|
201 Rouse Boulevard
Philadelphia, Pennsylvania (Address of principal executive offices) |
| |
19112
(Zip code) |
|
Portfolio composition (by fair value)
|
| | |||||
Senior Secured Loans—First Lien
|
| | | | 12% | | |
Senior Secured Loans—Second Lien
|
| | | | 4% | | |
Senior Secured Bonds
|
| | | | 19% | | |
Unsecured Bonds
|
| | | | 40% | | |
CLO/Structured Credit
|
| | | | 22% | | |
Emerging Markets Debt
|
| | | | 3% | | |
| | | | | 100% | | |
Top 10 Holdings (by fair value)
|
| | |||||
Puerto Rico Sales Tax Financing Corp.
|
| | | | 5% | | |
Frontier Communications Corp.
|
| | | | 3% | | |
Altice Europe N.V.
|
| | | | 2% | | |
Bausch Health Corp.
|
| | | | 2% | | |
Caixa Bank SA
|
| | | | 2% | | |
Verscend Holdings LLC
|
| | | | 2% | | |
AHP Health Partners, Inc.
|
| | | | 2% | | |
BPP Pristine US Mezz A LLC
|
| | | | 2% | | |
Nine Energy Service, Inc.
|
| | | | 2% | | |
Solocal Group
|
| | | | 1% | | |
Industry classification (by fair value)
|
| | |||||
USD CLO
|
| | | | 11% | | |
EUR CLO
|
| | | | 11% | | |
Municipal
|
| | | | 8% | | |
Media Entertainment
|
| | | | 7% | | |
Oil & Gas
|
| | | | 6% | | |
Chemicals
|
| | | | 5% | | |
Telecommunications
|
| | | | 4% | | |
Commercial Banks
|
| | | | 4% | | |
Oil & Gas Services
|
| | | | 4% | | |
Pharmaceuticals
|
| | | | 3% | | |
Internet
|
| | | | 2% | | |
Independent Oil & Gas
|
| | | | 2% | | |
Healthcare
|
| | | | 2% | | |
Other Financial
|
| | | | 2% | | |
Mining
|
| | | | 2% | | |
Healthcare-Services
|
| | | | 2% | | |
Transportation
|
| | | | 2% | | |
Retailers
|
| | | | 2% | | |
Healthcare-Products
|
| | | | 1% | | |
Technology
|
| | | | 1% | | |
Commercial Services
|
| | | | 1% | | |
Aerospace/Defense
|
| | | | 1% | | |
Pipelines
|
| | | | 1% | | |
Coal
|
| | | | 1% | | |
Other
|
| | | | 15% | | |
| | | | | 100% | | |
| Officers MICHAEL C. FORMAN Chairman, Chief Executive Officer & President EDWARD T. GALLIVAN, JR. Chief Financial Officer STEPHEN S. SYPHERD Vice President, Treasurer & Secretary JAMES F. VOLK Chief Compliance Officer |
| | Board of Trustees MICHAEL C. FORMAN Chairman, Chief Executive Officer & President STEVEN SHAPIRO Trustee Partner and Executive Committee Member, GoldenTree Asset Management HOLLY E. FLANAGAN Trustee Managing Director, Gabriel Investments BRIAN R. FORD Trustee Retired Partner, Ernst & Young LLP JOSEPH P. UJOBAI Trustee Executive Vice President, SEI Investments Company |
|
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| | | | 56 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Senior Secured Loans—First Lien—13.5% | | | | | | | | | | | | | | | | | | | | | | | | | |
Abaco Energy Technologies LLC, L + 950,
1.0% Floor, 11/20/2020 |
| |
(d)
|
| |
Independent Oil & Gas
|
| | | $ | 451 | | | | | $ | 449 | | | | | $ | 453 | | |
AHP Health Partners, Inc., L + 450, 1.0%
Floor, 6/30/2025 |
| |
(d)
|
| |
Healthcare
|
| | | | 673 | | | | | | 667 | | | | | | 677 | | |
Aleris International, Inc., L + 475, 1.0%
Floor, 2/27/2023 |
| |
(d)
|
| |
Metals and Mining
|
| | | | 673 | | | | | | 667 | | | | | | 680 | | |
California Resources Corp., L + 475, 1.0%
Floor, 12/31/2022 |
| |
(d)
|
| |
Independent Oil & Gas
|
| | | | 1,168 | | | | | | 1,195 | | | | | | 1,189 | | |
Comet Bidco Limited, L + 500, 1.0% Floor,
9/30/2024 |
| |
(d)
|
| |
Consumer Cyclical
Services |
| | | | 701 | | | | | | 682 | | | | | | 694 | | |
CONSOL Energy, Inc., L + 600, 1.0% Floor,
11/28/2022 |
| |
(d)
|
| |
Metals and Mining
|
| | | | 245 | | | | | | 251 | | | | | | 252 | | |
East Valley Tourist Development Authority,
L + 800, 1.0% Floor, 12/17/2021 |
| |
(d)
|
| |
Leisure
|
| | | | 1,107 | | | | | | 1,107 | | | | | | 1,126 | | |
Financial & Risk US Holdings, Inc.,
L + 375, 10/1/2025 |
| |
(d)
|
| |
Technology
|
| | | | 245 | | | | | | 244 | | | | | | 243 | | |
Genworth Financial, Inc., L + 450, 1.0%
Floor, 3/7/2023 |
| |
(d)
|
| |
Life Insurance
|
| | | | 189 | | | | | | 188 | | | | | | 193 | | |
Holland & Barrett International, E + 425,
1.0% Floor, 8/9/2024 |
| |
(d)
|
| |
Consumer Cyclical
Services |
| | | € | 400 | | | | | | 456 | | | | | | 443 | | |
Jo-Ann Stores, Inc., L + 500, 1.0% Floor,
10/20/2023 |
| |
(d)
|
| |
Retailers
|
| | | $ | 263 | | | | | | 262 | | | | | | 264 | | |
McDermott Technology Americas Inc.,
L + 500, 1.0% Floor, 5/12/2025 |
| |
(d)
|
| |
Oil Field Services
|
| | | | 328 | | | | | | 327 | | | | | | 325 | | |
Modacin France SAS, E + 450, 1.25% PIK,
11/20/2020 |
| |
(d)(e)
|
| |
Retailers
|
| | | € | 435 | | | | | | 451 | | | | | | 299 | | |
Neiman Marcus Group Ltd., LLC,
L + 325, 1.0% Floor, 10/25/2020 |
| |
(d)
|
| |
Retailers
|
| | | $ | 1,011 | | | | | | 937 | | | | | | 923 | | |
NMI Holdings, Inc., L + 475, 1.0% Floor,
5/17/2023 |
| |
(d)
|
| |
Property & Casualty
Insurance |
| | | | 309 | | | | | | 308 | | | | | | 312 | | |
Onex TSG Holdings II Corp., L + 400, 1.0%
Floor, 7/31/2022 |
| |
(d)
|
| |
Healthcare
|
| | | | 88 | | | | | | 88 | | | | | | 88 | | |
Patterson Medical Holdings, Inc., L + 475,
1.0% Floor, 8/28/2022 |
| |
(d)
|
| |
Healthcare
|
| | | | 910 | | | | | | 874 | | | | | | 876 | | |
Premier Oil plc, L + 500, 1.0% Floor,
5/31/2021 |
| |
(d)(e)
|
| |
Independent Oil & Gas
|
| | | | 291 | | | | | | 274 | | | | | | 275 | | |
Premier Oil plc, L + 500, 1.0% Floor,
5/31/2021 |
| |
(d)(e)
|
| |
Independent Oil & Gas
|
| | | | 955 | | | | | | 899 | | | | | | 900 | | |
Quorum Health Corp., L + 675, 1.0% Floor,
4/29/2022 |
| |
(d)(e)
|
| |
Healthcare
|
| | | | 157 | | | | | | 159 | | | | | | 159 | | |
R.R. Donnelley & Sons Co., L + 500,
1/15/2024 |
| |
(d)
|
| |
Media Entertainment
|
| | | | 775 | | | | | | 767 | | | | | | 770 | | |
R1 RCM, Inc., L + 525, 5/8/2025
|
| |
(d)
|
| |
Other Financial
|
| | | | 713 | | | | | | 708 | | | | | | 713 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Red Ventures, LLC, L + 400, 11/8/2024
|
| |
(d)
|
| |
Media Entertainment
|
| | | $ | 262 | | | | | $ | 260 | | | | | $ | 263 | | |
Seadrill Partners Finco LLC, L + 600, 1.0%
Floor, 2/21/2021 |
| |
(d)
|
| |
Oil Field Services
|
| | | | 485 | | | | | | 432 | | | | | | 452 | | |
UTEX Industries Inc., L + 400, 1.0% Floor,
5/22/2021 |
| |
(d)
|
| |
Chemicals
|
| | | | 562 | | | | | | 560 | | | | | | 553 | | |
Valeant Pharmaceuticals International, Inc.,
L + 300, 1.0% Floor, 6/2/2025 |
| |
(d)
|
| |
Pharmaceuticals
|
| | | | 101 | | | | | | 100 | | | | | | 101 | | |
Verifone Systems, Inc., L + 400, 8/20/2025
|
| |
(d)
|
| |
Technology
|
| | | | 250 | | | | | | 249 | | | | | | 250 | | |
Verscend Holding Corp., L + 450,
8/9/2025 |
| |
(d)
|
| |
Technology
|
| | | | 570 | | | | | | 566 | | | | | | 575 | | |
VVC Holding Corp., L + 425, 1.0% Floor,
7/9/2025 |
| |
(d)
|
| |
Healthcare
|
| | | | 570 | | | | | | 559 | | | | | | 567 | | |
Total Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | 14,686 | | | | | | 14,615 | | |
Senior Secured Loans—Second Lien—4.3% | | | | | | | | | | | | | | | | | | | | | | | | | |
Asurion LLC, L + 650, 8/4/2025
|
| |
(d)
|
| |
Property & Casualty Insurance
|
| | | | 450 | | | | | | 449 | | | | | | 463 | | |
BPP Pristine US Mezz A LLC, L + 450, 1.0%
Floor, 6/24/2020 |
| |
(d)(k)
|
| |
Other Financial
|
| | | | 1,900 | | | | | | 1,885 | | | | | | 1,881 | | |
DG Investment Intermediate Holdings 2,
Inc., L + 675, 0.8% Floor, 2/2/2026 |
| |
(d)
|
| |
Other Industrial
|
| | | | 290 | | | | | | 289 | | | | | | 292 | | |
Jo-Ann Stores, Inc., L + 850, 1.0% Floor,
5/21/2024 |
| |
(d)
|
| |
Retailers
|
| | | | 325 | | | | | | 320 | | | | | | 321 | | |
Onex TSG Holdings II Corp., L + 850, 1.0%
Floor, 7/31/2023 |
| |
(d)(e)
|
| |
Healthcare
|
| | | | 320 | | | | | | 320 | | | | | | 318 | | |
UTEX Industries Inc., L + 725, 1.0% Floor,
5/22/2022 |
| |
(d)
|
| |
Chemicals
|
| | | | 960 | | | | | | 944 | | | | | | 940 | | |
Verifone Systems, Inc., L + 800, 8/20/2026
|
| |
(d)
|
| |
Technology
|
| | | | 420 | | | | | | 417 | | | | | | 420 | | |
Total Senior Secured Loans—Second Lien
|
| | | | | | | | | | | | | | | | 4,624 | | | | | | 4,635 | | |
Senior Secured Bonds—21.1% | | | | | | | | | | | | | | | | | | | | | | | | | |
ABG Orphan Holdco Sarl, 14.0%,
2/28/2021 |
| |
(g)
|
| |
Engineering &
Construction |
| | | | 114 | | | | | | 111 | | | | | | 120 | | |
Altice Financing SA, 7.5%, 5/15/2026
|
| |
(f)(g)
|
| |
Media Entertainment
|
| | | | 400 | | | | | | 386 | | | | | | 378 | | |
Altice France SA, 7.4%, 5/1/2026
|
| |
(f)(g)
|
| |
Media Entertainment
|
| | | | 200 | | | | | | 196 | | | | | | 192 | | |
Altice France SA, 5.9%, 2/1/2027
|
| |
(f)(g)
|
| |
Media Entertainment
|
| | | € | 215 | | | | | | 251 | | | | | | 251 | | |
Altice France SA, 8.1%, 2/1/2027
|
| |
(f)(g)
|
| |
Media Entertainment
|
| | | $ | 1,685 | | | | | | 1,711 | | | | | | 1,670 | | |
Ambac LSNI LLC, 7.4%, 2/12/2023
|
| |
(f)(g)
|
| |
Insurance
|
| | | | 1,001 | | | | | | 1,014 | | | | | | 1,012 | | |
Avantor, Inc., 4.8%, 10/1/2024
|
| |
(g)
|
| |
Healthcare-Products
|
| | | € | 928 | | | | | | 1,102 | | | | | | 1,074 | | |
Avon International Operations, Inc., 7.9%,
8/15/2022 |
| |
(f)(g)
|
| |
Household Products
|
| | | $ | 803 | | | | | | 804 | | | | | | 816 | | |
BCD Acquisition, Inc., 9.6%, 9/15/2023
|
| |
(f)(g)
|
| |
Auto Manufacturers
|
| | | | 674 | | | | | | 725 | | | | | | 714 | | |
Belden, Inc., 3.4%, 7/15/2027
|
| |
(g)
|
| |
Electrical Compo & Equipment
|
| | | € | 253 | | | | | | 281 | | | | | | 276 | | |
CGG Holding US, Inc., 7.9%, 5/1/2023
|
| |
(f)(g)
|
| |
Oil & Gas Services
|
| | | | 105 | | | | | | 129 | | | | | | 127 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Chembulk Holding LLC, 8.0%, 2/2/2023
|
| |
(f)(g)
|
| |
Transportation
|
| | | $ | 400 | | | | | $ | 401 | | | | | $ | 406 | | |
CSI Compressco LP/CSI Compressco
Finance, Inc., 7.5%, 4/1/2025 |
| |
(f)(g)
|
| |
Oil & Gas Services
|
| | | | 1,432 | | | | | | 1,442 | | | | | | 1,453 | | |
Denbury Resources, Inc., 9.3%, 3/31/2022
|
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 610 | | | | | | 643 | | | | | | 637 | | |
Denbury Resources, Inc., 5.5%, 5/1/2022
|
| | | | |
Oil & Gas
|
| | | | 175 | | | | | | 152 | | | | | | 151 | | |
Denbury Resources, Inc., 7.5%, 2/15/2024
|
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 534 | | | | | | 534 | | | | | | 524 | | |
Drax Finco Plc, 6.6%, 11/1/2025
|
| |
(f)(g)
|
| |
Electric
|
| | | | 235 | | | | | | 235 | | | | | | 235 | | |
Eagle Bulk Shipco LLC, 8.3%, 11/28/2022
|
| |
(g)
|
| |
Transportation
|
| | | | 846 | | | | | | 855 | | | | | | 870 | | |
EP Energy LLC/Everest Acquisition Finance,
Inc., 7.8%, 5/15/2026 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 390 | | | | | | 391 | | | | | | 390 | | |
Frontier Communications Corp., 8.5%,
4/1/2026 |
| |
(f)(g)
|
| |
Telecommunications
|
| | | | 1,860 | | | | | | 1,810 | | | | | | 1,733 | | |
HCA, Inc., 6.5%, 2/15/2020
|
| |
(g)
|
| |
Healthcare-Services
|
| | | | 599 | | | | | | 621 | | | | | | 619 | | |
HCA, Inc., 4.5%, 2/15/2027
|
| |
(g)
|
| |
Healthcare-Services
|
| | | | 268 | | | | | | 267 | | | | | | 261 | | |
Hexion, Inc., 6.6%, 4/15/2020
|
| |
(g)
|
| |
Chemicals
|
| | | | 154 | | | | | | 143 | | | | | | 136 | | |
Hexion, Inc., 10.4%, 2/1/2022
|
| |
(f)(g)
|
| |
Chemicals
|
| | | | 1,008 | | | | | | 998 | | | | | | 910 | | |
Hot Topic, Inc., 9.3%, 6/15/2021
|
| |
(f)(g)
|
| |
Retail
|
| | | | 621 | | | | | | 587 | | | | | | 616 | | |
Hudbay Minerals, Inc., 7.3%, 1/15/2023
|
| |
(f)(g)
|
| |
Mining
|
| | | | 155 | | | | | | 156 | | | | | | 156 | | |
Hudbay Minerals, Inc., 7.6%, 1/15/2025
|
| |
(f)(g)
|
| |
Mining
|
| | | | 208 | | | | | | 209 | | | | | | 209 | | |
JW Aluminum Continuous Cast Co., 10.3%,
6/1/2026 |
| |
(f)(g)
|
| |
Mining
|
| | | | 27 | | | | | | 27 | | | | | | 27 | | |
L Brands, Inc., 6.9%, 11/1/2035
|
| |
(g)
|
| |
Retail
|
| | | | 134 | | | | | | 113 | | | | | | 114 | | |
L Brands, Inc., 6.8%, 7/1/2036
|
| |
(g)
|
| |
Retail
|
| | | | 271 | | | | | | 221 | | | | | | 224 | | |
Nomad Foods Bondco Plc, 3.3%,
5/15/2024 |
| |
(g)
|
| |
Food
|
| | | € | 421 | | | | | | 496 | | | | | | 482 | | |
Northern Oil and Gas, Inc., 9.5%,
5/15/2023 |
| |
(g)
|
| |
Oil & Gas
|
| | | $ | 67 | | | | | | 70 | | | | | | 69 | | |
Northern Oil and Gas, Inc., 9.5%,
5/15/2023 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 181 | | | | | | 188 | | | | | | 186 | | |
Pacific Drilling First Lien Escrow Issuer Ltd.,
8.4%, 10/1/2023 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 602 | | | | | | 607 | | | | | | 609 | | |
Pacific Drilling Second Lien Escrow Issuer
Ltd., 11.0%, 4/1/2024 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 101 | | | | | | 101 | | | | | | 106 | | |
Perstorp Holding AB, 11.0%, 9/30/2021
|
| |
(g)
|
| |
Chemicals
|
| | | | 547 | | | | | | 593 | | | | | | 590 | | |
Platin 1426 GmbH, 5.4%, 6/15/2023
|
| | | | |
Machinery-Diversified
|
| | | € | 175 | | | | | | 203 | | | | | | 193 | | |
Solocal Group, 8.0%, 3/15/2022
|
| | | | |
Internet
|
| | | | 1,358 | | | | | | 1,593 | | | | | | 1,535 | | |
Tendam Brands SAU, 5.0%, 9/15/2024
|
| |
(g)
|
| |
Retail
|
| | | | 220 | | | | | | 247 | | | | | | 233 | | |
Teva Pharmaceutical Finance Netherlands III
B.V., 6.0%, 4/15/2024 |
| |
(g)
|
| |
Pharmaceuticals
|
| | | $ | 218 | | | | | | 215 | | | | | | 217 | | |
Transocean Phoenix 2 Ltd., 7.8%,
10/15/2024 |
| |
(f)(g)
|
| |
Oil & Gas Services
|
| | | | 1,036 | | | | | | 1,075 | | | | | | 1,074 | | |
Urban One, Inc., 7.4%, 4/15/2022
|
| |
(f)(g)
|
| |
Media Entertainment
|
| | | | 1,030 | | | | | | 1,025 | | | | | | 1,015 | | |
Wind Tre SpA, 5.0%, 1/20/2026
|
| |
(f)
|
| |
Telecommunications
|
| | | | 313 | | | | | | 266 | | | | | | 266 | | |
Total Senior Secured Bonds
|
| | | | | | | | | | | | | | | | 23,194 | | | | | | 22,876 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Unsecured Bonds—44.4% | | | | | | | | | | | | | | | | | | | | | | | | | |
ABN AMRO Bank N.V., 4.8%
|
| |
(g)
|
| |
Commercial Banks
|
| | | € | 200 | | | | | $ | 223 | | | | | $ | 215 | | |
AHP Health Partners, Inc., 9.8%,
7/15/2026 |
| |
(f)(g)
|
| |
Healthcare-Services
|
| | | $ | 1,223 | | | | | | 1,206 | | | | | | 1,246 | | |
American Tire Distributors, Inc., 10.3%,
3/1/2022 |
| |
(f)(h)
|
| |
Distribution/Wholesale
|
| | | | 453 | | | | | | 466 | | | | | | 79 | | |
Apex Tool Group LLC/BC Mountain
Finance, Inc., 9.0%, 2/15/2023 |
| |
(f)(g)
|
| |
Hand/Machine Tools
|
| | | | 300 | | | | | | 294 | | | | | | 276 | | |
Aruba Investments, Inc., 8.8%, 2/15/2023
|
| |
(f)(g)
|
| |
Chemicals
|
| | | | 1,389 | | | | | | 1,429 | | | | | | 1,426 | | |
Banco de Sabadell SA, 6.5%, 5/18/2022
|
| |
(g)
|
| |
Commercial Banks
|
| | | € | 600 | | | | | | 682 | | | | | | 660 | | |
Banff Merger Sub, Inc., 9.8%, 9/1/2026
|
| |
(f)(g)
|
| |
IT Services
|
| | | $ | 386 | | | | | | 386 | | | | | | 373 | | |
Banff Merger Sub, Inc., 8.4%, 9/1/2026
|
| |
(g)
|
| |
IT Services
|
| | | € | 200 | | | | | | 231 | | | | | | 225 | | |
Bausch Health Companies, Inc., 4.5%,
5/15/2023 |
| |
(g)
|
| |
Pharmaceuticals
|
| | | | 2,099 | | | | | | 2,359 | | | | | | 2,307 | | |
Bombardier, Inc., 7.8%, 3/15/2020
|
| |
(f)(g)
|
| |
Aerospace/Defense
|
| | | $ | 465 | | | | | | 489 | | | | | | 482 | | |
CaixaBank SA, 5.3%, 3/23/2026
|
| |
(g)
|
| |
Commercial Banks
|
| | | € | 2,200 | | | | | | 2,343 | | | | | | 2,280 | | |
CBS Radio, Inc., 7.3%, 11/1/2024
|
| |
(f)(g)
|
| |
Media Entertainment
|
| | | $ | 1,075 | | | | | | 1,040 | | | | | | 1,017 | | |
Citigroup, Inc., 6.0%
|
| |
(g)
|
| |
Commercial Banks
|
| | | | 74 | | | | | | 75 | | | | | | 73 | | |
Compass Group Diversified Holdings LLC,
8.0%, 5/1/2026 |
| |
(f)(g)
|
| |
Investment Company
Security |
| | | | 271 | | | | | | 273 | | | | | | 277 | | |
Consolidated Energy Finance SA, 6.5%,
5/15/2026 |
| |
(f)(g)
|
| |
Chemicals
|
| | | | 300 | | | | | | 298 | | | | | | 299 | | |
CrownRock LP/CrownRock Finance, Inc.,
5.6%, 10/15/2025 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 331 | | | | | | 316 | | | | | | 315 | | |
Endeavor Energy Resources LP/EER
Finance, Inc., 5.5%, 1/30/2026 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 385 | | | | | | 377 | | | | | | 396 | | |
Ensco PLC, 7.8%, 2/1/2026
|
| |
(g)
|
| |
Oil & Gas
|
| | | | 1,380 | | | | | | 1,312 | | | | | | 1,288 | | |
Ferroglobe Plc/Globe Specialty Metals, Inc.,
9.4%, 3/1/2022 |
| |
(f)(g)
|
| |
Mining
|
| | | | 543 | | | | | | 573 | | | | | | 572 | | |
Frontier California, Inc., 6.8%, 5/15/2027
|
| |
(g)
|
| |
Telecommunications
|
| | | | 2 | | | | | | 2 | | | | | | 2 | | |
Frontier Communications Corp., 9.0%,
8/15/2031 |
| |
(g)
|
| |
Telecommunications
|
| | | | 2,740 | | | | | | 1,859 | | | | | | 1,702 | | |
Frontier Florida LLC, 6.9%, 2/1/2028
|
| |
(g)
|
| |
Telecommunications
|
| | | | 4 | | | | | | 4 | | | | | | 4 | | |
Frontier North, Inc., 6.7%, 2/15/2028
|
| |
(g)
|
| |
Telecommunications
|
| | | | 523 | | | | | | 457 | | | | | | 464 | | |
Hilcorp Energy I LP/Hilcorp Finance Co.,
6.3%, 11/1/2028 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 186 | | | | | | 186 | | | | | | 179 | | |
IAMGOLD Corp., 7.0%, 4/15/2025
|
| |
(f)(g)
|
| |
Mining
|
| | | | 745 | | | | | | 768 | | | | | | 740 | | |
Intertape Polymer Group, Inc., 7.0%,
10/15/2026 |
| |
(f)(g)
|
| |
Packaging &
Containers |
| | | | 201 | | | | | | 201 | | | | | | 202 | | |
InterXion Holding N.V., 4.8%, 6/15/2025
|
| |
(f)(g)
|
| |
Software
|
| | | € | 940 | | | | | | 1,110 | | | | | | 1,112 | | |
Intesa Sanpaolo SpA, 7.8%
|
| |
(g)
|
| |
Commercial Banks
|
| | | | 410 | | | | | | 511 | | | | | | 477 | | |
Jaguar Holding Co. II/Pharmaceutical
Product Development LLC, 6.4%, 8/1/2023 |
| |
(f)(g)
|
| |
Commercial Services
|
| | | $ | 249 | | | | | | 250 | | | | | | 250 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
KLX, Inc., 5.9%, 12/1/2022
|
| |
(f)(g)
|
| |
Aerospace/Defense
|
| | | $ | 952 | | | | | $ | 989 | | | | | $ | 981 | | |
LGI Homes, Inc., 6.9%, 7/15/2026
|
| |
(f)(g)
|
| |
Home Builders
|
| | | | 1,110 | | | | | | 1,102 | | | | | | 1,052 | | |
Liberty Interactive LLC, 4.0%, 11/15/2029
|
| |
(g)
|
| |
Media Entertainment
|
| | | | 795 | | | | | | 564 | | | | | | 550 | | |
Liberty Interactive LLC, 3.8%, 2/15/2030
|
| |
(g)
|
| |
Media Entertainment
|
| | | | 1,404 | | | | | | 979 | | | | | | 969 | | |
Lloyds Banking Group PLC, 7.5%
|
| |
(g)
|
| |
Commercial Banks
|
| | | | 815 | | | | | | 815 | | | | | | 820 | | |
Mallinckrodt International Finance SA/
Mallinckrodt CB LLC, 5.6%, 10/15/2023 |
| |
(f)(g)
|
| |
Healthcare-Products
|
| | | | 505 | | | | | | 426 | | | | | | 436 | | |
Marriott Ownership Resorts, Inc./ILG LLC,
6.5%, 9/15/2026 |
| |
(f)(g)
|
| |
Lodging
|
| | | | 274 | | | | | | 274 | | | | | | 277 | | |
Methanex Corp., 5.7%, 12/1/2044
|
| |
(g)
|
| |
Chemicals
|
| | | | 1,019 | | | | | | 992 | | | | | | 954 | | |
Natural Resource Partners LP/NRP Finance
Corp., 10.5%, 3/15/2022 |
| |
(g)
|
| |
Coal
|
| | | | 600 | | | | | | 639 | | | | | | 641 | | |
Netflix, Inc., 3.6%, 5/15/2027
|
| |
(g)
|
| |
Internet
|
| | | € | 213 | | | | | | 249 | | | | | | 240 | | |
Nine Energy Service, Inc., 8.8%,
11/1/2023 |
| |
(f)(g)
|
| |
Oil & Gas Services
|
| | | $ | 1,820 | | | | | | 1,820 | | | | | | 1,854 | | |
Oasis Petroleum, Inc., 6.3%, 5/1/2026
|
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 300 | | | | | | 301 | | | | | | 294 | | |
Parsley Energy LLC/Parsley Finance Corp.,
5.4%, 1/15/2025 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 100 | | | | | | 102 | | | | | | 98 | | |
Parsley Energy LLC/Parsley Finance Corp.,
5.3%, 8/15/2025 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 762 | | | | | | 756 | | | | | | 737 | | |
Performance Food Group, Inc., 5.5%,
6/1/2024 |
| |
(f)(g)
|
| |
Distribution/Wholesale
|
| | | | 272 | | | | | | 268 | | | | | | 263 | | |
Puerto Rico Commonwealth Aqueduct &
Sewer Auth., 5.0%, 7/1/2019 |
| |
(g)
|
| |
Municipal
|
| | | | 460 | | | | | | 403 | | | | | | 425 | | |
Puerto Rico Commonwealth Aqueduct &
Sewer Auth., 6.2%, 7/1/2038 |
| |
(g)
|
| |
Municipal
|
| | | | 140 | | | | | | 126 | | | | | | 126 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2019 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 10 | | | | | | 7 | | | | | | 6 | | |
Puerto Rico Electric Power Auth., 5.0%,
7/1/2020 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 110 | | | | | | 71 | | | | | | 71 | | |
Puerto Rico Electric Power Auth., 5.0%,
7/1/2021 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 60 | | | | | | 39 | | | | | | 39 | | |
Puerto Rico Electric Power Auth., 5.0%,
7/1/2021 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 3 | | | | | | 3 | | |
Puerto Rico Electric Power Auth., 3.8%,
7/1/2022 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 3 | | | | | | 3 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2022 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 55 | | | | | | 35 | | | | | | 35 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2026 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 160 | | | | | | 104 | | | | | | 103 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2027 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 315 | | | | | | 205 | | | | | | 203 | | |
Puerto Rico Electric Power Auth., 5.0%,
7/1/2027 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 15 | | | | | | 10 | | | | | | 10 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Puerto Rico Electric Power Auth., 5.4%,
7/1/2028 |
| |
(g)(h)
|
| |
Municipal
|
| | | $ | 55 | | | | | $ | 34 | | | | | $ | 35 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2028 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 25 | | | | | | 16 | | | | | | 16 | | |
Puerto Rico Electric Power Auth., 5.0%,
7/1/2029 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 400 | | | | | | 261 | | | | | | 258 | | |
Puerto Rico Electric Power Auth., 6.0%,
7/1/2030 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 25 | | | | | | 16 | | | | | | 16 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2031 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 120 | | | | | | 78 | | | | | | 77 | | |
Puerto Rico Electric Power Auth., 5.3%,
7/1/2035 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 10 | | | | | | 6 | | | | | | 6 | | |
Puerto Rico Electric Power Auth., 6.8%,
7/1/2036 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 190 | | | | | | 126 | | | | | | 125 | | |
Puerto Rico Electric Power Auth., 5.5%,
7/1/2038 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 200 | | | | | | 127 | | | | | | 129 | | |
Puerto Rico Electric Power Auth., 6.3%,
7/1/2040 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 3 | | | | | | 3 | | |
Puerto Rico Electric Power Auth., 6.1%,
7/1/2040 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 195 | | | | | | 122 | | | | | | 124 | | |
Puerto Rico Electric Power Auth., 7.0%,
7/1/2043 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 80 | | | | | | 53 | | | | | | 53 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.4%, 8/1/2020 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 50 | | | | | | 24 | | | | | | 25 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.5%, 8/1/2021 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 900 | | | | | | 274 | | | | | | 442 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.5%, 8/1/2023 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 25 | | | | | | 8 | | | | | | 12 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2026 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 25 | | | | | | 11 | | | | | | 11 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2026 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 5 | | | | | | 2 | | | | | | 2 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.1%, 8/1/2028 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 4 | | | | | | 4 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2028 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 25 | | | | | | 10 | | | | | | 10 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.5%, 8/1/2028 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 30 | | | | | | 9 | | | | | | 15 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.1%, 8/1/2029 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 10 | | | | | | 5 | | | | | | 5 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.1%, 8/1/2029 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 75 | | | | | | 37 | | | | | | 37 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2030 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 5 | | | | | | 2 | | | | | | 2 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2031 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | $ | 10 | | | | | $ | 3 | | | | | $ | 3 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.8%, 8/1/2032 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 4,910 | | | | | | 1,553 | | | | | | 2,412 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2034 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 245 | | | | | | 35 | | | | | | 34 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.0%, 8/1/2034 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 4 | | | | | | 4 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2035 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 10 | | | | | | 3 | | | | | | 3 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 4.9%, 8/1/2036 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 4 | | | | | | 4 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.1%, 8/1/2036 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 1,330 | | | | | | 928 | | | | | | 1,071 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.8%, 8/1/2037 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 45 | | | | | | 14 | | | | | | 22 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.5%, 8/1/2037 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 75 | | | | | | 36 | | | | | | 36 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.1%, 8/1/2038 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 5 | | | | | | 4 | | | | | | 4 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2039 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 25 | | | | | | 5 | | | | | | 5 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.4%, 8/1/2039 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 45 | | | | | | 14 | | | | | | 22 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.4%, 8/1/2039 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 30 | | | | | | 9 | | | | | | 15 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.3%, 8/1/2040 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 90 | | | | | | 75 | | | | | | 73 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.0%, 8/1/2040 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 80 | | | | | | 66 | | | | | | 65 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.5%, 8/1/2040 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 15 | | | | | | 7 | | | | | | 7 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2041 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 5 | | | | | | 1 | | | | | | 1 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.3%, 8/1/2041 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 230 | | | | | | 107 | | | | | | 112 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.0%, 8/1/2042 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 265 | | | | | | 121 | | | | | | 130 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.5%, 8/1/2042 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 170 | | | | | | 75 | | | | | | 82 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2043 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 2,635 | | | | | | 653 | | | | | | 706 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.3%, 8/1/2043 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 55 | | | | | | 17 | | | | | | 27 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.0%, 8/1/2043 |
| |
(g)(h)
|
| |
Municipal
|
| | | $ | 50 | | | | | $ | 24 | | | | | $ | 24 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 6.5%, 8/1/2044 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 120 | | | | | | 58 | | | | | | 59 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2044 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 2,235 | | | | | | 504 | | | | | | 568 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 0.0%, 8/1/2046 |
| |
(g)(i)(j)
|
| |
Municipal
|
| | | | 225 | | | | | | 45 | | | | | | 51 | | |
Puerto Rico Sales Tax Financing Corp. Sales
Tax Rev., 5.3%, 8/1/2057 |
| |
(g)(h)
|
| |
Municipal
|
| | | | 40 | | | | | | 33 | | | | | | 33 | | |
SemGroup Corp/Rose Rock Finance Corp.,
5.6%, 11/15/2023 |
| |
(g)
|
| |
Pipelines
|
| | | | 1,265 | | | | | | 1,213 | | | | | | 1,198 | | |
SemGroup Corp., 6.4%, 3/15/2025
|
| |
(g)
|
| |
Pipelines
|
| | | | 245 | | | | | | 234 | | | | | | 235 | | |
Shelf Drill Holdings Ltd., 8.3%,
2/15/2025 |
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 882 | | | | | | 895 | | | | | | 885 | | |
Spectrum Brands Holdings, 7.8%,
1/15/2022 |
| |
(g)
|
| |
Holding
Companies-Diversified |
| | | | 204 | | | | | | 211 | | | | | | 209 | | |
Springleaf Finance Corp., 7.1%,
3/15/2026 |
| |
(g)
|
| |
Diversified Financial
Services |
| | | | 251 | | | | | | 252 | | | | | | 238 | | |
Sprint Capital Corp., 8.8%, 3/15/2032
|
| |
(g)
|
| |
Telecommunications
|
| | | | 395 | | | | | | 431 | | | | | | 431 | | |
Sprint Communications, Inc., 6.0%,
11/15/2022 |
| |
(g)
|
| |
Telecommunications
|
| | | | 70 | | | | | | 73 | | | | | | 71 | | |
Sprint Corp., 7.9%, 9/15/2023
|
| |
(g)
|
| |
Telecommunications
|
| | | | 125 | | | | | | 135 | | | | | | 134 | | |
Sprint Corp., 7.1%, 6/15/2024
|
| |
(g)
|
| |
Telecommunications
|
| | | | 100 | | | | | | 104 | | | | | | 102 | | |
Sterling Entertainment Enterprises, LLC,
10.3%, 1/15/2025 |
| |
(k)
|
| |
Media Entertainment
|
| | | | 813 | | | | | | 801 | | | | | | 863 | | |
SunCoke Energy Partners LP/SunCoke
Energy Partners Finance Corp., 7.5%, 6/15/2025 |
| |
(f)(g)
|
| |
Coal
|
| | | | 736 | | | | | | 749 | | | | | | 753 | | |
Teck Resources Ltd., 6.1%, 10/1/2035
|
| |
(g)
|
| |
Mining
|
| | | | 395 | | | | | | 412 | | | | | | 405 | | |
Teck Resources Ltd., 6.3%, 7/15/2041
|
| |
(g)
|
| |
Mining
|
| | | | 197 | | | | | | 207 | | | | | | 197 | | |
Teck Resources Ltd., 5.4%, 2/1/2043
|
| |
(g)
|
| |
Mining
|
| | | | 46 | | | | | | 44 | | | | | | 42 | | |
Teekay Shuttle Tankers LLC, 7.1%,
8/15/2022 |
| |
(g)
|
| |
Transportation
|
| | | | 600 | | | | | | 607 | | | | | | 593 | | |
Tesla Energy Operations, Inc., 1.6%,
11/1/2019 |
| |
(g)
|
| |
Energy-Alternate
Sources |
| | | | 389 | | | | | | 357 | | | | | | 368 | | |
Transocean, Inc., 9.0%, 7/15/2023
|
| |
(f)(g)
|
| |
Oil & Gas
|
| | | | 460 | | | | | | 495 | | | | | | 484 | | |
Uber Technologies, Inc., 7.5%, 11/1/2023
|
| |
(e)(f)
|
| |
Internet
|
| | | | 124 | | | | | | 125 | | | | | | 124 | | |
Uber Technologies, Inc., 8.0%, 11/1/2026
|
| |
(e)(f)
|
| |
Internet
|
| | | | 1,080 | | | | | | 1,080 | | | | | | 1,085 | | |
Verscend Escrow Corp., 9.8%, 8/15/2026
|
| |
(f)(g)
|
| |
Commercial Services
|
| | | | 1,218 | | | | | | 1,218 | | | | | | 1,223 | | |
Vizient, Inc., 10.4%, 3/1/2024
|
| |
(f)(g)
|
| |
Pharmaceuticals
|
| | | | 969 | | | | | | 1,070 | | | | | | 1,057 | | |
XPO Logistics, Inc., 6.1%, 9/1/2023
|
| |
(f)(g)
|
| |
Transportation
|
| | | | 245 | | | | | | 252 | | | | | | 251 | | |
Total Unsecured Bonds
|
| | | | | | | | | | | | | | | | 47,593 | | | | | | 48,056 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Collateralized Loan Obligation (CLO) /
Structured Credit—24.7% |
| | | | | | | | | | | | | | | | | | | | | | | | |
Adagio V CLO DAC, 3.2%, 10/15/2031
|
| | | | |
EUR CLO
|
| | | € | 200 | | | | | $ | 235 | | | | | $ | 227 | | |
ALM XVIII Ltd., 5.4%, 1/15/2028
|
| |
(f)
|
| |
USD CLO
|
| | | $ | 290 | | | | | | 290 | | | | | | 291 | | |
Anchorage Capital Europe CLO 2 DAC,
3.5%, 5/15/2031 |
| |
(f)
|
| |
EUR CLO
|
| | | € | 250 | | | | | | 292 | | | | | | 285 | | |
Ares European CLO B.V., 2.9%,
10/15/2030 |
| | | | |
EUR CLO
|
| | | | 560 | | | | | | 655 | | | | | | 630 | | |
Ares European CLO B.V., 2.9%,
10/15/2030 |
| | | | |
EUR CLO
|
| | | | 1,290 | | | | | | 1,497 | | | | | | 1,450 | | |
Ares XXXVII CLO Ltd., 5.1%,
10/15/2030 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 247 | | | | | | 248 | | |
Ares XXXVR CLO Ltd., 5.3%,
7/15/2030 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 251 | | |
Atrium XII, 5.3%, 4/22/2027
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 250 | | |
Babson Euro CLO 2015-1 B.V., 1.5%,
10/25/2029 |
| | | | |
EUR CLO
|
| | | € | 305 | | | | | | 350 | | | | | | 340 | | |
Bain Capital Credit CLO 2018-2, 4.3%,
7/19/2031 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 250 | | | | | | 250 | | |
Battalion CLO IX Ltd., 5.7%, 7/15/2031
|
| |
(f)
|
| |
USD CLO
|
| | | | 710 | | | | | | 710 | | | | | | 711 | | |
Black Diamond CLO 2014-1 Ltd., 7.7%,
10/17/2026 |
| | | | |
USD CLO
|
| | | | 260 | | | | | | 258 | | | | | | 259 | | |
Black Diamond CLO 2017-2 DAC, 5.1%,
1/20/2032 |
| | | | |
EUR CLO
|
| | | € | 200 | | | | | | 223 | | | | | | 216 | | |
BlueMountain CLO XXIII Ltd.,
10/20/2031 |
| |
(e)(f)(j)
|
| |
USD CLO
|
| | | $ | 300 | | | | | | 300 | | | | | | 300 | | |
BlueMountain Fuji EUR CLO III DAC,
3.1%, 1/15/2031 |
| | | | |
EUR CLO
|
| | | € | 615 | | | | | | 712 | | | | | | 698 | | |
Cairn CLO IV B.V., 5.7%, 1/30/2028
|
| | | | |
EUR CLO
|
| | | | 200 | | | | | | 231 | | | | | | 220 | | |
Cairn CLO VI B.V., 3.1%, 7/25/2029
|
| | | | |
EUR CLO
|
| | | | 425 | | | | | | 496 | | | | | | 482 | | |
Canyon Capital CLO 2016-1 Ltd., 4.3%,
7/15/2031 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 250 | | | | | | 250 | | |
Carlyle Global Market Strategies CLO
2014-4-R Ltd., 5.3%, 7/15/2030 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 250 | | |
Carlyle Global Market Strategies Euro CLO
2014-1 Ltd., 2.9%, 7/15/2031 |
| | | | |
EUR CLO
|
| | | € | 340 | | | | | | 396 | | | | | | 380 | | |
Carlyle Global Market Strategies Euro CLO
2014-2 Ltd., 11/17/2031 |
| |
(e)(j)
|
| |
EUR CLO
|
| | | € | 285 | | | | | | 328 | | | | | | 323 | | |
Carlyle Global Market Strategies Euro CLO
2015-2 DAC, 2.7%, 9/21/2029 |
| | | | |
EUR CLO
|
| | | | 140 | | | | | | 163 | | | | | | 158 | | |
Carlyle Global Market Strategies Euro CLO
2015-3 DAC, 2.6%, 7/15/2030 |
| | | | |
EUR CLO
|
| | | | 275 | | | | | | 323 | | | | | | 303 | | |
Cathedral Lake CLO 2013 Ltd., 4.7%,
10/15/2029 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 275 | | | | | | 275 | | | | | | 276 | | |
CFIP CLO 2017-1 Ltd., 4.5%, 1/18/2030
|
| |
(f)
|
| |
USD CLO
|
| | | | 285 | | | | | | 285 | | | | | | 286 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Clarinda Park CLO DAC, 3.7%,
11/15/2029 |
| | | | |
EUR CLO
|
| | | € | 280 | | | | | $ | 327 | | | | | $ | 317 | | |
Dartry Park CLO DAC, 3.0%, 4/28/2029
|
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 116 | | | | | | 113 | | |
Dartry Park CLO DAC, 5.7%, 4/28/2029
|
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 116 | | | | | | 114 | | |
Euro-Galaxy IV CLO B.V., 3.1%,
7/30/2030 |
| | | | |
EUR CLO
|
| | | | 280 | | | | | | 330 | | | | | | 317 | | |
Grosvenor Place CLO 2015-1 B.V., 5.4%,
10/30/2029 |
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 121 | | | | | | 113 | | |
Grosvenor Place CLO 2015-1 B.V., 1.6%,
10/30/2029 |
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 123 | | | | | | 112 | | |
Grosvenor Place CLO 2015-1 B.V., 2.5%,
10/30/2029 |
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 118 | | | | | | 111 | | |
Harvest CLO IX DAC, 3.0%, 2/15/2030
|
| | | | |
EUR CLO
|
| | | | 195 | | | | | | 226 | | | | | | 222 | | |
Harvest CLO X DAC, 4.7%, 11/15/2028
|
| | | | |
EUR CLO
|
| | | | 117 | | | | | | 139 | | | | | | 133 | | |
Harvest CLO X DAC, 2.5%, 11/15/2028
|
| | | | |
EUR CLO
|
| | | | 390 | | | | | | 452 | | | | | | 442 | | |
Harvest CLO XX DAC, 10/20/2031
|
| |
(e)(j)
|
| |
EUR CLO
|
| | | | 380 | | | | | | 437 | | | | | | 432 | | |
Harvest CLO XX DAC, 10/20/2031
|
| |
(e)(j)
|
| |
EUR CLO
|
| | | | 100 | | | | | | 115 | | | | | | 113 | | |
ICG US CLO Ltd. ICG 2014 1A CR 144A,
5.6%, 1/20/2030 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 250 | | | | | | 251 | | |
Jubilee CLO 2014-XI B.V., 5.4%, 4/15/2030
|
| | | | |
EUR CLO
|
| | | € | 130 | | | | | | 150 | | | | | | 143 | | |
Jubilee CLO 2014-Xii B.V., 2.9%,
4/15/2030 |
| | | | |
EUR CLO
|
| | | | 155 | | | | | | 175 | | | | | | 175 | | |
Jubilee CLO 2015-XVI B.V., 6.9%,
12/15/2029 |
| | | | |
EUR CLO
|
| | | | 250 | | | | | | 284 | | | | | | 276 | | |
Jubilee CLO 2016-XVII B.V., 3.5%,
4/15/2031 |
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 116 | | | | | | 114 | | |
Jubilee CLO 2017-XVIII B.V., 3.1%,
1/15/2030 |
| | | | |
EUR CLO
|
| | | | 345 | | | | | | 401 | | | | | | 391 | | |
Kingsland IX Ltd., 4.3%, 4/28/2031
|
| |
(f)
|
| |
USD CLO
|
| | | $ | 200 | | | | | | 200 | | | | | | 200 | | |
Kingsland IX Ltd., 4.9%, 4/28/2031
|
| |
(f)
|
| |
USD CLO
|
| | | | 200 | | | | | | 200 | | | | | | 200 | | |
Kingsland IX Ltd., 5.7%, 4/28/2031
|
| |
(f)
|
| |
USD CLO
|
| | | | 200 | | | | | | 198 | | | | | | 200 | | |
KKR CLO 16 Ltd., 6.6%, 1/20/2029
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 253 | | | | | | 251 | | |
Madison Park Funding XX Ltd., 5.5%,
7/27/2030 |
| |
(f)
|
| |
USD CLO
|
| | | | 350 | | | | | | 350 | | | | | | 351 | | |
Man GLG US CLO 2018-2 Ltd.,
10/15/2028 |
| |
(e)(f)(k)(j)
|
| |
USD CLO
|
| | | | 510 | | | | | | 508 | | | | | | 510 | | |
MP CLO VII Ltd., 5.1%, 10/18/2028
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 250 | | |
MP CLO VIII Ltd., 8.0%, 10/28/2027
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 251 | | | | | | 250 | | |
Neuberger Berman CLO XV, 5.5%,
10/15/2029 |
| |
(f)
|
| |
USD CLO
|
| | | | 670 | | | | | | 672 | | | | | | 671 | | |
Neuberger Berman CLO XX Ltd., 4.8%,
1/15/2028 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 249 | | |
OAK Hill European Credit Partners VII
DAC, 10/20/2031 |
| |
(e)(j)
|
| |
EUR CLO
|
| | | € | 100 | | | | | | 116 | | | | | | 113 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
OAK Hill European Credit Partners VII
DAC, 10/20/2031 |
| |
(e)(j)
|
| |
EUR CLO
|
| | | € | 125 | | | | | $ | 145 | | | | | $ | 142 | | |
OCP CLO 2015-10 Ltd., 5.1%,
10/26/2027 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 250 | | | | | | 249 | | |
OCP CLO 2015-8 Ltd., 4.3%, 4/17/2027
|
| |
(f)
|
| |
USD CLO
|
| | | | 595 | | | | | | 595 | | | | | | 594 | | |
OCP CLO 2017-14 Ltd., 4.3%, 11/20/2030
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 249 | | |
Octagon Investment Partners XXII Ltd.,
4.4%, 1/22/2030 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 251 | | | | | | 249 | | |
Orwell Park CLO Designated Activity Co.,
4.5%, 7/18/2029 |
| | | | |
EUR CLO
|
| | | € | 200 | | | | | | 236 | | | | | | 221 | | |
Park Avenue Institutional Advisers CLO Ltd.
2017-1, 4.5%, 11/14/2029 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 251 | | | | | | 251 | | |
Phoenix Park CLO DAC, 2.5%,
10/29/2031 |
| | | | |
EUR CLO
|
| | | € | 190 | | | | | | 220 | | | | | | 215 | | |
Preferred Term Securities XX Ltd./Preferred
Term Securities XX, Inc., 2.8%, 3/22/2038 |
| |
(f)
|
| |
USD CDO
|
| | | $ | 437 | | | | | | 333 | | | | | | 398 | | |
Preferred Term Securities XXIV Ltd./
Preferred Term Securities XXIV, Inc., 2.7%, 3/22/2037 |
| |
(f)
|
| |
USD CDO
|
| | | | 438 | | | | | | 330 | | | | | | 390 | | |
Regatta XI Funding Ltd., 5.3%, 7/17/2031
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 248 | | |
Rockford Tower Europe CLO 2018-1 DAC,
12/20/2031 |
| |
(e)(f)(j)
|
| |
EUR CLO
|
| | | € | 250 | | | | | | 284 | | | | | | 283 | | |
RR 4 Ltd., 5.4%, 4/15/2030
|
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 250 | | | | | | 249 | | |
Shackleton 2013-III CLO Ltd., 5.5%,
7/15/2030 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 248 | | |
Shackleton 2015-VII-R CLO Ltd., 5.7%,
7/15/2031 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 251 | | |
Sorrento Park CLO DAC, 2.7%,
11/16/2027 |
| | | | |
EUR CLO
|
| | | € | 250 | | | | | | 285 | | | | | | 283 | | |
Sound Point CLO V-R Ltd., 5.4%,
7/18/2031 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 710 | | | | | | 710 | | | | | | 711 | | |
Sound Point CLO VI-R Ltd., 5.9%,
10/20/2031 |
| |
(f)
|
| |
USD CLO
|
| | | | 320 | | | | | | 320 | | | | | | 321 | | |
Sound Point CLO XX Ltd., 5.3%,
7/26/2031 |
| |
(f)
|
| |
USD CLO
|
| | | | 460 | | | | | | 460 | | | | | | 460 | | |
St Pauls CLO II DAC, 3.4%, 2/15/2030
|
| | | | |
EUR CLO
|
| | | € | 225 | | | | | | 263 | | | | | | 256 | | |
Steele Creek CLO 2017-1 Ltd., 5.3%,
1/15/2030 |
| |
(f)
|
| |
USD CLO
|
| | | $ | 250 | | | | | | 247 | | | | | | 248 | | |
Symphony CLO XIX Ltd., 5.0%,
4/16/2031 |
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 248 | | | | | | 248 | | |
TCI-Cent CLO 2017-1 Income Note Issuer
Ltd., 6.1%, 7/25/2030 |
| |
(f)
|
| |
USD CLO
|
| | | | 500 | | | | | | 503 | | | | | | 503 | | |
Tikehau CLO B.V., 4.6%, 8/4/2028
|
| | | | |
EUR CLO
|
| | | € | 170 | | | | | | 198 | | | | | | 188 | | |
Tikehau CLO B.V., 2.4%, 8/4/2028
|
| | | | |
EUR CLO
|
| | | | 165 | | | | | | 193 | | | | | | 183 | | |
Tikehau CLO IV B.V., 3.3%, 10/15/2031
|
| | | | |
EUR CLO
|
| | | | 215 | | | | | | 249 | | | | | | 245 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Amortized
Cost |
| |
Fair
Value(c) |
| |||||||||
Toro European CLO 2 DAC, 3.3%,
10/15/2030 |
| | | | |
EUR CLO
|
| | | € | 255 | | | | | $ | 300 | | | | | $ | 290 | | |
Toro European CLO 3 DAC, 3.3%,
4/15/2030 |
| | | | |
EUR CLO
|
| | | | 180 | | | | | | 209 | | | | | | 204 | | |
Tymon Park CLO DAC, 6.8%, 1/21/2029
|
| | | | |
EUR CLO
|
| | | | 250 | | | | | | 285 | | | | | | 277 | | |
Tymon Park CLO Ltd., 4.6%, 1/21/2029
|
| | | | |
EUR CLO
|
| | | | 100 | | | | | | 121 | | | | | | 110 | | |
Vibrant CLO VI Ltd., 4.9%, 6/20/2029
|
| |
(f)
|
| |
USD CLO
|
| | | $ | 425 | | | | | | 427 | | | | | | 427 | | |
VOYA CLO Ltd., 4.8%, 1/18/2029
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 249 | | |
Webster Park CLO Ltd., 5.4%, 7/20/2030
|
| |
(f)
|
| |
USD CLO
|
| | | | 250 | | | | | | 250 | | | | | | 250 | | |
Willow Park CLO 1X C, 2.8%, 1/15/2031
|
| | | | |
EUR CLO
|
| | | € | 270 | | | | | | 309 | | | | | | 304 | | |
York CLO-3 Ltd., 4.9%, 10/20/2029
|
| | | | |
USD CLO
|
| | | $ | 288 | | | | | | 288 | | | | | | 288 | | |
Total Collateralized Loan Obligation /
Structured Credit |
| | | | | | | | | | | | | | |
|
27,020
|
| | | |
|
26,750
|
| |
Emerging Markets Debt—2.5% | | | | | | | | | | | | | | | | | | | | | | | | | |
Oi S.A., 10.0%, 7/27/2025
|
| |
(g)
|
| |
Wirelines
|
| | | | 597 | | | | | | 599 | | | | | | 631 | | |
Provincia de Entre Rios Argentina, 8.8%,
2/8/2025 |
| |
(g)
|
| |
Municipal
|
| | | | 1,905 | | | | | | 1,853 | | | | | | 1,471 | | |
Provincia de la Rioja, 9.8%, 2/24/2025
|
| |
(g)
|
| |
Provincial
|
| | | | 830 | | | | | | 858 | | | | | | 673 | | |
Total Emerging Markets Debt
|
| | | | | | | | | | | | | | | | 3,310 | | | | | | 2,775 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value(c) |
| |||||||||
Preferred Stock—0.2% | | | | | | | | | | | | | | | | | | | | | | | | | |
Verscend Technologies, Inc., 12.3%
|
| |
(k)
|
| |
Healthcare-Software
|
| | | | 200 | | | | | | 194 | | | | | | 195 | | |
Total Preferred Stock
|
| | | | | | | | | | | | | | | | 194 | | | | | | 195 | | |
Common Stock—0.3% | | | | | | | | | | | | | | | | | | | | | | | | | |
Oi S.A. ADR
|
| | | | |
Wirelines
|
| | | | 93,102 | | | | | | 380 | | | | | | 340 | | |
Total Common Stock
|
| | | | | | | | | | | | | | | | 380 | | | | | | 340 | | |
TOTAL INVESTMENTS—111.0%
|
| | | | | | | | | | | | | | | $ | 121,001 | | | | | | 120,242 | | |
LIABILITIES IN EXCESS OF
OTHER ASSETS—(11.0)% |
| |
(l)
|
| | | | | | | | | | | | | | | | | |
|
(11,950)
|
| |
NET ASSETS—100.0%
|
| | | | | | | | | | | | | | | | | | | | | $ | 108,292 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Principal
Amount(b) |
| |
Proceeds
|
| |
Fair
Value(c) |
| |||||||||
U.S. Treasury—(0.9)% | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Note, 2.4%, 5/15/2027
|
| |
(j)
|
| |
Sovereign
|
| | | $ | 647 | | | | | $ | (619) | | | | | $ | (611) | | |
U.S. Treasury Note, 2.9%, 8/15/2028
|
| |
(j)
|
| |
Sovereign
|
| | | | 94 | | | | | | (92) | | | | | | (92) | | |
U.S. Treasury Note, 2.8%, 8/15/2047
|
| |
(j)
|
| |
Sovereign
|
| | | | 358 | | | | | | (336) | | | | | | (316) | | |
Total Investments Sold Short
|
| | | | | | | | | | | | | | | $ | (1,047) | | | | | $ | (1,019) | | |
|
Counterparty
|
| |
Contract
Settlement Date |
| |
Currency
to be Received |
| |
Value
|
| |
Currency
to be Delivered |
| |
Value
|
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| ||||||||||||
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 6 | | | |
BRL
|
| | | | 23 | | | | | $ | — | | | | | $ | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 5 | | | |
BRL
|
| | | | 18 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 10 | | | |
BRL
|
| | | | 38 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 8 | | | |
BRL
|
| | | | 31 | | | | | | — | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 10 | | | |
BRL
|
| | | | 36 | | | | | | — | | | | | | 1 | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 8 | | | |
BRL
|
| | | | 29 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
11/26/2018
|
| |
USD
|
| | | | 35 | | | |
BRL
|
| | | | 130 | | | | | | — | | | | | | 3 | | |
JPMorgan Chase Bank, N.A.
|
| |
11/26/2018
|
| |
USD
|
| | | | 42 | | | |
BRL
|
| | | | 158 | | | | | | — | | | | | | 3 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 23 | | | |
BRL
|
| | | | 85 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 19 | | | |
BRL
|
| | | | 70 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 107 | | | |
BRL
|
| | | | 401 | | | | | | — | | | | | | 7 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 130 | | | |
BRL
|
| | | | 487 | | | | | | — | | | | | | 9 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 150 | | | |
BRL
|
| | | | 561 | | | | | | — | | | | | | 2 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 182 | | | |
BRL
|
| | | | 682 | | | | | | — | | | | | | 2 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 497 | | | |
EUR
|
| | | | 437 | | | | | | 2 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 750 | | | |
EUR
|
| | | | 659 | | | | | | 14 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 630 | | | |
EUR
|
| | | | 554 | | | | | | 13 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 308 | | | |
EUR
|
| | | | 271 | | | | | | 6 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 379 | | | |
EUR
|
| | | | 333 | | | | | | 12 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 508 | | | |
EUR
|
| | | | 446 | | | | | | 16 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 357 | | | |
EUR
|
| | | | 314 | | | | | | 12 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 539 | | | |
EUR
|
| | | | 474 | | | | | | 14 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 364 | | | |
EUR
|
| | | | 320 | | | | | | 9 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 1,035 | | | |
EUR
|
| | | | 910 | | | | | | 27 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 364 | | | |
EUR
|
| | | | 320 | | | | | | 4 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 434 | | | |
EUR
|
| | | | 381 | | | | | | 3 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 572 | | | |
EUR
|
| | | | 503 | | | | | | 4 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 830 | | | |
EUR
|
| | | | 729 | | | | | | 5 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 241 | | | |
EUR
|
| | | | 212 | | | | | | 3 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 423 | | | |
EUR
|
| | | | 372 | | | | | | 5 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 225 | | | |
EUR
|
| | | | 198 | | | | | | 7 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 401 | | | |
EUR
|
| | | | 352 | | | | | | 10 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 576 | | | |
EUR
|
| | | | 506 | | | | | | 17 | | | | | | — | | |
BNP Paribas Securities Co.
|
| |
12/19/2018
|
| |
USD
|
| | | | 471 | | | |
EUR
|
| | | | 414 | | | | | | 23 | | | | | | — | | |
BNP Paribas Securities Co.
|
| |
12/19/2018
|
| |
USD
|
| | | | 96 | | | |
EUR
|
| | | | 84 | | | | | | 5 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 44 | | | |
EUR
|
| | | | 39 | | | | | | 2 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 535 | | | |
EUR
|
| | | | 470 | | | | | | 27 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 373 | | | |
EUR
|
| | | | 328 | | | | | | 18 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 109 | | | |
EUR
|
| | | | 96 | | | | | | 5 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 69 | | | |
EUR
|
| | | | 61 | | | | | | 3 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 472 | | | |
EUR
|
| | | | 415 | | | | | | 23 | | | | | | — | | |
Counterparty
|
| |
Contract
Settlement Date |
| |
Currency
to be Received |
| |
Value
|
| |
Currency
to be Delivered |
| |
Value
|
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| ||||||||||||
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 447 | | | |
EUR
|
| | | | 393 | | | | | $ | 24 | | | | | $ | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 996 | | | |
EUR
|
| | | | 875 | | | | | | 52 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 343 | | | |
EUR
|
| | | | 301 | | | | | | 16 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 196 | | | |
EUR
|
| | | | 172 | | | | | | 7 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 365 | | | |
EUR
|
| | | | 321 | | | | | | 15 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 390 | | | |
EUR
|
| | | | 343 | | | | | | 15 | | | | | | — | | |
State Street Bank and Trust Company
|
| |
12/19/2018
|
| |
USD
|
| | | | 543 | | | |
EUR
|
| | | | 477 | | | | | | 16 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 775 | | | |
EUR
|
| | | | 681 | | | | | | 24 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 338 | | | |
EUR
|
| | | | 297 | | | | | | 13 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 637 | | | |
EUR
|
| | | | 560 | | | | | | 24 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 274 | | | |
EUR
|
| | | | 241 | | | | | | 11 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 282 | | | |
EUR
|
| | | | 248 | | | | | | 11 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 513 | | | |
EUR
|
| | | | 451 | | | | | | 21 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 2,268 | | | |
EUR
|
| | | | 1,993 | | | | | | 82 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
USD
|
| | | | 752 | | | |
EUR
|
| | | | 661 | | | | | | 29 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 35 | | | |
USD
|
| | | | 9 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 29 | | | |
USD
|
| | | | 8 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 6 | | | |
USD
|
| | | | 2 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 7 | | | |
USD
|
| | | | 2 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 94 | | | |
USD
|
| | | | 25 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 76 | | | |
USD
|
| | | | 20 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 8 | | | |
USD
|
| | | | 2 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 7 | | | |
USD
|
| | | | 2 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 35 | | | |
USD
|
| | | | 9 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 43 | | | |
USD
|
| | | | 11 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 35 | | | |
USD
|
| | | | 9 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 48 | | | |
USD
|
| | | | 13 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 40 | | | |
USD
|
| | | | 11 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 231 | | | |
USD
|
| | | | 62 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 282 | | | |
USD
|
| | | | 75 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 119 | | | |
USD
|
| | | | 32 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 145 | | | |
USD
|
| | | | 39 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
11/26/2018
|
| |
BRL
|
| | | | 130 | | | |
USD
|
| | | | 35 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
11/26/2018
|
| |
BRL
|
| | | | 158 | | | |
USD
|
| | | | 42 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 15 | | | |
USD
|
| | | | 4 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 18 | | | |
USD
|
| | | | 5 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 50 | | | |
USD
|
| | | | 13 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 40 | | | |
USD
|
| | | | 11 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 46 | | | |
USD
|
| | | | 12 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 55 | | | |
USD
|
| | | | 15 | | | | | | 2 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 43 | | | |
USD
|
| | | | 11 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 36 | | | |
USD
|
| | | | 10 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 26 | | | |
USD
|
| | | | 7 | | | | | | 1 | | | | | | — | | |
Counterparty
|
| |
Contract
Settlement Date |
| |
Currency
to be Received |
| |
Value
|
| |
Currency
to be Delivered |
| |
Value
|
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| ||||||||||||
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 32 | | | |
USD
|
| | | | 9 | | | | | $ | 1 | | | | | $ | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 43 | | | |
USD
|
| | | | 11 | | | | | | 1 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 107 | | | |
USD
|
| | | | 29 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
BRL
|
| | | | 129 | | | |
USD
|
| | | | 34 | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 1,079 | | | |
USD
|
| | | | 1,228 | | | | | | — | | | | | | 22 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 796 | | | |
USD
|
| | | | 906 | | | | | | — | | | | | | 16 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 902 | | | |
USD
|
| | | | 1,026 | | | | | | — | | | | | | 19 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 570 | | | |
USD
|
| | | | 649 | | | | | | — | | | | | | 5 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 686 | | | |
USD
|
| | | | 780 | | | | | | — | | | | | | 7 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 1,393 | | | |
USD
|
| | | | 1,585 | | | | | | — | | | | | | 58 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 2,811 | | | |
USD
|
| | | | 3,198 | | | | | | — | | | | | | 116 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 2,094 | | | |
USD
|
| | | | 2,383 | | | | | | — | | | | | | 86 | | |
JPMorgan Chase Bank, N.A.
|
| |
12/19/2018
|
| |
EUR
|
| | | | 4,130 | | | |
USD
|
| | | | 4,699 | | | | | | — | | | | | | 39 | | |
Total Forward Foreign Currency Exchange Contracts | | | |
$
|
665
|
| | | |
$
|
395
|
| | |||||||||||||||||||||
|
Description
|
| |
Number of
Contracts |
| |
Position
|
| |
Expiration
Date |
| |
Notional
Amount |
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| |||||||||
Interest Rate Futures | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S 10-Year Treasury Note
|
| |
33
|
| |
Short
|
| |
12/19/2018
|
| | | | 3,970 | | | | | $ | 62 | | | | | | — | | |
Total Interest Rate Futures
|
| | | | | | | | | | | | | | | | | | $ | 62 | | | | | | — | | |
|
Counterparty
|
| |
Fund Pays
|
| |
Fund
Receives |
| |
Notional
Amount of Currency Delivered |
| |
Notional
Amount of Currency Received |
| |
Expiration
Date |
| |
Period
Payment Frequency |
| |
Fair
Value(c) |
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| ||||||||||||
JPMorgan Chase Bank, N.A.
|
| | 3 Month EURIBOR plus a spread of (0.19%) |
| |
3 Month
USD LIBOR |
| |
EUR 5,312
|
| |
USD 6,038
|
| |
8/20/2023
|
| | | | Quarterly | | | | | $ | 26 | | | | | $ | 26 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| | 3 Month EURIBOR plus a spread of (0.16375%) |
| |
3 Month
USD LIBOR |
| |
EUR 6,206
|
| |
USD 7,232
|
| |
7/20/2023
|
| | | | Quarterly | | | | | | 200 | | | | | | 200 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| | 3 Month EURIBOR plus a spread of (0.2335%) |
| |
3 Month
USD LIBOR |
| |
EUR 963
|
| |
USD 1,123
|
| |
6/1/2023
|
| | | | Quarterly | | | | | | 35 | | | | | | 35 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| | 3 Month EURIBOR plus a spread of (0.195%) |
| |
3 Month
USD LIBOR |
| |
EUR 3,162
|
| |
USD 3,642
|
| |
10/5/2023
|
| | | | Quarterly | | | | | | 64 | | | | | | 64 | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| | 3 Month EURIBOR plus a spread of (0.33375%) |
| |
3 Month
USD LIBOR |
| |
EUR 1,556
|
| |
USD 1,872
|
| |
1/16/2023
|
| | | | Quarterly | | | | | | 122 | | | | | | 122 | | | | | | — | | |
Total Cross-Currency Swaps
|
| | | $ | 447 | | | | | $ | 447 | | | | | | — | | | |||||||||||||||||||||
|
Counterparty
|
| |
Fund
Pays |
| |
Fund
Receives |
| |
Notional
Amount |
| |
Expiration
Date |
| |
Period
Payment Frequency |
| |
Fair
Value(c) |
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| ||||||||||||
JPMorgan Chase
Bank, N.A. |
| | | | 2.88% | | | |
3 Month LIBOR
|
| |
USD 1,204
|
| | | | 7/9/2023 | | | |
Semi-Annually
|
| |
$13
|
| | | $ | 13 | | | | | $ | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 2.98% | | | |
3 Month LIBOR
|
| |
USD 1,485
|
| | | | 3/4/2029 | | | |
Semi-Annually
|
| |
35
|
| | | | 35 | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.23% | | | |
3 Month LIBOR
|
| |
USD 137
|
| | | | 4/29/2029 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.26% | | | |
3 Month LIBOR
|
| |
USD 49
|
| | | | 4/25/2029 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.25% | | | |
3 Month LIBOR
|
| |
USD 130
|
| | | | 4/26/2029 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.26% | | | |
3 Month LIBOR
|
| |
USD 166
|
| | | | 4/18/2029 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.26% | | | |
3 Month LIBOR
|
| |
USD 138
|
| | | | 4/26/2029 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.31% | | | |
3 Month LIBOR
|
| |
USD 136
|
| | | | 4/24/2029 | | | |
Semi-Annually
|
| |
(1)
|
| | | | — | | | | | | 1 | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.29% | | | |
3 Month LIBOR
|
| |
USD 280
|
| | | | 4/23/2029 | | | |
Semi-Annually
|
| |
(1)
|
| | | | — | | | | | | 1 | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.32% | | | |
3 Month LIBOR
|
| |
USD 981
|
| | | | 4/11/2029 | | | |
Semi-Annually
|
| |
(6)
|
| | | | — | | | | | | 6 | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.33% | | | |
3 Month LIBOR
|
| |
USD 74
|
| | | | 4/11/2029 | | | |
Semi-Annually
|
| |
(1)
|
| | | | — | | | | | | 1 | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.31% | | | |
3 Month LIBOR
|
| |
USD 246
|
| | | | 4/12/2029 | | | |
Semi-Annually
|
| |
(1)
|
| | | | — | | | | | | 1 | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.17% | | | |
3 Month LIBOR
|
| |
USD 498
|
| | | | 4/1/2029 | | | |
Semi-Annually
|
| |
4
|
| | | | 4 | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.09% | | | |
3 Month LIBOR
|
| |
USD 16
|
| | | | 3/18/2029 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.08% | | | |
3 Month LIBOR
|
| |
USD 31
|
| | | | 3/18/2024 | | | |
Semi-Annually
|
| |
—
|
| | | | — | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.17% | | | |
3 Month LIBOR
|
| |
USD 217
|
| | | | 4/1/2029 | | | |
Semi-Annually
|
| |
2
|
| | | | 2 | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 2.86% | | | |
3 Month LIBOR
|
| |
USD 864
|
| | | | 6/29/2023 | | | |
Semi-Annually
|
| |
10
|
| | | | 10 | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 2.89% | | | |
3 Month LIBOR
|
| |
USD 648
|
| | | | 6/27/2023 | | | |
Semi-Annually
|
| |
7
|
| | | | 7 | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 2.87% | | | |
3 Month LIBOR
|
| |
USD 1,512
|
| | | | 7/2/2023 | | | |
Semi-Annually
|
| |
17
|
| | | | 17 | | | | | | — | | |
JPMorgan Chase
Bank, N.A. |
| | | | 3.05% | | | |
3 Month LIBOR
|
| |
USD 189
|
| | | | 12/14/2048 | | | |
Semi-Annually
|
| |
9
|
| | | | 9 | | | | | | — | | |
Total Interest Rate Swaps
|
| |
$87
|
| | | $ | 97 | | | | | $ | 10 | | | |||||||||||||||||||||
|
Counterparty
|
| |
Fund
Pays |
| |
Fund
Receives |
| |
Notional
Amount |
| |
Expiration
Date |
| |
Periodic
Payment Frequency |
| |
Fair
Value(c) |
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| |||||||||
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | South Carolina State Housing Finance and Development Authority Multifamily Housing Revenue Bonds (Wyndham Pointe Apartments Project, 6.60%, 9/1/2048) Series 2004 |
| |
USD 362
|
| |
12/1/2021
|
| |
Monthly
|
| | | $ | 5 | | | | | $ | 5 | | | | | $ | — | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | Texas Department of Housing and Community Affairs Multifamily Housing Revenue Bonds (Santora Villas Apartments, 5.80%, 5/1/2047) Series 2007 |
| |
USD 619
|
| |
6/1/2023
|
| |
Monthly
|
| | | | 3 | | | | | | 3 | | | | | | — | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | City of Los Angeles Multifamily Housing Revenue Bonds (Lexington Preservation Apartments, 6.50%, 9/1/2043), Series 2005D |
| |
USD 439
|
| |
6/1/2022
|
| |
Monthly
|
| | | | 1 | | | | | | 1 | | | | | | — | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (Parkview Senior Apartments Project, 5.75%, 2/1/2049), Series 2005U |
| |
USD 178
|
| |
9/1/2022
|
| |
Monthly
|
| | | | — | | | | | | — | | | | | | — | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.30% |
| | District of Columbia Housing Finance Agency Multifamily Housing Revenue Bonds (Galen Terrace Apartments Project, 6.00%, 2/1/2049), Series 2006 |
| |
USD 221
|
| |
3/1/2022
|
| |
Monthly
|
| | | | — | | | | | | — | | | | | | — | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.30% |
| | City of Los Angeles Multifamily Housing Revenue Bonds (Windward Preservation Apartments, 5.85%, 10/1/2044), Series 2006C |
| |
USD 403
|
| |
6/1/2023
|
| |
Monthly
|
| | | | — | | | | | | — | | | | | | — | | |
Counterparty
|
| |
Fund
Pays |
| |
Fund
Receives |
| |
Notional
Amount |
| |
Expiration
Date |
| |
Periodic
Payment Frequency |
| |
Fair
Value(c) |
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| |||||||||
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (Rose of Sharon Senior Homes, 5.85%, 3/1/2045) Series 2006PP |
| |
USD 273
|
| |
6/1/2023
|
| |
Monthly
|
| | | $ | (1) | | | | | $ | — | | | | | $ | 1 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.30% |
| | California Statewide Communities Development Authority Multifamily Housing Revenue Bonds (La Mission Village Apartments Project, 5.75%, 6/1/2049), Series 2006Q |
| |
USD 223
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (1) | | | | | | — | | | | | | 1 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.30% |
| | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Artisan at Salado Heights, 5.80%, 5/1/2050), Series 2006 |
| |
USD 700
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (1) | | | | | | — | | | | | | 1 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | Texas Department of Housing and Community Affairs Multifamily Housing Revenue Bonds (Churchill at Pinnacle Park, 6.55%, 7/1/2044), Series 2004 |
| |
USD 494
|
| |
9/1/2021
|
| |
Monthly
|
| | | | (1) | | | | | | — | | | | | | 1 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | District of Columbia Housing Finance Agency Multifamily Housing Revenue Bonds (Carver Apartments Project, 5.88%, 10/1/2049), Series 2006 |
| |
USD 369
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (2) | | | | | | — | | | | | | 2 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | Louisiana Housing Finance Agency Multifamily Housing Revenue Bonds (The Crossings Apartments, 6.15%, 5/1/2048) Series 2006 |
| |
USD 374
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (2) | | | | | | — | | | | | | 2 | | |
Counterparty
|
| |
Fund
Pays |
| |
Fund
Receives |
| |
Notional
Amount |
| |
Expiration
Date |
| |
Periodic
Payment Frequency |
| |
Fair
Value(c) |
| |
Unrealized
Appreciation |
| |
Unrealized
Depreciation |
| |||||||||
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | City of Roseville, Minnesota Multifamily Housing Revenue Bonds (Centennial Apartments Project, 5.75%, 1/1/2051) Series 2007 |
| |
USD 609
|
| |
9/1/2025
|
| |
Monthly
|
| | | $ | (2) | | | | | $ | — | | | | | $ | 2 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.30% |
| | Sacramento Housing Authority Multifamily Revenue Bonds (Willow Glen Apartments, 5.75%, 4/1/2056), Series 2007F |
| |
USD 247
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (2) | | | | | | — | | | | | | 2 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (The Villas at Costa Cadiz, 6.50%, 1/1/2049) Series 2004 |
| |
USD 409
|
| |
12/1/2021
|
| |
Monthly
|
| | | | (2) | | | | | | — | | | | | | 2 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | San Antonio Housing Finance Corporation Multifamily Housing Revenue Bonds (Costa Miranda Apartments Project, 6.10%, 10/1/2050), Series 2006 |
| |
USD 601
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (2) | | | | | | — | | | | | | 2 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | Massachusetts Development Finance Agency Housing Revenue Bonds (East Canton Apartments Project, 5.90%, 5/1/2055) Series 2006A |
| |
USD 587
|
| |
6/1/2023
|
| |
Monthly
|
| | | | (4) | | | | | | — | | | | | | 4 | | |
Bank of America,
N.A. |
| | SIFMA Municipal Swap Index plus a spread of 1.45% |
| | Houston Housing Finance Corporation Multifamily Housing Revenue Bonds (Kensington Place Apartments, 6.50%, 2/1/2048), Series 2004 |
| |
USD 631
|
| |
9/1/2021
|
| |
Monthly
|
| | | | (5) | | | | | | — | | | | | | 5 | | |
Total Total Return Debt Swaps
|
| | | $ | (16) | | | | | $ | 9 | | | | | $ | 25 | | | |||||||||||||||
|
| | |
October 31, 2018
|
| |||
Assets | | | | | | | |
Investments, at fair value (amortized cost—$121,001)
|
| | | $ | 120,242 | | |
Cash | | | | | 5,270 | | |
Restricted cash
|
| | | | 1,233 | | |
Collateral held at broker(1)
|
| | | | 1,239 | | |
Receivable for investments sold
|
| | | | 584 | | |
Receivable from Fund shares sold
|
| | | | 866 | | |
Reimbursement due from adviser(2)
|
| | | | 138 | | |
Interest receivable
|
| | | | 1,292 | | |
Unrealized appreciation on forward foreign currency exchange contracts
|
| | | | 665 | | |
Unrealized appreciation on swap contracts
|
| | | | 553 | | |
Receivable for variation margin on open futures
|
| | | | 62 | | |
Swap income receivable
|
| | | | 96 | | |
Prepaid expenses and other assets
|
| | | | 41 | | |
Total assets
|
| | | $ | 132,281 | | |
Liabilities | | | | | | | |
Financing arrangement payable
|
| | | $ | 10,175 | | |
Investments sold short, at fair value (proceeds $1,047)
|
| | | | 1,019 | | |
Unrealized depreciation on forward foreign currency exchange contracts
|
| | | | 395 | | |
Unrealized depreciation on swap contracts
|
| | | | 35 | | |
Due to custodian
|
| | | | 3,932 | | |
Payable for investments purchased
|
| | | | 7,683 | | |
Swap income payable
|
| | | | 74 | | |
Management fees payable
|
| | | | 474 | | |
Administrative services expense payable
|
| | | | 12 | | |
Accounting and administrative fees payable
|
| | | | 38 | | |
Professional fees payable
|
| | | | 88 | | |
Trustees’ fees payable
|
| | | | 2 | | |
Interest payable for short sales
|
| | | | 10 | | |
Other accrued expenses and liabilities
|
| | | | 52 | | |
Total liabilities
|
| | | $ | 23,989 | | |
Net assets
|
| | | $ | 108,292 | | |
Commitments and contingencies ($230)(3) | | | | | | | |
Composition of net assets | | | | | | | |
Common shares, $0.001 par value, unlimited shares authorized
|
| | | $ | 8 | | |
Capital in excess of par value
|
| | | | 108,135 | | |
Accumulated earnings (deficit)
|
| | | | 149 | | |
Net assets
|
| | | $ | 108,292 | | |
Class A Shares | | | | | | | |
Net Assets
|
| | | $ | 900 | | |
Shares Outstanding
|
| | | | 69,904 | | |
Net Asset Value Per Share (net assets ÷ shares outstanding)
|
| | | $ | 12.87 | | |
Maximum Offering Price Per Share ($12.87 ÷ 94.25% of net asset value per share)
|
| | | $ | 13.66 | | |
| | |
October 31, 2018
|
| |||
Class I Shares | | | | | | | |
Net Assets
|
| | | $ | 107,317 | | |
Shares Outstanding
|
| | | | 8,322,844 | | |
Net Asset Value Per Share (net assets ÷ shares outstanding)
|
| | | $ | 12.89 | | |
Class T Shares | | | | | | | |
Net Assets
|
| | | $ | 75 | | |
Shares Outstanding
|
| | | | 5,832 | | |
Net Asset Value Per Share (net assets ÷ shares outstanding)
|
| | | $ | 12.90 | | |
Maximum Offering Price Per Share ($12.90 ÷ 96.50% of net asset value per share)
|
| | | $ | 13.37 | | |
| | |
Year Ended
October 31, 2018 |
| |||
Investment income | | | | | | | |
Interest income
|
| | | $ | 3,430 | | |
Fee income
|
| | | | 84 | | |
Total investment income
|
| | | | 3,514 | | |
Operating expenses | | | | | | | |
Management fees
|
| | | | 1,007 | | |
Administrative services expenses
|
| | | | 190 | | |
Accounting and administrative fees
|
| | | | 101 | | |
Interest expense
|
| | | | 101 | | |
Professional fees
|
| | | | 285 | | |
Trustees’ fees
|
| | | | 6 | | |
Other general and administrative expenses
|
| | | | 225 | | |
Total operating expenses
|
| | | | 1,915 | | |
Less: Expense reimbursement(1)
|
| | | | (698) | | |
Net operating expenses
|
| | | | 1,217 | | |
Net investment income
|
| | | | 2,297 | | |
Realized and unrealized gain/loss | | | | | | | |
Net realized gain (loss) on investments
|
| | | | 620 | | |
Net realized gain (loss) on forward foreign currency exchange contracts
|
| | | | (12) | | |
Net realized gain (loss) on swap contracts
|
| | | | 212 | | |
Net realized gain (loss) on investments sold short
|
| | | | 9 | | |
Net realized gain (loss) on futures contracts
|
| | | | (47) | | |
Net realized gain (loss) on foreign currency
|
| | | | 23 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | (759) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange
contracts |
| | | | 270 | | |
Net change in unrealized appreciation (depreciation) on swap contracts
|
| | | | 518 | | |
Net change in unrealized appreciation (depreciation) on investments sold short
|
| | | | 28 | | |
Net change in unrealized appreciation (depreciation) on futures contracts
|
| | | | 62 | | |
Net change in unrealized gain (loss) on foreign currency
|
| | | | 29 | | |
Total net realized gain (loss) and unrealized appreciation (depreciation)
|
| | | | 953 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 3,250 | | |
|
| | |
Year Ended
October 31, 2018 |
| |||
Operations | | | | | | | |
Net investment income
|
| | | $ | 2,297 | | |
Net realized gain (loss)
|
| | | | 805 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | (759) | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
|
| | | | 270 | | |
Net change in unrealized appreciation (depreciation) on swap contracts
|
| | | | 518 | | |
Net change in unrealized appreciation (depreciation) on investments sold short
|
| | | | 28 | | |
Net change in unrealized appreciation (depreciation) on futures contracts
|
| | | | 62 | | |
Net change in unrealized gain (loss) on foreign currency
|
| | | | 29 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 3,250 | | |
Shareholder distributions(1) | | | | | | | |
Distributions to shareholders | | | | | | | |
Class A
|
| | | | (9) | | |
Class I
|
| | | | (3,095) | | |
Class T
|
| | | | (1) | | |
Total distributions to shareholders
|
| | | | (3,105) | | |
Net decrease in net assets resulting from shareholder distributions
|
| | | | (3,105) | | |
Capital share transactions(2) | | | | | | | |
Net increase in net assets resulting from capital share transactions
|
| | | | 108,047 | | |
Total increase in net assets
|
| | | | 108,192 | | |
Net assets at beginning of year
|
| | | | 100 | | |
Net assets at end of year
|
| | | $ | 108,292 | | |
|
| | |
Year Ended
October 31, 2018 |
| |||
Cash flows from operating activities | | | | | | | |
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 3,250 | | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
|
| | | | | | |
Purchases of investments
|
| | | | (186,902) | | |
Proceeds from sales and repayments of investments
|
| | | | 66,560 | | |
Securities sold short, net
|
| | | | 1,047 | | |
Net realized (gain) loss on investments
|
| | | | (620) | | |
Net change in unrealized (appreciation) depreciation on investments
|
| | | | 759 | | |
Net change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts
|
| | | | (270) | | |
Net change in unrealized (appreciation) depreciation on investments sold short
|
| | | | (28) | | |
Net change in unrealized (appreciation) depreciation on swap contracts
|
| | | | (518) | | |
Net change in unrealized (appreciation) depreciation on futures contracts
|
| | | | (62) | | |
Accretion of discount/amortization of premium, net
|
| | | | (39) | | |
(Increase) decrease in collateral held at broker
|
| | | | (1,239) | | |
(Increase) decrease in receivable for investments sold
|
| | | | (584) | | |
(Increase) decrease in reimbursement due from adviser(1)
|
| | | | (138) | | |
(Increase) decrease in interest receivable
|
| | | | (1,292) | | |
(Increase) decrease in swap income receivable
|
| | | | (96) | | |
(Increase) decrease in prepaid expenses and other assets
|
| | | | (41) | | |
Increase (decrease) in payable for subscriptions received in advance
|
| | | | (19,900) | | |
Increase (decrease) in due to custodian
|
| | | | 3,932 | | |
Increase (decrease) in payable for investments purchased
|
| | | | 7,683 | | |
Increase (decrease) in management fees payable
|
| | | | 474 | | |
Increase (decrease) in administrative services expenses payable
|
| | | | 12 | | |
Increase (decrease) in accounting and administrative fees payable
|
| | | | 38 | | |
Increase (decrease) in professional fees payable
|
| | | | 88 | | |
Increase (decrease) in swap income payable
|
| | | | 74 | | |
Increase (decrease) in interest payable for short sales
|
| | | | 10 | | |
Increase (decrease) in trustees’ fees payable
|
| | | | 2 | | |
Increase (decrease) in other accrued expenses and liabilities
|
| | | | 52 | | |
Net cash provided by (used in) operating activities
|
| | | | (127,748) | | |
Cash flows from financing activities | | | | | | | |
Issuance of common shares
|
| | | | 105,476 | | |
Reinvestment of shareholder distributions
|
| | | | 1,973 | | |
Repurchases of common shares
|
| | | | (268) | | |
Shareholder distributions
|
| | | | (3,105) | | |
Borrowings under financing arrangement(2)
|
| | | | 39,041 | | |
Repayments under credit facility(2)
|
| | | | (28,866) | | |
Net cash provided by financing activities
|
| | | | 114,251 | | |
Total increase (decrease) in cash
|
| | | | (13,497) | | |
Cash at beginning of year
|
| | | | 20,000 | | |
Cash and restricted cash at end of year(3)
|
| | | $ | 6,503 | | |
|
| | |
Period from
June 1, 2018 (Commencement of Operations) through October 31, 2018 |
| |||
Per Share Data:(1) | | | |||||
Net asset value, beginning of period
|
| | | $ | 12.89 | | |
Results of operations | | | |||||
Net investment income(2)
|
| | | | 0.23 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments
|
| | | | 0.12 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 0.35 | | |
Shareholder Distributions(3) | | | |||||
Distributions from net investment income
|
| | | | (0.37) | | |
Net decrease in net assets resulting from shareholder distributions
|
| | | | (0.37) | | |
Net asset value, end of period
|
| | | $ | 12.87 | | |
Shares outstanding, end of period
|
| | | | 69,904 | | |
Total return(4)(5)
|
| | | | 2.72% | | |
Ratio/Supplemental Data: | | | |||||
Net assets, end of period
|
| | | $ | 900 | | |
Ratio of net investment income to average net assets(6)(7)
|
| | | | 4.30% | | |
Ratio of total expenses to average net assets(6)
|
| | | | 4.28% | | |
Ratio of expense reimbursement from adviser to average net assets(6)
|
| | | | (1.59)% | | |
Ratio of net expenses to average net assets(6)
|
| | | | 2.69% | | |
Portfolio turnover rate
|
| | | | 114% | | |
Asset coverage ratio per unit(8)
|
| | | | 11.64 | | |
| | |
Year Ended
October 31, 2018 |
| |||
Per Share Data:(1) | | | | | | | |
Net asset value, beginning of year
|
| | | $ | 12.50 | | |
Results of operations | | | | | | | |
Net investment income(2)
|
| | | | 0.56 | | |
Net realized gain (loss) and unrealized appreciation (depreciation)
|
| | | | 0.39 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 0.95 | | |
Shareholder distributions(3) | | | | | | | |
Distributions from net investment income
|
| | | | (0.56) | | |
Net decrease in net assets resulting from shareholder distributions
|
| | | | (0.56) | | |
Net asset value, end of year
|
| | | $ | 12.89 | | |
Shares outstanding, end of year
|
| | | | 8,322,844 | | |
Total return(4)
|
| | | | 7.68% | | |
Ratio/Supplemental Data: | | | | | | | |
Net assets, end of year
|
| | | $ | 107,317 | | |
Ratio of net investment income to average net assets(5)(6)
|
| | | | 4.38% | | |
Ratio of total expenses to average net assets(5)
|
| | | | 3.65% | | |
Ratio of expense reimbursement from adviser to average net assets(5)
|
| | | | (1.33)% | | |
Ratio of net expenses to average net assets(5)
|
| | | | 2.32% | | |
Portfolio turnover rate
|
| | | | 114% | | |
Asset coverage ratio per unit(7)
|
| | | | 11.64 | | |
| | |
Period from
August 14, 2018 (Commencement of Operations) through October 31, 2018 |
| |||
Per Share Data:(1) | | | | | | | |
Net asset value, beginning of period
|
| | | $ | 13.03 | | |
Results of operations | | | | | | | |
Net investment income(2)
|
| | | | 0.12 | | |
Net realized gain (loss) and unrealized appreciation (depreciation) on investments
|
| | | | (0.07) | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 0.05 | | |
Shareholder distributions(3) | | | | | | | |
Distributions from net investment income
|
| | | | (0.18) | | |
Net decrease in net assets resulting from shareholder distributions
|
| | | | (0.18) | | |
Net asset value, end of period
|
| | | $ | 12.90 | | |
Shares outstanding, end of period
|
| | | | 5,832 | | |
Total return(4)(5)
|
| | | | 0.39% | | |
Ratio/Supplemental Data: | | | | | | | |
Net assets, end of period
|
| | | $ | 75 | | |
Ratio of net investment income to average net assets(6)(7)
|
| | | | 4.28% | | |
Ratio of total expenses to average net assets(6)
|
| | | | 4.18% | | |
Ratio of expense reimbursement from adviser to average net assets(6)
|
| | | | (1.14)% | | |
Ratio of net expenses to average net assets(6)
|
| | | | 3.04% | | |
Portfolio turnover rate
|
| | | | 114% | | |
Asset coverage ratio per unit(8)
|
| | | | 11.64 | | |
| | |
Period from June 1, 2018
(Commencement of Operations) through October 31, 2018 |
| |||||||||
Class A Shares
|
| |
Shares
|
| |
Amount
|
| ||||||
Gross Proceeds from Offering
|
| | | | 69,741 | | | | | $ | 915 | | |
Reinvestment of Distributions
|
| | | | 163 | | | | | | 2 | | |
Total Gross Proceeds
|
| | | | 69,904 | | | | | | 917 | | |
Commissions and Dealer Manager Fees
|
| | | | — | | | | | | (8) | | |
Net Proceeds from Class A Share Transactions
|
| | | | 69,904 | | | | | $ | 909 | | |
|
| | |
For the Year Ended
October 31, 2018 |
| |||||||||
Class I Shares
|
| |
Shares
|
| |
Amount
|
| ||||||
Gross Proceeds from Offering
|
| | | | 8,182,579 | | | | | $ | 105,350 | | |
Reinvestment of Distributions
|
| | | | 152,312 | | | | | | 1,970 | | |
Total Gross Proceeds
|
| | | | 8,334,891 | | | | | | 107,320 | | |
Share Repurchase Program
|
| | | | (20,047) | | | | | | (258) | | |
Net Proceeds from Class I Share Transactions
|
| | | | 8,314,844 | | | | | $ | 107,062 | | |
|
| | |
Period from August 14, 2018
(Commencement of Operations) through October 31, 2018 |
| |||||||||
Class T Shares
|
| |
Shares
|
| |
Amount
|
| ||||||
Gross Proceeds from Offering
|
| | | | 6,507 | | | | | $ | 88 | | |
Reinvestment of Distributions
|
| | | | 66 | | | | | | 1 | | |
Total Gross Proceeds
|
| | | | 6,573 | | | | | | 89 | | |
Commissions and Dealer Manager Fees
|
| | | | — | | | | | | (3) | | |
Net Proceeds to the Fund
|
| | | | 6,573 | | | | | | 86 | | |
Share Repurchase Program
|
| | | | (741) | | | | | | (10) | | |
Net Proceeds from Class T Share Transactions
|
| | | | 5,832 | | | | | | 76 | | |
Net Proceeds to the Fund
|
| | | | 8,390,580 | | | | | $ | 108,047 | | |
|
Repurchase Request Deadline
|
| |
Repurchase offer
Amount (as a percentage of outstanding shares) |
| |
Number of
Shares Repurchased (all classes) |
| |
Percentage of
Outstanding Shares Tendered (all classes) |
| |||||||||
January 31, 2018
|
| | | | 5% | | | | | | — | | | | | | — | | |
April 30, 2018
|
| | | | 5% | | | | | | — | | | | | | — | | |
July 30, 2018
|
| | | | 5% | | | | | | — | | | | | | — | | |
October 29, 2018
|
| | | | 5% | | | | | | 20,788 | | | | | | 0.25% | | |
Total | | | | | | | | | | | 20,788 | | | | | | | | |
|
Related Party
|
| |
Source Agreement
|
| |
Description
|
| |
Amount
|
| |||
FS Credit Income Advisor
|
| | Investment Advisory Agreement | | | Management Fee(1) | | | | $ | 1,007 | | |
FS Credit Income Advisor
|
| | Administration Agreement | | | Administrative Services Expenses(2) | | | | $ | 190 | | |
Source of Distribution
|
| |
Distribution
Amount |
| |
Percentage
|
| ||||||
Net investment income(1)
|
| | | $ | 2,793 | | | | | | 100% | | |
Short-term capital gains proceeds from the sale of assets
|
| | | | 312 | | | | | | — | | |
Return of capital
|
| | | | — | | | | | | — | | |
Total
|
| | | $ | 3,105 | | | | | | 100% | | |
|
|
Distributable ordinary income
|
| | | $ | (306) | | |
|
Distributable long-term capital gains
|
| | | | 20 | | |
|
Net unrealized appreciation (depreciation) of investments and derivatives
|
| | | | (177) | | |
|
Total
|
| | | $ | 149 | | |
|
| | |
Fair Value
|
| |||||||||
| | |
Asset
Derivative |
| |
Liability
Derivative |
| ||||||
Foreign Currency Risk | | | | | | | | | | | | | |
Forward foreign currency exchange contracts
|
| | | $ | 665(1) | | | | | $ | 395(2) | | |
Cross-currency swaps
|
| | | $ | 447(3) | | | | | | — | | |
Interest Rate Risk | | | | | | | | | | | | | |
Interest rate futures
|
| | | $ | 62(4) | | | | | | — | | |
Interest rate swaps
|
| | | $ | 97(3) | | | | | $ | 10(5) | | |
Credit Risk | | | | | | | | | | | | | |
Total return debt swaps
|
| | | $ | 9(3) | | | | | $ | 25(5) | | |
Counterparty
|
| |
Derivative
Assets Subject to Master Netting Agreement |
| |
Derivatives
Available for Offset |
| |
Non-cash
Collateral Received(1) |
| |
Cash
Collateral Received(1) |
| |
Net
Amount of Derivative Assets(2) |
| |||||||||||||||
Bank of America, N.A.
|
| | | $ | 9 | | | | | $ | 9 | | | | | | — | | | | | | — | | | | | | — | | |
BNP Paribas Securities Co.
|
| | | $ | 28 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 28 | | |
JPMorgan Chase Bank, N.A.
|
| | | $ | 944 | | | | | $ | 404 | | | | | | — | | | | | | — | | | | | $ | 540 | | |
State Street Bank and Trust Company
|
| | | $ | 237 | | | | | $ | 1 | | | | | | — | | | | | | — | | | | | $ | 236 | | |
Counterparty
|
| |
Derivative
Liabilities Subject to Master Netting Agreement |
| |
Derivatives
Available for Offset |
| |
Non-cash
Collateral Pledged(1) |
| |
Cash
Collateral Pledged(1) |
| |
Net
Amount of Derivative Liabilities(3) |
| |||||||||||||||
Bank of America, N.A.
|
| | | $ | 25 | | | | | $ | 9 | | | | | | — | | | | | $ | 16 | | | | | | — | | |
BNP Paribas Securities Co.
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
JPMorgan Chase Bank, N.A.
|
| | | $ | 404 | | | | | $ | 404 | | | | | | — | | | | | | — | | | | | | — | | |
State Street Bank and Trust Company
|
| | | $ | 1 | | | | | $ | 1 | | | | | | — | | | | | | — | | | | | | — | | |
| | |
Realized Gain
(Loss) on Derivatives Recognized in Income |
| |
Net Change in
Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
| ||||||
Foreign Currency Risk | | | | | | | | | | | | | |
Forward foreign currency exchange contracts
|
| | | $ | (12)(1) | | | | | $ | 270(2) | | |
Cross-currency swaps
|
| | | $ | 138(3) | | | | | $ | 447(4) | | |
Interest Rate Risk | | | | | | | | | | | | | |
Interest rate futures
|
| | | $ | (47)(5) | | | | | $ | 62(6) | | |
Interest rate swaps
|
| | | $ | (2)(3) | | | | | $ | 87(4) | | |
Credit Risk | | | | | | | | | | | | | |
Total return debt swaps
|
| | | $ | 76(3) | | | | | $ | (16)(4) | | |
| | |
Amortized
Cost(1) |
| |
Fair Value
|
| |
Percentage of
Portfolio |
| |||||||||
Senior Secured Loans—First Lien
|
| | | $ | 14,686 | | | | | $ | 14,615 | | | | | | 12% | | |
Senior Secured Loans—Second Lien
|
| | | | 4,624 | | | | | | 4,635 | | | | | | 4% | | |
Senior Secured Bonds
|
| | | | 23,194 | | | | | | 22,876 | | | | | | 19% | | |
Unsecured Bonds
|
| | | | 47,593 | | | | | | 48,056 | | | | | | 40% | | |
CLO/Structured Credit
|
| | | | 27,020 | | | | | | 26,750 | | | | | | 22% | | |
Emerging Markets Debt
|
| | | | 3,310 | | | | | | 2,775 | | | | | | 3% | | |
Preferred Stock
|
| | | | 194 | | | | | | 195 | | | | | | 0% | | |
Common Stock
|
| | | | 380 | | | | | | 340 | | | | | | 0% | | |
Total Investments
|
| | | $ | 121,001 | | | | | $ | 120,242 | | | | | | 100% | | |
Investments Sold Short
|
| | | $ | (1,047) | | | | | $ | (1,019) | | | | | | | | |
|
Industry Classification
|
| |
Fair Value
|
| |
Percentage of
Portfolio |
| ||||||
USD CLO
|
| | | $ | 13,298 | | | | | | 11% | | |
EUR CLO
|
| | | | 12,664 | | | | | | 11% | | |
Municipal
|
| | | | 9,475 | | | | | | 8% | | |
Media Entertainment
|
| | | | 7,938 | | | | | | 7% | | |
Oil & Gas
|
| | | | 7,348 | | | | | | 6% | | |
Chemicals
|
| | | | 5,808 | | | | | | 5% | | |
Telecommunications
|
| | | | 4,909 | | | | | | 4% | | |
Commercial Banks
|
| | | | 4,525 | | | | | | 4% | | |
Oil & Gas Services
|
| | | | 4,508 | | | | | | 4% | | |
Pharmaceuticals
|
| | | | 3,682 | | | | | | 3% | | |
Internet
|
| | | | 2,984 | | | | | | 2% | | |
Independent Oil & Gas
|
| | | | 2,817 | | | | | | 2% | | |
Healthcare
|
| | | | 2,685 | | | | | | 2% | | |
Other Financial
|
| | | | 2,594 | | | | | | 2% | | |
Mining
|
| | | | 2,348 | | | | | | 2% | | |
Healthcare-Services
|
| | | | 2,126 | | | | | | 2% | | |
Transportation
|
| | | | 2,120 | | | | | | 2% | | |
Retailers
|
| | | | 1,807 | | | | | | 2% | | |
Healthcare-Products
|
| | | | 1,510 | | | | | | 1% | | |
Technology
|
| | | | 1,488 | | | | | | 1% | | |
Commercial Services
|
| | | | 1,473 | | | | | | 1% | | |
Aerospace/Defense
|
| | | | 1,463 | | | | | | 1% | | |
Pipelines
|
| | | | 1,433 | | | | | | 1% | | |
Coal
|
| | | | 1,394 | | | | | | 1% | | |
Retail
|
| | | | 1,187 | | | | | | 1% | | |
Consumer Cyclical Services
|
| | | | 1,137 | | | | | | 1% | | |
Leisure
|
| | | | 1,126 | | | | | | 1% | | |
Software
|
| | | | 1,112 | | | | | | 1% | | |
Home Builders
|
| | | | 1,052 | | | | | | 1% | | |
Insurance
|
| | | | 1,012 | | | | | | 1% | | |
Wirelines
|
| | | | 971 | | | | | | 1% | | |
Metals and Mining
|
| | | | 932 | | | | | | 1% | | |
Industry Classification
|
| |
Fair Value
|
| |
Percentage of
Portfolio |
| ||||||
Household Products
|
| | | | 816 | | | | | | 1% | | |
USD CDO
|
| | | | 788 | | | | | | 1% | | |
Oil Field Services
|
| | | | 777 | | | | | | 1% | | |
Property & Casualty Insurance
|
| | | | 775 | | | | | | 1% | | |
Auto Manufacturers
|
| | | | 714 | | | | | | 1% | | |
Provincial
|
| | | | 673 | | | | | | 1% | | |
IT Services
|
| | | | 598 | | | | | | 1% | | |
Food
|
| | | | 482 | | | | | | 0% | | |
Energy-Alternate Sources
|
| | | | 368 | | | | | | 0% | | |
Distribution/Wholesale
|
| | | | 342 | | | | | | 0% | | |
Other Industrial
|
| | | | 292 | | | | | | 0% | | |
Investment Company Security
|
| | | | 277 | | | | | | 0% | | |
Lodging
|
| | | | 277 | | | | | | 0% | | |
Electrical Compo & Equipment
|
| | | | 276 | | | | | | 0% | | |
Hand/Machine Tools
|
| | | | 276 | | | | | | 0% | | |
Diversified Financial Services
|
| | | | 238 | | | | | | 0% | | |
Electric
|
| | | | 235 | | | | | | 0% | | |
Holding Companies-Diversified
|
| | | | 209 | | | | | | 0% | | |
Packaging & Containers
|
| | | | 202 | | | | | | 0% | | |
Healthcare-Software
|
| | | | 195 | | | | | | 0% | | |
Life Insurance
|
| | | | 193 | | | | | | 0% | | |
Machinery-Diversified
|
| | | | 193 | | | | | | 0% | | |
Engineering & Construction
|
| | | | 120 | | | | | | 0% | | |
| | | | $ | 120,242 | | | | | | 100% | | |
|
Asset Description
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | — | | | | | $ | 14,615 | | | | | $ | — | | | | | $ | 14,615 | | |
Senior Secured Loans—Second Lien
|
| | | | — | | | | | | 2,754 | | | | | | 1,881 | | | | | | 4,635 | | |
Senior Secured Bonds
|
| | | | — | | | | | | 22,876 | | | | | | — | | | | | | 22,876 | | |
Unsecured Bonds
|
| | | | — | | | | | | 47,193 | | | | | | 863 | | | | | | 48,056 | | |
CLO/Structured Credit
|
| | | | — | | | | | | 26,240 | | | | | | 510 | | | | | | 26,750 | | |
Emerging Markets Debt
|
| | | | — | | | | | | 2,775 | | | | | | — | | | | | | 2,775 | | |
Preferred Stock
|
| | | | — | | | | | | — | | | | | | 195 | | | | | | 195 | | |
Common Stock
|
| | | | 340 | | | | | | — | | | | | | — | | | | | | 340 | | |
Total Investments
|
| | | | 340 | | | | | | 116,453 | | | | | | 3,449 | | | | | | 120,242 | | |
Forward Foreign Currency Exchange Contracts
|
| | | | — | | | | | | 665 | | | | | | — | | | | | | 665 | | |
Interest Rate Futures
|
| | | | 62 | | | | | | — | | | | | | — | | | | | | 62 | | |
Cross-Currency Swaps
|
| | | | — | | | | | | 447 | | | | | | — | | | | | | 447 | | |
Interest Rate Swaps
|
| | | | — | | | | | | 97 | | | | | | — | | | | | | 97 | | |
Total Return Debt Swaps
|
| | | | — | | | | | | — | | | | | | 9 | | | | | | 9 | | |
Total | | | | $ | 402 | | | | | $ | 117,662 | | | | | $ | 3,458 | | | | | $ | 121,522 | | |
|
Liability Description
|
| |
Level 1
|
| |
Level 2
|
| |
Level 3
|
| |
Total
|
| ||||||||||||
Investments Sold Short
|
| | | | — | | | | | $ | (1,019) | | | | | $ | — | | | | | $ | (1,019) | | |
Forward Foreign Currency Exchange Contracts
|
| | | | — | | | | | | (395) | | | | | | — | | | | | | (395) | | |
Cross-Currency Swaps
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Interest Rate Swaps
|
| | | | — | | | | | | (10) | | | | | | — | | | | | | (10) | | |
Total Return Debt Swaps
|
| | | | — | | | | | | — | | | | | | (25) | | | | | | (25) | | |
Total
|
| | | | — | | | | | $ | (1,424) | | | | | $ | (25) | | | | | $ | (1,449) | | |
|
| | |
Senior
Secured Loans— Second Lien |
| |
Unsecured
Bonds |
| |
Collateralized
Loan Obligation (CLO)/ Structured Credit |
| |
Preferred
Stock |
| |
Total
|
| |||||||||||||||
Fair value at beginning of period
|
| | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Accretion of discount (amortization of premium)
|
| | | | 4 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4 | | |
Realized gain (loss)
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net change in unrealized appreciation (depreciation)
|
| | | | (4) | | | | | | 62 | | | | | | 2 | | | | | | 1 | | | | | | 61 | | |
Purchases
|
| | | | 1,881 | | | | | | 801 | | | | | | 508 | | | | | | 194 | | | | | | 3,384 | | |
Sales
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net transfers in or out of Level 3
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Fair value at end of period
|
| | | $ | 1,881 | | | | | $ | 863 | | | | | $ | 510 | | | | | $ | 195 | | | | | $ | 3,449 | | |
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date
|
| | | $ | (4) | | | | | $ | 62 | | | | | $ | 2 | | | | | $ | 1 | | | | | $ | 61 | | |
|
|
Fair value at beginning of period
|
| | | $ | — | | |
|
Accretion of discount (amortization of premium)
|
| | | | — | | |
|
Net realized gain (loss)
|
| | | | 76 | | |
|
Net change in unrealized appreciation (depreciation)
|
| | | | (16) | | |
|
Sales and repayments
|
| | | | (76) | | |
|
Net transfers in or out of Level 3
|
| | | | — | | |
|
Fair value at end of period
|
| | | $ | (16) | | |
|
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to the total return debt swaps still held at the reporting date
|
| | | $ | (16) | | |
|
Type of Investment
|
| |
Fair Value at
October 31, 2018 |
| |
Valuation
Technique(1) |
| |
Unobservable
Input |
| |
Range
|
| |
Weighted
Average |
| |||
Senior Secured Loans—Second Lien
|
| | | $ | 1,881 | | | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
99.0% – 99.0%
|
| |
99.0%
|
|
Unsecured Bonds
|
| | | | 863 | | | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
105.8% – 106.5%
|
| |
106.1%
|
|
CLO/Structured Credit
|
| | | | 510 | | | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
100.0% – 100.0%
|
| |
100.0%
|
|
Preferred Stock
|
| | | | 195 | | | |
Market Comparables
|
| |
EBITDA Multiples (x)
Market Yield (%)
|
| |
10.5x–12.5x
12.8%–13.2%
|
| |
11.5x
13.0%
|
|
Total
|
| | | $ | 3,449 | | | | | | | ||||||||
Total Return Debt Swaps
|
| | | $ | (16) | | | |
Market Comparables
|
| | Market Yield (%) | | |
4.1%–5.2%
|
| |
4.6%
|
|
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity Date
|
| |||||||||
BNP Facility
|
| |
Revolving Prime Brokerage
|
| | | | L+1.00% | | | | | $ | 10,175 | | | | | $ | 32,407 | | | |
April 28, 2019(1)
|
|
|
Cash paid for interest expense(1)
|
| | | $ | 101 | | |
|
Average borrowings(2)
|
| | | $ | 3,551 | | |
|
Effective interest rate on borrowings
|
| | | | 3.31% | | |
|
Weighted average interest rate
|
| | | | 3.14% | | |
Name
|
| |
Age
|
| |
Trustee Since
|
| |
Title
|
| |
Principal
Occupation(s) During the Past Five Years |
| |
Number of
Registered Investment Companies in Fund Complex* Overseen byTrustee |
| |
Other Directorships
Held by Trustee |
|
Interested Trustees | | | | | | | | ||||||||||||
Michael C. Forman(1)
|
| |
57
|
| |
October 2016
|
| | Chairman | | | Chairman and Chief Executive Officer of FS Investments | | |
10
|
| | FS Series Trust (since 2016); FS Energy Total Return Fund (since 2016); FS Credit Real Estate Income Trust, Inc. (since 2016); FS Investment Corporation IV (since 2015); FS Global Credit Opportunities Fund (since 2013 and including its affiliated feeder funds); FS Investment Corporation III (since 2013); FS Investment Corporation II (since 2011); FS Energy and Power Fund (since 2010); and FS KKR Capital Corp. (formerly FS Investment Corporation) (since 2007) | |
Steven Shapiro(2) | | |
51
|
| |
September 2017
|
| | Trustee | | | Partner and Executive Committee Member of GoldenTree Asset Management | | |
1
|
| | None | |
Independent Trustees | | | | | | | | ||||||||||||
Holly E. Flanagan | | |
47
|
| |
September 2017
|
| | Trustee | | | Managing Director of Gabriel Investments (since 2013) | | |
3
|
| | FS Multi-Alternative Income Fund (since 2018); FS Energy Total Return Fund (since 2017) | |
Brian R. Ford | | |
69
|
| |
September 2017
|
| | Trustee | | | Partner of Ernst & Young LLP (1971–2008) | | |
3
|
| | FS KKR Capital Corp. (since 2018); FS Investment Corporation II (since 2018); FS Investment Corporation IV (since 2018); FS Multi-Alternative Income Fund (since 2018); FS Energy Total Return Fund (since 2016); FS Investment | |
Name
|
| |
Age
|
| |
Trustee Since
|
| |
Title
|
| |
Principal
Occupation(s) During the Past Five Years |
| |
Number of
Registered Investment Companies in Fund Complex* Overseen byTrustee |
| |
Other Directorships
Held by Trustee |
|
| | | | | | | | | | | | | | | | | | Corporation III (since 2013); Clearway Energy Inc. (formerly NRG Yield, Inc.) (since 2013); and AmeriGas Propane, Inc. (since 2013) | |
Joseph P. Ujobai | | |
57
|
| |
September 2017
|
| | Trustee | | | Executive Vice President of SEI Investments Company (since 2003); Chief Executive Officer and Managing Director of SEI Investments (Europe) Limited (since 2000) | | |
3
|
| | FS Multi-Alternative Income Fund (since 2018); FS Energy Total Return Fund (since 2016); FS KKR Capital Corp. (formerly FS Investment Corporation) (since 2015) | |
Name
|
| |
Age
|
| |
Position Held with Registrant
|
| |
Length of
Time Served |
| |
Principal Occupation(s)
During the Past Five Years |
|
Michael C. Forman | | |
57
|
| | Chief Executive Officer & President | | |
Since 2016
|
| | Chairman and Chief Executive Officer, FS Investments | |
Edward T. Gallivan, Jr. | | |
56
|
| | Chief Financial Officer | | |
Since 2017
|
| | Chief Financial Officer, FS Energy and Power Fund, FS Multi-Alternative Income Fund, FS Energy Total Return Fund, FS Global Credit Opportunities Fund and its affiliated feeder funds, FS Credit Real Estate Income Trust, Inc. | |
Stephen S. Sypherd | | |
41
|
| | Vice President, Treasurer & Secretary | | |
Since 2016
|
| | General Counsel, FS Investments | |
James F. Volk | | |
56
|
| |
Chief Compliance Officer
|
| |
Since 2016
|
| | Senior Vice President of Fund Compliance, FS Investments; and Chief Compliance Officer, Chief Accounting Officer and Head of Traditional Fund Operations at SEI’s Investment Manager Services market unit (1996–2014) | |
| | |
Number of
Accounts |
| |
Assets of Accounts
(in thousands) |
| |
Number of
Accounts Subject to a Performance Fee |
| |
Assets Subject to a
Performance Fee (in thousands) |
| ||||||||||||
Michael Kelly | | | | | | | | | | | | | | | | | | | | | | | | | |
Registered Investment Companies
|
| | | | 3 | | | | | $ | 192,098(1) | | | | | | — | | | | | | — | | |
Other Pooled Investment Vehicles
|
| | | | 8 | | | | | $ | 20,842,249 | | | | | | 8 | | | | | $ | 20,842,249 | | |
Other Accounts
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Daniel Picard | | | | | | | | | | | | | | | | | | | | | | | | | |
Registered Investment Companies
|
| | | | 1 | | | | | $ | 40,664 | | | | | | — | | | | | | — | | |
Other Pooled Investment Vehicles
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Other Accounts
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Kenneth G. Miller | | | | | | | | | | | | | | | | | | | | | | | | | |
Registered Investment Companies
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Other Pooled Investment Vehicles
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Other Accounts
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Grace Hutchinson | | | | | | | | | | | | | | | | | | | | | | | | | |
Registered Investment Companies
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Other Pooled Investment Vehicles
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Other Accounts
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Name of Investment Committee Member
|
| |
Dollar Range of Equity Securities in the Fund(1)
|
|
Michael Kelly
|
| |
Over $1,000,000
|
|
Daniel Picard
|
| |
None
|
|
Kenneth G. Miller
|
| |
$100,001 – $500,000
|
|
Grace Hutchinson
|
| |
None
|
|
| (a)(1) | | | The Fund’s Code of Business Conduct and Ethics is included herein in response to Item 2(f). | |
| (a)(2) | | | The certifications of the Fund’s Chief Executive Officer and Chief Financial Officer required by Rule 30a-2(a) under the 1940 Act are attached hereto. | |
| (a)(3) | | | Not applicable. | |
| (a)(4) | | | Not applicable. | |
| (a)(5) | | | The Proxy Voting Policies and Procedures of FS Credit Income Advisor are included herein in response to Item 7. | |
| (b) | | | The certifications of the Fund’s Chief Executive Officer and Chief Financial Officer required by Rule 30a-2(b) under the 1940 Act are attached hereto. | |
| | | | FS Credit Income Fund | |
| | | |
By:
/s/ Michael C. Forman
Michael C. Forman
President and Chief Executive Officer Date: January 4, 2019 |
|
| | | |
By:
/s/ Michael C. Forman
Michael C. Forman
President and Chief Executive Officer (Principal Executive Officer) Date: January 4, 2019 |
|
| | | |
By:
/s/ Edward T. Gallivan, Jr.
Edward T. Gallivan, Jr.
Chief Financial Officer (Principal Financial Officer) Date: January 4, 2019 |
|