Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS – 79.2% | ||||||||
Aerospace & Defense – 0.6% | ||||||||
$227,883 | Atlantic Aviation FBO, Inc. (KKR Apple Bidco, LLC), 1st Lien Term Loan, 1 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 07/13/28 | $226,173 | ||||
469,412 | Peraton Corp., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 02/28/28 | 468,680 | ||||
352,342 | Spirit Aerosystems, Inc., Term Loan B, 1 Mo. LIBOR + 5.25%, 0.75% Floor | 6.00% | 01/30/25 | 353,956 | ||||
1,048,809 | ||||||||
Apparel, Accessories & Luxury Goods – 0.1% | ||||||||
156,317 | Careismatic Brands/New Trojan, Inc. (fka Strategic Partners), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 01/31/28 | 154,871 | ||||
Application Software – 15.1% | ||||||||
326,135 | CCC Information Services, Inc. (Cypress), Term Loan B, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 04/26/24 | 325,829 | ||||
1,507,555 | Epicor Software Corp., First Lien Loan, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 07/30/27 | 1,502,173 | ||||
355,025 | Flexera Software, LLC, 2020 Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 01/26/28 | 354,898 | ||||
1,572,494 | Gainwell Acquisition Corp. (fka Milano), Term Loan B, 3 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 10/01/27 | 1,571,016 | ||||
2,393,527 | Greeneden U.S. Holdings II, LLC (Genesys Telecommunications Laboratories, Inc.), Initial Dollar Term Loan, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 12/01/27 | 2,394,819 | ||||
3,844,094 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.75% Floor | 4.25% | 07/01/24 | 3,842,480 | ||||
699,507 | Imprivata, Inc., Term Loan B, 3 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 11/30/27 | 698,304 | ||||
570,231 | Inmar, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 1.00% Floor | 5.00% | 05/01/24 | 569,113 | ||||
1,629,881 | Internet Brands, Inc. (Web MD/MH Sub I, LLC), 2020 June New Term Loan, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 4.75% | 09/15/24 | 1,628,137 | ||||
1,102,775 | Internet Brands, Inc. (Web MD/MH Sub I, LLC), 2nd Lien Term Loan, 1 Mo. LIBOR + 6.25%, 0.00% Floor | 6.34% | 02/15/29 | 1,117,023 | ||||
1,898,061 | Internet Brands, Inc. (Web MD/MH Sub I, LLC), Initial Term Loan, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.59% | 09/13/24 | 1,884,035 | ||||
1,597,363 | LogMeIn, Inc. (Logan), Term Loan B, 1 Mo. LIBOR + 4.75%, 0.00% Floor | 4.85% | 08/31/27 | 1,590,127 | ||||
2,443,956 | McAfee, LLC, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.84% | 09/30/24 | 2,440,607 | ||||
1,402,137 | Micro Focus International (MA Financeco, LLC), Term Loan B4, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 06/05/25 | 1,406,806 | ||||
271,658 | N-Able, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 06/30/28 | 270,299 | ||||
532,169 | RealPage, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 03/31/28 | 528,577 | ||||
3,505,081 | SolarWinds Holdings, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.84% | 02/05/24 | 3,461,267 | ||||
262,790 | Solera Holdings, Inc. (Polaris Newco), Term Loan B, 6 Mo. LIBOR + 4.00%, 0.50% Floor | 4.50% | 06/04/28 | 262,461 | ||||
117,289 | Tenable, Inc., Term Loan B, 6 Mo. LIBOR + 2.75%, 0.50% Floor | 3.25% | 06/17/28 | 116,409 | ||||
69,002 | Ultimate Kronos Group (UKG, Inc.), New Term Loan, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 05/03/26 | 68,923 | ||||
26,033,303 | ||||||||
Auto Parts & Equipment – 0.5% | ||||||||
220,067 | Clarios Global L.P. (Power Solutions), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.34% | 04/30/26 | 218,106 | ||||
601,029 | Truck Hero, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 01/31/28 | 598,625 | ||||
816,731 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Broadcasting – 1.1% | ||||||||
$139,875 | E.W. Scripps Company, Incremental Term Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 12/31/27 | $139,394 | ||||
664,787 | iHeartCommunications, Inc., New Incremental Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 05/01/26 | 661,051 | ||||
721,280 | iHeartCommunications, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.09% | 05/01/26 | 711,586 | ||||
303,000 | Univision Communications, Inc., 2017 Replacement Repriced First Lien Term Loan C-5, 2 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 03/15/24 | 301,770 | ||||
90,192 | Univision Communications, Inc., 2021 Replacement New First Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/24/26 | 89,954 | ||||
1,903,755 | ||||||||
Cable & Satellite – 0.9% | ||||||||
395,675 | DIRECTV Holdings, LLC, Term Loan B, 1 Mo. LIBOR + 5.00%, 0.75% Floor | 5.75% | 07/22/27 | 394,737 | ||||
1,089,055 | WideOpenWest Finance, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 08/19/23 | 1,085,429 | ||||
1,480,166 | ||||||||
Casinos & Gaming – 5.3% | ||||||||
215,447 | Caesars Resort Collection, LLC, Term B-1 Loans, 1 Mo. LIBOR + 4.50%, 0.00% Floor | 4.59% | 06/30/25 | 215,447 | ||||
3,578,269 | Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.84% | 12/22/24 | 3,535,259 | ||||
2,805,540 | Golden Nugget, Inc., Term Loan B, 2 Mo. LIBOR + 2.50%, 0.75% Floor | 3.25% | 10/04/23 | 2,776,727 | ||||
2,602,674 | Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.84% | 08/14/24 | 2,561,109 | ||||
9,088,542 | ||||||||
Construction & Engineering – 0.3% | ||||||||
388,552 | USIC, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.50%, 0.75% Floor | 4.25% | 05/15/28 | 386,416 | ||||
200,247 | Westinghouse Electric (Brookfield WEC Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.50% Floor | 3.25% | 08/01/25 | 197,243 | ||||
583,659 | ||||||||
Electric Utilities – 1.1% | ||||||||
2,037,668 | PG&E Corp., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 06/23/25 | 1,983,323 | ||||
Electrical Components & Equipment – 0.5% | ||||||||
897,061 | Array Technologies, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 10/14/27 | 871,271 | ||||
Environmental & Facilities Services – 1.3% | ||||||||
261,079 | Allied Universal Holdco, LLC, Initial Term Loan, 3 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 05/14/28 | 260,680 | ||||
1,598,566 | Packers Holdings, LLC (PSSI), Term Loan B, 3 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/15/28 | 1,581,909 | ||||
383,606 | TruGreen L.P., Second Refinancing Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 11/02/27 | 384,204 | ||||
2,226,793 | ||||||||
Health Care Distributors – 0.5% | ||||||||
873,693 | Radiology Partners, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 0.00% Floor | 4.35% | 07/09/25 | 870,600 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Health Care Services – 14.3% | ||||||||
$325,800 | AccentCare (Pluto Acquisition I, Inc.), New Term Loan B, 2 Mo. LIBOR + 4.00%, 0.00% Floor | 4.14% | 06/20/26 | $323,356 | ||||
1,390,255 | ADMI Corp. (Aspen Dental), 2020 Incremental Term Loan B2, 1 Mo. LIBOR + 3.13%, 0.50% Floor | 3.63% | 12/23/27 | 1,366,273 | ||||
385,498 | ADMI Corp. (Aspen Dental), 2021 Incremental Term Loan B3, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 12/23/27 | 383,474 | ||||
1,033,055 | Air Methods Corp. (aka ASP AMC Intermediate Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 04/21/24 | 1,011,422 | ||||
3,528,291 | athenahealth, Inc. (VVC Holding Corp.), Term Loan B-1, 3 Mo. LIBOR + 4.25%, 0.00% Floor | 4.41% | 02/11/26 | 3,523,880 | ||||
244,788 | Aveanna Healthcare, LLC, Delayed Draw Term Loan, 2 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 06/30/28 | 242,952 | ||||
1,052,587 | Aveanna Healthcare, LLC, New Term Loan B, 2 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 06/30/28 | 1,044,693 | ||||
681,501 | Brightspring Health (Phoenix Guarantor, Inc.), Incremental Term Loan B-3, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.60% | 03/05/26 | 673,589 | ||||
3,452,612 | CHG Healthcare Services, Inc., Term Loan, 3 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 06/07/23 | 3,445,292 | ||||
769,181 | Civitas Solutions (National Mentor Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 03/31/28 | 767,366 | ||||
25,704 | Civitas Solutions (National Mentor Holdings, Inc.), Term Loan C, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 03/31/28 | 25,643 | ||||
247,421 | DuPage Medical Group (Midwest Physician Admin. Services, LLC), Incremental Term Loan B, 3 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/15/28 | 245,565 | ||||
2,422,845 | Envision Healthcare Corporation, Initial Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.84% | 10/10/25 | 2,068,020 | ||||
536,999 | Exam Works (Gold Merger Co., Inc.), Term B-1 Loan, 1 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 07/27/23 | 535,995 | ||||
114,763 | Global Medical Response, Inc. (fka Air Medical), 2020 Refinancing Term Loan, 6 Mo. LIBOR + 4.75%, 1.00% Floor | 5.75% | 10/15/25 | 114,844 | ||||
94,594 | Help at Home (HAH Group Holding Company, LLC), Delayed Draw Term Loan, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 6.00% | 10/29/27 | 94,654 | ||||
747,602 | Help at Home (HAH Group Holding Company, LLC), Initial Term Loan, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 6.00% | 10/29/27 | 748,073 | ||||
1,067,902 | Packaging Coordinators, Inc. (PCI Pharma), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.75% Floor | 4.25% | 11/30/27 | 1,066,568 | ||||
542,905 | Radnet Management, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 04/22/28 | 539,898 | ||||
260,232 | SCP Health (Onex TSG Intermediate Corp.), Term Loan B, 3 Mo. LIBOR + 4.75%, 0.75% Floor | 5.50% | 02/28/28 | 261,858 | ||||
1,635,671 | Surgery Centers Holdings, Inc., 2021 Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 08/31/26 | 1,633,921 | ||||
1,240,099 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 02/06/24 | 1,197,278 | ||||
878,702 | U.S. Anesthesia Partners Intermediate Holdings, Inc., Term Loan B, 6 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 06/23/24 | 866,761 | ||||
2,335,782 | U.S. Renal Care, Inc., Term Loan B, 1 Mo. LIBOR + 5.00%, 0.00% Floor | 5.09% | 06/28/26 | 2,336,203 | ||||
87,208 | US Radiology Specialists, Inc., Term Loan B, 1 Mo. LIBOR + 5.50%, 0.75% Floor | 6.25% | 12/31/27 | 87,726 | ||||
24,605,304 | ||||||||
Health Care Technology – 5.2% | ||||||||
35,865 | Change Healthcare Holdings, LLC, Closing Date Term Loan, 1 Mo. LIBOR + 2.50%, 1.00% Floor | 3.50% | 03/01/24 | 35,794 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Health Care Technology (Continued) | ||||||||
$1,038,505 | Change Healthcare Holdings, LLC, Closing Date Term Loan, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 3.50% | 03/01/24 | $1,036,449 | ||||
947,804 | Ciox Health (Healthport/CT Technologies Intermediate Holdings, Inc.), New Term Loan B, 1 Mo. LIBOR + 4.25%, 0.75% Floor | 5.00% | 12/16/25 | 947,652 | ||||
791,764 | Ensemble RCM, LLC (Ensemble Health), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.00% Floor | 3.88% | 08/01/26 | 790,529 | ||||
56,831 | eResearch Technology, Inc. (ERT), Incremental Term Loan B, 1 Mo. LIBOR + 4.50%, 1.00% Floor | 5.50% | 02/04/27 | 56,893 | ||||
861,389 | Mediware (Wellsky/Project Ruby Ultimate Parent Corp.), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/15/28 | 856,126 | ||||
88,788 | Press Ganey (Azalea TopCo, Inc.), 2021 Term Loan, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 07/25/26 | 88,788 | ||||
643 | Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.59% | 07/25/26 | 636 | ||||
252,155 | Press Ganey (Azalea TopCo, Inc.), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 3.63% | 07/25/26 | 249,240 | ||||
3,169,400 | Verscend Technologies, Inc. (Cotiviti), New Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.09% | 08/27/25 | 3,160,684 | ||||
1,790,141 | Zelis Payments Buyer, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.60% | 09/30/26 | 1,779,400 | ||||
9,002,191 | ||||||||
Homefurnishing Retail – 0.5% | ||||||||
467,605 | At Home Holding III, Inc. (Ambience), Term Loan B, 1 Mo. LIBOR + 4.25%, 0.50% Floor | 4.75% | 06/24/28 | 467,216 | ||||
463,666 | Rent-A-Center, Inc., Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 02/15/28 | 464,682 | ||||
931,898 | ||||||||
Hotels, Resorts & Cruise Lines – 0.2% | ||||||||
277,592 | Alterra Mountain Company, Term Loan B-1, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 07/21/28 | 276,204 | ||||
Industrial Machinery – 1.5% | ||||||||
904,971 | Gates Global, LLC, Term Loan B-3, 1 Mo. LIBOR + 2.75%, 0.75% Floor | 3.50% | 03/31/27 | 898,491 | ||||
1,697,778 | Thyssenkrupp Elevator (Vertical U.S. Newco, Inc.), New Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 07/31/27 | 1,693,262 | ||||
2,591,753 | ||||||||
Insurance Brokers – 5.5% | ||||||||
3,578,661 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.34% | 05/09/25 | 3,529,455 | ||||
287,368 | AssuredPartners, Inc., New Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 02/13/27 | 286,506 | ||||
1,912,213 | AssuredPartners, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.59% | 02/12/27 | 1,888,310 | ||||
870,093 | BroadStreet Partners, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.09% | 01/27/27 | 858,564 | ||||
359,877 | Cross Financial Corp., Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 09/15/27 | 359,877 | ||||
1,489,344 | HUB International Limited, New Term Loan B-3, 3 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 04/25/25 | 1,485,502 | ||||
132,834 | Ryan Specialty Group, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 3.75% | 09/01/27 | 132,128 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Insurance Brokers (Continued) | ||||||||
$851,798 | USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.15% | 05/15/24 | $842,079 | ||||
9,382,421 | ||||||||
Integrated Telecommunication Services – 2.5% | ||||||||
1,500,118 | Frontier Communications Corp., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 05/01/28 | 1,497,313 | ||||
2,628,838 | Numericable (Altice France S.A. or SFR), Term Loan B-12, 3 Mo. LIBOR + 3.69%, 0.00% Floor | 3.81% | 01/31/26 | 2,593,507 | ||||
267,690 | Numericable (Altice France S.A. or SFR), Term Loan B-13, 3 Mo. LIBOR + 4.00%, 0.00% Floor | 4.16% | 08/14/26 | 266,629 | ||||
4,357,449 | ||||||||
Managed Health Care – 1.6% | ||||||||
2,698,066 | Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 06/07/23 | 2,677,534 | ||||
Metal & Glass Containers – 0.3% | ||||||||
109,265 | Altium Packaging (fka Consolidated Container), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.50% Floor | 3.25% | 02/15/28 | 108,075 | ||||
358,956 | PODS, LLC, Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 03/26/28 | 356,881 | ||||
464,956 | ||||||||
Movies & Entertainment – 1.6% | ||||||||
186,610 | Cineworld Group PLC (Crown), New Priority Term Loan, 1 Mo. LIBOR + 8.25%, 1.00% Floor | 9.25% | 05/23/24 | 195,941 | ||||
314,010 | Cineworld Group PLC (Crown), Priority Term Loan B-1, Fixed Rate at 15.25% (c) | 15.25% | 05/23/24 | 388,923 | ||||
2,285,453 | Cineworld Group PLC (Crown), Term Loan B, 6 Mo. LIBOR + 2.50%, 1.00% Floor | 3.50% | 02/28/25 | 1,842,120 | ||||
102,897 | PUG, LLC (Stubhub/Viagogo), Incremental Term Loan B-2, 1 Mo. LIBOR + 4.25%, 0.50% Floor | 4.75% | 02/13/27 | 102,125 | ||||
174,146 | PUG, LLC (Stubhub/Viagogo), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.59% | 02/12/27 | 170,084 | ||||
2,699,193 | ||||||||
Office Services & Supplies – 0.7% | ||||||||
1,166,168 | Dun & Bradstreet Corp., Refinancing Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.34% | 02/08/26 | 1,155,777 | ||||
Packaged Foods & Meats – 0.2% | ||||||||
114,255 | BellRing Brands, LLC, New Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 10/21/24 | 114,665 | ||||
210,027 | Simply Good Foods (Atkins Nutritionals, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 1.00% Floor | 4.75% | 07/07/24 | 210,750 | ||||
70,783 | Weight Watchers International, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 04/13/28 | 70,562 | ||||
395,977 | ||||||||
Paper Packaging – 1.7% | ||||||||
2,911,937 | Graham Packaging Company, L.P., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 08/04/27 | 2,891,554 | ||||
Pharmaceuticals – 3.8% | ||||||||
313,568 | Akorn, Inc., Exit Take Back Term Loan , 3 Mo. LIBOR + 7.50%, 1.00% Floor (d) | 8.50% | 09/30/25 | 317,879 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$673,848 | Jazz Pharmaceuticals, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 05/31/28 | $674,481 | ||||
1,943,375 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 6 Mo. LIBOR + 5.25%, 0.75% Floor (e) | 6.00% | 09/24/24 | 1,886,298 | ||||
288,562 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 2 Mo. LIBOR + 5.50%, 0.75% Floor (e) | 6.25% | 02/24/25 | 278,927 | ||||
1,650,628 | Nestle Skin Health (Sunshine Lux VII SARL/Galderma), 2021 Term Loan B-3, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 10/02/26 | 1,650,628 | ||||
1,706,220 | Parexel International Corp., Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.84% | 09/27/24 | 1,699,600 | ||||
102,750 | Perrigo Rx (Padagis, LLC), Term Loan B, 3 Mo. LIBOR + 4.75%, 0.50% Floor | 5.25% | 06/29/28 | 102,879 | ||||
6,610,692 | ||||||||
Publishing – 0.1% | ||||||||
174,602 | Meredith Corp., Tranche B-3 Term Loan, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 01/31/25 | 177,986 | ||||
Research & Consulting Services – 1.6% | ||||||||
1,421,173 | Clarivate Analytics PLC (Camelot), Amendment No. 2 Incremental Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 10/31/26 | 1,420,291 | ||||
341,981 | Corelogic, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 06/30/28 | 339,950 | ||||
147,846 | J.D. Power (Project Boost Purchaser, LLC), 2021 Incremental Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 05/30/26 | 147,292 | ||||
763,557 | Nielsen Consumer, Inc. (Indy US Holdco, LLC), Term Loan B-1, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.10% | 03/05/28 | 761,786 | ||||
22,737 | Veritext Corporation (VT TopCo, Inc.), Delayed Draw Term Loan, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 08/10/25 | 22,652 | ||||
129,928 | Veritext Corporation (VT TopCo, Inc.), Non-Fungible 1st Lien Term Loan, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 08/10/25 | 129,440 | ||||
2,821,411 | ||||||||
Restaurants – 1.3% | ||||||||
149,250 | IRB Holding Corp. (Arby’s/Inspire Brands), Fourth Amendment Incremental Term Loan B, 3 Mo. LIBOR + 3.25%, 1.00% Floor | 4.25% | 12/31/27 | 148,636 | ||||
1,880,164 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 3 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 02/05/25 | 1,869,052 | ||||
152,208 | Whatabrands, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 07/21/28 | 151,415 | ||||
2,169,103 | ||||||||
Specialized Consumer Services – 1.6% | ||||||||
1,262,056 | Asurion, LLC, 2nd Lien Term Loan B-3, 1 Mo. LIBOR + 5.25%, 0.00% Floor | 5.34% | 01/31/28 | 1,254,850 | ||||
629,238 | Asurion, LLC, 2nd Lien Term Loan B-4, 1 Mo. LIBOR + 5.25%, 0.00% Floor | 5.37% | 01/20/29 | 625,501 | ||||
900,700 | Asurion, LLC, Term Loan B6, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.09% | 11/03/23 | 890,756 | ||||
2,771,107 | ||||||||
Specialized Finance – 0.2% | ||||||||
311,378 | WCG Purchaser Corp. (WIRB-Copernicus Group), Term Loan B, 1 Mo. LIBOR + 4.00%, 1.00% Floor | 5.00% | 01/08/27 | 311,508 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Specialty Stores – 1.2% | ||||||||
$729,947 | Bass Pro Group, LLC (Great Outdoors Group, LLC), Term Loan B-1, 6 Mo. LIBOR + 4.25%, 0.75% Floor | 5.00% | 03/15/28 | $730,312 | ||||
938,398 | Petco Animal Supplies, Inc., Initial Term Loan B, 3 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/03/28 | 933,997 | ||||
382,250 | Petsmart, Inc., Initial Term Loan B, 6 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 02/15/28 | 381,868 | ||||
2,046,177 | ||||||||
Systems Software – 5.1% | ||||||||
3,266,180 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 09/19/24 | 3,253,573 | ||||
230,570 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 5.50%, 0.75% Floor | 6.25% | 09/19/25 | 232,834 | ||||
298,153 | BeyondTrust (Brave Parent Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.09% | 04/19/25 | 297,569 | ||||
1,213,922 | BMC Software Finance, Inc. (Boxer Parent), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.84% | 10/02/25 | 1,202,973 | ||||
466,308 | Idera, Inc., Initial Term Loan, 6 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 02/15/28 | 464,657 | ||||
679,529 | Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 06/13/24 | 668,153 | ||||
603,891 | Proofpoint, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 06/09/28 | 597,550 | ||||
1,181 | Riverbed Technology, Inc., New Term Loan B, 2 Mo. LIBOR + 6.00%, 1.00% Floor | 7.00% | 12/30/25 | 1,113 | ||||
468,823 | Riverbed Technology, Inc., New Term Loan B, 3 Mo. LIBOR + 6.00%, 1.00% Floor | 7.00% | 12/30/25 | 441,720 | ||||
970,896 | Sophos Group PLC (Surf), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.63% | 03/05/27 | 959,837 | ||||
593,931 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.34% | 03/15/26 | 589,477 | ||||
8,709,456 | ||||||||
Trading Companies & Distributors – 0.5% | ||||||||
851,217 | SRS Distribution, Inc., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 06/04/28 | 844,654 | ||||
Trucking – 0.7% | ||||||||
1,009,647 | Hertz (The) Corporation, Exit Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 06/14/28 | 1,003,125 | ||||
190,280 | Hertz (The) Corporation, Exit Term Loan C, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 06/14/28 | 189,050 | ||||
1,192,175 | ||||||||
Total Senior Floating-Rate Loan Interests | 136,148,303 | |||||||
(Cost $136,786,019) | ||||||||
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 11.0% | ||||||||
Airlines – 0.1% | ||||||||
176,000 | Mileage Plus Holdings, LLC/Mileage Plus Intellectual Property Assets Ltd. (f) | 6.50% | 06/20/27 | 191,620 | ||||
Alternative Carriers – 0.1% | ||||||||
240,000 | Cogent Communications Group, Inc. (f) | 3.50% | 05/01/26 | 247,211 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Application Software – 0.2% | ||||||||
$291,000 | LogMeIn, Inc. (f) | 5.50% | 09/01/27 | $302,655 | ||||
Automobile Manufacturers – 0.2% | ||||||||
342,000 | Ford Motor Co. | 9.00% | 04/22/25 | 421,412 | ||||
Automotive Retail – 0.1% | ||||||||
155,000 | KAR Auction Services, Inc. (f) | 5.13% | 06/01/25 | 158,881 | ||||
Broadcasting – 2.2% | ||||||||
572,000 | Cumulus Media, Inc. (f) | 6.75% | 07/01/26 | 604,224 | ||||
410,000 | Diamond Sports Group, LLC/Diamond Sports Finance Co. (f) | 5.38% | 08/15/26 | 238,312 | ||||
1,097,000 | Diamond Sports Group, LLC/Diamond Sports Finance Co. (f) | 6.63% | 08/15/27 | 436,798 | ||||
500,000 | Gray Television, Inc. (f) | 7.00% | 05/15/27 | 535,842 | ||||
675,000 | iHeartCommunications, Inc. | 8.38% | 05/01/27 | 718,872 | ||||
625,000 | iHeartCommunications, Inc. (f) | 4.75% | 01/15/28 | 648,944 | ||||
95,000 | Sinclair Television Group, Inc. (f) | 5.88% | 03/15/26 | 97,611 | ||||
397,000 | Univision Communications, Inc. (f) | 6.63% | 06/01/27 | 427,521 | ||||
3,708,124 | ||||||||
Casinos & Gaming – 0.6% | ||||||||
51,000 | Boyd Gaming Corp. (f) | 8.63% | 06/01/25 | 55,717 | ||||
924,000 | Caesars Entertainment, Inc. (f) | 6.25% | 07/01/25 | 976,927 | ||||
65,000 | Golden Nugget, Inc. (f) | 6.75% | 10/15/24 | 65,244 | ||||
1,097,888 | ||||||||
Coal & Consumable Fuels – 0.4% | ||||||||
217,254 | Peabody Energy Corp. (f) (g) | 8.50% | 12/31/24 | 174,746 | ||||
246,000 | Peabody Energy Corp. (f) | 6.38% | 03/31/25 | 194,480 | ||||
243,000 | PIC AU Holdings LLC/PIC AU Holdings Corp. (f) | 10.00% | 12/31/24 | 242,783 | ||||
612,009 | ||||||||
Communications Equipment – 0.1% | ||||||||
200,000 | CommScope Technologies, LLC (f) | 6.00% | 06/15/25 | 203,250 | ||||
Health Care Facilities – 0.5% | ||||||||
173,000 | Tenet Healthcare Corp. (f) | 4.63% | 06/15/28 | 179,271 | ||||
605,000 | Tenet Healthcare Corp. (f) | 6.13% | 10/01/28 | 645,109 | ||||
824,380 | ||||||||
Health Care Services – 1.0% | ||||||||
1,468,000 | Global Medical Response, Inc. (f) | 6.50% | 10/01/25 | 1,524,885 | ||||
144,000 | ModivCare, Inc. (f) | 5.88% | 11/15/25 | 153,251 | ||||
1,678,136 | ||||||||
Health Care Technology – 1.3% | ||||||||
1,687,000 | Change Healthcare Holdings, LLC/Change Healthcare Finance, Inc. (f) | 5.75% | 03/01/25 | 1,708,087 | ||||
480,000 | Verscend Escrow Corp. (f) | 9.75% | 08/15/26 | 507,528 | ||||
2,215,615 | ||||||||
Insurance Brokers – 1.1% | ||||||||
1,069,000 | Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer (f) | 6.75% | 10/15/27 | 1,117,159 | ||||
85,000 | Amwins Group, Inc. (f) | 4.88% | 06/30/29 | 86,806 | ||||
676,000 | HUB International Ltd. (f) | 7.00% | 05/01/26 | 700,684 | ||||
1,904,649 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Integrated Telecommunication Services – 1.1% | ||||||||
$215,000 | Frontier Communications Holdings, LLC (f) | 5.88% | 10/15/27 | $230,141 | ||||
316,000 | Frontier Communications Holdings, LLC (f) | 5.00% | 05/01/28 | 327,289 | ||||
500,000 | Frontier Communications Holdings, LLC (f) | 6.75% | 05/01/29 | 533,505 | ||||
748,000 | Zayo Group Holdings, Inc. (f) | 6.13% | 03/01/28 | 762,145 | ||||
1,853,080 | ||||||||
Managed Health Care – 0.6% | ||||||||
1,093,000 | MPH Acquisition Holdings, LLC (f) | 5.75% | 11/01/28 | 1,061,653 | ||||
Movies & Entertainment – 0.0% | ||||||||
43,000 | Live Nation Entertainment, Inc. (f) | 6.50% | 05/15/27 | 47,515 | ||||
Paper Packaging – 0.4% | ||||||||
348,000 | Graham Packaging Co., Inc. (f) | 7.13% | 08/15/28 | 372,325 | ||||
277,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu (f) | 4.00% | 10/15/27 | 277,000 | ||||
649,325 | ||||||||
Pharmaceuticals – 0.1% | ||||||||
135,000 | Organon & Co./Organon Foreign Debt Co-Issuer B.V. (f) | 5.13% | 04/30/31 | 139,219 | ||||
Research & Consulting Services – 0.1% | ||||||||
44,000 | Clarivate Science Holdings Corp. (f) | 4.88% | 06/30/29 | 44,432 | ||||
118,000 | Nielsen Finance, LLC/Nielsen Finance Co. (f) | 5.63% | 10/01/28 | 124,846 | ||||
169,278 | ||||||||
Restaurants – 0.6% | ||||||||
922,000 | IRB Holding Corp. (f) | 7.00% | 06/15/25 | 984,235 | ||||
78,000 | IRB Holding Corp. (f) | 6.75% | 02/15/26 | 80,437 | ||||
1,064,672 | ||||||||
Systems Software – 0.2% | ||||||||
258,000 | Boxer Parent Co., Inc. (f) | 9.13% | 03/01/26 | 270,901 | ||||
Total Corporate Bonds and Notes | 18,821,473 | |||||||
(Cost $18,375,460) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 6.2% | ||||||||
Building Products – 1.0% | ||||||||
1,455,000 | Cemex S.A.B. de C.V. (f) | 7.38% | 06/05/27 | 1,648,588 | ||||
100,000 | Cemex S.A.B. de C.V. (f) | 5.45% | 11/19/29 | 109,774 | ||||
1,758,362 | ||||||||
Environmental & Facilities Services – 0.1% | ||||||||
114,000 | Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.A.R.L. (f) | 4.63% | 06/01/28 | 114,570 | ||||
76,000 | Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.A.R.L. (f) | 4.63% | 06/01/28 | 76,095 | ||||
190,665 | ||||||||
Integrated Telecommunication Services – 0.1% | ||||||||
173,000 | Altice France S.A. (f) | 7.38% | 05/01/26 | 180,136 | ||||
Pharmaceuticals – 5.0% | ||||||||
3,350,000 | Bausch Health Cos., Inc. (f) | 6.13% | 04/15/25 | 3,423,281 | ||||
3,926,000 | Endo DAC/Endo Finance, LLC/Endo Finco, Inc. (f) | 9.50% | 07/31/27 | 3,943,471 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (e) (f) (h) | 5.63% | 10/15/23 | 166,070 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (e) (f) (h) | 5.50% | 04/15/25 | $166,670 | ||||
774,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (e) (f) | 10.00% | 04/15/25 | 865,970 | ||||
8,565,462 | ||||||||
Total Foreign Corporate Bonds and Notes | 10,694,625 | |||||||
(Cost $10,978,004) |
Shares | Description | Value | ||
COMMON STOCKS – 0.4% | ||||
Broadcasting – 0.0% | ||||
426 | Cumulus Media Holdings (i) | 5,023 | ||
Electric Utilities – 0.2% | ||||
14,134 | Vistra Corp. | 270,666 | ||
Oil & Gas Exploration & Production – 0.0% | ||||
47,894 | Ascent Resources - Marcellus LLC Class A Common Shares (i) (j) | 44,302 | ||
Pharmaceuticals – 0.2% | ||||
26,696 | Akorn, Inc. (i) (j) | 404,444 | ||
Total Common Stocks | 724,435 | |||
(Cost $683,527) | ||||
WARRANTS – 0.0% | ||||
Movies & Entertainment – 0.0% | ||||
97,523 | Cineworld Group PLC, expiring 12/10/25 (i) (k) | 58,967 | ||
Oil & Gas Exploration & Production – 0.0% | ||||
12,400 | Ascent Resources - Marcellus, LLC First Lien Warrants, expiring 3/20/23 (i) (k) | 310 | ||
Total Warrants | 59,277 | |||
(Cost $1,240) | ||||
RIGHTS – 0.0% | ||||
Electric Utilities – 0.0% | ||||
14,134 | Vistra Energy Corp., no expiration date (i) (k) | 18,586 | ||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust, no expiration date (i) (k) (l) (m) | 0 | ||
1 | New Millennium Holdco, Inc., Lender Claim Trust, no expiration date (i) (k) (l) (m) | 0 | ||
0 | ||||
Total Rights | 18,586 | |||
(Cost $23,096) | ||||
MONEY MARKET FUNDS – 6.8% | ||||
11,641,437 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (n) | 11,641,437 | ||
(Cost $11,641,437) | ||||
Total Investments – 103.6% | 178,108,136 | |||
(Cost $178,488,783) (o) | ||||
Net Other Assets and Liabilities – (3.6)% | (6,114,789) | |||
Net Assets – 100.0% | $171,993,347 |
(a) | Senior Floating-Rate Loan Interests (“Senior Loans”) in which the Fund invests pay interest at rates which are periodically predetermined 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 the LIBOR, (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Senior Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. When a range of rates is disclosed, the Fund holds more than one contract within the same tranche with identical LIBOR period, spread and floor, but different LIBOR reset dates. |
(b) | Senior Loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of Senior Loans may be substantially less than the stated maturities shown. |
(c) | The issuer may pay interest on the loans in cash and in Payment-In-Kind (“PIK”) interest. Interest paid in cash will accrue at the rate of 7.00% per annum (“Cash Interest Rate”) and PIK interest will accrue on the loan at the rate of 8.25% per annum. For the fiscal year-to-date period (November 1, 2020 through July 31, 2021), the Fund received a portion of the interest in cash and PIK interest with a principal value of $9,002 for Cineworld Group PLC (Crown). |
(d) | The issuer may pay interest on the loans (1) entirely in cash or (2) in the event that both the PIK Toggle Condition has been satisfied and the issuer elects to exercise the PIK interest, 2.50% payable in cash and 7.00% payable as PIK interest. For the fiscal year-to-date period (November 1, 2020 through July 31, 2021), this security paid all of its interest in cash. |
(e) | This issuer has filed for protection in bankruptcy court. |
(f) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At July 31, 2021, securities noted as such amounted to $28,375,814 or 16.5% of net assets. |
(g) | The issuer will pay interest on the bonds in cash and in PIK interest. Interest paid in cash will accrue at the rate of 6.00% per annum (“Cash Interest Rate”) and PIK interest will accrue on the bond at the rate of 2.50% per annum. For the fiscal year-to-date period (November 1, 2020 through July 31, 2021), the Fund received a portion of the interest in cash and PIK interest with a principal value of $2,254 for Peabody Energy Corp. |
(h) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
(i) | Non-income producing security. |
(j) | Security received in a transaction exempt from registration under the 1933 Act. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for the security is determined based on security-specific factors and assumptions, which require subjective judgment. At July 31, 2021, securities noted as such amounted to $448,746 or 0.3% of net assets. |
(k) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(l) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940, as amended. At July 31, 2021, securities noted as such are valued at $0 or 0.0% of net assets. |
(m) | This security’s value was determined using significant unobservable inputs. |
(n) | Rate shown reflects yield as of July 31, 2021. |
(o) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of July 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,748,841 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,129,488. The net unrealized depreciation was $380,647. |
LIBOR | London Interbank Offered Rate |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
• | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Total Value at 7/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 136,148,303 | $ — | $ 136,148,303 | $ — |
Corporate Bonds and Notes* | 18,821,473 | — | 18,821,473 | — |
Foreign Corporate Bonds and Notes* | 10,694,625 | — | 10,694,625 | — |
Common Stocks: | ||||
Oil & Gas Exploration & Production | 44,302 | — | 44,302 | — |
Pharmaceuticals | 404,444 | — | 404,444 | — |
Other industry categories* | 275,689 | 275,689 | — | — |
Warrants* | 59,277 | — | 59,277 | — |
Rights: | ||||
Electric Utilities | 18,586 | — | 18,586 | — |
Life Sciences Tools & Services | —** | — | — | —** |
Money Market Funds | 11,641,437 | 11,641,437 | — | — |
Total Investments | $ 178,108,136 | $ 11,917,126 | $ 166,191,010 | $—** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
Borrower | Principal Value | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | ||||
Civitas Solutions (National Mentor Holdings, Inc.), Term Loan | $ 84,822 | $ 84,937 | $ 84,622 | $ (315) |