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PORTFOLIO OF INVESTMENTS as of February 29, 2020 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans 90.9% of Net Assets
Aerospace & Defense 2.0%
$ |
11,490,223 |
Advanced Integration Technology LP, 2017 Term Loan B, |
|
|
|
|
1-month LIBOR + 4.750%, 6.353%, 4/03/2023(a) |
$ |
11,030,614 |
|
3,133,000 |
AI Convoy (Luxembourg) S.a.r.l., USD Term Loan B, |
|
|
|
|
1/17/2027(b) |
|
3,093,837 |
|
15,820,631 |
Constellis Holdings LLC, 2017 1st Lien Term Loan, |
|
|
|
|
3-month LIBOR + 5.000%, 6.782%, 4/21/2024(a)(c)(d) |
|
2,676,376 |
|
40,566 |
Constellis Holdings LLC, 2017 1st Lien Term Loan, |
|
|
|
|
Prime + 4.000%, 8.750%, 4/21/2024(a)(c)(d) |
|
6,863 |
|
9,578,750 |
DynCorp International, Inc., 2019 Term Loan B, |
|
|
|
|
1-month LIBOR + 6.000%, 7.659%, 8/18/2025(a) |
|
9,459,016 |
|
8,035,086 |
MHVC Acquisition Corp., 2017 Term Loan, |
|
|
|
|
LIBOR + 5.250%, 6.870%, 4/29/2024(e) |
|
7,834,209 |
|
9,684,051 |
TransDigm, Inc., 2020 Term Loan E, |
|
|
|
|
1-month LIBOR + 2.250%, 3.916%, 5/30/2025(a) |
|
9,448,050 |
|
|
|
|
43,548,965 |
Airlines 0.3%
7,933,303 |
Allegiant Travel Co., 2020 Term Loan, |
|
|
3-month LIBOR + 3.000%, 4.707%, 2/05/2024(a) |
7,457,305 |
Automotive 4.9%
2,209,677 |
American Axle & Manufacturing, Inc., Term Loan B, |
|
|
1-month LIBOR + 2.250%, 3.880%, 4/06/2024(a) |
2,148,911 |
7,655,667 |
Belron Finance U.S. LLC, 2019 USD Term Loan B, |
|
|
3-month LIBOR + 2.500%, 4.270%, 10/30/2026(a) |
7,612,642 |
15,402,520 |
Dayco Products LLC, 2017 Term Loan B, |
|
|
3-month LIBOR + 4.250%, 5.863%, 5/19/2023(a) |
13,708,243 |
4,842,487 |
Gates Global LLC, 2017 USD Repriced Term Loan B, |
|
|
1-month LIBOR + 2.750%, 4.353%, 4/01/2024(a) |
4,744,620 |
10,772,107 |
Holley Purchaser, Inc., Term Loan B, |
|
|
3-month LIBOR + 5.000%, 6.777%, 10/24/2025(a) |
10,018,059 |
7,700,000 |
Innovative Xcessories & Services LLC, 2020 Term Loan, |
|
|
2/26/2027(b) |
7,623,000 |
14,002,846 |
K&N Engineering, Inc., 1st Lien Term Loan, |
|
|
1-month LIBOR + 4.750%, 6.353%, 10/20/2023(a) |
11,715,761 |
2,828,910 |
KAR Auction Services, Inc., 2019 Term Loan B6, |
|
|
1-month LIBOR + 2.250%, 3.938%, 9/19/2026(a) |
2,800,621 |
349,975 |
Mister Car Wash Holdings, Inc., 2019 Delayed Draw Term Loan, |
|
|
3.250%, 5/14/2026(f) |
344,071 |
14,979,251 |
Mister Car Wash Holdings, Inc., 2019 Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.909%, 5/14/2026(a) |
14,726,551 |
12,019,875 |
Panther BF Aggregator 2 LP, USD Term Loan B, |
|
|
1-month LIBOR + 3.500%, 5.103%, 4/30/2026(a) |
11,704,353 |
11,133,949 |
Trico Group LLC, 2019 Incremental Term Loan, |
|
|
3-month LIBOR + 7.000%, 8.945%, 2/02/2024(a) |
10,939,105 |
8,354,255 |
Truck Hero, Inc., 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 4/22/2024(a) |
8,211,565 |
800,000 |
Wand NewCo 3, Inc., 2020 Term Loan, |
|
|
1-month LIBOR + 3.000%, 4.603%, 2/05/2026(a) |
783,336 |
|
|
107,080,838 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Brokerage 0.5%
$ |
8,064,063 |
Citadel Securities LP, 2020 Term Loan B, |
|
|
|
|
2/27/2026(b) |
$ |
7,983,422 |
|
3,852,045 |
Edelman Financial Center LLC, 2018 2nd Lien Term Loan, |
|
|
|
|
1-month LIBOR + 6.750%, 8.379%, 7/20/2026(a) |
|
3,765,374 |
|
|
|
|
11,748,796 |
Building Materials 4.7%
1,428,002 |
Advanced Drainage Systems, Inc., Term Loan B, |
|
|
1-month LIBOR + 2.250%, 3.938%, 7/31/2026(a) |
1,419,077 |
1,299,671 |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, |
|
|
1-month LIBOR + 2.000%, 3.603%, 1/15/2027(a) |
1,283,893 |
7,850,051 |
Big Ass Fans LLC, 2018 Term Loan, |
|
|
3-month LIBOR + 3.750%, 5.695%, 5/21/2024(a) |
7,810,800 |
14,384,659 |
CPG International, Inc., 2017 Term Loan, |
|
|
3-month LIBOR + 3.750%, 5.933%, 5/05/2024(a) |
14,258,793 |
12,698,705 |
Interior Logic Group Holdings IV LLC, 2018 Term Loan B, |
|
|
1-month LIBOR + 4.000%, 5.603%, 5/30/2025(a) |
12,349,490 |
13,532,858 |
Janus International Group LLC, 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 2/12/2025(a) |
13,420,130 |
9,181,636 |
Jeld-Wen, Inc., 2017 1st Lien Term Loan, |
|
|
3-month LIBOR + 2.000%, 3.945%, 12/14/2024(a) |
9,124,251 |
10,628,387 |
Mannington Mills, Inc., 2019 Term Loan B, |
|
|
3-month LIBOR + 4.000%, 5.945%, 8/06/2026(a) |
10,566,424 |
12,193,888 |
NCI Building Systems, Inc., 2018 Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.408%, 4/12/2025(a) |
11,828,072 |
14,594,630 |
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, |
|
|
1-month LIBOR + 2.500%, 2/01/2027(b) |
14,295,440 |
6,905,094 |
Wilsonart LLC, 2017 Term Loan B, |
|
|
3-month LIBOR + 3.250%, 5.200%, 12/19/2023(a) |
6,689,309 |
|
|
103,045,679 |
Cable Satellite 1.9%
5,700,282 |
CSC Holdings LLC, 2019 Term Loan B5, |
|
|
1-month LIBOR + 2.500%, 4.159%, 4/15/2027(a) |
5,629,028 |
5,180,000 |
Iridium Satellite LLC, Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 11/04/2026(a) |
5,173,525 |
8,370,000 |
Telenet Financing USD LLC, 2020 USD Term Loan AR, |
|
|
1-month LIBOR + 2.000%, 3.659%, 4/30/2028(a) |
8,108,438 |
6,844,000 |
Terrier Media Buyer, Inc., Term Loan B, |
|
|
3-month LIBOR + 4.250%, 6.148%, 12/17/2026(a) |
6,786,989 |
4,633,952 |
UPC Broadband Holding BV, 2020 USD Term Loan B, |
|
|
1-month LIBOR + 2.250%, 3.915%, 4/30/2028(a) |
4,610,782 |
6,345,584 |
Virgin Media Bristol LLC, USD Term Loan N, |
|
|
1-month LIBOR + 2.500%, 4.159%, 1/31/2028(a) |
6,229,270 |
4,900,000 |
Ziggo Financing Partnership, USD Term Loan I, |
|
|
1-month LIBOR + 2.500%, 4.159%, 4/30/2028(a) |
4,744,817 |
|
|
41,282,849 |
Chemicals 2.2%
12,347,950 |
Hexion, Inc., USD Exit Term Loan, |
|
|
3-month LIBOR + 3.500%, 5.410%, 7/01/2026(a) |
12,162,731 |
3,738,000 |
Innophos, Inc., 2020 Term Loan B, |
|
|
3-month LIBOR + 3.750%, 5.421%, 2/04/2027(a) |
3,700,620 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Chemicals continued
$ |
9,684,545 |
Messer Industries GmbH, 2018 USD Term Loan, |
|
|
|
|
3-month LIBOR + 2.500%, 4.445%, 3/01/2026(a) |
$ |
9,502,959 |
|
5,518,788 |
Momentive Performance Materials, Inc., Term Loan B, |
|
|
|
|
1-month LIBOR + 3.250%, 4.860%, 5/15/2024(a) |
|
5,277,341 |
|
7,171,560 |
Natgasoline LLC, Term Loan B, |
|
|
|
|
6-month LIBOR + 3.500%, 5.279%, 11/14/2025(a) |
|
7,117,773 |
|
12,474,000 |
Polymer Additives, Inc., 2018 1st Lien Term Loan, |
|
|
|
|
LIBOR + 6.000%, 7.777%, 7/31/2025(e) |
|
8,981,280 |
|
2,289,000 |
Univar, Inc., 2019 USD Term Loan B5, |
|
|
|
|
1-month LIBOR + 2.000%, 3.603%, 7/01/2026(a) |
|
2,258,099 |
|
|
|
|
49,000,803 |
Construction Machinery 0.5%
6,422,843 |
CTOS LLC, 2020 Term Loan B, |
|
|
4/18/2025(b) |
6,414,815 |
2,389,195 |
Onsite Rental Group Pty Ltd., Term Loan B, |
|
|
1-month LIBOR + 4.500%, 6.146%, 10/26/2022(a)(c)(d) |
2,329,465 |
3,266,549 |
Onsite Rental Group Pty Ltd., Note, |
|
|
6.100%, 10/26/2023(g) |
2,907,229 |
|
|
11,651,509 |
Consumer Cyclical Services 6.1%
13,229,947 |
Access CIG LLC, 2018 1st Lien Term Loan, |
|
|
3-month LIBOR + 3.750%, 5.527%, 2/27/2025(a) |
13,081,111 |
6,975,000 |
Access CIG LLC, 2018 2nd Lien Term Loan, |
|
|
3-month LIBOR + 7.750%, 9.527%, 2/27/2026(a) |
6,916,898 |
16,424,787 |
ASP MCS Acquisition Corp., Term Loan B, |
|
|
3-month LIBOR + 4.750%, 6.637%, 5/18/2024(a) |
7,508,427 |
6,705,293 |
BIFM CA Buyer, Inc., Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.353%, 6/01/2026(a) |
6,621,476 |
1,953,694 |
Boing U.S. Holdco, Inc., 2017 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.250%, 4.903%, 10/03/2024(a) |
1,880,431 |
7,920,667 |
Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan, |
|
|
1-month LIBOR + 7.500%, 9.153%, 10/03/2025(a) |
7,593,939 |
15,250,000 |
Creative Artists Agency LLC, 2019 Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.353%, 11/27/2026(a) |
15,142,030 |
16,230,261 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, |
|
|
1-month LIBOR + 2.750%, 4.353%, 8/21/2025(a) |
15,919,127 |
1,890,000 |
DG Investment Intermediate Holdings 2, Inc., 2018 2nd Lien Term Loan, |
|
|
1-month LIBOR + 6.750%, 8.353%, 2/02/2026(a) |
1,795,500 |
6,523,686 |
Garda World Security Corp., 2019 1st Lien Term Loan B, |
|
|
3-month LIBOR + 4.750%, 6.390%, 10/30/2026(a) |
6,484,935 |
10,532,743 |
National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan, |
|
|
3-month LIBOR + 3.750%, 5.695%, 5/23/2025(a) |
10,414,249 |
3,975,000 |
ServiceMaster Co., 2019 Term Loan D, |
|
|
1-month LIBOR + 1.750%, 3.375%, 11/05/2026(a) |
3,930,281 |
14,530,095 |
Southern Graphics, Inc., 2018 Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.853%, 12/31/2022(a) |
8,209,504 |
5,172,375 |
Sterling Midco Holdings, Inc., 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.103%, 6/19/2024(a) |
5,124,530 |
2,854,000 |
STG-Fairway Holdings LLC, Term Loan B, |
|
|
1-month LIBOR + 3.500%, 5.103%, 1/31/2027(a) |
2,837,961 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Consumer Cyclical Services continued
$ |
20,310,971 |
Xerox Business Services LLC, USD Term Loan B, |
|
|
|
|
1-month LIBOR + 2.500%, 4.103%, 12/07/2023(a) |
$ |
19,193,868 |
|
|
|
|
132,654,267 |
Consumer Products 8.4%
35,996,740 |
Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, |
|
|
1-month LIBOR + 6.500%, 8.103%, 7/25/2022(a) |
32,903,180 |
2,099,381 |
Anastasia Parent LLC, 2018 Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.353%, 8/11/2025(a) |
1,625,718 |
9,041,473 |
Augusta Sportswear Group, Inc., Term Loan B, |
|
|
1-month LIBOR + 4.500%, 6.103%, 10/26/2023(a) |
8,785,328 |
6,089,640 |
Callaway Golf Co., Term Loan B, |
|
|
1-month LIBOR + 4.500%, 6.153%, 1/02/2026(a) |
6,059,192 |
9,873,229 |
CWGS Group LLC, 2016 Term Loan, |
|
|
1-month LIBOR + 2.750%, 4.416%, 11/08/2023(h) |
8,979,702 |
9,072,190 |
Global Appliance, Inc., Term Loan B, |
|
|
1-month LIBOR + 4.000%, 5.610%, 9/29/2024(a) |
8,800,024 |
8,291,127 |
Highline Aftermarket Acquisition LLC, 2018 Term Loan B, |
|
|
1-month LIBOR + 3.500%, 5.125%, 4/26/2025(a) |
7,862,725 |
11,559,804 |
Inmar Holdings, Inc., 2017 1st Lien Term Loan, |
|
|
3-month LIBOR + 4.000%, 5.945%, 5/01/2024(a) |
11,119,144 |
9,443,478 |
Ozark Holdings LLC, Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.853%, 7/03/2023(a) |
9,368,686 |
16,145,547 |
Polyconcept Investments BV, USD 2016 Term Loan B, |
|
|
1-month LIBOR + 4.500%, 6.103%, 8/16/2023(a) |
16,095,173 |
4,235,117 |
Serta Simmons Bedding LLC, 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.152%, 11/08/2023(h) |
2,462,975 |
16,335,507 |
Serta Simmons Bedding LLC, 2nd Lien Term Loan, |
|
|
1-month LIBOR + 8.000%, 9.629%, 11/08/2024(a)(c)(d) |
4,435,090 |
14,259,563 |
SIWF Holdings Inc., 1st Lien Term Loan, |
|
|
1-month LIBOR + 4.250%, 5.853%, 6/15/2025(a) |
14,010,021 |
13,698,573 |
Strategic Partners Acquisition Corp., 2016 Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 6/30/2023(a) |
13,561,587 |
14,316,202 |
Thor Industries, Inc., USD Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.438%, 2/01/2026(a) |
14,029,878 |
12,598,014 |
Weight Watchers International, Inc., 2017 Term Loan B, |
|
|
3-month LIBOR + 4.750%, 6.720%, 11/29/2024(a) |
12,556,062 |
12,608,868 |
Wellness Merger Sub, Inc., 1st Lien Term Loan, |
|
|
3-month LIBOR + 4.250%, 5.863%, 6/30/2024(a) |
12,340,930 |
|
|
184,995,415 |
Diversified Manufacturing 0.5%
12,190,510 |
Granite Holdings U.S. Acquisition Co., Term Loan B, |
|
|
3-month LIBOR + 5.250%, 7.211%, 9/30/2026(a) |
11,641,937 |
Electric 2.6%
3,772,737 |
Carroll County Energy LLC, Term Loan B, |
|
|
3-month LIBOR + 3.500%, 5.445%, 2/15/2026(a) |
3,760,174 |
10,095,662 |
CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.145%, 8/08/2025(a) |
9,805,412 |
9,326,032 |
Edgewater Generation LLC, Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 12/13/2025(a) |
8,941,333 |
7,217,920 |
KAMC Holdings, Inc., 2019 Term Loan, |
|
|
3-month LIBOR + 4.000%, 5.613%, 8/14/2026(a) |
7,127,696 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Electric continued
$ |
10,454,550 |
Mirion Technologies, Inc., 2019 Term Loan B, |
|
|
|
|
3-month LIBOR + 4.000%, 5.945%, 3/06/2026(a) |
$ |
10,330,455 |
|
2,350,256 |
Oregon Clean Energy LLC, Term Loan, |
|
|
|
|
1-month LIBOR + 3.750%, 5.353%, 3/01/2026(a) |
|
2,348,799 |
|
7,619,668 |
Revere Power LLC, Term Loan B, |
|
|
|
|
3-month LIBOR + 4.250%, 6.195%, 3/29/2026(a) |
|
6,997,370 |
|
794,121 |
Revere Power LLC, Term Loan C, |
|
|
|
|
3-month LIBOR + 4.250%, 6.195%, 3/29/2026(a) |
|
729,265 |
|
7,446,650 |
West Deptford Energy Holdings LLC, Term Loan B, |
|
|
|
|
1-month LIBOR + 3.750%, 5.353%, 8/03/2026(a) |
|
7,297,717 |
|
|
|
|
57,338,221 |
Environmental 0.5%
6,651,619 |
EnergySolutions LLC, 2018 Term Loan B, |
|
|
3-month LIBOR + 3.750%, 5.695%, 5/09/2025(a) |
6,219,264 |
5,633,000 |
Terrapure Environmental Ltd., 1st Lien Term Loan, |
|
|
11/25/2026(b) |
5,618,917 |
|
|
11,838,181 |
Financial Other 2.4%
17,597,795 |
Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 4.500%, 6.103%, 2/28/2025(a) |
16,431,941 |
13,091,726 |
AqGen Ascensus, Inc., 2017 Repriced Term Loan, |
|
|
3-month LIBOR + 4.000%, 5.945%, 12/03/2022(a) |
12,938,946 |
9,823,357 |
LifeMiles Ltd., Term Loan B, |
|
|
1-month LIBOR + 5.500%, 7.103%, 8/18/2022(a) |
9,528,656 |
10,752,053 |
Teneo Holdings LLC, Term Loan, |
|
|
1-month LIBOR + 5.250%, 6.909%, 7/11/2025(a) |
10,268,210 |
3,309,153 |
Victory Capital Management, Inc., 2020 Term Loan B, |
|
|
7/01/2026(b) |
3,263,653 |
|
|
52,431,406 |
Food & Beverage 1.7%
4,982,000 |
Aramark Services, Inc., 2019 Term Loan B4, |
|
|
1-month LIBOR + 1.750%, 3.353%, 1/15/2027(a) |
4,947,774 |
5,163,498 |
Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.403%, 7/07/2024(a) |
5,150,589 |
1,553,108 |
B&G Foods, Inc., 2019 Term Loan B4, |
|
|
1-month LIBOR + 2.500%, 4.103%, 10/10/2026(a) |
1,535,635 |
7,683,000 |
Froneri International PLC, 2020 USD Term Loan, |
|
|
1-month LIBOR + 2.250%, 3.853%, 1/29/2027(a) |
7,548,547 |
10,135,174 |
Hearthside Food Solutions LLC, 2018 Term Loan B, |
|
|
1-month LIBOR + 3.688%, 5.291%, 5/23/2025(a) |
9,932,470 |
2,190,000 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, |
|
|
1-month LIBOR + 2.250%, 3.908%, 5/15/2024(a) |
2,159,888 |
6,823,937 |
Sage BorrowCo LLC, Term Loan B, |
|
|
1-month LIBOR + 4.750%, 6.353%, 6/20/2026(a) |
6,809,743 |
|
|
38,084,646 |
Health Insurance 0.6%
5,702,513 |
Sedgwick Claims Management Services, Inc., 2018 Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.853%, 12/31/2025(a) |
5,559,950 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Health Insurance continued
$ |
8,400,785 |
Sedgwick Claims Management Services, Inc., 2019 Term Loan B, |
|
|
|
|
1-month LIBOR + 4.000%, 5.603%, 9/03/2026(a) |
$ |
8,306,276 |
|
|
|
|
13,866,226 |
Healthcare 3.1%
5,778,437 |
Carestream Dental Equipment, Inc, 2017 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.250%, 4.853%, 9/01/2024(a) |
5,580,987 |
2,350,000 |
DuPage Medical Group Ltd., 2nd Lien Term Loan, |
|
|
1-month LIBOR + 7.000%, 8.603%, 8/15/2025(a) |
2,275,575 |
3,392,498 |
Ensemble RCM LLC, Term Loan, |
|
|
3-month LIBOR + 3.750%, 5.513%, 8/03/2026(a) |
3,369,870 |
3,496,151 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 10/10/2025(a) |
2,803,913 |
8,551,000 |
Gentiva Health Services, Inc., 2020 Term Loan, |
|
|
1-month LIBOR + 3.250%, 4.875%, 7/02/2025(a) |
8,465,490 |
7,831,928 |
Global Education Management Systems Establishment, Term Loan, |
|
|
3-month LIBOR + 5.000%, 6.613%, 7/31/2026(a) |
7,842,110 |
2,905,140 |
Life Time Fitness, Inc., 2017 Term Loan B, |
|
|
LIBOR + 2.750%, 4.363%, 6/10/2022(e) |
2,858,658 |
8,153,565 |
Medical Solutions LLC, 2017 Term Loan, |
|
|
1-month LIBOR + 4.500%, 6.103%, 6/14/2024(a) |
8,072,029 |
1,110,684 |
National Mentor Holdings, Inc., 2019 Term Loan B, |
|
|
3/09/2026(b) |
1,105,830 |
5,444,969 |
National Mentor Holdings, Inc., 2019 Term Loan B, |
|
|
1-month LIBOR + 4.000%, 5.610%, 3/09/2026(a) |
5,421,175 |
50,316 |
National Mentor Holdings, Inc., 2019 Term Loan C, |
|
|
3/09/2026(b) |
50,096 |
315,221 |
National Mentor Holdings, Inc., 2019 Term Loan C, |
|
|
1-month LIBOR + 4.000%, 5.610%, 3/09/2026(a) |
313,844 |
6,230,815 |
Onex TSG Intermediate Corp., 1st Lien Term Loan, |
|
|
1-month LIBOR + 4.000%, 5.603%, 7/31/2022(a) |
5,846,561 |
986,000 |
Tecomet Inc., 2017 Repriced Term Loan, |
|
|
1-month LIBOR + 3.500%, 5/01/2024(b) |
969,977 |
13,354,651 |
Verscend Holding Corp., 2018 Term Loan B, |
|
|
1-month LIBOR + 4.500%, 6.103%, 8/27/2025(a) |
13,287,877 |
|
|
68,263,992 |
Home Construction 0.5%
5,118,486 |
Hayward Industries, Inc., 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.103%, 8/05/2024(a) |
5,003,320 |
6,176,761 |
LBM Borrower LLC, 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 8/20/2022(a) |
6,155,143 |
|
|
11,158,463 |
Independent Energy 0.5%
6,160,000 |
California Resources Corp., Second Out Term Loan, |
|
|
3-month LIBOR + 10.375%, 11.988%, 12/31/2021(a) |
3,095,400 |
23,593,712 |
Gavilan Resources LLC, 2nd Lien Term Loan, |
|
|
1-month LIBOR + 6.000%, 7.603%, 3/01/2024(a)(c)(d) |
7,864,492 |
|
|
10,959,892 |
Industrial Other 5.3%
5,434,593 |
ABG Intermediate Holdings 2 LLC, 2017 1st Lien Add-On Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.103%, 9/27/2024(a) |
5,325,901 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Industrial Other continued
$ |
7,480,000 |
APi Group DE, Inc., Term Loan B, |
|
|
|
|
1-month LIBOR + 2.500%, 4.103%, 10/01/2026(a) |
$ |
7,386,500 |
|
7,494,414 |
CIBT Global, Inc., 2017 1st Lien Term Loan, |
|
|
|
|
3-month LIBOR + 3.750%, 5.695%, 6/03/2024(a) |
|
7,007,277 |
|
4,329,646 |
GBT III BV, Delayed Draw Term Loan, |
|
|
|
|
2/26/2027(b)(f) |
|
4,232,229 |
|
5,170,354 |
GBT III BV, Term Loan, |
|
|
|
|
2/26/2027(b) |
|
5,054,021 |
|
12,616,075 |
GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, |
|
|
|
|
1-month LIBOR + 5.000%, 6.603%, 4/16/2025(a) |
|
11,964,202 |
|
16,568,354 |
Harland Clarke Holdings Corp., Term Loan B7, |
|
|
|
|
3-month LIBOR + 4.750%, 6.463%, 11/03/2023(a) |
|
13,033,827 |
|
3,518,000 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, |
|
|
|
|
3/01/2027(b) |
|
3,460,832 |
|
15,338,400 |
International Textile Group, Inc., 1st Lien Term Loan, |
|
|
|
|
1-month LIBOR + 5.000%, 6.655%, 5/01/2024(a) |
|
12,015,029 |
|
7,828,000 |
International Textile Group, Inc., 2nd Lien Term Loan, |
|
|
|
|
1-month LIBOR + 9.000%, 10.655%, 5/01/2025(a)(c)(d) |
|
5,244,760 |
|
10,653,069 |
NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B, |
|
|
|
|
3-month LIBOR + 5.500%, 7.277%, 5/11/2023(a) |
|
10,599,804 |
|
11,194,221 |
Savage Enterprises LLC, 2018 1st Lien Term Loan B, |
|
|
|
|
1-month LIBOR + 4.000%, 5.660%, 8/01/2025(a) |
|
11,152,242 |
|
11,194,221 |
Savage Enterprises LLC, 2020 Term Loan B, |
|
|
|
|
8/01/2025(b) |
|
11,152,242 |
|
8,985,607 |
WireCo WorldGroup, Inc., 1st Lien Term Loan, |
|
|
|
|
1-month LIBOR + 5.000%, 6.603%, 9/30/2023(a) |
|
8,513,863 |
|
|
|
|
116,142,729 |
Integrated Energy 0.4%
503,000 |
Matador Bidco S.a.r.l., Term Loan, |
|
|
10/15/2026(b) |
501,270 |
8,913,000 |
Matador Bidco S.a.r.l., Term Loan, |
|
|
1-month LIBOR + 4.750%, 6.353%, 10/15/2026(a) |
8,882,339 |
|
|
9,383,609 |
Internet & Data 4.0%
6,156,000 |
Buzz Merger Sub Ltd., Term Loan B, |
|
|
1-month LIBOR + 2.750%, 4.353%, 1/29/2027(a) |
6,032,880 |
6,731,905 |
CareerBuilder LLC, Term Loan, |
|
|
1-month LIBOR + 6.750%, 8.353%, 7/31/2023(a) |
6,689,831 |
8,906,000 |
Castle U.S. Holding Corp., USD Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.353%, 1/29/2027(a) |
8,460,700 |
15,352,483 |
EIG Investors Corp., 2018 1st Lien Term Loan, |
|
|
LIBOR + 3.750%, 5.388%, 2/09/2023(e) |
15,064,624 |
16,551,026 |
MH Sub I LLC, 2017 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 9/13/2024(a) |
16,102,824 |
8,830,000 |
MH Sub I LLC, 2017 2nd Lien Term Loan, |
|
|
1-month LIBOR + 7.500%, 9.103%, 9/15/2025(a) |
8,664,437 |
13,536,600 |
Ufinet Telecom Holding S.L.U., 2017 EUR Term Loan B, |
|
|
6/30/2023, (EUR)(b) |
14,897,108 |
11,829,510 |
WeddingWire, Inc., 1st Lien Term Loan, |
|
|
1-month LIBOR + 4.500%, 6.103%, 12/19/2025(a) |
11,592,920 |
|
|
87,505,324 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Leisure 2.4%
$ |
2,290,000 |
Cineworld Ltd., Incremental Term Loan, |
|
|
|
|
2/05/2027(b) |
$ |
2,126,265 |
|
9,674,134 |
Crown Finance U.S., Inc., 2018 USD Term Loan, |
|
|
|
|
1-month LIBOR + 2.250%, 3.853%, 2/28/2025(a) |
|
8,927,872 |
|
4,029,900 |
Crown Finance U.S., Inc., 2019 Incremental Term Loan, |
|
|
|
|
1-month LIBOR + 2.500%, 4.103%, 9/30/2026(a) |
|
3,727,657 |
|
4,884,634 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, |
|
|
|
|
1-month LIBOR + 3.500%, 5.100%, 7/03/2024(a) |
|
4,762,518 |
|
3,690,531 |
Leslie's Poolmart, Inc., 2016 Term Loan, |
|
|
|
|
3-month LIBOR + 3.500%, 5.262%, 8/16/2023(a) |
|
3,518,294 |
|
3,864,580 |
Playpower, Inc., 2019 Term Loan, |
|
|
|
|
3-month LIBOR + 5.500%, 7.461%, 5/08/2026(a) |
|
3,864,580 |
|
8,916,000 |
PUG LLC, USD Term Loan, |
|
|
|
|
3-month LIBOR + 3.500%, 5.168%, 2/12/2027(a) |
|
8,336,460 |
|
8,987,053 |
Recess Holdings, Inc., 2017 1st Lien Term Loan, |
|
|
|
|
1-month LIBOR + 3.750%, 5.353%, 9/30/2024(a) |
|
8,897,182 |
|
7,620,000 |
Thunder Finco Pty Ltd., Term Loan B, |
|
|
|
|
1-month LIBOR + 4.250%, 5.853%, 11/20/2026(a) |
|
7,391,400 |
|
|
|
|
51,552,228 |
Lodging 0.6%
1,177,534 |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.363%, 2/02/2026(a) |
1,148,096 |
12,880,147 |
Golden Nugget, Inc., 2017 Incremental Term Loan B, |
|
|
1-month LIBOR + 2.500%, 4.095%, 10/04/2023(h) |
12,609,149 |
|
|
13,757,245 |
Media Entertainment 4.8%
2,520,259 |
Alpha Media LLC, 2016 Term Loan, |
|
|
LIBOR + 6.000%, 7.774%, 2/25/2022(e) |
2,419,448 |
4,816,000 |
Banijay Entertainment S.A.S, USD Term Loan, |
|
|
3/04/2025(b) |
4,731,720 |
12,694,583 |
Camelot U.S. Acquisition 1 Co., Term Loan B, |
|
|
10/31/2026(b) |
12,611,307 |
5,837,426 |
Cengage Learning, Inc., 2016 Term Loan B, |
|
|
1-month LIBOR + 4.250%, 5.853%, 6/07/2023(a) |
5,374,109 |
3,405,705 |
Diamond Sports Group LLC, Term Loan, |
|
|
1-month LIBOR + 3.250%, 4.880%, 8/24/2026(a) |
3,099,192 |
15,779,000 |
iHeartCommunications, Inc., 2020 Term Loan, |
|
|
1-week + 3.000%, 4.655%, 5/01/2026(a) |
15,463,420 |
12,362,018 |
ION Media Networks, Inc., 2019 Term Loan B, |
|
|
1-month LIBOR + 3.000%, 4.625%, 12/18/2024(a) |
12,192,040 |
4,452,000 |
Lamar Media Corp., 2020 Term Loan B, |
|
|
1-month LIBOR + 1.500%, 3.166%, 2/05/2027(a) |
4,437,531 |
18,270,918 |
McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B, |
|
|
1-month LIBOR + 4.000%, 5.603%, 5/04/2022(a) |
17,151,824 |
12,195,285 |
Meredith Corp., 2020 Term Loan B2, |
|
|
1/31/2025(b) |
12,065,771 |
9,700,000 |
Metro-Goldwyn-Mayer, Inc., 2018 2nd Lien Term Loan, |
|
|
1-month LIBOR + 4.500%, 6.110%, 7/03/2026(a) |
9,457,500 |
2,928,130 |
Nielsen Finance LLC, USD Term Loan B4, |
|
|
1-month LIBOR + 2.000%, 3.671%, 10/04/2023(a) |
2,897,033 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Media Entertainment continued
$ |
2,633,849 |
Project Sunshine IV PTY Ltd., 2017 Term Loan B, |
|
|
|
|
1-month LIBOR + 7.000%, 8.603%, 8/21/2022(a) |
$ |
2,620,680 |
|
|
|
|
104,521,575 |
Metals & Mining 1.8%
10,813,124 |
American Rock Salt Co. LLC, 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.103%, 3/21/2025(a) |
10,650,927 |
14,050,009 |
GrafTech Finance, Inc., 2018 Term Loan B, |
|
|
1-month LIBOR + 3.500%, 5.103%, 2/12/2025(a) |
13,382,633 |
17,928,940 |
U.S. Silica Co., 2018 Term Loan B, |
|
|
1-month LIBOR + 4.000%, 5.625%, 5/01/2025(a) |
14,492,500 |
|
|
38,526,060 |
Midstream 1.0%
12,367,850 |
Lower Cadence Holdings LLC, Term Loan B, |
|
|
1-month LIBOR + 4.000%, 5.603%, 5/22/2026(a) |
11,618,111 |
9,551,313 |
Prairie ECI Acquiror LP, Term Loan B, |
|
|
3-month LIBOR + 4.750%, 6.695%, 3/11/2026(a) |
9,228,956 |
|
|
20,847,067 |
Oil Field Services 1.0%
28,702,034 |
Covia Holdings Corp., Term Loan, |
|
|
3-month LIBOR + 4.000%, 5.874%, 6/01/2025(a) |
21,397,367 |
Packaging 0.2%
3,518,000 |
Reynolds Consumer Products, Inc., Term Loan, |
|
|
3-month LIBOR + 1.750%, 3.501%, 2/04/2027(a) |
3,474,025 |
Pharmaceuticals 1.0%
9,718,879 |
Akorn, Inc., Term Loan B, |
|
|
1-month LIBOR + 10.000%, 12.438%, (0.750% PIK, 11.688% Cash), |
|
|
4/16/2021(a)(i) |
9,362,487 |
1,006,216 |
Bausch Health Cos., Inc., Term Loan B, |
|
|
1-month LIBOR + 2.750%, 4.409%, 11/27/2025(a) |
999,615 |
7,053,000 |
Elanco Animal Health, Inc., Term Loan B, |
|
|
2/04/2027(b) |
6,970,692 |
5,184,000 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, |
|
|
1-week LIBOR + 2.000%, 3.579%, 11/15/2027(a) |
5,135,737 |
|
|
22,468,531 |
Property & Casualty Insurance 2.4%
1,229,825 |
AmWINS Group, Inc., 2017 Term Loan B, |
|
|
1-month LIBOR + 2.750%, 4.364%, 1/25/2024(h) |
1,223,676 |
1,449,700 |
Applied Systems, Inc., 2017 1st Lien Term Loan, |
|
|
3-month LIBOR + 3.250%, 5.195%, 9/19/2024(a) |
1,431,216 |
818,000 |
AssuredPartners, Inc., 2020 Term Loan B, |
|
|
2/12/2027(b) |
801,640 |
6,642,000 |
Broadstreet Partners, Inc., 2020 Term Loan B, |
|
|
1/27/2027(b) |
6,569,336 |
4,885,000 |
Broadstreet Partners, Inc., 2020 Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.866%, 1/27/2027(a) |
4,831,558 |
10,254,133 |
Confie Seguros Holding II Co., 2016 Term Loan B, |
|
|
3-month LIBOR + 4.750%, 6.363%, 4/19/2022(a) |
9,946,509 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Property & Casualty Insurance continued
$ |
15,389,391 |
Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, |
|
|
|
|
1-month LIBOR + 3.500%, 5.125%, 12/20/2024(a) |
$ |
15,235,497 |
|
10,712,746 |
Mitchell International, Inc., 2017 1st Lien Term Loan, |
|
|
|
|
1-month LIBOR + 3.250%, 4.853%, 11/29/2024(a) |
|
10,485,100 |
|
2,591,000 |
USI, Inc., 2019 Incremental Term Loan B, |
|
|
|
|
1-month LIBOR + 4.000%, 5.945%, 12/02/2026(a) |
|
2,573,718 |
|
|
|
|
53,098,250 |
Railroads 0.2%
4,374,000 |
Genesee & Wyoming Inc. (New), Term Loan, |
|
|
3-month LIBOR + 2.000%, 3.906%, 12/30/2026(a) |
4,344,825 |
Refining 0.7%
14,541,260 |
Delek U.S. Holdings, Inc., 2018 Term Loan B, |
|
|
1-month LIBOR + 2.250%, 3.853%, 3/31/2025(a) |
14,250,434 |
REITs - Retail 1.3%
19,739,001 |
Brookfield Property REIT, Inc., 1st Lien Term Loan B, |
|
|
1-month LIBOR + 2.500%, 4.103%, 8/27/2025(a) |
19,294,874 |
9,560,853 |
Forest City Enterprises LP, 2019 Term Loan B, |
|
|
1-month LIBOR + 3.500%, 5.103%, 12/08/2025(a) |
9,477,195 |
|
|
28,772,069 |
Restaurants 2.7%
7,300,000 |
1011778 B.C. Unlimited Liability Co., Term Loan B4, |
|
|
1-month LIBOR + 1.750%, 3.353%, 11/19/2026(a) |
7,172,250 |
6,735,376 |
Bojangles' Restaurants, Inc., Term Loan, |
|
|
1-month LIBOR + 4.750%, 6.353%, 1/28/2026(a) |
6,707,289 |
3,000,000 |
Carrols Restaurant Group, Inc., Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.870%, 4/30/2026(a) |
2,850,000 |
11,758,039 |
Flynn Restaurant Group LP, 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.103%, 6/27/2025(a) |
11,305,355 |
12,406,776 |
Portillo Restaurant Group (The), Term Loan, |
|
|
3-month LIBOR + 5.500%, 7.445%, 9/06/2024(a) |
12,220,675 |
20,872,972 |
Red Lobster Management LLC, Term Loan B, |
|
|
1-month LIBOR + 5.250%, 6.853%, 7/28/2021(a) |
19,724,958 |
|
|
59,980,527 |
Retailers 3.1%
16,615,864 |
Array Canada, Inc., Term Loan B, |
|
|
3-month LIBOR + 5.000%, 6.945%, 2/10/2023(a) |
11,927,033 |
17,033,335 |
At Home Holding III, Inc., Term Loan, |
|
|
3-month LIBOR + 3.500%, 5.277%, 6/03/2022(a) |
14,308,002 |
16,088,448 |
BDF Acquisition Corp., 1st Lien Term Loan, |
|
|
1-month LIBOR + 5.250%, 6.853%, 8/14/2023(a) |
14,962,257 |
5,939,845 |
EG Group Ltd., 2018 USD Term Loan B, |
|
|
3-month LIBOR + 4.000%, 5.961%, 2/07/2025(a) |
5,764,144 |
4,729,740 |
Kontoor Brands, Inc., Term Loan B, |
|
|
1-month LIBOR + 4.250%, 5.889%, 5/15/2026(a) |
4,706,091 |
10,728,850 |
Staples, Inc., 7 Year Term Loan, |
|
|
1-month LIBOR + 5.000%, 6.655%, 4/16/2026(a) |
10,388,209 |
5,741,689 |
The Talbots, Inc., 2018 Term Loan B, |
|
|
1-month LIBOR + 7.000%, 8.603%, 11/28/2022(a) |
5,612,501 |
|
|
67,668,237 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Supermarkets 0.7%
$ |
16,045,467 |
BI-LO Holding LLC, Exit Term Loan B, |
|
|
|
|
3-month LIBOR + 8.000%, 9.762%, 5/31/2024(h) |
$ |
14,681,602 |
Technology 10.6%
12,810,503 |
Almonde, Inc., USD 1st Lien Term Loan, |
|
|
LIBOR + 3.500%, 5.277%, 6/13/2024(e) |
12,191,371 |
9,260,000 |
Almonde, Inc., USD 2nd Lien Term Loan, |
|
|
3-month LIBOR + 7.250%, 9.027%, 6/13/2025(a) |
8,802,834 |
200,000 |
Aptean, Inc., 2019 Term Loan, |
|
|
4/23/2026(b) |
199,334 |
8,257,600 |
Aptean, Inc., 2019 Term Loan, |
|
|
3-month LIBOR + 4.250%, 6.195%, 4/23/2026(a) |
8,230,102 |
20,398,098 |
CommScope, Inc., 2019 Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.853%, 4/06/2026(a) |
20,041,131 |
10,272,394 |
Corel Corp., 2019 Term Loan, |
|
|
3-month LIBOR + 5.000%, 6.613%, 7/02/2026(a) |
9,964,222 |
8,339,522 |
Greeneden U.S. Holdings II LLC, 2018 USD Term Loan B, |
|
|
1-month LIBOR + 3.250%, 4.853%, 12/01/2023(a) |
8,228,356 |
10,220,000 |
Helios Software Holdings, Inc., USD Term Loan, |
|
|
1-month LIBOR + 4.250%, 5.853%, 10/24/2025(a) |
10,156,125 |
9,523,669 |
Hyland Software, Inc., 2017 2nd Lien Term Loan, |
|
|
1-month LIBOR + 7.000%, 8.603%, 7/07/2025(a) |
9,563,383 |
8,188,000 |
Informatica LLC, 2020 USD Term Loan B, |
|
|
2/25/2027(b) |
8,003,770 |
8,474,347 |
IQOR U.S., Inc., 2nd Lien Term Loan, |
|
|
3-month LIBOR + 8.750%, 10.659%, 4/01/2022(a)(c)(d) |
2,542,304 |
10,755,500 |
McAfee LLC, 2017 2nd Lien Term Loan, |
|
|
1-month LIBOR + 8.500%, 10.103%, 9/29/2025(a) |
10,742,056 |
6,442,295 |
McAfee LLC, 2018 USD Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.353%, 9/30/2024(a) |
6,367,822 |
2,884,213 |
NAVEX TopCo, Inc., 2018 1st Lien Term Loan, |
|
|
1-month LIBOR + 3.250%, 4.860%, 9/05/2025(a) |
2,829,240 |
4,558,575 |
ON Semiconductor Corp., 2019 Term Loan B, |
|
|
1-month LIBOR + 2.000%, 3.603%, 9/19/2026(a) |
4,498,766 |
6,682,420 |
Project Alpha Intermediate Holding, Inc., 2019 Incremental Term Loan B, |
|
|
6-month LIBOR + 4.250%, 6.130%, 4/26/2024(a) |
6,623,949 |
9,004,531 |
Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan, |
|
|
3-month LIBOR + 4.250%, 6.027%, 5/16/2025(a)(c)(d) |
8,779,418 |
8,255,376 |
Rocket Software, Inc., 2018 Term Loan, |
|
|
1-month LIBOR + 4.250%, 5.853%, 11/28/2025(a) |
7,945,799 |
11,539,088 |
S2P Acquisition Borrower, Inc., Term Loan, |
|
|
1-month LIBOR + 4.000%, 5.603%, 8/14/2026(a) |
11,442,967 |
10,623,615 |
Sirius Computer Solutions, Inc., 2020 Term Loan, |
|
|
1-month LIBOR + 3.500%, 5.103%, 7/01/2026(a) |
10,570,497 |
13,361,213 |
SurveyMonkey, Inc., 2018 Term Loan B, |
|
|
1-week LIBOR + 3.750%, 5.340%, 10/10/2025(a) |
13,227,601 |
3,624,353 |
Thoughtworks, Inc., 2020 Term Loan, |
|
|
1-month LIBOR + 3.750%, 5.353%, 10/11/2024(a) |
3,622,106 |
2,600,000 |
Ultimate Software Group, Inc. (The), Term Loan B, |
|
|
5/04/2026(b) |
2,588,456 |
13,548,412 |
Ultimate Software Group, Inc. (The), Term Loan B, |
|
|
1-month LIBOR + 3.750%, 5.353%, 5/04/2026(a) |
13,488,257 |
14,178,164 |
Verifone Systems, Inc., 2018 1st Lien Term Loan, |
|
|
3-month LIBOR + 4.000%, 5.695%, 8/20/2025(a) |
13,646,482 |
Principal |
|
|
Amount |
Description |
Value (†) |
Senior Loans continued
Technology continued
$ |
12,328,000 |
Vertiv Group Corp., Term Loan B, |
|
|
|
|
3/02/2027(b) |
$ |
12,204,720 |
|
6,025,389 |
Web.com Group, Inc., 2018 Term Loan B, |
|
|
|
|
1-month LIBOR + 3.750%, 5.389%, 10/10/2025(a) |
|
5,849,629 |
|
|
|
|
232,350,697 |
Transportation Services 2.2%
12,458,698 |
AI Mistral Holdco Ltd., 2017 Term Loan B, |
|
|
1-month LIBOR + 3.000%, 4.603%, 3/11/2024(a) |
10,177,261 |
6,699,610 |
Deliver Buyer, Inc., Term Loan B, |
|
|
3-month LIBOR + 5.000%, 6.945%, 5/01/2024(a) |
6,636,835 |
26,180,496 |
Uber Technologies, Inc., 2018 Term Loan, |
|
|
1-month LIBOR + 4.000%, 5.639%, 4/04/2025(a) |
25,998,280 |
5,811,519 |
Verra Mobility Corp., 2020 Term Loan B, |
|
|
2/28/2025(b) |
5,738,875 |
|
|
48,551,251 |
Wireless 0.3%
7,137,391 |
Asurion LLC, 2017 2nd Lien Term Loan, |
|
|
1-month LIBOR + 6.500%, 8.103%, 8/04/2025(a) |
7,146,313 |
Wirelines 0.3%
7,729,590 |
Avaya, Inc., 2018 Term Loan B, |
|
|
1-month LIBOR + 4.250%, 5.900%, 12/15/2024(a) |
7,330,203 |
|
Total Senior Loans |
|
|
(Identified Cost $2,136,316,186) |
1,995,799,558 |
Bonds and Notes 2.5%
Automotive 0.7%
16,691,000 |
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., |
|
|
7.875%, 10/01/2022, 144A |
16,033,809 |
Independent Energy 0.1%
3,679,000 |
Bellatrix Exploration Ltd., |
|
|
8.500%, 9/11/2023(c)(g)(j)(k)(l) |
2,207,400 |
4,009,000 |
Bellatrix Exploration Ltd., |
|
|
12.500%, (9.500% PIK, 3.000% Cash), 12/15/2023(c)(g)(j)(k)(l)(m) |
|
|
|
2,207,400 |
Media Entertainment 0.2%
4,500,000 |
AMC Networks, Inc., |
|
|
4.750%, 8/01/2025 |
4,485,150 |
Non-Agency Commercial Mortgage-Backed Securities 0.3%
6,648,042 |
Motel 6 Trust, Series 2017-M6MZ, Class M, |
|
|
1-month LIBOR + 6.927%, 8.585%, 8/15/2024, 144A(a) |
6,715,300 |
Property & Casualty Insurance 0.8%
16,085,000 |
Ardonagh Midco 3 PLC, |
|
|
8.625%, 7/15/2023, 144A |
16,245,850 |
Technology 0.4%
4,500,000 |
Cardtronics, Inc./Cardtronic USA, |
|
|
5.500%, 5/01/2025, 144A |
4,612,500 |
Principal |
|
|
Amount |
Description |
Value (†) |
Bonds and Notes continued
Technology continued
$ |
4,500,000 |
PTC, Inc., |
|
|
|
|
3.625%, 2/15/2025, 144A |
$ |
4,511,250 |
|
|
|
|
9,123,750 |
Wirelines 0.0%
5,000,000 |
Windstream Services LLC/Windstream Finance Corp., |
|
|
9.000%, 6/30/2025, 144A(c)(d)(k) |
400,000 |
|
Total Bonds and Notes |
|
|
(Identified Cost $62,208,599) |
55,211,259 |
Shares
Common Stocks 0.2%
Chemicals 0.1%
193,746 Hexion Holdings Corp., Class B(n)2,518,698
Energy Equipment & Services 0.1%
61,854 Ameriforge Group, Inc.(c)(d)(n)3,092,700
Oil, Gas & Consumable Fuels 0.0%
1,474,879 Bellatrix Exploration Ltd.(g)(j)(l)(n)
Specialty Retail 0.0%
1,790,513 |
Onsite Rental Group Pty Ltd.(c)(g)(j)(l)(n) |
|
|
Total Common Stocks |
|
|
(Identified Cost $9,434,418) |
5,611,398 |
Principal |
|
|
Amount |
|
|
Short-Term Investments 8.6%
$ |
188,600,019 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated |
|
|
|
|
2/28/2020 at 0.900% to be repurchased at $188,614,165 on 3/02/2020 collateralized |
|
|
|
|
by $108,405,000 U.S. Treasury Note, 2.500% due 2/15/2022 valued at |
|
|
|
|
$111,369,335; $65,180,000 U.S. Treasury Note, 2.000% due 2/15/2022 valued at |
|
|
|
|
$66,328,081; $12,345,000 U.S. Treasury Inflation Indexed Note, 1.250% due |
|
|
|
|
7/15/2020 valued at $14,681,797 including accrued interest(o) |
|
|
|
|
(Identified Cost $188,600,019) |
|
188,600,019 |
|
|
Total Investments 102.2% |
|
|
|
|
(Identified Cost $2,396,559,222) |
|
2,245,222,234 |
|
|
Other assets less liabilities (2.2)% |
|
(48,939,153) |
|
|
Net Assets 100.0% |
$ |
2,196,283,081 |
(†)Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund's net asset value ("NAV") is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund's pricing policies and procedures.
As of February 29, 2020, securities held by the Fund were fair valued as follows:
Securities |
|
Securities fair |
|
classified as fair |
Percentage of |
valued by the |
Percentage of |
valued |
Net Assets |
Fund's adviser |
Net Assets |
$37,371,468 |
1.7% |
$2,207,400 |
0.1% |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a)Variable rate security. Rate as of February 29, 2020 is disclosed.
(b)Position is unsettled. Contract rate was not determined at February 29, 2020 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
(c)Illiquid security.
(d)Securities classified as fair valued pursuant to the Fund's pricing policies and procedures. At February 29, 2020, the value of these securities amounted to $37,371,468 or 1.7% of net assets.
(e)Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 29, 2020. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.
(f)Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement.
(g)Securities subject to restriction on resale. At February 29, 2020, the restricted securities held by the Fund are as follows:
|
Acquisition Date |
|
Acquisition Cost |
|
Value |
% of Net Assets |
Bellatrix Exploration Ltd., 8.500% |
6/04/2019 |
$ |
3,605,420 |
$ |
2,207,400 |
0.1% |
Bellatrix Exploration Ltd., 12.500%, |
|
|
|
|
(9.500% PIK, 3.000% Cash) |
6/04/2019 |
2,645,940 |
|
|
Bellatrix Exploration Ltd. |
6/04/2019 |
1,853,525 |
|
|
Onsite Rental Group Pty Ltd. |
11/03/2017 |
|
|
|
Onsite Rental Group Pty Ltd., Note |
11/03/2017 |
2,384,581 |
2,907,229 |
0.1% |
(h)Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 29, 2020.
(i)Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended February 29, 2020 interest payments were made in cash and principal.
(j)Level 3 security. Value has been determined using significant unobservable inputs.
(k)The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(l)Fair valued by the Fund's adviser. At February 29, 2020, the value of these securities amounted to $2,207,400 or 0.1% of net assets.
(m)Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period.
(n)Non-income producing security.
(o)The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of February 29, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.
144A |
All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities |
|
may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2020, the value |
|
of Rule 144A holdings amounted to $48,518,709 or 2.2% of net assets. |
LIBOR |
London Interbank Offered Rate |
PIK |
Payment-in-Kind |
REITs |
Real Estate Investment Trusts |
EUR |
Euro |
Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:
•Level 1 quoted prices in active markets for identical assets or liabilities;
•Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
•Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund's investments as of February 29, 2020, at value:
Asset Valuation Inputs |
|
|
|
|
|
|
|
Description |
|
Level 1 |
Level 2 |
|
Level 3 |
|
Total |
Senior Loans* |
$ |
$ |
1,995,799,558 |
$ |
$ |
1,995,799,558 |
Bonds and Notes |
|
|
|
|
|
|
|
Independent Energy |
|
|
|
|
2,207,400(a)(b) |
|
2,207,400 |
All Other Non-Convertible Bonds* |
|
|
53,003,859 |
|
|
|
53,003,859 |
Total Bonds and Notes |
|
|
53,003,859 |
|
2,207,400 |
|
55,211,259 |
Common Stocks |
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels |
|
|
|
|
(c) |
|
|
Specialty Retail |
|
|
|
|
(c) |
|
|
All Other Common Stocks* |
|
|
5,611,398 |
|
|
|
5,611,398 |
Total Common Stocks |
|
|
5,611,398 |
|
|
|
5,611,398 |
Short-Term Investments |
|
|
188,600,019 |
|
|
|
188,600,019 |
Total |
$ |
$ |
2,243,014,834 |
$ |
2,207,400 |
$ |
2,245,222,234 |
*Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.
(a) Fair valued by the Fund's adviser.
(b) Includes a security fair valued at zero by the Fund's adviser using Level 3 inputs. (c) Fair valued at zero by the Fund's adviser using level 3 inputs.
The Fund's pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair
value as determined in good faith by the Fund's adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2019 and/or February 29, 2020:
Asset Valuation Inputs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in |
|
|
|
|
|
|
|
|
|
Change in Unrealized |
|
|
Balance as of |
|
Accrued |
|
|
|
Unrealized |
|
|
|
|
Transfers |
|
|
Balance as of |
Appreciation (Depreciation) |
|
November 30, |
Discounts |
|
Realized |
Appreciation |
|
|
|
|
into Level |
Transfers out |
February 29, |
from Investments Still Held |
Investments in Securities |
|
2019 |
(Premiums) |
Gain (Loss) |
(Depreciation) |
Purchases |
|
Sales |
3 |
|
of Level 3 |
|
2020 |
at |
February 29, 2020 |
Senior Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Data |
$ |
8,911,883 |
$ |
- |
$ |
- |
$ |
- |
$ |
- |
$ |
- |
$ |
- |
$ (8,911,883) |
$ |
- |
$ |
- |
Leisure |
|
6,672,769 |
|
5,793 |
|
(957,783) |
|
1,077,808 |
|
- |
|
(6,798,587) |
|
- |
- |
|
- |
|
- |
Bonds and Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
2,207,400(a) |
|
52,662 |
|
- |
|
(52,662) |
|
- |
|
- |
|
- |
- |
|
2,207,400(a) |
|
(52,662) |
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumable |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuels |
|
-(b) |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
- |
|
-(b) |
|
- |
Specialty Retail |
|
-(b) |
|
- |
|
- |
|
- |
|
- |
|
- |
|
- |
- |
|
-(b) |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
$ |
17,792,052 |
$ |
58,455 |
$ |
(957,783) |
$ |
1,025,146 |
$ |
- |
$ |
(6,798,587) |
$ |
- |
$ (8,911,883) |
$ |
2,207,400 |
$ |
(52,662) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)Includes a security fair valued at zero using Level 3 inputs.
(b)Fair valued at zero.
A debt security valued at $8,911,883 was transferred from Level 3 to Level 2 during the period ended February 29, 2020. At November 30, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At February 29, 2020, this security was valued on the basis of bid prices furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at February 29, 2020 (Unaudited)
Technology |
11.0 % |
Consumer Products |
8.4 |
Consumer Cyclical Services |
6.1 |
Automotive |
5.6 |
Industrial Other |
5.3 |
Media Entertainment |
5.0 |
Building Materials |
4.7 |
Internet & Data |
4.0 |
Property & Casualty Insurance |
3.2 |
Healthcare |
3.1 |
Retailers |
3.1 |
Restaurants |
2.7 |
Electric |
2.6 |
Financial Other |
2.4 |
Leisure |
2.4 |
Chemicals |
2.3 |
Transportation Services |
2.2 |
Aerospace & Defense |
2.0 |
Other Investments, less than 2% each |
17.5 |
Short-Term Investments |
8.6 |
Total Investments |
102.2 |
Other assets less liabilities |
(2.2) |
Net Assets |
100.0 % |