NPORT-EX 2 NPORT_2C53_1439459875.htm HTML

AIG Senior Floating Rate Fund

PORTFOLIO OF INVESTMENTS—March 31, 2021

 

 

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)-86.3%

                  

Aerospace & Defense-0.7%

                  

Spirit AeroSystems Inc.

     BTL-B       Ba2       BB-        6.00     1 ML+5.25%      01/15/2025       139,650       139,999  

TransDigm Group, Inc.

     BTL-F       Ba3       B+        2.36     1 ML+2.25%      12/09/2025       856,813       838,119  
                 

 

 

  
                    978,118  
                 

 

 

  

Airlines-0.9%

                  

JetBlue Airways Corp

     BTL       Ba2       B+        6.25     3 ML+5.25%      06/17/2024       187,688       192,028  

Mileage Plus Holdings LLC

     BTL-B       Baa3       NR        6.25     3 ML+5.25%      06/21/2027       375,000       398,125  

SkyMiles IP Ltd

     BTL-B       Baa1       NR        4.75     3 ML+3.75%      10/20/2027       635,000       666,036  
                 

 

 

  
                    1,256,189  
                 

 

 

  

Auto Components-2.0%

                  

Adient US LLC

     BTL-B       Ba3       BB-        4.36     1 ML+4.25%      05/06/2024       421,188       420,662  

Adient US LLC

     BTL-B       Ba3       BB-        4.44     3 ML+4.25%      05/06/2024       143,750       143,569  

Clarios Global LP(9)

     BTL-B       NR       NR        3.25     1 ME+3.25%      04/30/2026       EUR 483,376       563,470  

Clarios Global LP

     BTL-B       Ba3       BB        3.36     1 ML+3.25%      04/30/2026       483,609       480,788  

First Brands Group LLC

     BTL-B       B2       B        8.50     3 ML+7.50%      02/02/2024       677,542       688,382  

First Brands Group LLC

     2nd Lien       B2       B        TBD          03/22/2028       390,000       386,100  

Truck Hero, Inc.

     BTL-B       B2       B-        4.50     1 ML+3.75%      01/31/2028       215,000       214,578  
                 

 

 

  
                    2,897,549  
                 

 

 

  

Building Products-1.1%

                  

Cornerstone Building Brands, Inc.

     BTL-B       B1       B+        TBD          04/12/2028       208,753       207,840  

CP Atlas Buyer, Inc.

     BTL-B       B2       B-        4.25     3 ML+3.75%      11/23/2027       445,000       441,732  

NCI Building Systems, Inc.

     BTL-B       B1       B+        3.86     1 ML+3.75%      04/12/2025       251,322       250,631  

Watlow Electric Manufacturing Co.

     BTL-B       B2       B        TBD          03/02/2028       265,000       264,504  

Wilsonart LLC

     BTL-D       B3       CCC+        4.25     3 ML+3.25%      12/19/2023       512,637       511,448  
                 

 

 

  
                    1,676,155  
                 

 

 

  

Capital Markets-1.1%

                  

Deerfield Dakota Holding LLC

     BTL-B       B2       B-        4.75     1 ML+3.75%      04/09/2027       595,749       595,749  

NFP Corp.

     BTL       B1       B        3.36     1 ML+3.25%      02/15/2027       666,625       655,931  

PAI Holdco, Inc.

     BTL-B       B1       B        5.00     3 ML+4.00%      10/28/2027       345,000       345,863  
                 

 

 

  
                    1,597,543  
                 

 

 

  

Chemicals-3.7%

                  

American Airlines, Inc.

     BTL       Ba2       NR        TBD          04/20/2028       505,000       516,092  

ASP Unifrax Holdings, Inc.

     BTL-B1       Caa1       CCC+        3.95     3 ML+3.75%      12/12/2025       249,030       235,645  

ASP Unifrax Holdings, Inc.

     BTL-B2       Caa3       CCC        8.68     3 ML+8.50%      12/14/2026       375,000       343,125  

Diamond (BC) BV

     BTL       Ba3       B        3.11     1 ML+3.00%      09/06/2024       885,263       880,006  

Diamond (BC) BV(9)

     BTL       B2       B-        3.25     1 ME+3.25%      09/06/2024       EUR 220,606       258,188  

Hexion, Inc.

     BTL       Ba3       B+        3.74     3 ML+3.50%      07/01/2026       387,718       387,476  

Ineos Styrolution US Holdings LLC

     BTL-B       B2       B        TBD          01/29/2026       255,000       253,853  

Messer Industries GmbH

     BTL-B1       Ba2       BB        2.70     3 ML+2.50%      03/01/2026       395,086       391,629  

NIC Acquistion Corp.

     BTL       B3       B        4.50     6 ML+3.75%      12/29/2027       240,000       238,650  

SCIH Salt Holdings, Inc.

     BTL-B       B3       B        5.50     3 ML+4.50%      03/16/2027       398,000       398,166  

Tronox Finance LLC

     BTL-B       Ba3       BB-        2.61     1 ML+2.50%      03/13/2028       275,893       274,169  

Tronox Finance LLC

     BTL-B       Ba3       BB-        2.68     3 ML+2.50%      03/13/2028       376,217       373,865  

U.S. Coating Acquisition, Inc.

     BTL-B2       Ba1       BBB-        2.00     3 ML+1.75%      06/01/2024       389,410       387,324  

WR Grace & Co.

     BTL-B1       Ba2       BBB-        1.95     3 ML+1.75%      04/03/2025       180,938       179,242  

WR Grace & Co.

     BTL-B2       Ba2       BBB-        1.95     3 ML+1.75%      04/03/2025       310,974       308,058  
                 

 

 

  
                    5,425,488  
                 

 

 

  

Commercial Services & Supplies-3.7%

                  

Amentum Government Services Holdings LLC

     BTL-B       B1       B        3.61     1 ML+3.50%      01/29/2027       530,988       524,350  

Amentum Government Services Holdings LLC

     BTL-B       B1       B        5.50     3 ML+4.75%      01/29/2027       400,000       399,500  

APX Group, Inc.

     BTL       B3       B-        5.11     1 ML+5.00%      12/31/2025       632,456       631,666  

APX Group, Inc.

     BTL       B3       B-        7.25     USFRBPLR+4.00%      12/31/2025       421       420  

AVSC Holding Corp.(15)

     BTL-B1       Caa2       CCC        0.01-4.50     3 ML+3.50%      03/03/2025       398,799       352,937  

Brickman Group, Ltd.

     BTL-B       B1       BB-        2.61     1 ML+2.50%      08/15/2025       991,377       985,181  

Clean Harbors, Inc.

     BTL       Ba1       BBB-        1.86     1 ML+1.75%      06/28/2024       532,243       532,243  

Ensemble RCM LLC

     BTL       B2       B        3.96     3 ML+3.75%      08/03/2026       274,304       273,618  

Filtration Group Corporation

     BTL       B3       B        4.50     1 ML+3.75%      03/29/2025       368,150       367,506  

Verisure Holdings AB(9)

     BTL-B       B1       B-        3.50     6 ME+3.50%      07/20/2026       EUR 600,000       701,275  

Verisure Holdings AB

     BTL       Ba2       BB-        TBD          01/15/2028       EUR 600,000       700,762  
                 

 

 

  
                    5,469,458  
                 

 

 

  

Construction & Engineering-1.5%

                  

Brand Energy & Infrastructure Services, Inc.

     1st Lien       B3       B-        5.25     3 ML+4.25%      06/21/2024       990,537       973,667  

Power Buyer LLC

     BTL       B3       B-        4.25     3 ML+3.25%      03/06/2025       605,773       599,337  

Power Buyer LLC

     2nd Lien       Caa2       CCC        8.25     3 ML+7.25%      03/06/2026       585,000       568,547  
                 

 

 

  
                    2,141,551  
                 

 

 

  

Construction Materials-1.3%

                  

Quikrete Holdings, Inc.

     BTL       Ba3       BB-        2.61     1 ML+2.50%      02/01/2027       991,298       983,638  

Summit Materials LLC

     1st Lien       Ba1       BBB-        2.11     1 ML+2.00%      11/21/2024       880,425       876,390  
                 

 

 

  
                    1,860,028  
                 

 

 

  

Containers & Packaging-2.8%

                  

Berlin Packaging LLC (Wolfpack Borrower)

     BTL-B1       B3       B-        3.12     1 ML+3.00%      11/07/2025       514,864       505,082  

Flex Acquisition Company Inc.

     BTL       B2       B        4.00     1 ML+3.50%      02/23/2028       606,216       598,165  

Pods, LLC

     BTL-B       B2       B        TBD          03/31/2028       310,000       308,321  

Pregis TopCo LLC

     BTL       B2       B-        5.00     1 ML+4.25%      08/01/2026       300,000       300,000  

Proampac PG Borrower LLC

     BTL       B2       B-        5.00     3 ML+4.00%      11/03/2025       392,699       392,011  

Proampac PG Borrower LLC

     BTL       B2       B-        5.00     1 ML+4.00%      11/03/2025       473,818       472,989  

Reynolds Group Holdings, Inc.

     BTL       B1       B+        2.86     1 ML+2.75%      02/05/2023       191,667       191,008  

Tosca Services LLC

     BTL       B2       B        4.25     1 ML+3.50%      08/18/2027       663,300       661,365  

Tricorbraun Holdings, Inc.(6)

    
 Delayed
Draw		  
 		     B2       B-        TBD          03/03/2028       127,621       126,364  

Tricorbraun Holdings, Inc.

     BTL       B2       B-        TBD          03/03/2028       567,380       561,794  
                 

 

 

  
                    4,117,099  
                 

 

 

  

Diversified Consumer Services-1.1%

                  

Belron Finance US LLC

     BTL-B       Ba3       BB+        2.45     3 ML+2.25%      11/13/2025       586,500       582,834  

Belron Finance US LLC

     BTL-B       Ba3       BB+        2.46     3 ML+2.25%      10/30/2026       148,125       147,014  

Signal Parent, Inc.

     BTL-B       B1       B        TBD          03/25/2028       450,000       446,625  

Weight Watchers International, Inc.

     BTL-B       Ba2       BB        5.50     1 ML+4.75%      11/29/2024       421,048       421,048  
                 

 

 

  
                    1,597,521  
                 

 

 

  

Diversified Financial Services-2.5%

                  

EVO Payments International LLC

     BTL       B2       B        3.36     1 ML+3.25%      12/22/2023       910,472       908,196  

Millennium Trust Company, LLC (Minotaur Acquisition, Inc.)

     BTL-B       B2       B        5.11     1 ML+5.00%      03/27/2026       416,500       415,459  

MPH Acquisition Holdings LLC

     BTL-B       Ba3       B+        3.75     3 ML+2.75%      06/07/2023       700,631       696,491  

Nets Holding AS(9)

     BTL-B       B1       B        3.25     3 ME+3.25%      02/06/2025       EUR 798,159       933,922  

Trans Union LLC

     BTL-B5       Ba2       BBB-        1.86     1 ML+1.75%      11/16/2026       409,233       406,164  

Verscend Holding Corp.

     BTL-B       B2       B+        TBD          08/27/2025       327,590       326,771  
                 

 

 

  
                    3,687,003  
                 

 

 

  

Diversified Telecommunication Services-3.2%

                  

Altice France SA

     BTL       B1       B        3.79     1 ML+3.69%      01/31/2026       987,613       976,997  

Consolidated Communications Inc

     BTL-B       B2       B+        5.75     1 ML+4.75%      10/02/2027       149,941       149,866  

EG Group LTD

     BTL       Ba3       B        TBD          03/10/2026       240,000       237,400  

EG Group LTD

     2nd Lien       B2       B        TBD          04/10/2027       EUR 350,000       403,673  

Frontier Communications Corp.

     BTL       B3       B+        5.75     1 ML+4.75%      10/08/2021       560,000       559,650  

Lorca Finco PLC(9)

     BTL-B2       B1       B        4.25     6 ME+4.25%      09/17/2027       EUR 845,000       991,179  

MTN Infrastructure TopCo, Inc.

     BTL       B2       B        4.00     1 ML+3.00%      11/15/2024       989,956       986,449  

Telenet Financing USD LLC

     BTL-AR       B1       BB-        2.11     1 ML+2.00%      04/30/2028       370,000       364,855  
                 

 

 

  
                    4,670,069  
                 

 

 

  

Electric Utilities-0.2%

                  

Exgen Renewables IV LLC

     BTL       Ba3       BB-        3.75     3 ML+2.75%      12/15/2027       279,300       279,649  
                 

 

 

  

Electronic Equipment, Instruments & Components-0.7%

                  

Avantor, Inc.

     BTL-B3       Ba1       BB+        3.25     1 ML+2.25%      11/21/2024       107,705       107,679  

Avantor, Inc.

     BTL-B4       Ba1       BB+        3.25     1 ML+2.25%      11/08/2027       683,288       682,946  

Lifescan Global Corporation

     BTL-B       B3       B        6.24     3 ML+6.00%      10/01/2024       203,578       197,047  
                 

 

 

  
                    987,672  
                 

 

 

  

Energy Equipment & Services-0.3%

                  

Concorde Midco LTD

     BTL-B       B2       NR        TBD          03/01/2028       EUR 315,000       368,708  

Philadelphia Energy Solutions LLC†(5)(10)(11)(13)

     BTL-C       NR       NR        11.24     USFRBPLR+6.99%      12/31/2022       849,840       10,623  

Seadrill Partners Finco LLC(17)

     BTL       NR       NR        9.00-13.00     1 ML+6.00%      02/21/2022       990       1,060  
                 

 

 

  
                    380,391  
                 

 

 

  

Entertainment-2.6%

                  

Crown Finance US, Inc.(9)

     BTL       Caa2       CCC        2.63     6 ME+2.63%      02/28/2025       131,410       128,484  

Crown Finance US, Inc.

     BTL       Caa2       CCC        3.50     6 ML+2.50%      02/28/2025       580,738       494,287  

Crown Finance US, Inc.

     BTL-B1       B3       B-        TBD          05/23/2024       179,204       226,334  

Delta 2 (Lux) SARL

     BTL-B       Ba3       BB-        3.50     1 ML+2.50%      02/01/2024       850,951       840,550  

NAI Entertainment Holdings LLC

     BTL-B       B3       B+        3.50     1 ML+2.50%      05/08/2025       412,000       400,928  

Nascar Holdings, Inc.

     BTL-B       Ba3       BB        2.86     1 ML+2.75%      10/19/2026       218,400       216,871  

Playtika Holding Corp

     BTL       Ba2       BB        TBD          03/13/2028       380,000       377,557  

UFC Holdings LLC

     BTL-B       B2       B        3.75     6 ML+3.00%      04/29/2026       947,450       943,108  

William Morris Endeavor Entertainment LLC

     BTL-B1       B2       B        2.94     3 ML+2.75%      05/18/2025       294,027       276,845  
                 

 

 

  
                    3,904,964  
                 

 

 

  

Food & Staples Retailing-1.1%

                  

Bellis Acquisition Company

     BTL-B       B1       NR        TBD          02/12/2026       EUR 325,000       380,254  

U.S. Foods, Inc.

     BTL-B       B3       BB-        1.86     1 ML+1.75%      06/27/2023       764,868       754,131  

U.S. Foods, Inc.

     BTL-B       B3       BB-        2.11     1 ML+2.00%      09/13/2026       531,900       520,763  
                 

 

 

  
                    1,655,148  
                 

 

 

  

Food Products-2.5%

                  

Atkins Nutritionals, Inc.

     BTL-B       B1       BB-        4.75     1 ML+3.75%      07/07/2024       403,261       403,513  

Bellring Brands LLC

     BTL-B       B2       B+        4.75     1 ML+4.00%      10/21/2024       147,899       148,823  

CHG PPC Parent LLC

     BTL-B       B2       B        2.86     1 ML+2.75%      03/31/2025       418,175       411,902  

Froneri International PLC

     BTL       Caa2       CCC        2.36     1 ML+2.25%      01/29/2027       645,125       635,549  

Froneri International PLC(9)

     BTL       B1       B+        2.63     6 ME+2.63%      01/29/2027       EUR 700,000       810,321  

Froneri International PLC(9)

     2nd Lien       B3       B-        5.75     6 ME+5.75%      01/31/2028       EUR 100,000       118,052  

Froneri International PLC

     2nd Lien       B1       B+        5.86     1 ML+5.75%      01/31/2028       100,000       100,938  

Hostess Brands LLC

     BTL       B1       BB-        3.00     3 ML+2.25%      08/03/2025       576,527       572,820  

Hostess Brands LLC

     BTL       B1       BB-        3.00     1 ML+2.25%      08/03/2025       216,205       214,815  

Utz Quality Foods LLC

     BTL-B       B1       B        3.11     1 ML+3.00%      01/20/2028       319,200       318,573  
                 

 

 

  
                    3,735,306  
                 

 

 

  

Health Care Equipment & Supplies-0.1%

                  

CPI Holdco LLC

     BTL       B2       B        TBD          11/04/2026       99,748       99,773  
                 

 

 

  
                 

Health Care Providers & Services-6.9%

                  

ADMI Corp

     BTL-B2       B2       B        3.75     1 ML+3.25%      12/23/2027       635,000       628,738  

Biogroup LCD

     BTL-B       B1       B+        TBD          01/28/2028       EUR 710,000       826,967  

Cano Health LLC(6)

     Delayed Draw       B3       B-        4.75          11/19/2027       187,023       186,789  

Cano Health LLC

     BTL       B3       B-        5.50     3 ML+4.75%      11/19/2027       511,695       511,055  

Catalent Pharma Solutions, Inc.

     BTL-B3       Ba1       BBB-        2.50     1 ML+2.00%      02/22/2028       574,763       574,403  

Change Healthcare Holdings, Inc.

     BTL-B       B1       B+        3.50     1 ML+2.50%      03/01/2024       317,739       317,183  

Change Healthcare Holdings, Inc.

     BTL-B       B1       B+        3.50     3 ML+2.50%      03/01/2024       534,059       533,124  

Dental Corp of Canada Inc

     2nd Lien       B2       B-        8.50     1 ML+7.50%      06/06/2026       200,000       199,250  

Dental Corp. Perfect Smile ULC

     1st Lien       Ba3       BB-        4.75     1 ML+3.75%      06/06/2025       743,846       736,639  

DuPage Medical Group, Ltd.

     BTL       NR       NR        3.50     1 ML+2.75%      08/15/2024       405,147       402,363  

Elsan SAS

     BTL-B       B2       B-        TBD          02/05/2028       EUR 380,000       444,084  

Envision Healthcare Corp.

     BTL       Caa1       CCC        3.86     1 ML+3.75%      10/10/2025       351,884       302,376  

eResearchTechnology, Inc.

     BTL       B2       B-        TBD          02/04/2027       134,660       134,639  

Eyecare Partners LLC

     BTL       B2       B        3.86     1 ML+3.75%      02/18/2027       718,790       710,318  

Gentiva Health Services, Inc.

     BTL       B1       B        2.88     1 ML+2.75%      07/02/2025       863,470       857,354  

Horizon Therapeutics USA, Inc.

     BTL-B       Ba1       BB+        TBD          03/15/2028       615,000       612,694  

MED ParentCo LP

     Delayed Draw       B2       B-        4.25-4.36          08/31/2026       161,372       159,718  

MED ParentCo LP

     1st Lien       B2       B-        4.36     1 ML+4.25%      08/31/2026       803,502       795,267  

MED ParentCo LP

     BTL-B       NR       NR        TBD          08/31/2026       159,598       159,997  

Pathway Vet Alliance LLC

     BTL       B2       B        3.86     1 ML+3.75%      03/31/2027       262,454       260,908  

Surgery Center Holdings, Inc.

     1st Lien       B2       B-        4.25     1 ML+3.25%      09/03/2024       409,106       404,796  

Surgery Center Holdings Inc

     BTL       B2       B-        9.00     1 ML+8.00%      09/03/2024       470,250       474,953  
                 

 

 

  
                    10,233,615  
                 

 

 

  

Health Care Technology-0.1%

                  

athenahealth Inc

     BTL       B2       B        4.45     3 ML+4.25%      02/11/2026       155,000       155,129  
                 

 

 

  

Hotels, Restaurants & Leisure-4.3%

                  

8th Avenue Food & Provisions, Inc.

     BTL       B2       B-        3.61     1 ML+3.50%      10/01/2025       415,438       414,399  

8th Avenue Food & Provisions, Inc.

     2nd Lien       Caa1       CCC        7.86     1 ML+7.75%      10/01/2026       270,000       266,625  

Aramark Services, Inc.

     BTL-B1       Ba2       BB+        1.86     1 ML+1.75%      03/11/2025       596,904       588,803  

Boyd Gaming Corp.

     BTL-B       Ba3       BB        2.33     1 WL+2.25%      09/15/2023       618,430       616,533  

Caesars Resort Collection LLC

     BTL-B       B1       B+        2.86     1 ML+2.75%      12/23/2024       989,828       973,249  

Caesars Resort Collection LLC

     BTL       B1       B+        4.61     1 ML+4.50%      07/21/2025       840,775       841,406  

Carnival Corp

     BTL-B       B1       B+        8.50     1 ML+7.50%      06/30/2025       461,513       475,358  

CityCenter Holdings LLC

     BTL-B       B2       B+        3.00     1 ML+2.25%      04/18/2024       493,544       486,895  

Golden Entertainment, Inc.

     BTL-B       B1       B+        3.75     1 ML+3.00%      10/21/2024       250,875       247,530  

IRB Holding Corp

     BTL       B2       B        4.25     3 ML+3.25%      12/15/2027       482,575       481,024  

IRB Holding Corp

     BTL       B2       B        4.25     1 ML+3.25%      12/15/2027       1,213       1,209  

Penn National Gaming, Inc.

     BTL-B1       B1       BB-        3.00     1 ML+2.25%      10/15/2025       617,310       613,529  

Station Casinos LLC

     BTL-B       B1       BB-        2.50     1 ML+2.25%      02/08/2027       404,594       397,694  
                 

 

 

  
                    6,404,254  
                 

 

 

  

Household Durables-0.6%

                  

Installed Building Products, Inc.

     BTL-B       Ba2       BB+        2.36     1 ML+2.25%      04/15/2025       500,000       493,750  

Weber-Stephen Products LLC

     BTL-B       B1       B        4.00     1 ML+3.25%      10/30/2027       443,888       443,240  
                 

 

 

  
                    936,990  
                 

 

 

  

Household Products-0.3%

                  

Prestige Brands, Inc.

     BTL-B4       Ba2       BB        2.11     1 ML+2.00%      01/26/2024       167,498       167,319  

Reynolds Consumer Products, Inc.

     BTL       Ba1       BBB-        1.86     1 ML+1.75%      02/04/2027       321,452       319,724  
                 

 

 

  
                    487,043  
                 

 

 

  

Industrial Conglomerates-0.1%

                  

Ameriforge Group, Inc.(16)

     BTL       NR       NR        5.00-14.00     3 ML+8.00%      12/31/2023       109,069       63,260  

UTEX Industries Inc.(12)

     BTL       NR       NR        5.25-11.00     1 ML+5.25%      12/03/2025       16,688       16,020  
                 

 

 

  
                    79,280  
                 

 

 

  

Insurance- 4.6%

                  

Acrisure LLC

     BTL-B       B2       B        3.70     3 ML+3.50%      02/15/2027       625,084       616,752  

Asurion LLC

     BTL-B6       Ba3       B+        3.11     1 ML+3.00%      11/03/2023       337,383       336,276  

Asurion LLC

     BTL-B7       Ba3       B+        3.11     1 ML+3.00%      11/03/2024       500,788       498,597  

Asurion LLC

     BTL-B8       Ba3       B+        3.36     1 ML+3.25%      12/23/2026       539,005       535,187  

Asurion LLC

     BTL-B3       B3       B        5.36     1 ML+5.25%      01/31/2028       720,000       732,420  

Compass Investments, Inc.

    BTL-B       B2       B        3.20     3 ML+3.00%      05/16/2024       1,063,023       1,049,926  

Hub International, Ltd.

     BTL-B1       B2       B        2.97     3 ML+2.75%      04/25/2025       957,913       943,629  

Hyperion Insurance Group Ltd.

     BTL-B       B3       B-        4.75     1 ML+3.75%      11/12/2027       119,630       119,556  

Hyperion Insurance Group Ltd.

     Delayed Draw       NR       NR        4.75     1 ML+3.75%      11/12/2027       144,407       144,316  

Ryan Specialty Group LLC

     BTL       B1       B        4.00     1 ML+3.25%      09/01/2027       268,650       268,202  

Sedgwick Claims Management Services, Inc.

     BTL-B       B2       B        3.36     1 ML+3.25%      12/31/2025       1,321,245       1,301,220  

Sedgwick Claims Management Services, Inc.

     BTL-B3       NR       NR        3.36     1 ML+3.25%      09/03/2026       233,825       236,163  
                 

 

 

  
                    6,782,244  
                 

 

 

  

Internet & Direct Marketing Retail-1.1%

                  

Go Daddy Operating Co. LLC

     BTL-B1       Ba1       BB        1.86     1 ML+1.75%      02/15/2024       391,698       388,494  

MH Sub I LLC

     BTL       B2       B        4.75     1 ML+3.75%      09/13/2024       471,885       467,683  

Rodan & Fields, LLC

     BTL       Caa2       B-        4.11     1 ML+4.00%      06/16/2025       352,998       297,401  

Shutterfly, Inc.

     BTL-B       B2       B-        7.00     3 ML+6.00%      09/25/2026       460,556       460,844  
                 

 

 

  
                    1,614,422  
                 

 

 

  

IT Services-4.0%

                  

Blackhawk Network Holdings, Inc.

     BTL-B       B1       B-        3.11     1 ML+3.00%      06/15/2025       796,759       783,954  

CCC Information Services, Inc.

     1st Lien       B3       B-        4.00     1 ML+3.00%      04/29/2024       896,853       895,358  

Endure Digital, Inc.

     BTL       B2       B        TBD          02/10/2028       845,000       840,775  

Peraton Corp.

     BTL-B       B1       B        TBD          02/01/2028       199,282       198,950  

Peraton Corp.(6)

     BTL-B       B1       B        TBD          02/01/2028       350,717       350,132  

Tempo Acquisition LLC

     BTL-B       B1       B        3.75     1 ML+3.25%      11/02/2026       970,590       969,620  

WEX, Inc.

     BTL-B3       Ba2       BB-        2.36     1 ML+2.25%      05/15/2026       1,004,421       999,579  

WEX, Inc.

     BTL       NR       NR        2.36     1 ML+2.25%      03/31/2028       860,000       856,775  
                 

 

 

  
                    5,895,143  
                 

 

 

  

Leisure Products-0.5%

                  

Hayward Industries, Inc.

     1st Lien       B3       B+        3.61     1 ML+3.50%      08/05/2024       332,406       331,741  

SRAM LLC

     BTL-B       B1       BB-        3.75     3 ML+2.75%      03/15/2024       403,578       403,578  

SRAM LLC

     BTL-B       B1       BB-        3.75     1 ML+2.75%      03/15/2024       39,745       39,745  
                 

 

 

  
                    775,064  
                 

 

 

  

Life Sciences Tools & Services-0.3%

                  

PPD, Inc.

     BTL       Ba2       BB-        2.75     1 ML+2.25%      01/13/2028       420,000       417,769  
                 

 

 

  

Machinery-2.8%

                  

Alliance Laundry Systems LLC

     BTL-B       B2       B        4.25     3 ML+3.50%      10/08/2027       413,963       412,669  

Altra Industrial Motion Corp.

     BTL-B       Ba2       BB-        2.11     1 ML+2.00%      10/01/2025       415,294       412,179  

Fluidra SA

     BTL-B       B2       B        2.11     1 ML+2.00%      07/02/2025       370,194       366,492  

Ingersoll-Rand Company Ltd.(9)

     BTL-B       NR       NR        2.00     1 ME+2.00%      03/01/2027       EUR 501,951       586,431  

Navistar International Corp.

     BTL-B       Ba2       BB-        3.62     1 ML+3.50%      11/06/2024       536,721       536,318  

Vertical US Newco Inc.

     BTL-B       B1       BB-        4.48     6 ML+4.25%      07/30/2027       721,380       722,281  

Welbilt Inc

     BTL-B       B3       CCC+        2.61     1 ML+2.50%      10/23/2025       500,000       478,750  

WireCo WorldGroup, Inc.

     1st Lien       B2       B+        5.20     3 ML+5.00%      09/30/2023       592,695       575,655  
                 

 

 

  
                    4,090,775  
                 

 

 

  

Media-6.2%

                  

Banijay Group US Holding Inc

     BTL       B1       B        3.85     1 ML+3.75%      03/01/2025       422,875       418,294  

Banijay Group US Holding Inc

     BTL       B1       B        TBD          03/01/2025       EUR 170,000       198,815  

Charter Communications Operating LLC

     BTL-B2       Ba1       BBB-        1.86     1 ML+1.75%      02/01/2027       642,526       638,751  

CSC Holdings, Inc.

     BTL-B5       Ba3       BB        2.61     1 ML+2.50%      04/15/2027       500,377       493,944  

CSC Holdings, Inc. (Neptune)

     BTL-B       Ba3       BB        2.36     1 ML+2.25%      07/17/2025       491,477       483,736  

E.W. Scripps Co.

     BTL-B2       Ba3       BB-        3.31     1 ML+2.56%      05/01/2026       627,248       622,768  

Gray Television, Inc.

     BTL-C       Ba2       BB        2.62     1 ML+2.50%      01/02/2026       1,007,627       999,440  

Houghton Mifflin Harcourt Publishing Company

     BTL-B       Caa1       B        7.25     1 ML+6.25%      11/22/2024       468,750       466,406  

NEP Group, Inc.

     BTL       Caa1       B        3.36     1 ML+3.25%      10/20/2025       517,209       500,939  

NEP Group, Inc.

     2nd Lien       Caa3       CCC        7.11     1 ML+7.00%      10/19/2026       595,000       545,913  

Nexstar Broadcasting, Inc.

     BTL-B4       Ba3       BB        2.62     1 ML+2.50%      09/18/2026       750,393       744,095  

Nielsen Fianance LLC

     BTL-B5       Ba1       BBB-        4.75     1 ML+3.75%      06/04/2025       78,254       78,391  

Radiate Holdco LLC

     BTL       B1       B        4.25     1 ML+3.50%      09/25/2026       259,350       258,967  

UPC Broadband Holding BV(9)

     BTL-B2       B1       BB-        3.50     6 ME+3.50%      01/31/2029       EUR 150,000       176,052  

UPC Broadband Holding BV(9)

     BTL-B1       B1       BB-        3.50     6 ME+3.50%      01/31/2029       EUR 150,000       176,052  

UPC Broadband Holding BV

     BTL-B2       B3       B-        3.61     1 ML+3.50%      01/31/2029       435,000       433,447  

UPC Broadband Holding BV

     BTL-B1       B1       BB-        3.61     1 ML+3.50%      01/31/2029       435,000       433,447  

Virgin Media Bristol LLC

     BTL-Q       Ba3       BB        TBD          01/31/2029       480,000       478,714  

Ziggo Secured Finance Partnership

     BTL-I       B1       BB-        2.61     1 ML+2.50%      04/30/2028       1,000,000       988,889  
                 

 

 

  
                    9,137,060  
                 

 

 

  

Metals & Mining-0.7%

                  

American Rock Salt Co. LLC

     1st Lien       B2       B        4.50     1 ML+3.50%      03/21/2025       990,209       991,447  
                 

 

 

  

Oil, Gas & Consumable Fuels-1.6%

                  

BCP Renaissance Parent LLC

     BTL       B2       B        4.50     3 ML+3.50%      10/31/2024       287,090       280,477  

Grizzly Acquisition, Inc. (Northriver Midstream Finance)

     BTL       Caa2       CCC        3.49     3 ML+3.25%      10/01/2025       592,260       583,376  

Medallion Midland Acquisition LLC

     1st Lien       B2       B-        4.25     1 ML+3.25%      10/30/2024       694,702       681,242  

Oryx Midstream Services LLC

     BTL-B       B2       B-        4.11     1 ML+4.00%      05/22/2026       568,655       554,084  

Traverse Midstream Partners LLC

     BTL-B       B3       B        6.50     1 ML+5.50%      09/27/2024       274,783       272,722  
                 

 

 

  
                    2,371,901  
                 

 

 

  

Personal Products-0.2%

                  

Revlon Consumer Products Corp.(5)

     BTL       Ca       CC        4.25     3 ML+3.50%      09/07/2023       753,971       354,366  

Revlon Consumer Products Corp.(5)

     BTL       Ca       CC        4.50     2 ML+3.50%      09/07/2023       1,168       549  
                 

 

 

  
                    354,915  
                 

 

 

  

Pharmaceuticals-2.8%

                  

Elanco Animal Health Inc

     BTL-B       Baa3       BB+        1.87     1 ML+1.75%      08/02/2027       762,563       751,805  

Endo Luxembourg Finance Co. I SARL

     BTL-B       NR       NR        5.00     3 ML+4.25%      04/29/2024       302,369       301,764  

Endo Luxembourg Finance Co. I SARL

     BTL       B2       B+        TBD          03/27/2028       197,000       194,948  

Milano Acquisition Corp

     BTL-B       B2       B+        4.75     3 ML+4.00%      10/01/2027       693,263       689,507  

Packaging Coordinators Midco Inc.

     BTL       B2       B-        4.50     3 ML+3.75%      11/30/2027       380,000       379,525  

Valeant Pharmaceuticals International, Inc.

     BTL       Ba2       BB        2.86     1 ML+2.75%      11/27/2025       916,544       910,992  

Valeant Pharmaceuticals International, Inc.

     BTL       B1       B        3.11     1 ML+3.00%      06/02/2025       926,551       922,810  
                 

 

 

  
                    4,151,351  
                 

 

 

  

Professional Services-1.5%

                  

AlixPartners LLP

     BTL-B       B1       B+        3.25     1 ML+2.75%      02/04/2028       1,235,000       1,229,682  

Dun & Bradstreet Corporation

     BTL       B1       B+        3.36     1 ML+3.25%      02/06/2026       998,053       991,971  
                 

 

 

  
                    2,221,653  
                 

 

 

  

Real Estate Investment Trusts-0.6%

 

                

VICI Properties 1 LLC

     BTL       Ba2       BBB-        1.86     1 ML+1.75%      12/20/2024       853,864       843,368  
                 

 

 

  

Real Estate Management & Development-0.2%

 

                

Apleona Group

     BTL-B       Ba2       NR        TBD          02/12/2028       EUR215,000       251,365  
                 

 

 

  

Road & Rail-0.8%

                  

Boels Top Holding BV(9)

     BTL-B       Ba3       BB+        4.00     3 ME+4.00%      02/06/2027       EUR605,000       709,927  

Fly Funding II SARL

     BTL-B       B2       B+        1.95     3 ML+1.75%      08/11/2025       498,151       486,320  
                 

 

 

  
                    1,196,247  
                 

 

 

  

Semiconductors & Semiconductor Equipment-0.1%

 

              

Entegris, Inc.

     BTL-B       Baa3       BBB-        2.11     1 ML+2.00%      11/06/2025       211,196       210,866  
                 

 

 

  

Software-7.8%

                  

Almonde, Inc.

     BTL-B       B2       CCC+        4.50     3 ML+3.50%      06/13/2024       490,218       479,750  

Almonde, Inc.

     BTL       Caa2       CCC-        8.25     6 ML+7.25%      06/13/2025       230,000       230,986  

BY Crown Parent LLC

     BTL-B1       B1       B-        4.00     1 ML+3.00%      02/02/2026       398,432       397,934  

Ceridian HCM Holding, Inc.

     BTL-B       B1       B+        2.58     1 WL+2.50%      04/30/2025       570,535       561,799  

Dcert Buyer, Inc.

     BTL-B       B2       B-        4.11     1 ML+4.00%      10/16/2026       654,597       652,960  

E2Open LLC

     BTL-B       B2       B        4.00     3 ML+3.50%      10/29/2027       490,000       488,775  

Emerald Topco, Inc.

     BTL       B2       B        3.71     3 ML+3.50%      07/24/2026       438,325       434,901  

Epicor Software Corp

     BTL       B2       B-        4.00     1 ML+3.25%      07/30/2027       1,082,468       1,078,747  

Epicor Software Corp

     2nd Lien       Caa2       CCC        8.75     1 ML+7.75%      07/31/2028       240,000       247,600  

Hyland Software, Inc.

     BTL       B1       B-        4.25     1 ML+3.50%      07/01/2024       1,432,662       1,430,074  

Hyland Software, Inc.

     2nd Lien       Caa1       CCC        7.75     1 ML+7.00%      07/07/2025       470,800       470,800  

Panther Purchaser LP

     BTL       B3       B-        TBD          01/07/2028       755,000       750,596  

Realpage, Inc.

     1st Lien       B2       B-        3.75     1 ML+3.25%      04/24/2028       860,000       855,341  

SS&C Technologies, Inc.

     BTL-B3       Ba2       BB+        1.86     1 ML+1.75%      04/16/2025       429,608       424,715  

SS&C Technologies, Inc.

     BTL       Ba2       BB+        1.86     1 ML+1.75%      04/16/2025       320,768       317,119  

SS&C Technologies, Inc.

     BTL-B5       Ba2       BB+        1.86     1 ML+1.75%      04/16/2025       748,493       740,073  

UKG, Inc.

     BTL       B1       B-        4.00     3 ML+3.25%      05/04/2026       339,150       338,726  

Ultimate Software Group, Inc.

     BTL-B       B1       B-        3.86     1 ML+3.75%      05/04/2026       669,800       668,405  

Zelis Payments Buyer, Inc.

     BTL       Caa1       B        3.62     1 ML+3.50%      09/30/2026       987,525       982,411  
                 

 

 

  
                    11,551,712  
                 

 

 

  

Specialty Retail-3.5%

                  

Great Outdoors Group LLC

     BTL-B       B1       B+        5.00     6 ML+4.25%      03/06/2028       1,032,413       1,030,691  

Harbor Freight Tools USA, Inc.

     BTL-B       Ba3       BB-        3.75     1 ML+3.00%      10/19/2027       508,515       507,689  

LBM Acquisition LLC

     BTL-B       B2       B        TBD          12/17/2027       473,846       471,329  

LBM Acquisition LLC(6)

     Delayed Draw       B2       B        TBD          12/17/2027       105,299       104,740  

Les Schwab Tire Centers

     BTL-B       B2       B        4.25     6 ML+3.50%      11/02/2027       299,250       299,001  

Michaels Stores, Inc.

     BTL-B       Ba3       B+        4.25     1 ML+3.50%      10/01/2027       439,943       438,843  

Petco Animal Supplies, Inc.

     BTL-B       B2       B        TBD          03/03/2028       510,000       507,632  

PetSmart, Inc.

     BTL-B       B1       BB-        4.50     3 ML+3.75%      02/12/2028       410,000       409,317  

SRS Distribution, Inc.

     BTL-B       B3       B        4.36     1 ML+4.25%      05/23/2025       350,563       348,956  

Staples, Inc.

     BTL       B1       B        5.21     3 ML+5.00%      04/16/2026       497,499       485,528  

White Cap Buyer LLC

     BTL-B       Ba2       BB-        4.50     6 ML+4.00%      10/19/2027       533,663       532,254  
                 

 

 

  
                    5,135,980  
                 

 

 

  

Tech Hardware,Storage & Peripheral-0.2%

 

                

Cardtronics USA, Inc.

     BTL-B       Ba2       BB+        5.00     1 ML+4.00%      06/29/2027       287,825       287,393  
                 

 

 

  

Trading Companies & Distributors-1.5%

 

                

American Builders & Contractors Supply Co., Inc.

     BTL       Ba2       BB+        2.11     1 ML+2.00%      01/15/2027       785,505       779,123  

Beacon Roofing Supply, Inc.

     BTL-B       B2       BB        2.36     1 ML+2.25%      01/02/2025       239,844       238,420  

Foundation Building Materials, Inc.

     BTL       B2       B        TBD          02/03/2028       256,602       253,876  

Foundation Building Materials, Inc.

     Delayed Draw       B2       B        TBD          02/03/2028       148,396       146,818  

HD Supply Waterworks, Ltd.

     BTL-B       B2       B        3.75     3 ML+2.75%      08/01/2024       437,290       435,376  

Univar USA, Inc.

     BTL-B3       Ba3       BB+        2.36     1 ML+2.25%      07/01/2024       413,296       411,333  
                 

 

 

  
                    2,264,946  
                 

 

 

  

Total Loans
(cost $128,829,673)

 

                   127,258,606  
                 

 

 

  

U.S. CORPORATE BONDS & NOTES-4.7%

 

                

Auto Components-0.2%

                  

Clarios Global LP / Clarios US Finance Co.*

    
 Company Guar.
Notes		  
 		     Caa1       CCC+        8.50          05/15/2027       250,000       269,190  
                 

 

 

  

Building Products-0.2%

                  

Advanced Drainage Systems, Inc.*

     Senior Notes       B1       B        5.00          09/30/2027       220,000       230,465  
                 

 

 

  

Construction & Engineering-0.5%

                  

Brand Energy & Infrastructure Services, Inc.*

     Senior Notes       Caa2       CCC        8.50          07/15/2025       250,000       251,950  

PowerTeam Services LLC*

    
 Senior Sec.
Notes		  
 		     B3       B-        9.03          12/04/2025       420,000       466,326  
                 

 

 

  
                    718,276  
                 

 

 

  

Entertainment-0.0%

                  

Cinemark USA Inc.*

    
 Company Guar.
Notes		  
 		     Caa1       B        5.88          03/15/2026       300,000       307,182  
                 

 

 

  

Health Care Providers & Services-0.2%

                  

CHS/Community Health Systems, Inc.*

    
 Senior Sec.
Notes		  
 		     Caa1       B-        4.75          02/15/2031       305,000       297,955  
                 

 

 

  

Hotels, Restaurants & Leisure-0.0%

                  

Boyd Gaming Corp

    
 Company Guar.
Notes		  
 		     Caa1       B        4.75          12/01/2027       250,000       254,808  

Boyd Gaming Corp*

    
 Company Guar.
Notes		  
 		     Caa1       B        8.63          06/01/2025       250,000       278,000  

Caesars Entertainment, Inc.*

     Senior Notes       Caa1       CCC+        8.13          07/01/2027       150,000       165,480  
                 

 

 

  
                    698,288  
                 

 

 

  

Media-0.3%

                  

Houghton Mifflin Harcourt Publishers, Inc.*

     Senior Notes       Caa1       B        9.00          02/15/2025       400,000       428,000  
                 

 

 

  

Oil, Gas & Consumable Fuels-0.8%

 

         

EQM Midstream Partners LP*

       Ba3       BB-        4.75          01/15/2031       330,000       320,100  

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

    
 Company Guar.
Notes		  
 		     Caa2       B-        8.75          04/15/2023       775,000       824,988  
                 

 

 

  
                    1,145,088  
                 

 

 

  

Software-0.4%

 

         

SS&C Technologies, Inc.*

    
 Company Guar.
Notes		  
 		     B2       B+        5.50          09/30/2027       500,000       532,000  
                 

 

 

  

Specialty Retail-0.5%

 

         

BCPE Ulysses Intermediate, Inc.*

     Senior Notes       Caa2       CCC+        7.75          04/01/2027       230,000       238,625  

L Brands, Inc.*

    
 Company Guar.
Notes		  
 		     B2       BB-        6.63          10/01/2030       405,000       458,916  
                 

 

 

  
                    697,541  
                 

 

 

  

Thrifts & Mortgage Finance-0.8%

                  

Freedom Mortgage Corp*

     Senior Notes       B2       B        7.63          05/01/2026       235,000       246,597  

Genworth Mortgage Holdings, Inc.*

     Senior Notes       Ba3       NR        6.50          08/15/2025       245,000       264,752  

Home Point Capital, Inc.*

    
 Company Guar.
Notes		  
 		     B2       n/a        5.00          02/01/2026       425,000       420,750  

LD Holdings Group LLC*

    
 Company Guar.
Notes		  
 		     B2       B+        6.50          11/01/2025       285,000       298,623  
                 

 

 

  
                    1,230,722  
                 

 

 

  

Trading Companies & Distributors-0.2%

                  

Performance Food Group, Inc.*

     Senior Notes       B2       B        5.50          10/15/2027       315,000       329,414  
                 

 

 

  

Total U.S. Corporate Bonds & Notes
(cost $6,533,140)

                     6,884,121  
                 

 

 

  

FOREIGN CORPORATE BONDS & NOTES-2.2%

                  

Airlines-0.1%

                  

Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd*

    
 Senior Sec.
Notes		  
 		     Ba3       NR        5.75          01/20/2026       90,000       95,652  

Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd*

    
 Senior Sec.
Notes		  
 		     Ba3       NR        8.00          09/20/2025       295,000       333,350  
                 

 

 

  
                    429,002  
                 

 

 

  

Containers & Packaging-0.3%

                  

Ardagh Packaging Finance PLC*

    
 Senior Sec.
Notes		  
 		     B1       BB-        4.13          08/15/2026       390,000       400,355  
                 

 

 

  

Hotels, Restaurants & Leisure-0.5%

                  

Carnival Corp*

    
 Senior Sec.
Notes		  
 		     Ba2       BB-        11.50          04/01/2023       500,000       573,125  

Royal Caribbean Cruises Ltd*

    
 Company Guar.
Notes		  
 		     B2       B+        9.13          06/15/2023       175,000       192,838  
                 

 

 

  
                    765,963  
                 

 

 

  

Media-0.3%

                  

Virgin Media Secured Finance PLC*

    
 Senior Sec.
Notes		  
 		     Ba3       BB-        4.50          08/15/2030       400,000       403,500  
                 

 

 

  

Pharmaceuticals-0.6%

                  

Bausch Health Cos, Inc.*

    
 Company Guar.
Notes		  
 		     B3       B        5.00          01/30/2028       485,000       494,311  

Bausch Health Cos, Inc.*

    
 Company Guar.
Notes		  
 		     B3       B        9.00          12/15/2025       385,000       418,206  
                 

 

 

  
                    912,517  
                 

 

 

  

Wireless Telecommunication Services-0.3%

                  

Vmed O2 UK Financing I PLC*

    
 Senior Sec.
Notes		  
 		     Ba3       BB-        4.25          01/31/2031       400,000       388,840  
                 

 

 

  

Total Foreign Corporate Bonds & Notes
(cost $3,117,991)

                     3,300,177  
                 

 

 

  

COMMON STOCKS-0.4%

                  

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       314,798  
                 

 

 

  

Oil, Gas & Consumable Fuels-0.2%

                  

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

                   187,384       149,908  

Foresight Energy LLC†(5)(7)

                   9,907       94,183  
                 

 

 

  
                    244,091  
                 

 

 

  

Total Common Stocks
(cost $1,746,694)

                     559,241  
                 

 

 

  

EXCHANGE-TRADED FUNDS-3.1%

                  

SPDR Blackstone Senior Loan ETF
(cost $4,555,946)

                   99,100       4,532,834  
                 

 

 

  

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       485  
                 

 

 

  

ESCROWS AND LITIGATION TRUSTS-0.0%

                

Paragon Offshore, Ltd.†(5)

                

(cost $4,143)

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

 

 

  

Total Long-Term Investment Securities
(cost $144,792,212)

                   142,535,464  
               

 

 

  
               

SHORT-TERM INVESTMENT SECURITIES-2.5%

                

Registered Investment Companies-2.5%

                

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

                

(cost $3,721,006)

                 3,720,261       3,721,006  
               

 

 

  

REPURCHASE AGREEMENTS-8.1%

                

Bank of America Securities LLC Joint Repurchase Agreement(14)

                 2,825,000       2,825,000  

Barclays Capital, Inc. Joint Repurchase Agreement(14)

                 2,000,000       2,000,000  

BNP Paribas SA Joint Repurchase Agreement(14)

                 1,730,000       1,730,000  

Deutsche Bank AG Joint Repurchase Agreement(14)

                 2,665,000       2,665,000  

RBS Securities, Inc. Joint Repurchase Agreement(14)

                 2,665,000       2,665,000  
               

 

 

  

Total Repurchase Agreements
(cost $11,885,000)

                   11,885,000  
               

 

 

  

TOTAL INVESTMENTS

                

(cost $160,398,218)

                 107.2 %      158,141,470  

Liabilities in excess of other assets

                 -7.2 %      (10,591,629 ) 
             

 

 

    

 

 

  

NET ASSETS

                 100.0 %    $  147,549,841  
             

 

 

    

 

 

  

 

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 March 31, 2020, the aggregate value of these securities was $9,929,491, representing 6.7% 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, 2021
(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 10).
(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, 2021, 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      $  314,798      $  22.00        0.21 % 

Ascent Resources Marcellus LLC, Class A

      03/30/2018        187,384        567,151        149,908        0.80        0.10  

Foresight Energy LLC

      06/30/2020        9,907        82,859        94,183        9.51        0.07  

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        485        0.01        0.00  
           

 

 

        

 

 

  
            $ 559,726           0.38 % 
           

 

 

        

 

 

  

 

(8)    The rate shown is the 7-day yield as of March 31, 2021.
(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 5.25%. The security is also currently paying interest in the form of additional loans at 5.75%.
(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 3.00%.
(14)    See Note 2 for details of the Joint Repurchase Agreement.
(15)    “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 4.49%. The security is also currently paying interest in the form of additional loans at 0.01%.
(16)    “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%.
(17)    “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 13.00%.

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		  

Deutsche Bank AG

      USD        1,975,709        EUR        1,676,000        04/30/2021      $ —        $  (9,285 ) 
                 

 

 

     

 

 

  

UBS AG

      EUR        11,976,092        USD        14,146,986        04/30/2021        95,631        —    
     USD        70,876        EUR        60,000        04/30/2021        —          (479 ) 
                 

 

 

     

 

 

  
                    95,631        (479 ) 
                 

 

 

     

 

 

  
                    —          —    
                 

 

 

     

 

 

  

Net Unrealized Appreciation/(Depreciation)

                   $  95,631      $  (9,764 ) 
           

 

 

     

 

 

  

The following is a summary of the inputs used to value the Fund’s net assets as of March 31, 2021 (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

    $ —        $ 369,768      $ 10,623      $ 380,391  

Personal Products

      —          —          354,915        354,915  

Other Industries

      —          126,523,300        —          126,523,300  

U.S. Corporate Bonds & Notes:

      —          6,884,121        —          6,884,121  

Foreign Corporate Bonds & Notes

      —          3,300,177        —          3,300,177  

Common Stocks:

            

Oil, Gas & Consumable Fuels

      —          —          244,091        244,091  

Other Industries

      —          315,150        —          315,150  

Exchange-Traded Funds

      4,532,834        —          —          4,532,834  

Warrants

      —          —          485        485  

Escrows and Litigation Trusts

      —          —          0        0  

Short-Term Investment Securities

      3,721,006        —          —          3,721,006  

Repurchase Agreements

      —          11,885,000        —          11,885,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments at Value

    $  8,253,840      $  149,277,516      $  610,114      $  158,141,470  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:@

            

Forward Foreign Currency Contracts

    $ —        $ 95,631      $ —        $ 95,631  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES:

            

Other Financial Instruments:@

            

Forward Foreign Currency Contracts

    $ —        $ 9,764      $ —        $ 9,764  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

   

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, 2021 — (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, 2021, 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, 2021, 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

      2.68 %    $ 2,825,000  

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, 2021, bearing interest at a rate of 0.01% per annum, with a principal amount of $105,370,000, a repurchase price of $105,370,015, and a maturity date of April 1, 2021. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Notes

      2.88 %      08/15/2028      $ 97,841,000      $ 108,116,185  

As of March 31, 2021, the Fund held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      2.67 %    $ 2,000,000  

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

Barclays Capital, Inc., dated March 31, 2021, bearing interest at a rate of 0.01% per annum, with a principal amount of $75,000,000, a repurchase price of $75,000,021, and a maturity date of April 1, 2021. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Bonds

      3.00 %      08/15/2048      $ 67,550,000      $ 76,446,202  

As of March 31, 2021, the Fund held an undivided interest in a joint repurchase agreement with BNP Paribas SA:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      2.66 %    $ 1,730,000  

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

BNP Paribas SA, dated March 31, 2021, bearing interest at a rate of 0.01% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,009, and a maturity date of April 1, 2021. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Bonds

      2.75 %      08/15/2042      $ 61,376,600      $ 66,297,550  

As of March 31, 2021, the Fund held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      2.67 %    $ 2,665,000  

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

Deutsche Bank AG, dated March 31, 2021, bearing interest at a rate of 0.01% per annum, with aprincipal amount of $100,000,000, a repurchase price of $100,000,014, and a maturity date of April 1, 2021. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Notes

      0.13 %      07/15/2023      $ 102,204,000      $ 102,071,128  

As of March 31, 2021, the Fund held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:

 

     Percentage
Ownership		     Principal
Amount		  

AIG Senior Floating Rate Fund

      2.67 %    $ 2,665,000  

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

RBS Securities, Inc., dated March 31, 2021, bearing interest at a rate of 0.01% per annum, with a principal amount of $100,000,000, a repurchase price of $100,000,014, and a maturity date of April 1, 2021. The repurchase agreement is collateralized by the following:

 

Type of Collateral

    Interest
Rate		     Maturity
Date		      Principal
Amount		      Value  

U.S. Treasury Notes

      1.25 %      03/31/2028      $ 102,945,000      $ 102,015,577  

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.