440.667,487.04
DIRECTBUY HOLDINGS INC2,7720.000.00
AVAYA HOLDINGS CORP112.3212.32
VISTRA CORP3,31319.6265,001.06
小計銘柄数:21416,477.07
(44,779,614)
組入時価比率:0.4%100.0%
合計44,779,614
(44,779,614)

(注1)外貨建有価証券については、通貨種類毎の小計欄の( )内は、邦貨換算額(単位:円)であります。
(注2)合計金額欄の( )内は、外貨建有価証券に係るもので、内書であります。
(注3)比率は左より組入時価の純資産に対する比率、及び各小計欄の合計金額に対する比率であります。

(2)株式以外の有価証券(2020年7月20日現在)

種類通貨銘柄券面総額評価額備考
新株予約権証券米ドルAPPVION CORP WRT US03835B1180341.000.00
APPVION CORP WRT US03835B1263341.000.00
IHEARTMEDIA INC-CLASS A CW39755.006,058.87
IPAYMENT HOLDINGS INC WARRANT 12/29/2022836,360.000.00
VISTRA ENERGY CORP - CW241,823.001,145.48
小計銘柄数:5839,620.007,204.35
(774,611)
組入時価比率:0.0%0.0%
合計774,611
(774,611)
社債券米ドル1011778 BC / NEW RED FIN125,000.00127,711.87
1011778 BC / NEW RED FIN100,000.0099,926.00
1839688 ALBERTA ULC181,719.00590.58
ABERCROMBIE & FITCH MANA75,000.0074,250.00
ACRISURE LLC / FIN INC75,000.0079,863.37
ACRISURE LLC / FIN INC275,000.00269,330.87
ACRISURE LLC / FIN INC75,000.0080,800.50
ADAMS HOMES INC75,000.0072,609.37
ADAPTHEALTH LLC25,000.0025,500.00
ADIENT US LLC75,000.0082,875.00
AERCAP IRELAND CAP/GLOBA150,000.00159,052.60
AG ISSUER LLC125,000.00122,812.50
AHERN RENTALS INC275,000.00126,127.37
ALBERTSONS COS LLC/SAFEW50,000.0051,925.00
ALBERTSONS COS LLC/SAFEW275,000.00284,939.87
ALBERTSONS COS LLC/SAFEW45,000.0047,888.55
ALBERTSONS COS/SAFEWAY100,000.00102,855.50
ALBERTSONS COS/SAFEWAY100,000.00104,339.00
ALCOA INC50,000.0052,090.29
ALCOA INC225,000.00234,810.76
ALGECO SCOTSMAN GLOB FIN200,000.00200,505.00
ALLEGHENY TECHNOLOGIES225,000.00211,359.37
ALLEN MEDIA LLC/CO-ISSR150,000.00138,351.75
ALLIANCE DATA SYSTEMS CO125,000.00113,515.62
ALLIED UNIVERSAL HOLDCO300,000.00318,075.00
ALLIED UNIVERSAL HOLDCO250,000.00270,435.00
ALPHA 2 BV200,000.00201,729.00
ALPHA 3 BV / US BIDCO200,000.00203,000.00
ALTICE FINANCING SA200,000.00203,763.00
ALTICE FRANCE HOLDING SA600,000.00680,625.00
ALTICE FRANCE HOLDING SA200,000.00193,500.00
ALTICE FRANCE SA200,000.00208,162.00
ALTOS ESCROW DEBT1,675,000.000.00
ALTOS ESCROW DEBT4,010,000.000.00
AMC ENTERTAINMENT HOLDIN75,000.0020,812.50
AMC ENTERTAINMENT INC250,000.0071,875.00
AMERICAN AIRLINES GROUP150,000.0087,081.00
AMERICAN AIRLINES INC275,000.00251,625.00
AMERIGAS PART/FIN CORP100,000.00106,809.00
AMERIGAS PART/FIN CORP175,000.00189,945.87
AMS AG200,000.00206,500.00
ANIXTER INC200,000.00210,500.00
ANTERO MIDSTREAM PART/FI100,000.0082,315.50
ANTERO RESOURCES FINANCE125,000.0092,465.62
APACHE CORP100,000.0091,875.00
APACHE CORP100,000.0082,250.00
APPVION ESCROW350,000.001,750.00
ARAMARK SERVICES INC325,000.00335,562.50
ARAMARK SERVICES INC100,000.0097,436.00
ARCHROCK PARTNERS LP/FIN125,000.00121,613.12
ARCHROCK PARTNERS LP/FIN125,000.00117,187.50
ARCONIC CORP150,000.00158,156.25
ARCONIC INC25,000.0026,953.82
ARD FINANCE SA200,000.00202,838.00
ARDAGH PKG FIN/HLDGS USA250,000.00252,187.50
ARDAGH PKG FIN/HLDGS USA200,000.00201,750.00
ARGOS MERGER SUB INC275,000.00277,734.87
ASCEND LEARNING LLC75,000.0076,398.37
ASCEND LEARNING LLC50,000.0050,740.25
ASCENT RESOURCES/ARU FIN171,000.00142,462.66
ASCENT RESOURCES/ARU FIN100,000.0064,356.00
ASGN INCORPORATED100,000.0099,581.00
ASHTON WOODS USA/FINANCE125,000.00125,455.62
ASHTON WOODS USA/FINANCE75,000.0072,187.50
ASP AMC MERGER SUB125,000.0086,705.62
ASSUREDPARTNERS INC200,000.00204,373.00
AVANTOR FUNDING INC75,000.0077,891.25
AVENTINE ENERGY ESCROW2,850,000.000.00
AVOLON HOLDINGS FNDG LTD50,000.0046,300.52
AVOLON HOLDINGS FNDG LTD100,000.0089,514.75
BAFFINLAND IRON CORP/LP350,000.00363,935.25
BANK OF AMERICA CORP25,000.0025,606.74
BANK OF AMERICA CORP75,000.0083,479.02
BANK OF AMERICA CORP75,000.0076,107.87
BARCLAYS BANK PLC200,000.00217,908.42
BASIC ENERGY SERVICES50,000.006,850.00
BAUSCH HEALTH AMERICAS175,000.00192,845.62
BAUSCH HEALTH COS INC8,000.007,996.24
BAUSCH HEALTH COS INC600,000.00615,732.00
BAUSCH HEALTH COS INC50,000.0053,865.50
BAUSCH HEALTH COS INC125,000.00134,182.50
BAUSCH HEALTH COS INC125,000.00122,343.75
BAUSCH HEALTH COS INC100,000.00108,331.50
BAUSCH HEALTH COS INC125,000.00122,952.50
BCD ACQUISITION INC175,000.00168,329.87
BEACON ESCROW CORP50,000.0046,340.50
BEAZER HOMES USA100,000.00101,313.50
BEAZER HOMES USA100,000.00102,315.50
BERRY GLOBAL ESCROW CORP125,000.00132,321.87
BERRY GLOBAL ESCROW CORP50,000.0053,157.75
BERRY PLASTICS CORP30,000.0030,093.45
BILL BARRETT CORP25,000.006,349.62
BMC EAST LLC125,000.00127,501.87
BOMBARDIER INC125,000.00113,750.00
BOMBARDIER INC225,000.00184,500.00
BOMBARDIER INC225,000.00165,117.37
BOMBARDIER INC250,000.00178,858.75
BOYD GAMING CORP525,000.00517,854.75
BOYD GAMING CORP100,000.0098,074.75
BOYD GAMING CORP175,000.00159,090.75
BRAND ENERGY & INFRASTRU200,000.00183,623.00
BRINK'S CO/THE50,000.0052,687.50
BROOKFIELD RESID PROPERT200,000.00171,086.00
BRUIN E&P PARTNERS LLC350,000.0012,250.00
BUFFALO THUNDER DEV 144A466,533.8423.32
BUFFALO THUNDER DEV 144A1,052,025.00536,532.75
BUILDERS FIRSTSOURCE INC158,000.00170,116.23
BUILDERS FIRSTSOURCE INC50,000.0048,617.25
BWAY HOLDING CO275,000.00258,843.75
CALLON PETROLEUM CO125,000.0037,890.62
CALLON PETROLEUM CO75,000.0021,858.00
CALPINE CORP325,000.00329,262.37
CALPINE CORP225,000.00233,809.87
CALPINE CORP150,000.00153,627.00
CAMELOT FINANCE SA175,000.00178,909.50
CAPITOL INV MERGER SUB 2400,000.00408,208.00
CARDTRONICS INC / USA150,000.00147,554.25
CARGO AIRCRAFT MANAGEMEN75,000.0075,937.50
CARLSON TRAVEL INC200,000.00106,729.00
CARNIVAL CORP250,000.00272,500.00
CARNIVAL CORP150,000.00153,375.00
CARPENTER TECHNOLOGY150,000.00153,793.98
CARRIZO OIL & GAS INC62,000.0020,266.87
CARVANA CO100,000.00103,831.50
CASTLE US HOLDING CORP250,000.00231,211.25
CCM MERGER INC200,000.00197,625.00
CCO HLDGS LLC/CAP CORP50,000.0052,320.25
CCO HLDGS LLC/CAP CORP25,000.0027,021.00
CCO HLDGS LLC/CAP CORP350,000.00368,812.50
CCO HLDGS LLC/CAP CORP375,000.00390,007.50
CCO HLDGS LLC/CAP CORP200,000.00204,295.04
CCO HLDGS LLC/CAP CORP450,000.00468,468.00
CDK GLOBAL INC125,000.00132,164.37
CDK GLOBAL INC25,000.0026,398.50
CDW LLC/CDW FINANCE125,000.00129,301.87
CEDAR FAIR LP50,000.0046,834.50
CEDAR FAIR/CAN/MAGNUM/MI175,000.00178,010.00
CEMEX SAB DE CV200,000.00191,730.00
CENOVUS ENERGY INC75,000.0075,284.66
CENTENE CORP250,000.00259,050.00
CENTENE CORP125,000.00133,320.62
CENTENE CORP275,000.00301,186.87
CENTENE ESCROW I CORP325,000.00345,312.50
CENTRAL GARDEN & PET CO125,000.00127,955.62
CENTURY COMMUNITIES200,000.00206,581.00
CENTURYLINK INC100,000.00104,097.50
CENTURYLINK INC25,000.0027,377.62
CENTURYLINK INC225,000.00231,537.37
CENTURYLINK INC75,000.0075,054.18
CF INDUSTRIES INC200,000.00224,850.00
CHENIERE ENERGY PARTNERS125,000.00127,312.50
CHENIERE ENERGY PARTNERS125,000.00127,686.25
CHESAPEAKE ENERGY CORP75,000.003,375.00
CHESAPEAKE ENERGY CORP137,000.006,336.25
CHESAPEAKE ENERGY CORP50,000.001,750.00
CHOBANI LLC/FINANCE CORP200,000.00200,067.00
CHS/COMMUNITY HEALTH SYS100,000.0080,176.50
CHS/COMMUNITY HEALTH SYS50,000.0050,655.75
CHS/COMMUNITY HEALTH SYS96,000.0063,660.96
CHS/COMMUNITY HEALTH SYS125,000.00121,562.50
CHS/COMMUNITY HEALTH SYS150,000.00146,805.00
CHURCHILL DOWNS INC100,000.0099,731.50
CHURCHILL DOWNS INC175,000.00167,530.12
CINEMARK USA INC325,000.00286,329.87
CITGO HOLDING INC225,000.00224,437.50
CITGO PETROLEUM CORP200,000.00201,686.00
CITIGROUP INC225,000.00202,348.12
CITIGROUP INC25,000.0024,137.25
CITIGROUP INC100,000.00107,916.50
CLARIOS GLOBAL LP50,000.0053,531.50
CLEAR CHANNEL WORLDWIDE85,000.0079,916.57
CLEAR CHANNEL WORLDWIDE175,000.00173,817.00
CLEARWAY ENERGY OP LLC150,000.00159,015.75
CLEARWAY ENERGY OP LLC125,000.00129,195.00
CLEARWAY ENERGY OP LLC225,000.00234,774.00
CLEAVER-BROOKS INC75,000.0068,364.37
CLEVELAND-CLIFFS INC75,000.0074,015.62
CLEVELAND-CLIFFS INC150,000.00127,065.00
CLEVELAND-CLIFFS INC25,000.0016,419.87
CLIFFS NATURAL RESOURCES72,000.0061,065.00
CLOUD CRANE LLC175,000.00172,612.12
CLOUD PEAK ENRGY300,000.003,300.00
CLOUD PEAK ENRGY RES59,000.000.00
COEUR MINING INC100,000.00100,374.50
COLT MERGER SUB INC50,000.0050,937.50
COLT MERGER SUB INC175,000.00177,240.00
COLT MERGER SUB INC175,000.00174,387.50
COMMERCIAL METALS CO125,000.00127,955.62
COMMSCOPE FINANCE LLC125,000.00130,000.00
COMMSCOPE INC100,000.00102,000.00
COMMSCOPE TECH FINANCE L275,000.00275,019.25
COMPASS MINERALS INTERNA200,000.00203,729.00
COMPASS MINERALS INTERNA100,000.00107,669.00
COMSTOCK RESOURCES INC75,000.0072,562.50
CONNECT FINCO SARL/CONNE200,000.00200,830.00
CONSOL ENERGY INC102,000.00101,043.75
CONSOLIDATED ENERGY FIN150,000.00128,784.00
CONTINENTAL RESOURCES400,000.00395,732.00
CONTINENTAL RESOURCES175,000.00164,092.25
CONTINENTAL RESOURCES125,000.0099,333.12
COOKE OMEGA/ALPHA VESSEL175,000.00174,740.12
COOPER-STANDARD AUTOMOTI150,000.0090,534.00
CRC ESCROW ISSUER LLC125,000.00109,086.87
CRESTWOOD MID PARTNER LP75,000.0066,983.62
CRESTWOOD MID PARTNER LP325,000.00282,962.87
CRESTWOOD MIDSTREAM PART125,000.00112,825.62
CROWNROCK LP/CROWNROCK F325,000.00305,202.62
CSC HOLDINGS LLC250,000.00279,096.25
CSC HOLDINGS LLC200,000.00223,667.00
CSC HOLDINGS LLC675,000.00722,246.62
CSI COMPRESSCO72,000.0044,460.00
CSTN MERGER SUB INC100,000.0091,364.50
DAE FUNDING LLC25,000.0025,015.62
DAE FUNDING LLC75,000.0071,108.62
DANA INC75,000.0077,437.50
DANA INC50,000.0051,125.00
DAVITA INC275,000.00283,471.37
DCP MIDSTREAM OPERATING475,000.00468,060.25
DEALER TIRE LLC/DT ISSR75,000.0070,875.00
DELEK LOGISTICS PARTNERS275,000.00252,627.37
DELL INT LLC / EMC CORP50,000.0058,033.72
DELL INT LLC / EMC CORP75,000.0087,047.61
DELL INT LLC / EMC CORP75,000.0090,070.68
DELPHI JERSEY HOLDINGS50,000.0054,522.50
DELTA AIR LINES INC125,000.00105,213.60
DELTA AIR LINES INC150,000.00157,740.75
DELTA AIR LINES INC50,000.0048,995.16
DENBURY RESOURCES INC75,000.007,687.50
DIAMOND OFFSHORE DRILL100,000.0011,320.50
DIAMOND SPORTS GR/DIAMON250,000.00190,050.00
DIAMOND SPORTS GR/DIAMON250,000.00135,312.50
DIEBOLD INC200,000.00175,228.99
DIEBOLD NIXDORF INC25,000.0026,125.00
DIGICEL GROUP 0.5 LTD377,341.00268,855.46
DISH DBS CORP25,000.0025,913.12
DISH DBS CORP50,000.0050,687.50
DISH DBS CORP250,000.00252,241.25
DISH DBS CORP100,000.00102,750.00
DIVERSIFIED HEALTHCARE T250,000.00272,305.00
DONNELLEY FINANCIAL SOL75,000.0074,710.87
DOWNSTREAM DEVELOPMENT100,000.0080,364.50
EDGEWELL PERSONAL CARE150,000.00158,832.75
EG GLOBAL FINANCE PLC200,000.00202,896.00
ELDORADA RESORTS INC275,000.00287,403.87
ELDORADO RESORTS INC75,000.0077,920.87
EMBARQ CORP325,000.00370,051.50
ENDEAVOR ENERGY RESOURCE50,000.0051,831.00
ENDEAVOR ENERGY RESOURCE125,000.00124,664.37
ENERGIZER GAMMA ACQ INC125,000.00132,188.75
ENERGIZER HOLDINGS INC150,000.00163,847.25
ENERGIZER HOLDINGS INC125,000.00127,500.00
ENLINK MIDSTREAM PARTNER325,000.00249,843.75
ENLINK MIDSTREAM PARTNER75,000.0045,322.12
ENLINK MIDSTREAM PARTNER25,000.0015,357.37
ENLINK MIDSTREAM PARTNER25,000.0015,029.50
ENPRO INDUSTRIES INC100,000.00102,869.00
ENTEGRIS INC150,000.00154,846.50
ENTERPRISE DEVELOP AUTH150,000.00148,671.75
ENTERPRISE MERGER SUB IN100,000.0039,356.00
EP ENER/EVEREST ACQ FIN543,000.001,411.80
EQM MIDSTREAM PARTNERS L100,000.00104,988.00
EQM MIDSTREAM PARTNERS L100,000.00106,500.00
EQT CORP75,000.0066,808.87
EQT CORP150,000.00163,701.00
ESH HOSPITALITY INC175,000.00174,820.62
EVEREST ACQ LLC/FINANCE287,000.00746.20
EVERI PAYMENTS INC117,000.00110,466.13
EW SCRIPPS CO100,000.0097,864.50
EXELA INTERMED/EXELA FIN125,000.0029,687.50
EXTERRAN NRG SOLUTIONS/F325,000.00275,712.12
F-BRASILE SPA/F-BRASILE200,000.00152,000.00
FAIRSTONE FINANCIAL INC125,000.00126,315.00
FELCOR LODGING LP175,000.00170,060.18
FERRELLGAS LP/FERRELLGAS50,000.0011,180.50
FERRELLGAS LP/FERRELLGAS100,000.0085,884.50
FINANCIAL & RISK US HOLD175,000.00187,436.37
FIRST QUANTUM MINERALS L600,000.00576,063.00
FIRSTCASH INC100,000.00101,114.50
FLEX ACQUISITION CO INC75,000.0075,983.62
FLEX ACQUISITION CO INC125,000.00127,865.62
FLY LEASING LTD200,000.00163,471.00
FONTAINEBLEAU LAS VEGAS11,815,760.0130,720.97
FORD MOTOR COMPANY200,000.00217,625.00
FORD MOTOR COMPANY200,000.00224,707.00
FORD MOTOR COMPANY75,000.0092,203.12
FORD MOTOR CREDIT CO LLC200,000.00204,096.00
FORD MOTOR CREDIT CO LLC200,000.00199,750.00
FORD MOTOR CREDIT CO LLC200,000.00203,690.00
FORD MOTOR CREDIT CO LLC200,000.00195,665.00
FORD MOTOR CREDIT CO LLC600,000.00603,888.00
FORESTAR GROUP INC200,000.00209,229.00
FORESTAR GROUP INC75,000.0074,707.12
FORTRESS TRANS & INFRAST25,000.0024,680.62
FORTRESS TRANS & INFRAST200,000.00188,728.99
FOUR FINANCE SA200,000.00150,961.78
FOXTROT ESCROW ISSUER148,000.00144,553.82
FREEPORT-MCMORAN C & G150,000.00161,241.00
FREEPORT-MCMORAN INC225,000.00233,043.75
FREEPORT-MCMORAN INC25,000.0026,099.50
FREEPORT-MCMORAN INC200,000.00200,467.00
FREEPORT-MCMORAN INC100,000.00101,282.50
FREEPORT-MCMORAN INC350,000.00351,204.00
FREEPORT-MCMORAN INC100,000.00102,874.50
FREEPORT-MCMORAN INC25,000.0026,603.87
FRONTIER COMMUNICATIONS575,000.00197,521.12
FRONTIER COMMUNICATIONS150,000.00143,400.00
FRONTIER COMMUNICATIONS100,000.00102,543.00
FTS INTERNATIONAL INC150,000.0043,875.00
GAP INC/THE75,000.0082,078.12
GAP INC/THE75,000.0081,397.50
GAP INC/THE50,000.0055,345.75
GATEWAY CASINOS & ENTERT200,000.00158,729.00
GENESIS ENERGY LP/FIN75,000.0067,195.50
GENWORTH HOLDINGS INC50,000.0048,140.75
GENWORTH HOLDINGS INC350,000.00295,093.75
GEO GROUP INC/THE100,000.0077,056.50
GLOBAL AIR LEASE CO LTD838,000.00580,315.00
GMAC175,000.00225,568.91
GO DADDY OPCO/FINCO200,000.00208,463.00
GOLDEN ENTERTAINMENT INC150,000.00123,069.75
GOLDEN NUGGET INC625,000.00400,781.25
GOLDEN NUGGET INC450,000.00226,401.75
GOLDMAN SACHS GROUP INC150,000.00149,036.25
GOLDMAN SACHS GROUP INC125,000.00115,575.00
GOODYEAR TIRE & RUBBER325,000.00354,046.87
GRAHAM HOLDINGS CO125,000.00132,320.00
GRANITE HOLDINGS US ACQU300,000.00286,630.50
GRAY ESCROW INC75,000.0081,033.75
GRAY TELEVISION INC100,000.00102,481.50
GRIFFON CORPORATION200,000.00202,500.00
GRIFFON CORPORATION25,000.0025,312.50
GRINDING MED/MC GRINDING175,000.00176,204.87
GULFPORT ENERGY CORP25,000.0012,734.37
GULFPORT ENERGY CORP200,000.0098,729.00
H&E EQUIPMENT SERVICES250,000.00255,937.50
HARLAND CLARKE HOLDINGS225,000.00183,709.12
HARLAND ESCROW CORP125,000.00125,859.37
HAT HOLDINGS I LLC/HAT175,000.00179,502.75
HCA INC150,000.00173,421.75
HCA INC150,000.00168,375.00
HCA INC50,000.0056,073.25
HCA INC50,000.0055,383.50
HCA INC250,000.00287,452.50
HELLAS II5,050,000.000.00
HERBALIFE/HLF FINANCING125,000.00133,046.87
HERTZ CORP100,000.0039,324.50
HERTZ CORP150,000.0058,907.25
HESS MIDSTREAM150,000.00150,717.00
HESS MIDSTREAM PARTNERS175,000.00175,820.75
HEXION INC50,000.0047,096.50
HILLENBRAND INC125,000.00133,906.25
HILLMAN GROUP INC370,000.00347,250.55
HILTON DOMESTIC OPERATIN325,000.00334,090.25
HILTON DOMESTIC OPERATIN75,000.0078,515.62
HOLLY NRG PRTNR/FIN CORP100,000.0097,234.50
HOSPITALITY PROP TRUST150,000.00134,667.00
HOWMET AEROSPACE INC100,000.00111,390.86
HUB INTERNATIONAL LTD175,000.00182,405.12
HUDBAY MINERALS INC75,000.0075,101.62
HUDBAY MINERALS INC150,000.00148,335.75
HUNT COS INC175,000.00161,508.37
HUSKY III HOLDING LTD100,000.0097,312.50
IAMGOLD CORP200,000.00208,637.00
ICAHN ENTERPRISES/FIN425,000.00415,040.12
ICAHN ENTERPRISES/FIN100,000.00102,230.50
ICAHN ENTERPRISES/FIN450,000.00455,553.00
IHEARTCOMMUNICATIONS INC52,867.0055,320.55
IHEARTCOMMUNICATIONS INC175,000.00175,295.75
IHEARTCOMMUNICATIONS INC125,000.00120,836.25
ILFC E-CAPITAL TRUST I470,000.00235,820.15
INCEPTION MRGR/RACKSPACE150,000.00158,743.50
INDIGO NATURAL RES LLC250,000.00237,663.75
INEOS GROUP HOLDINGS SA200,000.00199,477.00
INN OF THE MOUNTAIN GODS96,416.0083,399.84
INSTALLED BUILDING PRODU75,000.0076,204.50
INTELSAT JACKSON HLDG225,000.00138,218.62
INTELSAT JACKSON HLDG300,000.00184,980.00
INTELSAT LUXEMBOURG SA225,000.0011,812.50
IRB HOLDING CORP75,000.0079,359.37
IRB HOLDING CORP125,000.00121,545.00
IRIS MERGER SUB 2019 INC300,000.00303,937.49
IRON MOUNTAIN INC75,000.0076,359.37
IRON MOUNTAIN INC175,000.00176,925.00
IRON MOUNTAIN INC150,000.00153,503.25
IRON MOUNTAIN INC75,000.0077,859.37
JACOBS ENTERTAINMENT INC325,000.00287,184.62
JAGGED PEAK ENERGY LLC125,000.00125,683.12
JBS USA LLC/JBS USA FINA50,000.0050,903.25
JBS USA LLC/JBS USA FINA50,000.0051,375.00
JBS USA/FOOD/FINANCE175,000.00190,730.75
JBS USA/FOOD/FINANCE175,000.00187,512.50
JC PENNEY CORP INC125,000.003,367.50
JC PENNEY CORPORATION IN100,000.00830.00
JEFFERIES FIN LLC / JFIN200,000.00194,000.00
JELD-WEN INC75,000.0080,128.50
JOSEPH T RYERSON & SON I25,000.0025,872.50
JPMORGAN CHASE & CO100,000.0091,725.00
JPMORGAN CHASE & CO150,000.00163,823.32
JPMORGAN CHASE & CO150,000.00156,136.86
JPMORGAN CHASE & CO75,000.0067,647.87
K HOVNANIAN ENTERPRISES79,000.0032,390.00
K HOVNANIAN ENTERPRISES79,000.0013,825.00
KAISER ALUMINUM CORP125,000.00130,390.62
KAISER ALUMINUM CORP175,000.00171,358.25
KB HOME25,000.0027,278.62
KB HOME75,000.0083,704.50
KEHE DISTRIBUTORS LLC/FI75,000.0080,425.87
KFC HLD/PIZZA HUT/TACO150,000.00154,124.25
KRAFT HEINZ FOODS CO375,000.00419,455.27
KRAFT HEINZ FOODS CO75,000.0084,942.77
KRAFT HEINZ FOODS CO125,000.00126,851.77
KRAFT HEINZ FOODS CO75,000.0091,159.35
KRAFT HEINZ FOODS CO750,000.00760,006.12
KRAFT HEINZ FOODS CO275,000.00290,301.74
KRATON POLYMERS LLC/CAP125,000.00125,751.25
L BRANDS INC50,000.0052,533.00
L BRANDS INC25,000.0025,906.25
L BRANDS INC50,000.0047,015.50
L BRANDS INC225,000.00194,793.75
LADDER CAP FIN LLLP/CORP225,000.00216,700.87
LADDER CAP FIN LLLP/CORP75,000.0060,937.50
LAMAR MEDIA CORP50,000.0052,031.25
LAREDO PETROLEUM INC250,000.00167,735.00
LENNAR CORP50,000.0054,928.00
LEVEL 3 FINANCING INC400,000.00407,390.00
LEVEL 3 FINANCING INC225,000.00228,375.00
LHMC FINCO SARL200,000.00186,500.00
LIFEPOINT HEALTH INC75,000.0074,062.50
LITHIA MOTORS INC100,000.00101,864.50
LITHIA MOTORS INC50,000.0050,125.00
LTF MERGER SUB INC800,000.00661,084.00
LUCENT TECHNOLOGIES75,000.0079,125.00
MALLINCKRODT FIN/SB150,000.0027,750.00
MARRIOTT OWNERSHIP RESOR75,000.0078,703.12
MARRIOTT OWNERSHIP RESOR25,000.0025,355.50
MASONITE INTERNATIONAL C50,000.0052,303.00
MASONITE INTERNATIONAL C75,000.0079,251.75
MATADOR RESOURCES CO225,000.00160,845.75
MATCH GROUP INC50,000.0052,903.00
MATCH GROUP INC25,000.0025,619.62
MATCH GROUP INC25,000.0026,932.75
MATTAMY GROUP CORP125,000.00125,215.00
MATTEL INC75,000.0079,159.87
MATTEL INC50,000.0052,155.00
MATTEL INC25,000.0021,017.62
MATTHEWS INTERNATIONAL C125,000.00114,986.87
MEG ENERGY CORP105,000.0093,986.02
MEG ENERGY CORP200,000.00169,000.00
MERCER INTL INC85,000.0081,821.42
MERISANT ESCROW4,750,000.000.00
MERITAGE HOMES CORP300,000.00328,093.50
MGIC INVESTMENT CORP150,000.00156,015.75
MGM GROWTH/MGM FINANCE125,000.00127,482.50
MGM RESORTS INTL300,000.00303,937.50
MGM RESORTS INTL164,000.00162,783.94
MICROCHIP TECHNOLOGY INC150,000.00156,506.65
MIDAS INT HOLDCO II/FIN200,000.00162,703.00
MIDWEST VANADIUM PTY LTD186,458.05242.39
MINERALS TECHNOLOGIES IN75,000.0077,437.50
MIRABELA NICKEL LTD SUBO5,379.740.00
MOHEGAN TRIBAL GAMING AU250,000.00199,088.75
MOOD MEDIA BORROWER LLC136,698.001,366.98
MOUNTAIN PROVINCE DIAMON75,000.0044,601.75
MPH ACQUISITION HOLDINGS175,000.00179,978.75
MPT OPER PARTNERSP/FINL160,000.00163,050.40
MPT OPER PARTNERSP/FINL175,000.00181,863.50
MTS SYSTEMS CORP225,000.00212,143.50
MURPHY OIL CORP225,000.00203,836.50
NABORS INDUSTRIES LTD400,000.00253,000.00
NABORS INDUSTRIES LTD75,000.0046,734.37
NATHAN'S FAMOUS INC75,000.0075,750.00
NATIONSTAR MTG75,000.0077,898.37
NATIONSTAR MTG50,000.0053,515.75
NATIONSTAR MTG HLD INC50,000.0049,586.00
NAVIENT CORP50,000.0050,072.00
NAVIENT CORP75,000.0076,047.75
NAVIENT CORP200,000.00200,837.00
NAVIENT CORP450,000.00435,098.25
NAVIENT CORP150,000.00147,641.25
NAVIENT CORP150,000.00142,847.25
NAVIENT CORP25,000.0022,179.87
NAVISTAR INTL CORP50,000.0055,718.75
NCL CORPORATION LTD50,000.0054,218.75
NCL CORPORATION LTD100,000.00100,000.00
NCR CORP175,000.00178,899.00
NCR CORP175,000.00180,545.75
NETFLIX INC150,000.00178,392.75
NETFLIX INC50,000.0061,169.50
NETFLIX INC100,000.00115,487.00
NETFLIX INC350,000.00397,138.00
NEW ENTERPRISE STONE & L100,000.00102,644.00
NEW ENTERPRISE STONE & L50,000.0052,215.00
NEWELL BRANDS INC50,000.0053,062.50
NEWELL RUBBERMAID INC300,000.00319,179.00
NEWELL RUBBERMAID INC150,000.00160,464.00
NEXSTAR ESCROW INC125,000.00129,491.87
NEXTERA ENERGY OPERATING150,000.00157,797.00
NEXTERA ENERGY OPERATING125,000.00131,575.62
NEXTERA ENERGY OPERATING225,000.00232,277.62
NFP CORP100,000.00100,811.50
NFP CORP100,000.00100,302.00
NINE ENERGY SERVICE INC50,000.0024,171.75
NMG FINCO PLC200,000.00161,000.00
NMI HOLDINGS275,000.00290,522.36
NOBLE HOLDING INTL LTD25,000.00732.37
NOBLE HOLDING INTL LTD75,000.002,197.12
NORTHWEST ACQ/DOMINION100,000.001,375.00
NOVA CHEMICALS CORP125,000.00118,906.25
NOVELIS CORP250,000.00261,615.00
NOVELIS CORP275,000.00271,892.50
NRG ENERGY INC50,000.0053,678.25
NRG ENERGY INC150,000.00160,156.50
NRG ENERGY INC175,000.00191,811.37
NWH ESCROW CORP125,000.0045,468.75
OASIS PETROLEUM INC75,000.0011,575.87
OCCIDENTAL PETROLEUM200,000.00176,500.00
OCCIDENTAL PETROLEUM COR24,000.0023,481.96
OCCIDENTAL PETROLEUM COR275,000.00267,767.50
OCCIDENTAL PETROLEUM COR50,000.0047,250.00
OCCIDENTAL PETROLEUM COR150,000.00143,526.74
OCCIDENTAL PETROLEUM COR25,000.0025,359.37
OCCIDENTAL PETROLEUM COR175,000.00159,594.75
OCCIDENTAL PETROLEUM COR50,000.0053,250.00
OCCIDENTAL PETROLEUM COR100,000.0097,848.00
OCCIDENTAL PETROLEUM COR75,000.0062,932.50
OCCIDENTAL PETROLEUM COR225,000.00226,546.87
OCCIDENTAL PETROLEUM COR25,000.0025,602.37
OCCIDENTAL PETROLEUM COR75,000.0070,687.50
OCCIDENTAL PETROLEUM COR25,000.0018,859.37
OCCIDENTAL PETROLEUM COR25,000.0018,832.37
OCCIDENTAL PETROLEUM COR25,000.0018,187.50
OCI NV200,000.00196,250.00
OI EUROPEAN GROUP BV100,000.0099,614.50
OLIN CORP225,000.00252,894.37
OLIN CORP75,000.0070,219.12
OLIN CORP150,000.00135,347.24
OPEN TEXT CORP125,000.00131,851.87
OPEN TEXT CORP125,000.00125,840.00
OPEN TEXT HOLDINGS INC125,000.00127,742.50
ORTHO-CLINICAL INC/SA100,000.00104,187.50
ORTHO-CLINICAL INC/SA125,000.00130,275.00
OWENS-BROCKWAY125,000.00133,828.12
OXFORD FIN LLC/CO-ISS II125,000.00116,376.87
PACIFIC GAS & ELECTRIC162,500.00185,753.75
PACIFIC GAS & ELECTRIC162,500.00197,437.50
PANTHER BF AGGREGATOR 250,000.0051,707.50
PAR PHARMACEUTICAL INC25,000.0025,967.25
PARK AEROSPACE HOLDINGS125,000.00118,810.91
PARK INTERMED HOLDINGS175,000.00182,328.12
PARK-OHIO INDUSTRIES INC275,000.00227,166.50
PARKLAND FUEL CORP50,000.0051,740.75
PARKLAND FUEL CORP100,000.00104,481.50
PARSLEY ENERGY LLC/FINAN100,000.0095,750.00
PATRICK INDUSTRIES INC175,000.00182,951.12
PATTERN ENERGY GROUP INC100,000.00103,434.50
PATTERN ENERGY OP LP/PAT50,000.0051,750.00
PBF HOLDING CO LLC25,000.0027,142.25
PBF HOLDING CO LLC125,000.0099,972.50
PBF LOGISTICS LP/FINANCE245,000.00236,961.55
PDC ENERGY INC25,000.0023,653.62
PDC ENERGY INC200,000.00188,571.00
PETRA DIAMONDS US TREAS200,000.0079,000.00
PETROBAKKEN ENERGY LTD450,000.000.00
PG&E CORP150,000.00150,750.00
PG&E CORP150,000.00152,062.50
PGT ESCROW ISSUER INC125,000.00129,820.00
PICASSO FINANCE SUB INC75,000.0078,040.87
PILGRIM'S PRIDE CORP100,000.00102,375.00
PILGRIM'S PRIDE CORP75,000.0076,978.50
PILGRIM'S PRIDE CORP50,000.0051,319.00
PLASTIPAK HOLDINGS INC200,000.00198,125.00
POLARIS INTERMEDIATE225,000.00229,500.00
POLYONE CORP100,000.00105,625.00
POST HOLDINGS INC50,000.0051,663.25
POST HOLDINGS INC125,000.00132,564.37
POST HOLDINGS INC100,000.00102,500.00
PRECISION DRILLING CORP150,000.00105,546.75
PRECISION DRILLING CORP75,000.0050,892.00
PRESIDIO HOLDING INC75,000.0075,316.50
PRESIDIO HOLDING INC100,000.00102,812.50
PRESTIGE BRANDS INC50,000.0051,385.00
PRIME SECSRVC BRW/FINANC75,000.0078,757.87
PRIME SECSRVC BRW/FINANC75,000.0074,444.25
PTC INC75,000.0075,937.50
PTC INC50,000.0050,625.00
QORVO INC100,000.00106,675.00
QORVO INC175,000.00184,051.00
RADIAN GROUP INC175,000.00169,955.62
RADIAN GROUP INC25,000.0025,609.37
RADIAN GROUP INC50,000.0047,146.75
RATTLER MIDSTREAM LP125,000.00127,968.75
REALOGY GROUP/CO-ISSUER75,000.0076,379.25
REVLON ESCROW CORP50,000.0010,994.75
ROCKIES EXPRESS PIPELINE175,000.00164,777.37
ROYAL BK SCOTLND GRP PLC200,000.00200,360.00
ROYAL CARIBBEAN CRUISES200,000.00203,000.00
RP CROWN PARENT LLC175,000.00176,950.37
RRI ENERGY ESCROW50,000.000.00
SANCHEZ ENERGY CORP342,000.001,710.00
SANCHEZ ENERGY CORP325,000.001,625.00
SANJEL CORP200,000.000.00
SANJEL CORP7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SANJEL CORP ZCPN7,500.000.00
SBA COMMUNICATIONS CORP425,000.00428,593.37
SCHWEITZER-MAUDUIT INTL100,000.00104,656.00
SCIENCE APPLICATIONS INT75,000.0075,504.00
SCIENTIFIC GAMES INTERNA125,000.00108,023.75
SCIENTIFIC GAMES INTERNA75,000.0064,626.75
SCOTTS MIRACLE-GRO CO125,000.00129,300.62
SCRIPPS ESCROW INC50,000.0049,180.50
SEALED AIR CORP150,000.00152,250.00
SELECT MEDICAL CORP150,000.00156,636.00
SERVICE PROPERTIES TRUST100,000.00106,120.75
SERVICE PROPERTIES TRUST75,000.0067,687.50
SEVEN GENERATIONS ENERGY200,000.00176,623.00
SEVENTY SEVEN ESCROW175,000.000.00
SHEA HOMES LP/FNDG CP75,000.0073,675.87
SHELF DRILL HOLD LTD175,000.0065,295.12
SINCLAIR TELEVISION GROU75,000.0074,142.00
SINCLAIR TELEVISION GROU175,000.00163,929.50
SINCLAIR TELEVISION GROU75,000.0070,814.25
SIRIUS XM RADIO INC125,000.00129,531.25
SIRIUS XM RADIO INC100,000.00105,396.50
SIRIUS XM RADIO INC200,000.00216,438.00
SLM CORP400,000.00391,246.00
SM ENERGY CO150,000.0075,435.75
SOLERA LLC / SOLERA FINA200,000.00210,388.00
SONIC AUTOMOTIVE INC175,000.00176,498.00
SPECTRUM BRANDS INC50,000.0050,115.50
SPECTRUM BRANDS INC50,000.0051,625.00
SPIRIT AEROSYSTEMS INC225,000.00220,992.75
SPRINGLEAF FINANCE CORP175,000.00191,387.87
SPRINGLEAF FINANCE CORP25,000.0026,682.87
SPRINGLEAF FINANCE CORP75,000.0082,828.12
SPRINGLEAF FINANCE CORP400,000.00435,498.00
SPRINGLEAF FINANCE CORP325,000.00341,513.25
SPRINGLEAF FINANCE CORP50,000.0049,310.00
SPRINT CAPITAL CORP600,000.00884,100.00
SPRINT COMMUNICATIONS175,000.00193,552.62
SPRINT CORP375,000.00429,843.75
SPRINT CORP75,000.0090,826.12
SPX FLOW INC100,000.00102,980.00
SPX FLOW INC100,000.00104,106.00
SS&C TECHNOLOGIES INC350,000.00371,922.25
STANDARD INDUSTRIES INC75,000.0078,592.87
STANDARD INDUSTRIES INC50,000.0052,270.25
STANDARD INDUSTRIES INC150,000.00153,330.00
STAPLES INC75,000.0063,346.87
STAPLES INC375,000.00231,493.12
STAR MERGER SUB INC75,000.0081,082.87
STAR MERGER SUB INC45,000.0051,179.17
STUDIO CITY FINANCE LTD200,000.00200,480.00
STUDIO CITY FINANCE LTD200,000.00200,000.00
SUBURBAN PROPANE PARTNRS300,000.00304,315.50
SUMMIT MATERIALS LLC/FIN50,000.0050,682.25
SUMMIT MATERIALS LLC/FIN50,000.0052,303.00
SUMMIT MID HLDS LLC / FI225,000.00149,290.87
SUMMIT MID HLDS LLC / FI75,000.0038,523.37
SUMMIT MIDSTREAM PARTNER100,000.0014,884.81
SUNOCO LP/FINANCE CORP225,000.00229,195.12
SUNOCO LP/FINANCE CORP25,000.0025,464.00
SUNOCO LP/FINANCE CORP175,000.00180,649.00
T-MOBILE USA INC150,000.00154,275.00
T-MOBILE USA INC125,000.00128,335.62
T-MOBILE USA INC50,000.0051,618.50
T-MOBILE USA INC225,000.00241,243.87
TALEN ENERGY SUPPLY LLC75,000.0058,357.87
TALEN ENERGY SUPPLY LLC150,000.00152,173.50
TALEN ENERGY SUPPLY LLC75,000.0073,345.12
TALEN ENERGY SUPPLY LLC25,000.0025,046.87
TALLGRASS NRG PRTNR/FIN75,000.0070,433.62
TARGA RESOURCES PARTNERS275,000.00270,903.87
TARGA RESOURCES PARTNERS75,000.0074,671.12
TARGA RESOURCES PARTNERS50,000.0052,625.00
TARGA RESOURCES PARTNERS225,000.00223,966.12
TARGA RESOURCES PARTNERS100,000.00102,344.00
TASEKO MINES LTD75,000.0064,388.62
TAYLOR MORRISON200,000.00206,938.00
TAYLOR MORRISON75,000.0079,476.75
TAYLOR MORRISON COMM100,000.00105,856.00
TAYLOR MORRISON COMM75,000.0077,062.50
TEGNA INC275,000.00268,125.00
TELECOM ITALIA CAPITAL250,000.00286,351.25
TELECOM ITALIA CAPITAL25,000.0031,786.25
TELESAT CANADA/TELESAT L75,000.0074,836.87
TELESAT CANADA/TELESAT L175,000.00172,954.25
TEMPO ACQUISITION LLC/FI275,000.00280,592.12
TENET HEALTHCARE CORP200,000.00204,200.00
TENET HEALTHCARE CORP500,000.00507,625.00
TENET HEALTHCARE CORP75,000.0075,820.50
TENET HEALTHCARE CORP25,000.0025,833.50
TENET HEALTHCARE CORP275,000.00283,057.50
TENET HEALTHCARE CORP75,000.0076,494.37
TENNANT CO100,000.00102,614.50
TENNECO INC225,000.00149,320.12
TENNECO INC25,000.0016,828.87
TERRAFORM POWER OPERATIN75,000.0077,296.12
TERRAFORM POWER OPERATIN125,000.00131,538.75
TESLA INC475,000.00486,331.12
TEXAS COMPETITIVE ESCROW225,000.00618.75
TITAN INTERNATIONAL INC125,000.0088,878.12
TMS INTERNATIONAL CORP100,000.0082,500.00
TOPBUILD ESCROW CORP275,000.00284,916.50
TOPS HOLDING II ESCROW307,000.000.00
TOWNSQUARE MEDIA INC250,000.00221,536.25
TPC GROUP INC300,000.00267,594.00
TRANSDIGM INC200,000.00206,779.00
TRANSDIGM INC175,000.00169,281.00
TRANSDIGM INC200,000.00200,338.00
TRANSDIGM INC650,000.00603,053.75
TRANSDIGM UK HOLDINGS200,000.00196,712.00
TRANSMONTAIGE PARTNERS100,000.0096,856.00
TRANSOCEAN GUARDIAN LTD19,499.9917,159.99
TRANSOCEAN INC100,000.0050,000.00
TRANSOCEAN INC25,000.0013,250.00
TRANSOCEAN INC125,000.0065,234.37
TRANSOCEAN PONTUS LTD62,625.0058,241.25
TRANSOCEAN POSEIDON50,000.0044,803.50
TRANSOCEAN SENTRY LTD75,000.0065,250.00
TRI POINTE GROUP INC75,000.0079,312.50
TRI POINTE HOLDINGS INC250,000.00261,278.75
TRIANGLE USA PETROLEUM125,000.000.00
TRIDENT MERGER SUB INC75,000.0073,585.87
TRIDENT TPI HOLDINGS INC225,000.00235,804.50
TRINSEO OP / TRINSEO FIN150,000.00144,131.25
TRIUMPH GROUP INC50,000.0043,599.00
TRIUMPH GROUP INC100,000.0068,470.00
TRONOX FINANCE PLC200,000.00191,771.00
UBER TECHNOLOGIES INC75,000.0077,015.62
UBER TECHNOLOGIES INC175,000.00180,026.00
UNITED AIRLINES HOLDINGS25,000.0020,078.12
UNITED AIRLINES HOLDINGS125,000.0097,877.50
UNITED CONTINENTAL HLDGS50,000.0042,578.25
UNITED RENTALS NORTH AM75,000.0079,583.62
UNITED RENTALS NORTH AM25,000.0026,972.87
UNITED RENTALS NORTH AM50,000.0051,187.50
UNITED RENTALS NORTH AM100,000.00100,375.00
UNITI GROUP/CSL CAPITAL125,000.00115,235.62
UNIVAR SOLUTIONS USA INC100,000.00102,919.00
UNIVISION COMMUNICATIONS175,000.00167,234.37
UNIVISION COMMUNICATIONS75,000.0081,750.00
UNIVISION COMMUNICATIONS150,000.00147,402.00
USA COM PART/USA COM FIN175,000.00174,972.00
USA COM PART/USA COM FIN125,000.00124,725.00
USI INC100,000.00102,436.50
VALEANT PHARMACEUTICALS525,000.00580,755.00
VECTOR GROUP LTD50,000.0048,947.75
VECTOR GROUP LTD175,000.00176,936.37
VERITAS US INC/BERMUDA L200,000.00176,729.00
VERSCEND HOLDING CORP150,000.00163,173.75
VICI PROPERTIES / NOTE50,000.0049,366.25
VICI PROPERTIES / NOTE75,000.0073,993.12
VICI PROPERTIES / NOTE50,000.0048,336.00
VICI PROPERTIES / NOTE50,000.0049,834.50
VICI PROPERTIES / NOTE50,000.0048,422.50
VIKING CRUISES LTD100,000.0057,614.50
VIKING CRUISES LTD175,000.00188,890.62
VIKING CRUISES LTD250,000.00143,703.74
VINE OIL & GAS LP / FIN225,000.00123,750.00
VIPER ENERGY PARTNERS LP450,000.00448,600.50
VIRGIN AUSTRALIA HOLDING50,000.008,094.00
VIRGIN MEDIA SECURED FIN200,000.00210,581.00
VISTAJET MALTA/XO MGMT250,000.00223,151.24
VISTRA OPERATIONS CO LLC375,000.00396,000.00
VISTRA OPERATIONS CO LLC100,000.00106,263.11
VODAFONE GROUP PLC330,000.00390,479.03
WEEKLEY HOMES LLC/ FINAN250,000.00250,286.25
WEEKLEY HOMES LLC/ FINAN175,000.00177,387.87
WERNER FINCO LP/INC300,000.00259,093.50
WESCO DISTRIBUTION INC175,000.00188,485.50
WESCO DISTRIBUTION INC150,000.00160,519.50
WEST STREET MERGER SUB125,000.00121,798.12
WESTERN MIDSTREAM OPERAT175,000.00173,965.75
WESTERN MIDSTREAM OPERAT100,000.00100,347.50
WESTERN MIDSTREAM OPERAT150,000.00131,250.00
WHITING PETROLEUM CORP75,000.0013,460.62
WILLIAMS SCOTSMAN INTL175,000.00181,981.62
WINNEBAGO INDUSTRIES25,000.0025,843.75
WPX ENERGY INC200,000.00198,581.00
WPX ENERGY INC75,000.0071,564.25
WPX ENERGY INC325,000.00320,547.50
WPX ENERGY INC50,000.0044,472.25
WR GRACE & CO-CONN100,000.00104,220.00
WYNN LAS VEGAS LLC/CORP200,000.00174,952.00
WYNN MACAU LTD200,000.00199,640.00
WYNN RESORTS FINANCE LLC75,000.0070,275.75
XPO LOGISTICS INC81,000.0081,483.97
XPO LOGISTICS INC85,000.0086,708.92
XPO LOGISTICS INC175,000.00187,140.62
ZIGGO BOND CO BV350,000.00369,216.75
CITIGROUP INC 6.8750% Series K87,975.0095,224.14※
小計銘柄数:797152,337,297.63110,410,028.39
(11,871,286,252)
組入時価比率:93.3%100.0%
合計11,871,286,252
(11,871,286,252)
合計11,872,060,863
(11,872,060,863)

(注1)外貨建有価証券については、通貨種類毎の小計欄の( )内は、邦貨換算額(単位:円)であります。
(注2)合計金額欄の( )内は、外貨建有価証券に係るもので、内書であります。
(注3)比率は左より組入時価の純資産に対する比率、及び各小計欄の合計金額に対する比率であります。
(注4)備考欄の※の銘柄はハイブリッド優先証券であることを表しております。
第2 デリバティブ取引及び為替予約取引の契約額等及び時価の状況表
該当事項はありません。
第3 その他特定資産の明細表(2020年7月20日現在)
特定資産の種類数量帳簿価額評価額評価損益備考
(銘柄名)単価金額単価金額
貸付債権
米ドル
BIG RIVER STEEL TL48,503.1098.8747,955.0194.1945,683.85△2,271.16
BOSTON GENERATING TRM 2L1,357,664.130.000.000.000.000.00
BURGER KING CORP TL B4#1111,425.02100.00111,425.0295.55106,466.60△4,958.42
CALIFORNIA RESOURCES TRM50,000.0057.7828,892.853.501,750.00△27,142.85
CENGAGE LERNNG ACQS B TL123,711.3692.66114,630.9481.04100,257.78△14,373.16
CLEAR CHANNEL OUTD B#174,437.50100.4274,750.1492.1368,575.54△6,174.60
CONSOLIDATED INITIAL TRM171,500.0096.00164,640.0091.50156,922.50△7,717.50
DIAMOND SPORTS B TRM74,437.5099.6274,154.6381.9060,964.31△13,190.32
GATEWAY CASINOS INI TRM147,000.0098.79145,221.3080.67118,580.04△26,641.26
GLOBAL AVIATION 2ND LIEN276,371.440.000.000.000.000.00
HARD ROCK NORTHIN DD TRM11,824.3296.9911,469.5992.0010,878.37△591.22
LIFE TIME FITNESS #1 B384,924.40100.21385,766.6186.71333,761.40△52,005.21
LIFE TIME FITNESS #13 B992.07100.21994.2486.71860.20△134.04
MAUSER PACKAGING TL240,778.3097.92235,782.1792.50222,719.92△13,062.25
MAUSER PACKAGING TL 13622.1797.92609.2692.50575.50△33.76
MRO HOLDINGS INI TL0220,307.3598.7520,053.5072.0014,621.29△5,432.21
MRO HOLDINGS INI TL039,975.9798.759,851.2772.007,182.69△2,668.58
MRO HOLDINGS INITIAL TRM68,716.6898.7567,857.7272.0049,476.00△18,381.72
NAVISTAR B TRM195,258.4796.55188,536.2995.38186,227.76△2,308.53
NUMERICABLE $ TLB13 IRL218,818.2199.45217,614.7097.30212,910.11△4,704.59
PANTHER BF AGGRE 2ND TLB248,125.00100.43249,191.9395.88237,889.84△11,302.09
PARKER DRILLING 2ND17,607.2499.0117,433.8297.0017,079.02△354.80
PG&E CORPORATION Exit TL150,000.0098.50147,750.0098.25147,375.00△375.00
PRAIRIE ECI ACQUIOR TRM71,131.4995.9168,222.2190.3564,267.30△3,954.91
SPECTACLE GARY HLDNGS TL163,175.6896.78157,925.6892.00150,121.62△7,804.06
STAPLES 2019 RFNIG B1 TL148,500.0099.31147,475.3586.82128,925.02△18,550.33
UNITED SITE INI TRM 1L97,250.0099.8397,084.6794.0391,439.31△5,645.36
ZAYO INITIAL DOLLAR TL299,250.0099.75298,501.8796.48288,729.56△9,772.31
小計3,083,790.772,824,240.53△259,550.24
銘柄数:28(331,569,183)(303,662,341)(△27,906,842)
組入時価比率:2.4%100.0%
貸付債権計331,569,183303,662,341△27,906,842
(331,569,183)(303,662,341)(△27,906,842)
100.0%
合計331,569,183303,662,341△27,906,842
(331,569,183)(303,662,341)(△27,906,842)
(注1)外貨建有価証券については、通貨種類毎の小計欄の( )内は、邦貨換算額(単位:円)であります。
(注2)合計金額欄の( )内は、外貨建有価証券に係るもので、内書であります。
(注3)比率は左より組入時価の純資産に対する比率、及び各小計欄の合計金額に対する比率であります。

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