NPORT-EX 2 NPORT_283183013445673.htm NPORT

AIG Senior Floating Rate Fund

PORTFOLIO OF INVESTMENTS—September 30, 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)-88.2%

                 

Aerospace & Defense-0.8%

                 

Maxar Technologies, Ltd.

   BTL-B     B2       B       2.90     1 ML+2.75%    10/04/2024     366,464     $ 351,806  

Spirit AeroSystems Inc.

   BTL-B     Ba2       BB-       TBD        01/30/2025     140,000       139,650  

TransDigm Group, Inc.

   BTL-F     Ba3       B+       2.40     1 ML+2.25%    12/09/2025     861,152       814,111  
                

 

 

  
                   1,305,567  
                

 

 

  

Airlines-0.8%

                 

JetBlue Airways Corp

   BTL     Ba2       B+       6.25     3 ML+5.25%    06/17/2024     192,563       190,926  

Mileage Plus Holdings LLC

   BTL-B     Baa3       NR       6.25     3 ML+5.25%    06/25/2027     375,000       380,918  

SkyMiles IP, Ltd.

   1st Lien     Baa1       NR       TBD        10/20/2027     635,000       639,763  
                

 

 

  
                   1,211,607  
                

 

 

  

Auto Components-1.4%

                 

Adient US LLC

   BTL-B     Ba3       B+       4.40     1 ML+4.25%    05/06/2024     424,063       418,989  

Adient US LLC

   BTL-B     Ba3       B+       4.49     3 ML+4.25%    05/06/2024     143,750       142,030  

First Brands Group LLC

   BTL-B     NR       B       8.50     2 ML+7.50%    02/02/2024     501,844       488,670  

Panther BF Aggregator 2 LP

   BTL-B     B1       B       3.65     1 ML+3.50%    04/30/2026     495,000       482,006  

Panther BF Aggregator 2 LP(9)

   BTL-B     B1       B       3.75     1 ME+3.75%    04/30/2026     EUR500,000       574,500  
                

 

 

  
                   2,106,195  
                

 

 

  

Beverages-0.4%

                 

Sunshine Investments BV

   BTL-B     B1       B+       TBD        03/28/2025     525,000       608,710  
                

 

 

  

Building Products-0.5%

                 

Advanced Drainage Systems, Inc.

   BTL-B     Ba1       BB       2.44     1 ML+2.25%    07/31/2026     500       498  

NCI Building Systems, Inc.

   BTL-B     B2       B+       3.90     1 ML+3.75%    04/12/2025     252,614       248,035  

Wilsonart LLC

   BTL-D     B2       B+       4.25     3 ML+3.25%    12/19/2023     542,845       536,331  
                

 

 

  
                   784,864  
                

 

 

  

Capital Markets-1.5%

                 

Aretec Group, Inc.

   1st Lien     B2       B-       4.40     1 ML+4.25%    10/01/2025     399,219       379,258  

Deerfield Dakota Holding LLC(9)

   BTL-B     B2       B-       4.00     1 ME+4.00%    04/09/2027     EUR748,125       858,500  

Deerfield Dakota Holding LLC

   BTL-B     B2       B-       4.75     1 ML+3.75%    04/09/2027     498,750       495,217  

NFP Corp.

   BTL     B1       B       3.40     1 ML+3.25%    02/15/2027     669,992       640,680  
                

 

 

  
                   2,373,655  
                

 

 

  

Chemicals-4.5%

                 

ASP Unifrax Holdings, Inc.(9)

   BTL-B1     Caa1       CCC+       3.75     3 ML+3.75%    12/12/2025     500,304       433,389  

ASP Unifrax Holdings, Inc.

   BTL-B     Caa3       CCC       8.75     3 ML+8.50%    12/14/2026     375,000       301,875  

Diamond (BC) BV(9)

   BTL     B1       CCC+       3.25     3 ME+3.25%    09/06/2024     EUR403,712       449,271  

Diamond (BC) BV

   BTL     B1       CCC+       3.26     3 ML+3.00%    09/06/2024     889,838       830,330  

Diamond (BC) BV

   BTL     B1       CCC+       6.00     3 ML+5.00%    09/06/2024     395,000       394,013  

H.B. Fuller Company

   BTL-B     Ba2       BB       2.16     1 ML+2.00%    10/20/2024     495,364       488,398  

Hexion, Inc.

   BTL     Ba3       B+       3.80     3 ML+3.50%    07/01/2026     389,691       382,872  

Messer Industries GmbH

   BTL-B1     B1       BB-       2.72     3 ML+2.50%    03/01/2026     406,421       398,089  

Minerals Technologies, Inc.

   BTL-B1     Ba1       BB+       3.00     3 ML+2.25%    02/14/2024     56,456       55,609  

Minerals Technologies, Inc.

   BTL-B1     Ba1       BB+       3.00     1 ML+2.25%    02/14/2024     770,813       759,251  

SCIH Salt Holdings, Inc.

   BTL-B     B3       B       5.50     3 ML+4.50%    03/16/2027     399,000       398,003  

Starfruit Finco BV

   BTL-B     B1       B+       3.15     1 ML+3.00%    10/01/2025     398,257       384,318  

Tronox Finance LLC

   BTL-B     Ba3       B+       3.15     1 ML+3.00%    09/23/2024     473,971       466,138  

Tronox Finance LLC

   BTL-B     Ba3       B+       3.22     3 ML+3.00%    09/23/2024     334,438       328,910  

U.S. Coating Acquisition, Inc.

   BTL-B2     Ba1       BBB-       1.97     3 ML+1.75%    06/01/2024     391,710       381,721  

WR Grace & Co.

   BTL-B1     Ba1       BBB-       1.97     3 ML+1.75%    04/03/2025     182,332       177,637  

WR Grace & Co.

   BTL-B2     Ba1       BBB-       2.06     3 ML+1.75%    04/03/2025     312,568       304,520  
                

 

 

  
                   6,934,344  
                

 

 

  

Commercial Services & Supplies-3.9%

                

ADS Waste Holdings, Inc.

   BTL-B3     Ba3       BB+       3.00     1 WL+2.25%    11/10/2023     924,971       921,631  

Amentum Government Services Holdings LLC

   BTL-B     Ba3       B       3.65     1 ML+3.50%    02/01/2027     533,663       525,658  

APX Group, Inc.

   BTL     B3       B-       5.15     1 ML+5.00%    12/31/2025     635,652       623,098  

APX Group, Inc.

   BTL     B3       B-       7.25     USFRBPLR+4.00%    12/31/2025     421       413  

Brickman Group, Ltd.

   BTL-B     B1       BB-       2.69     1 ML+2.50%    08/15/2025     996,475       985,264  

Clean Harbors, Inc.

   BTL-B     Ba1       BBB-       1.90     1 ML+1.75%    06/28/2024     535,008       532,835  

Grizzly Acquisition, Inc.

  BTL-B     Ba3       BB+       3.55     3 ML+3.25%    10/01/2025     593,775       572,498  

PSAV Holdings LLC

   1st Lien     Caa3       CCC-       4.25     3 ML+3.25%    03/03/2025     6,928       5,142  

PSAV Holdings LLC

   1st Lien     Caa3       CCC-       4.25     1 ML+3.25%    03/03/2025     196,375       145,727  

PSAV Holdings LLC

   1st Lien     Caa3       CCC-       4.25     6 ML+3.25%    03/03/2025     197,299       146,412  

Techem Verwaltungsgesellschaft
675 mbH

   BTL-B4     B1       B+       TBD        07/15/2025     667,888       766,507  

Verisure Holdings AB(9)

       B1       B       4.00     3 ME+4.00%    07/20/2026     EUR600,000       701,613  
                

 

 

  
                   5,926,798  
                

 

 

  

Construction & Engineering-1.1%

                

Brand Energy & Infrastructure Services, Inc.

   1st Lien     B3       B-       5.25     3 ML+4.25%    06/21/2024     995,683       926,123  

Hamilton Holdco, LLC

   BTL-B     Ba1       BB+       2.23     3 ML+2.00%    01/02/2027     714,812       691,581  
                

 

 

  
                   1,617,704  
                

 

 

  

Construction Materials-1.2%

                 

Quikrete Holdings, Inc.

   1st Lien     B1       BB-       2.65     1 ML+2.50%    02/01/2027     996,317       971,720  

Summit Materials LLC

   BTL-B     Ba1       BBB-       2.14     1 ML+2.00%    11/21/2024     884,975       874,189  
                

 

 

  
                   1,845,909  
                

 

 

  

Consumer Finance-0.2%

                 

GreenSky Holdings LLC

   BTL-B2     B1       B+       5.50     1 ML+4.50%    03/29/2025     384,038       370,596  
                

 

 

  

Containers & Packaging-3.2%

                 

Berlin Packaging LLC

  BTL-B     B3       B-       3.16     1 ML+3.00%    11/07/2025     513,183       495,703  

Berlin Packaging LLC

  BTL-B     B3       B-       3.23     3 ML+3.00%    11/07/2025     4,328       4,181  

Berry Plastics Holding Corp.

   BTL-W     Ba2       BBB-       2.16     1 ML+2.00%    10/01/2022     578,913       574,089  

Berry Plastics Holding Corp.

   BTL-Y     Ba2       BBB-       2.16     1 ML+2.00%    07/01/2026     498,752       482,889  

Flex Acquisition Co., Inc.

   BTL     B2       B       3.55     3 ML+3.25%    06/29/2025     289,259       280,491  

Flex Acquisition Co., Inc.

   1st Lien     B2       B       4.00     3 ML+3.00%    12/29/2023     613,340       597,393  

Pregis TopCo Corporation

   BTL     B2       B       3.90     1 ML+3.75%    07/31/2026     397,000       391,045  

ProAmpac PG Borrower LLC

   1st Lien     B3       B-       4.50     2 ML+3.50%    11/20/2023     146,796       144,686  

ProAmpac PG Borrower LLC

   1st Lien     B3       B-       4.50     3 ML+3.50%    11/20/2023     249,720       246,130  

ProAmpac PG Borrower LLC

   2nd Lien     Caa2       CCC       9.50     2 ML+8.50%    11/18/2024     385,000       359,494  

Reynolds Group Holdings, Inc.

   BTL     B1       B+       TBD        02/05/2023     395,004       390,375  

Tosca Services LLC

       B2       B       5.25     1 ML+4.25%    07/28/2027     975,000       973,781  
                

 

 

  
                   4,940,257  
                

 

 

  

Diversified Consumer Services-0.8%

                

Belron Finance US LLC

   BTL-B     Ba3       BB       2.75     3 ML+2.50%    11/13/2025     589,500       580,658  

Belron Finance US LLC

   BTL-B     Ba3       BB       2.77     3 ML+2.50%    10/30/2026     148,875       147,014  

Weight Watchers International, Inc.

   BTL-B     Ba2       BB       5.50     1 ML+4.75%    11/29/2024     434,673       433,043  
                

 

 

  
                   1,160,715  
                

 

 

  

Diversified Financial Services-3.2%

                

EVO Payments International LLC

   1st Lien     B2       B       3.40     1 ML+3.25%    12/22/2023     915,563       901,829  

Financial & Risk US Holdings, Inc.(9)

   BTL-B     B2       B       3.25     1 ME+3.25%    10/01/2025     EUR482,368       557,461  

Financial & Risk US Holdings, Inc.

   BTL-B     B2       B       3.40     1 ML+3.25%    10/01/2025     560,025       554,162  

GT Polaris, Inc.

   BTL-B     B2       B       TBD        08/04/2027     195,000       193,131  

Millennium Trust Company, LLC

   BTL-B     B2       B       5.15     1 ML+5.00%    03/27/2026     418,625       398,740  

MPH Acquisition Holdings LLC

   BTL-B     B1       B+       3.75     3 ML+2.75%    06/07/2023     811,068       796,439  

Nets Holding AS(9)

   BTL-B     B1       B-       3.25     3 ME+3.25%    02/06/2025     EUR798,159       908,020  

Trans Union LLC

   BTL-B5     Ba2       BB+       1.90     1 ML+1.75%    11/16/2026     704,190       685,831  
                

 

 

  
                   4,995,613  
                

 

 

  

Diversified Telecommunication Services-2.9%

                

Altice France SA

   BTL-B12     B2       B       3.84     1 ML+3.69%    01/31/2026     992,717       953,009  

Consolidated Communications Inc

   BTL-B     B2       B+       TBD        10/02/2027     210,000       207,550  

Lorca Finco PLC

   BTL-B     B1       B+       TBD        09/18/2027     715,000       833,237  

MTN Infrastructure TopCo, Inc.

   BTL-B     B2       B       4.00     1 ML+3.00%    11/15/2024     995,058       977,645  

MTN Infrastructure TopCo, Inc

   BTL-B     B2       B       5.00     1 ML+4.00%    11/17/2024     558,600       555,109  

Telenet Financing USD LLC

   BTL-AR     Ba3       BB-       2.15     1 ML+2.00%    04/30/2028     920,000       886,266  
                

 

 

  
                   4,412,816  
                

 

 

  

Electronic Equipment, Instruments & Components-0.4%

                

Avantor, Inc.

   1st Lien     Ba2       BB-       3.25     1 ML+2.25%    11/21/2024     156,081       153,740  

Lifescan Global Corporation

   BTL-B     B3       B       7.18     6 ML+6.00%    10/01/2024     462,036       434,313  
                

 

 

  
                   588,053  
                

 

 

  

Energy Equipment & Services-0.2%

                

Philadelphia Energy Solutions
LLC†(5)(10)(11)(14)

   BTL-C     NR       NR       11.24     USFRBPLR+6.99%    12/31/2022     836,796       167,359  

Seadrill Partners Finco
LLC(5)

   BTL-B     Caa3       D       7.00     3 ML+6.00%    02/21/2021     869,889       114,173  

Seadrill Partners Finco
LLC(5)(13)

   Delayed Draw     NR       NR       11.00     3 ML+0.00%    02/21/2021     24,389       24,999  
                

 

 

  
                   306,531  
                

 

 

  

Entertainment-2.0%

                 

Crown Finance US, Inc.(9)

   BTL     B3       CCC-       2.38     6 ME+2.38%    02/28/2025     EUR131,744       102,525  

Crown Finance US, Inc.

   BTL     B3       CCC-       2.52     6 ML+2.25%    02/28/2025     582,877       389,694  

Delta 2 (Lux) SARL

   BTL-B     B2       B+       3.50     1 ML+2.50%    02/01/2024     850,951       823,768  

NAI Entertainment Holdings LLC

   BTL-B     B3       B+       3.50     1 ML+2.50%    05/08/2025     414,400       377,104  

Nascar Holdings, Inc.

   BTL-B     Ba3       BB       2.89     1 ML+2.75%    10/19/2026     244,040       238,489  

UFC Holdings LLC

   BTL     B2       B       4.25     6 ML+3.25%    04/29/2026     453,505       447,043  

UFC Holdings LLC

   BTL     B2       B       4.25     3 ML+3.25%    04/29/2026     498,750       490,437  

William Morris Endeavor Entertainment LLC

   BTL-B     B3       CCC+       2.90     1 ML+2.75%    05/18/2025     295,604       252,742  
                

 

 

  
                   3,121,802  
                

 

 

  

Food & Staples Retailing-0.8%

                 

U.S. Foods, Inc.

   BTL-B     B3       BB-       1.90     1 ML+1.75%    06/27/2023     768,883       738,128  

U.S. Foods, Inc.

   BTL-B     B3       BB-       2.75     1 ML+2.00%    09/13/2026     534,600       509,875  
                

 

 

  
                   1,248,003  
                

 

 

  

Food Products-2.6%

                 

Atkins Nutritionals, Inc.

   BTL-B     B1       B+       4.75     1 ML+3.75%    07/07/2024     439,493       439,767  

Bellring Brands LLC

   BTL-B     B2       B+       6.00     1 ML+5.00%    10/21/2024     158,813       158,912  

B&G Foods, Inc.

   BTL-B     Ba1       BB       2.65     1 ML+2.50%    10/10/2026     293,171       292,163  

CHG PPC Parent LLC

   BTL-B     B2       B       2.90     1 ML+2.75%    03/31/2025     420,325       403,512  

Froneri International PLC

   BTL     B1       B+       2.40     1 ML+2.25%    01/31/2027     648,375       622,642  

Froneri International
PLC(9)

   BTL     B1       B+       2.63     1 ME+2.63%    01/31/2027     EUR700,000       796,221  

Froneri International
PLC(9)

   2nd Lien     B3       B-       5.75     1 ME+5.75%    01/31/2028     EUR100,000       117,098  

Froneri International PLC

   2nd Lien     B3       B-       5.90     1 ML+5.75%    01/31/2028     100,000       99,250  

Hostess Brands LLC

   BTL     B1       BB-       3.00     3 ML+2.25%    08/03/2025     762,712       748,569  

Hostess Brands LLC

   BTL     B1       BB-       3.00     1 ML+2.25%    08/03/2025     284,044       278,778  
                

 

 

  
                   3,956,912  
                

 

 

  

Gas Utilities-0.3%

                 

UGI Energy Services LLC

   BTL-B     Ba3       NR       3.90     1 ML+3.75%    08/13/2026     495,215       492,739  
                

 

 

  

Health Care Providers & Services-7.0%

                

Biogroup LCD

   BTL-B     B2       B-       TBD        04/25/2026     510,000       586,488  

Catalent Pharma Solutions, Inc.

   BTL-B2     Ba2       BB+       3.25     1 ML+2.25%    05/18/2026     576,225       572,624  

Change Healthcare Holdings, Inc.

   BTL-B     B1       B+       3.50     1 ML+2.50%    03/01/2024     24,384       23,866  

Change Healthcare Holdings, Inc.

   BTL-B     B1       B+       3.50     3 ML+2.50%    03/01/2024     892,032       873,076  

Dental Corp. Perfect Smile ULC

   1st Lien     B2       B-       4.75     1 ML+3.75%    06/06/2025     597,284       563,315  

DuPage Medical Group, Ltd.

   1st Lien     B1       B       3.50     1 ML+2.75%    08/15/2024     406,191       396,036  

DuPage Medical Group, Ltd.

   2nd Lien     Caa1       CCC+       7.75     1 ML+7.00%    08/15/2025     623,968       560,011  

Envision Healthcare Corp.

   1st Lien     Caa1       CCC       3.90     1 ML+3.75%    10/10/2025     353,684       252,294  

Eyecare Partners LLC(6)

   Delayed Draw     B3       B       3.75        02/18/2027     137,162       128,658  

Eyecare Partners LLC

   BTL     B3       B       3.90     1 ML+3.75%    02/18/2027     584,899       548,635  

Gentiva Health Services, Inc.

   BTL-B     B1       B       3.44     1 ML+3.25%    07/02/2025     990,840       969,167  

Healogics, Inc.

  1st Lien     Caa2       CCC-       5.25     3 ML+4.25%    07/01/2021     950,060       676,918  

IQVIA, Inc.(9)

   BTL-B     Ba1       BBB-       2.00     3 ME+2.00%    06/11/2025     EUR908,975       1,048,854  

LGC Group Holdings, Ltd.(9)

   BTL-B     B3       NR       3.25     1 ME+3.25%    04/21/2027     EUR595,000       680,070  

MED ParentCo LP(6)

   Delayed Draw     B3       B-       4.25-4.40        08/31/2026     162,188       153,605  

MED ParentCo LP

   1st Lien     B3       B-       4.40     1 ML+4.25%    08/31/2026     646,769       612,544  

Pathway Vet Alliance LLC(6)

   Delayed Draw     B2       B       2.00        03/31/2027     19,918       19,582  

Pathway Vet Alliance LLC

   BTL     B2       B       4.15     1 ML+4.00%    03/31/2027     243,856       239,741  

Pharmaceutical Product Development, Inc.

  BTL-B     Ba2       B+       3.50     1 ML+2.50%    08/18/2022     505,795       503,611  

Sound Inpatient Physicians

   1st Lien     Ba3       B       2.90     1 ML+2.75%    06/27/2025     562,801       550,607  

Surgery Center Holdings, Inc.

   1st Lien     B2       B-       4.25     1 ML+3.25%    09/03/2024     411,226       388,021  

Surgery Center Holdings, Inc

   BTL     B2       B-       9.00     1 ML+8.00%    09/03/2024     472,625       476,563  
                

 

 

  
                   10,824,286  
                

 

 

  

Hotels, Restaurants & Leisure-5.2%

                 

8th Avenue Food & Provisions, Inc.

   1st Lien     B2       B-       3.65     1 ML+3.50%    10/01/2025     417,563       413,735  

8th Avenue Food & Provisions, Inc.

   2nd Lien     Caa1       CCC       7.90     1 ML+7.75%    10/01/2026     270,000       266,625  

Aramark Services, Inc.

   BTL-B1     Ba2       BB+       1.90     1 ML+1.75%    03/11/2025     596,904       570,416  

Aramark Services, Inc.

   BTL-B4     Ba2       BB+       1.90     1 ML+1.75%    01/15/2027     378,100       361,322  

Boyd Gaming Corp.

   BTL-B3     Ba3       BB-       2.36     1 WL+2.25%    09/15/2023     623,580       605,184  

Caesars Resort Collection LLC

   BTL-B     B1       B+       2.90     1 ML+2.75%    12/23/2024     994,944       929,719  

Caesars Resort Collection LLC

   BTL-B1     B1       B+       4.65     1 ML+4.50%    07/21/2025     563,333       544,220  

Caesars Resort Collection LLC

   BTL-B1     B1       B+       4.77     3 ML+4.50%    07/21/2025     281,667       272,110  

Carnival Corp

   BTL-B     Ba2       BB+       8.50     1 ML+7.50%    06/30/2025     463,838       468,090  

CityCenter Holdings LLC

   BTL-B     B2       B+       3.00     1 ML+2.25%    04/18/2024     496,108       475,396  

Golden Entertainment, Inc.

   1st Lien     B1       B+       3.75     1 ML+3.00%    10/21/2024     750,875       720,840  

IRB Holding Corp.

   BTL-B     B3       B       3.75     3 ML+2.75%    02/05/2025     967       922  

IRB Holding Corp.

   BTL-B     B3       B       3.75     6 ML+2.75%    02/05/2025     376,294       358,655  

Penn National Gaming, Inc.

   BTL-B     B1       BB-       3.00     1 ML+2.25%    10/15/2025     692,663       672,624  

Playtika Holding Corp.

   BTL-B     B1       B+       7.00     6 ML+6.00%    12/10/2024     909,563       909,904  

Station Casinos LLC

   BTL-B     B1       BB-       2.40     1 ML+2.25%    02/08/2027     406,021       385,974  
                

 

 

  
                   7,955,736  
                

 

 

  

Household Durables-0.3%

                 

Installed Building Products, Inc.

   BTL-B     Ba3       BB+       2.40     1 ML+2.25%    04/15/2025     500,000       480,000  
                

 

 

  

Household Products-0.4%

                 

Energizer Holdings, Inc.

   BTL-B     Ba1       BB+       2.44     1 ML+2.25%    12/17/2025     95,618       93,944  

Prestige Brands, Inc.

   BTL-B4     Ba3       BB       2.15     1 ML+2.00%    01/26/2024     189,493       187,835  

Reynolds Consumer Products, Inc.

   BTL     Ba1       BB+       1.90     1 ML+1.75%    02/04/2027     353,201       347,902  
                

 

 

  
                   629,681  
                

 

 

  

Industrial Conglomerates-0.1%

                 

Ameriforge Group, Inc.(12)

   BTL     NR       NR       5.00-14.00     3 ML+8.00%    06/08/2022     106,622       90,629  

UTEX Industries, Inc.†(5)(10)

   1st Lien     Ca       NR       5.31     3 ML+4.00%    05/22/2021     303,396       90,513  
                

 

 

  
                   181,142  
                

 

 

  

Insurance-4.7%

                 

Acrisure LLC

   BTL-B     B2       B       3.65     1 ML+3.50%    02/15/2027     442,775       426,724  

Asurion LLC

   BTL-B4     Ba3       B+       3.15     1 ML+3.00%    08/04/2022     758,273       747,467  

Asurion LLC

   BTL-B6     Ba3       B+       3.15     1 ML+3.00%    11/03/2023     501,453       493,214  

Asurion LLC

   BTL-B7     Ba3       B+       3.15     1 ML+3.00%    11/03/2024     503,363       494,284  

Asurion LLC

   2nd Lien     B3       B       6.65     1 ML+6.50%    08/04/2025     1,390,303       1,391,296  

Compass Investments, Inc.

   BTL-B     B2       B       3.22     3 ML+3.00%    05/16/2024     1,068,531       1,032,135  

Hub International, Ltd.

   BTL-B     B2       B       3.26     3 ML+3.00%    04/25/2025     962,838       928,657  

Ryan Specialty Group LLC

   BTL     B1       B       4.00     1 ML+3.25%    09/01/2027     270,000       267,638  

Sedgwick Claims Management Services, Inc.

   BTL-B     B2       B       3.40     1 ML+3.25%    12/31/2025     1,328,003       1,279,626  

Sedgwick Claims Management Services, Inc.

   BTL-B3     B2       B       5.25     1 ML+4.25%    09/03/2026     234,413       232,215  
                

 

 

  
                   7,293,256  
                

 

 

  

Internet & Direct Marketing Retail-1.1%

                 

Go Daddy Operating Co. LLC

   BTL-B1     Ba1       BB       1.90     1 ML+1.75%    02/15/2024     394,414       385,047  

Go Daddy Operating Co. LLC

   BTL-B3     Ba1       BB       2.65     1 ML+2.50%    08/10/2027     309,225       304,458  

MH Sub I LLC

   BTL     B2       B       4.75     1 ML+3.75%    09/13/2024     294,263       290,707  

Rodan & Fields, LLC

   BTL-B     Caa2       B-       4.15     1 ML+4.00%    06/16/2025     354,813       240,386  

Shutterfly, Inc.

   BTL-B     B2       B-       7.00     3 ML+6.00%    09/25/2026     500,806       453,439  
                

 

 

  
                   1,674,037  
                

 

 

  

IT Services-2.9%

                 

Blackhawk Network Holdings, Inc.

   1st Lien     B1       B-       3.15     1 ML+3.00%    06/15/2025     800,855       754,472  

CCC Information Services, Inc.

   1st Lien     B3       B-       4.00     1 ML+3.00%    04/29/2024     901,512       893,999  

Science Applications International Corp.

   BTL-B     Ba1       BB+       2.40     1 ML+2.25%    03/12/2027     277,671       273,332  

Tempo Acquisition LLC

   BTL-B     B1       B       3.75     1 ML+3.25%    11/02/2026     975,480       946,825  

Web.com Group, Inc.

   BTL-B2     Caa2       CCC+       7.90     1 ML+7.75%    10/09/2026     633,015       598,199  

WEX, Inc.

   BTL-B3     Ba2       BB-       2.40     1 ML+2.25%    05/15/2026     1,009,546       972,740  
                

 

 

  
                   4,439,567  
                

 

 

  

Leisure Products-0.6%

                 

Hayward Industries, Inc.

   1st Lien     B3       B       3.65     1 ML+3.50%    08/05/2024     388,363       377,683  

SRAM LLC

   BTL-B     B1       BB-       3.75     6 ML+2.75%    03/15/2024     520,746       518,142  

SRAM LLC

   BTL-B     B1       BB-       3.75     1 ML+2.75%    03/15/2024     33,236       33,070  
                

 

 

  
                   928,895  
                

 

 

  

Life Sciences Tools & Services-0.3%

                 

Syneos Health, Inc.

   BTL-B     Ba3       BB       1.90     1 ML+1.75%    08/01/2024     528,343       515,299  
                

 

 

  

Machinery-2.6%

                 

Altra Industrial Motion Corp.

   BTL-B     Ba2       BB-       2.15     1 ML+2.00%    10/01/2025     452,301       440,428  

Fluidra SA

   BTL-B     Ba3       BB       2.15     1 ML+2.00%    07/02/2025     372,067       361,836  

Ingersoll-Rand Company Ltd.(9)

   BTL-B     Ba2       BB+       2.00     1 ME+2.00%    03/01/2027     EUR823,216       942,739  

Navistar International Corp.

   BTL-B     Ba2       BB-       3.66     1 ML+3.50%    11/06/2024     539,488       534,093  

Pro Mach Group Inc(6)

   Delayed Draw     B2       B-       1.75        03/07/2025     86,692       88,860  

Pro Mach Group Inc

   BTL     B2       B-       4.50     3 ML+3.50%    03/07/2025     263,308       256,067  

Vertical Midco GMBH(9)

   BTL-B     B1       B       4.25     6 ME+4.25%    07/30/2027     EUR150,000       175,290  

Vertical US Newco Inc.

   BTL-B     B1       B       4.57     3 ML+4.25%    07/30/2027     725,000       718,397  

WireCo WorldGroup, Inc.

   1st Lien     Caa1       B       6.00     6 ML+5.00%    09/30/2023     595,798       514,869  
                

 

 

  
                   4,032,579  
                

 

 

  

Media-7.9%

                 

Advantage Sales & Marketing LLC

   1st Lien     B2       CCC+       4.25     1 ML+3.25%    07/23/2021     252,773       247,876  

Advantage Sales & Marketing LLC

   2nd Lien     Caa2       CCC-       7.50     1 ML+6.50%    07/25/2022     500,000       479,167  

Banijay Group US Holding Inc

   BTL     B1       B       TBD        03/04/2025     170,000       194,832  

Banijay Group US Holding Inc

   BTL     B1       B       3.91     1 ML+3.75%    03/01/2025     425,000       415,438  

Charter Communications Operating LLC

   BTL-B2     Ba1       BBB-       1.90     1 ML+1.75%    02/01/2027     645,788       630,898  

CSC Holdings, Inc.

   BTL-B     Ba3       BB       2.40     1 ML+2.25%    07/17/2025     494,030       476,986  

CSC Holdings, Inc.

   BTL-B5     Ba3       BB       2.65     1 ML+2.50%    04/15/2027     1,274,844       1,233,730  

E.W. Scripps Co.

   BTL-B2     Ba3       BB-       2.65     1 ML+2.50%    05/01/2026     630,432       613,292  

Gray Television, Inc.

   BTL-C     Ba2       BB       2.66     1 ML+2.50%    01/02/2026     1,007,627       988,034  

Houghton Mifflin Harcourt Publishing Company

   BTL-B     Caa1       B       7.25     1 ML+6.25%    11/22/2024     481,250       445,758  

ION Media Networks, Inc.

   BTL-B     B1       BB-       3.15     1 ML+3.00%    12/18/2024     1,038,670       1,033,737  

Nielsen Fianance LLC

   BTL-B5     Ba1       BBB-       4.75     1 ML+3.75%    06/04/2025     99,750       99,314  

NEP Group, Inc.

   1st Lien     Caa2       B       3.40     1 ML+3.25%    10/20/2025     519,854       445,775  

NEP Group, Inc.

   2nd Lien     Ca       CCC       7.15     1 ML+7.00%    10/19/2026     595,000       446,250  

Nexstar Broadcasting, Inc.

   BTL-B4     Ba3       BB       2.91     1 ML+2.75%    09/18/2026     1,292,041       1,262,970  

Radiate Holdco LLC

   BTL     B1       B       TBD        09/25/2026     260,000       255,084  

UPC Broadband Holding BV

   BTL-B1     B1       BB-       TBD        01/31/2029     150,000       173,278  

UPC Broadband Holding BV

   BTL-B1     B1       BB-       TBD        01/31/2029     560,000       540,820  

UPC Broadband Holding BV

   BTL-B2     B1       BB-       TBD        01/31/2029     150,000       173,278  

UPC Broadband Holding BV

   BTL-B2     B1       BB-       TBD        01/31/2029     560,000       540,820  

Virgin Media Bristol LLC

   BTL-Q     Ba3       BB-       TBD        01/31/2029     480,000       471,429  

Ziggo Secured Finance Partnership

   BTL-I     B1       B+       2.65     1 ML+2.50%    04/30/2028     1,000,000       962,222  
                

 

 

  
                   12,130,988  
                

 

 

  

Metals & Mining-0.6%

                 

American Rock Salt Co. LLC

   1st Lien     B2       B       4.50     1 ML+3.50%    03/21/2025     995,403       994,159  
                

 

 

  

Multiline Retail-0.7%

                 

Peer Holding B.V.(9)

   BTL-B     B1       B+       3.25     3 ME+3.25%    03/08/2025     1,000,000       1,122,621  
                

 

 

  

Oil, Gas & Consumable Fuels-2.0%

                 

BCP Renaissance Parent LLC

   BTL-B     B2       B       4.50     2 ML+3.50%    10/31/2024     288,662       266,146  

California Resources Corp.†(5)(10)(11)

   2nd Lien     WR       NR       11.38     3 ML+10.38%    12/31/2021     500,000       10,313  

Medallion Midland Acquisition LLC

   1st Lien     B2       B-       4.25     1 ML+3.25%    10/30/2024     698,292       655,230  

Oryx Midstream Services LLC

   BTL-B     B2       B-       4.15     1 ML+4.00%    05/22/2026     571,559       525,834  

Power Buyer LLC

   1st Lien     B3       B-       4.25     3 ML+3.25%    03/06/2025     807,203       785,207  

Power Buyer LLC

   2nd Lien     Caa2       CCC       8.25     3 ML+7.25%    03/06/2026     585,000       506,025  

Traverse Midstream Partners LLC

   BTL-B     B3       B       5.00     1 ML+4.00%    09/27/2024     288,678       264,573  
                

 

 

  
                   3,013,328  
                

 

 

  

Personal Products-1.0%

                 

Coty, Inc.(9)

   BTL-B     B3       B       2.50     1 ME+2.50%    04/07/2025     EUR357,584       384,663  

Revlon Consumer Products Corp.(5)

   BTL-B     Ca       C       4.25     3 ML+3.50%    09/07/2023     759,093       191,942  

Sunshine Luxembourg VII SARL

   BTL-B1     B2       B-       5.32     6 ML+4.25%    10/01/2026     992,500       985,588  
                

 

 

  
                   1,562,193  
                

 

 

  

Pharmaceuticals-2.8%

                 

Elanco Animal Health Inc

   BTL-B     Baa3       BB+       1.91     1 ML+1.75%    08/01/2027     1,167,047       1,133,285  

Endo Luxembourg Finance Co. I SARL

   BTL-B     B2       B+       5.00     3 ML+4.25%    04/29/2024     499,514       475,878  

Milano Acquisition Corp

   BTL-B     B2       B+       TBD        10/01/2027     455,000       449,313  

Packaging Coordinators Midco Inc.

   BTL     B2       B-       TBD        09/25/2027     380,000       378,338  

Valeant Pharmaceuticals International, Inc.

   BTL-B     Ba2       BB       2.90     1 ML+2.75%    11/27/2025     977,647       953,817  

Valeant Pharmaceuticals International, Inc.

   BTL-B     Ba2       BB       3.15     1 ML+3.00%    06/02/2025     982,742       961,654  
                

 

 

  
                   4,352,285  
                

 

 

  

Professional Services-1.9%

                 

AlixPartners LLP

   BTL-B     B2       B+       2.64     1 ML+2.50%    04/04/2024     1,283,755       1,250,286  

AlixPartners LLP(9)

   BTL-B     B2       NR       3.25     3 ME+3.25%    04/04/2024     EUR246,250       284,656  

Dun & Bradstreet Corporation

   BTL     B1       B+       3.89     1 ML+3.75%    02/06/2026     1,378,075       1,363,605  
                

 

 

  
                   2,898,547  
                

 

 

  

Real Estate Investment Trusts-0.5%

                 

VICI Properties 1 LLC

   BTL     Ba2       BBB-       1.91     1 ML+1.75%    12/20/2024     853,864       823,765  
                

 

 

  

Road & Rail-1.5%

                 

Boels Top Holding BV(9)

   BTL-B     B1       BB-       4.00     1 ME+4.00%    01/14/2027     EUR605,000       689,604  

Fly Funding II SARL

   BTL-B     Ba3       BBB-       1.99     3 ML+1.75%    08/11/2025     1,021,482       896,351  

Savage Enterprises LLC

   BTL-B     B1       BB       TBD        08/01/2025     756,440       749,254  
                

 

 

  
                   2,335,209  
                

 

 

  

Semiconductors & Semiconductor Equipment-0.1%

                

Entegris, Inc.

   BTL-B     Baa3       BBB-       2.15     1 ML+2.00%    11/06/2025     211,196       210,272  
                

 

 

  

Software-6.6%

                 

Almonde, Inc.

   1st Lien     B2       CCC+       4.50     3 ML+3.50%    06/13/2024     492,894       460,240  

Almonde, Inc.

   2nd Lien     Caa2       CCC-       8.25     3 ML+7.25%    06/13/2025     230,000       215,871  

BY Crown Parent LLC

   BTL-B1     B1       B-       4.00     1 ML+3.00%    01/31/2026     400,439       395,434  

Camelot US Acquistion 1 Co.

   BTL     B2       B       TBD        10/30/2026     245,000       243,877  

Ceridian HCM Holding, Inc.

   BTL-B     B2       B+       2.60     1 WL+2.50%    04/30/2025     573,461       553,390  

Dcert Buyer, Inc.

   BTL-B     B2       B-       4.15     1 ML+4.00%    10/16/2026     497,500       490,286  

Emerald Topco, Inc.

   BTL     B2       B       3.76     3 ML+3.50%    07/24/2026     440,550       423,662  

Epicor Software Corp

   BTL     B2       B-       5.25     1 ML+4.25%    07/30/2027     1,087,908       1,081,380  

Epicor Software Corp

   2nd Lien     Caa2       CCC       8.75     1 ML+7.75%    07/31/2028     240,000       245,000  

Hyland Software, Inc.

   1st Lien     B1       B-       4.00     1 ML+3.25%    07/01/2024     1,440,009       1,430,559  

Hyland Software, Inc.

   2nd Lien     Caa1       CCC       7.75     1 ML+7.00%    07/07/2025     535,000       533,997  

Navicure, Inc.

   BTL-B     B2       B-       TBD        10/22/2026     160,000       156,000  

SS&C Technologies, Inc.

   BTL-B3     Ba2       BB+       1.90     1 ML+1.75%    04/16/2025     498,818       482,191  

SS&C Technologies, Inc.

   BTL-B4     Ba2       BB+       1.90     1 ML+1.75%    04/16/2025     350,454       338,773  

SS&C Technologies, Inc.

   BTL-B5     Ba2       BB+       1.90     1 ML+1.75%    04/16/2025     1,153,591       1,116,099  

Ultimate Software Group, Inc.

   BTL-B     B1       B       3.90     1 ML+3.75%    05/04/2026     673,200       666,994  

Ultimate Software Group, Inc.

   BTL-B     B1       B       4.75     3 ML+4.00%    05/04/2026     340,000       338,566  

Zelis Payments Buyer, Inc.

   BTL-B     B2       B       4.90     1 ML+4.75%    09/30/2026     992,500       983,609  
                

 

 

  
                   10,155,928  
                

 

 

  

Specialty Retail-2.0%

                 

Bass Pro Group LLC

   BTL-B     B1       B       5.75     3 ML+5.00%    09/25/2024     703,664       696,891  

Foundation Building Materials Holding Co. LLC

   BTL-B     B2       BB-       3.15     1 ML+3.00%    08/13/2025     491,250       483,267  

Michaels Stores, Inc.

   BTL-B     NR       NR       TBD        09/17/2027     337,529       329,091  

Michaels Stores, Inc.

   BTL     NR       NR       TBD        01/30/2023     337,529       336,010  

PetSmart, Inc.

   BTL-B2     B2       B       4.50     3 ML+3.50%    03/11/2022     419,344       417,847  

SRS Distribution, Inc.

   BTL-B     B3       B       4.40     1 ML+4.25%    05/23/2025     352,338       347,052  

Staples, Inc.

   BTL-B     B1       B       5.25     3 ML+5.00%    04/16/2026     500,031       460,207  
                

 

 

  
                   3,070,365  
                

 

 

  

Tech Hardware, Storage &
Peripheral 0.2%

                 

Cardtronics USA, Inc.

   BTL-B     Ba2       BB+       5.00     1 ML+4.00%    06/29/2027     289,275       288,280  
                

 

 

  

Trading Companies & Distributors-2.2%

                 

American Builders & Contractors Supply Co., Inc.

   BTL     B1       BB+       2.15     1 ML+2.00%    01/15/2027     990,000       960,300  

Beacon Roofing Supply, Inc.

   BTL-B     B2       BB       2.40     1 ML+2.25%    01/02/2025     438,750       424,079  

HD Supply, Inc.

   BTL-B5     Ba1       BBB-       1.90     1 ML+1.75%    10/17/2023     1,054,947       1,049,672  

HD Supply Waterworks, Ltd.

   BTL-B     B2       B       3.75     3 ML+2.75%    08/01/2024     171,121       167,057  

HD Supply Waterworks, Ltd.

   BTL-B     B2       B       3.75     6 ML+2.75%    08/01/2024     268,429       262,054  

Univar USA, Inc.

   BTL-B5     Ba3       BB+       2.15     1 ML+2.00%    07/01/2026     168,725       164,296  

Univar USA, Inc.

   BTL-B3     Ba3       BB+       2.40     1 ML+2.25%    07/01/2024     413,296       407,096  
                

 

 

  
                   3,434,554  
                

 

 

  

Total Loans
(cost $141,758,427)

                    135,656,362  
                

 

 

  

U.S. CORPORATE BONDS & NOTES-5.4%

                

Aerospace & Defense-0.2%

                 

Spirit AeroSystems, Inc.*

   Senior Notes     Ba2       BB-       5.50        01/15/2025     230,000       231,150  
                

 

 

  

Auto Components-0.2%

                 

Clarios Global LP / Clarios US Finance Co.*

   Company
Guar. Notes		     Caa1       CCC+       8.50        05/15/2027     250,000       258,125  
                

 

 

  

Biotechnology-0.1%

                 

Emergent BioSolutions, Inc.*

   Company
Guar. Notes		     Ba3       BB-       3.88        08/15/2028     70,000       70,275  
                

 

 

  

Building Products-0.1%

                 

Advanced Drainage Systems, Inc.*

   Senior Notes     B1       B       5.00        09/30/2027     220,000       229,900  
                

 

 

  

Construction & Engineering-0.4%

                 

Brand Energy & Infrastructure Services, Inc.*

   Senior Notes     Caa2       CCC       8.50        07/15/2025     250,000       236,250  

PowerTeam Services LLC*

   Senior Notes     B3       B-       9.03        12/04/2025     420,000       442,575  
                

 

 

  
                   678,825  
                

 

 

  

Containers & Packaging-0.2%

                 

Owens-Brockway Glass Container, Inc.*

   Company
Guar. Notes		     B1       B       6.63        05/13/2027     250,000       270,781  
                

 

 

  

Electronic Equipment, Instruments & Components-0.2%

                

Avantor Funding, Inc.*

   Company
Guar. Notes		     B3       B       4.63        07/15/2028     250,000       259,375  
                

 

 

  

Health Care Providers & Services-0.2%

                 

Centene Corp

   Senior Notes     Ba1       BBB-       4.63        12/15/2029     250,000       269,665  
                

 

 

  

Hotels, Restaurants & Leisure-0.0%

                 

Boyd Gaming Corp

   Company
Guar. Notes		     Caa1       B-       4.75        12/01/2027     250,000       245,313  

Boyd Gaming Corp*

   Senior Notes     Caa1       B-       8.63        06/01/2025     500,000       548,140  

Caesars Entertainment, Inc.*

   Senior Notes     Caa1       CCC+       8.13        07/01/2027     150,000       159,000  
                

 

 

  
                   952,453  
                

 

 

  

Household Products-0.1%

                 

Energizer Holdings, Inc.*

   Company
Guar. Notes		     B2       B+       6.38        07/15/2026     125,000       134,399  
                

 

 

  

Insurance-0.2%

                 

Acrisure LLC / Acrisure Finance, Inc.*

   Senior Sec.
Notes		     B2       B       8.13        02/15/2024     250,000       261,874  
                

 

 

  

Media-0.2%

                 

Houghton Mifflin Harcourt Publishers, Inc.*

   Senior Notes     Caa1       B       9.00        02/15/2025     400,000       384,000  
                

 

 

  

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-0.5%

                 

EQM Midstream Partners LP*

   Senior Notes     Ba3       BB-       6.00        07/01/2025     275,000       283,594  

Foothills Resource, Inc.(5)

   Escrow Notes     NR       NR       11.50        04/01/2023     715,000       1,180  

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

   Company
Guar. Notes		     Ca       C       8.75        04/15/2023     775,000       519,250  
                

 

 

  
                   804,024  
                

 

 

  

Pharmaceuticals-0.0%

                 

Par Pharmaceutical, Inc.*

   Senior Notes     B2       B+       7.50        04/01/2027     45,000       47,146  
                

 

 

  

Professional Services-0.1%

                 

Jaguar Holding Co II / PPD Development LP*

   Company
Guar. Notes		     B2       B       5.00        06/15/2028     105,000       109,594  
                

 

 

  

Road & Rail-0.2%

                 

United Rentals North America, Inc.

   Company
Guar. Notes		     Ba3       BB-       3.88        02/15/2031     240,000       243,600  
                

 

 

  

Software-0.7%

                 

SS&C Technologies, Inc.*

   Company
Guar. Notes		     B2       B+       5.50        09/30/2027     750,000       797,040  

Black Knight InfoServ LLC*

   Company
Guar. Notes		     Ba3       B+       3.63        09/01/2028     275,000       277,922  
                

 

 

  
                   1,074,962  
                

 

 

  

Specialty Retail-0.3%

                 

L Brands, Inc.*

   Company
Guar. Notes		     B2       B+       6.63        10/01/2030     405,000       412,088  
                

 

 

  

Textiles, Apparel & Luxury Goods-0.2%

                 

PVH Corp.*

   Senior Notes     Baa3       BBB-       4.63        07/10/2025     255,000       265,837  
                

 

 

  

Thrifts & Mortgage Finance-0.7%

                 

Genworth Mortgage Holdings, Inc.*

   Senior Notes     Ba3       NR       6.50        08/15/2025     245,000       255,952  

MGIC Investment Corp.

   Senior Notes     Ba1       BB+       5.25        08/15/2028     195,000       201,128  

PennyMac Financial Services, Inc.*

   Company
Guar. Notes		     B2       B+       5.38        10/15/2025     615,000       622,688  
                

 

 

  
                   1,079,768  
                

 

 

  

Trading Companies & Distributors-0.2%

                  

Performance Food Group, Inc.*

   Senior Notes     B2       B       5.50        10/15/2027      315,000       324,450  
                 

 

 

  

Total U.S. Corporate Bonds & Notes
(cost $9,065,514)

                     8,368,553  
                 

 

 

  

FOREIGN CORPORATE BONDS & NOTES-2.2%

                  

Airlines-0.2%

                  

Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd*

   Senior Notes     Ba3       NR       8.00        09/20/2025      295,000       312,558  
                 

 

 

  

Containers & Packaging-0.4%

                  

Ardagh Packaging Finance PLC*

   Senior Sec.
Notes		     B1       BB       4.13        08/15/2026      390,000       395,363  

Ardagh Packaging Finance PLC*

   Senior Sec.
Notes		     B1       BB       5.25             04/30/2025      240,000       250,800  
                 

 

 

  
                    646,163  
                 

 

 

  

Hotels, Restaurants & Leisure-0.5%

                  

Carnival Corp*

   Senior Sec.
Notes		     Ba2       BB+       11.50        04/01/2023      500,000       560,323  

Royal Caribbean Cruises Ltd*

   Company Guar.
Notes		     B2       BB-       9.13        06/15/2023      175,000       185,500  
                 

 

 

  
                    745,823  
                 

 

 

  

Media-0.2%

                  

Virgin Media Secured Finance PLC*

   Senior Sec.
Notes		     Ba3       BB-       4.50        08/15/2030      250,000       256,860  
                 

 

 

  

Pharmaceuticals-0.6%

                  

Bausch Health Cos, Inc.*

   Company Guar.
Notes		     B3       B       5.00        01/30/2028      485,000       471,056  

Bausch Health Cos, Inc.*

   Company Guar.
Notes		     B3       B       9.00        12/15/2025      385,000       418,803  

Endo, Ltd./Endo Finance LLC*

   Company Guar.
Notes		     Caa2       CCC+       6.00        06/30/2028      114,000       83,790  
                 

 

 

  
                    973,649  
                 

 

 

  

Wireless Telecommunication Services-0.3%

                  

Vmed O2 UK Financing I PLC*

   Senior Sec.
Notes		     Ba3       BB-       4.25        01/31/2031      400,000       407,000  
                 

 

 

  

Total Foreign Corporate Bonds & Notes
(cost $3,180,488)

                     3,342,053  
                 

 

 

  

COMMON STOCKS-0.3%

                  

Energy Equipment & Services-0.0%

                  

Philadelphia Energy Solutions LLC, Class A†(7)

                   35,161       352  
                 

 

 

  

Industrial Conglomerates-0.2%

                  

AFG Holdings, Inc.†(7)

                   14,309       236,098  
                 

 

 

  

Oil, Gas & Consumable Fuels-0.1%

                  

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

                   187,384       142,412  

Foresight Energy LLC†(5)(7)

                   9,106       75,821  
                 

 

 

  
                    218,233  
                 

 

 

  

Total Common Stocks
(cost $1,746,150)

                     454,683  
                 

 

 

  

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 $3,514)

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

 

 

  

Total Long-Term Investment Securities (cost $155,754,093)

                     147,822,621  
                 

 

 

  

SHORT-TERM INVESTMENT SECURITIES-3.5%

                  

Registered Investment
Companies -3.5%

                  

State Street Institutional Liquid Reserves Fund, Administration Class 0.00%(8)

 

    (cost $5,327,337)

      5,326,495       5,327,028  
                 

 

 

  

TOTAL INVESTMENTS

                  

(cost $161,086,055)

                   99.6 %      153,149,649  

Other assets in excess of liabilities

                   0.4 %      620,474  
               

 

 

    

 

 

  

NET ASSETS

                   100.0 %    $ 153,770,123  
               

 

 

    

 

 

  

 

BTL   Bank Term Loan

EUR   Euro Currency

NR   Security is not rated.

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 September 30, 2020, the aggregate value of these securities was $10,749,720, representing 7.0% 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 September 30 , 2020.

(2)

Based on the stated maturity, the weighted average to maturity of the loans held in the portfolio is approximately 57 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 September 30, 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     $ 236,098     $ 16.50       0.15 % 

Ascent Resources Marcellus LLC, Class A

     03/30/2018       187,384       567,151       142,412       0.76       0.09  

Foresight Energy LLC

     06/30/2020       9,106       82,315       75,821       8.33       0.05  

Philadelphia Energy Solutions LLC, Class A

     04/04/2018       35,161       185,574       352       0.01       0.00  

Warrants

            

Ascent Resources Marcellus LLC

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

 

 

      

 

 

  
        $ 455,653         0.29 % 
       

 

 

      

 

 

  

 

(8)

The rate shown is the 7-day yield as of September 30, 2020.

(9)

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.

(10)

Security in default of interest.

(11)

Company has filed for bankruptcy protection.

(12)

“Payment-in-Kind” (PIK) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at 9.00%. The security is also currently paying interest in the form of additional loans at 5.00%.

(13)

“Payment-in-Kind” (PIK) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in the form of additional loans at 11.00%.

(14)

“Payment-in-Kind” (PIK) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at 4.25%. The security is also currently paying interest in the form of additional loans at 6.99%.

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        13,287,279        USD        15,495,997        10/30/2020      $ —        $ (91,672 ) 
     USD        55,979        EUR        48,000        10/30/2020        331        —    
                 

 

 

     

 

 

  

Net Unrealized Appreciation (Depreciation)

                   $ 331      $ (91,672 ) 
              

 

 

     

 

 

  

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 September 30, 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

    $ —        $ —        $  306,531      $ 306,531  

Industrial Conglomerates

      —          90,629        90,513        181,142  

Oil, Gas & Consumable Fuels

      —          3,003,015        10,313        3,013,328  

Personal Products

      —          1,370,251        191,942        1,562,193  

Other Industries

      —          130,593,168        —          130,593,168  

U.S. Corporate Bonds & Notes:

                   

Oil, Gas & Consumable Fuels

      —          802,844        1,180        804,024  

Other Industries

      —          7,564,529        —          7,564,529  

Foreign Corporate Bonds & Notes

      —          3,342,053        —          3,342,053  

Common Stocks:

                   

Industrial Conglomerates

      —          236,098        —          236,098  

Oil, Gas & Consumable Fuels

      —          —          218,233        218,233  

Other Industries

      —          352        —          352  

Warrants

      —          —          970        970  

Escrows and Litigation Trusts

      —          —          0        0  

Short-Term Investment Securities

      5,327,028        —          —          5,327,028  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments at Value

    $ 5,327,028      $ 147,002,939      $ 819,682      $ 153,149,649  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:@

            

Forward Foreign Currency Contracts

    $ —        $ 331      $ —        $ 331  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES:

            

Other Financial Instruments:@

            

Forward Foreign Currency Contracts

    $ —        $ 91,672      $ —        $ 91,672  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

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 material Level 3 transfers during the reporting period.    

See Notes to Portfolio of Investments

NOTES TO PORTFOLIO OF INVESTMENTS — September 30, 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 September 30, 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 3. Unfunded Loan Commitments

At September 30, 2020, the Fund had the following unfunded loan commitments which could be extended at the option of the Borrower:

 

            Maturity      Principal         

Borrower

    Type      Date      Amount      Value  

Eyecare Partners LLC

      Delayed Draw        02/18/2027      $ 137,162      $ 129,904  

MED ParentCo LP

      Delayed Draw        08/31/2026        48,708        45,688  

Pathway Vet Alliance LLC

      Delayed Draw        03/31/2027        19,919        19,582  

Pro Mach Group, Inc.

      Delayed Draw        03/07/2025        86,692        88,860  

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 Excahnge Commission’s website at www.sec.gov.