0001752724-21-230233.txt : 20211028 0001752724-21-230233.hdr.sgml : 20211028 20211028141007 ACCESSION NUMBER: 0001752724-21-230233 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210831 FILED AS OF DATE: 20211028 PERIOD START: 20211130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Pioneer Floating Rate Fund, Inc. CENTRAL INDEX KEY: 0001305767 IRS NUMBER: 582683903 STATE OF INCORPORATION: MD FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21654 FILM NUMBER: 211357074 BUSINESS ADDRESS: STREET 1: 60 STATE STREET STREET 2: 5TH FLOOR CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 617-742-7825 MAIL ADDRESS: STREET 1: 60 STATE STREET STREET 2: 5TH FLOOR CITY: BOSTON STATE: MA ZIP: 02109 FORMER COMPANY: FORMER CONFORMED NAME: Pioneer Floating Rate Trust DATE OF NAME CHANGE: 20041013 NPORT-P 1 primary_doc.xml NPORT-P false 0001305767 XXXXXXXX Pioneer Floating Rate Fund, Inc. 811-21654 0001305767 14KCTV0UEB8JC8MU2I61 60 State Street NULL Boston 02109 617-422-4947 Pioneer Floating Rate Fund, Inc. 14KCTV0UEB8JC8MU2I61 2021-11-30 2021-08-31 N 226780431.07 82104077.30 144676353.77 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 7506021.93000000 ARS AUD BRL CAD CHF 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N/A 1435000.00000000 NS USD 1435000.00000000 0.991869066787 Long LON CORP US N 2 2028-04-07 Floating 5.75000000 N N N N N N T/L ELECTRICAL COM 0% 06/14/25 N/A T/L ELECTRICAL COMPONENTS INTERNATIONAL INC REGD 0.00000000 29279EAB8 1718761.37000000 NS USD 1705870.66000000 1.179094313305 Long LON CORP US N 2 2025-06-14 Floating 4.34863000 N N N N N N BOMBARDIER INC 7.125% 06/15/26 W7L3VLU8EHQY34Z36697 BOMBARDIER INC REGD 144A P/P 7.12500000 097751BV2 500000.00000000 NS USD 527500.00000000 0.364606921763 Long DBT CORP CA Y 2 2026-06-15 Fixed 7.12500000 N N N N N N T/L GLOBAL HEALT 0% 06/28/2024 N/A T/L GLOBAL HEALTHCARE EXCHANGE LLC REGD 0.00000000 N/A 498700.98000000 NS USD 498077.60000000 0.344270219024 Long LON CORP US N 2 2024-06-28 Floating 4.00000000 N N N N N N FREEDOM MORTGAG 8.25% 04/15/25 549300LYRWPSYPK6S325 FREEDOM MORTGAGE CORP REGD 144A P/P 8.25000000 35640YAB3 391000.00000000 NS USD 398820.00000000 0.275663568791 Long DBT CORP US Y 2 2025-04-15 Fixed 8.25000000 N N N N N N 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REGD 0.00000000 36740UAT9 1147349.27000000 NS USD 1143763.80000000 0.790567200648 Long LON CORP US N 2 2027-02-19 Floating 3.25000000 N N N N N N ARTEX SAC LTD V/R 12/31/21 N/A ARTEX SAC LIMITED WOBURN SEGREGATED ACCOUNT /BNR3SDP81/ 1.49000000 N/A 253645.00000000 NS USD 18566.81000000 0.012833341120 Long DBT CORP BM N 3 2021-12-31 Variable 1.49000000 N N N N N N T/L SUMMER (BC) 0% 12/04/2026 N/A T/L SUMMER (BC) BIDCO B LLC REGD 0.00000000 N/A 1000000.00000000 NS USD 998542.00000000 0.690190189329 Long LON CORP US N 2 2026-12-04 Floating 5.25000000 N N N N N N PATRICK INDUSTRI 7.5% 10/15/27 549300FZ5ZTCCJ3Z5W14 PATRICK INDUSTRIES INC REGD 144A P/P 7.50000000 703343AC7 996000.00000000 NS USD 1080660.00000000 0.746949983076 Long DBT CORP US Y 2 2027-10-15 Fixed 7.50000000 N N N N N N LBM ACQUISITION 6.25% 01/15/29 549300FAEB3VWZL4NI86 LBM ACQUISITION LLC REGD 144A P/P 6.25000000 05552BAA4 500000.00000000 NS USD 501875.00000000 0.346894974141 Long DBT CORP US Y 2 2029-01-15 Fixed 6.25000000 N N N N N N T/L ALLIANT INSUR 0% 05/09/25 N/A T/L ALLIANT INSURANCE SERVICES INC REGD 0.00000000 01881UAF2 513933.69000000 NS USD 509115.56000000 0.351899634413 Long LON CORP US N 2 2025-05-09 Floating 3.33463000 N N N N N N T/L RV RETAILER 0% 01/28/2028 N/A T/L RV RETAILER LLC REGD 0.00000000 N/A 748125.00000000 NS USD 748125.00000000 0.517102470794 Long LON CORP US N 2 2028-01-28 Floating 4.75000000 N N N N N N T/L GOGO INTER 0% 04/21/2028 N/A T/L GOGO INTERMEDIATE HOLDINGS LLC REGD 0.00000000 N/A 500000.00000000 NS USD 499375.00000000 0.345166979252 Long LON CORP US N 2 2028-04-21 Floating 4.50000000 N N N N N N T/L TRADER CORPORAT0% 9/28/23 N/A T/L TRADER CORPORATION REGD 0.00000000 N/A 454779.19000000 NS USD 454494.95000000 0.314145980429 Long LON CORP CA N 2 2023-09-28 Floating 4.00000000 N N N N N N T/L TRAVERSE MIDST 0% 09/27/24 N/A T/L TRAVERSE MIDSTREAM PARTNERS LLC REGD 0.00000000 89435TAB0 3460298.24000000 NS USD 3468641.02000000 2.397517582945 Long LON CORP US N 2 2024-09-27 Floating 6.50000000 N N N N N N MORGN 2019-4A E V/R 04/20/30 N/A 522 FUNDING CLO 2019-4 LTD SER 2019-4A CL E V/R REGD 144A P/P 7.13425000 04623GAA1 1000000.00000000 NS USD 992215.00000000 0.685816979862 Long ABS-CBDO CORP KY Y 2 2030-04-20 Variable 7.13425000 N N N N N N 2021-09-30 Pioneer Floating Rate Fund, Inc. Anthony J. Koenig, Jr. Anthony J. Koenig, Jr. Treasurer and Chief Accounting and Financial Officer XXXX NPORT-EX 2 pio82846.htm

 

 

     
     
   

Pioneer Floating

Rate Fund, Inc.

     
     
     
     
     
     
     
     
    Schedule of Investments | August 31, 2021
     
     
    Ticker Symbol:    PHD
     

 

 

 
 

 

Schedule of Investments | 8/31/21 (unaudited)

 

  Principal
Amount
USD ($)		     Value
    UNAFFILIATED ISSUERS - 146.0%    
    SENIOR SECURED FLOATING RATE LOAN INTERESTS - 122.7% of Net Assets*(a)
    Aerospace & Defense - 4.5%  
  769,188 MAG DS Corp., Initial Term Loan, 6.5% (LIBOR + 550 bps), 4/1/27 $ 755,727
  1,250,000 Mileage Plus Holdings LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan, 6.25% (LIBOR + 525 bps), 6/21/27   1,328,054
  1,214,418 MRO Holdings, Inc., Initial Term Loan, 5.147% (LIBOR + 500 bps), 6/4/26   1,208,346
  997,500 Peraton Corp., First Lien Term B Loan, 4.5% (LIBOR + 375 bps), 2/1/28   999,163
  696,500 Spirit Aerosystems, Inc. (fka Mid-Western Aircraft Systems, Inc & Onex Wind Finance LP.), Initial Term Loan, 6.0% (LIBOR + 525 bps), 1/15/25   703,465
  1,549,193 WP CPP Holdings LLC, First Lien Initial Term Loan, 4.75% (LIBOR + 375 bps), 4/30/25   1,490,452
    Total Aerospace & Defense   $ 6,485,207
    Airlines - 3.0%  
  500,000 AAdvantage Loyalty IP, Ltd. (American Airlines, Inc.), Initial Term Loan, 5.5% (LIBOR + 475 bps), 4/20/28 $ 515,643
  1,277,392 Allegiant Travel Co., Replacement Term Loan, 3.124% (LIBOR + 300 bps), 2/5/24   1,271,204
  1,170,000 Grupo Aeromexico, SAB de CV, DIP Tranche 1 Term Loan, 9.0% (LIBOR + 800 bps), 12/30/21   1,178,775
  1,030,750 Highline Aftermarket Acquisition LLC, First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 11/9/27   1,035,260
  340,000 SkyMiles IP, Ltd. (Delta Air Lines, Inc.), Initial Term Loan, 4.75% (LIBOR + 375 bps), 10/20/27   360,846
    Total Airlines   $ 4,361,728
    Automobile - 1.6%  
  1,488,654 IXS Holdings, Inc., Initial Term Loan, 5.0% (LIBOR + 425 bps), 3/5/27 $ 1,488,654
  748,125 RVR Dealership Holdings LLC, Term Loan, 4.75% (LIBOR + 400 bps), 2/8/28   748,125
  5,801 Thor Industries, Inc., Term B-1 USD Loan, 3.125% (LIBOR + 300 bps), 2/1/26   5,809
    Total Automobile   $ 2,242,588
    Automotive - 1.6%  
  1,000,000 American Trailer World Corp., First Lien Initial Term Loan, 4.5% (LIBOR + bps), 3/3/28 $ 991,250
  600,000 Autokiniton US Holdings, Inc., (aka L&W, Inc.) Closing Date Term B Loan, 5.0% (LIBOR + 450 bps), 4/6/28   601,725
  750,000 Wheel Pros, Inc., First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 5/11/28   751,747
    Total Automotive   $ 2,344,722
    Banking - 0.4%  
  498,750 Azalea TopCo, Inc., First Lien 2021 Term Loan, 4.5% (LIBOR + 375 bps), 7/24/26 $ 500,309
  20,207 Nouryon Finance BV, Initial Dollar Term Loan, 2.838% (LIBOR + 275/PRIME + 175 bps), 10/1/25   20,011
    Total Banking   $ 520,320
    Building Materials - 1.0%  
  400,000 Foundation Building Materials, Inc., First Lien Initial Term Loan, 3.75% (LIBOR + 325 bps), 1/31/28 $ 397,322
  1,000,000 Groupe Solmax, Inc., Term Loan, 5.5% (LIBOR + bps), 5/29/28   1,000,938
    Total Building Materials   $ 1,398,260
    Buildings & Real Estate - 2.5%  
  1,477,262 Cornerstone Building Brands, Inc., Term Loan B, 3.75% (LIBOR + 325 bps), 4/12/28 $ 1,475,415
  700,000 SRS Distribution, Inc., 2021 Refinancing Term Loan, 4.25% (LIBOR + bps), 6/2/28   697,320
  1,466,401 WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 6.0% (LIBOR + 500 bps), 9/29/23   1,469,151
    Total Buildings & Real Estate   $ 3,641,886
    Chemicals - 3.4%  
  1,097,250 CPC Acquisition Corp., First Lien Initial Term Loan, 4.5% (LIBOR + 375 bps), 12/29/27 $ 1,096,107
  750,000(b) Geon Performance Solutions LLC (Fka. Echo US Holdings LLC), Cov-Lite Term Loan B, 8/10/28   752,344
  708,479 Graham Packaging Co., Inc. Initial Term Loan (2021), 3.75% (LIBOR + 300 bps), 8/4/27   706,087
  600,000 Herens Holdco S.a.r.l., Term Loan B, 4.75% (LIBOR + bps), 7/3/28   600,375
  723,188 LSF11 Skyscraper Holdco S.a r.l., Facility B3 (USD) Term Loan, 4.25% (LIBOR + 350 bps), 9/29/27   724,091
  992,513 Plaze, Inc., 2020-1 Additional Term Loan, 4.5% (LIBOR + 375 bps), 8/3/26   987,550
    Total Chemicals   $ 4,866,554
    Chemicals, Plastics & Rubber - 2.2%  
  498,747 Charter Next Generation, Inc., First Lien Initial Term Loan 2021, 4.5% (LIBOR + bps), 12/1/27 $ 499,578
  977,089 Gemini HDPE LLC, 2027 Advance Term Loan, 3.5% (LIBOR + 300 bps), 12/31/27   976,478
  1,030,052 Hexion, Inc., USD Term Loan, 3.65% (LIBOR + 350 bps), 7/1/26   1,030,482
  613,043(b) Tekni-Plex, Inc. (aka Trident TPI Holdings, Inc.), Incremental Term Loan, 7/29/28   613,874
    Total Chemicals, Plastics & Rubber   $ 3,120,412
    Commercial Support Services - 0.3%  
  500,000 Sotheby's, 2021 Second Refinancing Term Loan, 5.0% (LIBOR + bps), 1/15/27 $ 503,125
    Total Commercial Support Services   $ 503,125
    Computers & Electronics – 6.6%  
  1,135,000 Ahead DB Holdings LLC, First Lien Term B Loan, 4.5% (LIBOR + 375 bps), 10/18/27 $ 1,139,357
  1,304,719 Cornerstone OnDemand, Inc., 2021 Refinancing Term Loan, 3.338% (LIBOR + 325 bps), 4/22/27   1,305,126
  1,150,000 Magenta Buyer LLC, First Lien Initial Term Loan, 5.75% (LIBOR + bps), 7/27/28   1,150,000
  500,000 Redstone HoldCo 2 LP, First Lien Initial Term Loan, 5.5% (LIBOR + 475 bps), 4/27/28   500,000
  600,000 Vision Solutions, Inc. (Precisely Software, Inc.), First Lien Initial Term Loan, 5.0% (LIBOR + 425 bps), 4/24/28   599,500
         
  Principal
Amount
USD ($)		     Value
    Computers & Electronics – (continued)  
  1,718,761 Energy Acquisition LP (aka Electrical Components International), First Lien Initial Term Loan, 4.349% (LIBOR + 425 bps), 6/26/25 $ 1,705,871
  598,500 Indy US Bidco LLC, (aka NielsenIQ) Tranche B-1 Term Loan, 4.096% (LIBOR + 400 bps), 3/6/28 598,607
  1,243,750 LogMeIn, Inc., First Lien Initial Term Loan, 4.847% (LIBOR + 475 bps), 8/31/27   1,241,529
  500,000 Mavenir Systems, Inc., Initial Term Loan, 5.25% (LIBOR + bps), 8/18/28   500,625
  897,750 Pitney Bowes Inc. Refinancing Tranche B Term Loan, 4.09% (LIBOR + 400 bps), 3/17/28   901,116
    Total Computers & Electronics   $ 9,641,731
    Construction & Building - 1.4%  
  500,000 Aegion Corp., Initial Term Loan, 5.5% (LIBOR + 475 bps), 5/17/28 $ 505,391
  997,500 CP Atlas Buyer, Inc. (aka American Bath), Term B Loan, 4.25% (LIBOR + 375 bps), 11/23/27   994,445
  479,452 Pike Corp., 2028 Initial Term Loan, 3.09% (LIBOR + 300 bps), 1/21/28   478,020
    Total Construction & Building   $ 1,977,856
    Consumer goods: Durable - 0.7%  
  938,125 ADS Tactical, Inc., Initial Term Loan, 6.75% (LIBOR + 575 bps), 3/19/26 $ 941,643
    Total Consumer goods: Durable   $ 941,643
    Consumer Nondurables - 0.5%  
  782,131 Sunshine Luxembourg VII S.a.r.l, (aka Galderma) Facility B3 Term loan, 4.5% (LIBOR + 375 bps), 10/1/26 $ 784,272
    Total Consumer Nondurables   $ 784,272
    Containers, Packaging & Glass - 0.6%  
  791,324 Pregis TopCo LLC, First Lien Initial Term Loan, 4.085% (LIBOR + 375 bps), 7/31/26 $ 791,819
    Total Containers, Packaging & Glass   $ 791,819
    Diversified & Conglomerate Manufacturing - 2.0%  
  1,964,719 Garda World Security Corp., Term B-2 Loan, 4.34% (LIBOR + 425 bps), 10/30/26 $ 1,964,515
  994,920 Pelican Products, Inc., First Lien Term Loan, 4.5% (LIBOR + 350 bps), 5/1/25   992,433
    Total Diversified & Conglomerate Manufacturing   $ 2,956,948
    Diversified & Conglomerate Service - 10.0%  
  1,963,216 CB Poly Investments LLC, First Lien Closing Date Term Loan, 5.5% (LIBOR + 450 bps), 8/16/23 $ 1,919,043
  372,078 DG Investment Intermediate Holdings 2, Inc. (aka Convergint Technologies Holdings LLC), First Lien Closing Date Initial Term Loan, 4.5% (LIBOR + 375 bps), 3/31/28   372,630
  61,052 DG Investment Intermediate Holdings 2, Inc., (aka Convergint Technologies Holdings LLC) First Lien Initial Term Loan, 4.338% (LIBOR + 375 bps), 3/31/28   61,142
  500,000 DG Investment Intermediate Holdings 2, Inc., (aka Convergint Technologies Holdings LLC) Second Lien Initial Term Loan, 7.5% (LIBOR + 675 bps), 3/30/29   502,500
  2,249,637 DTI Holdco, Inc., Replacement B-1 Term Loan, 5.75% (LIBOR + 475 bps), 9/29/23   2,198,217
  1,476,346 First Brands Group LLC, 2021 First Lien Term Loan, 6.0% (LIBOR + 500 bps), 3/30/27   1,491,725
  1,147,349 Gates Global LLC, Initial B-3 Dollar Term Loan, 3.25% (LIBOR + 275 bps), 3/31/27   1,143,764
  498,701 GHX Ultimate Parent Corp., First Lien Initial Term Loan, 4.0% (LIBOR + 300 bps), 6/28/24   498,078
  844,781 Intrado Corp., Initial Term B Loan, 5.0% (LIBOR + 400 bps), 10/10/24   818,080
  486,250 Ozark Holdings LLC (aka Royal Oak), 2020 Refinancing Term Loan, 4.25% (LIBOR + 400 bps), 12/16/27   487,694
  600,000(b) Sitel Worldwide Corp., Term Loan, 7/28/28   599,063
  500,000 Sound Inpatient Physicians, Inc., First Lien 2021 Incremental Term Loan, 3.5% (LIBOR + 350 bps), 6/27/25   498,229
  3,924,765 Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24   3,829,099
    Total Diversified & Conglomerate Service   $ 14,419,264
    Electric & Electrical - 0.7%  
  1,047,375 Rackspace Technology Global, Inc., First Lien 2021 Term B Loan, 3.5% (LIBOR + 275 bps), 2/15/28 $ 1,038,080
    Total Electric & Electrical   $ 1,038,080
    Electronics - 4.3%  
  750,000 CoreLogic, Inc. (fka First American Corp.), First Lien Initial Term Loan, 4.0% (LIBOR + 350 bps), 6/2/28 $ 749,179
  2,240,499 Natel Engineering Co., Inc., Initial Term Loan, 6.0% (LIBOR + 500 bps), 4/30/26   2,167,683
  2,010,890 Scientific Games International, Inc., Initial Term B-5 Loan, 2.835% (LIBOR + 275 bps), 8/14/24   1,996,367
  1,370,657 Ultra Clean Holdings, Inc., Second Amendment Term Loan B, 3.835% (LIBOR + 375 bps), 8/27/25   1,374,084
    Total Electronics   $ 6,287,313
    Entertainment - 0.5%  
  651,750 Enterprise Development Authority, The Term Loan B, 5.0% (LIBOR + 425 bps), 2/28/28 $ 654,194
    Total Entertainment   $ 654,194
    Entertainment & Leisure - 1.2%  
  700,000 AIT Worldwide Logistics Holdings, Inc., First Lien Initial Term Loan, 5.5% (LIBOR + 475 bps), 4/6/28 $ 701,969
  1,094,500 Great American Outdoors Group LLC, Term Loan B, 5.0% (LIBOR + 425 bps), 3/6/28   1,098,995
    Total Entertainment & Leisure   $ 1,800,964
    Environmental Services - 0.5%  
  700,000 LTR Intermediate Holdings, Inc., Initial Term Loan, 5.5% (LIBOR + 450 bps), 5/5/28 $ 702,625
    Total Environmental Services   $ 702,625
    Finance - 1.0%  
  1,470,373 EFS Cogen Holdings I LLC, Term B Loan, 4.5% (LIBOR + 350 bps), 10/1/27 $ 1,470,832
    Total Finance   $ 1,470,832
    Food & Beverage - 0.3%  
  500,000 City Brewing Co., LLC, First Lien Closing Date Term Loan, 4.25% (LIBOR + 350 bps), 4/5/28 $ 499,375
    Total Food & Beverage   $ 499,375
  Principal
Amount
USD ($)		     Value
    Forest Products - 3.2%  
  1,736,875 Chobani LLC, 2020 New Term Loan, 4.5% (LIBOR + 350 bps), 10/25/27 $ 1,740,312
  1,307,537 ProAmpac PG Borrower LLC, First Lien 2020-1 Term Loan, 4.5% (LIBOR + 375 bps), 11/3/25 1,309,178
  1,000,000 Schweitzer-Mauduit International, Inc., Term Loan B, 4.5% (LIBOR + 375 bps), 2/9/28   997,500
  562,500(b) Sylvamo Corp., Term Loan B, 8/18/28   562,852
    Total Forest Products   $ 4,609,842
    Gaming & Hotels - 1.1%  
  500,000 J & J Ventures Gaming LLC, Initial Term Loan, 4.75% (LIBOR + 400 bps), 4/26/28 $ 502,500
  1,100,000 Lucky Bucks LLC, Initial Term Loan, 6.25% (LIBOR + bps), 7/30/27   1,080,750
    Total Gaming & Hotels   $ 1,583,250
    Healthcare - 6.1%  
  498,750 CNT Holdings I Corp, First Lien Initial Term Loan, 4.5% (LIBOR + 375 bps), 11/8/27 $ 499,101
  1,325,000(b) Medline Industries, Inc., Bridge Facility, 8/4/22   1,325,000
  1,395,000(b) Medline Industries, Inc., Unsecured Bridge Facility, 8/4/22   1,395,000
  875,346 Milano Acquisition Corp., First Lien Term B Loan, 4.75% (LIBOR + 400 bps), 10/1/27   876,987
  994,950 Option Care Health, Inc., Term B Loan, 3.835% (LIBOR + 375 bps), 8/6/26   994,203
  750,000 Padagis, Term B Loan, 5.25% (LIBOR + bps), 7/6/28   750,938
  750,000 Signify Health LLC, Term Loan, 3.75% (LIBOR + bps), 6/16/28   748,945
  2,223,807 Upstream Newco, Inc., First Lien August 2021 Incremental Term Loan, 4.346% (LIBOR + bps), 11/20/26   2,221,027
    Total Healthcare   $ 8,811,201
    Healthcare & Pharmaceuticals - 4.6%  
  1,241,699 Endo Luxembourg Finance Co., I S.a.r.l. 2021 Term Loan, 5.75% (LIBOR + 500 bps), 3/27/28 $ 1,210,580
  1,477,575 FC Compassus LLC, Term B-1 Loan, 5.0% (LIBOR + 425 bps), 12/31/26   1,480,345
  1,563,113 Kindred Healthcare LLC, Closing Date Term Loan, 4.625% (LIBOR + 450 bps), 7/2/25   1,565,067
  1,256,511 NMN Holdings III Corp., First Lien Closing Date Term Loan (LIBOR + 350 bps), 11/13/25   1,231,381
  217,053 NMN Holdings III Corp., First Lien Delayed Draw Term Loan (LIBOR + 350 bps), 11/13/25   212,712
  248,734 PetVet Care Centers LLC (fka Pearl Intermediate Parent LLC), 2021 First Lien Replacement Term Loan, 4.25% (LIBOR + 350 bps), 2/14/25   248,838
  746,250 US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.), Initial Term Loan, 6.25% (LIBOR + 550 bps), 12/15/27   750,980
    Total Healthcare & Pharmaceuticals   $ 6,699,903
    Healthcare, Education & Childcare - 5.1%  
  1,000,000(b) ANI Pharmaceuticals, Inc., Term Loan B, 5/24/27 $ 1,002,500
  500,000 Jazz Pharmaceuticals Public Ltd., Co., Initial Dollar Term Loan, 4.0% (LIBOR + 350 bps), 5/5/28   500,527
  1,086,130 KUEHG Corp. (fka KC MergerSub, Inc.) (aka KinderCare), Term B-3 Loan, 4.75% (LIBOR + 375 bps), 2/21/25   1,068,820
  1,000,000 One Call Corp., First Lien Term B Loan, 6.25% (LIBOR + 550 bps), 4/22/27   1,008,750
  1,508,209 Quorum Health Corp., Exit Term Loan, 8.0% (LIBOR + 825 bps), 4/29/25   1,515,750
  209,475 Surgery Center Holdings, Inc., 2021 New Term Loan, 4.5% (LIBOR + 375 bps), 8/31/26   209,802
  2,064,929 U.S. Renal Care, Inc., Initial Term Loan, 5.125% (LIBOR + 500 bps), 6/26/26   2,067,940
    Total Healthcare, Education & Childcare   $ 7,374,089
    Home Furnishings - 1.3%  
  1,435,000 Instant Brands Holdings, Inc. Term Loan, 5.75% (LIBOR + 500 bps), 4/12/28 $ 1,435,000
  409,460 Weber-Stephen Products LLC, Initial Term B Loan, 4.0% (PRIME + 325 bps), 10/30/27   410,264
    Total Home Furnishings   $ 1,845,264
    Hotel, Gaming & Leisure - 2.3%  
  1,091,750 Caesars Resort Collection LLC, Term B-1 Loan, 4.585% (LIBOR + 450 bps), 7/21/25 $ 1,095,094
  18,875 Golden Nugget Online Gaming, Inc., 2020 Initial Term Loan, 13.0% (LIBOR + 1,200 bps), 10/4/23   20,715
  2,198,608 Golden Nugget, Inc. (aka Landry's, Inc.), Initial Term B Loan, 3.25% (LIBOR + 250 bps), 10/4/23   2,185,784
    Total Hotel, Gaming & Leisure   $ 3,301,593
    Insurance - 1.6%  
  513,934 Alliant Holdings Intermediate LLC, 2019 New Term Loan, 3.335% (LIBOR + 325 bps), 5/9/25 $ 509,116
  498,750 Asurion LLC (fka Asurion Corp.), New B-9 Term Loan, 3.335% (LIBOR + 325 bps), 7/31/27   489,502
  1,250,000 Asurion LLC, Second Lien New B-4 Term Loan, 5.335% (LIBOR + bps), 1/20/29   1,245,183
  123,125 Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.), 2020 Term Loan, 5.25% (LIBOR + 425 bps), 9/3/26   123,617
    Total Insurance   $ 2,367,418
    Leasing - 1.0%  
  1,491,875 Fly Funding II S.a.r.l., Term B Loan, 7.0% (LIBOR + 600 bps), 10/8/25 $ 1,498,402
    Total Leasing   $ 1,498,402
    Leisure & Entertainment - 2.1%  
  1,063,547 AMC Entertainment Holdings, Inc. (fka AMC Entertainment, Inc.), Term B-1 Loan, 3.089% (LIBOR + 300 bps), 4/22/26 $ 947,665
  1,633,500 Carnival Corp., Initial Advance, 3.75% (LIBOR + 750 bps), 6/30/25   1,627,579
  450,625 E.W. Scripps Co., The Tranche B-3 Term Loan, 3.75% (LIBOR + 300 bps), 1/7/28   450,977
    Total Leisure & Entertainment   $ 3,026,221
    Machinery - 2.0%  
  1,155,963(b) Engineered Components & Systems LLC, First Lien Initial Term Loan, 6/8/28 $   1,155,963
  1,231,246 MHI Holdings LLC, Initial Term Loan, 5.085% (LIBOR + 500 bps), 9/21/26   1,237,402
  500,000 Triton Water Holdings, Inc., First Lien Initial Term Loan, 4.0% (LIBOR + 350 bps), 3/31/28   497,327
    Total Machinery   $ 2,890,692
    Media - 2.3%  
  1,962,064 Altice France SA, USD TLB-13 Incremental Term Loan, 4.125% (LIBOR + 400 bps), 8/14/26 $ 1,959,963
  600,000 DIRECTV Financing LLC, Closing Date Term Loan, 5.75% (LIBOR + bps), 8/2/27   600,638
  Principal
Amount
USD ($)		     Value
    Media - (continued)  
  750,000(b) Univision Communications Inc., Term Loan B, 5/5/28 $ 748,660
    Total Media   $ 3,309,261
    Metals & Mining - 1.7%  
  1,510,036 Phoenix Services International LLC, Term B Loan, 4.75% (LIBOR + 375 bps), 3/1/25 $ 1,506,261
  10,121 TMS International Corp., Term B-2 Loan, 3.75% (LIBOR + 275 bps), 8/14/24   10,121
  995,000 TMS International Corp., Term Loan B3, 3.75% (LIBOR + 275 bps), 8/14/24   993,756
    Total Metals & Mining   $ 2,510,138
    Oil & Gas - 2.4%  
  3,460,298 Traverse Midstream Partners LLC, Advance Term Loan, 6.5% (LIBOR + 550 bps), 9/27/24 $ 3,468,641
    Total Oil & Gas   $ 3,468,641
    Personal, Food & Miscellaneous Services - 1.2%  
  984,458 Knowlton Development Corp., Inc., Initial Term Loan, 3.835% (LIBOR + 375 bps), 12/22/25 $ 976,706
  746,250 Kronos Acquisition Holdings Inc., Tranche B-1 Term Loan, 4.25% (LIBOR + 375 bps), 12/22/26   728,176
    Total Personal, Food & Miscellaneous Services   $ 1,704,882
    Printing & Publishing - 0.6%  
  350,000 Cengage Learning, Inc., First Lien Term B Loan, 5.75% (LIBOR + bps), 7/14/26 $ 351,613
  454,779 Trader Corp., First Lien 2017 Refinancing Term Loan, 4.0% (LIBOR + 300 bps), 9/28/23   454,495
    Total Printing & Publishing   $ 806,108
    Professional & Business Services - 13.2%  
  1,000,000(b) Adevinta ASA Facility B2, Term Loan, 6/26/28 $ 1,000,312
  1,795,500 Amentum Government Services Holdings LLC, First Lien Tranche 2 Term Loan, 5.5% (LIBOR + 475 bps), 1/29/27   1,808,406
  1,050,000 Ankura Consulting Group LLC, First Lien Closing Date Term Loan, 5.25% (LIBOR + 450 bps), 3/17/28   1,051,969
  1,500,000 APX Group, Inc., Initial Term Loan, 4.0% (LIBOR + bps), 7/10/28   1,496,406
  750,000 ArchKey Holdings Inc., First Lien Initial Term Loan, 6.0% (LIBOR + bps), 6/29/28   753,750
  1,528,222 Athenahealth, Inc., First Lien Term B-1 Loan, 4.38% (LIBOR + 425 bps), 2/11/26   1,534,717
  560,915 Atlas CC Acquisition Corp., Term Loan B, 5.0% (LIBOR + bps), 5/25/28   563,486
  114,085 Atlas CC Acquisition Corp., Term Loan C, 5.0% (LIBOR + bps), 5/25/28   114,607
  2,091,497 Clear Channel Outdoor Holdings, Inc., Term B Loan, 3.63% (LIBOR + 350 bps), 8/21/26   2,046,235
  500,000 Edelman Financial Center LLC (fka Flight Debt Merger Sub, Inc.), First Lien 2021 Initial Term Loan, 4.25% (LIBOR + 350 bps), 4/7/28   498,094
  498,741 eResearchTechnology, Inc., First Lien Initial Term Loan, 5.5% (LIBOR + bps), 2/4/27   501,096
  548,132 Everi Holdings, Inc., Term B Loan, 3.0% (LIBOR + bps), 8/3/28   547,104
  1,000,000 Fairbanks Morse Defense, Second Lien Term Loan, 9.0% (LIBOR + bps), 6/15/29   1,005,000
  650,000 Hunter Holdco 3, Ltd., First Lien Initial Dollar Term Loan, 4.75% (LIBOR + bps), 8/19/28   651,625
  1,044,750 PAE Incor, First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 10/19/27   1,045,403
  103,906 PPD, Inc., Initial Term Loan, 2.5% (LIBOR + 225 bps), 1/13/28   103,762
  1,128,100 SIWF Holdings, Inc. (aka Spring Window Fashions), First Lien Initial Term Loan, 4.335% (LIBOR + 425 bps), 6/15/25   1,129,651
  1,000,000 Summer (BC) Bidco B LLC, Additional Facility B2 (USD), 5.25% (LIBOR + bps), 12/4/26   998,542
  350,000(b) Trader Interactive LLC (fka Dominion Web Solutions LLC), Initial Term Loan, 7/28/28   350,437
  1,915,396 Verscend Holding Corp., Term B-1 Loan, 4.085% (LIBOR + 400 bps), 8/27/25   1,915,396
    Total Professional & Business Services   $ 19,115,998
    Retail - 6.6%  
  967,688 Harbor Freight Tools USA, Inc., Initial Loan (2021), 3.25% (LIBOR + bps), 10/19/27 $ 965,213
  1,425,000 Mattress Firm, Inc. Term Loan, 6.25% (LIBOR + 525 bps), 11/26/27   1,450,828
  1,050,000 Michaels Cos., Inc., The Term B Loan, 5.0% (LIBOR + 425 bps), 4/15/28   1,051,860
  498,750 Petco Health & Wellness Co., Inc., First Lien Initial Term Loan, 4.0% (LIBOR + 325 bps), 3/3/28   498,616
  1,050,000 PetSmart LLC, Initial Term Loan, 4.5% (LIBOR + 375 bps), 2/11/28   1,052,718
  498,750 Rent-A-Center, Inc., Initial Term Loan, 4.75% (LIBOR + 400 bps), 2/17/28   501,867
  826,351 Service Logic Acquisition, Inc., First Lien Closing Date Initial Term Loan, 4.75% (LIBOR + 400 bps), 10/29/27   828,417
  2,121,649 Staples, Inc., 2019 Refinancing New Term B-2 Loan, 4.626% (LIBOR + 450 bps), 9/12/24   2,066,840
  500,000 Torrid LLC, Closing Date Term Loan, 6.25% (LIBOR + bps), 6/14/28   501,485
  646,750 TruGreen LP, First Lien Second Refinancing Term Loan, 4.75% (LIBOR + 400 bps), 11/2/27   649,074
    Total Retail   $ 9,566,918
    Retailing - 0.3%  
  500,000 At Home Group, Inc., Initial Term Loan, 4.75% (LIBOR + bps), 7/24/28 $ 499,297
    Total Retailing   $ 499,297
    Securities & Trusts - 2.7%  
  997,500 CCRR Parent, Inc., First Lien Initial Term Loan, 5.0% (LIBOR + 425 bps), 3/6/28 $ 1,004,358
  500,000(b) HCRX Investments Holdco LP, Term Loan B, 7/14/28   498,594
  250,000(b) KKR Apple Bidco LLC, Second Lien Term Loan, 7/13/29   253,229
  1,861,004 Spectacle Gary Holdings LLC, Closing Date Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25   2,028,494
  138,996 Spectacle Gary Holdings LLC, Delayed Draw Term Loan, 11.0% (LIBOR + 900 bps), 12/23/25   151,506
    Total Securities & Trusts   $ 3,936,181
    Telecommunications - 2.8%  
  500,000 Gogo Intermediate Holdings LLC, Initial Term Loan, 4.5% (LIBOR + 375 bps), 4/30/28 $ 499,375
  500,000 Virgin Media Bristol LLC, Facility Q Term Loan, 3.346% (LIBOR + bps), 1/31/29   499,531
  1,040,723 Windstream Services II LLC, Initial Term Loan, 7.25% (LIBOR + 625 bps), 9/21/27   1,046,837
  1,983,449 Xplornet Communications, Inc., Initial Term Loan, 4.835% (LIBOR + 475 bps), 6/10/27   1,984,068
    Total Telecommunications   $ 4,029,811
    Textile & Apparel Mfg. - 0.7%  
  650,000 Adient US LLC, Term B-1 Loan, 3.585% (LIBOR + 350 bps), 4/10/28 $ 650,610
  Principal
Amount
USD ($)		     Value
    Textile & Apparel Mfg. - (continued)  
  348,252 Canada Goose Inc., 2021 Refinancing Term Loan, 4.25% (LIBOR + 350 bps), 10/7/27 $ 349,340
    Total Textile & Apparel Mfg.   $ 999,950
    Transport - 0.8%  
  1,109,394 Patriot Container Corp. (aka Wastequip), First Lien Closing Date Term Loan, 4.75% (LIBOR + 375 bps), 3/20/25 $ 1,103,848
    Total Transport   $ 1,103,848
    Transportation - 1.2%  
  1,174,257 Envision Healthcare Corp., Initial Term Loan, 3.835% (LIBOR + 375 bps), 10/10/25 $ 1,038,799
  547,794(b) First Student Bidco Inc. Initial Term B Loan, 7/21/28   544,566
  202,206(b) First Student Bidco, Inc., Initial Term C Loan, 7/21/28   201,014
    Total Transportation   $ 1,784,379
    Utilities - 5.0%  
  1,128,578 Compass Power Generation LLC, Tranche B-1 Term Loan, 4.5% (LIBOR + 350 bps), 12/20/24 $ 1,115,478
  1,929,504 Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 4.75% (LIBOR + 375 bps), 10/2/25   1,728,917
  1,221,870 ExGen Renewables IV LLC, Term Loan, 3.5% (LIBOR + 275 bps), 12/15/27   1,220,783
  990,000 Hamilton Projects Acquiror LLC, Term Loan, 5.75% (LIBOR + 475 bps), 6/17/27   986,287
  1,440,450 PG & E Corp., Term Loan, 3.5% (LIBOR + 300 bps), 6/23/25   1,386,433
  750,000 Tiger Acquisition LLC, First Lien Initial Term Loan, 3.75% (LIBOR + bps), 6/1/28   746,250
    Total Utilities   $ 7,184,148
    TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS  
    (Cost $173,718,429) $ 177,479,153
  Shares      
    COMMON STOCKS - 1.2% of Net Assets
    Energy Equipment & Services - 0.6%  
  38,441(c) FTS International, Inc. $ 853,775
    Total Energy Equipment & Services   $ 853,775
    Oil, Gas & Consumable Fuels - 0.5%  
  23,920(c) Summit Midstream Partners LP $ 809,213
    Total Oil, Gas & Consumable Fuels   $ 809,213
    Specialty Retail - 0.1%  
  91,346^+(c) Targus Cayman SubCo, Ltd. $ 139,759
    Total Specialty Retail   $ 139,759
    TOTAL COMMON STOCKS  
    (Cost $1,358,962) $ 1,802,747
  Principal
Amount
USD ($)		      
    ASSET BACKED SECURITIES - 2.7% of Net Assets
  1,000,000(a) 522 Funding CLO, Ltd., Series 2019-4A, Class E, 7.134% (3 Month USD LIBOR + 700 bps), 4/20/30 (144A) $ 992,215
  1,000,000(a) Goldentree Loan Management US CLO 2, Ltd., Series 2017-2A, Class E, 4.834% (3 Month USD LIBOR + 470 bps), 11/28/30 (144A)   952,489
  1,000,000(a) Madison Park Funding XXII, Ltd., Series 2016-22A, Class ER, 6.826% (3 Month USD LIBOR + 670 bps), 1/15/33 (144A)   999,962
  1,000,000(a) Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class DRR, 7.125% (3 Month USD LIBOR + 700 bps), 2/14/31 (144A)   987,248
    TOTAL ASSET BACKED SECURITIES  
    (Cost $3,942,024) $ 3,931,914
    COLLATERALIZED MORTGAGE OBLIGATIONS - 1.1% of Net Assets
  750,000(a) Freddie Mac STACR REMIC Trust, Series 2021-DNA5, Class B2, 5.55% (SOFR30A + 550 bps), 1/25/34 (144A) $ 779,206
  710,000(a) STACR Trust, Series 2018-HRP2, Class B2, 10.584% (1 Month USD LIBOR + 1,050 bps), 2/25/47 (144A)   818,361
    TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS  
    (Cost $1,568,719) $ 1,597,567
    COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.2% of Net Assets
  315,000(a) Capital Funding Mortgage Trust, Series 2021-8, Class B, 14.35% (1 Month USD LIBOR + 1,310 bps), 6/22/23 (144A) $ 315,000
  189,939(a) FREMF Mortgage Trust, Series 2020-KF74, Class C, 6.341% (1 Month USD LIBOR + 625 bps), 1/25/27 (144A)   187,712
  625,000(a) Morgan Stanley Capital I Trust, Series 2019-BPR, Class D, 4.096% (1 Month USD LIBOR + 400 bps), 5/15/36 (144A)   450,879
  1,000,000 Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.0%, 5/15/48 (144A)   732,838
    TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES  
    (Cost $1,906,644) $ 1,686,429
    CORPORATE BONDS - 16.5% of Net Assets
    Advertising - 0.2%  
  255,000 Clear Channel Outdoor Holdings, Inc., 7.5%, 6/1/29 (144A) $ 263,925
    Total Advertising   $ 263,925
    Aerospace & Defense - 0.4%  
  500,000 Bombardier, Inc., 7.125%, 6/15/26 (144A) $ 527,500
    Total Aerospace & Defense   $ 527,500
    Banks - 1.0%  
  1,000,000(d)(e) Citigroup, Inc., 4.7% (SOFRRATE + 323 bps) $ 1,038,750
  Principal
Amount
USD ($)		     Value
    Banks - (continued)  
  391,000 Freedom Mortgage Corp., 8.25%, 4/15/25 (144A) $ 398,820
    Total Banks   $ 1,437,570
    Building Materials - 1.8%  
  500,000 CP Atlas Buyer, Inc., 7.0%, 12/1/28 (144A) $ 510,000
  1,000,000 Koppers, Inc., 6.0%, 2/15/25 (144A)   1,025,000
  996,000 Patrick Industries, Inc., 7.5%, 10/15/27 (144A)   1,080,660
    Total Building Materials   $ 2,615,660
    Chemicals - 0.7%  
  1,000,000 Hexion, Inc., 7.875%, 7/15/27 (144A) $ 1,062,500
    Total Chemicals   $ 1,062,500
    Commercial Services - 0.6%  
  205,000 Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A) $ 205,897
  200,000 Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A)   200,500
  500,000 Garda World Security Corp., 6.0%, 6/1/29 (144A)   483,045
    Total Commercial Services   $ 889,442
    Computers - 0.1%  
  100,000 Diebold Nixdorf, Inc., 9.375%, 7/15/25 (144A) $ 109,875
    Total Computers   $ 109,875
    Diversified Financial Services - 1.3%  
  200,000 Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.0%, 8/15/28 (144A) $ 205,000
  1,520,000 VistaJet Malta Finance Plc/XO Management Holding, Inc., 10.5%, 6/1/24 (144A)   1,649,200
    Total Diversified Financial Services   $ 1,854,200
    Engineering & Construction - 0.8%  
  1,000,000 PowerTeam Services LLC, 9.033%, 12/4/25 (144A) $ 1,092,500
    Total Engineering & Construction   $ 1,092,500
    Entertainment - 0.7%  
  1,005,000 Mohegan Gaming & Entertainment, 8.0%, 2/1/26 (144A) $ 1,053,109
    Total Entertainment   $ 1,053,109
    Healthcare-Products - 0.3%  
  342,000 Varex Imaging Corp., 7.875%, 10/15/27 (144A) $ 385,224
    Total Healthcare-Products   $ 385,224
    Healthcare-Services - 0.7%  
  1,000,000 RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/1/26 (144A) $ 1,063,750
    Total Healthcare-Services   $ 1,063,750
    Iron/Steel - 1.5%  
  1,087,000 Cleveland-Cliffs, Inc., 9.875%, 10/17/25 (144A) $ 1,260,920
  500,000 Metinvest BV, 7.75%, 10/17/29 (144A)   557,500
  265,000 TMS International Corp., 6.25%, 4/15/29 (144A)   277,773
    Total Iron/Steel   $ 2,096,193
    Leisure Time - 0.4%  
  105,000 Royal Caribbean Cruises, Ltd., 9.125%, 6/15/23 (144A) $ 114,450
  500,000 Viking Cruises, Ltd., 5.875%, 9/15/27 (144A)   483,750
    Total Leisure Time   $ 598,200
    Lodging - 0.7%  
  1,000,000 Station Casinos LLC, 4.5%, 2/15/28 (144A) $ 1,010,000
    Total Lodging   $ 1,010,000
    Media - 1.0%  
  510,000 Mav Acquisition Corp., 8.0%, 8/1/29 (144A) $ 501,075
  1,000,000 Sinclair Television Group, Inc., 5.5%, 3/1/30 (144A)   979,900
    Total Media   $ 1,480,975
    Mining - 0.5%  
  500,000 Coeur Mining, Inc., 5.125%, 2/15/29 (144A) $ 493,975
  219,000 Joseph T Ryerson & Son, Inc., 8.5%, 8/1/28 (144A)   244,178
    Total Mining   $ 738,153
    Oil & Gas - 1.1%  
  1,500,000 MEG Energy Corp., 7.125%, 2/1/27 (144A) $ 1,578,390
    Total Oil & Gas   $ 1,578,390
    REITs - 1.5%  
  1,000,000 iStar, Inc., 4.75%, 10/1/24 $ 1,061,300
  1,065,000 Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/25 (144A)   1,138,219
    Total REITs   $ 2,199,519
    Retail - 0.5%  
  500,000 LBM Acquisition LLC, 6.25%, 1/15/29 (144A) $ 501,875
  221,000 Party City Holdings, Inc., 8.75%, 2/15/26 (144A)   230,393
    Total Retail   $ 732,268
    Telecommunications - 0.7%  
  500,000 Altice France Holding SA, 6.0%, 2/15/28 (144A) $ 496,700
  500,000 Lumen Technologies, Inc., 4.5%, 1/15/29 (144A)   490,670
    Total Telecommunications   $ 987,370
    TOTAL CORPORATE BONDS  
    (Cost $21,895,488) $ 23,776,323
  Principal
Amount
USD ($)		     Value
    INSURANCE-LINKED SECURITIES - 0.6% of Net Assets#
    Event Linked Bonds - 0.2%  
    Windstorm - U.S. Regional - 0.2%    
  250,000(a) Matterhorn Re, 7.038% (3 Month U.S. Treasury Bill + 700 bps), 12/7/21 (144A) $ 252,125
    Total Event Linked Bonds   $ 252,125
  Face
Amount
USD ($)		      
    Collateralized Reinsurance - 0.0%†  
    Multiperil - Worldwide - 0.0%†    
  27,000+(f) Limestone Re, 3/1/23 (144A) $ 10,646
  300,000+(c)(f) Resilience Re, 10/6/21 –
      $ 10,646
    Windstorm - Florida - 0.0%†    
  250,000+(c)(f) Formby Re 2018, 2/28/22 $ 30,700
    Total Collateralized Reinsurance   $ 41,346
    Reinsurance Sidecars - 0.4%  
    Multiperil - U.S. - 0.0%†    
  250,000+(c)(f) Carnoustie Re 2017, 11/30/21 $ 32,950
  250,000+(c)(g) Harambee Re 2018, 12/31/21   3,975
  250,000+(g) Harambee Re 2019, 12/31/22   975
      $ 37,900
    Multiperil - Worldwide - 0.4%    
  3,037+(g) Alturas Re 2019-2, 3/10/22 $ 4,170
  29,558+(g) Alturas Re 2020-2, 3/10/23   36,758
  250,000+(c)(f) Bantry Re 2016, 3/31/22   20,150
  1,270,809+(c)(f) Berwick Re 2018-1, 12/31/21   98,234
  907,913+(c)(f) Berwick Re 2019-1, 12/31/22   108,496
  20,000+(f) Eden Re II, 3/22/22 (144A)   6,304
  3,800+(f) Eden Re II, 3/22/23 (144A)   13,919
  300,000+(c)(g) Lorenz Re 2018, 7/1/22   2,318
  199,590+(c)(g) Lorenz Re 2019, 6/30/22   15,867
  300,000+(c)(f) Merion Re 2018-2, 12/31/21   49,650
  400,000+(c)(f) Pangaea Re 2018-1, 12/31/21   8,422
  400,000+(c)(f) Pangaea Re 2018-3, 7/1/22   8,297
  327,699+(c)(f) Pangaea Re 2019-1, 2/1/23   6,829
  294,125+(c)(f) Pangaea Re 2019-3, 7/1/23   10,580
  324,259+(f) Pangaea Re 2020-1, 2/1/24   6,881
  150,000+(c)(f) Sector Re V, 12/1/23 (144A)   32,453
  10,000+(c)(f) Sector Re V, 12/1/24 (144A)   28,674
  347,597+(c)(f) St. Andrews Re 2017-4, 6/1/22   34,204
  253,645+(c)(f) Woburn Re 2018, 12/31/21   18,567
  244,914+(c)(f) Woburn Re 2019, 12/31/22   68,919
      $ 579,692
    Total Reinsurance Sidecars   $ 617,592
    TOTAL INSURANCE-LINKED SECURITIES  
    (Cost $1,212,191) $ 911,063
    TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 146.0%  
    (Cost $205,602,457) $ 211,185,196
    OTHER ASSETS AND LIABILITIES - (46.0)%   $ (66,507,408)
    NET ASSETS - 100.0% $ 144,677,788
 

 

bps Basis Points.
FREMF Freddie Mac Multifamily Fixed-Rate Mortgage Loans.
LIBOR London Interbank Offered Rate.
PRIME U.S. Federal Funds Rate.
REIT Real Estate Investment Trust.
SOFRRATE Secured Overnight Financing Rate.
(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, 2021, the value of these securities amounted to $29,236,304, or 20.2% of net assets.

 

† Amount rounds to less than 0.1%.
* Senior secured floating rate loan interests in which the Fund 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, 2021.
+ 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, 2021.
(b) This term loan will settle after August 31, 2021, at which time the interest rate will be determined.
(c) Non-income producing security.
(d) The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at August 31, 2021.
(e) Security is perpetual in nature and has no stated maturity date.
(f) Issued as participation notes.
(g) Issued as preference shares.
# Securities are restricted as to resale.

 

Restricted Securities Acquisition date Cost Value
Alturas Re 2019-2 12/19/2018 $ 3,037 $ 4,170
Alturas Re 2020-2 1/1/2020   29,558   36,758
Bantry Re 2016 2/6/2019   20,150   20,150
Berwick Re 2018-1 1/10/2018   185,623   98,234
Berwick Re 2019-1 12/31/2018   108,488   108,496
Carnoustie Re 2017 1/5/2017   59,439   32,950
Eden Re II 1/22/2019   446   13,919
Eden Re II 12/15/2017   1,195   6,304
Formby Re 2018 7/9/2018   23,470   30,700
Harambee Re 2018 12/19/2017   12,606   3,975
Harambee Re 2019 12/20/2018   –   975
Limestone Re 6/20/2018   230   10,646
Lorenz Re 2018 6/26/2018   64,402   2,318
Lorenz Re 2019 6/26/2019   63,326   15,867
Matterhorn Re 4/30/2020   250,000   252,125
Merion Re 2018-2 12/28/2017   12,346   49,650
Pangaea Re 2018-1 12/26/2017   57,203   8,422
Pangaea Re 2018-3 5/31/2018   96,345   8,297
Pangaea Re 2019-1 1/9/2019   3,440   6,829
Pangaea Re 2019-3 7/25/2019   8,824   10,580
Pangaea Re 2020-1 1/21/2020   –   6,881
Resilience Re 4/13/2017   980   –
Sector Re V 1/1/2020   10,000   28,674
Sector Re V 12/4/2018   50,941   32,453
St. Andrews Re 2017-4 3/31/2017   –   34,204
Woburn Re 2018 3/20/2018   89,700   18,567
Woburn Re 2019 1/30/2019   60,442   68,919
Total Restricted Securities     $ 911,063
% of Net assets     0.6%

 

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels below.

 

Level 1 - unadjusted quoted prices in active markets for identical securities.

Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).  

Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments).  

 

The following is a summary of the inputs used as of August 31, 2021, in valuing the Fund's investments:

 

   Level 1  Level 2  Level 3  Total
Senior Secured Floating Rate Loan Interests  $—     $177,479,153   $—     $177,479,153 
Common Stocks                    
Specialty Retail   —      —      139,759    139,759 
All Other Common Stocks   1,662,988    —      —      1,662,988 
Asset Backed Securities   —      3,931,914    —      3,931,914 
Collateralized Mortgage Obligations   —      1,597,567    —      1,597,567 
Commercial Mortgage-Backed Securities   —      1,686,429    —      1,686,429 
Corporate Bonds   —      23,776,323    —      23,776,323 
Insurance-Linked Securities                    
Collateralized Reinsurance                    
Multiperil - Worldwide   —      —      10,646    10,646 
Windstorm - Florida   —      —      30,700    30,700 
Reinsurance Sidecars                    
Multiperil - U.S.   —      —      37,900    37,900 
Multiperil - Worldwide   —      —      579,692    579,692 
All Other Insurance-Linked Security   —      252,125    —      252,125 
Total Investments in Securities  $1,662,988   $208,723,511   $798,697   $211,185,196 

 

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):

 

  Balance
as of
11/30/20		 Realized
gain
(loss)		 Change in
unrealized
appreciation
(depreciation)		    Purchases      Sales Accrued
discounts/
premiums

Transfer

in to

Level 3*

 Balance
as of
8/31/21
Common Stocks                    
Specialty Retail $       120,576 $                – $ 19,183 $                – $                – $                – $                – $ 139,759

Insurance-Linked Securities

Collateralized

                
Reinsurance                

Multiperil -

Worldwide

    42,442                   – (5,026)  – (26,770)   –   – 10,646

Windstorm -

Florida

 44,229                   – 13                   – (13,542)                   –                   – 30,700

Reinsurance

Sidecars

                
Multiperil - U.S. 41,662                   – 3,146                   – (6,908)                   –                   – 37,900

Multiperil -

Worldwide

 1,690,975 (27,099) (41,133)                   – (1,043,051)                   –                   – 579,692
Total $ 1,939,884 $ (27,099) $ (23,817) $                – $ (1,090,271) $                – $                – $ 798,697
   

 

*Transfers are calculated on the beginning of period values. For the nine months ended August 31, 2021, there were no transfers in or out of Level 3.

 

Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at August 31, 2021: $(15,966)