NPORT-EX 1 FRT.htm SOI


     
     
   
Pioneer Floating
Rate Trust
     
     
     
     
     
     
     
     
   
Schedule of Investments | August 31, 2019
     
     
   
Ticker Symbol:    PHD
     






Schedule of Investments | 8/31/19 (unaudited)

 
Principal
Amount
USD ($)
     
Value
     
UNAFFILIATED ISSUERS - 148.3%
   
     
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 122.7% of Net Assets*(a)
     
Aerospace & Defense - 6.1%
 
 
623,700
 
Air Canada, Replacement Term Loan, 4.116% (LIBOR + 200 bps), 10/6/23
$626,039
 
2,037,000
 
American Airlines, Inc., 2017 Class B Term Loan, 4.116% (LIBOR + 200 bps), 4/28/23
 2,028,088
 
1,229,839
 
American Airlines, Inc., 2017 Class B Term Loan, 4.195% (LIBOR + 200 bps), 12/14/23
 1,224,458
 
2,852,369
 
American Airlines, Inc., 2018 Replacement Term Loan, 4.061% (LIBOR + 175 bps), 6/27/25
 2,802,453
 
650,350
 
Dynasty Acquisition Co., Inc., Initial Term B-1 Loan, 6.33% (LIBOR + 400 bps), 4/6/26
   651,704
 
349,650
 
Dynasty Acquisition Co., Inc., Initial Term B-2 Loan, 6.33% (LIBOR + 400 bps), 4/6/26
   350,379
 
2,500,000
 
Jazz Acquisition, Inc., First Lien Initial Term Loan, 6.58% (LIBOR + 425 bps), 6/19/26
 2,487,500
 
1,944,048
 
MACOM Technology Solutions Holdings, Inc. (fka M/A-COM Technology Solutions Holdings, Inc.), Initial Term Loan, 4.362% (LIBOR + 225 bps), 5/17/24
 1,783,664
 
1,500,000
 
MRO Holdings, Inc., Initial Term Loan, 7.479% (LIBOR + 500 bps), 6/4/26
 1,488,750
 
1,970,000
 
Peraton Corp. (fka MHVC Acquisition Corp.), First Lien Initial Term Loan, 7.37% (LIBOR + 525 bps), 4/29/24
 1,965,075
 
235,211
 
United AirLines, Inc., Refinanced Term Loan, 3.862% (LIBOR + 175 bps), 4/1/24
   226,097
 
1,000,000(b)
 
WestJet Airlines, Ltd., Term Loan B, 8/7/26
 1,004,062
 
1,543,625
 
WP CPP Holdings LLC, First Lien Initial Term Loan, 6.01% (LIBOR + 375 bps), 4/30/25
 1,544,911
     
Total Aerospace & Defense
 
$18,183,180
     
Automobile - 5.2%
 
 
1,240,569
 
American Axle & Manufacturing, Inc., Tranche B Term Loan, 4.426% (LIBOR + 225 bps), 4/6/24
$1,219,325
 
1,603,337
 
Commercial Vehicle Group, Inc., Initial Term Loan, 8.112% (LIBOR + 600 bps), 4/12/23
 1,611,354
 
782,009
 
Cooper-Standard Automotive, Inc., Additional Term B-1 Loan, 4.112% (LIBOR + 200 bps), 11/2/23
   747,800
 
1,001,743
 
CWGS Group LLC (aka Camping World, Inc.), Term Loan, 4.98% (LIBOR + 275 bps), 11/8/23
   869,012
 
1,500,000
 
Drive Chassis Holdco LLC, Second Lien Term B Loan, 10.588% (LIBOR + 825 bps), 4/10/26
 1,421,250
 
691,667
 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.19% (LIBOR + 200 bps), 3/3/25
   681,869
 
118,302
 
KAR Auction Services, Inc., Tranche B-4 Term Loan, 4.625% (LIBOR + 225 bps), 3/11/21
   118,598
 
154,666
 
KAR Auction Services, Inc., Tranche B-5 Term Loan, 4.875% (LIBOR + 250 bps), 3/9/23
   154,759
 
1,889,402
 
Navistar, Inc., Tranche B Term Loan, 5.7% (LIBOR + 350 bps), 11/6/24
 1,886,253
 
887,369
 
Superior Industries International, Inc., Replacement Term Loan, 6.112% (LIBOR + 400 bps), 5/22/24
   854,092
 
837,417
 
Thor Industries, Inc., Initial USD Term Loan, 6.0% (LIBOR + 375 bps), 2/1/26
   815,784
 
1,012,827
 
TI Group Automotive Systems LLC, Initial US Term Loan, 4.612% (LIBOR + 250 bps), 6/30/22
 1,007,124
 
1,419,909
 
Tower Automotive Holdings USA LLC, Initial Term Loan, 5.0% (LIBOR + 275 bps), 3/7/24
 1,422,571
 
2,198,148
 
Trico Group LLC, First Lien Tranche B-2 Term Loan, 9.33% (LIBOR + 700 bps), 2/2/24
 2,154,185
 
466,667
 
Visteon Corp., New Term Loan, 3.864% (LIBOR + 175 bps), 3/25/24
   457,528
     
Total Automobile
 
$15,421,504
     
Banking - 0.7%
 
 
1,500,000
 
Azalea TopCo, Inc., First Lien Initial Term Loan, 5.612% (LIBOR + 350 bps), 7/24/26
$1,494,375
 
552,911
 
EWT Holdings III Corp. (fka WTG Holdings III Corp.), Refinancing 2017-2 First Lien Term Loan, 5.112% (LIBOR + 300 bps), 12/20/24
   553,947
     
Total Banking
 
$2,048,322
     
Beverage, Food & Tobacco - 3.3%
 
 
1,406,049
 
Albertson's LLC, 2019 Term B-8 Loan, 4.862% (LIBOR + 275 bps), 8/17/26
$1,412,420
 
2,262,599
 
Chobani LLC (Chobani Idaho LLC), First Lien New Term Loan, 5.612% (LIBOR + 350 bps), 10/10/23
 2,225,831
 
1,061,521
 
H-Food Holdings LLC (aka Hearthside Food Solutions LLC), Initial Term Loan, 5.8% (LIBOR + 369 bps), 5/23/25
 1,032,329
 
1,505,866
 
JBS USA Lux SA (fka JBS USA LLC), New Term Loan, 4.612% (LIBOR + 250 bps), 5/1/26
 1,511,409
 
1,178,430
 
Post Holdings, Inc., Series A Incremental Term Loan, 4.15% (LIBOR + 200 bps), 5/24/24
 1,180,804
 
275,847
 
Sigma Holdco BV (aka Flora Foods), Facility B2, 5.32% (LIBOR + 300 bps), 7/2/25
   274,295
 
1,994,937
 
Utz Quality Foods LLC, First Lien Initial Term Loan, 5.612% (LIBOR + 350 bps), 11/21/24
 1,991,821
     
Total Beverage, Food & Tobacco
 
$9,628,909
     
Broadcasting & Entertainment - 4.0%
 
 
1,928,717
 
Charter Communications Operating LLC (aka CCO Safari LLC), Term B Loan, 4.33% (LIBOR + 200 bps), 4/30/25
$1,935,589
 
1,365,454
 
Creative Artists Agency LLC, Refinancing Term Loan, 5.112% (LIBOR + 300 bps), 2/15/24
 1,367,673
 
728,809
 
Gray Television, Inc., Term B-2 Loan, 4.582% (LIBOR + 225 bps), 2/7/24
   729,134
 
547,250
 
Gray Television, Inc., Term C Loan, 4.832% (LIBOR + 250 bps), 1/2/26
   547,836
 
1,919,383
 
MediArena Acquisition BV (fka AP NMT Acquisition BV), First Lien Dollar Term B Loan, 8.07% (LIBOR + 575 bps), 8/13/21
 1,906,586
 
1,750,000(b)
 
Nexstar Broadcasting, Inc., Term Loan B, 6/19/26
 1,751,874
 
2,036,643
 
Sinclair Television Group, Inc., Tranche B Term Loan, 4.37% (LIBOR + 225 bps), 1/3/24
 2,035,625
 
807,692(b)
 
Sinclair Television Group, Inc., Tranche B-2a Term Loan, 9/30/26
   808,867
 
692,308
 
Sinclair Television Group, Inc., Tranche B-2b Term Loan, 4.7% (LIBOR + 250 bps), 9/30/26
   693,314
     
Total Broadcasting & Entertainment
 
$11,776,498
     
Building Materials - 1.1%
 
 
944,140
 
Circor International, Inc., Initial Term Loan, 5.701% (LIBOR + 350 bps), 12/11/24
$940,796
 
998,098
 
Summit Materials LLC, New Term Loan, 4.112% (LIBOR + 200 bps), 11/21/24
   995,727
 
1,470,000
 
WKI Holding Co., Inc. (aka World Kitchen), Initial Term Loan, 6.319% (LIBOR + 400 bps), 5/1/24
 1,470,000
     
Total Building Materials
 
$3,406,523
     
Buildings & Real Estate - 3.6%
 
 
742,481
 
Beacon Roofing Supply, Inc., Initial Term Loan, 4.362% (LIBOR + 225 bps), 1/2/25
$738,119
 
746,077
 
Builders FirstSource, Inc., Refinancing Term Loan, 5.33% (LIBOR + 300 bps), 2/29/24
   747,610
 
Principal
Amount
USD ($)
     
Value
     
Buildings & Real Estate - (continued)
 
 
1,191,000
 
DTZ US Borrower LLC (aka Cushman & Wakefield), Closing Date Term Loan, 5.362% (LIBOR + 325 bps), 8/21/25
$1,193,376
 
1,526,750
 
Packers Holdings LLC, Initial Term Loan, 5.318% (LIBOR + 300 bps), 12/4/24
 1,511,483
 
833,791
 
Penn Engineering & Manufacturing Corp., Tranche B Term Loan, 4.866% (LIBOR + 275 bps), 6/27/24
   825,454
 
693,000
 
Southwire Co. LLC (fka Southwire Co.), Initial Term Loan, 3.862% (LIBOR + 175 bps), 5/19/25
   693,000
 
975,658
 
Uniti Group, Inc., Shortfall Term Loan, 7.112% (LIBOR + 500 bps), 10/24/22
   945,981
 
1,977,273
 
VICI Properties 1 LLC, Term B Loan, 4.17% (LIBOR + 200 bps), 12/20/24
 1,982,463
 
1,893,551
 
WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 7.112% (LIBOR + 500 bps), 9/29/23
 1,892,762
     
Total Buildings & Real Estate
 
$10,530,248
     
Chemicals - 0.6%
 
 
1,000,000
 
Momentive Performance Materials, Inc., First Lien Initial Dollar Term Loan, 5.59% (LIBOR + 325 bps), 5/15/24
$980,000
 
1,000,000
 
Tank Holding Corp., First Lien Initial Term Loan, 6.531% (LIBOR + 400 bps), 3/26/26
   995,625
     
Total Chemicals
 
$1,975,625
     
Chemicals, Plastics & Rubber - 8.5%
 
 
797,604
 
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA), Tranche B-2 Term Loan, 5.394% (LIBOR + 325 bps), 9/13/23
$773,676
 
600,931
 
Allnex (Luxembourg) & Cy SCA (fka AI Chem & Cy SCA), Tranche B-3 Term Loan, 5.394% (LIBOR + 325 bps), 9/13/23
   582,903
 
1,222,284
 
Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems US Holdings, Inc.), Term B-3 Dollar Loan, 4.08% (LIBOR + 175 bps), 6/1/24
 1,217,481
 
943,270
 
Berry Global, Inc. (fka Berry Plastics Corp.), Term Q Loan, 4.451% (LIBOR + 225 bps), 10/1/22
   944,744
 
2,989,975
 
Chemours Co., Tranche B-2 USD Term Loan, 3.87% (LIBOR + 175 bps), 4/3/25
 2,901,523
 
1,972,481
 
Core & Main LP, Initial Term Loan, 5.238% (LIBOR + 275 bps), 8/1/24
 1,971,248
 
410,170
 
Element Solutions, Inc. (Macdermid, Inc.), Initial Term Loan, 4.362% (LIBOR + 225 bps), 1/30/26
   410,597
 
2,000,000
 
Hexion, Inc., USD Term Loan, 5.82% (LIBOR + 350 bps), 7/1/26
 2,000,000
 
1,771,009
 
LTI Holdings, Inc., First Lien Initial Term Loan, 5.612% (LIBOR + 350 bps), 9/6/25
 1,682,459
 
500,000
 
LTI Holdings, Inc., Second Lien Initial Term Loan, 8.862% (LIBOR + 675 bps), 9/6/26
   453,334
 
1,369,143
 
Omnova Solutions, Inc., Term B-2 Loan, 5.362% (LIBOR + 325 bps), 8/25/23
 1,370,005
 
553,362
 
Orion Engineered Carbons GmbH, Initial Dollar Term Loan, 4.33% (LIBOR + 200 bps), 7/25/24
   549,674
 
1,122,716
 
PQ Corp., Third Amendment Tranche B-1 Term Loan, 4.756% (LIBOR + 250 bps), 2/8/25
 1,123,418
 
1,994,676
 
Reynolds Group Holdings, Inc., Incremental US Term Loan, 4.862% (LIBOR + 275 bps), 2/5/23
 1,995,922
 
1,361,963
 
Tata Chemicals North America, Term Loan, 5.125% (LIBOR + 275 bps), 8/7/20
 1,363,665
 
1,034,250
 
Trident TPI Holdings, Inc., Tranche B-1 Term Loan, 5.362% (LIBOR + 325 bps), 10/17/24
   990,941
 
1,207,499
 
Tronox Finance LLC, First Lien Initial Dollar Term Loan, 4.947% (LIBOR + 275 bps), 9/23/24
 1,200,384
 
1,326,953
 
Twist Beauty International Holdings SA, Facility B2, 5.524% (LIBOR + 300 bps), 4/22/24
 1,294,884
 
1,132,557
 
Univar USA, Inc., Term B-3 Loan, 4.362% (LIBOR + 225 bps), 7/1/24
 1,134,858
 
740,611
 
Vantage Specialty Chemicals, Inc., First Lien Closing Date Term Loan, 5.618% (LIBOR + 350 bps), 10/28/24
   710,986
 
489,924
 
Versum Materials, Inc., Term Loan, 4.33% (LIBOR + 200 bps), 9/29/23
   490,307
     
Total Chemicals, Plastics & Rubber
 
$25,163,009
     
Computers & Electronics - 3.2%
 
 
786,000
 
Applied Systems, Inc., First Lien Closing Date Term Loan, 5.33% (LIBOR + 300 bps), 9/19/24
$784,710
 
750,000
 
Applied Systems, Inc., Second Lien Initial Term Loan, 9.33% (LIBOR + 700 bps), 9/19/25
   758,438
 
1,234,375
 
Chloe OX Parent LLC, Initial Term Loan, 6.83% (LIBOR + 450 bps), 12/23/24
 1,236,690
 
852,726
 
Dynatrace LLC, First Lien Term Loan, 4.862% (LIBOR + 275 bps), 8/22/25
   854,751
 
1,778,098
 
Energy Acquisition LP (aka Electrical Components International), First Lien Initial Term Loan, 6.58% (LIBOR + 425 bps), 6/26/25
 1,635,851
 
498,737
 
Iron Mountain Information Management LLC, Incremental Term B Loan, 3.862% (LIBOR + 175 bps), 1/2/26
   493,750
 
718,615
 
Microchip Technology, Inc., Initial Term Loan, 4.12% (LIBOR + 200 bps), 5/29/25
   721,004
 
466,667(b)
 
NCR Corp., Initial Term Loan, 8/28/26
   466,083
 
393,237
 
ON Semiconductor Corp., 2018 New Replacement Term B-3 Loan, 3.862% (LIBOR + 175 bps), 3/31/23
   392,960
 
2,143,527
 
Ultra Clean Holdings, Inc., Term Loan B, 6.612% (LIBOR + 450 bps), 8/27/25
 2,068,503
     
Total Computers & Electronics
 
$9,412,740
     
Construction & Building - 0.7%
 
 
979,412
 
Pike Corp., Initial Term Loan, 5.4% (LIBOR + 325 bps), 7/24/26
$981,452
 
1,265,326
 
Quikrete Holdings, Inc., First Lien Initial Term Loan, 4.862% (LIBOR + 275 bps), 11/15/23
 1,253,661
     
Total Construction & Building
 
$2,235,113
     
Consumer Nondurables - 0.5%
 
 
1,500,000(b)
 
Sunshine Luxembourg VII S.a.r.l, Term Loan, 7/17/26
$1,501,641
     
Total Consumer Nondurables
 
$1,501,641
     
Containers, Packaging & Glass - 1.0%
 
 
1,305,038
 
Plastipak Holdings, Inc., Tranche B Term Loan, 4.62% (LIBOR + 250 bps), 10/14/24
$1,302,999
 
1,500,000
 
Pregis TopCo LLC, First Lien Initial Term Loan, 6.253% (LIBOR + 400 bps), 7/31/26
 1,495,625
     
Total Containers, Packaging & Glass
 
$2,798,624
     
Diversified & Conglomerate Manufacturing - 1.7%
 
 
270,311
 
Delos Finance S.a r.l., New Term Loan, 4.08% (LIBOR + 175 bps), 10/6/23
$271,132
 
875,334
 
ExamWorks Group, Inc. (fka Gold Merger Co., Inc.), Term B-1 Loan, 5.362% (LIBOR + 325 bps), 7/27/23
   877,194
 
2,063,817
 
Pelican Products, Inc., First Lien Term Loan, 5.701% (LIBOR + 350 bps), 5/1/25
 2,001,903
 
Principal
Amount
USD ($)
     
Value
     
Diversified & Conglomerate Manufacturing - (continued)
 
 
1,714,134
 
STG-Fairway Acquisitions, Inc. (aka First Advantage), First Lien Term Loan, 7.362% (LIBOR + 525 bps), 6/30/22
$1,717,348
     
Total Diversified & Conglomerate Manufacturing
 
$4,867,577
     
Diversified & Conglomerate Service - 10.2%
 
 
1,980,825
 
Albany Molecular Research, Inc., First Lien Initial Term Loan, 5.362% (LIBOR + 325 bps), 8/30/24
$1,914,798
 
1,000,000
 
Albany Molecular Research, Inc., Second Lien Initial Term Loan, 9.112% (LIBOR + 700 bps), 8/30/25
   995,000
 
1,655,978
 
Alion Science and Technology Corp., First Lien Term Loan, 6.612% (LIBOR + 450 bps), 8/19/21
 1,659,083
 
1,515,000
 
Allied Universal Holdco LLC (f/k/a USAGM Holdco LLC), Initial Term Loan, 6.507% (LIBOR + 425 bps), 7/10/26
 1,516,421
 
187,782
 
ASGN, Inc. (fka On Assignment, Inc.), Initial Term B-1 Loan, 4.112% (LIBOR + 200 bps), 6/3/22
   188,385
 
191,484
 
ASGN, Inc. (fka On Assignment, Inc.), Initial Term B-2 Loan, 4.112% (LIBOR + 200 bps), 4/2/25
   192,063
 
345,411
 
AVSC Holding Corp. (aka PSAV, Inc.), First Lien Initial Term Loan, 5.438% (LIBOR + 325 bps), 3/3/25
   335,472
 
1,715,493
 
Bright Horizons Family Solutions LLC (fka Bright Horizons Family Solutions, Inc.), Term B Loan, 3.862% (LIBOR + 175 bps), 11/7/23
 1,718,432
 
1,402,326
 
CB Poly Investments LLC, First Lien Closing Date Term Loan, 5.862% (LIBOR + 375 bps), 8/16/23
 1,402,326
 
1,252,832
 
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Closing Date Term Loan, 4.612% (LIBOR + 250 bps), 3/1/24
 1,239,172
 
1,960,000
 
Constellis Holdings LLC, First Lien Term B Loan, 7.256% (LIBOR + 500 bps), 4/21/24
 1,372,000
 
1,012,610
 
DG Investment Intermediate Holdings 2, Inc. (aka Convergint Technologies Holdings LLC), First Lien Initial Term Loan, 5.112% (LIBOR + 300 bps), 2/3/25
   992,357
 
1,198,178
 
DTI Holdco, Inc., Replacement B-1 Term Loan, 7.006% (LIBOR + 475 bps), 9/29/23
 1,102,324
 
1,150,000
 
DynCorp International, Inc., Term Loan, 8.197% (LIBOR + 600 bps), 8/18/25
 1,121,250
 
1,000,000
 
Emerald 2, Ltd., First Lien Initial Term B-1 Loan, 6.1% (LIBOR + 375 bps), 7/10/26
 1,001,375
 
793,043
 
Filtration Group Corp., Initial Dollar Term Loan, 5.112% (LIBOR + 300 bps), 3/29/25
   794,035
 
643,066
 
Gates Global LLC, Initial B-2 Dollar Term Loan, 4.862% (LIBOR + 275 bps), 4/1/24
   628,497
 
1,092,541
 
GHX Ultimate Parent Corp., First Lien Initial Term Loan, 5.58% (LIBOR + 325 bps), 6/28/24
 1,074,787
 
495,000
 
Iqvia, Inc. (Quintiles IMS), Term B-3 Dollar Loan, 4.008% (LIBOR + 175 bps), 6/11/25
   495,265
 
1,085,013
 
Jaguar Holding Co. I LLC (fka Jaguar Holding Co. I) (aka Pharmaceutical Product Development LLC), 2018 Term Loan, 4.612% (LIBOR + 250 bps), 8/18/22
 1,081,079
 
992,462
 
Mitchell International, Inc., First Lien Initial Term Loan, 5.362% (LIBOR + 325 bps), 11/29/24
   931,426
 
201
 
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), First Lien Initial Term C Loan, 6.37% (LIBOR + 425 bps), 3/9/26
   201
 
433,635
 
National Mentor Holdings, Inc. (aka Civitas Solutions, Inc.), First Lien Initial Term Loan, 6.37% (LIBOR + 425 bps), 3/9/26
   433,635
 
2,169,321
 
NVA Holdings, Inc., First Lien Term B-3 Loan, 4.862% (LIBOR + 275 bps), 2/2/25
 2,170,702
 
316,596
 
Outfront Media Capital LLC (Outfront Media Capital Corp.), Term Loan, 4.213% (LIBOR + 200 bps), 3/18/24
   317,684
 
546,370
 
Sound Inpatient Physicians, Inc., First Lien Initial Term Loan, 4.862% (LIBOR + 275 bps), 6/27/25
   542,443
 
488,750
 
Team Health Holdings, Inc., Initial Term Loan, 4.862% (LIBOR + 275 bps), 2/6/24
   398,331
 
1,323,614
 
Tempo Acquisition LLC, Initial Term Loan, 5.112% (LIBOR + 300 bps), 5/1/24
 1,325,600
 
1,341,171
 
West Corp., Incremental Term B-1 Loan, 5.612% (LIBOR + 350 bps), 10/10/24
 1,198,672
 
1,417,159
 
West Corp., Initial Term B Loan, 6.112% (LIBOR + 400 bps), 10/10/24
 1,278,985
 
727,552
 
WEX, Inc., Term B-3 Loan, 4.362% (LIBOR + 225 bps), 5/15/26
   729,461
     
Total Diversified & Conglomerate Service
 
$30,151,261
     
Diversified Natural Resources & Precious Metals - 0.3%
 
 
887,336
 
84 Lumber Co., Term B-1 Loan, 7.395% (LIBOR + 525 bps), 10/25/23
$891,772
     
Total Diversified Natural Resources & Precious Metals
 
$891,772
     
Electric & Electrical - 0.7%
 
 
1,116,223
 
Dell International LLC (EMC Corp.), Refinancing Term B Loan, 4.12% (LIBOR + 200 bps), 9/7/23
$1,119,990
 
1,083,012
 
Rackspace Hosting, Inc., First Lien Term B Loan, 5.287% (LIBOR + 300 bps), 11/3/23
 1,006,186
     
Total Electric & Electrical
 
$2,126,176
     
Electronics - 3.4%
 
 
343,266
 
Avast Software BV, 2018 Refinancing Dollar Term Loan, 4.58% (LIBOR + 225 bps), 9/29/23
$344,601
 
1,097,250
 
Mirion Technologies (Finance) LLC (Mirion Technologies, Inc.), Initial Dollar Term Loan, 6.328% (LIBOR + 400 bps), 3/6/26
 1,102,279
 
1,296,750
 
Natel Engineering Co., Inc., Initial Term Loan, 7.116% (LIBOR + 500 bps), 4/30/26
 1,298,371
 
1,285,737
 
nThrive, Inc. (fka Precyse Acquisition Corp.), Additional Term B-2 Loan, 6.612% (LIBOR + 450 bps), 10/20/22
 1,205,379
 
520,126
 
Rovi Solutions Corp./Rovi Guides, Inc., Term B Loan, 4.62% (LIBOR + 250 bps), 7/2/21
   515,737
 
2,798,391
 
Scientific Games International, Inc., Initial Term B-5 Loan, 4.889% (LIBOR + 275 bps), 8/14/24
 2,770,407
 
1,304,939
 
Verint Systems, Inc., Refinancing Term Loan, 4.23% (LIBOR + 200 bps), 6/28/24
 1,311,464
 
1,387,163
 
Western Digital Corp., US Term B-4 Loan, 3.862% (LIBOR + 175 bps), 4/29/23
 1,385,075
     
Total Electronics
 
$9,933,313
     
Entertainment & Leisure - 0.7%
 
 
830,875
 
Cedar Fair LP, US Term B Loan, 3.862% (LIBOR + 175 bps), 4/13/24
$833,732
 
1,120,480
 
Sabre GLBL, Inc. (fka Sabre, Inc.), 2018 Other Term B Loan, 4.112% (LIBOR + 200 bps), 2/22/24
 1,122,981
     
Total Entertainment & Leisure
 
$1,956,713
     
Environmental Services - 0.6%
 
 
834,064
 
Advanced Disposal Services, Inc. (fka ADS Waste Holdings, Inc.), Additional Term Loan, 4.385% (LIBOR + 225 bps), 11/10/23
$835,628
 
Principal
Amount
USD ($)
     
Value
     
Environmental Services - (continued)
 
 
1,040,671
 
GFL Environmental, Inc., Effective Date Incremental Term Loan, 5.112% (LIBOR + 300 bps), 5/30/25
$1,032,345
     
Total Environmental Services
 
$1,867,973
     
Farming & Agriculture - 0.4%
 
 
1,174,723
 
Dole Food Co., Inc., Tranche B Term Loan, 4.898% (LIBOR + 275 bps), 4/6/24
$1,162,683
     
Total Farming & Agriculture
 
$1,162,683
     
Financial Services - 1.4%
 
 
1,453,555
 
Baring Private Equity Asia VI Holding (2), Ltd., First Lien Initial Dollar Term Loan, 5.112% (LIBOR + 300 bps), 10/26/22
$1,435,386
 
891,000
 
Blackhawk Network Holdings, Inc., First Lien Term Loan, 5.112% (LIBOR + 300 bps), 6/15/25
   885,828
 
966,215
 
Everi Payments, Inc., Term B loan, 5.112% (LIBOR + 300 bps), 5/9/24
   967,940
 
891,611
 
Trans Union LLC, 2017 Replacement Term B-3 Loan, 4.112% (LIBOR + 200 bps), 4/10/23
   893,840
     
Total Financial Services
 
$4,182,994
     
Forest Products - 0.4%
 
 
1,327,838
 
ProAmpac PG Borrower LLC, First Lien Initial Term Loan, 5.703% (LIBOR + 350 bps), 11/20/23
$1,273,064
     
Total Forest Products
 
$1,273,064
     
Gaming and Hotels - 0.2%
 
 
500,000
 
PCI Gaming Authority, Term B Facility Loan, 5.112% (LIBOR + 300 bps), 5/29/26
$503,259
     
Total Gaming and Hotels
 
$503,259
     
Grocery - 0.3%
 
 
800,000
 
Diplomat Pharmacy, Inc., Initial Term B Loan, 6.62% (LIBOR + 450 bps), 12/20/24
$741,334
     
Total Grocery
 
$741,334
     
Healthcare - 1.1%
 
 
1,750,000
 
Option Care Health, Inc., Term B Loan, 6.612% (LIBOR + 450 bps), 8/6/26
$1,745,625
 
1,400,000
 
Phoenix Guarantor, Inc. (aka Brightspring), First Lien Initial Term Loan, 6.744% (LIBOR + 450 bps), 3/5/26
 1,395,334
     
Total Healthcare
 
$3,140,959
     
Healthcare & Pharmaceuticals - 7.8%
 
 
1,453,548
 
Acadia Healthcare Co., Inc., Tranche B-4 Term Loan, 4.612% (LIBOR + 250 bps), 2/16/23
$1,457,409
 
633,413
 
Agiliti Health, Inc., Initial Term Loan, 5.25% (LIBOR + 300 bps), 1/4/26
   635,772
 
1,055,338
 
Alkermes, Inc., 2023 Term Loan, 4.41% (LIBOR + 225 bps), 3/27/23
 1,056,657
 
491,250
 
Alphabet Holding Co., Inc. (aka Nature's Bounty), First Lien Initial Term Loan, 5.612% (LIBOR + 350 bps), 9/26/24
   459,165
 
1,500,000
 
Alphabet Holding Co., Inc. (aka Nature's Bounty), Second Lien Initial Term Loan, 9.862% (LIBOR + 775 bps), 9/26/25
 1,325,625
 
907,725
 
Auris Luxembourg III S.a r.l., Facility B2, 5.874% (LIBOR + 375 bps), 2/27/26
   897,513
 
1,969,488(c)
 
CCS Medical, Inc. (Chronic Care), Second Lien Term Loan, 0.0% (14.50% PIK or 0.0% cash) (PRIME + 900 bps), 9/30/19
   19,695
 
1,218,750
 
Cidron Healthcare, Ltd. (aka ConvaTec, Inc.), Term B Loan, 4.58% (LIBOR + 225 bps), 10/31/23
 1,221,797
 
1,176,811
 
Concentra, Inc., First Lien Tranche B-1 Term Loan, 5.21% (LIBOR + 275 bps), 6/1/22
 1,178,252
 
2,000,000
 
Curium BidCo S.a r.l., Facility B, 6.219% (LIBOR + 400 bps), 7/9/26
 2,005,000
 
1,500,000(b)
 
DaVita, Inc. (fka DaVita HealthCare Partners, Inc.), Tranche B Term Loan, 8/12/26
 1,502,144
 
1,577,800
 
Endo Luxembourg Finance Company I S.a.r.l., Initial Term Loan, 6.375% (LIBOR + 425 bps), 4/29/24
 1,445,659
 
1,380,533
 
Explorer Holdings, Inc., Initial Term Loan, 6.08% (LIBOR + 375 bps), 5/2/23
 1,380,533
 
1,507,196
 
Gentiva Health Services, Inc., First Lien Closing Date Initial Term Loan, 5.875% (LIBOR + 375 bps), 7/2/25
 1,510,004
 
751,108
 
Greatbatch, Ltd., New Term B Loan, 5.22% (LIBOR + 300 bps), 10/27/22
   756,004
 
347,375
 
Herbalife Nutrition, Ltd., Term Loan B, 5.362% (LIBOR + 325 bps), 8/18/25
   348,002
 
1,988,737
 
Kindred Healthcare LLC, Closing Date Term Loan, 7.125% (LIBOR + 500 bps), 7/2/25
 1,976,308
 
1,320,030
 
NMN Holdings III Corp., First Lien Closing Date Term Loan, 5.862% (LIBOR + 375 bps), 11/13/25
 1,314,254
 
428,875
 
Prestige Brands, Inc., Term B-4 Loan, 4.112% (LIBOR + 200 bps), 1/26/24
   429,143
 
500,000
 
Sotera Health Holdings LLC, Incremental Term Loan, 5.744% (LIBOR + 350 bps), 5/15/22
   496,042
 
1,776,484
 
Sterigenics-Nordion Holdings LLC, Incremental Term Loan, 5.112% (LIBOR + 300 bps), 5/15/22
 1,748,356
     
Total Healthcare & Pharmaceuticals
 
$23,163,334
     
Healthcare, Education & Childcare - 5.3%
 
 
1,500,000
 
Alliance HealthCare Services, Inc., Second Lien Initial Term Loan, 12.112% (LIBOR + 1,000 bps), 4/24/24
$1,488,750
 
1,413,241
 
ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 5.645% (LIBOR + 350 bps), 5/10/23
 1,379,676
 
231,250
 
Bausch Health Co., Inc. (fka Valeant Pharmaceuticals International, Inc.), First Incremental Term Loan, 4.951% (LIBOR + 275 bps), 11/27/25
   231,452
 
2,320,272
 
Bausch Health Co., Inc. (fka Valeant Pharmaceuticals International, Inc.), Initial Term Loan, 5.201% (LIBOR + 300 bps), 6/2/25
 2,326,556
 
661,500
 
Kinetic Concepts, Inc., Dollar Term Loan, 5.58% (LIBOR + 325 bps), 2/2/24
   663,154
 
1,033,081
 
KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare), Term B-3 Loan, 6.08% (LIBOR + 375 bps), 2/21/25
 1,027,141
 
838,796
 
Life Time Fitness, Inc., 2017 Refinancing Term Loan, 4.874% (LIBOR + 275 bps), 6/10/22
   836,474
 
1,538,803
 
Quorum Health Corp., Term Loan, 9.006% (LIBOR + 675 bps), 4/29/22
 1,517,644
 
1,602,644
 
Regionalcare Hospital Partners Holdings, Inc., First Lien Term B Loan, 6.645% (LIBOR + 450 bps), 11/16/25
 1,593,028
 
1,863,894
 
Select Medical Corp., Tranche B Term Loan, 4.85% (LIBOR + 250 bps), 3/6/25
 1,860,377
 
2,000,000
 
U.S. Renal Care, Inc., Initial Term Loan, 7.112% (LIBOR + 500 bps), 6/26/26
 1,918,000
 
748,125
 
Vizient, Inc., Term B-5 Loan, 4.612% (LIBOR + 250 bps), 5/6/26
   752,255
     
Total Healthcare, Education & Childcare
 
$15,594,507
 
Principal
Amount
USD ($)
     
Value
     
Home & Office Furnishings - 0.2%
 
 
661,138
 
Armstrong World Industries, Inc., Term Loan B, 5.016% (LIBOR + 275 bps), 3/31/23
$661,138
     
Total Home & Office Furnishings
 
$661,138
     
Hotel, Gaming & Leisure - 4.3%
 
 
1,463,818
 
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-3 Loan, 4.362% (LIBOR + 225 bps), 2/16/24
$1,464,117
 
1,933,956
 
Boyd Gaming Corp., Refinancing Term B Loan, 4.387% (LIBOR + 225 bps), 9/15/23
1,937,220
 
2,247,468
 
Caesars Resort Collection LLC (fka Caesars Growth Properties Holdings LLC), Term B Loan, 4.862% (LIBOR + 275 bps), 12/23/24
 2,217,620
 
466,422
 
Eldorado Resorts, Inc., Term Loan, 4.419% (LIBOR + 225 bps), 4/17/24
   465,933
 
1,929,842
 
Golden Nugget, Inc. (aka Landry's, Inc.), Initial Term B Loan, 4.893% (LIBOR + 275 bps), 10/4/23
 1,932,158
 
1,000,000
 
Hanjin International Corp. (aka Wilshire Grand Center), Initial Term Loan, 4.645% (LIBOR + 250 bps), 10/19/20
 1,000,000
 
426,292
 
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, 3.895% (LIBOR + 175 bps), 6/22/26
   427,967
 
597,000
 
Marriott Ownership Resorts, Inc., Initial Term Loan, 4.362% (LIBOR + 225 bps), 8/29/25
   599,985
 
1,320,638
 
MGM Growth Properties Operating Partnership LP, Term B Loan, 4.112% (LIBOR + 200 bps), 3/21/25
 1,323,350
 
447,750
 
Penn National Gaming, Inc., Term B-1 Facility Loan, 4.362% (LIBOR + 225 bps), 10/15/25
   449,639
 
468,351
 
Stars Group Holdings BV, USD Term Loan, 5.83% (LIBOR + 350 bps), 7/10/25
   469,996
 
474,568
 
Station Casinos LLC, Term B Facility Loan, 4.62% (LIBOR + 250 bps), 6/8/23
   475,733
     
Total Hotel, Gaming & Leisure
 
$12,763,718
     
Insurance - 3.9%
 
 
891,805
 
Alliant Holdings Intermediate LLC, Initial Term Loan, 5.145% (LIBOR + 300 bps), 5/9/25
$ 868,813
 
2,054,512
 
Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 5.112% (LIBOR + 300 bps), 11/3/24
 2,058,108
 
285,339
 
Asurion LLC (fka Asurion Corp.), Replacement B-6 Term Loan, 5.112% (LIBOR + 300 bps), 11/3/23
   285,992
 
675,000
 
Asurion LLC (fka Asurion Corp.), Second Lien Replacement B-2 Term Loan, 8.612% (LIBOR + 650 bps), 8/4/25
   686,100
 
2,299,881
 
Confie Seguros Holding II Co., Term B Loan, 7.08% (LIBOR + 475 bps), 4/19/22
 2,254,843
 
1,837,645
 
Integro Parent, Inc., First Lien Initial Term Loan, 8.004% (LIBOR + 575 bps), 10/31/22
 1,782,516
 
1,385,220
 
MPH Acquisition Holdings LLC, Initial Term Loan, 5.08% (LIBOR + 275 bps), 6/7/23
 1,291,718
 
1,000,000(b)
 
Sedgwick Claims Management Services, Inc., Term Loan B, 8/7/26
   998,250
 
1,640,775
 
USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 5.33% (LIBOR + 300 bps), 5/16/24
 1,605,139
     
Total Insurance
 
$11,831,479
     
Leasing - 1.0%
 
 
659,414
 
Fly Funding II S.a r.l., Term Loan, 4.18% (LIBOR + 200 bps), 2/9/23
$659,826
 
1,000,000(b)
 
Hertz Corp., Tranche Term B-1 Loan, 6/30/23
   998,438
 
1,481,250
 
IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche B-1 Term Loan, 6.152% (LIBOR + 375 bps), 9/11/23
 1,476,929
     
Total Leasing
 
$3,135,193
     
Leisure & Entertainment - 2.4%
 
 
990,000
 
24 Hour Fitness Worldwide, Inc., Term Loan, 5.612% (LIBOR + 350 bps), 5/30/25
$962,775
 
1,114,588
 
AMC Entertainment Holdings, Inc. (fka AMC Entertainment, Inc.),Term B-1 Loan, 5.23% (LIBOR + 300 bps), 4/22/26
 1,119,696
 
294,000
 
CityCenter Holdings LLC, Term B Loan, 4.362% (LIBOR + 225 bps), 4/18/24
   294,413
 
1,681,790
 
Fitness International LLC, Term B Loan, 5.362% (LIBOR + 325 bps), 4/18/25
 1,681,640
 
1,806,228
 
MCC Iowa LLC, Tranche M Term Loan, 4.14% (LIBOR + 200 bps), 1/15/25
 1,817,472
 
1,250,953
 
Six Flags Theme Parks, Inc., Tranche B Term Loan, 4.12% (LIBOR + 200 bps), 4/17/26
 1,254,862
     
Total Leisure & Entertainment
 
$7,130,858
     
Machinery - 2.6%
 
 
431,677
 
Blount International, Inc., New Refinancing Term Loan, 5.946% (LIBOR + 375 bps), 4/12/23
$431,543
 
430,437
 
Clark Equipment Co. (aka Doosan Bobcat, Inc.), Repriced Term Loan, 4.33% (LIBOR + 200 bps), 5/18/24
   430,840
 
852,301
 
CTC AcquiCo GmbH, Facility B2, 4.874% (LIBOR + 275 bps), 3/7/25
   838,451
 
834,754
 
Gardner Denver, Inc., Tranche B-1 Dollar Term Loan, 4.862% (LIBOR + 275 bps), 7/30/24
   837,270
 
450,000
 
Hyster-Yale Group, Inc., Term Loan, 5.362% (LIBOR + 325 bps), 5/30/23
   444,375
 
764,178
 
Milacron LLC, Term B Loan, 4.612% (LIBOR + 250 bps), 9/28/23
   764,656
 
1,077,656
 
NN, Inc., Tranche B Term Loan, 5.862% (LIBOR + 375 bps), 10/19/22
 1,061,042
 
1,076,043
 
Shape Technologies Group, Inc., Initial Term Loan, 5.259% (LIBOR + 300 bps), 4/21/25
   989,959
 
817,851
 
Terex Corp., Incremental US Term Loan, 4.112% (LIBOR + 200 bps), 1/31/24
   817,749
 
1,035,865
 
Welbilt, Inc. (fka Manitowoc Foodservice, Inc.), Term B Loan, 4.612% (LIBOR + 250 bps), 10/23/25
 1,028,519
     
Total Machinery
 
$7,644,404
     
Media - 1.8%
 
 
488,750
 
CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), March 2017 Refinancing Term Loan, 4.445% (LIBOR + 225 bps), 7/17/25
 $486,914
 
312,975
 
CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), October 2018 Incremental Term Loan, 4.445% (LIBOR + 225 bps), 1/15/26
   311,150
 
498,750
 
CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), February 2019 Incremental Term Loan, 5.195% (LIBOR + 300 bps), 4/15/27
501,452
 
2,000,000
 
Diamond Sports Group LLC, Term Loan, 5.42% (LIBOR + 325 bps), 8/24/26
 2,005,300
 
2,095,950
 
Quincy Media, Inc. (fka Quincy Newspapers, Inc.), Term Loan B, 5.174% (LIBOR + 300 bps/PRIME + 200 bps), 11/2/22
 2,087,650
     
Total Media
 
$5,392,466
 
Principal
Amount
USD ($)
     
Value
     
Metals & Mining - 4.0%
 
 
1,584,000
 
Aleris International, Inc., Initial Term Loan, 6.862% (LIBOR + 475 bps), 2/27/23
$1,587,299
 
1,900,979
 
Atkore International, Inc., First Lien Initial Incremental Term Loan, 5.07% (LIBOR + 275 bps), 12/22/23
1,906,331
 
1,564,538
 
Big River Steel LLC, Closing Date Term Loan, 7.33% (LIBOR + 500 bps), 8/23/23
 1,574,316
 
1,937,281
 
BWay Holding Co., Initial Term Loan, 5.59% (LIBOR + 325 bps), 4/3/24
 1,885,519
 
925,000
 
Oxbow Carbon LLC, First Lien Tranche B Term Loan, 5.862% (LIBOR + 375 bps), 1/4/23
   920,375
 
913,627
 
Phoenix Services International LLC, Term B Loan, 5.945% (LIBOR + 375 bps), 3/1/25
   902,778
 
773,602
 
TMS International Corp. (aka Tube City IMS Corp.), Term B-2 Loan, 4.95% (LIBOR + 275 bps), 8/14/24
   767,800
 
2,391,558
 
Zekelman Industries, Inc. (fka JMC Steel Group, Inc.), Term Loan, 4.362% (LIBOR + 225 bps), 6/14/21
 2,393,483
     
Total Metals & Mining
 
$11,937,901
     
Oil & Gas - 5.1%
 
 
2,550,000
 
BCP Raptor II LLC, Initial Term Loan, 6.862% (LIBOR + 475 bps), 11/3/25
$2,291,813
 
1,000,000
 
California Resources Corp., Term Loan, 12.491% (LIBOR + 1,038 bps), 12/31/21
   896,250
 
547,250
 
Centurion Pipeline Co. LLC (fka Lotus Midstream LLC), Initial Term Loan, 5.362% (LIBOR + 325 bps), 9/29/25
   547,934
 
1,382,509
 
Delek US Holdings, Inc., Initial Term Loan, 4.58% (LIBOR + 225 bps), 3/31/25
 1,376,893
 
2,250,000
 
Encino Acquisition Partners Holdings LLC, Second Lien Initial Term Loan, 8.862% (LIBOR + 675 bps), 10/29/25
 1,687,500
 
1,999,408
 
Gulf Finance LLC, Tranche B Term Loan, 7.517% (LIBOR + 525 bps), 8/25/23
 1,588,530
 
1,231,250
 
Medallion Midland Acquisition LLC, Initial Term Loan, 5.362% (LIBOR + 325 bps), 10/30/24
 1,182,384
 
620,313
 
NorthRiver Midstream Finance LP, Initial Term B Loan, 5.569% (LIBOR + 325 bps), 10/1/25
   611,977
 
1,286,775
 
Prairie ECI Acquiror LP, Initial Term Loan, 7.08% (LIBOR + 475 bps), 3/11/26
 1,261,039
 
668,342
 
St. Joseph Energy Center LLC, Term B Loan Advance, 5.62% (LIBOR + 350 bps), 4/10/25
   665,000
 
1,741,941
 
Summit Midstream Partners Holdings LLC, Term Loan Credit Facility, 8.112% (LIBOR + 600 bps), 5/13/22
 1,713,091
 
1,488,750
 
Traverse Midstream Partners LLC, Advance Term Loan, 6.26% (LIBOR + 400 bps), 9/27/24
 1,410,591
     
Total Oil & Gas
 
$15,233,002
     
Personal, Food & Miscellaneous Services - 3.9%
 
 
750,548
 
CSM Bakery Solutions, Ltd. (fka CSM Bakery Supplies, Ltd.), First Lien Term Loan, 6.29% (LIBOR + 400 bps), 7/3/20
$718,649
 
1,589,696
 
Diamond (BC) BV (aka Diversey), Initial USD Term Loan, 5.256% (LIBOR + 300 bps), 9/6/24
 1,462,521
 
1,535,587
 
IRB Holding Corp. (aka Arby’s/Buffalo Wild Wings), Term B Loan, 5.55% (LIBOR + 325 bps), 2/5/25
 1,528,630
 
2,017,375
 
Knowlton Development Corp., Inc., Initial Term Loan, 6.362% (LIBOR + 425 bps), 12/22/25
 2,023,994
 
908,093
 
Match Group, Inc. (fka The Match Group, Inc.), Additional Term B-1 Loan, 4.659% (LIBOR + 250 bps), 11/16/22
   912,633
 
1,510,526
 
Parfums Holding Co., Inc., First Lien Initial Term Loan, 6.374% (LIBOR + 425 bps), 6/30/24
 1,504,106
 
1,000,000
 
Parfums Holding Co., Inc., Second Lien Initial Term Loan, 11.08% (LIBOR + 875 bps), 6/30/25
   998,750
 
1,376,675
 
Prime Security Services Borrower LLC (aka Protection 1 Security Solutions) , First Lien December 2018 Incremental Term B-1 Loan, 4.862% (LIBOR + 275 bps), 5/2/22
 1,377,658
 
1,419,871
 
Revlon Consumer Products Corp., Initial Term Loan B, 5.624% (LIBOR + 350 bps), 9/7/23
 1,134,714
     
Total Personal, Food & Miscellaneous Services
 
$11,661,655
     
Printing & Publishing - 1.0%
 
 
2,322,738
 
Red Ventures LLC (New Imagitas, Inc.), First Lien Term B-1 Loan, 5.112% (LIBOR + 300 bps), 11/8/24
$2,324,605
 
549,911
 
Trader Corp., First Lien 2017 Refinancing Term Loan, 5.145% (LIBOR + 300 bps), 9/28/23
   544,412
     
Total Printing & Publishing
 
$2,869,017
     
Professional & Business Services - 4.9%
 
 
1,496,250
 
athenahealth, Inc., First Lien Term B Loan, 6.681% (LIBOR + 450 bps), 2/11/26
$1,490,639
 
1,000,000
 
Blackstone CQP Holdco LP, Initial Term Loan, 5.887% (LIBOR + 350 bps), 9/30/24
 1,001,458
 
1,000,000(b)
 
Clear Channel Outdoor Holdings, Inc., Term B Loan, 8/21/26
 1,000,625
 
1,500,000
 
Ensemble RCM LLC, Closing Date Term Loan, 6.003% (LIBOR + 375 bps), 8/3/26
 1,502,109
 
2,253,238
 
GW Honos Security Corp. (Garda World Security Corp.), Term B Loan, 6.02% (LIBOR + 350 bps), 5/24/24
 2,257,111
 
442,616
 
Horizon Pharma USA, Inc., Sixth Amendment Refinancing Term Loan, 4.75% (LIBOR + 250 bps), 5/22/26
   443,377
 
1,500,000
 
MYOB US Borrower LLC, First Lien Initial US Term Loan, 6.112% (LIBOR + 400 bps), 5/6/26
 1,502,813
 
1,562,013
 
Pre-Paid Legal Services, Inc. (aka LegalShield), First Lien Initial Term Loan, 5.362% (LIBOR + 325 bps), 5/1/25
 1,558,108
 
1,478,841
 
SIWF Holdings, Inc. (aka Spring Window Fashions), First Lien Initial Term Loan, 6.395% (LIBOR + 425 bps), 6/15/25
 1,473,295
 
1,191,000
 
Verscend Holding Corp., Term B Loan, 6.612% (LIBOR + 450 bps), 8/27/25
 1,196,201
 
972,727
 
Victory Capital Holdings, Inc., Initial Term Loan, 5.569% (LIBOR + 325 bps), 7/1/26
   976,983
     
Total Professional & Business Services
 
$14,402,719
     
Retail - 3.7%
 
 
982,500
 
Bass Pro Group LLC, Initial Term Loan, 7.112% (LIBOR + 500 bps), 9/25/24
$937,674
 
1,019,819
 
CDW LLC (aka AP Exhaust Acq) (fka CDW Corp.), Term Loan, 3.87% (LIBOR + 175 bps), 8/17/23
 1,024,153
 
1,427,430
 
Global Appliance, Inc. (aka SharkNinja Operating LLC), Tranche B Term Loan, 6.12% (LIBOR + 400 bps), 9/29/24
 1,422,970
 
297,750
 
HD Supply, Inc., Term B-5 Loan, 3.862% (LIBOR + 175 bps), 10/17/23
   299,301
 
1,110,358
 
Men's Wearhouse, Inc., Tranche B-2 Term Loan, 5.48% (LIBOR + 325 bps), 4/9/25
   988,218
 
731,333
 
Michaels Stores, Inc., 2018 New Replacement Term B Loan, 4.626% (LIBOR + 250 bps), 1/30/23
   695,072
 
Principal
Amount
USD ($)
     
Value
     
Retail - (continued)
 
 
1,944,647
 
Neiman Marcus Group, Ltd. LLC, Cash Pay Extended Term Loan, 8.229% (LIBOR + 600 bps), 10/25/23
$1,595,826
 
1,265,452
 
PetSmart, Inc., Amended Term Loan, 6.21% (LIBOR + 400 bps), 3/11/22
 1,231,443
 
404,963
 
Shutterfly, Inc., Initial Term B Loan, 4.69% (LIBOR + 250 bps), 8/19/24
   405,121
 
922,688
 
Staples, Inc., 2019 Refinancing New Term B-2 Loan, 6.697% (LIBOR + 450 bps), 9/12/24
   899,620
 
1,641,750
 
United Natural Foods, Inc., Initial Term Loan, 6.362% (LIBOR + 425 bps), 10/22/25
 1,346,235
     
Total Retail
 
$10,845,633
     
Retailing - 0.2%
 
 
498,750
 
Servpro Borrower LLC, First Lien Initial Term Loan, 5.612% (LIBOR + 350 bps), 3/26/26
$499,997
     
Total Retailing
 
$499,997
     
Securities & Trusts - 1.0%
 
 
997,500
 
Fastlane Parent Co., Inc., First Lien Initial Term Loan, 6.83% (LIBOR + 450 bps), 2/4/26
$986,278
 
1,995,000
 
KSBR Holding Corp., Initial Term Loan, 6.682% (LIBOR + 450 bps), 4/15/26
 1,999,988
     
Total Securities & Trusts
 
$2,986,266
     
Telecommunications - 4.5%
 
 
2,501,382
 
CenturyLink, Inc., Initial Term B Loan, 4.862% (LIBOR + 275 bps), 1/31/25
$2,470,635
 
1,036,000
 
Commscope, Inc., Initial Term Loan, 5.362% (LIBOR + 325 bps), 4/6/26
 1,033,733
 
1,579,152
 
Frontier Communications Corp., Term B-1 Loan, 5.87% (LIBOR + 375 bps), 6/15/24
 1,564,537
 
813,762
 
Go Daddy Operating Co. LLC (GD Finance Co., Inc.), Tranche B-1 Term Loan, 4.112% (LIBOR + 200 bps), 2/15/24
   816,495
 
1,243,406
 
Level 3 Financing, Inc., Tranche B 2024 Term Loan, 4.362% (LIBOR + 225 bps), 2/22/24
 1,245,931
 
1,033,952
 
Plantronics, Inc., Initial Term B Loan, 4.612% (LIBOR + 250 bps), 7/2/25
 1,031,884
 
348,250
 
Sprint Communications, Inc., 2019 Incremental Term Loan, 5.125% (LIBOR + 300 bps), 2/2/24
   348,304
 
2,521,999
 
Sprint Communications, Inc., Initial Term Loan, 4.625% (LIBOR + 250 bps), 2/2/24
 2,509,389
 
1,117,713
 
Virgin Media Bristol LLC, Facility K, 4.695% (LIBOR + 250 bps), 1/15/26
 1,118,761
 
540,217
 
Windstream Services LLC (fka Windstream Corp.), Tranche B-6 Term Loan, 10.25% (PRIME + 500 bps), 3/29/21
   551,359
 
750,000
 
Windstream Services LLC (fka Windstream Corp.), Tranche B-7 Term Loan, 9.5% (PRIME + 425 bps), 2/17/24
   754,875
     
Total Telecommunications
 
$13,445,903
     
Textile & Apparel - 0.5%
 
 
1,500,000
 
Adient US LLC, Initial Term Loan, 6.78% (LIBOR + 425 bps), 5/6/24
$1,477,500
     
Total Textile & Apparel
 
$1,477,500
     
Transport - 0.3%
 
 
691,745
 
Navios Maritime Partners LP (Navios Partners Finance (US), Inc.), Initial Term Loan, 7.44% (LIBOR + 500 bps), 9/14/20
$690,592
 
758,000(d)
 
Syncreon Global Finance (US), Inc. (Syncreon Group BV), Term Loan, 6.362% (LIBOR + 425 bps), 10/28/20
   358,786
     
Total Transport
 
$1,049,378
     
Transportation - 1.7%
 
 
721,375
 
Envision Healthcare Corp., Initial Term Loan, 5.862% (LIBOR + 375 bps), 10/10/25
$560,869
 
1,800,000
 
Travelport Finance (Luxembourg) S.a r.l., First Lien Initial Term Loan, 7.541% (LIBOR + 500 bps), 5/29/26
 1,666,350
 
2,771,974
 
YRC Worldwide, Inc., Tranche B-1 Term Loan, 10.756% (LIBOR + 850 bps), 7/26/22
 2,734,724
     
Total Transportation
 
$4,961,943
     
Utilities - 2.7%
 
 
1,010,496
 
APLP Holdings LP, Term Loan, 4.862% (LIBOR + 275 bps), 4/13/23
$1,012,552
 
1,428,250
 
Calpine Construction Finance Co. LP, Term B Loan, 4.612% (LIBOR + 250 bps), 1/15/25
 1,427,209
 
700,124
 
Compass Power Generation LLC, Tranche B-1 Term Loan, 5.612% (LIBOR + 350 bps), 12/20/24
   702,859
 
1,426,033
 
Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 5.862% (LIBOR + 375 bps), 10/2/23
 1,432,814
 
1,000,000
 
Edgewater Generation LLC, Term Loan, 5.862% (LIBOR + 375 bps), 12/13/25
   989,062
 
2,250,000
 
Talen Energy Supply LLC, Initial Term Loan 2019, 5.963% (LIBOR + 375 bps), 7/8/26
 2,221,875
 
298,041
 
Vistra Operations Co. LLC (fka Tex Operations Co. LLC), Initial Term Loan, 4.112% (LIBOR + 200 bps), 8/4/23
   298,704
     
Total Utilities
 
$8,085,075
     
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS
 
     
(Cost $371,294,997)
$363,654,100
 
Shares
     
Value
     
COMMON STOCKS - 0.0%† of Net Assets
     
Biotechnology - 0.0%†
 
 
2,454(e)
 
Progenics Pharmaceuticals, Inc.
$10,798
     
Total Biotechnology
 
$10,798
     
Health Care Technology - 0.0%†
 
 
209,625^(e)
 
Medical Card System, Inc.
$2,096
     
Total Health Care Technology
 
$2,096
     
Interactive Media & Services - 0.0%†
 
 
1,242(e)
 
Solocal Group
$980
     
Total Interactive Media & Services
 
$980
     
Specialty Retail - 0.0%†
 
 
91,346^(e)
 
Targus Cayman SubCo., Ltd.
$190,000
     
Total Specialty Retail
 
$190,000
     
TOTAL COMMON STOCKS
 
     
(Cost $258,650)
$203,874
 
Principal
Amount
USD ($)
     
Value
     
ASSET BACKED SECURITY - 0.1% of Net Assets
 
500,000(a)
 
Hertz Fleet Lease Funding LP, Series 2016-1, Class E, 5.701% (1 Month USD LIBOR + 350 bps), 4/10/30 (144A)
$500,882
     
TOTAL ASSET BACKED SECURITY
 
     
(Cost $503,250)
$500,882
     
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.8% of Net Assets
 
760,000(a)
 
Freddie Mac Stacr Trust, Series 2019-HQA1, Class B2, 14.395% (1 Month USD LIBOR + 1,225 bps), 2/25/49 (144A)
$954,181
 
625,000(a)
 
Morgan Stanley Capital I Trust, Series 2019-BPR, Class D, 6.195% (1 Month USD LIBOR + 400 bps), 5/15/36 (144A)
625,771
 
1,000,000
 
Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.0%, 5/15/48 (144A)
   716,737
     
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
 
     
(Cost $2,135,264)
$2,296,689
     
CORPORATE BONDS - 9.8% of Net Assets
     
Aerospace & Defense - 0.3%
 
 
1,000,000
 
Bombardier, Inc., 6.0%, 10/15/22 (144A)
$992,500
     
Total Aerospace & Defense
 
$992,500
     
Airlines - 0.1%
 
 
365,000
 
Air Canada 2015-1 Class C Pass Through Trust, 5.0%, 3/15/20 (144A)
$367,628
     
Total Airlines
 
$367,628
     
Banks - 0.2%
 
 
690,000(f)(g)
 
BNP Paribas SA, 7.625% (5 Year USD Swap Rate + 631 bps) (144A)
$729,675
     
Total Banks
 
$729,675
     
Chemicals - 0.6%
 
 
1,000,000
 
OCI NV, 6.625%, 4/15/23 (144A)
$1,055,000
 
758,000
 
Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 4/1/25 (144A)
   712,520
     
Total Chemicals
 
$1,767,520
     
Coal - 0.3%
 
 
1,000,000
 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.5%, 6/15/25 (144A)
$946,875
     
Total Coal
 
$946,875
     
Diversified Financial Services - 0.9%
 
 
1,700,000
 
Avation Capital SA, 6.5%, 5/15/21 (144A)
$1,755,250
 
1,000,000
 
Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/26 (144A)
 1,057,500
     
Total Diversified Financial Services
 
$2,812,750
     
Electrical Components & Equipment - 0.4%
 
 
1,000,000
 
Energizer Holdings, Inc., 6.375%, 7/15/26 (144A)
$1,053,750
     
Total Electrical Components & Equipment
 
$1,053,750
     
Entertainment - 0.6%
 
 
1,500,000
 
Enterprise Development Authority, 12.0%, 7/15/24 (144A)
$1,681,050
     
Total Entertainment
 
$1,681,050
     
Environmental Control - 0.3%
 
 
1,000,000
 
Tervita Corp., 7.625%, 12/1/21 (144A)
$1,015,000
     
Total Environmental Control
 
$1,015,000
     
Forest Products & Paper - 0.5%
 
 
1,515,000
 
Schweitzer-Mauduit International, Inc., 6.875%, 10/1/26 (144A)
$1,560,450
     
Total Forest Products & Paper
 
$1,560,450
     
Healthcare-Services - 0.2%
 
 
500,000
 
CHS/Community Health Systems, Inc., 6.25%, 3/31/23
$483,800
 
48,000
 
CHS/Community Health Systems, Inc., 8.125%, 6/30/24 (144A)
   36,480
     
Total Healthcare-Services
 
$520,280
     
Holding Companies-Diversified - 0.5%
 
 
1,520,000
 
VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A)
$1,493,400
     
Total Holding Companies-Diversified
 
$1,493,400
     
Home Builders - 0.4%
 
 
1,000,000
 
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.875%, 4/15/23 (144A)
$1,065,000
     
Total Home Builders
 
$1,065,000
     
Media - 0.5%
 
 
300,000
 
CSC Holdings LLC, 5.5%, 4/15/27 (144A)
$321,000
 
1,000,000
 
Sirius XM Radio, Inc., 3.875%, 8/1/22 (144A)
 1,017,500
     
Total Media
 
$1,338,500
     
Mining - 0.3%
 
 
1,000,000
 
Hudbay Minerals, Inc., 7.625%, 1/15/25 (144A)
$1,014,980
     
Total Mining
 
$1,014,980
     
Miscellaneous Manufacturers - 0.4%
 
 
1,000,000
 
EnPro Industries, Inc., 5.75%, 10/15/26
$1,047,500
     
Total Miscellaneous Manufacturers
 
$1,047,500
     
Oil & Gas - 0.1%
 
 
245,000
 
Gulfport Energy Corp., 6.625%, 5/1/23
$198,450
     
Total Oil & Gas
 
$198,450
     
Oil & Gas Services - 0.6%
 
 
1,000,000
 
Archrock Partners LP/Archrock Partners Finance Corp., 6.0%, 10/1/22
$1,015,950
 
1,000,000
 
FTS International, Inc., 6.25%, 5/1/22
   831,875
     
Total Oil & Gas Services
 
$1,847,825
     
Pharmaceuticals - 0.4%
 
 
1,000,000
 
Bausch Health Cos., Inc., 5.5%, 11/1/25 (144A)
$1,048,730
     
Total Pharmaceuticals
 
$1,048,730
 
Principal
Amount
USD ($)
     
Value
     
Retail - 0.1%
 
 
208,000
 
Penske Automotive Group, Inc., 3.75%, 8/15/20
$208,520
     
Total Retail
 
$208,520
     
Telecommunications - 1.5%
 
 
1,000,000
 
Frontier Communications Corp., 8.5%, 4/1/26 (144A)
$972,500
 
1,000,000
 
Frontier Communications Corp., 11.0%, 9/15/25
507,500
 
1,000,000
 
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.738%, 3/20/25 (144A)
 1,060,000
 
2,000,000(d)
 
Windstream Services LLC/Windstream Finance Corp., 8.625%, 10/31/25 (144A)
 2,010,000
     
Total Telecommunications
 
$4,550,000
     
Transportation - 0.6%
 
 
1,000,000(a)
 
Golar LNG Partners LP, 6.55% (3 Month USD LIBOR + 440 bps), 5/22/20
$1,000,000
 
800,000(a)
 
Golar LNG Partners LP, 8.408% (3 Month USD LIBOR + 625 bps), 5/18/21 (144A)
   795,983
     
Total Transportation
 
$1,795,983
     
TOTAL CORPORATE BONDS
 
     
(Cost $29,024,893)
$29,056,366
     
INSURANCE-LINKED SECURITIES - 2.2% of Net Assets(h)
     
Catastrophe Linked Bonds - 0.4%
 
     
Earthquakes - California - 0.1%
   
 
250,000(a)
 
Ursa Re, 5.476% (3 Month U.S. Treasury Bill + 350 bps), 5/27/20 (144A)
$247,625
     
Multiperil - U.S. - 0.3%
   
 
250,000(a)
 
Kilimanjaro Re, 8.726% (3 Month U.S. Treasury Bill + 675 bps), 12/6/19 (144A)
 $248,225
 
250,000(a)
 
Kilimanjaro Re, 11.226% (3 Month U.S. Treasury Bill + 925 bps), 12/6/19 (144A)
   222,925
 
400,000(a)
 
Kilimanjaro II Re, 8.213% (6 Month USD LIBOR + 630 bps), 4/20/21 (144A)
397,600
       
$868,750
     
Total Catastrophe Linked Bonds
 
$1,116,375
 
Face
Amount
USD ($)
     
Value
     
Collateralized Reinsurance - 0.4%
 
     
Earthquakes - California - 0.0%†
   
 
250,000+(i)
 
Resilience Re, 12/14/19
$2,000
     
Multiperil - U.S. Regional - 0.1%
   
 
250,000+(e)(i)
 
Ocean View Re 2019, 6/30/20
$242,161
     
Multiperil - Worldwide - 0.3%
   
 
307,363+(i)
 
Kilarney Re 2018, 4/15/20
$155,157
 
242,000+(e)(i)
 
Limestone Re 2019-2, 3/1/23 (144A)
   245,219
 
250,000+(e)(i)
 
Resilience Re, 10/8/19
   275,625
 
300,000+(e)(i)
 
Resilience Re, 4/6/20
   30
       
$676,031
     
Windstorm - Florida - 0.0%†
   
 
250,000+(i)
 
Formby Re 2018, 2/28/20
$79,216
 
86,906+(e)(i)
 
Formby Re 2018-2, 3/31/20
   713
       
$79,929
     
Total Collateralized Reinsurance
 
$1,000,121
     
Reinsurance Sidecars - 1.4%
 
     
Multiperil - U.S. - 0.1%
   
 
250,000+(e)(i)
 
Carnoustie Re 2016, 11/30/20
$6,750
 
250,000+(e)(i)
 
Carnoustie Re 2017, 11/30/21
   63,550
 
250,000+(e)(j)
 
Harambee Re 2018, 12/31/21
   28,750
 
250,000+(e)(j)
 
Harambee Re 2019, 12/31/22
   261,025
       
$360,075
     
Multiperil - Worldwide - 1.3%
   
 
250,000+(e)(i)
 
Alturas Re 2019-2, 3/10/22
$262,475
 
250,000+(e)(i)
 
Bantry Re 2016, 3/30/20
   20,150
 
1,270,809+(i)
 
Berwick Re 2018-1, 12/31/21
   202,948
 
978,371+(e)(i)
 
Berwick Re 2019-1, 12/31/22
 1,022,095
 
380,000+(e)(i)
 
Eden Re II, 3/22/23 (144A)
   419,520
 
20,000+(e)(i)
 
Eden Re II, 3/22/22 (144A)
   47,662
 
250,000+(i)
 
Gleneagles Re 2016, 11/30/20
   7,800
 
8,000+(e)(i)
 
Limestone Re 2018, 3/1/22
   30,178
 
300,000+(e)(j)
 
Lorenz Re 2018, 7/1/21
   59,250
 
199,590+(e)(j)
 
Lorenz Re 2019, 6/30/22
   208,332
 
300,000+(e)(i)
 
Merion Re 2018-2, 12/31/21
   309,067
 
400,000+(i)
 
Pangaea Re 2016-1, 11/30/20
   1,320
 
400,000+(e)(i)
 
Pangaea Re 2017-1, 11/30/21
   6,440
 
400,000+(e)(i)
 
Pangaea Re 2018-1, 12/31/21
   23,520
 
400,000+(e)(i)
 
Pangaea Re 2018-3, 7/1/22
   19,840
 
327,699+(e)(i)
 
Pangaea Re 2019-1, 2/1/23
   338,670
 
294,125+(e)(i)
 
Pangaea Re 2019-3, 7/1/23
   301,978
 
250,000+(e)(i)
 
Sector Re V, Series 7, Class A, 12/1/23 (144A)
   251,264
 
400,000+(e)(i)
 
St. Andrews Re 2017-1, 2/1/20
   27,120
 
347,597+(e)(i)
 
St. Andrews Re 2017-4, 6/1/20
   34,204
 
253,645+(i)
 
Woburn Re 2018, 12/31/21
   107,799
 
Face
Amount
USD ($)
     
Value
     
Multiperil - Worldwide - (continued)
   
 
244,914+(e)(i)
 
Woburn Re 2019, 12/31/22
$255,646
       
$3,957,278
     
Total Reinsurance Sidecars
 
$4,317,353
     
TOTAL INSURANCE-LINKED SECURITIES
 
     
(Cost $6,706,332)
$6,433,849
 
Principal
Amount
USD ($)
     
Value
     
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.0% of Net Assets
 
20,000,000(k)
 
U.S. Treasury Bills, 9/17/19
$19,984,240
 
12,500,000(k)
 
U.S. Treasury Bills, 9/24/19
 12,485,125
     
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
 
     
(Cost $32,465,626)
$32,469,365
 
Shares
     
Value
     
INVESTMENT COMPANIES - 1.7% of Net Assets
 
40,000
 
BlackRock Floating Rate Income Strategies Fund, Inc.
$498,400
 
30,000
 
Eaton Vance Floating-Rate Income Trust
   392,400
 
50,000
 
First Trust Senior Floating Rate Income Fund II
   586,000
 
50,000
 
Invesco Senior Income Trust
   207,000
 
42,000
 
Invesco Senior Loan ETF (formerly, PowerShares Senior Loan Portfolio)
   949,620
 
27,000
 
iShares iBoxx High Yield Corporate Bond ETF
 2,353,320
     
TOTAL INVESTMENT COMPANIES
 
     
(Cost $5,127,287)
$4,986,740
     
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 148.3%
 
     
(Cost $447,516,299)
$439,601,865
     
OTHER ASSETS AND LIABILITIES - (48.3)%  
$(143,215,326)
     
NET ASSETS - 100.0%
$296,386,539
 


bps
Basis Points.
LIBOR
London Interbank Offered Rate.
PRIME
U.S. Federal Funds Rate.
REIT
Real Estate Investment Trust.
(144A)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At August 31, 2019, the value of these securities amounted to $28,640,382, or 9.7% of net assets.
 

Amount rounds to less than 0.1%.
*
Senior secured floating rate loan interests in which the Trust invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at August 31, 2019.
+
Security that used significant unobservable inputs to determine its value.
^
Security is valued using fair value methods (other than supplied by independent pricing services).
(a)
Floating rate note. Coupon rate, reference index and spread shown at August 31, 2019.
(b)
This term loan will settle after August 31, 2019, at which time the interest rate will be determined.
(c)
Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount.
(d)
Security is in default.
(e)
Non-income producing security.
(f)
The interest rate is subject to change periodically. The interest rate and/or reference index and spread is shown at August 31, 2019.
(g)
Security is perpetual in nature and has no stated maturity date.
(h)
Securities are restricted as to resale.
(i)
Issued as participation notes.
(j)
Issued as preference shares.
(k)
Security issued with a zero coupon. Income is recognized through accretion of discount.

SWAP CONTRACTS
                         
                                 
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - SELL PROTECTION
                 

 
Obligation

 
Annual
 

 

   
Unrealized
   

 
Notional
 
Reference/
Pay/
 
Fixed
  Expiration  
Premiums
   
Appreciation
   
Market
 
Amount ($)(1)   Index
Receive(2)
  Rate   Date  
Paid
   
(Depreciation)
   
Value
 
1,012,000
 
Markit CDX North America High Yield Index Series 24
Receive
 
5.00%

6/20/2020
 
$
54,046
   
(23,114
)
 
$
30,932
 
1,036,950
 
Markit CDX North America High Yield Index Series 25
Receive
 
5.00%

12/20/2020
   
57,505
     
(11,420
)
   
46,085
 
10,177,200
 
Markit CDX North America High Yield Index Series 32
Receive
 
5.00%

6/20/2024
   
625,714
     
154,821
     
780,535
 
TOTAL SWAP CONTRACTS
                
$
737,265
   
$
120,287
   
$
857,552
 
                                           

(1)
The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event.
(2)
Receives quarterly.

Principal amounts are denominated in U.S. dollars (“USD”) unless otherwise noted.

Various inputs are used in determining the value of the Trust's investments. These inputs are summarized in the three broad levels below.
 
Level 1 - 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 risks, etc.).
Level 3 - significant unobservable inputs (including the Trust's own assumptions in determining fair value of investments).
 
The following is a summary of the inputs used as of August 31, 2019, in valuing the Trust's investments:

   
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Senior Secured Floating Rate Loan Interests
 
$
     
$
363,654,100
   
$
     
$
363,654,100
 
Common Stocks
                               
Health Care Technology
   
     
     
2,096
     
2,096
 
Specialty Retail
   
     
     
190,000
     
190,000
 
All Other Common Stocks
   
11,778
     
     
     
11,778
 
Asset Backed Security
   
     
500,882
     
     
500,882
 
Collateralized Mortgage Obligations
   
     
2,296,689
     
     
2,296,689
 
Corporate Bonds
   
     
29,056,366
     
     
29,056,366
 
Insurance-Linked Securities
                               
Collateralized Reinsurance
                               
Earthquakes - California
   
     
     
2,000
     
2,000
 
Multiperil - U.S. Regional
   
     
     
242,161
     
242,161
 
Multiperil - Worldwide
   
     
     
676,031
     
676,031
 
Windstorm - Florida
   
     
     
79,929
     
79,929
 
Reinsurance Sidecars
                               
Multiperil - U.S.
   
     
     
360,075
     
360,075
 
Multiperil - Worldwide
   
     
     
3,957,278
     
3,957,278
 
All Other Insurance-Linked Securities
   
     
1,116,375
     
     
1,116,375
 
U.S. Government and Agency Obligations
   
     
32,469,365
     
     
32,469,365
 
Investment Companies
   
4,986,740
     
     
     
4,986,740
 
Total Investments in Securities
 
$
4,998,518
   
$
429,093,777
   
$
5,509,570
   
$
439,601,865
 
Other Financial Instruments
                               
Swap contracts, at value
 
$
   
$
857,552
   
$
   
$
857,552
 
Total Other Financial Instruments
 
$
   
$
857,552
   
$
   
$
857,552
 
   

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
 
   
   
Balance
as of
11/30/18
   
Realized
gain
(loss)
   
Change in
unrealized
appreciation
(depreciation)
   
Purchases
   
Sales
   
Accrued
discounts/
premiums
   
Transfers
into
Level 3*
   
Transfers
out of
Level 3*
   
Balance
as of
8/31/19
 
Senior Secured Floating Rate Loan Interests
                                                     
       Insurance
 
$
692,754
   
$
(1,201
)
 
$
352,517
   
$
   
$
(1,065,775
)
 
$
21,705
   
$
   
$
   
$
 
Common Stocks
                                                                       
    Health Care
        Technology
   
2,096
     
     
     
     
     
     
     
     
2,096
 
    Specialty Retail
   
190,000
     
     
75,550
     
     
(75,550
)
   
     
     
     
190,000
 
Insurance-Linked Securities
        Collateralized
                                                                       
        Reinsurance
                                                                       
          Earthquakes -
              California
   
550,000
     
     
(22,047
)
   
225,472
     
(751,425
)
   
     
     
     
2,000
 
          Multiperil -
               U.S. Regional
   
     
     
5,276
     
236,885
     
     
     
     
     
242,161
 
          Multiperil -
               Worldwide
   
544,491
     
     
(57,328
)
   
277,632
     
(88,764
)
   
     
     
     
676,031
 
          Windstorm -
              Florida
   
337,986
     
     
8,048
     
86,907
     
(353,012
)
   
     
     
     
79,929
 
          Windstorm -
              U.S. Regional
   
248,750
     
     
(14,272
)
   
     
(234,478
)
   
     
     
     
 
    Industry Loss
                                                                       
        Warranties
                                                                       
         Multiperil - U.S.
   
400,469
     
(1,836
)
   
(24,731
)
   
27,574
     
(401,476
)
   
     
     
     
 
    Reinsurance
       Sidecars
                                                                       
         Multiperil - U.S.
   
295,675
     
     
2,526
     
250,000
     
(188,126
)
   
     
     
     
360,075
 
         Multiperil -
               Worldwide
   
3,493,097
     
20,150
     
(17,579
)
   
2,964,849
     
(2,503,239
)
   
     
     
     
3,957,278
 
Total
 
$
6,755,318
   
$
17,113
   
$
307,960
   
$
4,069,319
   
$
(5,661,845
)
 
$
21,705
   
$
   
$
--
   
$
5,509,570
 

 *        Transfers are calculated on the beginning of period values. For the nine months ended August 31, 2019, there were no transfers between Levels 1, 2 and 3.
 
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at August 31, 2019: $21,311.