Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS – 74.0% | ||||||||
Aerospace & Defense – 0.7% | ||||||||
$284,853 | Atlantic Aviation FBO, Inc. (KKR Apple Bidco, LLC), 1st Lien Term Loan, 1 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 09/23/28 | $283,981 | ||||
467,059 | Peraton Corp., Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 02/01/28 | 466,279 | ||||
402,200 | Spirit Aerosystems, Inc., New Term Loan B, 3 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 01/15/25 | 403,206 | ||||
1,153,466 | ||||||||
Apparel Retail – 0.1% | ||||||||
142,681 | Authentic Brands Group (ABG Intermediate Holdings 2, LLC), Delayed Draw Term Loan B2, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 12/21/28 | 142,235 | ||||
22,381 | Authentic Brands Group (ABG Intermediate Holdings 2, LLC), Delayed Draw Term Loan B3, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 12/21/28 | 22,311 | ||||
22,381 | Authentic Brands Group (ABG Intermediate Holdings 2, LLC), Term Loan B1, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 12/21/28 | 22,312 | ||||
186,858 | ||||||||
Apparel, Accessories & Luxury Goods – 0.1% | ||||||||
155,535 | Careismatic Brands/New Trojan, Inc. (fka Strategic Partners), Initial Term Loan, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 01/06/28 | 152,879 | ||||
Application Software – 14.2% | ||||||||
208,990 | ConnectWise, LLC, Term Loan B, 3 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 09/30/28 | 208,430 | ||||
1,499,960 | Epicor Software Corp., First Lien Term Loan C, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 07/30/27 | 1,495,535 | ||||
71 | Flexera Software, LLC, 2020 Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 01/26/28 | 70 | ||||
27,872 | Flexera Software, LLC, 2020 Term Loan B, 6 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 01/26/28 | 27,860 | ||||
1,564,592 | Gainwell Acquisition Corp. (fka Milano), Term Loan B, 3 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 10/01/27 | 1,565,077 | ||||
2,381,499 | 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 | 2,380,023 | ||||
3,625,543 | Hyland Software, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.75% Floor | 4.25% | 07/01/24 | 3,623,730 | ||||
696,001 | Imprivata, Inc., Term Loan B, 3 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 11/30/27 | 694,407 | ||||
1,245,413 | 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 | 1,238,414 | ||||
1,102,775 | Internet Brands, Inc. (Web MD/MH Sub I, LLC), 2nd Lien Term Loan, 1 Mo. LIBOR + 6.25%, 0.00% Floor | 6.36% | 02/23/29 | 1,107,605 | ||||
2,264,437 | Internet Brands, Inc. (Web MD/MH Sub I, LLC), Initial Term Loan, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.61% | 09/13/24 | 2,252,277 | ||||
95,271 | ION Trading Technologies, Term Loan B, 3 Mo. LIBOR + 4.75%, 0.00% Floor | 4.97% | 04/01/28 | 95,271 | ||||
1,589,336 | LogMeIn, Inc. (Logan), Term Loan B, 1 Mo. LIBOR + 4.75%, 0.00% Floor | 4.86% | 08/31/27 | 1,574,857 | ||||
1,364,523 | McAfee, LLC, Term Loan B, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.86% | 09/30/24 | 1,362,968 | ||||
122,644 | MeridianLink, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 11/09/28 | 122,389 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Application Software (Continued) | ||||||||
$1,375,344 | Micro Focus International (MA Financeco, LLC), Term Loan B4, 3 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 06/05/25 | $1,373,625 | ||||
270,979 | N-Able, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 07/19/28 | 269,795 | ||||
239,933 | RealPage, Inc., Second Lien Term Loan, 1 Mo. LIBOR + 6.50%, 0.75% Floor | 7.25% | 04/22/29 | 242,452 | ||||
785,327 | RealPage, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 04/24/28 | 780,992 | ||||
3,485,003 | SolarWinds Holdings, Inc., Initial Term Loan, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.86% | 02/05/24 | 3,449,073 | ||||
262,133 | Solera Holdings, Inc. (Polaris Newco), Term Loan B, 3 Mo. LIBOR + 4.00%, 0.50% Floor | 4.50% | 06/04/28 | 261,923 | ||||
68,829 | Ultimate Kronos Group (UKG, Inc.), 2021 Term Loan, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 05/03/26 | 68,602 | ||||
24,195,375 | ||||||||
Asset Management & Custody Banks – 0.8% | ||||||||
1,293,524 | Edelman Financial Engines Center, LLC, Term Loan B, 1 Mo. LIBOR + 3.50%, 0.75% Floor | 4.25% | 04/07/28 | 1,289,256 | ||||
Auto Parts & Equipment – 0.5% | ||||||||
204,701 | Clarios Global L.P. (Power Solutions), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.36% | 04/30/26 | 203,524 | ||||
87,967 | Dexko Global (Dornoch Debt Merger Sub, Inc.), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 10/04/28 | 87,784 | ||||
598,016 | Truck Hero, Inc., Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 01/31/28 | 596,115 | ||||
887,423 | ||||||||
Broadcasting – 0.8% | ||||||||
125,062 | E.W. Scripps Company, Tranche B-3 Term Loan, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 01/07/28 | 124,906 | ||||
664,787 | iHeartCommunications, Inc., Second Amendment Incremental Term Loan B, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 05/01/26 | 663,405 | ||||
271,133 | Sinclair Television Group, Inc., Term Loan B-1, 1 Mo. LIBOR + 2.25%, 0.00% Floor | 2.36% | 01/03/24 | 266,049 | ||||
254,564 | Univision Communications, Inc., 2017 Replacement Repriced First Lien Term Loan C-5, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 03/15/24 | 254,200 | ||||
89,741 | Univision Communications, Inc., 2021 Replacement New First Lien Term Loan, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/24/26 | 89,550 | ||||
1,398,110 | ||||||||
Building Products – 0.1% | ||||||||
85,802 | Griffon Corp., Term Loan B, 1 Mo. SOFR + 2.75%, 0.50% Floor | 3.25% | 01/24/29 | 85,659 | ||||
Cable & Satellite – 0.8% | ||||||||
386,772 | DIRECTV Holdings, LLC, Term Loan B, 3 Mo. LIBOR + 5.00%, 0.75% Floor | 5.75% | 07/31/27 | 387,016 | ||||
994,366 | Radiate Holdco, LLC (RCN), Inc. Amendment No. 6 Term Loan, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 09/25/26 | 991,979 | ||||
1,378,995 | ||||||||
Casinos & Gaming – 2.6% | ||||||||
214,362 | Caesars Resort Collection, LLC, New Term Loan B-1, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.61% | 07/20/25 | 214,094 | ||||
1,564,924 | Caesars Resort Collection, LLC, Term Loan B, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.86% | 12/22/24 | 1,555,628 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Casinos & Gaming (Continued) | ||||||||
$1,508,429 | Golden Nugget, Inc. (Fertitta Entertainment, LLC), Initial Term Loan B, 1 Mo. SOFR + 4.00%, 0.50% Floor | 4.50% | 01/27/29 | $1,512,834 | ||||
1,093,109 | Scientific Games International, Inc., Term Loan B5, 1 Mo. LIBOR + 2.75%, 0.00% Floor | 2.86% | 08/14/24 | 1,089,491 | ||||
4,372,047 | ||||||||
Construction & Engineering – 0.4% | ||||||||
637,581 | USIC, Inc., 1st Lien Term Loan, 1 Mo. LIBOR + 3.50%, 0.75% Floor | 4.25% | 05/15/28 | 635,420 | ||||
Data Processing & Outsourced Services – 0.0% | ||||||||
78,156 | Paysafe Holdings (US) Corp., New Term Loan B, 1 Mo. LIBOR + 2.75%, 0.50% Floor | 3.25% | 06/24/28 | 76,300 | ||||
Education Services – 0.3% | ||||||||
568,458 | Ascensus Holdings, Inc. (Mercury), Incremental Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 08/02/28 | 565,854 | ||||
Electric Utilities – 1.7% | ||||||||
3,027,377 | PG&E Corp., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 06/23/25 | 2,966,829 | ||||
Electronic Equipment & Instruments – 0.9% | ||||||||
916,187 | Chamberlain Group, Inc. (Chariot), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 11/03/28 | 913,897 | ||||
581,320 | Verifone Systems, Inc., Term Loan B, 3 Mo. LIBOR + 4.00%, 0.00% Floor | 4.18% | 08/20/25 | 575,832 | ||||
1,489,729 | ||||||||
Environmental & Facilities Services – 1.4% | ||||||||
471,360 | Allied Universal Holdco, LLC, Initial Term Loan, 3 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 05/14/28 | 469,866 | ||||
1,590,683 | Packers Holdings, LLC (PSSI), Term Loan B, 6 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/15/28 | 1,581,409 | ||||
381,678 | TruGreen L.P., Second Refinancing Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 11/02/27 | 381,869 | ||||
2,433,144 | ||||||||
Health Care Distributors – 0.3% | ||||||||
478,141 | Radiology Partners, Inc., Term Loan B, 1 Mo. LIBOR + 4.25%, 0.00% Floor | 4.35%-4.36% | 07/09/25 | 471,963 | ||||
44,112 | Radiology Partners, Inc., Term Loan B, 3 Mo. LIBOR + 4.25%, 0.00% Floor | 4.36% | 07/09/25 | 43,543 | ||||
515,506 | ||||||||
Health Care Equipment – 0.0% | ||||||||
85,427 | Embecta Corp., Term Loan B, 1 Mo. SOFR + 3.00%, 0.50% Floor | 3.50% | 02/28/29 | 85,374 | ||||
Health Care Facilities – 0.2% | ||||||||
190,761 | Ardent Health Services, Inc. (AHP Health Partners, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 08/24/28 | 190,940 | ||||
141,757 | WP CityMD Bidco, LLC (Summit Health), Incremental Term Loan B, 6 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 11/18/28 | 141,492 | ||||
332,432 | ||||||||
Health Care Services – 11.8% | ||||||||
324,171 | AccentCare (Pluto Acquisition I, Inc.), New Term Loan B, 3 Mo. LIBOR + 4.00%, 0.00% Floor | 4.18% | 06/20/26 | 322,225 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Health Care Services (Continued) | ||||||||
$1,383,287 | ADMI Corp. (Aspen Dental), 2020 Incremental Term Loan B2, 1 Mo. LIBOR + 3.38%, 0.50% Floor | 3.88% | 12/23/27 | $1,372,691 | ||||
634,534 | ADMI Corp. (Aspen Dental), 2021 Incremental Term Loan B3, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 12/23/27 | 632,288 | ||||
1,027,674 | Air Methods Corp., Term Loan B, 3 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 04/21/24 | 967,041 | ||||
269,221 | athenahealth, Inc. (Minerva Merger Sub, Inc.), Delayed Draw Term Loan, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 01/27/29 | 267,932 | ||||
1,588,407 | athenahealth, Inc. (Minerva Merger Sub, Inc.), Term Loan B, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 01/27/29 | 1,580,798 | ||||
1,049,956 | Aveanna Healthcare, LLC, 2021 Term Loan B, 1 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 07/15/28 | 1,045,084 | ||||
244,788 | Aveanna Healthcare, LLC, Delayed Draw Term Loan, 1 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 07/15/28 | 243,652 | ||||
678,085 | Brightspring Health (Phoenix Guarantor, Inc.), Incremental Term Loan B-3, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.60% | 03/05/26 | 675,312 | ||||
1,373,761 | CHG Healthcare Services, Inc., Term Loan B, 3 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 09/30/28 | 1,374,104 | ||||
339,747 | Civitas Solutions (National Mentor Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 03/01/28 | 335,878 | ||||
425,565 | Civitas Solutions (National Mentor Holdings, Inc.), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 03/01/28 | 420,718 | ||||
25,704 | Civitas Solutions (National Mentor Holdings, Inc.), Term Loan C, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 03/01/28 | 25,411 | ||||
2,410,421 | Envision Healthcare Corporation, Initial Term Loan, 1 Mo. LIBOR + 3.75%, 0.00% Floor | 3.86% | 10/10/25 | 1,861,833 | ||||
2,070,742 | ExamWorks Group, Inc. (Electron Bidco), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 10/29/28 | 2,065,234 | ||||
114,186 | Global Medical Response, Inc. (fka Air Medical), 2021 Refinancing Term Loan, 6 Mo. LIBOR + 4.25%, 1.00% Floor | 5.25% | 10/02/25 | 114,115 | ||||
56,967 | 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 | 56,861 | ||||
450,755 | Help at Home (HAH Group Holding Company, LLC), Initial Term Loan, 3 Mo. LIBOR + 5.00%, 1.00% Floor | 6.00% | 10/29/27 | 449,912 | ||||
1,062,550 | Packaging Coordinators, Inc. (PCI Pharma), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 11/30/27 | 1,061,444 | ||||
538,833 | Radnet Management, Inc., Term Loan B, 3 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 04/22/28 | 537,486 | ||||
1,357 | Radnet Management, Inc., Term Loan B, 3 Mo. PRIME+ 2.00%, 3.25% Floor | 5.25% | 04/22/28 | 1,354 | ||||
73,836 | SCP Health (Onex TSG Intermediate Corp.), Term Loan B, 3 Mo. LIBOR + 4.75%, 0.75% Floor | 5.50% | 02/28/28 | 74,021 | ||||
1,365,418 | Team Health, Inc., Term Loan B, 1 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 02/06/24 | 1,315,580 | ||||
1,041,331 | U.S. Anesthesia Partners Intermediate Holdings, Inc., New Term Loan B, 6 Mo. LIBOR + 4.25%, 0.50% Floor | 4.75% | 09/30/28 | 1,038,405 | ||||
2,323,895 | U.S. Renal Care, Inc., Term Loan B, 1 Mo. LIBOR + 5.00%, 0.00% Floor | 5.13% | 06/28/26 | 2,291,570 | ||||
20,130,949 | ||||||||
Health Care Supplies – 0.3% | ||||||||
500,000 | Medline Borrower, L.P. (Mozart), Initial Dollar Term Loan, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 10/21/28 | 497,735 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Health Care Technology – 5.2% | ||||||||
$1,173,914 | 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 | $1,172,200 | ||||
56,544 | Clario (fka eResearch Technology, Inc.), Incremental Term Loan B, 1 Mo. LIBOR + 4.50%, 1.00% Floor | 5.50% | 02/04/27 | 56,651 | ||||
787,735 | Ensemble RCM, LLC (Ensemble Health), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.00% Floor | 4.05% | 08/01/26 | 787,569 | ||||
857,071 | Mediware (Wellsky/Project Ruby Ultimate Parent Corp.), Term Loan B, 1 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/10/28 | 854,260 | ||||
147,948 | Navicure, Inc. (Waystar Technologies, Inc.), Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.11% | 10/23/26 | 147,671 | ||||
88,122 | Press Ganey (Azalea TopCo, Inc.), 2021 Term Loan, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 07/25/26 | 88,177 | ||||
251,512 | Press Ganey (Azalea TopCo, Inc.), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.61% | 07/25/26 | 250,066 | ||||
3,153,553 | Verscend Technologies, Inc. (Cotiviti), New Term Loan B-1, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.11% | 08/27/25 | 3,150,399 | ||||
649,065 | Zelis Payments Buyer, Inc., New Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.60% | 09/30/26 | 644,197 | ||||
1,781,145 | Zelis Payments Buyer, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.61% | 09/30/26 | 1,773,166 | ||||
8,924,356 | ||||||||
Homefurnishing Retail – 0.5% | ||||||||
466,436 | At Home Holding III, Inc. (Ambience), Term Loan B, 3 Mo. LIBOR + 4.25%, 0.50% Floor | 4.75% | 07/23/28 | 465,125 | ||||
461,342 | Rent-A-Center, Inc., New Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 02/15/28 | 459,418 | ||||
924,543 | ||||||||
Hotels, Resorts & Cruise Lines – 0.2% | ||||||||
276,898 | Alterra Mountain Company, Term Loan B-2, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 08/17/28 | 276,206 | ||||
Industrial Machinery – 1.1% | ||||||||
99,611 | Filtration Group Corporation, 2021 Incremental Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 10/21/28 | 99,404 | ||||
1,689,300 | TK Elevator Newco GMBH (Vertical U.S. Newco, Inc.), New Term Loan B1 (USD), 6 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 07/31/27 | 1,689,300 | ||||
1,788,704 | ||||||||
Insurance Brokers – 5.6% | ||||||||
2,862,023 | Alliant Holdings I, LLC, Initial Term Loan, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.36% | 05/09/25 | 2,834,061 | ||||
335,771 | AssuredPartners, Inc., 2021 Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 02/13/27 | 335,247 | ||||
349,959 | AssuredPartners, Inc., Incremental Term Loan 2022, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 02/13/27 | 349,084 | ||||
500,000 | AssuredPartners, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.61% | 02/12/27 | 496,330 | ||||
865,687 | BroadStreet Partners, Inc., Term Loan B, 1 Mo. LIBOR + 3.00%, 0.00% Floor | 3.11% | 01/27/27 | 855,230 | ||||
358,077 | Cross Financial Corp., Term Loan B, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 09/15/27 | 358,525 | ||||
3,400,066 | HUB International Limited, New Term Loan B-3, 3 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 04/25/25 | 3,392,144 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Insurance Brokers (Continued) | ||||||||
$132,165 | Ryan Specialty Group, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 09/01/27 | $131,778 | ||||
847,373 | USI, Inc. (fka Compass Investors, Inc.), Term Loan B, 3 Mo. LIBOR + 3.00%, 0.00% Floor | 3.22% | 05/15/24 | 842,077 | ||||
9,594,476 | ||||||||
Integrated Telecommunication Services – 2.6% | ||||||||
1,492,599 | Frontier Communications Corp., Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 05/01/28 | 1,488,494 | ||||
2,615,182 | Numericable (Altice France S.A. or SFR), Term Loan B-12, 3 Mo. LIBOR + 3.69%, 0.00% Floor | 3.93% | 01/31/26 | 2,596,876 | ||||
266,313 | Numericable (Altice France S.A. or SFR), Term Loan B-13, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.11% | 08/14/26 | 265,094 | ||||
4,350,464 | ||||||||
Managed Health Care – 0.5% | ||||||||
861,380 | Multiplan, Inc. (MPH), Term Loan B, 3 Mo. LIBOR + 4.25%, 0.50% Floor | 4.75% | 08/31/28 | 835,650 | ||||
Metal & Glass Containers – 0.3% | ||||||||
108,717 | Altium Packaging (fka Consolidated Container), Term Loan B, 1 Mo. LIBOR + 2.75%, 0.50% Floor | 3.25% | 02/03/28 | 107,579 | ||||
427,273 | PODS, LLC, Term Loan B, 1 Mo. LIBOR + 3.00%, 0.75% Floor | 3.75% | 03/31/28 | 425,965 | ||||
533,544 | ||||||||
Movies & Entertainment – 1.6% | ||||||||
185,611 | Cineworld Group PLC (Crown), New Priority Term Loan, 6 Mo. LIBOR + 8.25%, 1.00% Floor | 9.25% | 05/23/24 | 196,515 | ||||
334,217 | Cineworld Group PLC (Crown), Priority Term Loan B-1, Fixed Rate at 15.25% (c) | 15.25% | 05/23/24 | 393,959 | ||||
2,287,101 | Cineworld Group PLC (Crown), Term Loan B, 3 Mo. LIBOR + 2.50%, 1.00% Floor | 3.50% | 02/28/25 | 1,730,650 | ||||
153,032 | PUG, LLC (Stubhub/Viagogo), Incremental Term Loan B-2, 1 Mo. LIBOR + 4.25%, 0.50% Floor | 4.75% | 02/13/27 | 152,650 | ||||
223,525 | PUG, LLC (Stubhub/Viagogo), Term Loan B, 1 Mo. LIBOR + 3.50%, 0.00% Floor | 3.61% | 02/12/27 | 221,475 | ||||
2,695,249 | ||||||||
Packaged Foods & Meats – 0.2% | ||||||||
100,512 | BellRing Brands, LLC, 2021 Refinancing Term Loan, 1 Mo. LIBOR + 4.00%, 0.75% Floor | 4.75% | 10/21/24 | 100,441 | ||||
178,927 | Simply Good Foods (Atkins Nutritionals, Inc.), New Term Loan B, 1 Mo. SOFR + 3.25%, 0.50% Floor | 3.75% | 07/07/24 | 180,045 | ||||
280,486 | ||||||||
Paper Packaging – 0.8% | ||||||||
1,446,423 | Pactiv LLC/Evergreen Packaging, LLC (fka Reynolds Group Holdings), Tranche B-3 U.S. Term Loan, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 09/20/28 | 1,442,358 | ||||
Pharmaceuticals – 4.6% | ||||||||
228,819 | Akorn, Inc., Exit Take Back Term Loan, 3 Mo. LIBOR + 7.50%, 1.00% Floor (d) | 8.50% | 09/30/25 | 230,577 | ||||
1,198,229 | Jazz Pharmaceuticals, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 05/05/28 | 1,198,085 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$1,933,227 | Mallinckrodt International Finance S.A., 2017 Term Loan B, 3 Mo. LIBOR + 5.25%, 0.75% Floor (e) | 6.00% | 09/24/24 | $1,805,150 | ||||
287,071 | Mallinckrodt International Finance S.A., 2018 Incremental Term Loan, 3 Mo. LIBOR + 5.50%, 0.75% Floor (e) | 6.25% | 02/24/25 | 268,233 | ||||
1,758,846 | Nestle Skin Health (Sunshine Lux VII SARL/Galderma), 2021 Term Loan B-3, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 10/02/26 | 1,756,436 | ||||
2,418,066 | Parexel International Corp. (Phoenix Newco), First Lien Term Loan, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 11/15/28 | 2,416,930 | ||||
96,706 | Perrigo Rx (Padagis, LLC), Term Loan B, 3 Mo. LIBOR + 4.75%, 0.50% Floor | 5.25% | 07/06/28 | 96,405 | ||||
7,771,816 | ||||||||
Research & Consulting Services – 1.7% | ||||||||
1,555,034 | Clarivate Analytics PLC (Camelot), Amendment No. 2 Incremental Term Loan, 1 Mo. LIBOR + 3.00%, 1.00% Floor | 4.00% | 10/31/26 | 1,551,628 | ||||
364,928 | Corelogic, Inc., Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 06/02/28 | 362,647 | ||||
147,107 | J.D. Power (Project Boost Purchaser, LLC), 2021 Incremental Term Loan B, 1 Mo. LIBOR + 3.50%, 0.50% Floor | 4.00% | 05/26/26 | 147,016 | ||||
664,467 | Nielsen Consumer, Inc. (Indy US Holdco, LLC)), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.00% Floor | 3.85%-3.86% | 03/05/28 | 663,916 | ||||
129,603 | Veritext Corporation (VT TopCo, Inc.), Non-Fungible 1st Lien Term Loan, 1 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 08/10/25 | 129,710 | ||||
2,854,917 | ||||||||
Restaurants – 1.6% | ||||||||
148,500 | IRB Holding Corp. (Arby’s/Inspire Brands), New Term Loan B 2022, 1 Mo. SOFR + 3.00%, 0.75% Floor | 3.75% | 12/15/27 | 148,500 | ||||
1,870,447 | IRB Holding Corp. (Arby’s/Inspire Brands), Term Loan B, 6 Mo. LIBOR + 2.75%, 1.00% Floor | 3.75% | 02/05/25 | 1,865,191 | ||||
652,208 | Whatabrands, LLC, Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 07/31/28 | 650,173 | ||||
2,663,864 | ||||||||
Soft Drinks – 0.3% | ||||||||
463,367 | Tropicana (Naked Juice LLC/Bengal Debt Merger Sub, LLC)), 1st Lien Term Loan, 1 Mo. SOFR + 3.25%, 0.50% Floor | 3.75% | 01/24/29 | 462,538 | ||||
67,974 | Tropicana (Naked Juice LLC/Bengal Debt Merger Sub, LLC)), 2nd Lien Term Loan, 1 Mo. SOFR + 6.00%, 0.50% Floor | 6.50% | 01/24/30 | 68,313 | ||||
26,733 | Tropicana (Naked Juice LLC/Bengal Debt Merger Sub, LLC)), Delayed Draw Term Loan, 1 Mo. SOFR + 3.25%, 0.50% Floor | 3.75% | 01/24/29 | 26,685 | ||||
557,536 | ||||||||
Specialized Consumer Services – 1.7% | ||||||||
629,238 | Asurion, LLC, 2nd Lien Term Loan B-4, 1 Mo. LIBOR + 5.25%, 0.00% Floor | 5.36% | 01/20/29 | 629,635 | ||||
1,262,056 | Asurion, LLC, Second Lien Term Loan B-3, 1 Mo. LIBOR + 5.25%, 0.00% Floor | 5.36% | 01/31/28 | 1,263,104 | ||||
851,172 | Asurion, LLC, Term Loan B6, 1 Mo. LIBOR + 3.13%, 0.00% Floor | 3.23% | 11/03/23 | 848,660 | ||||
190,893 | Driven Holdings, LLC, 2021 Term Loan B, 12 Mo. LIBOR + 3.00%, 0.50% Floor | 3.52% | 11/30/28 | 190,177 | ||||
2,931,576 |
Principal Value | Description | Rate (a) | Stated Maturity (b) | Value | ||||
SENIOR FLOATING-RATE LOAN INTERESTS (Continued) | ||||||||
Specialized Finance – 0.3% | ||||||||
$474,756 | WCG Purchaser Corp. (WIRB-Copernicus Group), Term Loan B, 3 Mo. LIBOR + 4.00%, 1.00% Floor | 5.00% | 01/08/27 | $474,756 | ||||
Specialty Stores – 1.8% | ||||||||
726,292 | Bass Pro Group, LLC (Great Outdoors Group, LLC), Term Loan B, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 03/05/28 | 725,537 | ||||
1,933,695 | Petco Animal Supplies, Inc., Initial Term Loan B, 3 Mo. LIBOR + 3.25%, 0.75% Floor | 4.00% | 03/03/28 | 1,930,833 | ||||
380,339 | Petsmart, Inc., Initial Term Loan B, 6 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 02/12/28 | 379,506 | ||||
3,035,876 | ||||||||
Systems Software – 4.2% | ||||||||
2,659,766 | Applied Systems, Inc., 1st Lien Term Loan, 3 Mo. LIBOR + 3.00%, 0.50% Floor | 3.50% | 09/19/24 | 2,654,632 | ||||
230,570 | Applied Systems, Inc., 2nd Lien Term Loan, 3 Mo. LIBOR + 5.50%, 0.75% Floor | 6.25% | 09/19/25 | 231,614 | ||||
296,598 | BeyondTrust (Brave Parent Holdings, Inc.), Term Loan B, 1 Mo. LIBOR + 4.00%, 0.00% Floor | 4.11% | 04/19/25 | 296,506 | ||||
859,324 | BMC Software Finance, Inc. (Boxer Parent), 2021 Replacement Dollar Term Loan, 3 Mo. LIBOR + 3.75%, 0.00% Floor | 3.97% | 10/02/25 | 855,852 | ||||
308,537 | Idera, Inc., Initial Term Loan, 3 Mo. LIBOR + 3.75%, 0.75% Floor | 4.50% | 02/15/28 | 308,472 | ||||
675,809 | Misys Financial Software Ltd. (Almonde, Inc.) (Finastra), Term Loan B, 6 Mo. LIBOR + 3.50%, 1.00% Floor | 4.50% | 06/13/24 | 673,214 | ||||
603,891 | Proofpoint, Inc., Term Loan B, 3 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 08/31/28 | 600,533 | ||||
965,995 | Sophos Group PLC (Surf), Term Loan B, 3 Mo. LIBOR + 3.50%, 0.00% Floor | 3.69% | 03/05/27 | 960,683 | ||||
590,893 | SUSE (Marcel Lux IV SARL), Facility B1 USD, 1 Mo. LIBOR + 3.25%, 0.00% Floor | 3.35% | 03/15/26 | 589,907 | ||||
7,171,413 | ||||||||
Trading Companies & Distributors – 0.5% | ||||||||
2,128 | SRS Distribution, Inc., 2021 Refinancing Term Loan, 3 Mo. LIBOR + 3.75%, 0.50% Floor | 4.25% | 06/04/28 | 2,125 | ||||
844,833 | SRS Distribution, Inc., 2021 Refinancing Term Loan, 6 Mo. LIBOR + 3.75%, 0.50% Floor | 4.27% | 06/04/28 | 843,540 | ||||
43,385 | SRS Distribution, Inc., 2022 Refinancing Term Loan, 1 Mo. SOFR + 3.50%, 0.50% Floor | 4.00% | 06/04/28 | 43,358 | ||||
889,023 | ||||||||
Trucking – 0.7% | ||||||||
1,004,599 | Hertz (The) Corporation, Exit Term Loan B, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 06/30/28 | 1,003,976 | ||||
190,280 | Hertz (The) Corporation, Exit Term Loan C, 1 Mo. LIBOR + 3.25%, 0.50% Floor | 3.75% | 06/30/28 | 190,162 | ||||
1,194,138 | ||||||||
Total Senior Floating-Rate Loan Interests | 126,020,291 | |||||||
(Cost $127,024,244) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 14.3% | ||||||||
Application Software – 0.2% | ||||||||
$291,000 | LogMeIn, Inc. (f) | 5.50% | 09/01/27 | $283,382 | ||||
Automotive Retail – 0.1% | ||||||||
155,000 | KAR Auction Services, Inc. (f) | 5.13% | 06/01/25 | 155,415 | ||||
Broadcasting – 2.1% | ||||||||
572,000 | Cumulus Media New Holdings, Inc. (f) | 6.75% | 07/01/26 | 589,149 | ||||
454,000 | Diamond Sports Group, LLC/Diamond Sports Finance Co. (f) | 5.38% | 08/15/26 | 209,600 | ||||
1,097,000 | Diamond Sports Group, LLC/Diamond Sports Finance Co. (f) | 6.63% | 08/15/27 | 285,220 | ||||
533,000 | Gray Television, Inc. (f) | 7.00% | 05/15/27 | 562,251 | ||||
741,000 | iHeartCommunications, Inc. | 8.38% | 05/01/27 | 774,801 | ||||
625,000 | iHeartCommunications, Inc. (f) | 4.75% | 01/15/28 | 623,278 | ||||
34,000 | Sinclair Television Group, Inc. (f) | 5.88% | 03/15/26 | 34,378 | ||||
61,000 | Sinclair Television Group, Inc. (f) | 5.13% | 02/15/27 | 57,572 | ||||
397,000 | Univision Communications, Inc. (f) | 6.63% | 06/01/27 | 417,447 | ||||
3,553,696 | ||||||||
Cable & Satellite – 1.7% | ||||||||
3,001,000 | CSC Holdings, LLC (f) | 5.75% | 01/15/30 | 2,825,922 | ||||
Casinos & Gaming – 1.7% | ||||||||
25,000 | Boyd Gaming Corp. (f) | 8.63% | 06/01/25 | 26,552 | ||||
924,000 | Caesars Entertainment, Inc. (f) | 6.25% | 07/01/25 | 955,291 | ||||
1,443,000 | Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. (f) | 6.75% | 01/15/30 | 1,404,450 | ||||
486,000 | Golden Nugget, Inc. (f) | 6.75% | 10/15/24 | 486,671 | ||||
2,872,964 | ||||||||
Communications Equipment – 0.1% | ||||||||
200,000 | CommScope Technologies, LLC (f) | 6.00% | 06/15/25 | 194,662 | ||||
Health Care Facilities – 1.0% | ||||||||
536,000 | Select Medical Corp. (f) | 6.25% | 08/15/26 | 551,177 | ||||
173,000 | Tenet Healthcare Corp. (f) | 4.63% | 06/15/28 | 171,732 | ||||
1,005,000 | Tenet Healthcare Corp. (f) | 6.13% | 10/01/28 | 1,008,246 | ||||
1,731,155 | ||||||||
Health Care Services – 1.0% | ||||||||
1,468,000 | Global Medical Response, Inc. (f) | 6.50% | 10/01/25 | 1,470,356 | ||||
144,000 | ModivCare, Inc. (f) | 5.88% | 11/15/25 | 149,868 | ||||
69,000 | Team Health Holdings, Inc. (f) | 6.38% | 02/01/25 | 61,862 | ||||
1,682,086 | ||||||||
Health Care Technology – 1.3% | ||||||||
1,687,000 | Change Healthcare Holdings, LLC/Change Healthcare Finance, Inc. (f) | 5.75% | 03/01/25 | 1,692,651 | ||||
480,000 | Verscend Escrow Corp. (f) | 9.75% | 08/15/26 | 504,718 | ||||
2,197,369 | ||||||||
Insurance Brokers – 2.4% | ||||||||
1,069,000 | Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer (f) | 6.75% | 10/15/27 | 1,059,299 | ||||
85,000 | AmWINS Group, Inc. (f) | 4.88% | 06/30/29 | 83,318 | ||||
2,211,000 | AssuredPartners, Inc. (f) | 7.00% | 08/15/25 | 2,211,741 | ||||
676,000 | HUB International Ltd. (f) | 7.00% | 05/01/26 | 692,883 | ||||
4,047,241 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Integrated Telecommunication Services – 1.0% | ||||||||
$215,000 | Frontier Communications Holdings, LLC (f) | 5.88% | 10/15/27 | $221,731 | ||||
316,000 | Frontier Communications Holdings, LLC (f) | 5.00% | 05/01/28 | 313,562 | ||||
500,000 | Frontier Communications Holdings, LLC (f) | 6.75% | 05/01/29 | 502,130 | ||||
748,000 | Zayo Group Holdings, Inc. (f) | 6.13% | 03/01/28 | 708,573 | ||||
1,745,996 | ||||||||
Managed Health Care – 0.6% | ||||||||
1,093,000 | MPH Acquisition Holdings, LLC (f) | 5.75% | 11/01/28 | 984,919 | ||||
Movies & Entertainment – 0.0% | ||||||||
43,000 | Live Nation Entertainment, Inc. (f) | 6.50% | 05/15/27 | 46,344 | ||||
Paper Packaging – 0.2% | ||||||||
348,000 | Graham Packaging Co., Inc. (f) | 7.13% | 08/15/28 | 353,691 | ||||
Pharmaceuticals – 0.1% | ||||||||
135,000 | Organon & Co./Organon Foreign Debt Co-Issuer B.V. (f) | 5.13% | 04/30/31 | 135,105 | ||||
Research & Consulting Services – 0.1% | ||||||||
118,000 | Nielsen Finance, LLC/Nielsen Finance Co. (f) | 5.63% | 10/01/28 | 118,631 | ||||
Restaurants – 0.6% | ||||||||
922,000 | IRB Holding Corp. (f) | 7.00% | 06/15/25 | 962,333 | ||||
78,000 | IRB Holding Corp. (f) | 6.75% | 02/15/26 | 79,455 | ||||
1,041,788 | ||||||||
Systems Software – 0.1% | ||||||||
258,000 | Boxer Parent Co., Inc. (f) | 9.13% | 03/01/26 | 269,267 | ||||
Total Corporate Bonds and Notes | 24,239,633 | |||||||
(Cost $24,994,893) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 6.3% | ||||||||
Auto Parts & Equipment – 0.0% | ||||||||
88,000 | Clarios Global L.P./Clarios US Finance Co. (f) | 8.50% | 05/15/27 | 92,131 | ||||
Building Products – 1.0% | ||||||||
1,455,000 | Cemex S.A.B. de C.V. (f) | 7.38% | 06/05/27 | 1,589,296 | ||||
100,000 | Cemex S.A.B. de C.V. (f) | 5.45% | 11/19/29 | 103,866 | ||||
1,693,162 | ||||||||
Data Processing & Outsourced Services – 0.3% | ||||||||
485,000 | Paysafe Finance PLC/Paysafe Holdings US Corp. (f) | 4.00% | 06/15/29 | 434,822 | ||||
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 | 109,429 | ||||
76,000 | Allied Universal Holdco, LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.A.R.L. (f) | 4.63% | 06/01/28 | 72,019 | ||||
181,448 | ||||||||
Pharmaceuticals – 4.9% | ||||||||
2,820,000 | Bausch Health Cos., Inc. (f) | 6.13% | 04/15/25 | 2,876,047 | ||||
857,000 | Bausch Health Cos., Inc. (f) | 6.13% | 02/01/27 | 861,649 | ||||
3,926,000 | Endo DAC/Endo Finance, LLC/Endo Finco, Inc. (f) | 9.50% | 07/31/27 | 3,887,663 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (e) (f) (g) | 5.63% | 10/15/23 | 134,025 | ||||
250,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (e) (f) (g) | 5.50% | 04/15/25 | 134,128 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$416,000 | Mallinckrodt International Finance S.A./Mallinckrodt CB, LLC (e) (f) | 10.00% | 04/15/25 | $436,228 | ||||
8,329,740 | ||||||||
Total Foreign Corporate Bonds and Notes | 10,731,303 | |||||||
(Cost $11,228,058) |
Shares | Description | Value | ||
COMMON STOCKS – 0.4% | ||||
Broadcasting – 0.0% | ||||
426 | Cumulus Media Holdings (h) | 4,367 | ||
Electric Utilities – 0.2% | ||||
14,134 | Vistra Corp. | 308,263 | ||
Oil & Gas Exploration & Production – 0.0% | ||||
47,894 | Ascent Resources - Marcellus LLC Class A Common Shares (h) (i) | 59,867 | ||
Pharmaceuticals – 0.2% | ||||
26,696 | Akorn, Inc. (h) (i) | 252,504 | ||
Total Common Stocks | 625,001 | |||
(Cost $683,527) | ||||
WARRANTS – 0.0% | ||||
Movies & Entertainment – 0.0% | ||||
97,523 | Cineworld Group PLC (Crown), expiring 11/23/25 (h) (j) | 26,428 | ||
Oil & Gas Exploration & Production – 0.0% | ||||
12,400 | Ascent Resources - Marcellus, LLC First Lien Warrants, expiring 3/20/23 (h) (j) | 310 | ||
Total Warrants | 26,738 | |||
(Cost $1,240) | ||||
RIGHTS – 0.0% | ||||
Electric Utilities – 0.0% | ||||
14,134 | Vistra Energy Corp., no expiration date (h) (j) | 19,364 | ||
Life Sciences Tools & Services – 0.0% | ||||
1 | New Millennium Holdco, Inc., Corporate Claim Trust, no expiration date (h) (j) (k) (l) | 0 | ||
1 | New Millennium Holdco, Inc., Lender Claim Trust, no expiration date (h) (j) (k) (l) | 0 | ||
0 | ||||
Total Rights | 19,364 | |||
(Cost $23,096) | ||||
MONEY MARKET FUNDS – 7.7% | ||||
13,159,875 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (m) | 13,159,875 | ||
(Cost $13,159,875) | ||||
Total Investments – 102.7% | 174,822,205 | |||
(Cost $177,114,933) | ||||
Net Other Assets and Liabilities – (2.7)% | (4,615,421) | |||
Net Assets – 100.0% | $170,206,784 |
(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, 2021 through January 31, 2022), the Fund received a portion of the interest in cash and PIK interest with a principal value of $6,901 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, 2021 through January 31, 2022), 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 of 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 January 31, 2022, securities noted as such amounted to $34,196,135 or 20.1% of net assets. |
(g) | This issuer is in default and interest is not being accrued by the Fund nor paid by the issuer. |
(h) | Non-income producing security. |
(i) | 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 January 31, 2022, securities noted as such amounted to $312,371 or 0.2% of net assets. |
(j) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Advisor. |
(k) | 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 January 31, 2022, securities noted as such are valued at $0 or 0.0% of net assets. |
(l) | This security’s value was determined using significant unobservable inputs. |
(m) | Rate shown reflects yield as of January 31, 2022. |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing 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 1/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Senior Floating-Rate Loan Interests* | $ 126,020,291 | $ — | $ 126,020,291 | $ — |
Corporate Bonds and Notes* | 24,239,633 | — | 24,239,633 | — |
Foreign Corporate Bonds and Notes* | 10,731,303 | — | 10,731,303 | — |
Common Stocks: | ||||
Oil & Gas Exploration & Production | 59,867 | — | 59,867 | — |
Pharmaceuticals | 252,504 | — | 252,504 | — |
Other industry categories* | 312,630 | 312,630 | — | — |
Warrants* | 26,738 | — | 26,738 | — |
Rights: | ||||
Electric Utilities | 19,364 | — | 19,364 | — |
Life Sciences Tools & Services | —** | — | — | —** |
Money Market Funds | 13,159,875 | 13,159,875 | — | — |
Total Investments | $ 174,822,205 | $ 13,472,505 | $ 161,349,700 | $—** |
* | 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 | $ 84,928 | $ 83,856 | $ (1,072) | ||||
Dexko Global (Dornoch Debt Merger Sub, Inc.), Term Loan | 16,756 | 16,756 | 16,721 | (35) | ||||
Veritext Corporation (VT TopCo, Inc.), Term Loan | 22,737 | 22,737 | 22,756 | 19 | ||||
Zelis Payments Buyer, Inc., Term Loan | 118,310 | 118,310 | 117,422 | (888) | ||||
$242,731 | $240,755 | $(1,976) |