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