NPORT-EX 2 NPORT_6445247255472598.htm HTML

AIG Senior Floating Rate Fund

PORTFOLIO OF INVESTMENTS—March 31, 2020 — (unaudited)

 

 

Industry Description  

         Ratings (1)                     Principal        
    Type     Moody’s     S&P     Interest Rate    

Reference

Rate

       Maturity    
Date (2)		     Amount**/
Shares		     Value
(Note 1)		  

LOANS (3) (4)-88.6%

                

Aerospace & Defense-1.9%

                

AI Convoy Luxembourg SARL

     BTL-B       B1       B       5.34     3 ML+3.50%     01/17/2027       245,000     $ 226,625  

AI Convoy Luxembourg SARL

     BTL-B       B1       B       TBD         01/17/2027       EUR 205,000       197,041  

Dynasty Acquisition Co., Inc.

     BTL-B1       B2       B       4.95     3 ML+3.50%     04/06/2026       649,125       497,879  

Dynasty Acquisition Co., Inc.

     BTL-B2       B2       B       4.95     3 ML+3.50%     04/06/2026       348,992       267,677  

Maxar Technologies, Ltd.

     BTL-B       B2       B       3.74     3 ML+2.75%     10/04/2024       496,193       419,283  

TransDigm Group, Inc.

     BTL-E       Ba3       B+       3.24     1 ML+2.25%     05/30/2025       445,920       411,361  

TransDigm Group, Inc.

     BTL-F       Ba3       B+       3.24     1 ML+2.25%     12/09/2025       1,115,490       1,029,039  
               

 

 

  
                  3,048,905  
               

 

 

  

Auto Components-0.9%

                

Adient US LLC

     BTL-B       Ba3       BB-       5.45-5.74     3 ML+4.00%     05/06/2024       570,687       495,785  

Panther BF Aggregator 2 LP(10)

     BTL-B       Ba3       B       3.75     1 ME+3.75%     04/30/2026       EUR 500,000       476,453  

Panther BF Aggregator 2 LP

     BTL-B       Ba3       B       4.44     1 ML+3.50%     04/30/2026       497,500       452,725  
               

 

 

  
                  1,424,963  
               

 

 

  

Building Products-0.7%

 

              

Advanced Drainage Systems, Inc.

     BTL-B       Ba1       BB       3.81     1 ML+2.25%     07/31/2026       185,214       170,397  

NCI Building Systems, Inc.

     BTL-B       B2       B+       4.56     1 ML+3.75%     04/12/2025       253,906       218,359  

TAMKO Building Products, Inc.

     BTL-B       B2       BB-       4.24-4.25     1 ML+3.25%     06/01/2026       383,075       356,260  

Wilsonart LLC

     BTL-D       B2       B+       4.71     3 ML+3.25%     12/19/2023       545,651       411,057  
               

 

 

  
                  1,156,073  
               

 

 

  

Capital Markets-2.1%

                

Aretec Group, Inc.

     1st Lien       B2       B       5.24     1 ML+4.25%     10/01/2025       611,505       403,593  

Deerfield Dakota Holding LLC

     BTL-B       B2       B-       TBD         04/09/2027       EUR 1,000,000       871,291  

Deerfield Dakota Holding LLC

     BTL-B       B2       B-       TBD         04/09/2027       1,000,000       840,000  

NFP Corp.

     BTL       B2       B       4.24     1 ML+3.25%     02/15/2027       673,359       579,089  

Russell Investments U.S. Institutional Holdco, Inc.

     BTL-B       Ba2       BB-       3.82     6 ML+2.75%     06/01/2023       359,335       326,995  

Victory Capital Management, Inc.

     BTL-B       Ba3       BB-       4.02     1 ML+2.50%     07/01/2026       289,390       251,046  
               

 

 

  
                  3,272,014  
               

 

 

  

Chemicals-4.3%

                

Allnex (Lux) & Cy SCA

     BTL-B2       B2       B       4.86     3 ML+3.25%     09/13/2023       256,884       174,681  

Allnex USA, Inc.

     BTL-B3       B2       B       4.86     3 ML+3.25%     09/13/2023       193,542       131,608  

ASP Unifrax Holdings, Inc.

     BTL-B1       B3       B-       4.82     6 ML+3.75%     12/12/2025       738,447       583,373  

ASP Unifrax Holdings, Inc.

     BTL-B2       Caa2       CCC+       9.27     3 ML+8.50%     12/14/2026       375,000       243,750  

Diamond (BC) BV(10)

     BTL       B1       B-       3.25     3 ME+3.25%     09/06/2024       EUR 205,275       169,798  

Diamond (BC) BV

     BTL       B1       B-       4.78     3 ML+3.00%     09/06/2024       894,412       670,809  

CTC AcquiCo GmbH(10)

     BTL-B1       B2       B       2.50     3 ME+2.50%     03/07/2025       EUR 381,271       351,420  

H.B. Fuller Company

     BTL-B       Ba2       BB+       2.77     1 ML+2.00%     10/20/2024       529,612       466,059  

Hexion, Inc.

     BTL       Ba3       B+       5.41     3 ML+3.50%     07/01/2026       391,664       328,998  

Messer Industries GmbH

     BTL-B1       B1       BB-       3.95     3 ML+2.50%     03/01/2026       408,484       362,530  

Messer Industries GmbH(10)

     BTL-B2       B1       BB-       2.50     3 ME+2.50%     03/01/2026       EUR 220,000       214,937  

Minerals Technologies, Inc.

     BTL-B1       Ba2       BB+       2.87-3.77     1 ML+2.25%     02/14/2024       772,695       695,426  

Minerals Technologies, Inc.

     BTL-B1       Ba2       BB+       3.46     3 ML+2.25%     02/14/2024       94,093       84,684  

SCIH Salt Holdings, Inc.

     BTL-B       B3       B       TBD         03/16/2027       400,000       347,000  

Starfruit Finco BV(10)

     BTL-B       B1       B+       3.25     3 ME+3.25%     10/01/2025       EUR 165,000       164,387  

Starfruit Finco BV

     BTL-B       B1       B+       3.86     1 ML+3.00%     10/01/2025       400,332       360,298  

Tronox Finance LLC

     BTL-B       Ba3       BB-       3.74     1 ML+2.75%     09/23/2024       473,971       417,095  

Tronox Finance LLC

     BTL-B       Ba3       BB-       4.20     3 ML+2.75%     09/23/2024       334,438       294,305  

U.S. Coating Acquisition, Inc.

     BTL-B2       Ba1       BBB-       3.20     3 ML+1.75%     06/01/2024       394,010       365,772  

WR Grace & Co.

     BTL-B1       Ba1       BBB-       3.20     3 ML+1.75%     04/03/2025       183,262       156,383  

WR Grace & Co.

     BTL-B2       Ba1       BBB-       3.20     3 ML+1.75%     04/03/2025       314,163       268,086  
               

 

 

  
                  6,851,399  
               

 

 

  

Commercial Services & Supplies-5.2%

                

ADS Waste Holdings, Inc.

     BTL-B3       Ba3       BB+       3.00     1 WL+2.25%     11/10/2023       960,767       951,159  

Amentum Government Services Holdings LLC

     BTL-B       Ba3       B       4.99     1 ML+4.00%     02/01/2027       535,000       497,550  

APX Group, Inc.

     BTL       B2       B-       6.70     2 ML+5.00%     12/31/2025       639,270       543,379  

Brickman Group, Ltd.

     BTL-B       B1       BB-       3.13-3.50     1 ML+2.50%     08/15/2025       1,231,572       1,163,835  

Clean Harbors, Inc.

     BTL-B       Ba1       BBB-       2.74     1 ML+1.75%     06/28/2024       537,773       486,684  

Garda World Security Corp.

     BTL-B       B1       B       6.39     3 ML+4.75%     10/30/2026       281,697       264,795  

Grizzly Acquisition, Inc.

    BTL-B       Ba3       BB+       5.16     3 ML+3.25%     10/01/2025       596,804       453,571  

KAR Auction Services, Inc.

     BTL-B6       Ba2       B+       3.19     1 ML+2.25%     09/19/2026       497,500       457,700  

Pitney Bowes, Inc.

     BTL-B       Ba1       BBB-       6.49     1 ML+5.50%     01/17/2025       500,000       420,000  

PSAV Holdings LLC

     1st Lien       Caa2       B-       4.70-4.95     3 ML+3.25%     03/03/2025       406,264       243,758  

PSAV Holdings LLC

     1st Lien       Caa2       B-       4.83     1 ML+3.25%     03/03/2025       386,752       232,051  

PSAV Holdings LLC

     2nd Lien       Ca       CCC       9.01     3 ML+7.25%     09/01/2025       870,000       478,500  

Techem Verwaltungsgesellschaft 675 mbH

     BTL-B4       B1       B+       TBD         07/15/2025       EUR    667,888       686,585  

US Ecology, Inc.

     BTL-B       Ba3       BB+       3.49     1 ML+2.50%     11/01/2026       324,188       307,978  

Verisure Holding AB(10)

     BTL-B       B1       B       3.50     3 ME+3.50%     10/21/2022       EUR 1,000,000       1,038,931  
               

 

 

  
                  8,226,476  
               

 

 

  

Construction & Engineering-0.9%

                

Brand Energy & Infrastructure Services, Inc.

     1st Lien       B3       B-       5.70-6.12     3 ML+4.25%     06/21/2024       1,000,828       800,663  

Hamilton Holdco, LLC

     BTL-B       Ba1       BB+       3.46     3 ML+2.00%     01/02/2027       718,469       668,176  
               

 

 

  
                  1,468,839  
               

 

 

  

Construction Materials-1.0%

                

Quikrete Holdings, Inc.

     1st Lien       B1       BB-       3.49     1 ML+2.50%     02/01/2027       1,001,337       856,143  

Summit Materials LLC

     BTL-B       Ba2       BBB-       2.99     1 ML+2.00%     11/21/2024       889,525       771,663  
               

 

 

  
                  1,627,806  
               

 

 

  

Consumer Finance-0.4%

                

GreenSky Holdings, Inc.

     BTL-B       B1       B+       4.25     1 ML+3.25%     03/31/2025       744,946       595,957  
               

 

 

  

Containers & Packaging-3.2%

                

Berlin Packaging LLC

     BTL-B       B3       B-       4.46     3 ML+3.00%     11/07/2025       6,976       6,002  

Berlin Packaging LLC

     BTL-B       B3       B-       4.59     1 ML+3.00%     11/07/2025       513,183       441,594  

Berry Plastics Holding Corp.

     BTL-W       Ba2       BBB-       2.86     3 ML+2.00%     10/01/2022       1,078,913       1,026,046  

Berry Plastics Holding Corp.

     BTL-Y       Ba2       BBB-       2.86     1 ML+2.00%     07/01/2026       1,021,278       952,852  

Flex Acquisition Co., Inc.

     1st Lien       B2       B       4.58     1 ML+3.00%     12/29/2023       23,034       20,154  

Flex Acquisition Co., Inc.

     1st Lien       B2       B       4.91     3 ML+3.00%     12/29/2023       613,660       536,953  

Flex Acquisition Co., Inc.

     BTL       B2       B       5.16     3 ML+3.25%     06/29/2025       489,259       429,732  

Pregis TopCo Corporation

     BTL       B2       B       4.99     1 ML+4.00%     07/31/2026       399,000       345,135  

ProAmpac PG Borrower LLC

     1st Lien       B3       B-       4.50     1 ML+3.50%     11/20/2023       146,796       122,086  

ProAmpac PG Borrower LLC

     1st Lien       B3       B-       5.19-5.29     3 ML+3.50%     11/20/2023       251,780       209,397  

ProAmpac PG Borrower LLC

     2nd Lien       Caa2       CCC       10.19     3 ML+8.50%     11/18/2024       385,000       277,200  

Reynolds Group Holdings, Inc.

     BTL       B1       B+       3.74     1 ML+2.75%     02/05/2023       657,520       620,535  
               

 

 

  
                  4,987,686  
               

 

 

  

Diversified Consumer Services-0.7%

                

Belron Finance US LLC

     BTL-B       Ba3       BB       4.27     3 ML+2.50%     10/30/2026       149,625       140,647  

Belron Finance US LLC

     BTL-B       Ba3       BB       3.96     3 ML+2.25%     11/13/2025       592,500       556,950  

Weight Watchers International, Inc.

     BTL-B       Ba2       BB       6.72     3 ML+4.75%     11/29/2024       448,298       425,883  
               

 

 

  
                  1,123,480  
               

 

 

  

Diversified Financial Services-2.9%

                

EVO Payments International LLC

     1st Lien       B2       B       4.20     1 ML+3.25%     12/22/2023       997,875       843,205  

Financial & Risk US Holdings, Inc.(10)

     BTL-B       B2       B       3.25     3 ME+3.25%     10/01/2025       EUR 484,823       507,784  

Financial & Risk US Holdings, Inc.

     BTL-B       B2       B       4.24     1 ML+3.25%     10/01/2025       562,875       538,484  

Millennium Trust Company, LLC

     BTL-B       B2       B       5.99     1 ML+5.00%     03/27/2026       420,750       345,015  

MPH Acquisition Holdings LLC

     BTL-B       B1       B+       4.20     3 ML+2.75%     06/07/2023       811,068       725,906  

NAB Holdings LLC

     BTL       B2       B       4.45     3 ML+3.00%     07/01/2024       248,154       193,560  

Nets Holding AS(10)

     BTL-B       B1       B       3.25     3 ME+3.25%     02/06/2025       EUR 798,159       785,108  

Trans Union LLC

     BTL-B5       Ba2       BB+       2.74     1 ML+1.75%     11/16/2026       707,844       675,401  
               

 

 

  
                  4,614,463  
               

 

 

  

Diversified Telecommunication Services-2.4%

                

Altice France SA

     BTL-B12       B2       B       4.39     1 ML+3.69%     01/31/2026       997,821       927,974  

Centurylink, Inc.

     BTL-B       Ba3       BBB-       3.24     1 ML+2.25%     03/15/2027       394,012       358,798  

MTN Infrastructure TopCo, Inc.

     BTL-B       B2       B       4.00     1 ML+3.00%     11/15/2024       1,000,161       885,143  

Telenet Financing USD LLC

     BTL-AR       Ba3       BB-       2.70     1 ML+2.00%     04/30/2028       920,000       837,200  

Zacapa SARL

     BTL       B2       B-       5.57     3 ML+4.50%     07/02/2025       526,975       476,912  

Zayo Group Holdings, Inc.(10)

     BTL       B1       B       3.25     3 ME+3.25%     03/09/2027       EUR 305,000       299,382  
               

 

 

  
                  3,785,409  
               

 

 

  

Electric Utilities-0.2%

                

Pike Corp.

     BTL-B       NR       B       4.24     1 ML+3.25%     07/24/2026       420,078       386,472  
               

 

 

  

Electronic Equipment, Instruments & Components-0.4%

                

Avantor, Inc.

     1st Lien       Ba2       B+       3.25     1 ML+2.25%     11/21/2024       172,935       162,559  

Lifescan Global Corporation

     BTL-B       B2       B       8.06     6 ML+6.00%     10/01/2024       684,375       537,234  
               

 

 

  
                  699,793  
               

 

 

  

Energy Equipment & Services-0.2%

                

Philadelphia Energy Solutions
LLC†(5)(11)

     BTL-C       NR       NR       6.99     3 ML+0.50%     12/31/2022       808,137       242,441  

Seadrill Partners Finco LLC

     BTL-B       Caa3       CCC       7.45     3 ML+6.00%     02/21/2021       874,936       139,990  
               

 

 

  
                  382,431  
               

 

 

  

Entertainment-1.6%

                

Banijay Entertainment S.A.S.

     BTL       B1       B       TBD         03/04/2025       EUR 170,000       161,713  

Crown Finance US, Inc.(10)

     BTL       B3       B       2.38     6 ME+2.38%     02/28/2025       EUR 132,409       94,922  

Crown Finance US, Inc.

     BTL       B3       B       3.32     6 ML+2.25%     02/28/2025       586,476       380,037  

Delta 2 (Lux) SARL

     BTL-B       B2       B+       3.50     1 ML+2.50%     02/01/2024       850,951       752,028  

NAI Entertainment Holdings LLC

     BTL-B       B3       B+       3.50     1 ML+2.50%     05/08/2025       416,800       300,096  

Nascar Holdings, Inc.

     BTL-B       Ba2       BB       3.67     1 ML+2.75%     10/19/2026       245,340       212,628  

UFC Holdings LLC

     BTL       B2       B       4.25     1 ML+3.25%     04/29/2026       455,867       396,605  

William Morris Endeavor Entertainment LLC

     BTL-B       B2       B       3.74-4.37     1 ML+2.75%     05/18/2025       297,182       233,783  
               

 

 

  
                  2,531,812  
               

 

 

  

Food & Staples Retailing-0.8%

                

U.S. Foods, Inc.

     BTL-B       Ba3       BB       2.74     1 ML+1.75%     06/27/2023       772,899       716,220  

U.S. Foods, Inc.

     BTL-B       Ba3       BB       3.07     6 ML+2.00%     09/13/2026       537,300       492,525  
               

 

 

  
                  1,208,745  
               

 

 

  

Food Products-2.4%

                

Atkins Nutritionals, Inc.

     BTL-B       B1       B+       4.55     1 ML+3.75%     07/07/2024       460,507       422,515  

Bellring Brands LLC

     BTL-B       B2       B+       6.00     1 ML+5.00%     10/21/2024       162,937       152,347  

B&G Foods, Inc.

     BTL-B       Ba2       BB       3.49     1 ML+2.50%     10/10/2026       353,225       330,265  

CHG PPC Parent LLC

     BTL-B       B2       B       3.74     1 ML+2.75%     03/31/2025       422,475       376,003  

Froneri International PLC(10)

     BTL       B1       B+       2.63     6 ME+2.63%     01/29/2027       EUR 700,000       716,701  

Froneri International PLC

     BTL       B1       B+       3.24     1 ML+2.25%     01/29/2027       650,000       615,875  

Froneri International PLC(10)

     2nd Lien       B3       B-       5.75     6 ME+5.75%     01/31/2028       EUR 100,000       100,731  

Froneri International PLC

     2nd Lien       B3       B-       6.74     6 ML+5.75%     01/31/2028       100,000       90,000  

Hostess Brands LLC

     BTL       B1       BB-       3.24     1 ML+2.25%     08/03/2025       284,044       262,741  

Hostess Brands LLC

     BTL       B1       BB-       4.01-4.03     3 ML+2.25%     08/03/2025       767,998       710,398  
               

 

 

  
                  3,777,576  
               

 

 

  

Gas Utilities-0.3%

                

UGI Energy Services LLC

     BTL-B       Ba3       NR       4.74     1 ML+3.75%     08/13/2026       497,723       420,576  
               

 

 

  

Health Care Equipment & Supplies-0.2%

                

CPI Holdco LLC

     BTL       B2       B       5.70     3 ML+4.25%     11/04/2026       280,000       240,800  
               

 

 

  

Health Care Providers & Services-5.7%

 

        

Air Medical Group Holdings, Inc.

     BTL-B1       B1       B       4.93     2 ML+3.25%     04/28/2022       243,598       221,268  

Catalent Pharma Solutions, Inc.

     BTL-B2       Ba2       BB       3.25     1 ML+2.25%     05/18/2026       579,150       558,880  

Change Healthcare Holdings, Inc.

     BTL-B       B1       B+       3.50     1 ML+2.50%     03/01/2024       928,608       841,938  

Dental Corp. Perfect Smile ULC

     1st Lien       B2       B-       4.75     1 ML+3.75%     06/06/2025       600,341       463,763  

DuPage Medical Group, Ltd.

     1st Lien       B1       B       3.74     1 ML+2.75%     08/15/2024       408,279       326,624  

DuPage Medical Group, Ltd.

     2nd Lien       Caa1       CCC+       7.99     1 ML+7.00%     08/15/2025       623,968       527,253  

Envision Healthcare Corp.

     1st Lien       B2       B       4.74     1 ML+3.75%     10/10/2025       355,484       179,519  

Eyecare Partners LLC

     BTL       B2       B       4.82     3 ML+3.75%     02/05/2027       587,838       474,189  

Eyecare Partners LLC(6)

     Delayed Draw       B2       B       0.50         02/18/2027       137,162       110,644  

Gentiva Health Services, Inc.

     BTL-B       B1       B       4.25     1 ML+3.25%     07/02/2025       995,821       931,092  

Healogics, Inc.

     1st Lien       Caa2       CCC-       5.57     3 ML+4.25%     07/01/2021       955,113       687,682  

IQVIA, Inc.(10)

     BTL-B       Ba1       BBB-       2.00     3 ME+2.00%     06/11/2025       EUR 1,164,262       1,218,792  

LGC Group Holdings, Ltd.

     BTL-B       B3       NR       TBD         01/22/2027       EUR    595,000       555,917  

MED ParentCo LLC

     1st Lien       B2       B       5.24     1 ML+4.25%     08/31/2026       650,035       539,529  

MED ParentCo LLC(6)

     Delayed Draw       B2       B       4.25-5.24     1 ML+4.25%     08/31/2026       162,759       135,090  

Pharmaceutical Product Development, Inc.

     BTL-B       Ba2       B+       3.50     1 ML+2.50%     08/18/2022       508,464       484,524  

Sound Inpatient Physicians

     1st Lien       Ba3       B       3.74     1 ML+2.75%     06/27/2025       565,680       496,384  

Surgery Center Holdings, Inc.

     1st Lien       B2       B-       4.25     1 ML+3.25%     09/03/2024       413,345       321,169  
               

 

 

  
                  9,074,257  
               

 

 

  

Hotels, Restaurants & Leisure-6.1%

 

        

8th Avenue Food & Provisions, Inc.

     1st Lien       B2       B-       4.30     1 ML+3.50%     10/01/2025       419,687       384,539  

8th Avenue Food & Provisions, Inc.

     2nd Lien       Caa1       CCC       8.55     1 ML+7.75%     10/01/2026       270,000       229,500  

Aramark Services, Inc.

     BTL-B1       Ba1       BBB-       2.74     1 ML+1.75%     03/11/2025       596,904       552,136  

Aramark Services, Inc.

     BTL-B4       Ba1       BBB-       2.74     1 ML+1.75%     01/15/2027       380,000       351,500  

Boyd Gaming Corp.

     BTL-B3       Ba3       BB       2.93     1 WL+2.25%     09/15/2023       628,730       544,900  

Caesars Entertainment Operating Co., Inc.

     BTL-B       B1       BB       2.99     1 ML+2.00%     10/07/2024       1,001,786       811,446  

Caesars Resort Collection LLC

     BTL-B       Ba3       BB       3.74     1 ML+2.75%     12/23/2024       1,360,059       1,092,904  

Carrols Restaurant Group, Inc.

     BTL-B       B3       B-       4.21     1 ML+3.25%     04/30/2026       635,200       470,048  

CityCenter Holdings LLC

     BTL-B       B2       BB-       3.24     1 ML+2.25%     04/18/2024       848,672       738,345  

Eldorado Resorts LLC

     BTL-B       Ba1       BB       3.25     6 ML+2.25%     04/17/2024       580,134       562,730  

Four Seasons Holdings, Inc.

     1st Lien       Ba3       BB+       2.99     1 ML+2.00%     11/30/2023       599,850       542,436  

Golden Entertainment, Inc.

     1st Lien       B1       B+       3.96     1 ML+3.00%     10/21/2024       1,005,875       754,406  

Hilton Worldwide Finance LLC

     BTL-B2       Baa3       BBB-       2.70     1 ML+1.75%     06/22/2026       591,190       547,836  

IRB Holding Corp.

     BTL-B       B2       B+       3.75     1 ML+2.75%     02/05/2025       378,229       291,236  

IRB Holding Corp.

     BTL-B       B2       B+       3.95     3 ML+2.75%     02/05/2025       967       745  

Penn National Gaming, Inc.

     BTL-B       B1       BB-       3.24     1 ML+2.25%     10/15/2025       696,187       521,754  

Playtika Holding Corp.

     BTL-B       B1       B+       7.07     6 ML+6.00%     12/10/2024       933,187       866,309  

Station Casinos LLC

     BTL-B       B1       BB-       3.24     1 ML+2.25%     02/08/2027       406,021       335,374  
               

 

 

  
                  9,598,144  
               

 

 

  

Household Durables-0.3%

                

Installed Building Products, Inc.

     BTL-B       Ba3       BB+       3.24     1 ML+2.25%     04/15/2025       500,000       417,500  
               

 

 

  

Household Products-0.4%

                

Energizer Holdings, Inc.

     BTL-B       Ba1       BB+       3.88     1 ML+2.25%     12/17/2025       95,617       90,837  

Prestige Brands, Inc.

     BTL-B4       Ba3       BB       2.99     1 ML+2.00%     01/26/2024       233,482       216,360  

Reynolds Consumer Products, Inc.

     BTL       Ba1       BB+       3.50     3 ML+1.75%     02/04/2027       370,000       346,412  
               

 

 

  
                  653,609  
               

 

 

  

Industrial Conglomerates-0.1%

                

Ameriforge Group, Inc.

     BTL       NR       NR       8.45     3 ML+7.00%     06/08/2022       105,127       100,528  

UTEX Industries, Inc.

     1st Lien       Caa1       CCC       5.00     1 ML+4.00%     05/22/2021       303,397       91,019  
               

 

 

  
                  191,547  
               

 

 

  

Insurance-4.2%

                

Acrisure LLC

     BTL-B       B2       B       5.21     3 ML+3.50%     02/15/2027       445,000       369,350  

Asurion LLC

     BTL-B4       Ba3       B+       3.99     1 ML+3.00%     08/04/2022       763,138       698,271  

Asurion LLC

     BTL-B6       Ba3       B+       3.99     1 ML+3.00%     11/03/2023       634,110       602,405  

Asurion LLC

     2nd Lien       B3       B       7.49     1 ML+6.50%     08/04/2025       1,480,000       1,361,600  

Asurion LLC

     BTL-B7       Ba3       B+       3.99     1 ML+3.00%     11/03/2024       505,938       468,836  

Compass Investments, Inc.

     BTL-B       B2       B       3.99     3 ML+3.00%     05/16/2024       1,074,039       965,293  

Hub International, Ltd.

     BTL-B       B2       B       4.39-4.55     2 ML+2.75%     04/25/2025       967,762       901,229  

Sedgwick Claims Management Services, Inc.

     BTL-B       B2       B       4.24     1 ML+3.25%     12/31/2025       1,334,762       1,163,468  

Sedgwick Claims Management Services, Inc.

     BTL-B       B2       B       4.99     1 ML+4.00%     09/03/2026       163,763       147,113  
               

 

 

  
                  6,677,565  
               

 

 

  

Internet & Direct Marketing Retail-1.2%

                

Buzz Merger Sub Ltd.

     BTL-B       B1       B+       3.74     1 ML+2.75%     01/29/2027       285,000       259,350  

Go Daddy Operating Co. LLC

     BTL-B1       Ba1       BB       2.74     1 ML+1.75%     02/15/2024       397,130       375,685  

Rodan & Fields, LLC

     BTL-B       B3       B-       4.70     1 ML+4.00%     06/16/2025       356,628       153,350  

Shutterfly, Inc.

     BTL-B       B1       B       7.45     3 ML+6.00%     09/25/2026       500,806       450,726  

Terrier Media Buyer, Inc.

     BTL-B       Ba3       BB-       5.70     3 ML+4.25%     12/17/2026       768,075       654,784  
               

 

 

  
                  1,893,895  
               

 

 

  

IT Services-3.1%

                

Blackhawk Network Holdings, Inc.

     1st Lien       B1       B       3.99     1 ML+3.00%     06/15/2025       905,207       730,200  

CCC Information Services, Inc.

     1st Lien       B3       B-       3.75     1 ML+2.75%     04/29/2024       906,171       822,026  

Science Applications International Corp.

     BTL-B       Ba1       BB+       3.24     1 ML+2.25%     03/12/2027       515,000       481,525  

Tempo Acquisition LLC

     BTL-B       B1       B       3.74     1 ML+2.75%     05/01/2024       1,113,751       985,670  

Web.com Group, Inc.

     1st Lien       B2       B+       4.95     3 ML+3.75%     10/10/2025       263,425       215,679  

Web.com Group, Inc.

     BTL-B2       Caa2       CCC+       8.95     3 ML+7.75%     10/09/2026       633,015       477,926  

WEX, Inc.

     BTL-B3       Ba2       BB-       3.24     1 ML+2.25%     05/15/2026       1,315,430       1,127,981  
               

 

 

  
                  4,841,007  
               

 

 

  

Leisure Products-0.5%

                

Hayward Industries, Inc.

     1st Lien       B3       B       4.49     1 ML+3.50%     08/05/2024       388,363       306,159  

SRAM LLC

     BTL-B       B1       BB-       3.75     1 ML+2.75%     03/15/2024       571,518       537,227  

SRAM LLC

     BTL-B       B1       BB-       5.00     USFRBPLR+1.75%     03/15/2024       17,269       16,233  
               

 

 

  
                  859,619  
               

 

 

  

Life Sciences Tools & Services-0.3%

                

Syneos Health, Inc.

     BTL-B       Ba3       BB       2.74     1 ML+1.75%     08/01/2024       552,656       530,550  
               

 

 

  

Machinery-3.0%

                

Altra Industrial Motion Corp.

     BTL-B       Ba2       BB-       2.99     1 ML+2.00%     10/01/2025       486,840       438,156  

Brookfield WEC Holdings, Inc.

     BTL       B2       B       3.99     1 ML+3.00%     08/01/2025       500,892       470,838  

CIRCOR International, Inc.

     BTL-B       B1       B       4.06     1 ML+3.25%     12/11/2024       479,907       381,526  

CTOS LLC

     BTL-B       B2       B+       5.00     1 ML+4.25%     04/18/2025       507,593       430,185  

Fluidra SA

     BTL-B       Ba3       BB       2.99     1 ML+2.00%     07/02/2025       373,943       336,549  

Ingersoll-Rand Company Ltd.(10)

     BTL-B       Ba2       BB+       2.00     1 ME+2.00%     03/01/2027       EUR 827,352       842,529  

Ingersoll-Rand Company Ltd.

     BTL-B       Ba2       BB+       2.74     1 ML+1.75%     03/01/2027       594,905       556,236  

Navistar International Corp.

     BTL-B       Ba2       BB-       4.28     1 ML+3.50%     11/06/2024       542,254       466,339  

Pro Mach Group, Inc.

     BTL-B       B2       B-       3.68     1 ML+2.75%     03/07/2025       407,680       313,914  

WireCo WorldGroup, Inc.

     1st Lien       B3       B+       6.07     1 ML+5.00%     09/30/2023       603,125       474,961  
               

 

 

  
                  4,711,233  
               

 

 

  

Media-6.8%

                

Advantage Sales & Marketing LLC

     1st Lien       B2       B-       4.70     3 ML+3.25%     07/23/2021       254,118       206,788  

Advantage Sales & Marketing LLC

     2nd Lien       Caa2       CCC       7.95     3 ML+6.50%     07/25/2022       500,000       361,666  

Altice Financing SA

     1st Lien       B2       B       3.67     1 ML+2.75%     01/31/2026       496,838       450,880  

Banijay Group US Holdings, Inc.

     BTL       B1       B       TBD         03/04/2025       425,000       374,000  

Charter Communications Operating LLC

     BTL-B2       Ba1       BBB-       2.74     1 ML+1.75%     02/01/2027       649,049       620,383  

Clear Channel Outdoor Holdings, Inc.

     BTL-B       B1       B+       4.49     1 ML+3.50%     08/21/2026       735,677       656,591  

CSC Holdings, Inc.

    BTL-B       Ba3       BB       2.86     1 ML+2.25%     07/17/2025       496,583       476,720  

CSC Holdings, Inc.

     BTL-B5       Ba3       BB       3.11     1 ML+2.50%     04/15/2027       1,281,250       1,221,458  

E.W. Scripps Co.

     BTL-B2       Ba2       NR       3.49     1 ML+2.50%     05/01/2026       633,616       586,095  

Gray Television, Inc.

     BTL-C       Ba2       BB       4.02     1 ML+2.50%     01/02/2026       1,282,627       1,218,495  

Houghton Mifflin Harcourt Publishing Company

     BTL-B       B3       B       7.24     3 ML+6.25%     11/22/2024       493,750       435,734  

ION Media Networks, Inc.

     BTL-B       B1       BB-       4.00     1 ML+3.00%     12/18/2024       1,293,916       1,158,055  

NEP Group, Inc.

     1st Lien       Caa1       B       4.70     3 ML+3.25%     10/20/2025       197,500       120,475  

NEP Group, Inc.

     2nd Lien       Ca       CCC       8.45     3 ML+7.00%     10/19/2026       595,000       267,750  

Nexstar Broadcasting, Inc.

     BTL-B4       Ba3       BB       4.33     1 ML+2.75%     09/18/2026       1,292,041       1,199,983  

Univision Communications, Inc.

     BTL-C5       B2       B       3.75     1 ML+2.75%     03/15/2024       494,005       411,670  

Ziggo Secured Finance Partnership

     BTL-I       B1       B+       3.20     1 ML+2.50%     04/30/2028       1,000,000       920,000  
               

 

 

  
                  10,686,743  
               

 

 

  

Metals & Mining-0.8%

                

American Rock Salt Co. LLC

     1st Lien       B2       B       4.50     1 ML+3.50%     03/21/2025       1,000,597       850,507  

Arconic Rolled Products Corp.

     BTL-B       Ba1       BB+       TBD         03/25/2027       440,000       396,000  
               

 

 

  
                  1,246,507  
               

 

 

  

Multiline Retail-0.1%

                

Neiman Marcus Group Ltd. LLC

     BTL       Caa2       CCC+       7.50     1 ML+6.00%     10/25/2023       302,416       114,918  
               

 

 

  

Oil, Gas & Consumable Fuels-1.7%

                

BCP Renaissance Parent LLC

     BTL-B       B1       B+       4.95     3 ML+3.50%     10/31/2024       490,195       265,523  

California Resources Corp.

     2nd Lien       Caa1       B       11.99     3 ML+10.38%     12/31/2021       500,000       21,667  

Foresight Energy LLC(12)

     1st Lien       C       D       7.36     3 ML+5.75%     03/28/2022       1,234,656       154,332  

Medallion Midland Acquisition LLC

     1st Lien       B2       B-       4.25     1 ML+3.25%     10/30/2024       701,882       386,035  

Oryx Midstream Services LLC

     BTL-B       B2       B-       4.99     1 ML+4.00%     05/22/2026       574,453       348,502  

Power Buyer LLC

     1st Lien       B3       B-       4.70     3 ML+3.25%     03/06/2025       1,007,203       835,978  

Power Buyer LLC

     2nd Lien       Caa2       CCC       8.70     3 ML+7.25%     03/06/2026       585,000       456,300  

Traverse Midstream Partners LLC

     BTL-B       B2       B+       5.00     1 ML+4.00%     09/27/2024       290,151       161,517  
               

 

 

  
                  2,629,854  
               

 

 

  

Personal Products-1.2%

                

Coty, Inc.(10)

     BTL-B       Ba3       B+       2.50     1 ME+2.50%     04/07/2025       EUR 810,562       712,196  

Revlon Consumer Products Corp.

     BTL-B       B3       CCC-       4.95-5.11     3 ML+3.50%     09/07/2023       763,046       289,958  

Sunshine Luxembourg VII SARL

     BTL-B1       B2       B       5.32     3 ML+4.25%     10/01/2026       997,500       902,738  
               

 

 

  
                  1,904,892  
               

 

 

  

Pharmaceuticals-2.3%

                

Elanco Animal Health, Inc.

     BTL-B       Baa3       BB+       TBD         02/04/2027       1,195,000       1,132,262  

Endo Luxembourg Finance Co. I SARL

     BTL-B       B1       B+       5.25     1 ML+4.25%     04/29/2024       502,097       443,519  

Valeant Pharmaceuticals International, Inc.

     BTL-B       Ba2       BB       3.36     1 ML+2.75%     11/27/2025       1,038,750       981,619  

Valeant Pharmaceuticals International, Inc.

     BTL-B       Ba2       BB       3.61     1 ML+3.00%     06/02/2025       1,058,108       1,005,202  
               

 

 

  
                  3,562,602  
               

 

 

  

Professional Services-1.9%

                

AlixPartners LLP

     BTL-B       B2       B+       3.50     1 ML+2.50%     04/04/2024       1,290,407       1,215,134  

AlixPartners LLP(10)

     BTL-B       B2       NR       3.25     3 ME+3.25%     04/04/2024       EUR 247,500       241,576  

Dun & Bradstreet Corporation

     BTL       B2       B-       4.96     1 ML+4.00%     02/06/2026       1,385,000       1,253,425  

Team Health Holdings, Inc.

     1st Lien       B2       B-       3.75     1 ML+2.75%     02/06/2024       484,380       300,316  
               

 

 

  
                  3,010,451  
               

 

 

  

Real Estate Investment Trusts-0.5%

                

VICI Properties 1 LLC

     BTL       Ba2       BBB-       2.67     1 ML+1.75%     12/20/2024       853,864       777,016  
               

 

 

  

Road & Rail-1.5%

                

Fly Funding II SARL

     BTL-B       NR       BBB-       3.48     3 ML+1.75%     08/11/2025       1,052,528       897,280  

Genesee & Wyoming, Inc.

     BTL       Ba2       BB+       3.45     3 ML+2.00%     12/30/2026       500,000       476,875  

Savage Enterprises LLC

     BTL-B       B1       BB       TBD         08/01/2025       1,079,758       942,089  
               

 

 

  
                  2,316,244  
               

 

 

  

Semiconductors & Semiconductor Equipment-1.1%

                

Cabot Microelectronics Corp.

     BTL-B1       Ba2       BB+       3.00     1 ML+2.00%     11/17/2025       464,212       443,323  

Entegris, Inc.

     BTL-B       Baa3       BBB-       2.99     1 ML+2.00%     11/06/2025       987,500       898,625  

Microchip Technology, Inc.

     BTL-B       Baa3       BB+       2.99     1 ML+2.00%     05/29/2025       413,394       386,523  
               

 

 

  
                  1,728,471  
               

 

 

  

Software-6.9%

                

Almonde, Inc.

     1st Lien       B2       B-       5.28     3 ML+3.50%     06/13/2024       495,570       423,093  

Almonde, Inc.

     2nd Lien       Caa2       CCC       9.03     3 ML+7.25%     06/13/2025       230,000       171,350  

Ceridian HCM Holding, Inc.

     BTL-B       B2       B+       3.49     1 ML+2.50%     04/30/2025       576,387       533,158  

Dcert Buyer, Inc.

     BTL-B       B2       B-       4.99     1 ML+4.00%     10/16/2026       500,000       443,333  

Emerald Topco, Inc.

     BTL       B2       B       4.49     1 ML+3.50%     07/24/2026       442,775       396,284  

Epicore Software Co.

     1st Lien       B2       B-       4.25     1 ML+3.25%     06/01/2022       1,090,771       992,601  

Hyland Software, Inc.

     1st Lien       B1       B-       4.49     1 ML+3.50%     07/01/2024       964,907       887,714  

Hyland Software, Inc.

     2nd Lien       Caa1       CCC       7.99     1 ML+7.00%     07/07/2025       535,000       492,200  

Infor US, Inc.

     BTL-B6       Ba3       B       3.75     1 ML+2.75%     02/01/2022       673,961       645,992  

MA FinanceCo. LLC

     BTL-B3       B1       BB-       3.49     1 ML+2.50%     06/21/2024       91,076       81,361  

McAfee LLC

     BTL-B1       B2       B       4.69     1 ML+3.75%     09/30/2024       183,141       168,795  

RP Crown Parent LLC

     BTL-B       B1       B       3.75     1 ML+2.75%     10/12/2023       761,589       723,510  

Seattle Spinco, Inc.

     BTL-B3       B1       BB-       3.49     1 ML+2.50%     06/21/2024       615,059       549,453  

SS&C Technologies, Inc.

     BTL-B3       Ba2       BB+       2.74     1 ML+1.75%     04/16/2025       513,598       482,782  

SS&C Technologies, Inc.

     BTL-B4       Ba2       BB+       2.74     1 ML+1.75%     04/16/2025       366,487       344,498  

SS&C Technologies, Inc.

     BTL-B5       Ba2       BB+       2.74     1 ML+1.75%     04/16/2025       1,159,594       1,086,540  

Surf Holdings, LLC

     BTL       B2       B-       TBD         03/05/2027       EUR 170,000       156,244  

Surf Holdings, LLC

     BTL       B2       B-       TBD         03/05/2027       320,000       283,200  

Ultimate Software Group, Inc.

     BTL-B       B2       B       4.74     1 ML+3.75%     05/04/2026       676,600       630,930  

VS Buyer LLC

     BTL-B       B1       B-       4.86     3 ML+3.25%     02/28/2027       470,000       448,850  

Zelis Payments Buyer, Inc.

     BTL-B       B2       B       5.74     1 ML+4.75%     09/30/2026       997,500       909,388  
               

 

 

  
                  10,851,276  
               

 

 

  

Specialty Retail-2.1%

                

At Home Holding III, Inc.

     BTL       Caa1       CCC+       5.28     3 ML+3.50%     06/03/2022       669,700       455,396  

Bass Pro Group LLC

     BTL-B       B1       B+       5.99     1 ML+5.00%     09/25/2024       857,291       720,124  

Foundation Building Materials Holding Co. LLC

     BTL-B       B2       BB-       3.99     1 ML+3.00%     08/13/2025       493,750       425,859  

J. Crew Group, Inc.

     BTL-B       Caa2       CC       4.37-4.78     3 ML+3.00%     03/05/2021       707,391       468,646  

PetSmart, Inc.

     BTL-B2       B2       B       5.00     6 ML+4.00%     03/11/2022       510,981       489,903  

SRS Distribution, Inc.

     BTL-B       B3       B       5.49     1 ML+4.50%     05/23/2025       888       801  

SRS Distribution, Inc.

     BTL-B       B3       B       5.57     3 ML+4.50%     05/23/2025       353,225       318,786  

Staples, Inc.

     BTL-B       B1       B+       6.52     1 ML+5.00%     04/16/2026       502,563       396,396  
               

 

 

  
                  3,275,911  
               

 

 

  

Trading Companies & Distributors-2.3%

                

ABC Supply Co., Inc.

     BTL-B       B1       BB+       2.99     1 ML+2.00%     01/15/2027       995,000       890,525  

Beacon Roofing Supply, Inc.

     BTL-B       B1       BB       3.24     1 ML+2.25%     01/02/2025       441,000       396,018  

HD Supply, Inc.

     BTL-B5       Ba1       BBB-       2.74     1 ML+1.75%     10/17/2023       1,060,329       985,046  

HD Supply Waterworks, Ltd.

     BTL-B       B2       B+       4.33     1 ML+2.75%     08/01/2024       441,810       383,270  

Resideo Funding, Inc.

     BTL-B       Ba2       BBB-       3.71     3 ML+2.25%     10/24/2025       301,188       271,069  

Sage Borrowco LLC

     BTL-B       B2       B       5.74     1 ML+4.75%     06/20/2026       251,717       229,062  

Univar USA, Inc.

     BTL-B3       Ba3       BB+       3.70     3 ML+2.25%     07/01/2024       413,296       380,232  

Univar USA, Inc.

     BTL-B5       Ba3       BB+       3.45     3 ML+2.00%     07/01/2026       169,575       152,618  
               

 

 

  
                  3,687,840  
               

 

 

  

Wireless Telecommunication Services-1.8%

                

Sprint Communications, Inc.

     BTL-B       Ba2       BB-       3.50     1 ML+2.50%     02/02/2024       2,186,193       2,169,796  

Sprint Communications, Inc.

     BTL-B       Ba2       BB-       4.00     1 ML+3.00%     02/02/2024       607,313       597,697  
               

 

 

  
                  2,767,493  
               

 

 

  

Total Loans
(cost $164,090,148)

                   139,840,819  
               

 

 

  

U.S. CORPORATE BONDS & NOTES-3.7%

                

Building Products-0.1%

                

Advanced Drainage Systems, Inc.*

    
 Senior
Notes		  
 		     B1       B       5.00         09/30/2027       220,000       195,800  
               

 

 

  

Construction & Engineering-0.1%

                

Brand Energy & Infrastructure Services, Inc.*

    
 Senior
Notes		  
 		     Caa2       CCC       8.50         07/15/2025       250,000       196,300  
               

 

 

  

Containers & Packaging-0.8%

                

Reynolds Group Issuer, Inc. FRS*

    

 Senior
Sec.
Notes		  
 
 		     B1       B+       5.33     3 ML+3.50%     07/15/2021       1,245,000       1,213,875  
               

 

 

  

Food Products-0.1%

                

Darling Ingredients, Inc.*

    
 Senior
Notes		  
 		     Ba3       BB+       5.25         04/15/2027       130,000       126,061  
               

 

 

  

Health Care Providers & Services-0.3%

                

Centene Corp.*

    
 Senior
Notes		  
 		     Ba1       BBB-       4.63         12/15/2029       465,000       467,325  
               

 

 

  

Hotels, Restaurants & Leisure-0.1%

                

Boyd Gaming Corp.*

    

 Company
Guar.
Notes		  
 
 		     Caa1       B+       4.75         12/01/2027       400,000       330,000  

Yum Brands, Inc.*

    
 Senior
Notes		  
 		     B1       B+       7.75         04/01/2025       95,000       99,750  
               

 

 

  
                  429,750  

Insurance-0.4%

                

Acrisure LLC / Acrisure Finance, Inc.*

     Senior Sec. Notes       B2       B       8.13         02/15/2024       670,000       652,613  
               

 

 

  

Media-0.2%

                

Houghton Mifflin Harcourt Publishers, Inc.*

     Senior Notes       B3       B       9.00         02/15/2025       400,000       352,000  
               

 

 

  

Multi Utilities-0.0%

                

Texas Competitive Electric Holdings Co. LLC*

     Escrow Notes       NR       NR       6.25         10/01/2020       4,174,956       6,262  
               

 

 

  

Oil, Gas & Consumable Fuels-0.1%

                

Chesapeake Energy Corp.*

     Sec. Notes       Caa2       B-       11.50         01/01/2025       310,000       52,700  

Foresight Energy/Finance*†(12)

     Sec. Notes       NR       D       11.50         04/01/2023       715,000       894  

Vine Oil & Gas LP / Vine Oil & Gas Finance Corp.*

    
 Company Guar.
Notes		  
 		     Ca       C       8.75         04/15/2023       775,000       170,500  
               

 

 

  
                  224,094  
               

 

 

  

Personal Products-0.1%

                

Revlon Consumer Products Corp.

    
 Company Guar.
Notes		  
 		     Caa3       CC       6.25         08/01/2024       505,000       116,150  
               

 

 

  

Software-0.7%

                

SS&C Technologies, Inc.*

    
 Company Guar.
Notes		  
 		     B2       B+       5.50         09/30/2027       1,000,000       1,042,210  
               

 

 

  

Specialty Retail-0.3%

              

Lithia Motors, Inc.*

    
 Company Guar.
Notes		  
 		     Ba2       BB       4.63       12/15/2027       500,000       450,050  
             

 

 

  

Trading Companies & Distributors-0.2%

              

Performance Food Group, Inc.*

     Senior Notes       B1       B       5.50       10/15/2027       315,000       292,163  
             

 

 

  

Total U.S. Corporate Bonds & Notes
(cost $8,173,046)

                 5,764,653  
             

 

 

  

FOREIGN CORPORATE BONDS & NOTES-2.1%

              

Auto Components-0.3%

              

Panther BF Aggregator 2 LP*

    
 Company Guar.
Notes		  
 		     B3       CCC+       8.50       05/15/2027       560,000       488,544  
             

 

 

  

Containers & Packaging-0.2%

              

Ardagh Packaging Finance PLC*

    
 Senior Sec.
Notes		  
 		     Ba3       BB       4.13       08/15/2026       390,000       388,050  
             

 

 

  

Hotels, Restaurants & Leisure-0.2%

              

1011778 BC ULC / New Red Finance, Inc.*

     Senior Notes       Ba2       BB+       3.88       01/15/2028       375,000       356,250  
             

 

 

  

Metals & Mining-0.2%

              

Costellium NV*

    
 Company Guar.
Notes		  
 		     B2       B       6.63       03/01/2025       405,000       364,500  
             

 

 

  

Pharmaceuticals-1.1%

              

Bausch Health Cos, Inc.*

    
 Company Guar.
Notes		  
 		     B3       B       5.00       01/30/2028       485,000       459,150  

Endo, Ltd./Endo Finance LLC*

    
 Company Guar.
Notes		  
 		     Caa2       CCC+       6.00       07/15/2023       250,000       181,095  

Valeant Pharmaceuticals*

    
 Senior Sec.
Notes		  
 		     Ba2       BB       7.00       03/15/2024       630,000       641,806  

Valeant Pharmaceuticals*

    
 Company Guar.
Notes		  
 		     B3       B       9.00       12/15/2025       385,000       405,867  
             

 

 

  
                1,687,918  
             

 

 

  

Total Foreign Corporate Bonds & Notes
(cost $3,476,182)

                 3,285,262  
             

 

 

  

COMMON STOCKS-0.6%

              

Energy Equipment & Services-0.0%

              

Philadelphia Energy Solutions LLC, Class A†(7)

               35,161       4,395  
             

 

 

  

Industrial Conglomerates-0.5%

              

AFG Holdings, Inc.†(7)

               14,309       715,450  
             

 

 

  

Oil, Gas & Consumable Fuels-0.1%

              

Ascent Resources Marcellus LLC, Class A†(5)(7)

               187,384       222,987  

TE Holdcorp LLC, Class A†(5)(7)

               44,278       0  
             

 

 

  
                222,987  
             

 

 

  

Total Common Stocks
(cost $3,302,052)

                 942,832  
             

 

 

  

WARRANTS-0.0%

              

Oil, Gas & Consumable Fuels-0.0%

              

Ascent Resources Marcellus LLC†(5)(7)

              

Expires 03/30/2023

              

(strike price $6.15)

              

(cost $4,625)

               48,515       970  
             

 

 

  

ESCROWS AND LITIGATION TRUSTS-0.0%

              

Paragon Offshore, Ltd.(5)†

              

(cost $2,882)

     Escrow Holding       NR       NR       6.00       07/18/2021       4,516       0  
             

 

 

  

Total Long-Term Investment Securities
(cost $179,048,935)

                 149,834,536  
             

 

 

  

SHORT-TERM INVESTMENT SECURITIES-2.2%

              

Registered Investment Companies-2.2%

              

State Street Institutional Liquid Reserves Fund, Administration Class 0.57%(8)

              

(cost $3,452,423)

               3,453,355       3,450,247  
             

 

 

  

REPURCHASE AGREEMENTS-0.4%

              

Bank of America Securities LLC Joint Repurchase Agreement(9)

               115,000       115,000  

Barclays Capital, Inc. Joint Repurchase Agreement(9)

               140,000       140,000  

BNP Paribas SA Joint Repurchase Agreement(9)

               165,000       165,000  

Deutsche Bank AG Joint Repurchase Agreement(9)

               140,000       140,000  

RBS Securities, Inc. Joint Repurchase Agreement(9)

               130,000       130,000  
             

 

 

  

Total Repurchase Agreements
(cost $690,000)

                 690,000  
             

 

 

  

TOTAL INVESTMENTS

              

(cost $183,191,358)

               97.6 %      153,974,783  

Other assets less liabilities

               2.4 %      3,869,168  
           

 

 

    

 

 

  

NET ASSETS

               100.0 %    $ 157,843,951  
           

 

 

    

 

 

  

 

BTL—Bank Term Loan
EUR—Euro Currency
NR—Security not rated
FRS—Floating Rate Security
The rates shown on FRS are the current interest rates as of March 31, 2020 and unless noted otherwise, the dates shown are the original maturity dates.
TBD - Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.
†   Non-income producing security
*   Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no rights to demand registration of these securities. At March 31, 2020, the aggregate value of these securities was $8,933,765, representing 5.7% of net assets.
**   Denominated in United States Dollars unless otherwise noted.
(1)   Bank loans rated below Baa by Moody’s Investor Service, Inc. or BBB by Standard & Poor’s Group are considered below investment grade. Ratings provided are as of March 31, 2020.
(2)   Based on the stated maturity, the weighted average to maturity of the loans held in the portfolio is approximately 58 months. Loans in the Fund’s portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.
(3)   The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.
(4)   All loans in the portfolio were purchased through assignment agreements unless otherwise indicated.
(5)   Security classified as Level 3 (see Note 1).
(6)   All or a portion of this holding is subject to unfunded loan commitments (see Note 3).
(7)   Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2020, the Fund held the following restricted securities:

 

Description

    Acquisition
Date		      Shares      Acquisition
Cost		      Value      Value Per
Share		      % of  Net
Assets		  

Common Stocks

                  

AFG Holdings, Inc.

      01/22/2013        14,309      $ 911,111      $  715,450      $  50.00        0.45 % 

Ascent Resources Marcellus LLC, Class A

      03/30/2018        187,384        567,151        222,987        1.19        0.14  

Philadelphia Energy Solutions LLC, Class A

      04/04/2018        35,161        185,574        4,395        0.12        0.00  

TE Holdcorp LLC, Class A

      11/21/2013        44,278        1,638,216        0        0.00        0.00  

Warrants

                  

Ascent Resources Marcellus LLC

      03/30/2018        48,515        4,625        970        0.02        0.00  
           

 

 

        

 

 

  
            $ 943,802           0.59 % 
           

 

 

        

 

 

  

(8)   The rate shown is the 7-day yield as of March 31, 2020.
(9)   See Note 2 for details of the Joint Repurchase Agreement.
(10)   The referenced Index is less than 0.00% at the period end. The loan has an interest rate floor whereby the floating rate used in the coupon rate calculation cannot be less than zero.
(11)   Security in default of interest.
(12)   Company has filed for bankruptcy protection.

Index Legend    

1 ME—1 Month Euribor    

1 ML—1 Month USD LIBOR    

1 WL—1 Week USD LIBOR    

2 ML—2 Month USD LIBOR    

3 ME—3 Month Euribor    

3 ML—3 Month USD LIBOR    

6 ME—6 Month Euribor    

6 ML—6 Month USD LIBOR    

USFRBPLR—US Federal Reserve Bank Prime Loan Rate    

Forward Foreign Currency Contracts         

 

Counterparty

    Contract to
Deliver		      In Exchange For      Delivery
Date		      Unrealized
Appreciation		      Unrealized
Depreciation		  

Morgan Stanley and Co. International Plc

      EUR        11,314,363        USD        12,172,840        04/30/2020      $  —        $  (319,086 ) 
     USD        35,504        EUR        33,000        04/30/2020        931        —    
                 

 

 

     

 

 

  

Net Unrealized Appreciation (Depreciation)

                   $ 931      $  (319,086 ) 
                 

 

 

     

 

 

  

EUR—Euro Currency    

USD—United States Dollar    

The following is a summary of the inputs used to value the Fund’s net assets as of March 31, 2020 (see Note 1):    

 

     Level 1  -
Unadjusted
Quoted Prices		      Level 2- Other
Observable Inputs		      Level 3-Significant
Unobservable
Inputs		      Total  

ASSETS:

            

Investments at Value:*

            

Loans:

            

Energy Equipment & Services

    $ —        $ 139,990      $  242,441      $ 382,431  

Other Industries

      —          139,458,388        —          139,458,388  

U.S. Corporate Bonds & Notes

      —          5,764,653        —          5,764,653  

Foreign Corporate Bonds & Notes

      —          3,285,262        —          3,285,262  

Common Stocks:

            

Oil, Gas & Consumable Fuels

      —          —          222,987        222,987  

Other Industries

      —          719,845        —          719,845  

Warrants

      —          —          970        970  

Escrows and Litigation Trusts

      —          —          0        0  

Short-Term Investment Securities

      3,450,247        —          —          3,450,247  

Repurchase Agreements

      —          690,000        —          690,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments at Value

    $  3,450,247      $  150,058,138      $ 466,398      $  153,974,783  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:@

            

Forward Foreign Currency Contracts

    $ —        $ 931      $ —        $ 931  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES:

            

Other Financial Instruments:@

            

Forward Foreign Currency Contracts

    $ —        $ 319,086      $ —        $ 319,086  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.    

 

@

Amounts represent unrealized appreciation/depreciation as of the end of the reporting period.    

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.    

See Notes to Portfolio of Investments

NOTES TO PORTFOLIO OF INVESTMENTS — March 31, 2020 — (unaudited)

Note 1. Security Valuation

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. generally accepted accounting principals (“GAAP”), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 1 — Unadjusted quoted prices in active markets for identical securities

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Directors (the “Board”), etc.)

Level 3 — Significant unobservable inputs (includes inputs that reflect the Fund’s own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of the Fund’s assets and liabilities classified in the fair value hierarchy as of March 31, 2020, is reported on a schedule at the end of the Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than

one exchange, the Fund uses the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Fund’s shares, and the Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If the Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Fund may also fair value securities in other situations, for example, when a particular foreign market is closed but the Fund is open. For foreign equity securities and foreign equity futures contracts, the Fund uses an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures, and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Senior secured floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Investments in registered investment companies are generally categorized as Level 1.

Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter (“OTC”) market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 pm Eastern time forward rate and are generally categorized as Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Fund, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Fund’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Derivative Instruments:

Forward Foreign Currency Contracts: During the period, the Fund used forward contracts to protect against uncertainty in the level of future exchange rates.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market

daily using the forward rate and the cumulative change in market value is recorded by the Fund as unrealized appreciation or depreciation. On the settlement date, the Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to the Fund of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, the Fund’s loss will generally consist of the net amount of contractual payments that the Fund has not yet received though the Fund’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Fund’s Portfolio of Investments.

Master Agreements: The Fund holds derivative instruments and other financial instruments whereby the Fund may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Fund and applicable counterparty. Collateral requirements are generally determined based on the Fund’s net position with each counterparty. Master Agreements may also include certain provisions that require the Fund to post additional collateral upon the occurrence of certain events, such as when a Fund’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to the Fund may also occur upon a decline in the Fund’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Fund’s counterparties to elect early termination could cause the Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to the Fund’s financial statements.

Note 2. Repurchase Agreements

As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      0.35 %    $ 115,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Bank of America Securities LLC, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $32,850,000, a repurchase price of $32,850,009, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Bonds

      3.00 %      11/15/2045      $ 24,215,000      $ 33,830,214  

As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      0.35 %    $ 140,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $40,000,000, a repurchase price of $40,000,011, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Bonds

      3.00 %      05/15/2047      $ 29,066,000      $ 40,993,466  

As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with BNP Paribas SA:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      0.37 %    $ 165,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $45,000,000, a repurchase price of $45,000,013, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:

 

Type of Collateral

   Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Notes

      1.50 %      09/30/2024      $ 43,649,400      $ 45,874,580  

As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      0.35 %    $ 140,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $40,000,000, a repurchase price of $40,000,006, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:

 

Type of Collateral

   Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Notes

      1.88 %      01/31/2022      $ 39,506,000      $ 40,829,203  

As of March 31, 2020, the Fund held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      0.34 %    $ 130,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $38,000,000, a repurchase price of $38,000,005, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:

 

Type of Collateral

   Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Notes

      2.00 %      04/30/2024      $ 36,075,000      $ 38,797,829  

Note 3. Unfunded Loan Commitments

At March 31, 2020, the Fund had the following unfunded loan commitments which could be extended at the option of the Borrower:

 

Borrower

    Type      Maturity
Date		             Principal
Amount		      Value  

Eyecare Partners LLC

      Delayed Draw        02/18/2027         $ 137,162      $ 110,644  

MED ParentCo LP

      Delayed Draw        08/31/2026           48,708        40,428  

ADDITIONAL INFORMATION

Additional information is available in the Fund’s Annual and Semiannual reports which may be obtained without charge from the EDGAR database on the Security and Exchange Commission’s website at www.sec.gov.